Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v2.4.0.8
Fair Value (Tables)
6 Months Ended
Jun. 30, 2014
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)
 
 
 
Other-than-temporary impairment
 
Ending balance, December 31, 2013
 
$
271
 
Additions not previously recognized
 
 
-
 
Ending balance, June 30, 2014
 
$
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 June 30, 2014:
 
(Dollars in thousands)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cusip
 
 
74043CAC1
 
 
 
74042TAJ0
 
 
 
01449TAB9
 
 
 
01450NAC6
 
Deal name
 
 
PreTSL XXIV
 
 
 
PreTSL XXVII
 
 
 
Alesco IX
 
 
 
Alesco XVII
 
Class
 
 
B-1
 
 
 
C-1
 
 
 
A-2A
 
 
 
B
 
Book value
 
$
1,257
 
 
$
1,296
 
 
$
1,303
 
 
$
1,352
 
Fair value
 
$
533
 
 
$
522
 
 
$
832
 
 
$
557
 
Unrealized gains/(losses)
 
$
(724)
 
 
$
(774)
 
 
$
(471)
 
 
$
(795)
 
Lowest credit rating assigned
 
 
CC
 
 
 
C
 
 
 
BB
 
 
 
CC
 
Number of performing banks
 
 
53
 
 
 
30
 
 
 
55
 
 
 
46
 
Number of performing insurance companies
 
 
13
 
 
 
7
 
 
 
10
 
 
 
n/a
 
Number of issuers in default
 
 
17
 
 
 
9
 
 
 
1
 
 
 
3
 
Number of issuers in deferral
 
 
10
 
 
 
3
 
 
 
10
 
 
 
7
 
Defaults & deferrals as a % of performing collateral
 
 
40.78
%
 
 
25.75
%
 
 
17.22
%
 
 
22.89
%
Subordination:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As a % of performing collateral
 
 
6.65
%
 
 
-2.41
%
 
 
41.15
%
 
 
22.09
%
As a % of performing collateral - adjusted for projected future defaults
 
 
-0.92
%
 
 
-11.80
%
 
 
37.39
%
 
 
17.38
%
Other-than-temporary impairment model assumptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Defaults:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Year 1 - issuer average
 
 
2.50
%
 
 
2.80
%
 
 
2.00
%
 
 
1.90
%
Year 2 - issuer average
 
 
2.50
%
 
 
2.80
%
 
 
2.00
%
 
 
1.90
%
Year 3 - issuer average
 
 
2.50
%
 
 
2.80
%
 
 
2.00
%
 
 
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, 2014. Assets measured at fair value on a recurring basis are summarized below:
 
 
 
 
 
 
Fair Value Measurements at June 30, 2014 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
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government sponsored entities
 
$
12,313
 
$
-
 
$
12,313
 
$
-
 
Collateralized mortgage obligations and residential mortgage-backed
    securities
 
 
112,834
 
 
-
 
 
112,834
 
 
-
 
Municipal securities
 
 
81,788
 
 
-
 
 
81,788
 
 
-
 
Collateralized debt obligations
 
 
2,444
 
 
-
 
 
-
 
 
2,444
 
Total securities available-for-sale
 
$
209,379
 
$
-
 
$
206,935
 
$
2,444
 
 
 
 
 
 
 
Fair Value Measurements at December 31, 2013 Using
 
(Dollars in thousanuds)
 
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
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government sponsored entities
 
$
18,360
 
$
-
 
$
18,360
 
$
-
 
Collateralized mortgage obligations and residential
 
 
 
 
 
 
 
 
 
 
 
 
 
mortgage-backed securities
 
 
100,315
 
 
-
 
 
100,315
 
 
-
 
Municipal securities
 
 
73,653
 
 
-
 
 
73,653
 
 
-
 
Collateralized debt obligations
 
 
1,968
 
 
-
 
 
-
 
 
1,968
 
Total securities available-for-sale
 
$
194,296
 
$
-
 
$
192,328
 
$
1,968
 
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:
 
 
 
Fair Value Measurements Using
 
 
 
Significant Unobservable Inputs
 
(Dollars in thousands)
 
(Level 3)
 
 
 
Available-for-sale securities
 
Beginning balance, December 31, 2013
 
$
1,968
 
Transfers in and/or (out) of Level 3
 
 
-
 
Total gains or (losses)
 
 
 
 
Included in earnings
 
 
-
 
Included in other comprehensive income
 
 
476
 
Purchases, issuances, sales, and settlements
 
 
 
 
Purchases
 
 
-
 
Issuances
 
 
-
 
Sales
 
 
-
 
Settlements
 
 
-
 
Ending balance, June 30, 2014
 
$
2,444
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:
 
 
 
 
 
 
Fair Value Measurements at June 30, 2014 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
 
$
7,404
 
$
-
 
$
-
 
$
7,404
 
Foreclosed real estate
 
 
1,402
 
 
-
 
 
-
 
 
1,402
 
 
 
 
 
 
 
Fair Value Measurements at December 31, 2013 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
 
$
8,164
 
$
-
 
$
-
 
$
8,164
 
Foreclosed real estate
 
 
1,084
 
 
-
 
 
-
 
 
1,084
 
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, 2014
 
Estimated Fair Value Measurements at June 30, 2014 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
 
$
30,965
 
$
30,965
 
$
30,965
 
$
-
 
$
-
 
Securities available-for-sale
 
 
209,379
 
 
209,379
 
 
-
 
 
206,935
 
 
2,444
 
Loans held-for-sale
 
 
1,830
 
 
1,852
 
 
1,852
 
 
-
 
 
-
 
Loans receivable, net
 
 
483,784
 
 
479,657
 
 
-
 
 
-
 
 
479,657
 
Federal Home Loan Bank stock
 
 
4,392
 
 
4,392
 
 
-
 
 
4,392
 
 
-
 
Accrued interest receivable
 
 
2,680
 
 
2,680
 
 
-
 
 
2,680
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
84,551
 
 
84,551
 
 
84,551
 
 
-
 
 
-
 
Interest bearing deposits
 
 
555,079
 
 
555,216
 
 
395,331
 
 
159,885
 
 
-
 
Repurchase agreements
 
 
18,437
 
 
18,446
 
 
12,577
 
 
5,869
 
 
-
 
Borrowed funds
 
 
38,964
 
 
39,049
 
 
936
 
 
38,113
 
 
-
 
Accrued interest payable
 
 
49
 
 
49
 
 
-
 
 
49
 
 
-
 
 
 
 
December 31, 2013
 
Estimated Fair Value Measurements at December 31, 2013 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
 
$
21,124
 
$
21,124
 
$
21,124
 
$
-
 
$
-
 
Securities available-for-sale
 
 
194,296
 
 
194,296
 
 
-
 
 
192,328
 
 
1,968
 
Loans held-for-sale
 
 
136
 
 
138
 
 
138
 
 
-
 
 
-
 
Loans receivable, net
 
 
430,632
 
 
427,719
 
 
-
 
 
-
 
 
427,719
 
Federal Home Loan Bank stock
 
 
3,086
 
 
3,086
 
 
-
 
 
3,086
 
 
-
 
Accrued interest receivable
 
 
2,480
 
 
2,480
 
 
-
 
 
2,480
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
73,430
 
 
73,430
 
 
73,430
 
 
-
 
 
-
 
Interest bearing deposits
 
 
499,463
 
 
499,470
 
 
343,847
 
 
155,623
 
 
-
 
Repurchase agreements
 
 
14,031
 
 
14,043
 
 
8,042
 
 
6,001
 
 
-
 
Borrowed funds
 
 
30,898
 
 
30,956
 
 
799
 
 
30,157
 
 
-
 
Accrued interest payable
 
 
47
 
 
47
 
 
-
 
 
47
 
 
-