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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Schedule of 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, 2024
(Dollars in thousands)						Level I						Level II						Level III						Total
Assets:
United States government agency securities						$	—					$	41,034					$	—					$	41,034
United States sponsored mortgage-backed securities						—						97,907						—						97,907
United States treasury securities						—						101,327						—						101,327
Municipal securities						—						85,849						17,929						103,778
Corporate debt securities						—						8,951						—						8,951
Other securities						—						757						—						757
Equity securities						3,775						—						—						3,775
Interest rate swaps						—						7,428						—						7,428
Fair value hedge						—						405						—						405
Embedded derivative						—						—						648						648
Liabilities:
Interest rate swaps						—						7,428						—						7,428

						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

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

						June 30, 2024
(Dollars in thousands)						Level I						Level II						Level III						Total
Collateral-dependent loans						$	—					$	—					$	18,425					$	18,425
Other real estate owned						—						—						825						825
Other debt securities						—						—						7,500						7,500
Equity securities						—						—						37,486						37,486

						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

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, 2024						$	17,363					$	648					$	18,011
Realized and unrealized income included in earnings						4						—						4
Maturities/calls						(155)						—						(155)
Unrealized loss included in other comprehensive income (loss)						717						—						717
Balance at June 30, 2024						$	17,929					$	648					$	18,577
Balance at December 31, 2023						$	18,245					$	648					$	18,893
Realized and unrealized income (loss) included in earnings						5						—						5
Maturities/calls						(225)						—						(225)
Unrealized loss included in other comprehensive income (loss)						(96)						—						(96)
Balance at June 30, 2024						$	17,929					$	648					$	18,577
Balance at March 31, 2023						$	36,458					$	648					$	37,106
Realized and unrealized gain 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 loss included in earnings						1						(139)						(138)
Maturities/calls						(767)						—						(767)
Unrealized gain included in other comprehensive income (loss)						(159)						—						(159)
Balance at June 30, 2023						$	34,418					$	648					$	35,066

Schedule of 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, 2024
Nonrecurring measurements:
Collateral-dependent loans						$	18,425					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						$	37,486					Net asset value						Cost, less impairment						0%
Recurring measurements:
Municipal securities 5						$	17,929					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.

X

- Definition

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).

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
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- Definition

Tabular disclosure of assets measured at fair value measured on a recurring or nonrecurring basis. Includes, but is not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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-Topic 820
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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References

Reference 1: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 101
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-101

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