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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2022						$	35,343					$	787					$	36,130
Realized and unrealized income (loss) included in earnings						47						(139)						(92)
Purchase of securities						246						—						246
Maturities/calls						(18,294)						—						(18,294)
Unrealized gain included in other comprehensive loss						903						—						903
Balance at December 31, 2023						$	18,245					$	648					$	18,893
Balance at December 31, 2021						$	41,763					$	—					$	41,763
Realized and unrealized gains included in earnings						9						—						9
Purchase of securities						1,048						—						1,048
Maturities/calls						(3,207)						—						(3,207)
Unrealized loss included in other comprehensive loss						(4,270)						—						(4,270)
Host contract executed						—						787						787
Balance at December 31, 2022						$	35,343					$	787					$	36,130

Schedule of Equity Securities without Readily Determinable Fair Value

The carrying amount of equity securities without a readily determinable fair value and amounts of unrealized gains and losses recognized in earnings as of December 31, 2023 and 2022 are included in the table below:

(Dollars in thousands)						Cumulative Adjustments						Annual Adjustments
December 31, 2023
Carrying value						$	37,496					$	37,496
Carrying value adjustments:
Upward changes for observable prices						18,038						671
Downward changes for observable prices						(2,014)						(250)
Net gain						$	16,024					$	421
December 31, 2022
Carrying value						$	33,362					$	33,362
Carrying value adjustments:
Upward changes for observable prices						17,367						203
Downward changes for observable prices						(1,764)						(1,652)
Net gain (loss)						$	15,603					$	(1,449)

Schedule of Quantitative Information About the Level III Significant Unobservable Inputs for Assets and Liabilities Measured at Fair Value

The following tables presents quantitative information about the Level III significant unobservable inputs for assets and liabilities measured at fair value at December 31, 2023 and 2022:

Quantitative Information about Level III Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

December 31, 2023

Nonrecurring measurements:

Collateral-dependent loans

$

2,891

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

6%

Other real estate owned

$

825

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

$

37,496

Net asset value

Cost, less impairment

0%

Recurring measurements:

Municipal securities 5

$

18,245

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%

Quantitative Information about Level III Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

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 which 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 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

Schedule of Financial Assets and Liabilities Measured at Fair Value

The following tables present the assets reported on the consolidated statements of financial condition at their fair value on a recurring basis as of December 31, 2023 and 2022 by level within the fair value hierarchy:

						December 31, 2023
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	38,408					$	—					$	38,408
United States sponsored mortgage-backed securities						—						82,382						—						82,382
United States treasury securities						—						100,356						—						100,356
Municipal securities						—						88,662						18,245						106,907
Corporate debt securities						—						8,942						—						8,942
Other securities						—						780						—						780
Equity securities						3,590						—						—						3,590
Loans held-for-sale						—						629						—						629
Interest rate swaps						—						6,249						—						6,249
Bank-owned life insurance						—						44,287						—						44,287
Embedded derivative						—						—						648						648
Liabilities:
Interest rate swaps						—						6,249						—						6,249
Fair value hedge						—						6,111						—						6,111

						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
Loans held-for-sale												24,898						—						24,898
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

Schedule of Financial Assets and Liabilities Measured at Fair Value

Assets measured at fair value on a nonrecurring basis as of December 31, 2023 and 2022 are included in the table below:

						December 31, 2023
(Dollars in thousands)						Level I						Level II						Level III						Total
Collateral-dependent loans						—						—						2,891						2,891
Other real estate owned						—						—						825						825
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						37,496						37,496

						December 31, 2022
(Dollars in thousands)						Level I						Level II						Level III						Total
Collateral-dependent 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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Tabular disclosure of investment in equity security without readily determinable fair value.

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