Investment Securities (Tables)

9 Months Ended

Sep. 30, 2014

Amortized Cost and Fair Values of Securities

The amortized costs and approximate fair values, together with gross unrealized gains and losses on securities, are as follows:



	September 30, 2014
		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available for Sale Securities
Mortgage-backed securities
Government-sponsored agencies	$	113,082	$	2,269	$	(598)	$	114,753
Collateralized mortgage obligations
Government-sponsored agencies		98,705		1,199		(1,298)		98,606
Federal agencies		4		-		-		4
Municipal obligations		27,259		1,711		(15)		28,955
Corporate obligations		24,150		94		(2,506)		21,738
Total investment securities	$	263,200	$	5,273	$	(4,417)	$	264,056



	December 31, 2013
		Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available for Sale Securities
Mortgage-backed securities
Government-sponsored agencies	$	104,006	$	1,700	$	(2,189)	$	103,517
Collateralized mortgage obligations
Government-sponsored agencies		108,305		1,207		(1,934)		107,578
Federal agencies		5,005		-		(231)		4,774
Municipal obligations		27,357		257		(276)		27,338
Corporate obligations		24,648		18		(3,525)		21,141
Total investment securities	$	269,321	$	3,182	$	(8,155)	$	264,348

Amortized Cost and Fair Value of Available for Sale Securities by Contractual Maturity



	Available for Sale
Description Securities	Amortized Cost		Fair Value
Security obligations due
One to five years	$	9,598	$	9,634
Five to ten years		10,778		10,864
After ten years		31,037		30,199
		51,413		50,697
Mortgage-backed securities
Government-sponsored agencies		113,082		114,753
Collateralized mortgage obligations
Government-sponsored agencies		98,705		98,606
Totals	$	263,200	$	264,056

Investments Gross Unrealized Losses and Fair Value in Continuous Unrealized Loss Position

The following tables show the gross unrealized losses and fair value of the Company’s investments, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position at September 30, 2014 and December 31, 2013:



	September 30, 2014
	Less than 12 Months				12 Months or More				Total
		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Available for Sale
Mortgage-backed securities
Government-sponsored agencies	$	10,387	$	(98)	$	29,284	$	(500)	$	39,671	$	(598)
Collateralized mortgage obligations
Government-sponsored agencies		12,910		(168)		34,981		(1,130)		47,891		(1,298)
Federal agencies		4		-		-		-		4		-
Municipal obligations		-		-		623		(15)		623		(15)
Corporate obligations		-		-		8,188		(2,506)		8,188		(2,506)
Total temporarily impaired securities	$	23,301	$	(266)	$	73,076	$	(4,151)	$	96,377	$	(4,417)


	December 31, 2013
	Less than 12 Months				12 Months or More				Total
		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Available for Sale
Mortgage-backed securities
Government-sponsored agencies	$	67,130	$	(2,189)	$	-	$	-	$	67,130	$	(2,189)
Collateralized mortgage obligations
Government-sponsored agencies		51,753		(1,934)		-		-	$	51,753	$	(1,934)
Federal agencies		4,769		(231)						4,769		(231)
Municipal obligations		11,264		(245)		741		(31)		12,005		(276)
Corporate obligations		8,849		(151)		3,336		(3,374)		12,185		(3,525)
Total temporarily impaired securities	$	143,765	$	(4,750)	$	4,077	$	(3,405)	$	147,842	$	(8,155)

Debt Securities for which Credit Loss was Recognized in Income and Other Losses Recorded in Other Comprehensive Income

The following table provides information about debt securities for which only a credit loss was recognized in income and other losses are recorded in other comprehensive income.



	Accumulated Credit Losses
	Three Months Ended
	September 30,
	2014		2013
Credit losses on debt securities held
Beginning of period	$	705	$	1,205
Reductions related to actual losses incurred		-		-
As of September 30,	$	705	$	1,205



	Accumulated Credit Losses
	Nine Months Ended
	September 30,
	2014		2013
Credit losses on debt securities held
Beginning of year	$	1,205	$	1,205
Reductions related to actual losses incurred		(500)		-
As of September 30,	$	705	$	1,205

Pooled Trust Preferred Collateralized Debt Obligations

The following table provides additional information related to the Bank’s investment in trust preferred securities as of September 30, 2014.



Deal Name	Class	Original Par		Book Value		Fair Value		Unrealized gain (loss)		Realized Losses YTD		Lowest Ratings	Number of Banks / Insurance Cos. Currently Performing	Total Number of Banks and Insurance Cos. In Issuance (Unique)	Actual Deferrals/ Defaults (as a % of original collateral)		Total Projected Defaults (as a % of performing collateral) (1)		Excess subordination (after taking into account best estimate of future deferrals/ defaults) (2)
	(Dollars in Thousands)
Alesco Preferred Funding IX	B+		1,000		909		559		(350)		-	B2	41	52	14.69	%	15.78	%	54.50	%
Preferred Term Securities XIII	Caa1		1,000		767		423		(344)		-	Ca	44	61	25.75	%	20.21	%	4.36	%
Preferred Term Securities XVIII	Ca		1,000		917		430		(487)		-	Ca	52	72	22.51	%	10.03	%	6.43	%
Preferred Term Securities XXVII	Caa3		1,000		710		386		(324)		-	C	33	46	22.62	%	16.29	%	10.02	%
U.S. Capital Funding I	B3		3,000		2,891		1,936		(955)		-	Caa1	28	33	9.44	%	8.60	%	8.90	%
		$	7,000	$	6,194	$	3,734	$	(2,460)	$	-

(1) A 10% recovery is applied to all projected defaults by depository institutions. A 15% recovery is applied to all projected defaults by insurance companies. No recovery is applied to current defaults.

(2) Excess subordination represents the additional defaults in excess of both current and projected defaults that the CDO can absorb before the bond experiences any credit impairment. Excess subordinated percentage is calculated by (a) determining what percentage of defaults a deal can experience before the bond has credit impairment, and (b) subtracting from this default breakage percentage both total current and expected future default percentages.

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

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- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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