MORTGAGE BANKING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2017

MORTGAGE BANKING ACTIVITIES

Activity for Mortgage Loans Held for Sale, at fair value

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2017		2016		2017		2016
Balance, beginning of period	$	6,057	$	12,280	$	11,662	$	4,083
Origination of mortgage loans held for sale		43,489		58,820		119,265		154,607
Transferred from held for investment to held for sale		—		71,201		—		71,201
Proceeds from the sale of mortgage loans held for sale		(46,428)		(136,946)		(130,065)		(227,096)
Net gain on sale of mortgage loans held for sale		965		3,087		3,221		5,647
Balance, end of period	$	4,083	$	8,442	$	4,083	$	8,442

Components of Mortgage Banking Income

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2017		2016		2017		2016
Net gain realized on sale of mortgage loans held for sale	$	1,161	$	1,754	$	3,275	$	3,861
Net gain realized on sale of mortgage loans transferred from held for investment to held for sale		—		1,129		—		1,129
Net change in fair value recognized on loans held for sale		(102)		57		9		155
Net change in fair value recognized on rate lock loan commitments		(98)		69		185		604
Net change in fair value recognized on forward contracts		4		78		(248)		(102)
Net gain recognized		965		3,087		3,221		5,647
Loan servicing income		527		511		1,590		1,455
Amortization of mortgage servicing rights		(390)		(517)		(1,104)		(1,200)
Net servicing income recognized		137		(6)		486		255
Total Mortgage Banking income	$	1,102	$	3,081	$	3,707	$	5,902

Activity for capitalized mortgage servicing rights

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands)	2017		2016		2017		2016
Balance, beginning of period	$	5,158	$	4,998	$	5,180	$	4,912
Additions		360		857		1,052		1,626
Amortized to expense		(390)		(517)		(1,104)		(1,200)
Balance, end of period	$	5,128	$	5,338	$	5,128	$	5,338

Other information relating to mortgage servicing rights

(dollars in thousands)	September 30, 2017			December 31, 2016
Fair value of mortgage servicing rights portfolio	$	7,729		$	7,478
Monthly weighted average prepayment rate of unpaid principal balance*		204	%		158	%
Discount rate		10	%		13	%
Weighted average default rate		3.72	%		1.50	%
Weighted average life in years		5.42			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

	September 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	$	3,980	$	4,083	$	11,568	$	11,662
Included in other assets:
Rate lock loan commitments	$	19,810	$	484	$	19,521	$	299
Mandatory forward contracts		—		—		25,618		204
Included in other liabilities:
Mandatory forward contracts	$	24,724	$	44	$	—	$	—