Fair Value (Tables)

3 Months Ended

Mar. 31, 2014

The following table presents a rollforward of interest rate swaps from December 31, 2013 to March 31, 2014, and from December 31, 2012 to March 31, 2013.



	Level 3
	Fair Value- Assets			Fair Value- Liabilities
	(Amounts in thousands)
Balance, December 31, 2012	$	196		$	196
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(16		)	(16		)
Balance, March 31, 2013	$	180		$	180

Balance, December 31, 2013	$	132		$	132
Purchases, sales, issuances and settlements	—			—
Gains (losses) included in other income	(13		)	(13		)
Balance, March 31, 2014	$	119		$	119

Level 3 Fair Value Reconciliation

The following table presents a rollforward of mortgage servicing rights for the three months ended March 31, 2014 and 2013 and shows that the mortgage servicing rights are classified as Level 3 as discussed above.



	Level 3
	Fair Value		Fair Value
	(In thousands)
Balance, December 31, 2013 and 2012	$	4,536	$	2,525
Capitalized	135		418
Gains (losses) included in other income	111		102
Balance, March 31, 2014 and 2013	$	4,782	$	3,045

The following table presents a rollforward of interest rate lock commitments for the three months ended March 31, 2014 and 2012, respectively.



	Interest Rate Lock Commitments
	Level 3
	Fair Value			Fair Value
	(In thousands)
Balance, December 31, 2013 and 2012	$	(23	)	$	873
Gains (losses) included in other income	201			(66		)
Transfer in and out	—			—
Balance, March 31, 2014 and 2013	$	178		$	807

Assets and Liabilities Measured on a Recurring Basis

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



March 31, 2014 (in thousands)	Fair Value			Level 1		Level 2		Level 3
Available-for-sale securities:
U.S. government agencies	$	16,324		$	—	$	16,324	$	—
Government sponsored agencies:
Residential mortgage-backed securities	103,185			—		103,185		—
Collateralized mortgage obligations	48,740			—		48,740		—
Private label collateralized mortgage obligations	13,594			—		13,594		—
State and municipal securities	82,178			—		82,178		—
Common and preferred stocks	3,072			3,072		—		—
Interest rate swap agreements	119			—		—		119
Interest rate swap agreements	(119		)	—		—		(119		)
Interest rate lock commitments	178			—		—		178
Forward loan sale commitments	39			—		39		—
Mortgage servicing rights	4,782			—		—		4,782



December 31, 2013 (in thousands)	Fair Value			Level 1		Level 2		Level 3
Available-for-sale securities:
U.S. government agencies	$	16,392		$	—	$	16,392	$	—
Government sponsored agencies:
Residential mortgage-backed securities	103,441			—		103,441		—
Collateralized mortgage obligations	52,743			—		52,743		—
Private label collateralized mortgage obligations	14,491			—		14,491		—
State and municipal securities	98,704			—		98,704		—
Common and preferred stocks	3,151			3,151		—		—
Interest rate swap agreements	132			—		—		132
Interest rate swap agreements	(132		)	—		—		(132		)
Interest rate lock commitments	(23		)	—		—		(23		)
Forward loan sale commitments	147			—		147		—
Mortgage servicing rights	4,536			—		—		4,536

Level 3 Inputs, Quantitative Information



	Fair Value at March 31, 2014 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Avg)
Recurring measurements:
Interest Rate Swaps	$	119	Discounted cash flow	Discount rate	0.35%
Interest Rate Lock Commitments	178		Pricing model	Pull through rates	79.06%
Mortgage Servicing Rights	4,782		Discounted cash flow	Constant prepayment rate	9.24%
				Cost of service	$50
				Discount rate	8%
Nonrecurring measurements:
Impaired loans	$	5,642	Discounted appraisals	Collateral discounts	15%
Other real estate owned	289		Discounted appraisals	Collateral discounts	15%



	Fair Value at December 31, 2013 (in thousands)			Valuation Technique	Unobservable Input	Range (Weighted Avg)
Recurring measurements:
Interest Rate Swaps	$	132		Discounted cash flow	Discount rate	0.50%
Interest Rate Lock Commitments	(23		)	Pricing model	Pull through rates	86.40%
Mortgage Servicing Rights	4,536			Discounted cash flow	Constant prepayment rate	9.72%
					Cost of service	$50
					Discount rate	8%
Nonrecurring measurements:
Impaired loans	$	6,058		Discounted appraisals	Collateral discounts	10-15%
Other real estate owned	1,034			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
March 31, 2014	(Amounts in thousands)
Other real estate owned	$	289	$	—	$	—	$	289
Impaired loans:
Owner occupied	4,869		—		—		4,869
Non-owner occupied	603		—		—		603
Mortgages:
Secured 1-4 family real estate	170		—		—		170



	Fair Value		Level 1		Level 2		Level 3
December 31, 2013	(Amounts in thousands)
Other real estate owned	$	1,034	$	—	$	—	$	1,034
Impaired loans:
Construction	160		—		—		160
Commercial real estate:
Owner occupied	4,930		—		—		4,930
Non-owner occupied	595		—		—		595
Commercial	203		—		—		203
Mortgages:
Secured 1-4 family real estate	170		—		—		170

- 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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