Fair Value Measurements (Tables)

9 Months Ended

Sep. 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).

($ in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range
September 30, 2024
MSRs (1)	$	5,309	Market Approach	Weighted average prepayment speed (PSA) (2)	220
IRLCs - net asset	$	219	Market Approach	Range of pull through rate	78% - 100%
				Average pull through rate	97%

($ 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%

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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, 2024.

($ in thousands)	Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024
Beginning balance	$	5,995	$	5,926
Servicing rights resulting from sales of loans	55		253
Valuation adjustment	(741)		(870)
Ending balance	$	5,309	$	5,309

Schedule of Derivative Asset at Fair Value

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

($ in thousands)	Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024
Beginning balance	$	208	$	110
Valuation adjustment	11		109
Ending balance	$	219	$	219

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, 2024 and December 31, 2023. No assets were transferred from one hierarchy level to another during the first nine months of 2024 or 2023.

($ in thousands)	Fair Value		Quoted Prices (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
September 30, 2024
Assets:
Securities available for sale:
U.S. Government agencies	$	20,690	$	—	$	20,690	$	—
Mortgage-backed	106,221		—		106,221		—
Other debt securities	6,428		—		6,428		—
	133,339		—		133,339		—
Equity securities	5,950		—		5,950		—
TBA forward trades	46		—		46		—
Loans Held for Sale	26,877		—		26,877		—
Loans Held for Investment, at fair value	10,023		—		10,023		—
MSRs	5,309		—		—		5,309
IRLCs	219		—		—		219
Total assets at fair value	$	181,763	$	—	$	176,235	$	5,528
Liabilities:
TBA securities	37		—		37		—
Total liabilities at fair value	$	37	$	—	$	37	$	—

($ 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
($ in thousands)	Fair Value		Valuation Technique	Unobservable Input	Range	Weighted Average (1)
September 30, 2024
Nonrecurring measurements:
Individually evaluated collateral dependent loans	$	2,983	Appraisal of collateral(1)	Appraisal adjustment(2) Liquidation expense(2)	19% - 100% 10%	64% 10%
Other real estate owned	$	179	Appraisal of collateral(1)	Appraisal adjustment(2)	N/A	0%
Repossessed assets	$	306	Appraisal of collateral(1)	Appraisal adjustment(2)	N/A	36%

	Quantitative Information about Level 3 Fair Value Measurements
($ 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%	0%

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(1)Unobservable inputs were weighted by the relative fair value of the instruments. No range is presented only when one instrument was available

(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.