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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2023

Fair value of assets and liabilities

Schedule of Recurring Level III Assets

The following table represents recurring Level III assets as of the periods shown:

(Dollars in thousands)						Municipal Securities						Embedded Derivatives						Total
Balance at March 31, 2023						$	36,458					$	648					$	37,106
Realized and unrealized loss included in earnings						1						—						1
Maturities/calls						(700)						—						(700)
Unrealized loss included in other comprehensive income (loss)						(1,341)						—						(1,341)
Balance at June 30, 2023						$	34,418					$	648					$	35,066
Balance at December 31, 2022						$	35,343					$	787					$	36,130
Realized and unrealized loss included in earnings						1						(139)						(138)
Maturities/calls						(767)						—						(767)
Unrealized loss included in other comprehensive income (loss)						(159)						—						(159)
Balance at June 30, 2023						$	34,418					$	648					$	35,066
Balance at March 31, 2022						$	39,668					$	—					$	39,668
Realized and unrealized gain included in earnings						1						—						1
Purchase of securities						186						—						186
Maturities/calls						(785)						—						(785)
Unrealized loss included in other comprehensive income (loss)						(2,035)						—						(2,035)
Balance at June 30, 2022						$	37,035					$	—					$	37,035
Balance at December 31, 2021						$	41,763					$	—					$	41,763
Realized and unrealized gains included in earnings						8						—						8
Purchase of securities						1,048						—						1,048
Maturities/calls						(3,075)						—						(3,075)
Unrealized loss included in other comprehensive income						(2,709)						—						(2,709)
Balance at June 30, 2022						$	37,035					$	—					$	37,035

Quantitative Information About the Level III Significant Unobservable Inputs for Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

The following tables present quantitative information about the Level III significant unobservable inputs for assets and liabilities measured at fair value as of the periods shown:

						Quantitative Information about Level III Fair Value Measurements
(Dollars in thousands)						Fair Value						Valuation Technique						Unobservable Input						Range
June 30, 2023
Nonrecurring measurements:
Collateral-dependent loans						$	6,146					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other real estate owned						$	947					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other debt securities						$	7,500					Net asset value						Cost, less impairment						0%
Equity securities						$	36,245					Net asset value						Cost, less impairment						0%
Recurring measurements:
Municipal securities 5						$	34,418					Appraisal of bond 3						Bond appraisal adjustment 4						5% - 15%
Embedded derivatives						$	648					Monte Carlo pricing model						Deferred payment						$0 - $49.1 million
																		Volatility						59%
																		Term						4.75 years
																		Risk free rate						3.59%
December 31, 2022
Nonrecurring measurements:
Impaired loans						$	14,117					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other real estate owned						$	1,194					Appraisal of collateral 1						Appraisal adjustments 2						0% - 20%
																		Liquidation expense 2						6%
Other debt securities						$	7,500					Net asset value						Cost, less impairment						0%
Equity securities						$	33,362					Net asset value						Cost, less impairment						0%
Recurring measurements:
Municipal securities 5						$	35,343					Appraisal of bond 3						Bond appraisal adjustment 4						5% - 15%
Embedded derivatives						$	787					Monte Carlo pricing model						Deferred payment						$0 - $51.9 million
																		Volatility						58%
																		Term						5 years
																		Risk free rate						3.95%

1 Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level III inputs that are not identifiable.

2 Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses. The range and weighted average of liquidation expenses and other appraisal adjustments are presented as a percent of the appraisal.

3 Fair value is determined through independent analysis of liquidity, rating, yield and duration.

4 Appraisals may be adjusted for qualitative factors, such as local economic conditions, liquidity, marketability and legal structure.

5 Municipal securities classified as Level III instruments are comprised of TIF bonds related to certain local municipal securities.

Schedule of Carrying Value and Fair Value Hedging Adjustment of Portfolio Layer Method Hedged Asset

The following table represents the carrying value of the portfolio layer method hedged assets and the cumulative fair value hedging adjustments included in the carrying value of the hedged assets as of June 30, 2023 and December 31, 2022:

						June 30, 2023												December 31, 2022
(Dollars in thousands)						Amortized Cost Basis			Hedged Asset			Basis Adjustment						Amortized Cost Basis			Hedged Asset			Basis Adjustment
Fixed Rate Assets						$	508,971		$	148,547		$	(870)					$	—		$	—		$	—

Recurring

Fair value of assets and liabilities

Financial Assets and Liabilities Measured at Fair Value

The following tables present assets and liabilities reported on the consolidated statements of financial condition at their fair value on a recurring basis as of the periods shown by level within the fair value hierarchy:

						June 30, 2023
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	38,474					$	—					$	38,474
United States sponsored mortgage-backed securities						—						54,366						—						54,366
United States treasury securities						98,029						—						—						98,029
Municipal securities						—						86,648						34,418						121,066
Corporate debt securities						—						8,901						—						8,901
Other securities						—						801						—						801
Equity securities						4,837						—						—						4,837
Interest rate swap						—						9,372						—						9,372
Fair value hedge						—						219						—						219
Bank-owned life insurance						—						43,746						—						43,746
Embedded derivative						—						—						648						648
Liabilities:
Interest rate swap						—						8,429						—						8,429

						December 31, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	44,814					$	—					$	44,814
United States sponsored mortgage-backed securities						—						56,571						—						56,571
United States treasury securities						—						120,909						—						120,909
Municipal securities						—						103,293						35,343						138,636
Corporate debt securities						—						10,560						—						10,560
Other securities						—						824						—						824
Equity securities						5,382						—						—						5,382
Interest rate swap						—						8,427						—						8,427
Bank-owned life insurance						—						43,239						—						43,239
Embedded derivative						—						—						787						787
Liabilities:
Interest rate swap						—						8,427						—						8,427
Fair value hedge						—						572						—						572

Non-recurring

Fair value of assets and liabilities

Financial Assets and Liabilities Measured at Fair Value

The following table presents the fair value of these assets as of the periods shown:

						June 30, 2023
(Dollars in thousands)						Level I						Level II						Level III						Total
Collateral-dependent loans						$	—					$	—					$	6,146					$	6,146
Other real estate owned						—						—						947						947
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						36,245						36,245

						December 31, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Impaired loans						$	—					$	—					$	14,117					$	14,117
Other real estate owned						—						—						1,194						1,194
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						33,362						33,362

X

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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