Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair value of assets and liabilities

The following table represents recurring Level III assets as of the periods indicated:


(Dollars in thousands)	Interest Rate Lock Commitments		Municipal Securities		Total
Balance at June 30, 2021	$	—	$	39,770	$	39,770
Realized and unrealized gains included in earnings	—		5		5
Purchase of securities	—		1,757		1,757
Maturities/calls	—		(74)		(74)
Unrealized gain included in other comprehensive income (loss)	—		3,300		3,300
Unrealized loss included in other comprehensive income (loss)	—		(3,344)		(3,344)
Balance at September 30, 2021	$	—	$	41,414	$	41,414

Balance at December 31, 2020	$	—	$	43,679	$	43,679
Realized and unrealized gains included in earnings	—		25		25
Purchase of securities	—		3,575		3,575
Maturities/calls	—		(5,248)		(5,248)
Unrealized gain included in other comprehensive income (loss)	—		7,720		7,720
Unrealized loss included in other comprehensive income (loss)	—		(8,337)		(8,337)
Balance at September 30, 2021	$	—	$	41,414	$	41,414

Balance at June 30, 2020	$	7,338	$	40,457	$	47,795
Realized and unrealized losses included in earnings	(7,338)		—		(7,338)
Purchase of securities	—		368		368
Maturities/calls	—		(61)		(61)
Unrealized gain included in other comprehensive income (loss)	—		1,810		1,810
Unrealized loss included in other comprehensive income (loss)	—		(466)		(466)
Balance at September 30, 2020	$	—	$	42,108	$	42,108

Balance at December 31, 2019	$	1,660	$	37,259	$	38,919
Realized and unrealized gains included in earnings	(1,660)		3		(1,657)
Purchase of securities	—		21,147		21,147
Maturities/calls	—		(15,574)		(15,574)
Unrealized gain included in other comprehensive income (loss)	—		5,872		5,872
Unrealized loss included in other comprehensive income (loss)	—		(6,599)		(6,599)
Balance at September 30, 2020	$	—	$	42,108	$	42,108

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 indicated:

Quantitative Information about Level III Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

September 30, 2021

Nonrecurring measurements:

Impaired loans

15,114

Appraisal of collateral 1

Appraisal adjustments 2

20% - 62%

Liquidation expense 2

5% - 10%

Other real estate owned

3,442

Appraisal of collateral 1

Appraisal adjustments 2

20% - 30%

Liquidation expense 2

5% - 10%

Recurring measurements:

Municipal securities 5

41,414

Appraisal of bond 3

Bond appraisal adjustment 4

5% - 15%

December 31, 2020

Nonrecurring measurements:

Impaired loans

14,098

Appraisal of collateral 1

Appraisal adjustments 2

20% - 62%

Liquidation expense 2

5% - 10%

Other real estate owned

5,730

Appraisal of collateral 1

Appraisal adjustments 2

20% - 30%

Liquidation expense 2

5% - 10%

Recurring measurements:

Municipal securities 5

43,679

Appraisal of bond 3

Bond appraisal adjustment 4

5% - 15%

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.

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 indicated by level within the fair value hierarchy:


	September 30, 2021
(Dollars in thousands)	Level I		Level II		Level III		Total
Assets:
United States government agency securities	$	—	$	41,971	$	—	$	41,971
United States sponsored mortgage-backed securities	—		85,271		—		85,271
United States treasury securities	82,422		—		—		82,422
Municipal securities	—		166,009		41,414		207,423

Other securities	—		14,436		—		14,436
Equity securities	729		—		—		729

Interest rate swap	—		8,444		—		8,444
Fair value hedge	—		1,699		—		1,699
Liabilities:
Interest rate swap	—		8,444		—		8,444
Fair value hedge	—		1,129		—		1,129


	December 31, 2020
(Dollars in thousands)	Level I		Level II		Level III		Total
Assets:
United States government agency securities	$	—	$	56,992	$	—	$	56,992
United States sponsored mortgage-backed securities	—		95,769		—		95,769
Municipal securities	—		188,208		43,679		231,887

Other securities	—		18,476		—		18,476
Equity securities	472		—		—		472
Loans held-for-sale	—		1,062		—		1,062

Interest rate swap	—		13,822		—		13,822
Fair value hedge	—		2,215		—		2,215

Liabilities:
Interest rate swap	—		13,822		—		13,822
Fair value hedge	—		2,141		—		2,141

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 indicated:


	September 30, 2021
(Dollars in thousands)	Level I		Level II		Level III		Total
Impaired loans	$	—	$	—	$	15,114	$	15,114
Other real estate owned	—		—		3,442		3,442


	December 31, 2020
(Dollars in thousands)	Level I		Level II		Level III		Total
Impaired loans	$	—	$	—	$	14,098	$	14,098
Other real estate owned	—		—		5,730		5,730