Fair Value Measurements (Tables)

9 Months Ended

Sep. 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:

	September 30, 2024
(Dollars in thousands)	Level I		Level II		Level III		Total
Assets:
United States government agency securities	$	—	$	41,637	$	—	$	41,637
United States sponsored mortgage-backed securities	—		107,278		—		107,278
United States treasury securities	—		103,241		—		103,241
Municipal securities	—		87,100		18,872		105,972
Corporate debt securities	—		8,451		—		8,451
Other securities	—		749		—		749
Equity securities	4,273		—		—		4,273
Interest rate swaps	—		3,891		—		3,891
Embedded derivative	—		—		648		648
Liabilities:
Interest rate swaps	—		3,891		—		3,891
Fair value hedge	—		6,617		—		6,617

	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:

	September 30, 2024
(Dollars in thousands)	Level I		Level II		Level III		Total
Collateral-dependent loans	$	—	$	—	$	21,537	$	21,537
Other real estate owned	—		—		825		825

	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

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 June 30, 2024	$	17,929	$	648	$	18,577
Maturities/calls	(72)		—		(72)
Unrealized gain included in other comprehensive income (loss)	1,015		—		1,015
Balance at September 30, 2024	$	18,872	$	648	$	19,520
Balance at December 31, 2023	$	18,245	$	648	$	18,893
Realized and unrealized income included in earnings	5		—		5
Maturities/calls	(297)		—		(297)
Unrealized gain included in other comprehensive income (loss)	919		—		919
Balance at September 30, 2024	$	18,872	$	648	$	19,520
Balance at Balance at June 30, 2023	$	34,418	$	648	$	35,066
Realized and unrealized gains 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 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

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
September 30, 2024
Nonrecurring measurements:
Collateral-dependent loans	$	21,537	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%
Recurring measurements:
Municipal securities 3	$	18,872	Appraisal of bond 4	Bond appraisal adjustment 5	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%
Recurring measurements:
Municipal securities 3	$	18,245	Appraisal of bond 4	Bond appraisal adjustment 5	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 Municipal securities classified as Level III instruments are comprised of TIF bonds related to certain local municipal securities.

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

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