Fair Value Option and Fair Value Measurements (Tables)
|
3 Months Ended |
Mar. 31, 2013
|
Fair Value Option and Fair Value Measurements |
|
Schedule of balance of assets and liabilities which are measured at fair value on a recurring basis |
|
|
March 31, 2013 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets: |
|
|
|
|
|
|
|
|
Securities available-for-sale |
|
|
|
|
|
|
|
|
U.S. Treasury |
|
$ |
1,502 |
|
$ |
- |
|
$ |
- |
|
$ |
1,502 |
U.S. government agencies |
|
- |
|
69,265 |
|
- |
|
69,265 |
U.S. government agency mortgage-backed |
|
- |
|
76,352 |
|
- |
|
76,352 |
States and political subdivisions |
|
- |
|
26,883 |
|
132 |
|
27,015 |
Corporate Bonds |
|
- |
|
38,579 |
|
- |
|
38,579 |
Collateralized mortgage obligations |
|
- |
|
131,669 |
|
- |
|
131,669 |
Asset-backed securities |
|
|
|
114,709 |
|
106,028 |
|
220,737 |
Collateralized debt obligations |
|
- |
|
- |
|
10,627 |
|
10,627 |
Loans held-for-sale |
|
- |
|
6,381 |
|
- |
|
6,381 |
Mortgage servicing rights |
|
- |
|
- |
|
4,469 |
|
4,469 |
Other assets (Interest rate swap agreements |
|
|
|
|
|
|
|
|
net of swap credit valuation) |
|
- |
|
1,197 |
|
(33) |
|
1,164 |
Other assets (Forward MBS) |
|
- |
|
492 |
|
- |
|
492 |
Total |
|
$ |
1,502 |
|
$ |
465,527 |
|
$ |
121,223 |
|
$ |
588,252 |
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
Other liabilities (Interest rate swap agreements) |
|
$ |
- |
|
$ |
1,197 |
|
$ |
- |
|
$ |
1,197 |
Other liabilities (Interest rate lock commitments to borrowers) |
|
- |
|
- |
|
- |
|
- |
Total |
|
$ |
- |
|
$ |
1,197 |
|
$ |
- |
|
$ |
1,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets: |
|
|
|
|
|
|
|
|
Securities available-for-sale |
|
|
|
|
|
|
|
|
U.S. Treasury |
|
$ |
1,507 |
|
$ |
- |
|
$ |
- |
|
$ |
1,507 |
U.S. government agencies |
|
- |
|
49,850 |
|
- |
|
49,850 |
U.S. government agency mortgage-backed |
|
- |
|
128,738 |
|
- |
|
128,738 |
States and political subdivisions |
|
- |
|
15,723 |
|
132 |
|
15,855 |
Corporate Bonds |
|
- |
|
36,886 |
|
- |
|
36,886 |
Collateralized mortgage obligations |
|
- |
|
169,600 |
|
- |
|
169,600 |
Asset-backed securities |
|
|
|
167,493 |
|
- |
|
167,493 |
Collateralized debt obligations |
|
- |
|
- |
|
9,957 |
|
9,957 |
Loans held-for-sale |
|
- |
|
9,571 |
|
- |
|
9,571 |
Mortgage servicing rights |
|
- |
|
- |
|
4,116 |
|
4,116 |
Other assets (Interest rate swap agreements |
|
|
|
|
|
|
|
|
net of swap credit valuation) |
|
- |
|
1,349 |
|
(47) |
|
1,302 |
Other assets (Forward MBS) |
|
- |
|
567 |
|
- |
|
567 |
Total |
|
$ |
1,507 |
|
$ |
579,777 |
|
$ |
14,158 |
|
$ |
595,442 |
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
Other liabilities (Interest rate swap agreements) |
|
$ |
- |
|
$ |
1,349 |
|
$ |
- |
|
$ |
1,349 |
Other liabilities (Interest rate lock commitments to borrowers) |
|
- |
|
5 |
|
- |
|
5 |
Total |
|
$ |
- |
|
$ |
1,354 |
|
$ |
- |
|
$ |
1,354 |
|
Schedule of changes in Level 3 assets and liabilities measured at fair value on a recurring basis |
|
|
Three months ended March 31, 2013 |
|
|
Securities available-for-sale |
|
|
|
|
|
|
Collateralized
Debt Obligations |
|
Asset-Backed |
|
States and
Political
Subdivisons |
|
Mortgage
Servicing
Rights |
|
Interest Rate
Swap
Valuation |
|
Beginning balance January 1, 2013 |
|
$ |
9,957 |
|
$ |
- |
|
$ |
132 |
|
$ |
4,116 |
|
$ |
(47) |
|
Transfers into Level 3 |
|
- |
|
106,028 |
|
- |
|
- |
|
- |
|
Total gains or losses |
|
|
|
|
|
|
|
|
|
|
|
Included in earnings (or changes in net assets) |
|
42 |
|
- |
|
- |
|
(106) |
|
14 |
|
Included in other comprehensive income |
|
692 |
|
- |
|
- |
|
- |
|
- |
|
Purchases, issuances, sales, and settlements |
|
|
|
|
|
|
|
|
|
|
|
Issuances |
|
- |
|
- |
|
- |
|
459 |
|
- |
|
Settlements |
|
(64) |
|
- |
|
- |
|
- |
|
- |
|
Ending balance March 31, 2013 |
|
$ |
10,627 |
|
$ |
106,028 |
|
$ |
132 |
|
$ |
4,469 |
|
$ |
(33) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended March 31, 2012 |
|
|
Securities available-for-sale |
|
|
|
|
|
|
|
|
|
Collateralized
Debt Obligations |
|
States and
Political
Subdivisons |
|
Mortgage
Servicing
Rights |
|
Interest Rate
Swap
Valuation |
|
|
|
Beginning balance January 1, 2012 |
|
$ |
9,974 |
|
$ |
138 |
|
$ |
3,487 |
|
$ |
(80) |
|
|
|
Transfers into Level 3 |
|
- |
|
- |
|
- |
|
- |
|
|
|
Transfers out of Level 3 |
|
- |
|
- |
|
- |
|
- |
|
|
|
Total gains or losses |
|
|
|
|
|
|
|
|
|
|
|
Included in earnings (or changes in net assets) |
|
38 |
|
- |
|
(123) |
|
2 |
|
|
|
Included in other comprehensive income |
|
(283) |
|
- |
|
- |
|
- |
|
|
|
Purchases, issuances, sales, and settlements |
|
|
|
|
|
|
|
|
|
|
|
Issuances |
|
- |
|
- |
|
442 |
|
- |
|
|
|
Settlements |
|
(27) |
|
- |
|
- |
|
- |
|
|
|
Ending balance March 31, 2012 |
|
$ |
9,702 |
|
$ |
138 |
|
$ |
3,806 |
|
$ |
(78) |
|
Schedule of quantitative information about level 3 fair value measurements |
The following table and commentary presents quantitative (dollars in thousands) and qualitative information about Level 3 fair value measurements as of March 31, 2013:
Measured at fair value
on a recurring basis: |
|
Fair Value |
|
Valuation Methodology |
|
Unobservable Inputs |
|
Range of Input |
|
Weighted
Average
of Inputs |
Collateralized Debt Obligations |
|
$ 10,627 |
|
Discounted Cash Flow |
|
Discount Rate |
|
Libor
+ 5.75-6.75% |
|
6.2% |
|
|
|
|
|
|
Prepayment % |
|
0%-100% |
|
18.3% |
|
|
|
|
|
|
Default range |
|
3.5%-55.6% |
|
16.2% |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing rights |
|
4,469 |
|
Discounted Cash Flow |
|
Discount Rate |
|
10.5% |
|
10.5% |
|
|
|
|
|
|
Prepayment Speed |
|
14.4% |
|
14.4% |
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swap Valuation |
|
(33) |
|
Management estimate of credit risk exposure |
|
Probability of Default |
|
2-31% |
|
20.3% |
|
|
|
|
|
|
|
|
|
|
|
Asset-backed securities |
|
106,028 |
|
Discounted Cash Flow |
|
Credit Risk Premium |
|
1-3% |
|
2% |
|
|
|
|
|
|
Liquidity Risk Premium |
|
0-2% |
|
1% |
The following table and commentary presents quantitative (dollars in thousands) and qualitative information about Level 3 fair value measurements as of December 31, 2012:
Measured at fair value
on a recurring basis: |
|
Fair Value |
|
Valuation Methodology |
|
Unobservable Inputs |
|
Range of Input |
|
Weighted
Average
of Inputs |
Collateralized Debt Obligations |
|
$ 9,957 |
|
Discounted Cash Flow |
|
Discount Rate |
|
Libor + 6%-7% |
|
6.4% |
|
|
|
|
|
|
Prepayment % |
|
0%-76% |
|
16.4% |
|
|
|
|
|
|
Default range |
|
3.1%-100% |
|
19.1% |
|
|
|
|
|
|
|
|
|
|
|
Mortgage Servicing rights |
|
4,116 |
|
Discounted Cash Flow |
|
Discount Rate |
|
10.5% |
|
10.5% |
|
|
|
|
|
|
Prepayment Speed |
|
15.8% |
|
15.8% |
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swap Valuation |
|
(47) |
|
Management estimate of credit risk exposure |
|
Probability of Default |
|
2%-31% |
|
17.9% |
|
Schedule of assets and liabilities measured at fair value on a nonrecurring basis |
|
|
March 31, 2013 |
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Impaired loans1 |
|
$ |
- |
|
$ |
- |
|
$ |
19,954 |
|
$ |
19,954 |
|
Other real estate owned, net2 |
|
- |
|
- |
|
65,663 |
|
65,663 |
|
Total |
|
$ |
- |
|
$ |
- |
|
$ |
85,617 |
|
$ |
85,617 |
|
1 Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans, had a carrying amount of $25.0 million, with a valuation allowance of $5.0 million, resulting in a decrease of specific allocations within the provision for loan losses of $1.2 million for the quarter ending March 31, 2013. The carrying value of loans fully charged off is zero.
2 OREO is measured at the lower of carrying or fair value less costs to sell, had a net carrying amount of $65.7 million, which is made up of the outstanding balance of $99.1 million, net of a valuation allowance of $31.0 million and participations of $2.6 million, at March 31, 2013, resulting in a charge to expense of $2.0 million for the quarter ended March 31, 2013.
|
|
December 31, 2012 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Impaired loans1 |
|
$ |
- |
|
$ |
- |
|
$ |
21,543 |
|
$ |
21,543 |
|
Other real estate owned, net2 |
|
- |
|
- |
|
72,423 |
|
72,423 |
|
Total |
|
$ |
- |
|
$ |
- |
|
$ |
93,966 |
|
$ |
93,966 |
|
1 Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans, had a carrying amount of $27.8 million, with a valuation allowance of $6.3 million, resulting in a decrease of specific allocations within the provision for loan losses of $6.8 million for the year ending December 31, 2012. The carrying value of loans fully charged off is zero.
2 OREO is measured at the lower of carrying or fair value less costs to sell, had a net carrying amount of $72.4 million, which is made up of the outstanding balance of $109.7 million, net of a valuation allowance of $31.4 million and participations of $5.9 million, at December 31, 2012, resulting in a charge to expense of $16.4 million for the year ended December 31, 2012.
|