MORTGAGE BANKING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2020

MORTGAGE BANKING ACTIVITIES

Activity for Mortgage Loans Held for Sale, at fair value

	Three Months Ended
	March 31,
(in thousands)	2020		2019
Balance, beginning of period	$	19,224	$	8,971
Origination of mortgage loans held for sale		125,273		40,714
Proceeds from the sale of mortgage loans held for sale		(109,918)		(39,632)
Net gain on sale of mortgage loans held for sale		4,805		1,260
Balance, end of period	$	39,384	$	11,313

Components of Mortgage Banking Income

	Three Months Ended
	March 31,
(in thousands)	2020		2019
Net gain realized on sale of mortgage loans held for sale	$	3,078	$	875
Net change in fair value recognized on loans held for sale		642		(82)
Net change in fair value recognized on rate lock loan commitments		3,779		487
Net change in fair value recognized on forward contracts		(2,694)		(20)
Net gain recognized		4,805		1,260
Loan servicing income		675		601
Amortization of mortgage servicing rights		(585)		(322)
Change in mortgage servicing rights valuation allowance		(100)		—
Net servicing income recognized		(10)		279
Total Mortgage Banking income	$	4,795	$	1,539

Activity for capitalized mortgage servicing rights

	Three Months Ended
	March 31,
(in thousands)	2020		2019
Balance, beginning of period	$	5,888	$	4,919
Additions		791		338
Amortized to expense		(585)		(322)
Change in valuation allowance		(100)		—
Balance, end of period	$	5,994	$	4,935

Schedule of activity in the valuation allowance for capitalized mortgage servicing rights

	Three Months Ended
	March 31,
(in thousands)	2020		2019
Beginning valuation allowance	$	—	$	—
Charge (credit) during the period		100		—
Ending valuation allowance	$	100	$	—

Other information relating to mortgage servicing rights

(in thousands)	March 31, 2020			December 31, 2019
Fair value of mortgage servicing rights portfolio	$	6,724		$	9,068
Monthly weighted average prepayment rate of unpaid principal balance*		292	%		202	%
Discount rate		10.00	%		10.00	%
Weighted average foreclosure rate		0.12	%		0.14	%
Weighted average life in years		4.29			5.76

*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, 2020				December 31, 2019
	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	$	38,208	$	39,384	$	18,690	$	19,224
Included in other assets:
Rate lock loan commitments	$	141,916	$	4,568	$	32,776	$	789
Included in other liabilities:
Mandatory forward contracts	$	149,480	$	2,826	$	44,919	$	131