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Investment Securities (Tables)
 6 Months Ended
Jun. 30, 2016
Investment Securities [Abstract]  
Amortized Cost and Fair Values of Securities

The amortized costs and approximate fair values, together with gross unrealized gains and losses on securities, are in the tables below.  All mortgage-backed securities and collateralized mortgage obligations held as of June 30, 2016 and December 31, 2015 were guaranteed by government sponsored entities, government corporations or federal agencies.





 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 



June 30, 2016



 

Amortized Cost

 

 

Gross Unrealized Gains

 

 

Gross Unrealized Losses

 

 

Fair Value

Available for Sale Securities

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

$

 96,051 

 

$

 2,615 

 

$

 (5)

 

$

 98,661 

Collateralized mortgage obligations

 

 70,659 

 

 

 1,254 

 

 

 (41)

 

 

 71,872 

Municipal obligations

 

 64,307 

 

 

 4,955 

 

 

 (1)

 

 

 69,261 

Corporate obligations

 

 12,807 

 

 

 45 

 

 

 (1,320)

 

 

 11,532 

Total investment securities

$

 243,824 

 

$

 8,869 

 

$

 (1,367)

 

$

 251,326 









 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 



December 31, 2015



 

Amortized Cost

 

 

Gross Unrealized Gains

 

 

Gross Unrealized Losses

 

 

Fair Value

Available for Sale Securities

 

 

 

 

 

 

 

 

 

 

 

Mortgage-backed securities

$

 106,524 

 

$

 1,562 

 

$

 (248)

 

$

 107,838 

Collateralized mortgage obligations

 

 84,976 

 

 

 537 

 

 

 (861)

 

 

 84,652 

Municipal obligations

 

 54,427 

 

 

 2,781 

 

 

 (20)

 

 

 57,188 

Corporate obligations

 

 12,805 

 

 

 1 

 

 

 (1,346)

 

 

 11,460 

Total investment securities

$

 258,732 

 

$

 4,881 

 

$

 (2,475)

 

$

 261,138 



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

 

 

 

 

 

 

Within one year

 

$

 -

 

$

 -

One to five years

 

 

 9,847 

 

 

 9,877 

Five to ten years

 

 

 5,987 

 

 

 6,539 

After ten years

 

 

 61,280 

 

 

 64,377 



 

 

 77,114 

 

 

 80,793 

Mortgage-backed securities

 

 

 96,051 

 

 

 98,661 

Collateralized mortgage obligations

 

 

 70,659 

 

 

 71,872 

Totals

 

$

 243,824 

 

$

 251,326 



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 June 30, 2016 and December 31, 2015:





 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



June 30, 2016



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

$

 1,390 

 

$

 (5)

 

$

 -

 

$

 -

 

$

 1,390 

 

$

 (5)

Collateralized mortgage obligations

 

 -

 

 

 -

 

 

 5,254 

 

 

 (41)

 

 

 5,254 

 

 

 (41)

Municipal obligations

 

 -

 

 

 -

 

 

 338 

 

 

 (1)

 

 

 338 

 

 

 (1)

Corporate obligations

 

 4,452 

 

 

 (48)

 

 

 2,534 

 

 

 (1,272)

 

 

 6,986 

 

 

 (1,320)

Total temporarily impaired securities

$

 5,842 

 

$

 (53)

 

$

 8,126 

 

$

 (1,314)

 

$

 13,968 

 

$

 (1,367)









 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



December 31, 2015



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

$

 38,649 

 

$

 (248)

 

$

 -

 

$

 -

 

$

 38,649 

 

$

 (248)

Collateralized mortgage obligations

 

 27,457 

 

 

 (281)

 

 

 21,271 

 

 

 (580)

 

$

 48,728 

 

$

 (861)

Municipal obligations

 

 2,739 

 

 

 (17)

 

 

 491 

 

 

 (3)

 

 

 3,230 

 

 

 (20)

Corporate obligations

 

 4,425 

 

 

 (75)

 

 

 2,534 

 

 

 (1,271)

 

 

 6,959 

 

 

 (1,346)

Total temporarily impaired securities

$

 73,270 

 

$

 (621)

 

$

 24,296 

 

$

 (1,854)

 

$

 97,566 

 

$

 (2,475)



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

The following tables provide information about debt securities for which only a credit loss was recognized in income and other losses are recorded in other comprehensive income for the three and six months ended June 30, 2016 and 2015. 



 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 



Three Months Ended

 

Six Months Ended



June 30,

 

June 30,



2016

 

2015

 

2016

 

2015

Credit losses on debt securities held

 

 

 

 

 

 

 

 

 

 

 

Beginning of period

$

 109 

 

$

 109 

 

$

 109 

 

$

 109 

Reductions related to actual losses incurred

 

 -

 

 

 -

 

 

 -

 

 

 -

As of June 30,

$

 109 

 

$

 109 

 

$

 109 

 

$

 109 



Pooled Trust Preferred Collateralized Debt Obligations

The following table provides additional information related to the Company’s investment in pooled trust preferred securities as of June 30, 2016:



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Deal Name

 

Class

 

Original Par

 

Book Value

 

Fair Value

 

Unrealized loss

 

Realized Losses
YTD

 

Lowest Current Rating

 

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

 

A1

 

$

 1,000 

 

$

 915 

 

$

 548 

 

$

 (367)

 

$

 -

 

CCC-

 

43 

 

50 

 

6.75 

%

 

10.68 

%

 

54.87 

%

U.S. Capital Funding I

 

B3

 

 

 3,000 

 

 

 2,891 

 

 

 1,986 

 

 

 (905)

 

 

 -

 

C  

 

29 

 

33 

 

7.95 

%

 

6.45 

%

 

11.81 

%



 

 

 

$

 4,000 

 

$

 3,806 

 

$

 2,534 

 

$

 (1,272)

 

$

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 



 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 







(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.