Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2026

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:


	March 31, 2026
(Dollars in thousands)	Level I		Level II		Level III		Total
Assets:
United States government agency securities	$	—	$	21,329	$	—	$	21,329
United States sponsored mortgage-backed securities	—		296,814		—		296,814

Municipal securities	—		37,545		17,612		55,157
Corporate debt securities	—		40,929		—		40,929
Other debt securities	—		—		7,500		7,500

Interest rate swaps	—		3,214		—		3,214

Embedded derivative	—		—		5,246		5,246
Liabilities:
Interest rate swaps	—		3,214		—		3,214
Fair value hedge	—		351		—		351


	December 31, 2025
(Dollars in thousands)	Level I		Level II		Level III		Total
Assets:
United States government agency securities	$	—	$	22,054	$	—	$	22,054
United States sponsored mortgage-backed securities	—		289,493		—		289,493
United States treasury securities	—		4,985		—		4,985
Municipal securities	—		38,358		18,101		56,459
Corporate debt securities	—		30,019		—		30,019

Interest rate swaps	—		2,625		—		2,625
Embedded derivative	—		—		5,246		5,246
Liabilities:
Interest rate swaps	—		2,625		—		2,625
Fair value hedge	—		1,001		—		1,001

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


	March 31, 2026
(Dollars in thousands)	Level I		Level II		Level III		Total
Collateral-dependent loans	$	—	$	—	$	28,790	$	28,790
Other real estate owned	—		—		580		580


	December 31, 2025
(Dollars in thousands)	Level I		Level II		Level III		Total
Collateral-dependent loans	$	—	$	—	$	25,053	$	25,053
Other real estate owned	—		—		580		580

Schedule of Recurring Level III Assets

The following table represents recurring Level III assets and liabilities as of the periods shown:


(Dollars in thousands)	Municipal Securities		Embedded Derivatives		Total
Balance at December 31, 2025	$	18,101	$	5,246	$	23,347


Maturities/calls	(75)		—		(75)
Unrealized loss included in other comprehensive income (loss)	(414)		—		(414)
Balance at March 31, 2026	$	17,612	$	5,246	$	22,858















Balance at December 31, 2024	$	17,993	$	648	$	18,641


Maturities/calls	(73)		—		(73)
Unrealized loss included in other comprehensive income (loss)	(258)		—		(258)
Balance at March 31, 2025	$	17,662	$	648	$	18,310

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

March 31, 2026

Nonrecurring measurements:

Collateral-dependent loans

28,790

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

Other real estate owned

580

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

Recurring measurements:

Municipal securities 3

17,612

Appraisal of bond 4

Bond appraisal adjustment 5

5% - 15%

Embedded derivatives

5,246

Monte Carlo pricing model

Deferred payment

$0 - $16.6 million

Volatility

35%

Term

1.75 years

Risk free rate

3.58%

December 31, 2025

Nonrecurring measurements:

Collateral-dependent loans

25,053

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

Other real estate owned

580

Appraisal of collateral 1

Appraisal adjustments 2

0% - 20%

Liquidation expense 2

Recurring measurements:

Municipal securities 3

18,101

Appraisal of bond 4

Bond appraisal adjustment 5

5% - 15%

Embedded derivatives

5,246

Monte Carlo pricing model

Deferred payment

$0 - $16.6 million

Volatility

35%

Term

2 years

Risk free rate

3.58%

1 Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level III inputs that are not observable.

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 undiscounted appraisal value.

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.

- 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 + Details

MVB FINANCIAL CORP 10-Q