Fair Value (Tables)

6 Months Ended

Jun. 30, 2013

The following table presents a rollforward of interest rate swaps from December 31, 2012 to June 30, 2013, and from December 31, 2011 to June 30, 2012.



	Level 3
	Fair Value- Assets			Fair Value- Liabilities
	(Amounts in thousands)
Balance, March 31, 2012	$	209		$	209
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	4			4
Balance, June 30, 2012	$	213		$	213

Balance, March 31, 2013	$	180		$	180
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(26		)	(26		)
Balance, June 30, 2013	$	154		$	154

The following table presents a rollforward of interest rate swaps from December 31, 2011 to June 30, 2012, and from December 31, 2012 to June 30, 2013.
	Level 3
	Fair Value- Assets			Fair Value- Liabilities
	(Amounts in thousands)
Balance, December 31, 2011	$	217		$	217
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(4		)	(4		)
Balance, June 30, 2012	$	213		$	213

Balance, December 31, 2012	$	196		$	196
Purchases, sales, issuances and settlements
Gains (losses) included in other income	(42		)	(42		)
Balance, June 30, 2013	$	154		$	154

Level 3 Fair Value Reconciliation

The following table presents a rollforward of mortgage servicing rights for the three and six months ended June 30, 2013 and 2012 and shows that the mortgage servicing rights are classified as Level 3 as discussed above.



	Level 3
	Fair Value		Fair Value
	(In thousands)
Balance, March 31, 2013 and 2012	$	3,045	$	2,151
Capitalized	269		177
Gains (losses) included in other income	511		(439		)
Balance, June 30, 2013 and 2012	$	3,825	$	1,889

	Level 3
	Fair Value		Fair Value
	(In thousands)
Balance, December 31, 2012 and 2011	$	2,525	$	1,871
Capitalized	687		344
Gains (losses) included in other income	613		(326		)
Balance, June 30, 2013 and 2012	$	3,825	$	1,889

The following table presents a rollforward of interest rate lock commitments for the three months ended June 30, 2013 and 2012, respectively.



	Interest Rate Lock Commitments
	Level 3
	Fair Value			Fair Value
	(In thousands)
Balance, March 31, 2013 and 2012	$	807		$	(159	)
Gains (losses) included in other income	(1,119		)	737
Transfer in and out	—			—
Balance, June 30, 2013 and 2012	$	(312	)	$	578

The following table presents a rollforward of interest rate lock commitments for the six months ended June 30, 2013 and 2012, respectively.

	Interest Rate Lock Commitments
	Level 3
	Fair Value			Fair Value
	(In thousands)
Balance, December 31, 2012 and 2011	$	873		$	130
Gains (losses) included in other income	(1,185		)	448
Transfer in and out	—			—
Balance, June 30, 2013 and 2012	$	(312	)	$	578

Assets and Liabilities Measured on a Recurring Basis

The following table presents assets and (liabilities) measured at fair value on a recurring basis:



June 30, 2013 (in thousands)	Fair Value			Level 1		Level 2		Level 3
Available-for-sale securities:
U.S. government agencies	$	16,625		$	—	$	16,625	$	—
Government sponsored agencies:
Residential mortgage-backed securities	119,019			—		119,019		—
Collateralized mortgage obligations	71,771			—		71,771		—
Private label collateralized mortgage obligations	12,383			—		12,383		—
State and municipal securities	110,410			—		110,410		—
Common and preferred stocks	137			137		—		—
Interest rate swap agreements	154			—		—		154
Interest rate swap agreements	(154		)	—		—		(154		)
Interest rate lock commitments	(312		)	—		—		(312		)
Forward loan sale commitments	612			—		612		—
Mortgage servicing rights	3,825			—		—		3,825



December 31, 2012 (in thousands)	Fair Value			Level 1		Level 2			Level 3
Available-for-sale securities:
U.S. government agencies	$	27,527		$	—	$	27,527		$	—
Government sponsored agencies:
Residential mortgage-backed securities	107,257			—		107,257			—
Collateralized mortgage obligations	122,593			—		122,593			—
Private label collateralized mortgage obligations	1,045			—		1,045			—
State and municipal securities	84,565			—		84,565			—
Common and preferred stocks	133			133		—			—
Interest rate swap agreements	196			—		—			196
Interest rate swap agreements	(196		)	—		—			(196		)
Interest rate lock commitments	873			—		—			873
Forward loan sale commitments	(481		)	—		(481		)	—
Mortgage servicing rights	2,525			—		—			2,525

Level 3 Inputs, Quantitative Information



	Fair Value at June 30, 2013 (in thousands)			Valuation Technique	Unobservable Input	Range (Weighted Avg)
Recurring measurements:
Interest Rate Swaps	$	154		Discounted cash flow	Discount rate	0.99%
Interest Rate Lock Commitments	(312		)	Pricing model	Pull through rates	85%
Mortgage Servicing Rights	3,825			Discounted cash flow	Constant prepayment rate	11.92%
					Cost of service	$50
					Discount rate	8%
Nonrecurring measurements:
Impaired loans	$	8,584		Discounted appraisals	Collateral discounts	15-50%
Other real estate owned	207			Discounted appraisals	Collateral discounts	6-15%



	Fair Value at December 31, 2012 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Avg)
Recurring measurements:
Interest Rate Swaps	$	196	Discounted cash flow	Discount rate	1.00%
Interest Rate Lock Commitments	873		Pricing model	Pull through rates	83.9%
Mortgage Servicing Rights	2,525		Discounted cash flow	Constant prepayment rate	17.96%
				Cost of service	$50
				Discount rate	8%
Nonrecurring measurements:
Impaired loans	$	7,276	Discounted appraisals	Collateral discounts	10-15%
Other real estate owned	5,281		Discounted appraisals	Collateral discounts	15%

Assets measured on a nonrecurring basis

The following table presents assets measured at fair value on a nonrecurring basis:



	Fair Value		Level 1		Level 2		Level 3
June 30, 2013	(Amounts in thousands)
Other real estate owned	$	207	$	—	$	—	$	207
Impaired loans:
Construction	240		—		—		240
Commercial real estate:
Owner occupied	7,241		—		—		7,241
Non-owner occupied	365		—		—		365
Commercial	394		—		—		394
Mortgages:
Secured 1-4 family real estate	170		—		—		170
Home equity lines of credit	174		—		—		174



	Fair Value		Level 1		Level 2		Level 3
December 31, 2012	(Amounts in thousands)
Other real estate owned	$	5,281	$	—	$	—	$	5,281
Impaired loans:
Construction	1,767		—		—		1,767
Commercial real estate:
Owner occupied	4,772		—		—		4,772
Non-owner occupied	472		—		—		472
Commercial	265		—		—		265

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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