MORTGAGE BANKING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2017

MORTGAGE BANKING ACTIVITIES

Activity for Mortgage Loans Held for Sale, at fair value

	Three Months Ended
	March 31,
(in thousands)	2017		2016
Balance, beginning of period	$	11,662	$	4,083
Origination of mortgage loans held for sale		33,245		36,992
Proceeds from the sale of mortgage loans held for sale		(40,691)		(35,022)
Net gain on sale of mortgage loans held for sale		977		1,095
Balance, end of period	$	5,193	$	7,148

Components of Mortgage Banking Income

	Three Months Ended
	March 31,
(in thousands)	2017		2016
Net gain realized on sale of mortgage loans held for sale	$	788	$	841
Net change in fair value recognized on loans held for sale		(7)		59
Net change in fair value recognized on rate lock loan commitments		319		275
Net change in fair value recognized on forward contracts		(123)		(80)
Net gain recognized		977		1,095
Loan servicing income		536		471
Amortization of mortgage servicing rights		(353)		(305)
Net servicing income recognized		183		166
Total Mortgage Banking income	$	1,160	$	1,261

Activity for capitalized mortgage servicing rights

	Three Months Ended
	March 31,
(in thousands)	2017		2016
Balance, beginning of period	$	5,180	$	4,912
Additions		331		284
Amortized to expense		(353)		(305)
Balance, end of period	$	5,158	$	4,891

Other information relating to mortgage servicing rights

(dollars in thousands)	March 31, 2017		December 31, 2016
Fair value of mortgage servicing rights portfolio	$	7,857	$	7,478
Monthly weighted average prepayment rate of unpaid principal balance*		196%		158%
Discount rate		10%		13%
Weighted average default rate		2.94%		1.50%
Weighted average life in years		5.51		6.75

* Rates are applied to individual tranches with similar characteristics.

Schedule of notional amounts and fair values of mortgage loans held for sale at fair value and mortgage banking derivatives

	March 31, 2017				December 31, 2016
	Notional				Notional
(in thousands)	Amount		Fair Value		Amount		Fair Value
Included in Mortgage loans held for sale:
Mortgage loans held for sale, at fair value	$	5,106	$	5,193	$	11,568	$	11,662
Included in other assets:
Rate lock loan commitments	$	32,630	$	618	$	19,521	$	299
Mandatory forward contracts		—		—		25,618		204
Included in other liabilities:
Mandatory forward contracts	$	30,367	$	71	$	—	$	—