Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

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
September 30, 2023
MSRs (1)	$	5,890	Market Approach	Weighted average prepayment speed (PSA) (2)	108
IRLCs - net asset	$	39	Market Approach	Range of pull through rate	84% - 100%
				Average pull through rate	98%

(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range
December 31, 2022
MSRs (1)	$	5,275	Market Approach	Weighted average prepayment speed (PSA) (2)	121
IRLCs - net asset	$	28	Market Approach	Range of pull through rate	78% - 100%
				Average pull through rate	92%

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(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 nine months ended September 30, 2023.

(Dollars in thousands)	Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023
Beginning balance	$	5,466	$	5,275
Servicing rights resulting from sales of loans	390		620
Valuation adjustment	34		(5)
Ending balance	$	5,890	$	5,890

Schedule of Derivative Asset at Fair Value

The following table presents activity in the IRLCs for the three and nine months ended September 30, 2023.

(Dollars in thousands)	Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023
Beginning balance	$	32	$	28
Valuation adjustment	7		11
Ending balance	$	39	$	39

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 September 30, 2023 and December 31, 2022. No assets were transferred from one hierarchy level to another during the first nine months of 2023 or 2022.

(Dollars in thousands)	Fair Value		Quoted Prices (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
September 30, 2023
Assets:
Securities available for sale:
U.S. Government agencies	$	19,631	$	—	$	19,631	$	—
Mortgage-backed	53,573		—		53,573		—
Other debt securities	5,939		—		5,939		—
	79,143		—		79,143		—
Equity securities	5,434		—		5,434		—
TBA forward trades	359		—		359		—
Loans Held for Sale	14,725		—		14,725		—
Loans Held for Investment, at fair value	9,302		—		9,302		—
MSRs	5,890		—		—		5,890
IRLCs	89		—		—		89
Total assets at fair value	$	114,942	$	—	$	108,963	$	5,979
Liabilities:
IRLCs	$	50	$	—	$	—	$	50
TBA securities	—		—		—		—
Total liabilities at fair value	$	50	$	—	$	—	$	50

(Dollars in thousands)	Fair Value		Quoted Prices (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
December 31, 2022
Assets:
Securities available for sale:
U.S. Government agencies	$	18,178	$	—	$	18,178	$	—
Mortgage-backed	63,519		—		63,519		—
Other debt securities	1,890		—		1,890		—
	83,587		—		83,587		—
Equity securities	1,233		—		1,233		—
TBA forward trades	41		—		41		—
Loans Held for Sale	4,248		—		4,248		—
Loans Held for Investment, at fair value	8,437		—		8,437		—
MSRs	5,275		—		—		5,275
IRLCs	35		—		—		35
Total assets at fair value	$	102,856	$	—	$	97,546	$	5,310
Liabilities:
IRLCs	$	7	$	—	$	—	$	7
TBA securities	6		—		6		—
Total liabilities at fair value	$	13	$	—	$	6	$	7

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)
September 30, 2023
Nonrecurring measurements:
Individually evaluated collateral dependent loans	$	619	Appraisal of collateral	Liquidation expense	10%	10%
Other real estate owned	$	179	Appraisal of collateral	Appraisal adjustments	(0%) - (20%)	(0%)

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average (1)
December 31, 2022
Nonrecurring measurements:
Other real estate owned	$	197	Appraisal of collateral	Appraisal adjustments	(0%) - 20%	(2%)

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