Annual report pursuant to Section 13 and 15(d)

Fair Values of Financial Instruments (Tables)

v2.4.1.9
Fair Values of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 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 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, 2013
 
$
271
 
Additions not previously recognized
 
 
-
 
Ending balance, December 31, 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 December 31, 2014:
 
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
 
 
$
1,285
 
Fair value
 
$
530
 
 
$
539
 
 
$
822
 
 
$
541
 
Unrealized gains/(losses)
 
$
(727
)
 
$
(757
)
 
$
(481
)
 
$
(744
)
Lowest credit rating assigned
 
 
CC
 
 
 
C
 
 
 
BB
 
 
 
Ca
 
Number of performing banks
 
 
52
 
 
 
29
 
 
 
57
 
 
 
47
 
Number of performing insurance companies
 
 
13
 
 
 
7
 
 
 
10
 
 
 
n/a
 
Number of issuers in default
 
 
20
 
 
 
9
 
 
 
1
 
 
 
4
 
Number of issuers in deferral
 
 
8
 
 
 
4
 
 
 
8
 
 
 
5
 
Defaults & deferrals as a % of
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
performing collateral
 
 
47.64
%
 
 
31.32
%
 
 
11.17
%
 
 
20.48
%
Subordination:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
As a % of performing collateral
 
 
2.10
%
 
 
-6.95
%
 
 
44.19
%
 
 
23.62
%
As a % of performing collateral - adjusted for projected future defaults
 
 
-3.49
%
 
 
-15.25
%
 
 
41.00
%
 
 
19.26
%
Other-than-temporary impairment model assumptions:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Defaults:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Year 1 - issuer average
 
 
1.80
%
 
 
2.40
%
 
 
1.80
%
 
 
1.80
%
Year 2 - issuer average
 
 
1.80
%
 
 
2.40
%
 
 
1.80
%
 
 
1.80
%
Year 3 - issuer average
 
 
1.80
%
 
 
2.40
%
 
 
1.80
%
 
 
1.80
%
> 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 year ended December 31, 2014. 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 2014 and 2013. Assets measured at fair value on a recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Money market fund
 
$
6,453
 
 
$
6,453
 
 
$
-
 
 
$
-
 
U.S. government sponsored entities
 
 
12,869
 
 
 
-
 
 
 
12,869
 
 
 
-
 
Collateralized mortgage obligations and residential mortgage-backed securities
 
 
117,574
 
 
 
-
 
 
 
117,574
 
 
 
-
 
Municipal securities
 
 
80,725
 
 
 
-
 
 
 
80,725
 
 
 
-
 
Collateralized debt obligations
 
 
2,432
 
 
 
-
 
 
 
-
 
 
 
2,432
 
Total securities available-for-sale
 
$
220,053
 
 
$
6,453
 
 
$
211,168
 
 
$
2,432
 
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
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)
 
Available-for-sale debt securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Money market fund
 
$
1,336
 
 
$
1,336
 
 
$
-
 
 
$
-
 
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
 
$
195,632
 
 
$
1,336
 
 
$
192,328
 
 
$
1,968
 
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
 
Total realized/unrealized (losses)/gains, January 1, 2013
 
$
1,392
 
Included in earnings
 
 
-
 
Included in other comprehensive income
 
 
576
 
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, December 31, 2013
 
$
1,968
 
 
 
 
 
 
Total realized/unrealized (losses)/gains, January 1, 2014
 
$
1,968
 
Included in earnings
 
 
-
 
Included in other comprehensive income
 
 
464
 
Transfers in and/or (out) of Level 3
 
 
-
 
Ending balance, December 31, 2014
 
$
2,432
 
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis [Table Text Block]
Assets and liabilities measured at fair values on a non-recurring basis are summarized below:
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
Fair Value Measurements at December 31, 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
 
$
6,930
 
 
$
-
 
 
$
-
 
 
$
6,930
 
Foreclosed real estate
 
 
1,745
 
 
 
-
 
 
 
-
 
 
 
1,745
 
 
 
 
 
 
 
(Dollars in thousands)
 
 
 
 
 
 
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.
 
 
 
December 31, 2014
 
 
Estimated Fair Value Measurements at December 31, 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
 
$
21,963
 
 
$
21,963
 
 
$
21,963
 
 
$
-
 
 
$
-
 
Securities available-for-sale
 
 
220,053
 
 
 
220,053
 
 
 
6,453
 
 
 
211,168
 
 
 
2,432
 
Loans held-for-sale
 
 
2,913
 
 
 
2,983
 
 
 
2,983
 
 
 
-
 
 
 
-
 
Loans receivable, net
 
 
481,792
 
 
 
480,736
 
 
 
-
 
 
 
-
 
 
 
480,736
 
Federal Home Loan Bank stock
 
 
3,681
 
 
 
3,681
 
 
 
-
 
 
 
3,681
 
 
 
-
 
Accrued interest receivable
 
 
2,727
 
 
 
2,727
 
 
 
-
 
 
 
2,727
 
 
 
-
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
 
80,352
 
 
 
80,352
 
 
 
80,352
 
 
 
-
 
 
 
-
 
Interest bearing deposits
 
 
553,594
 
 
 
552,872
 
 
 
368,501
 
 
 
184,371
 
 
 
-
 
Repurchase agreements
 
 
17,525
 
 
 
17,528
 
 
 
12,010
 
 
 
5,518
 
 
 
-
 
Borrowed funds
 
 
36,381
 
 
 
36,424
 
 
 
281
 
 
 
36,143
 
 
 
-
 
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
 
$
19,788
 
 
$
19,788
 
 
$
19,788
 
 
$
-
 
 
$
-
 
Securities available-for-sale
 
 
195,632
 
 
 
195,632
 
 
 
1,336
 
 
 
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
 
 
 
-