Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2016

Fair Value Measurements

Summary of significant assets and liabilities carried at fair value and placement in the fair value hierarchy

	June 30, 2016
(Dollars in thousands)	(Level 1)		(Level 2)		(Level 3)
Assets measured on a recurring basis:
Loans held for sale	$	—	$	23,499	$	—
Derivative loan commitments	—		—		1,002
Liabilities measured on a recurring basis:
Forward loan sale commitments:
Best efforts contracts	—		—		554
Mandatory delivery contracts	—		13		—
TBA securities	—		226		—
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	—		—		816
Foreclosed real estate	—		—		907

	December 31, 2015
(Dollars in thousands)	(Level 1)		(Level 2)		(Level 3)
Assets measured on a recurring basis:
Loans held for sale	$	—	$	18,952	$	—
Derivative loan commitments	—		—		217
Forward sale mandatory delivery contracts	—		3		—
Liabilities measured on a recurring basis:
Forward loan sale commitments:
Best efforts contracts	—		—		175
TBA securities	—		5		—
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	—		—		1,084
Foreclosed real estate	—		—		710
Real estate held for sale	—		3,305		—

Schedule of changes in Level 3 assets and liabilities measured on a recurring basis

	Derivative Loan Commitments and Forward Loan Sale Commitments
	Three months ended June 30,
(Dollars in thousands)	2016			2015
Balance at beginning of period	$	354		$	122
Gains on new commitments during the period	466			374
Gain (losses) arising during the period	(18		)	32
Reclassifications of realized gains (losses) on settled commitments	(354		)	(110		)
Balance at end of period	448			418

	Derivative Loan Commitments and Forward Loan Sale Commitments
	Six months ended June 30,
(Dollars in thousands)	2016			2015
Balance at beginning of period	$	42		$	2
Gains on new commitments during the period	841			415
Gain (losses) arising during the period	(18		)	2
Reclassifications of realized gains (losses) on settled commitments	(417		)	(1		)
Balance at end of period	448			418

Schedule of additional quantitative information about assets and liabilities measured at fair value on a recurring and non-recurring basis for which the Bank utilized Level 3 inputs to determine fair value

June 30, 2016

(Dollars in thousands)	Fair Value			Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Assets measured on a recurring basis:
Derivative loan commitments	$	1,002		Investor pricing	Pull-through rate	76.2% – 100	%
Liabilities measured on a recurring basis:
Forward loan sale commitments	(554		)	Investor pricing	Pull-through rate	82.5% – 100	%
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	816			Discounted appraisal	Collateral discounts	5 – 30	%
Foreclosed real estate	907			Discounted appraisal	Collateral discounts	5 – 30	%

December 31, 2015

(Dollars in thousands)	Fair Value			Valuation Technique	Unobservable Input	Unobservable Input Value or Range
Assets measured on a recurring basis:
Derivative commitments	$	217		Investor pricing	Pull-through rate	79.6% – 100	%
Liabilities measured on a recurring basis:
Forward loan sale commitments	(175		)	Investor pricing	Pull-through rate	82.5% – 100	%
Assets measured on a non-recurring basis:
Impaired loans (collateral dependent)	1,084			Discounted appraisals	Collateral discounts	5 – 30	%
Foreclosed real estate	710			Discounted appraisals	Collateral discounts	5 – 30	%

Summary of carrying values, estimated fair values and placement in the fair value hierarchy of the Corporation's financial instruments

	June 30, 2016				Fair value measurement
(Dollars in thousands)	Carrying Amount		Fair Value		Level 1 inputs		Level 2 Inputs		Level 3 Inputs
Financial assets:
Loans, net	$	504,311	$	513,306	$	—	$	—	$	513,306
FHLB stock	6,500		N/A		—		—		N/A
Financial liabilities:
Certificates of deposit	114,636		114,885		—		114,885		—
Borrowed funds	138,850		138,845		—		138,845		—

	December 31, 2015				Fair value measurement
(Dollars in thousands)	Carrying Amount		Fair Value		Level 1 inputs		Level 2 Inputs		Level 3 Inputs
Financial assets:
Loans, net	$	467,023	$	471,245	$	—	$	—	$	471,245
FHLB stock	5,283		N/A		—		—		N/A
Financial liabilities:
Certificates of deposit	109,038		109,423		—		109,423		—
Borrowed funds	115,500		115,495		—		115,495		—

(1)  Excluded from this table are certain financial instruments that approximate fair value, as they were short-term in nature or payable on demand.  These include cash and cash equivalents, certificates of deposit, accrued interest receivable, non-term deposit accounts, and accrued interest payable.  The respective carrying values of cash and cash equivalents, certificates of deposit and non-term deposit accounts would all be considered to be classified within Level 1 of their fair value hierarchy.  The $1.5 million and $1.4 million carrying value of accrued interest receivable on loans would generally be considered Level 3 in the fair value hierarchy and the carrying value of accrued interest payable of $38,000 and $24,000 at June 30, 2016 and December 31, 2015, respectively would be considered Level 2.