Fair Value (Tables)
|
3 Months Ended |
Mar. 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 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, March 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 impairment evaluation as of December 31, 2016:
| 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
|
|
| CC |
|
|
| CC |
|
|
| BB |
|
|
| CCC |
| | Number of performing banks
|
|
| 60 |
|
|
| 33 |
|
|
| 61 |
|
|
| 51 |
| | Number of performing insurance companies
|
|
| 13 |
|
|
| 7 |
|
|
| 10 |
|
|
| n/a |
| | Number of issuers in default
|
|
| 17 |
|
|
| 7 |
|
|
| 2 |
|
|
| 4 |
| | Number of issuers in deferral
|
|
| 3 |
|
|
| 2 |
|
|
| 3 |
|
|
| 1 |
| | Defaults & deferrals as a % of performing collateral
|
|
| 29.67 | %
|
|
| 20.06 | %
|
|
| 4.38 | %
|
|
| 8.11 | %
| | Subordination:
|
|
| |
|
|
| |
|
|
| |
|
|
| |
| | As a % of performing collateral
|
|
| 21.67 | %
|
|
| 8.35 | %
|
|
| 52.45 | %
|
|
| 35.58 | %
| | As a % of performing collateral - adjusted for projected future defaults
|
|
| 16.93 | %
|
|
| 1.24 | %
|
|
| 49.09 | %
|
|
| 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 three months ended March 31, 2017. Assets measured at fair value on a recurring basis are summarized below:
|
|
|
|
|
| (Dollars in thousands) |
| |
|
|
|
|
| Fair Value Measurements at March 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
|
| $
| 353 |
|
| $
| 353 |
|
| $
| - |
|
| $
| - |
| | U.S. government sponsored entities
|
|
| 13,723 |
|
|
| - |
|
|
| 13,723 |
|
|
| - |
| | Collateralized mortgage obligations and residential mortgage-backed securities
|
|
| 124,164 |
|
|
| - |
|
|
| 124,164 |
|
|
| - |
| | Municipal securities
|
|
| 96,064 |
|
|
| - |
|
|
| 96,064 |
|
|
| - |
| | Collateralized debt obligations
|
|
| 2,975 |
|
|
| - |
|
|
| - |
|
|
| 2,975 |
| | Total securities available-for-sale
|
| $
| 237,279 |
|
| $
| 353 |
|
| $
| 233,951 |
|
| $
| 2,975 |
| |
|
|
|
|
| (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
|
|
| (54 | )
| | Total unrealized gains, included in other comprehensive income
|
|
| 620 |
| | Transfers in and/or (out) of Level 3
|
|
| - |
| | Ending balance, March 31, 2017
|
| $
| 2,975 |
|
|
| 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, 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
|
| $
| 2,274 |
|
| $
| - |
|
| $
| - |
|
| $
| 2,274 |
| | Foreclosed real estate
|
|
| 2,621 |
|
|
| - |
|
|
| - |
|
|
| 2,621 |
|
|
|
|
|
|
| (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.
|
|
| March 31, 2017 |
|
| Estimated Fair Value Measurements at March 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
|
| $
| 15,784 |
|
| $
| 15,784 |
|
| $
| 15,784 |
|
| $
| - |
|
| $
| - |
| | Securities available-for-sale
|
|
| 237,279 |
|
|
| 237,279 |
|
|
| 353 |
|
|
| 233,951 |
|
|
| 2,975 |
| | Loans held-for-sale
|
|
| 841 |
|
|
| 850 |
|
|
| 850 |
|
|
| - |
|
|
| - |
| | Loans receivable, net
|
|
| 589,266 |
|
|
| 581,591 |
|
|
| - |
|
|
| - |
|
|
| 581,591 |
| | Federal Home Loan Bank stock
|
|
| 3,000 |
|
|
| 3,000 |
|
|
| - |
|
|
| 3,000 |
|
|
| - |
| | Accrued interest receivable
|
|
| 2,895 |
|
|
| 2,895 |
|
|
| - |
|
|
| 2,895 |
|
|
| - |
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
| | Financial liabilities:
|
|
| |
|
|
| |
|
|
| |
|
|
| |
|
|
| |
| | Non-interest bearing deposits
|
|
| 118,137 |
|
|
| 118,137 |
|
|
| 118,137 |
|
|
| - |
|
|
| - |
| | Interest bearing deposits
|
|
| 652,492 |
|
|
| 651,603 |
|
|
| 469,867 |
|
|
| 181,736 |
|
|
| - |
| | Repurchase agreements
|
|
| 12,096 |
|
|
| 12,092 |
|
|
| 10,340 |
|
|
| 1,752 |
|
|
| - |
| | Borrowed funds
|
|
| 21,493 |
|
|
| 21,518 |
|
|
| 393 |
|
|
| 21,125 |
|
|
| - |
| | Accrued interest payable
|
|
| 37 |
|
|
| 37 |
|
|
| - |
|
|
| 37 |
|
|
| - |
|
|
|
| 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 |
|
|
| - |
|
|