Fair Value (Tables)

9 Months Ended

Sep. 30, 2013

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



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

Balance, June 30, 2013	$	154		$	154
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(8		)	(8		)
Balance, September 30, 2013	$	146		$	146

The following table presents a rollforward of interest rate swaps from December 31, 2011 to September 30, 2012, and from December 31, 2012 to September 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, September 30, 2012	$	213		$	213

Balance, December 31, 2012	$	196		$	196
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(50		)	(50		)
Balance, September 30, 2013	$	146		$	146

Level 3 Fair Value Reconciliation

The following table presents a rollforward of mortgage servicing rights for the three and nine months ended September 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, June 30, 2013 and 2012	$	3,825	$	1,889
Capitalized	506		300
Gains (losses) included in other income	50		(153		)
Balance, September 30, 2013 and 2012	$	4,381	$	2,036

	Level 3
	Fair Value		Fair Value
	(In thousands)
Balance, December 31, 2012 and 2011	$	2,525	$	1,871
Capitalized	1,193		645
Gains (losses) included in other income	663		(480		)
Balance, September 30, 2013 and 2012	$	4,381	$	2,036

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



	Interest Rate Lock Commitments
	Level 3
	Fair Value			Fair Value
	(In thousands)
Balance, June 30, 2013 and 2012	$	(312	)	$	578
Gains (losses) included in other income	796			(1,069		)
Transfer in and out	—			—
Balance, September 30, 2013 and 2012	$	484		$	(491	)

The following table presents a rollforward of interest rate lock commitments for the nine months ended September 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	(389		)	(621		)
Transfer in and out	—			—
Balance, September 30, 2013 and 2012	$	484		$	(491	)

Assets and Liabilities Measured on a Recurring Basis

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



September 30, 2013 (in thousands)	Fair Value			Level 1		Level 2			Level 3
Available-for-sale securities:
U.S. government agencies	$	16,536		$	—	$	16,536		$	—
Government sponsored agencies:
Residential mortgage-backed securities	118,568			—		118,568			—
Collateralized mortgage obligations	69,492			—		69,492			—
Private label collateralized mortgage obligations	11,432			—		11,432			—
State and municipal securities	109,626			—		109,626			—
Common and preferred stocks	3,036			3,036		—			—
Interest rate swap agreements	146			—		—			146
Interest rate swap agreements	(146		)	—		—			(146		)
Interest rate lock commitments	484			—		—			484
Forward loan sale commitments	(260		)	—		(260		)	—
Mortgage servicing rights	4,381			—		—			4,381



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 September 30, 2013 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Avg)
Recurring measurements:
Interest Rate Swaps	$	146	Discounted cash flow	Discount rate	0.99%
Interest Rate Lock Commitments	484		Pricing model	Pull through rates	81.17%
Mortgage Servicing Rights	4,381		Discounted cash flow	Constant prepayment rate	10.09%
				Cost of service	$50
				Discount rate	8%
Nonrecurring measurements:
Impaired loans	$	4,825	Discounted appraisals	Collateral discounts	15%
Other real estate owned	291		Discounted appraisals	Collateral discounts	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	83.90%
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
September 30, 2013	(Amounts in thousands)
Other real estate owned	$	291	$	—	$	—	$	291
Impaired loans:
Owner occupied	4,472		—		—		4,472
Secured 1-4 family real estate	352		—		—		352



	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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