Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.7.0.1
Fair Value (Tables)
 6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]
The table below shows the credit loss roll forward on a year-to-date basis for the Bancorp’s pooled trust preferred securities that have been classified with other-than-temporary impairment:
 
 
 
(Dollars in thousands)
 
 
 
Collateralized debt obligations
 
 
 
other-than-temporary impairment
 
Ending balance, December 31, 2016
 
$
271
 
Additions not previously recognized
 
 
-
 
Ending balance, June 30, 2017
 
$
271
 
Schedule of Fair Value, Pooled Trust Preferred Securities [Table Text Block]
The following table contains information regarding the Bancorp’s pooled trust preferred securities impairment evaluation as of June 30, 2017:
 
Cusip
 
 
74043CAC1
 
 
74042TAJ0
 
 
01449TAB9
 
 
01450NAC6
Deal name
 
 
PreTSL XXIV
 
 
 
PreTSL XXVII
 
 
 
Alesco IX
 
 
 
Alesco XVII
 
Class
 
 
B-1
 
 
 
C-1
 
 
 
A-2A
 
 
 
B
 
Lowest credit rating assigned
 
 
CCC
 
 
 
CC
 
 
 
BB
 
 
 
CCC
 
Number of performing banks
 
 
62
 
 
 
33
 
 
 
62
 
 
 
51
 
Number of performing insurance companies
 
 
13
 
 
 
7
 
 
 
10
 
 
 
n/a
 
Number of issuers in default
 
 
16
 
 
 
7
 
 
 
2
 
 
 
4
 
Number of issuers in deferral
 
 
2
 
 
 
2
 
 
 
2
 
 
 
1
 
Defaults & deferrals as a % of performing collateral
 
 
26.56
%
 
 
20.06
%
 
 
4.22
%
 
 
8.11
%
Subordination:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As a % of performing collateral
 
 
23.55
%
 
 
8.35
%
 
 
52.53
%
 
 
35.58
%
As a % of performing collateral - adjusted for projected future defaults
 
 
18.93
%
 
 
1.24
%
 
 
49.17
%
 
 
31.69
%
Other-than-temporary impairment model assumptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Defaults:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Year 1 - issuer average
 
 
1.90
%
 
 
2.40
%
 
 
2.20
%
 
 
1.90
%
Year 2 - issuer average
 
 
1.90
%
 
 
2.40
%
 
 
2.20
%
 
 
1.90
%
Year 3 - issuer average
 
 
1.90
%
 
 
2.40
%
 
 
2.20
%
 
 
1.90
%
> 3 Years - issuer average
 
 
(1
)
 
 
(1
)
 
 
(1
)
 
 
(1
)
Discount rate - 3 month Libor, plus implicit yield spread at purchase
 
 
1.48
%
 
 
1.23
%
 
 
1.27
%
 
 
1.44
%
Recovery assumptions
 
 
(2
)
 
 
(2
)
 
 
(2
)
 
 
(2
)
Prepayments
 
 
0.00
%
 
 
0.00
%
 
 
0.00
%
 
 
0.00
%
Other-than-temporary impairment
 
$
41
 
 
$
132
 
 
$
36
 
 
$
62
 
 
(1) - Default rates > 3 years are evaluated on a issuer by issuer basis and range from 0.25% to 5.00%.
(2) - Recovery assumptions are evaluated on a issuer by issuer basis and range from 0% to 15% with a five year lag.
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]
There were no transfers to or from Levels 1 and 2 during the six months ended June 30, 2017. Assets measured at fair value on a recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at June 30, 2017 Using
 
(Dollars in thousands)
 
Estimated
Fair
Value
 
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
 
Significant Other
Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Money market fund
 
$
2,105
 
 
$
2,105
 
 
$
-
 
 
$
-
 
U.S. government sponsored entities
 
 
13,784
 
 
 
-
 
 
 
13,784
 
 
 
-
 
Collateralized mortgage obligations and residential mortgage-backed securities
 
 
128,636
 
 
 
-
 
 
 
128,636
 
 
 
-
 
Municipal securities
 
 
93,217
 
 
 
-
 
 
 
93,217
 
 
 
-
 
Collateralized debt obligations
 
 
3,006
 
 
 
-
 
 
 
-
 
 
 
3,006
 
Total securities available-for-sale
 
$
240,748
 
 
$
2,105
 
 
$
235,637
 
 
$
3,006
 
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 2016 Using
 
(Dollars in thousands)
 
Estimated
Fair
Value
 
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
 
Significant Other
Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Money market fund
 
$
222
 
 
$
222
 
 
$
-
 
 
$
-
 
U.S. government sponsored entities
 
 
16,274
 
 
 
-
 
 
 
16,274
 
 
 
-
 
Collateralized mortgage obligations and residential mortgage-backed securities
 
 
117,975
 
 
 
-
 
 
 
117,975
 
 
 
-
 
Municipal securities
 
 
96,745
 
 
 
-
 
 
 
96,745
 
 
 
-
 
Collateralized debt obligations
 
 
2,409
 
 
 
-
 
 
 
-
 
 
 
2,409
 
Total securities available-for-sale
 
$
233,625
 
 
$
222
 
 
$
230,994
 
 
$
2,409
 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
A roll forward of available-for-sale securities, which require significant adjustment based on unobservable data, are presented in the following table:
 
 
 
(Dollars in thousands)
 
 
 
Estimated Fair Value
Measurements Using
Significant Unobservable
Inputs
(Level 3)
 
 
 
Available-for-
sale securities
 
Beginning balance, January 1, 2016
 
$
2,734
 
Principal payments
 
 
(107
)
Total unrealized losses, included in other comprehensive income
 
 
(218
)
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, December 31, 2016
 
$
2,409
 
 
 
 
 
 
Beginning balance, January 1, 2017
 
$
2,409
 
Principal payments
 
 
(103
)
Total unrealized gains, included in other comprehensive income
 
 
700
 
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, June 30, 2017
 
$
3,006
 
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Table Text Block]
Assets measured at fair value on a non-recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at June 30, 2017 Using
 
(Dollars in thousands)
 
Estimated
Fair
Value
 
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
 
Significant Other
Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Impaired loans
 
$
2,185
 
 
$
-
 
 
$
-
 
 
$
2,185
 
Foreclosed real estate
 
 
2,167
 
 
 
-
 
 
 
-
 
 
 
2,167
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 2016 Using
 
(Dollars in thousands)
 
Estimated
Fair
Value
 
 
Quoted Prices in
Active Markets
for Identical
Assets
(Level 1)
 
 
Significant Other
Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Impaired loans
 
$
2,282
 
 
$
-
 
 
$
-
 
 
$
2,282
 
Foreclosed real estate
 
 
2,665
 
 
 
-
 
 
 
-
 
 
 
2,665
 
Fair Value, by Balance Sheet Grouping [Table Text Block]
The following table shows carrying values and related estimated fair values of financial instruments as of the dates indicated. Estimated fair values are further categorized by the inputs used to measure fair value. Items that are not financial instruments are not included.
 
 
 
June 30, 2017
 
 
Estimated Fair Value Measurements at June 30, 2017 Using
 
(Dollars in thousands)
 
Carrying
Value
 
 
Estimated
Fair Value
 
 
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
 
 
Significant
Other Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
27,759
 
 
$
27,759
 
 
$
27,759
 
 
$
-
 
 
$
-
 
Securities available-for-sale
 
 
240,748
 
 
 
240,748
 
 
 
2,105
 
 
 
235,637
 
 
 
3,006
 
Loans held-for-sale
 
 
2,677
 
 
2,736
 
 
 
2,736
 
 
 
-
 
 
 
-
 
Loans receivable, net
 
 
593,871
 
 
 
590,338
 
 
 
-
 
 
 
-
 
 
 
590,338
 
Federal Home Loan Bank stock
 
 
3,000
 
 
 
3,000
 
 
 
-
 
 
 
3,000
 
 
 
-
 
Accrued interest receivable
 
 
3,006
 
 
 
3,006
 
 
 
-
 
 
 
3,006
 
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
119,874
 
 
 
119,874
 
 
 
119,874
 
 
 
-
 
 
 
-
 
Interest bearing deposits
 
 
667,107
 
 
 
666,138
 
 
 
489,582
 
 
 
176,556
 
 
 
-
 
Repurchase agreements
 
 
15,635
 
 
 
15,628
 
 
 
13,879
 
 
 
1,749
 
 
 
-
 
Borrowed funds
 
 
19,610
 
 
 
19,633
 
 
 
510
 
 
 
19,123
 
 
 
-
 
Accrued interest payable
 
 
32
 
 
 
32
 
 
 
-
 
 
 
32
 
 
 
-
 
 
 
 
December 31, 2016
 
 
Estimated Fair Value Measurements at December 31, 2016 Using
 
(Dollars in thousands)
 
Carrying
Value
 
 
Estimated
Fair Value
 
 
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
 
 
Significant
Other Observable
Inputs
(Level 2)
 
 
Significant
Unobservable
Inputs
(Level 3)
 
Financial assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
45,109
 
 
$
45,109
 
 
$
45,109
 
 
$
-
 
 
$
-
 
Securities available-for-sale
 
 
233,625
 
 
 
233,625
 
 
 
222
 
 
 
230,994
 
 
 
2,409
 
Loans held-for-sale
 
 
2,193
 
 
 
2,242
 
 
 
2,242
 
 
 
-
 
 
 
-
 
Loans receivable, net
 
 
575,952
 
 
 
568,855
 
 
 
-
 
 
 
-
 
 
 
568,855
 
Federal Home Loan Bank stock
 
 
3,000
 
 
 
3,000
 
 
 
-
 
 
 
3,000
 
 
 
-
 
Accrued interest receivable
 
 
3,086
 
 
 
3,086
 
 
 
-
 
 
 
3,086
 
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
111,800
 
 
 
111,800
 
 
 
111,800
 
 
 
-
 
 
 
-
 
Interest bearing deposits
 
 
667,971
 
 
 
667,227
 
 
 
482,307
 
 
 
184,920
 
 
 
-
 
Repurchase agreements
 
 
13,998
 
 
 
13,995
 
 
 
11,439
 
 
 
2,556
 
 
 
-
 
Borrowed funds
 
 
25,828
 
 
 
25,840
 
 
 
700
 
 
 
25,140
 
 
 
-
 
Accrued interest payable
 
 
41
 
 
 
41
 
 
 
-
 
 
 
41
 
 
 
-