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Mortgage Servicing Rights (Tables)
 6 Months Ended
Jun. 30, 2023
Transfers and Servicing of Financial Assets [Abstract]  
Summary of Carrying Value Under the Fair Value Measurement Method

For the three and six months ended June 30, 2023, and June 30, 2022, the change in the carrying value of the Company’s mortgage servicing rights accounted for under the fair value measurement method was as follows:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

(dollars in thousands)

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Balance at Beginning of Period

 

$

707

 

 

$

781

 

 

$

717

 

 

$

800

 

Change in Fair Value Due to Payoffs

 

 

(12

)

 

 

(34

)

 

 

(22

)

 

 

(53

)

Balance at End of Period

 

$

695

 

 

$

747

 

 

$

695

 

 

$

747

 
Summary of Carrying Value Under the Amortization Method

For the three months and six months ended June 30, 2023, and June 30, 2022, the change in the carrying value of the Company’s mortgage servicing rights accounted for under the amortization method was as follows:

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

(dollars in thousands)

 

2023

 

 

2022

 

 

2023

 

 

2022

 

Balance at Beginning of Period

 

$

21,395

 

 

$

23,187

 

 

$

21,902

 

 

$

21,451

 

Servicing Rights that Resulted From Asset Transfers

 

 

110

 

 

 

205

 

 

 

176

 

 

 

956

 

Amortization

 

 

(574

)

 

 

(599

)

 

 

(1,147

)

 

 

(1,443

)

Valuation Allowance Recovery (Provision)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,829

 

Balance at End of Period

 

$

20,931

 

 

$

22,793

 

 

$

20,931

 

 

$

22,793

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Allowance:

 

 

 

 

 

 

 

 

 

 

 

 

Balance at Beginning of Period

 

$

—

 

 

$

—

 

 

$

—

 

 

$

(1,829

)

Valuation Allowance Recovery (Provision)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

1,829

 

Balance at End of Period

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Fair Value of Mortgage Servicing Rights Accounted for
   Under the Amortization Method

 

 

 

 

 

 

 

 

 

 

 

 

Beginning of Period

 

$

26,456

 

 

$

26,088

 

 

$

27,323

 

 

$

21,451

 

End of Period

 

$

26,327

 

 

$

28,314

 

 

$

26,327

 

 

$

28,314

 
Schedule of Key Data and Assumptions Used in Estimating the Fair Value

The key data and assumptions used in estimating the fair value of the Company’s mortgage servicing rights as of June 30, 2023, and December 31, 2022, were as follows:

 

 

June 30,
2023

 

 

December 31,
2022

 

Weighted-Average Constant Prepayment Rate 1

 

 

3.93

%

 

 

4.02

%

Weighted-Average Life (in years)

 

 

9.61

 

 

 

9.64

 

Weighted-Average Note Rate

 

 

3.62

%

 

 

3.60

%

Weighted-Average Discount Rate 2

 

 

9.71

%

 

 

9.93

%

 

1.
Represents annualized loan prepayment rate assumption.
2.
Derived from multiple interest rate scenarios that incorporate a spread to a market yield curve and market volatilities.
Schedule of Sensitivity Analysis of the Fair Value

A sensitivity analysis of the Company’s fair value of mortgage servicing rights to changes in certain key assumptions as of June 30, 2023, and December 31, 2022, is presented in the following table.

(dollars in thousands)

 

June 30,
2023

 

 

December 31,
2022

 

Constant Prepayment Rate

 

 

 

 

 

 

Decrease in fair value from 25 basis points (“bps”) adverse change

 

$

(335

)

 

$

(346

)

Decrease in fair value from 50 bps adverse change

 

 

(663

)

 

 

(686

)

Discount Rate

 

 

 

 

 

 

Decrease in fair value from 25 bps adverse change

 

 

(306

)

 

 

(316

)

Decrease in fair value from 50 bps adverse change

 

 

(606

)

 

 

(626

)