Fair Value Option and Fair Value Measurements (Tables)
|
9 Months Ended |
Sep. 30, 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 |
|
|
September 30, 2013 |
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities available-for-sale |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury |
|
$ |
1,548 |
|
$ |
- |
|
$ |
- |
|
$ |
1,548 |
|
U.S. government agencies |
|
|
- |
|
|
1,693 |
|
|
- |
|
|
1,693 |
|
States and political subdivisions |
|
|
- |
|
|
19,709 |
|
|
132 |
|
|
19,841 |
|
Corporate Bonds |
|
|
- |
|
|
22,200 |
|
|
- |
|
|
22,200 |
|
Collateralized mortgage obligations |
|
|
- |
|
|
48,125 |
|
|
- |
|
|
48,125 |
|
Asset-backed securities |
|
|
|
|
|
121,772 |
|
|
147,212 |
|
|
268,984 |
|
Collateralized debt obligations |
|
|
- |
|
|
- |
|
|
11,087 |
|
|
11,087 |
|
Loans held-for-sale |
|
|
- |
|
|
3,129 |
|
|
- |
|
|
3,129 |
|
Mortgage servicing rights |
|
|
- |
|
|
- |
|
|
5,456 |
|
|
5,456 |
|
Other assets (Interest rate swap agreements net of swap credit valuation) |
|
|
- |
|
|
584 |
|
|
(13) |
|
|
571 |
|
Other assets (Forward MBS) |
|
|
- |
|
|
69 |
|
|
- |
|
|
69 |
|
Total |
|
$ |
1,548 |
|
$ |
217,281 |
|
$ |
163,874 |
|
$ |
382,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other liabilities (Interest rate swap agreements) |
|
$ |
- |
|
$ |
584 |
|
$ |
- |
|
$ |
584 |
|
Other liabilities (Interest rate lock commitments to borrowers) |
|
|
- |
|
|
1 |
|
|
- |
|
|
1 |
|
Total |
|
$ |
- |
|
$ |
585 |
|
$ |
- |
|
$ |
585 |
|
|
|
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 |
|
|
Nine months ended September 30, 2013 |
|
|
|
Investment 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 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
Transfers out of Level 3 |
|
- |
|
- |
|
- |
|
- |
|
- |
|
Total gains or losses |
|
|
|
|
|
|
|
|
|
|
|
Included in earnings (or changes in net assets) |
|
178 |
|
485 |
|
- |
|
81 |
|
34 |
|
Included in other comprehensive income |
|
1,898 |
|
(1,487) |
|
- |
|
- |
|
- |
|
Purchases, issuances, sales, and settlements |
|
|
|
|
|
|
|
|
|
|
|
Purchases |
|
- |
|
168,753 |
|
- |
|
- |
|
- |
|
Issuances |
|
- |
|
- |
|
- |
|
1,259 |
|
- |
|
Settlements |
|
(946) |
|
- |
|
- |
|
- |
|
- |
|
Sales |
|
- |
|
(20,539) |
|
- |
|
- |
|
- |
|
Ending balance June 30, 2013 |
|
$ |
11,087 |
|
$ |
147,212 |
|
$ |
132 |
|
$ |
5,456 |
|
$ |
(13) |
|
|
|
Nine months ended September 30, 2012 |
|
|
|
|
|
Investment securities |
|
|
|
|
|
|
|
|
|
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) |
|
125 |
|
- |
|
(1,315) |
|
19 |
|
|
|
Included in other comprehensive income |
|
(441) |
|
- |
|
- |
|
- |
|
|
|
Purchases, issuances, sales, and settlements |
|
|
|
|
|
|
|
|
|
|
|
Purchases |
|
- |
|
- |
|
- |
|
- |
|
|
|
Issuances |
|
- |
|
- |
|
1,431 |
|
- |
|
|
|
Settlements |
|
(115) |
|
- |
|
- |
|
- |
|
|
|
Expirations |
|
- |
|
- |
|
- |
|
- |
|
|
|
Ending balance September 30, 2012 |
|
$ |
9,543 |
|
$ |
138 |
|
$ |
3,603 |
|
$ |
(61) |
|
| |
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 September 30, 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 |
|
$ 11,087 |
|
Discounted Cash Flow |
|
Discount Rate |
|
Libor +
5.25-6.25% |
|
5.7% |
|
|
|
|
|
|
|
Prepayment % |
|
0%-76.0% |
|
13.5% |
|
|
|
|
|
|
|
Default range |
|
3.0%-100.0% |
|
15.7% |
|
Mortgage Servicing rights |
|
5,456 |
|
Discounted Cash Flow |
|
Discount Rate |
|
10.0% |
|
10.0% |
|
|
|
|
|
|
|
Prepayment Speed |
|
10.8% |
|
10.8% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Swap Valuation |
|
(13) |
|
Management estimate
of credit risk exposure |
|
Probability of Default |
|
5%-20% |
|
13.4% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-backed securities |
|
147,212 |
|
Discounted Cash Flow |
|
Credit Risk Premium
Liquidity Risk Premium |
|
1.00%-1.5%
1.0% |
|
1.3%
1.0% |
|
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 |
|
|
September 30, 2013 |
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
Impaired loans1 |
|
$ |
- |
|
$ |
- |
|
$ |
5,653 |
|
$ |
5,653 |
|
Other real estate owned, net2 |
|
- |
|
- |
|
49,066 |
|
49,066 |
|
Total |
|
$ |
- |
|
$ |
- |
|
$ |
54,719 |
|
$ |
54,719 |
|
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 $7.8 million, with a valuation allowance of $2.1 million, resulting in a decrease of specific allocations within the allowance for loan losses of $4.1 million for the nine months ending September 30, 2013.
2 OREO is measured at the lower of carrying or fair value less costs to sell, and had a net carrying amount of $49.1 million, which is made up of the outstanding balance of $75.8 million, net of a valuation allowance of $24.6 million and participations of $2.1 million, at September 30, 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.
2 OREO is measured at the lower of carrying or fair value less costs to sell, and 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. |