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v3.23.3

Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair value of assets and liabilities |
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 June 30, 2023 |  | $ | 34,418 |  |  | $ | 648 |  |  | $ | 35,066 |
Realized and unrealized income included in earnings |  | 45 |  |  | — |  |  | 45 |
Purchase of securities |  | 250 |  |  | — |  |  | 250 |
Maturities/calls |  | (17,389) |  |  | — |  |  | (17,389) |
Unrealized loss included in other comprehensive income (loss) |  | (184) |  |  | — |  |  | (184) |
Balance at September 30, 2023 |  | $ | 17,140 |  |  | $ | 648 |  |  | $ | 17,788 |
Balance at December 31, 2022 |  | $ | 35,343 |  |  | $ | 787 |  |  | $ | 36,130 |
Realized and unrealized income (loss) included in earnings |  | 46 |  |  | (139) |  |  | (93) |
Purchase of securities |  | 250 |  |  | — |  |  | 250 |
Maturities/calls |  | (18,156) |  |  | — |  |  | (18,156) |
Unrealized loss included in other comprehensive income (loss) |  | (343) |  |  | — |  |  | (343) |
Balance at September 30, 2023 |  | $ | 17,140 |  |  | $ | 648 |  |  | $ | 17,788 |
Balance at June 30, 2022 |  | $ | 37,035 |  |  | $ | — |  |  | $ | 37,035 |
Realized and unrealized gain included in earnings |  | — |  |  | — |  |  | — |
Purchase of securities |  | — |  |  | — |  |  | — |
Maturities/calls |  | (66) |  |  | — |  |  | (66) |
Unrealized loss included in other comprehensive income (loss) |  | (1,840) |  |  | — |  |  | (1,840) |
Balance at September 30, 2022 |  | $ | 35,129 |  |  | $ | — |  |  | $ | 35,129 |
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 |  | (3,141) |  |  | — |  |  | (3,141) |
Unrealized loss included in other comprehensive income |  | (4,550) |  |  | — |  |  | (4,550) |
Balance at September 30, 2022 |  | $ | 35,129 |  |  | $ | — |  |  | $ | 35,129 |
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
September 30, 2023 |  |  |  |  |  |  |  |
Nonrecurring measurements: |  |  |  |  |  |  |  |
Collateral-dependent loans |  | $ | 3,113 |  |  | Appraisal of collateral 1 |  | Appraisal adjustments 2 |  | 0% - 20%
|  |  |  |  |  | Liquidation expense 2 |  | 6%
Other real estate owned |  | $ | 906 |  |  | 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 |  | $ | 36,188 |  |  | Net asset value |  | Cost, less impairment |  | 0%
Recurring measurements: |  |  |  |  |  |  |  |
Municipal securities 5 |  | $ | 17,140 |  |  | 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.
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:
|  | September 30, 2023
(Dollars in thousands) |  | Level I |  | Level II |  | Level III |  | Total
Assets: |  |  |  |  |  |  |  |
United States government agency securities |  | $ | — |  |  | $ | 37,140 |  |  | $ | — |  |  | $ | 37,140 |
United States sponsored mortgage-backed securities |  | — |  |  | 60,481 |  |  | — |  |  | 60,481 |
United States treasury securities |  | 98,100 |  |  | — |  |  | — |  |  | 98,100 |
Municipal securities |  | — |  |  | 81,484 |  |  | 17,140 |  |  | 98,624 |
Corporate debt securities |  | — |  |  | 8,901 |  |  | — |  |  | 8,901 |
Other securities |  | — |  |  | 791 |  |  | — |  |  | 791 |
Equity securities |  | 4,647 |  |  | — |  |  | — |  |  | 4,647 |
Loans held-for-sale |  | — |  |  | 7,603 |  |  | — |  |  | 7,603 |
Interest rate swaps |  | — |  |  | 12,974 |  |  | — |  |  | 12,974 |
Fair value hedge |  | — |  |  | 204 |  |  | — |  |  | 204 |
Bank-owned life insurance |  | — |  |  | 44,109 |  |  | — |  |  | 44,109 |
Embedded derivative |  | — |  |  | — |  |  | 648 |  |  | 648 |
Liabilities: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  |  | 10,609 |  |  | — |  |  | 10,609 |
|  | 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 swaps |  | — |  |  | 8,427 |  |  | — |  |  | 8,427 |
Bank-owned life insurance |  | — |  |  | 43,239 |  |  | — |  |  | 43,239 |
Embedded derivative |  | — |  |  | — |  |  | 787 |  |  | 787 |
Liabilities: |  |  |  |  |  |  |  |
Interest rate swaps |  | — |  |  | 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:
|  | September 30, 2023
(Dollars in thousands) |  | Level I |  | Level II |  | Level III |  | Total
Collateral-dependent loans |  | $ | — |  |  | $ | — |  |  | $ | 3,113 |  |  | $ | 3,113 |
Other real estate owned |  | — |  |  | — |  |  | 906 |  |  | 906 |
Other debt securities |  | — |  |  | — |  |  | 7,500 |  |  | 7,500 |
Equity securities |  | — |  |  | — |  |  | 36,188 |  |  | 36,188 |
|  | 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 |

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