Impairment of Investment Securities (Tables)

9 Months Ended

Sep. 30, 2012

Schedule of Unrealized Losses and Estimated Fair Values

The following table presents the gross unrealized losses and estimated fair values at September 30, 2012 by investment category and time frame for which 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	$	0	$	0		$	14	$	0	(a)	$	14	$	0
Obligations of U.S. Government- Sponsored Enterprises:
Mortgage-Backed Securities – Residential		26		0	(a)		0		0			26		0
Other Government-Sponsored Enterprises		2,398		(2	)		0		0			2,398		(2	)
Pooled Trust Preferred Collateralized Debt Obligations		0		0			22,996		(29,647	)		22,996		(29,647	)
Total Debt Securities		2,424		(2	)		23,010		(29,647	)		25,434		(29,649	)
Equities		0		0			0		0			0		0
Total Securities Available for Sale	$	2,424	$	(2	)	$	23,010	$	(29,647	)	$	25,434	$	(29,649	)

(a) Gross unrealized losses related to these types of securities are less than $1 thousand.

The following table presents the gross unrealized losses and estimated fair values at December 31, 2011 by investment category and time frame for which 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	$	1,086	$	(6	)	$	16	$	0	(a)	$	1,102	$	(6	)
Obligations of U.S. Government- Sponsored Enterprises:
Mortgage-Backed Securities – Residential		25		0	(a)		0		0			25		0
Mortgage-Backed Securities – Commercial		151		(1	)		0		0			151		(1	)
Other Government-Sponsored Enterprises		55,969		(132	)		0		0			55,969		(132	)
Corporate Securities		4,536		(562	)		0		0			4,536		(562	)
Pooled Trust Preferred Collateralized Debt Obligations		0		0			22,927		(31,785	)		22,927		(31,785	)
Total Securities Available for Sale	$	61,767	$	(701	)	$	22,943	$	(31,785	)	$	84,710	$	(32,486	)

(a) Gross unrealized losses related to these types of securities are less than $1 thousand.

Pooled Trust Preferred Collateralized Debt Obligations

The following table provides information related to our pooled trust preferred collateralized debt obligations as of September 30, 2012:

Deal	Class	Book Value		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 I	Senior	$	1,009	$	993	$	(16	)	Aa3/A		17		38.98	%		213.61	%
Pre TSL IV	Mezzanine		1,830		645		(1,185	)	Caa2/CCC		6		27.07			95.96
Pre TSL V	Mezzanine		53		55		2		C/–		3		100.00			0.00
Pre TSL VII	Mezzanine		4,114		3,419		(695	)	Ca/C		17		45.50			0.00
Pre TSL VIII	Mezzanine		1,794		1,016		(778	)	C/C		34		48.43			0.00
Pre TSL IX	Mezzanine		2,259		811		(1,448	)	Ca/C		47		25.88			9.64
Pre TSL X	Mezzanine		1,447		1,118		(329	)	Ca/C		51		38.24			0.00
Pre TSL XII	Mezzanine		5,516		2,696		(2,820	)	Ca/C		73		34.04			0.00
Pre TSL XIII	Mezzanine		12,418		4,714		(7,704	)	Ca/C		63		37.50			13.84
Pre TSL XIV	Mezzanine		13,069		4,570		(8,499	)	Ca/C		61		40.08			32.10
MMCap I	Senior		1,898		1,841		(57	)	A3/A		17		48.60			565.56
MMCap I	Mezzanine		849		455		(394	)	Ca/C		17		48.60			14.50
MM Comm IX	Mezzanine		6,440		718		(5,722	)	Ca/CC		30		39.29			0.00
Total		$	52,696	$	23,051	$	(29,645	)

Cumulative Roll Forward of Credit Losses Recognized in Earnings for Debt Securities held and not Intended to be Sold

The following provides a cumulative roll forward of credit losses recognized in earnings for debt securities held and not intended to be sold:

	For the Three-Months Ended September 30,					For the Nine-Months Ended September 30,
	2012			2011		2012			2011
	(dollars in thousands)
Balance, beginning (a)	$	44,230		$	44,850	$	44,736		$	44,850
Credit losses on debt securities for which other-than-temporary impairment was not previously recognized		0			0		0			0
Additional credit losses on debt securities for which other-than-temporary impairment was previously recognized		0			0		0			0
Increases in cash flows expected to be collected, recognized over the remaining life of the security (b)		(436	)		0		(942	)		0
Balance, ending	$	43,794		$	44,850	$	43,794		$	44,850

(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 in interest income during the period.