Annual report pursuant to Section 13 and 15(d)

Fair Values of Financial Instruments (Tables)

v3.8.0.1
Fair Values of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 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 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, December 31, 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 as of December 31, 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
 
 
 
63
 
 
 
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
 
 
 
1
 
 
 
1
 
Defaults & deferrals as a % of
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
performing collateral
 
 
26.56
%
 
 
20.06
%
 
 
2.93
%
 
 
8.11
%
Subordination:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As a % of performing collateral
 
 
23.55
%
 
 
8.35
%
 
 
53.11
%
 
 
35.58
%
As a % of performing collateral - adjusted for projected future defaults
 
 
18.67
%
 
 
1.24
%
 
 
49.64
%
 
 
31.69
%
Other-than-temporary impairment model assumptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Defaults:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Year 1 - issuer average
 
 
2.00
%
 
 
2.40
%
 
 
2.30
%
 
 
1.90
%
Year 2 - issuer average
 
 
2.00
%
 
 
2.40
%
 
 
2.30
%
 
 
1.90
%
Year 3 - issuer average
 
 
2.00
%
 
 
2.40
%
 
 
2.30
%
 
 
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 years ended December 31, 2017 and 2016. Changes in Level 3 assets are solely the result of changes in estimated fair values of securities that have been classified as level 3 during all of 2017 and 2016. Assets measured at fair value on a recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 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
 
$
476
 
$
476
 
$
-
 
$
-
 
U.S. government sponsored entities
 
 
3,890
 
 
-
 
 
3,890
 
 
-
 
Collateralized mortgage obligations and residential mortgage-backed securities
 
 
132,938
 
 
-
 
 
132,938
 
 
-
 
Municipal securities
 
 
103,747
 
 
-
 
 
103,747
 
 
-
 
Collateralized debt obligations
 
 
3,439
 
 
-
 
 
-
 
 
3,439
 
Total securities available-for-sale
 
$
244,490
 
$
476
 
$
240,575
 
$
3,439
 
 
 
 
 
 
 
(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 reconciliation of available-for-sale securities, which require significant adjustment based on unobservable data, is presented below:
 
 
 
(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
 
 
(154)
 
Total unrealized gains, included in other comprehensive income
 
 
1,184
 
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, December 31, 2017
 
$
3,439
 
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Table Text Block]
Assets and liabilities measured at fair value on a non-recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 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
 
$
1,818
 
$
-
 
$
-
 
$
1,818
 
Foreclosed real estate
 
 
1,699
 
 
-
 
 
-
 
 
1,699
 
 
 
 
 
 
 
(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.
 
 
 
December 31, 2017
 
Estimated Fair Value Measurements at December 31, 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
 
$
11,025
 
$
11,025
 
$
11,025
 
$
-
 
$
-
 
Certificates of deposit in other financial institutions
 
 
1,676
 
 
1,640
 
 
-
 
 
1,640
 
 
-
 
Securities available-for-sale
 
 
244,490
 
 
244,490
 
 
476
 
 
240,575
 
 
3,439
 
Loans held-for-sale
 
 
1,592
 
 
1,625
 
 
1,625
 
 
-
 
 
-
 
Loans receivable, net
 
 
612,729
 
 
608,506
 
 
-
 
 
-
 
 
608,506
 
Federal Home Loan Bank stock
 
 
3,000
 
 
3,000
 
 
-
 
 
3,000
 
 
-
 
Accrued interest receivable
 
 
3,262
 
 
3,262
 
 
-
 
 
3,262
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
120,556
 
 
120,556
 
 
120,556
 
 
-
 
 
-
 
Interest bearing deposits
 
 
672,448
 
 
670,967
 
 
488,528
 
 
182,439
 
 
-
 
Repurchase agreements
 
 
11,300
 
 
11,292
 
 
9,545
 
 
1,747
 
 
-
 
Borrowed funds
 
 
20,881
 
 
20,818
 
 
600
 
 
20,218
 
 
-
 
Accrued interest payable
 
 
42
 
 
42
 
 
-
 
 
42
 
 
-
 
 
 
 
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
 
$
-
 
$
-
 
Certificates of deposit in other financial institutions
 
 
885
 
 
866
 
 
-
 
 
866
 
 
-
 
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
 
 
-