MORTGAGE BANKING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 2017

MORTGAGE BANKING ACTIVITIES

Activity for Mortgage Loans Held for Sale, at fair value

	Three Months Ended				Six Months Ended
	June 30,				June 30,
(in thousands)	2017		2016		2017		2016
Balance, beginning of period	$	5,193	$	7,148	$	11,662	$	4,083
Origination of mortgage loans held for sale		42,531		58,795		75,776		95,787
Proceeds from the sale of mortgage loans held for sale		(42,946)		(55,128)		(83,637)		(90,150)
Net gain on sale of mortgage loans held for sale		1,279		1,465		2,256		2,560
Balance, end of period	$	6,057	$	12,280	$	6,057	$	12,280

Components of Mortgage Banking Income

	Three Months Ended				Six Months Ended
	June 30,				June 30,
(in thousands)	2017		2016		2017		2016
Net gain realized on sale of mortgage loans held for sale	$	1,173	$	1,266	$	2,114	$	2,107
Net change in fair value recognized on loans held for sale		118		39		111		98
Net change in fair value recognized on rate lock loan commitments		(36)		260		283		535
Net change in fair value recognized on forward contracts		23		(100)		(252)		(180)
Net gain recognized		1,278		1,465		2,256		2,560
Loan servicing income		528		473		1,063		944
Amortization of mortgage servicing rights		(361)		(378)		(714)		(683)
Net servicing income recognized		167		95		349		261
Total Mortgage Banking income	$	1,445	$	1,560	$	2,605	$	2,821

Activity for capitalized mortgage servicing rights

	Three Months Ended				Six Months Ended
	June 30,				June 30,
(in thousands)	2017		2016		2017		2016
Balance, beginning of period	$	5,158	$	4,891	$	5,180	$	4,912
Additions		361		485		692		769
Amortized to expense		(361)		(378)		(714)		(683)
Balance, end of period	$	5,158	$	4,998	$	5,158	$	4,998

Other information relating to mortgage servicing rights

(dollars in thousands)	June 30, 2017			December 31, 2016
Fair value of mortgage servicing rights portfolio	$	7,761		$	7,478
Monthly weighted average prepayment rate of unpaid principal balance*		197	%		158	%
Discount rate		10	%		13	%
Weighted average default rate		3.90	%		1.50	%
Weighted average life in years		5.56			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

	June 30, 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	$	5,852	$	6,057	$	11,568	$	11,662
Included in other assets:
Rate lock loan commitments	$	32,110	$	582	$	19,521	$	299
Mandatory forward contracts		—		—		25,618		204
Included in other liabilities:
Mandatory forward contracts	$	36,179	$	48	$	—	$	—