Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.8.0.1
Fair Value (Tables)
3 Months Ended
Mar. 31, 2018
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, 2017
 
$
271
 
Additions not previously recognized
 
 
-
 
Ending balance, March 31, 2018
 
$
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 December 31, 2017:
 
Cusip
 
 
74043CAC1
 
 
 
74042TAJ0
 
 
 
01449TAB9
 
 
 
01450NAC6
 
Deal name
 
 
PreTSLXXIV
 
 
 
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 three months ended March 31, 2018. Assets measured at fair value on a recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at March 31, 2018 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
 
$
924
 
$
924
 
$
-
 
$
-
 
U.S. government sponsored entities
 
 
5,838
 
 
-
 
 
5,838
 
 
-
 
Collateralized mortgage obligations and residential mortgage-backed securities
 
 
139,169
 
 
-
 
 
139,169
 
 
-
 
Municipal securities
 
 
92,085
 
 
-
 
 
92,085
 
 
-
 
Collateralized debt obligations
 
 
3,455
 
 
-
 
 
-
 
 
3,455
 
Total securities available-for-sale
 
$
241,471
 
$
924
 
$
237,092
 
$
3,455
 
 
 
 
 
 
 
(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
 
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, 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
 
 
 
 
 
 
Beginning balance, January 1, 2018
 
$
3,439
 
Principal payments
 
 
(12)
 
Total unrealized gains, included in other comprehensive income
 
 
28
 
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, March 31, 2018
 
$
3,455
 
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 March 31, 2018 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
 
$
1,973
 
$
-
 
$
-
 
$
1,973
 
Foreclosed real estate
 
 
1,432
 
 
-
 
 
-
 
 
1,432
 
 
 
 
 
 
 
(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
 
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.
 
 
 
March 31, 2018
 
Estimated Fair Value Measurements at March 31, 2018 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
 
$
20,415
 
$
20,415
 
$
20,415
 
$
-
 
$
-
 
Certificates of deposit in other financial institutions
 
 
1,526
 
 
1,493
 
 
-
 
 
1,493
 
 
-
 
Securities available-for-sale
 
 
241,471
 
 
241,471
 
 
924
 
 
237,092
 
 
3,455
 
Loans held-for-sale
 
 
1,908
 
 
1,949
 
 
1,949
 
 
-
 
 
-
 
Loans receivable, net
 
 
617,565
 
 
602,764
 
 
-
 
 
-
 
 
602,764
 
Federal Home Loan Bank stock
 
 
3,000
 
 
3,000
 
 
-
 
 
3,000
 
 
-
 
Accrued interest receivable
 
 
3,052
 
 
3,052
 
 
-
 
 
3,052
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
126,582
 
 
126,582
 
 
126,582
 
 
-
 
 
-
 
Interest bearing deposits
 
 
668,791
 
 
666,925
 
 
474,069
 
 
192,856
 
 
-
 
Repurchase agreements
 
 
13,396
 
 
13,387
 
 
11,642
 
 
1,745
 
 
-
 
Borrowed funds
 
 
30,360
 
 
30,254
 
 
260
 
 
29,994
 
 
-
 
Interest rate swap agreements
 
 
18
 
 
18
 
 
-
 
 
18
 
 
-
 
Accrued interest payable
 
 
42
 
 
42
 
 
-
 
 
42
 
 
-
 
 
 
 
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
 
 
-