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Fair Value Option and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

Fair Value Measurements

Schedule of balance of assets and liabilities which are measured at fair value on a recurring basis

		September 30, 2015
		Level 1			Level 2			Level 3			Total
Assets:
Investment securities available-for-sale
U.S. Treasury		$	1,515		$	-		$	-		$	1,515
U.S. government agencies			-			1,577			-			1,577
U.S. government agencies mortgage-backed			-			2,034			-			2,034
States and political subdivisions			-			23,052			118			23,170
Corporate Bonds			-			29,580			-			29,580
Collateralized mortgage obligations			-			70,877			-			70,877
Asset-backed securities			-			187,096			-			187,096
Collateralized loan obligations			-			92,987			-			92,987
Loans held-for-sale			-			3,899			-			3,899
Mortgage servicing rights			-			-			5,470			5,470
Other assets (Interest rate swap agreements)			-			157			-			157
Other assets (Mortgage banking derivatives)			-			230			-			230
Total		$	1,515		$	411,489		$	5,588		$	418,592
Liabilities:
Other liabilities (Interest rate swap agreements)		$	-		$	973		$	-		$	973
Total		$	-		$	973		$	-		$	973

		December 31, 2014
		Level 1			Level 2			Level 3			Total
Assets:
Investment securities available-for-sale
U.S. Treasury		$	1,527		$	-		$	-		$	1,527
U.S. government agencies			-			1,624			-			1,624
States and political subdivisions			-			21,900			118			22,018
Corporate bonds			-			30,985			-			30,985
Collateralized mortgage obligations			-			63,627			-			63,627
Asset-backed securities			-			120,555			52,941			173,496
Collateralized loan obligations			-			92,209			-			92,209
Loans held-for-sale			-			5,072			-			5,072
Mortgage servicing rights			-			-			5,462			5,462
Other assets (Interest rate swap agreements net of swap credit valuation)			-			30			-			30
Other assets (Mortgage banking derivatives)			-			143			-			143
Total		$	1,527		$	336,145		$	58,521		$	396,193
Liabilities:
Other liabilities (Interest rate swap agreements)		$	-		$	30		$	-		$	30
Total		$	-		$	30		$	-		$	30

Schedule of changes in Level 3 assets and liabilities measured at fair value on a recurring basis

		Nine months ended September 30, 2015
		Securities available-for-sale
					States and			Mortgage
		Asset-			Political			Servicing
		backed			Subdivisions			Rights
Beginning balance January 1, 2015		$	52,941		$	118		$	5,462
Transfers out of Level 3			(24,917)			-			-
Total gains or losses
Included in earnings (or changes in net assets)			(28)			-			(668)
Included in other comprehensive income			(541)			-			-
Purchases, issuances, sales, and settlements
Issuances			-			-			1,209
Settlements			-			-			(533)
Sales			(27,455)			-			-
Ending balance September 30, 2015		$	-		$	118		$	5,470

		Nine months ended September 30, 2014
		Securities available-for-sale
					States and			Mortgage			Interest Rate
		Asset-			Political			Servicing			Swap
		backed			Subdivisions			Rights			Valuation
Beginning balance January 1, 2014		$	154,137		$	125		$	5,807		$	(6)
Total gains or losses
Included in earnings (or changes in net assets)			3,178			-			(761)			6
Included in other comprehensive income			(1,748)			-			-			-
Purchases, issuances, sales, and settlements
Purchases			63,704			-			-			-
Issuances			-			-			594			-
Settlements			-			-			-			-
Sales			(135,490)			-			-			-
Ending balance September 30, 2014		$	83,781		$	125		$	5,640		$	-

Schedule of quantitative information about level 3 fair value measurements

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of September 30, 2015:

Weighted

Measured at fair value

Unobservable

Average

on a recurring basis:

Fair Value

Valuation Methodology

Inputs

Range of Input

of Inputs

Mortgage Servicing rights

$

5,470

Discounted Cash Flow

Discount Rate

9.7-15.5%

10.2

%

Prepayment Speed

6.0-34.2%

11.0

%

The following table and commentary presents quantitative and qualitative information about Level 3 fair value measurements as of December 31, 2014:

											Weighted
Measured at fair value							Unobservable				Average
on a recurring basis:		Fair Value			Valuation Methodology		Inputs		Range of Input		of Inputs
Mortgage Servicing rights		$	5,462		Discounted Cash Flow		Discount Rate		9.7-108.2%		10.2	%
							Prepayment Speed		5.0-78.4%		10.9	%
Asset-backed securities			52,941		Discounted Cash Flow		Credit Risk Premium		0.9-0.9%		0.9	%
					with comparable transaction yields		Liquidity Discount		3.5-3.7%		3.6	%

Schedule of assets and liabilities measured at fair value on a nonrecurring basis

		September 30, 2015
		Level 1			Level 2			Level 3			Total
Impaired loans1		$	-		$	-		$	292		$	292
Other real estate owned, net2			-			-			24,451			24,451
Total		$	-		$	-		$	24,743		$	24,743

1 Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans, had a carrying amount of $317,000, with a valuation allowance of $25,000 resulting in a decrease of specific allocations within the allowance for loan losses of $252,000 for the nine months ending September 30, 2015.

2 OREO is measured at the lower of carrying or fair value less costs to sell, and had a net carrying amount of $24.5 million, which is made up of the outstanding balance of $46.1 million, net of a valuation allowance of $19.9 million and participations of $1.7 million, at September 30, 2015.

		December 31, 2014
		Level 1			Level 2			Level 3			Total
Impaired loans1		$	-		$	-		$	564		$	564
Other real estate owned, net2			-			-			31,982			31,982
Total		$	-		$	-		$	32,546		$	32,546

1 Represents carrying value and related write-downs of loans for which adjustments are substantially based on the appraised value of collateral for collateral-dependent loans, had a carrying amount of $842,000, with a valuation allowance of $278,000, resulting in a decrease of specific allocations within the provision for loan losses of $2.1 million for the year ending December 31, 2014.

2 OREO is measured at the lower of carrying or fair value less costs to sell, and had a net carrying amount of $32.0 million, which is made up of the outstanding balance of $53.0 million, net of a valuation allowance of $19.2 million and participations of $1.8 million, at December 31, 2014.

X

- Definition

Tabular disclosure of the fair value measurement of assets and liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset or liability.

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Tabular disclosure of the inputs and valuation techniques used to measure fair value, and a discussion of changes in valuation techniques and related inputs, if any, applied during the period to each separate class of assets, liabilities, and financial instruments classified in shareholders' equity that are measured on a recurring and/or nonrecurring basis.

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Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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