Schedule of Unrealized Losses and Estimated Fair Values |
The following table presents the gross unrealized losses and estimated fair values at December 31, 2016 for both available for sale and held to maturity securities by investment category and time frame for which the securities have been in a continuous unrealized loss position: | | | | | | | | | | | | | | | | | | | | | | | | | | Less Than 12 Months | | 12 Months or More | | Total | | Estimated Fair Value | | Gross Unrealized Losses | | Estimated Fair Value | | Gross Unrealized Losses | | Estimated Fair Value | | Gross Unrealized Losses | | (dollars in thousands) | Obligations of U.S. Government Agencies: | | | | | | | | | | | | Mortgage-Backed Securities – Residential | $ | 4,898 |
| | $ | (11 | ) | | $ | — |
| | $ | — |
| | $ | 4,898 |
| | $ | (11 | ) | Mortgage-Backed Securities – Commercial | 33,883 |
| | (561 | ) | | — |
| | — |
| | 33,883 |
| | (561 | ) | Obligations of U.S. Government-Sponsored Enterprises: | | | | | | | | | | | | Mortgage-Backed Securities – Residential | 670,708 |
| | (11,630 | ) | | 56,200 |
| | (2,202 | ) | | 726,908 |
| | (13,832 | ) | Mortgage-Backed Securities – Commercial | 14,534 |
| | (142 | ) | | — |
| | — |
| | 14,534 |
| | (142 | ) | Other Government-Sponsored Enterprises | 16,632 |
| | (69 | ) | | — |
| | — |
| | 16,632 |
| | (69 | ) | Obligations of States and Political Subdivisions | 33,277 |
| | (762 | ) | | — |
| | — |
| | 33,277 |
| | (762 | ) | Pooled Trust Preferred Collateralized Debt Obligations | — |
| | — |
| | 28,952 |
| | (7,124 | ) | | 28,952 |
| | (7,124 | ) | Total Securities | $ | 773,932 |
| | $ | (13,175 | ) | | $ | 85,152 |
| | $ | (9,326 | ) | | $ | 859,084 |
| | $ | (22,501 | ) |
At December 31, 2016, pooled trust preferred collateralized debt obligations accounted for 32% of unrealized losses due to changes in interest rates and the illiquid market for this type of investment. Fixed income securities issued by U.S. Government-sponsored enterprises comprised 62% of total unrealized losses due to changes in market interest rates. Government agencies and obligations of state and political subdivisions each account for 3% of total unrealized losses as a result of changes in market interest rates. At December 31, 2016, there were 122 debt securities in an unrealized loss position. There were no equity securities in an unrealized loss position at December 31, 2016.
The following table presents the gross unrealized losses and estimated fair value at December 31, 2015 for both available for sale and held to maturity securities by investment category and time frame for which the securities had been in a continuous unrealized loss position: | | | | | | | | | | | | | | | | | | | | | | | | | | Less Than 12 Months | | 12 Months or More | | Total | | Estimated Fair Value | | Gross Unrealized Losses | | Estimated Fair Value | | Gross Unrealized Losses | | Estimated Fair Value | | Gross Unrealized Losses | | (dollars in thousands) | Obligations of U.S. Government Agencies: | | | | | | | | | | | | Mortgage-Backed Securities – Residential | $ | 6,798 |
| | $ | (20 | ) | | $ | — |
| | $ | — |
|
| $ | 6,798 |
| | $ | (20 | ) | Mortgage-Backed Securities – Commercial | 16,596 |
| | (247 | ) | | — |
| | — |
| | 16,596 |
| | (247 | ) | Obligations of U.S. Government-Sponsored Enterprises: | | | | | | | | | | | | Mortgage-Backed Securities – Residential | 436,011 |
| | (3,293 | ) | | 263,119 |
| | (7,413 | ) |
| 699,130 |
| | (10,706 | ) | Mortgage-Backed Securities – Commercial | 15,009 |
| | (178 | ) | | — |
| | — |
| | 15,009 |
| | (178 | ) | Other Government-Sponsored Enterprises | 12,316 |
| | (85 | ) | | — |
| | — |
| | 12,316 |
| | (85 | ) | Obligations of States and Political Subdivisions | 7,208 |
| | (58 | ) | | — |
| | — |
| | 7,208 |
| | (58 | ) | Pooled Trust Preferred Collateralized Debt Obligations | — |
| | — |
| | 29,957 |
| | (7,497 | ) | | 29,957 |
| | (7,497 | ) | Total Securities | $ | 493,938 |
| | $ | (3,881 | ) | | $ | 293,076 |
| | $ | (14,910 | ) | | $ | 787,014 |
| | $ | (18,791 | ) |
|
Pooled Trust Preferred Collateralized Debt Obligations |
The following table provides additional information related to our pooled trust preferred collateralized debt obligations as of December 31, 2016: | | | | | | | | | | | | | | | | | | | | | | | | | | Deal | Class | | Book Value | | Estimated Fair Value | | Unrealized Gain (Loss) | | Moody’s/ Fitch Ratings | | Number of Banks | | Deferrals and Defaults as a % of Current Collateral | | Excess Subordination as a % of Current Performing Collateral | (dollars in thousands) | Pre TSL IV | Mezzanine | | $ | 1,830 |
| | $ | 1,360 |
| | $ | (470 | ) | | B1/BB | | 6 |
| | 18.05 | % | | 59.78 | % | Pre TSL VIII | Mezzanine | | 1,963 |
| | 2,053 |
| | 90 |
| | C/C | | 28 |
| | 44.37 |
| | 0.00 |
| Pre TSL IX | Mezzanine | | 2,412 |
| | 1,952 |
| | (460 | ) | | B1/C | | 37 |
| | 27.83 |
| | 12.79 |
| Pre TSL X | Mezzanine | | 1,738 |
| | 1,986 |
| | 248 |
| | Caa1/C | | 42 |
| | 31.58 |
| | 2.17 |
| Pre TSL XII | Mezzanine | | 5,890 |
| | 4,817 |
| | (1,073 | ) | | B3/C | | 64 |
| | 24.54 |
| | 0.00 |
| Pre TSL XIII | Mezzanine | | 12,949 |
| | 10,900 |
| | (2,049 | ) | | Ba3/C | | 54 |
| | 11.21 |
| | 55.77 |
| Pre TSL XIV | Mezzanine | | 12,995 |
| | 9,923 |
| | (3,072 | ) | | B1/CC | | 52 |
| | 12.78 |
| | 31.90 |
| MMCap I | Mezzanine | | 212 |
| | 301 |
| | 89 |
| | Ca/C | | 8 |
| | 58.11 |
| | 80.31 |
| Total | | | $ | 39,989 |
| | $ | 33,292 |
| | $ | (6,697 | ) | | | | | | | | |
|
Cumulative Roll Forward of Credit Losses Recognized in Earnings for Debt Securities Held and Not Intended to be Sold |
The table below provides a cumulative roll forward of credit losses recognized in earnings for debt securities held and not intended to be sold for the years ended December 31: | | | | | | | | | | | | | | 2016 | | 2015 | | 2014 | | (dollars in thousands) | Balance, beginning (a) | $ | 24,851 |
| | $ | 26,246 |
| | $ | 27,543 |
| Credit losses on debt securities for which other-than-temporary impairment was not previously recognized | — |
| | — |
| | — |
| Additional credit losses on debt securities for which other-than-temporary impairment was previously recognized | — |
| | — |
| | — |
| Increases in cash flows expected to be collected, recognized over the remaining life of the security (b) | (1,124 | ) | | (1,177 | ) | | (1,297 | ) | Reduction for debt securities called during the period | (6,671 | ) | | (218 | ) | | — |
| Balance, ending | $ | 17,056 |
| | $ | 24,851 |
| | $ | 26,246 |
|
| | (a) | The beginning balance represents credit related losses included in other-than-temporary impairment charges recognized on debt securities in prior periods. |
| | (b) | Represents the increase in cash flows recognized either as principal payments or interest income during the period. |
|