MORTGAGE BANKING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2015

MORTGAGE BANKING ACTIVITIES

Activity for Mortgage Loans Held for Sale

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2015		2014		2015		2014
Balance, beginning of period	$	10,277	$	6,809	$	6,388	$	3,506
Origination of mortgage loans held for sale		32,018		20,762		128,026		54,046
Proceeds from the sale of mortgage loans held for sale		(34,605)		(22,409)		(129,077)		(53,556)
Net gain on sale of mortgage loans held for sale		836		728		3,189		1,894
Balance, end of period	$	8,526	$	5,890	$	8,526	$	5,890

Components of Mortgage Banking Income

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2015		2014		2015		2014
Net gain realized on sale of mortgage loans held for sale	$	926	$	689	$	3,024	$	1,607
Net change in fair value recognized on loans held for sale		10		(65)		107		59
Net change in fair value recognized on rate lock commitments		(37)		79		89		258
Net change in fair value recognized on forward contracts		(63)		25		(31)		(30)
Net gain recognized		836		728		3,189		1,894
Loan servicing income		477		482		1,417		1,276
Amortization of mortgage servicing rights		(341)		(334)		(1,057)		(996)
Change in mortgage servicing rights valuation allowance		—		—		—		—
Net servicing income recognized		136		148		360		280
Total Mortgage Banking income	$	972	$	876	$	3,549	$	2,174

Activity for capitalized mortgage servicing rights

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2015		2014		2015		2014
Balance, beginning of period	$	4,971	$	5,009	$	4,813	$	5,409
Additions		338		206		1,212		468
Amortized to expense		(341)		(334)		(1,057)		(996)
Balance, end of period	$	4,968	$	4,881	$	4,968	$	4,881

Mortgage Servicing Rights

(dollars in thousands)	September 30, 2015		December 31, 2014
Fair value of mortgage servicing rights portfolio	$	6,728	$	6,651
Monthly prepayment rate of unpaid principal balance*		105% - 358%		95% - 462%
Discount rate		12%		10%
Weighted average default rate		1.50%		1.50%
Weighted average life in years		6.14		5.70

* Rates are applied to individual tranches with similar characteristics.

Schedule of notional amounts and fair values of mortgage banking derivatives

	Notional				Notional
	Amount		Fair Value		Amount		Fair Value
(in thousands)	September 30, 2015				December 31, 2014
Included in Mortgage loans held for sale:
Mortgage loans held for sale	$	8,296	$	8,526	$	6,265	$	6,388
Included in other assets:
Rate lock loan commitments	$	16,429	$	339	$	12,866	$	250
Included in other liabilities:
Mandatory forward contracts	$	19,412	$	64	$	13,181	$	33