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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value Assets and Liabilities Measured on Nonrecurring Basis Valuation Techniques

Fair value is adjusted for the estimated probability of the loan closing with the borrower (Level 3).

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

June 30, 2024

MSRs (1)

$

5,995

Market Approach

Weighted average prepayment speed (PSA) (2)

136

IRLCs - net asset

$

208

Market Approach

Range of pull through rate

77% - 100%

Average pull through rate

96%

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

December 31, 2023

MSRs (1)

$

5,926

Market Approach

Weighted average prepayment speed (PSA) (2)

129

IRLCs - net asset

$

110

Market Approach

Range of pull through rate

78% - 100%

Average pull through rate

98%

____________________________________

(1)The weighted average was calculated with reference to the principal balance of the underlying mortgages.

(2)PSA = Public Securities Association Standard Prepayment Model

Schedule of Servicing Asset at Fair Value

The following table presents activity in MSRs for the three and six months ended June 30, 2024.

(Dollars in thousands)						Three Months Ended June 30, 2024						Six Months Ended June 30, 2024
Beginning balance						$	5,821					$	5,926
Servicing rights resulting from sales of loans						80						198
Valuation adjustment						94						(129)
Ending balance						$	5,995					$	5,995

Schedule of Derivative Asset at Fair Value

The following table presents activity in the IRLCs - net asset for the three and six months ended June 30, 2024.

(Dollars in thousands)						Three Months Ended June 30, 2024						Six Months Ended June 30, 2024
Beginning balance						$	232					$	110
Valuation adjustment						(24)						98
Ending balance						$	208					$	208

Schedule of Fair Value of Assets and Liabilities Measured on Recurring Basis

The following tables present the recorded amount of assets measured at fair value on a recurring basis at June 30, 2024 and December 31, 2023. No assets were transferred from one hierarchy level to another during the first six months of 2024 or 2023.

(Dollars in thousands)						Fair Value						Quoted Prices (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)
June 30, 2024
Assets:
Securities available for sale:
U.S. Government agencies						$	20,160					$	—					$	20,160					$	—
Mortgage-backed						105,473						—						105,473						—
Other debt securities						5,961						—						5,961						—
						131,594						—						131,594						—
Equity securities						5,699						—						5,699						—
TBA forward trades						85						—						85						—
Loans Held for Sale						27,829						—						27,829						—
Loans Held for Investment, at fair value						9,515						—						9,515						—
MSRs						5,995						—						—						5,995
IRLCs						208						—						—						208
Total assets at fair value						$	180,925					$	—					$	174,722					$	6,203
Liabilities:
TBA securities						7						—						7						—
Total liabilities at fair value						$	7					$	—					$	7					$	—

(Dollars in thousands)						Fair Value						Quoted Prices (Level 1)						Significant Other Observable Inputs (Level 2)						Significant Unobservable Inputs (Level 3)
December 31, 2023
Assets:
Securities available for sale:
U.S. Government agencies						$	20,475					$	—					$	20,475					$	—
Mortgage-backed						84,027						—						84,027						—
Other debt securities						6,019						—						6,019						—
						110,521						—						110,521						—
Equity securities						5,703						—						5,703						—
TBA forward trades						2						—						2						—
Loans Held for Sale						8,782						—						8,782						—
Loans Held for Investment, at fair value						9,944						—						9,944						—
MSRs						5,926						—						—						5,926
IRLCs						110						—						—						110
Total assets at fair value						$	140,988					$	—					$	134,952					$	6,036
Liabilities:
TBA securities						$	176					$	—					$	176					$	—
Total liabilities at fair value						$	176					$	—					$	176					$	—

Fair Value of Assets Measured on Nonrecurring Basis

Assets are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.

						Quantitative Information about Level 3 Fair Value Measurements
(Dollars in thousands)						Fair Value						Valuation Technique						Unobservable Input						Range						Weighted Average (1)
June 30, 2024
Nonrecurring measurements:
Individually evaluated collateral dependent loans						$	2,311					Appraisal of collateral(1)						Appraisal adjustment(2) Liquidation expense(2)						40% 10%						40% 10%
Other real estate owned						$	179					Appraisal of collateral(1)						Appraisal adjustment(2)						0% - 20%						0%
Repossessed properties						$	1,560					Appraisal of collateral(1)						Appraisal adjustment(2)						0% - 13%						13%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in thousands)

Fair Value

Valuation Technique

Unobservable Input

Range

Weighted Average

December 31, 2023

Nonrecurring measurements:

Individually evaluated collateral dependent loan

$

633

Appraisal of collateral(1)

Appraisal adjustment(2) Liquidation expense(2)

51% 10%

51% 10%

Other real estate owned

$

179

Appraisal of collateral(1)

Appraisal adjustment(2)

0% - 20%

0%

_________________________________

(1)Unobservable inputs were weighted by the relative fair value of the instruments.

(2)Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses. The range of liquidation expenses and other appraisal adjustments are presented as a percent of the appraisal.

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Tabular disclosure of activity in the balance of derivative assets.

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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).

+ 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
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique used to measure similar asset in prior period by class of asset or liability on non-recurring basis.

+ References

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

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 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
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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