Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2018

Summary of significant assets and liabilities carried at fair value and placement in the fair value hierarchy

	June 30, 2018
(Dollars in thousands)	(Level 1)		(Level 2)		(Level 3)
Assets measured on a recurring basis:
Derivative loan commitments hedged with best efforts	$	—	$	—	$	219
Derivative loan commitments hedged with TBAs	—		—		345
Liabilities measured on a non-recurring basis:
Forward loan sale commitments:
Best efforts contracts hedging loans held for sale	—		—		36
Best efforts contracts hedging commitments	—		—		21
Mandatory delivery contracts	—		4		—
TBA securities	—		68		—
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	—		—		346

	December 31, 2017
(Dollars in thousands)	(Level 1)		(Level 2)		(Level 3)
Assets measured on a recurring basis:
Derivative loan commitments hedged with best efforts	$	—	$	—	$	32
Derivative loan commitments hedged with TBAs	—		—		179
Forward loan sale commitments:
Best efforts contracts hedging loans held for sale	—		—		7
Best efforts contracts hedging commitments	—		—		18
Mandatory delivery contracts	—		10		—
Liabilities measured on a non-recurring basis:
Forward loan sale commitments:
TBA securities	—		20		—
Assets measured on a non-recurring basis:
Impaired loans	—		—		178
Foreclosed real estate	—		—		4,223

Schedule of changes in Level 3 assets and liabilities measured on a recurring basis

	Derivative Loan Commitments and Forward Loan Sale Commitments
	Three months ended June 30,
(Dollars in thousands)	2018			2017

Balance at beginning of period	$	358		$	635
Gains on new commitments during the period	507			501
Gain (losses) arising during the period	(2		)	(17		)
Reclassifications of realized gains (losses) on settled commitments	(356		)	(629		)

Balance at end of period	$	507		$	490

	Derivative Loan Commitments and Forward Loan Sale Commitments
	Six months ended June 30,
(Dollars in thousands)	2018			2017

Balance at beginning of period	$	236		$	518
Gains on new commitments during the period	507			490
Gain (losses) arising during the period	—			(12		)
Reclassifications of realized gains (losses) on settled commitments	(236		)	(506		)

Balance at end of period	$	507		$	490

Schedule of significant unobservable inputs used in the fair value measurements of Level 3 assets and liabilities

June 30, 2018

(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Assets measured on a recurring basis:
Derivative loan commitments	$	564	Investor pricing	Pull-through rate	74.8% - 100%
Liabilities measured on a recurring basis:
Best efforts contracts — hedging commitments:	36		Investor pricing	Pull-through rate	82.5% - 100%
Best efforts contracts — hedging loans held for sale	21		Investor pricing	Pull-through rate	82.5% - 100%
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	346		Discounted appraisals	Collateral discounts	5 – 30%

December 31, 2017

(Dollars in thousands)	Fair Value		Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Assets measured on a recurring basis:
Derivative commitments	$	211	Investor pricing	Pull-through rate	74.2% - 100%
Forward loan sale commitments:
Best efforts contracts — hedging commitments	7		Investor pricing	Pull-through rate	82.5% - 100%
Best efforts contracts — hedging loans held for sale	18		Investor pricing	Pull-through rate	82.5% - 100%
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	178		Discounted appraisals	Collateral discounts	5 – 30%
Foreclosed real estate	4,223		Discounted appraisals	Collateral discounts	10 – 43%

Summary of carrying values, estimated fair values and placement in the fair value hierarchy of the Bank's financial instruments

	June 30, 2018 (unaudited)				Fair value measurement
(Dollars in thousands)	Carrying Amount		Fair Value		Level 1 inputs		Level 2 Inputs		Level 3 Inputs
Financial assets:
Cash and cash equivalents	$	50,084	$	50,084	$	50,084	$	—	$	—
Loans, net	708,755		699,940		—		—		699,940
Loans held for sale	16,238		16,238		—		16,238		—
FHLB stock	11,368		N/A		N/A		N/A		N/A
Accrued interest receivable	2,267		2,267		—		—		2,267
Financial liabilities:
Non-certificate accounts	338,898		338,898		338,898		—		—
Certificate accounts	163,046		162,568		—		162,568		—
Borrowed funds	250,950		250,765		—		250,765		—
Accounts interest payable	81		81		—		81		—

	December 31, 2017				Fair value measurement
(Dollars in thousands)	Carrying Amount		Fair Value		Level 1 inputs		Level 2 Inputs		Level 3 Inputs
Financial assets:
Cash and cash equivalents	$	54,569	$	54,569	$	54,569	$	—	$	—
Loans, net	614,593		616,649		—		—		616,649
Loans held for sale	11,077		11,077		—		11,077		—
FHLB stock	8,299		N/A		N/A		N/A		N/A
Accrued interest receivable	1,962		1,962		—		—		1,962
Financial liabilities:
Non-certificate accounts	313,636		313,636		313,636		—		—
Certificate accounts	163,320		163,252		—		163,252		—
Borrowed funds	181,675		181,494		—		181,494		—
Accrued interest payable	118		118		—		118		—

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

Coastway Bancorp, Inc. 10-Q