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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

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 December 31, 2023						$	18,245					$	648					$	18,893
Realized and unrealized income included in earnings						1						—						1
Purchase of securities						—						—						—
Maturities/calls						(70)						—						(70)
Unrealized loss included in other comprehensive income (loss)						(813)						—						(813)
Balance at March 31, 2024						$	17,363					$	648					$	18,011
Balance at December 31, 2022						$	35,343					$	787					$	36,130
Realized loss included in earnings						—						(139)						(139)
Maturities/calls						(67)						—						(67)
Unrealized gain included in other comprehensive income (loss)						1,182						—						1,182
Balance at March 31, 2023						$	36,458					$	648					$	37,106

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
March 31, 2024
Nonrecurring measurements:
Collateral-dependent loans						$	18,546					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						$	37,237					Net asset value						Cost, less impairment						0%
Recurring measurements:
Municipal securities 5						$	17,363					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, 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%

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:

						March 31, 2024
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	39,388					$	—					$	39,388
United States sponsored mortgage-backed securities						—						88,017						—						88,017
United States treasury securities						—						100,563						—						100,563
Municipal securities						—						87,128						17,363						104,491
Corporate debt securities						—						8,948						—						8,948
Other securities						—						771						—						771
Equity securities						3,800						—						—						3,800
Loans held-for-sale						—						—						—						—
Interest rate swaps						—						7,784						—						7,784
Embedded derivative						—						—						648						648
Liabilities:
Interest rate swaps						—						7,784						—						7,784
Fair value hedge						—						729						—						729

						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
Embedded derivative						—						—						648						648
Liabilities:
Interest rate swaps						—						6,249						—						6,249
Fair value hedge						—						6,111						—						6,111

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:

						March 31, 2024
(Dollars in thousands)						Level I						Level II						Level III						Total
Collateral-dependent loans						$	—					$	—					$	18,546					$	18,546
Other real estate owned						—						—						825						825
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						37,237						37,237

						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

X

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Line items represent financial concepts included in a table. These concepts are used to disclose reportable information associated with domain members defined in one or many axes to the table.

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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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