MBS And Other Investments	3 Months Ended
Dec. 31, 2011
MBS And Other Investments
MBS And Other Investments	(4) MBS AND OTHER INVESTMENTS MBS and other investments have been classified according to management's intent and are as follows as of December 31, 2011 and September 30, 2011 (dollars in thousands): Gross Gross Amortized Unrealized Unrealized Fair Cost Gains Losses Value --------- ---------- ---------- ------- December 31, 2011 ---------------- Held to Maturity MBS: U.S. government agencies $ 1,770 $ 47 $ (4) $ 1,813 Private label residential 2,144 207 (188) 2,163 U.S. agency securities 27 3 - - 30 ------- ------- ------ ------- Total $ 3,941 $ 257 $ (192) $4,006 ====== ====== ===== ==== Available for Sale MBS: U.S. government agencies $ 4,062 $ 163 $ - - $ 4,225 Private label residential 1,148 60 (144) 1,064 Mutual funds 1,000 - - (5) 995 ------- ------- ------ ------- Total $ 6,210 $ 223 $ (149) $ 6,284 ===== ====== ====== === September 30, 2011 ------------------ Held to Maturity MBS: U.S. government agencies $ 1,831 $ 45 $ (4) $ 1,872 Private label residential 2,287 311 (271) 2,327 U.S. agency securities 27 3 - - 30 ------- ------- ------ ------- Total $4,145 $ 359 $ (275) $4,229 ======= ===== ==== ===== Available for Sale MBS: U.S. government agencies $ 4,395 $ 188 $ - - $ 4,583 Private label residential 1,227 59 (152) 1,134 Mutual funds 1,000 - - - - 1,000 ------- ------- ------ ------- Total $ 6,622 $ 247 $ (152) $6,717 ===== ===== ===== ===== The estimated fair value of temporarily impaired securities, the amount of unrealized losses and the length of time these unrealized losses existed as of December 31, 2011 are as follows (dollars in thousands): Less Than 12 Months 12 Months or Longer ------------------------- ----------------------Total Esti- Esti- Esti- mated Gross mated Gross mated Gross Fair Unrealized Fair Unrealized Fair Unrealized Value Losses Value Losses Value Losses ----- ------ ----- ------ ----- ------ Held to Maturity MBS: U.S. government agencies $ 106 $ (1) $ 348 $ (3) $ 454 $ (4) Private label residential 76 (3) 1,118 (185) 1,194 (188) ----- ----- ------ ------ ------ ----- Total $ 182 $ (4) $1,466 $ (188) $1,648 $(192) ===== ==== ===== ===== ===== ===== Available for Sale MBS: U.S. government agencies $ - - $ - - $ - - $ - - $ - - $ - - Private label residential - - - - 724 (144) 724 (144) Mutual funds - - - - 995 (5) 995 (5) ----- ----- ------ ------ ------ ----- Total $ - - $ - - $1,719 $ (149) $1,719 $(149) ===== ===== ====== ====== ===== ===== During the three months ended December 31, 2011 and 2010, the Company recorded net OTTI charges through earnings on residential MBS of $60,000 and $136,000, respectively. The Company provides for the bifurcation of OTTI into (i) amounts related to credit losses which are recognized through earnings, and (ii) amounts related to all other factors which are recognized as a component of other comprehensive income (loss). To determine the component of the gross OTTI related to credit losses, the Company compared the amortized cost basis of each OTTI security to the present value of its revised expected cash flows, discounted using its pre-impairment yield. The revised expected cash flow estimates for individual securities are based primarily on an analysis of default rates, prepayment speeds and third-party analytic reports. Significant judgment by management is required in this analysis that includes, but is not limited to, assumptions regarding the collectability of principal and interest, net of related expenses, on the underlying loans. The following table presents a summary of the significant inputs utilized to measure management's estimate of the credit loss component on OTTI securities as of December 31, 2011 and September 30, 2011: Range --------------------- Weighted Minimum Maximum Average ------- ------- -------- At December 31, 2011 -------------------- Constant prepayment rate 6.00% 15.00% 8.45% Collateral default rate 0.71% 30.03% 10.00% Loss severity rate 25.92% 74.02% 49.39% At September 30, 2011 --------------------- Constant prepayment rate 6.00% 15.00% 10.71% Collateral default rate 0.43% 24.23% 8.03% Loss severity rate 11.93% 64.54% 39.22% The following tables present the OTTI for the three months ended December 31, 2011 and 2010 (dollars in thousands): Three months ended Three months ended December 31, 2011 December 31, 2010 ------------------- -------------------- Held To Available Held To Available Maturity For Sale Maturity For Sale -------- --------- -------- --------- Total OTTI $ 52 $ 38 $ 145 $ - - Portion of OTTI recognized in other comprehensive loss (before income taxes)(1) (30) - - (9) - - ------- ------ ------ ------ Net OTTI recognized in earnings (2) $ 22 $ 38 $ 136 $ - - ===== ===== ===== ====== ------------- (1) Represents OTTI related to all other factors. (2) Represents OTTI related to credit losses. The following table presents a roll-forward of the credit loss component of held to maturity and available for sale debt securities that have been written down for OTTI with the credit loss component recognized in earnings and the remaining impairment loss related to all other factors recognized in other comprehensive income for the three months ended December 31, 2011 and 2010 (in thousands): Three months ended December 31, 2011 2010 ------ ------ Beginning balance of credit loss $3,361 $4,725 Additions: Credit losses for which OTTI was not previously recognized 1 46 Additional increases to the amount related to credit loss for which OTTI was previously recognized 59 90 Subtractions: Realized losses previously recorded as credit losses (196) (496) ------ ------ Ending balance of credit loss $3,225 $4,365 ====== ====== There were no gross realized gains on sale of securities for the three months ended December 31, 2011. There was a gross realized gain on sale of securities for the three months ended December 31, 2010 of $79,000. During the three months ended December 31, 2011, the Company recorded a $196,000 realized loss (as a result of the securities being deemed worthless) on 21 held to maturity residential MBS and one available for sale residential MBS, of which the entire amount had been recognized previously as a credit loss. During the three months ended December 31, 2010, the Company recorded a $496,000 realized loss on 16 held to maturity residential MBS which had previously been recognized as a credit loss. The amortized cost of residential mortgage-backed and agency securities pledged as collateral for public fund deposits, federal treasury tax and loan deposits, FHLB collateral, retail repurchase agreements and other non-profit organization deposits totaled $7.36 million and $7.88 million at December 31, 2011 and September 30, 2011, respectively. The contractual maturities of debt securities at December 31, 2011 are as follows (dollars in thousands). Expected maturities may differ from scheduled maturities as a result of the prepayment of principal or call provisions. Held to Maturity Available for Sale -------------------- ---------------------- Estimated Estimated Amortized Fair Amortized Fair Cost Value Cost Value --------------------- --------------------- Due within one year $ - - $ - - $ - - $ - - Due after one year to five years 22 23 104 111 Due after five to ten years 37 39 - - - - Due after ten years 3,882 3,944 5,106 5,178 ------- ------- ------- ------- Total $ 3,941 $ 4,006 $ 5,210 $ 5,289 ======= ======= ====== ======

MBS And Other Investments

3 Months Ended

Dec. 31, 2011

MBS And Other Investments

MBS And Other Investments

(4) MBS AND OTHER INVESTMENTS

MBS and other investments have been classified according to management's

intent and are as follows as of December 31, 2011 and September 30, 2011

(dollars in thousands):

Gross Gross

Amortized Unrealized Unrealized Fair

Cost Gains Losses Value

--------- ---------- ---------- -------

December 31, 2011

----------------

Held to Maturity

MBS:

U.S. government agencies $ 1,770 $ 47 $ (4) $ 1,813

Private label residential 2,144 207 (188) 2,163

U.S. agency securities 27 3 - - 30

------- ------- ------ -------

Total $ 3,941 $ 257 $ (192) $4,006

====== ====== ===== ====

Available for Sale

MBS:

U.S. government agencies $ 4,062 $ 163 $ - - $ 4,225

Private label residential 1,148 60 (144) 1,064

Mutual funds 1,000 - - (5) 995

------- ------- ------ -------

Total $ 6,210 $ 223 $ (149) $ 6,284

===== ====== ====== ===

September 30, 2011

------------------

Held to Maturity

MBS:

U.S. government agencies $ 1,831 $ 45 $ (4) $ 1,872

Private label residential 2,287 311 (271) 2,327

U.S. agency securities 27 3 - - 30

------- ------- ------ -------

Total $4,145 $ 359 $ (275) $4,229

======= ===== ==== =====

Available for Sale

MBS:

U.S. government agencies $ 4,395 $ 188 $ - - $ 4,583

Private label residential 1,227 59 (152) 1,134

Mutual funds 1,000 - - - - 1,000

------- ------- ------ -------

Total $ 6,622 $ 247 $ (152) $6,717

===== ===== ===== =====

The estimated fair value of temporarily impaired securities, the amount of

unrealized losses and the length of time these unrealized losses existed as of

December 31, 2011 are as follows (dollars in thousands):

Less Than 12 Months 12 Months or Longer

------------------------- ----------------------Total

Esti- Esti- Esti-

mated Gross mated Gross mated Gross

Fair Unrealized Fair Unrealized Fair Unrealized

Value Losses Value Losses Value Losses

----- ------ ----- ------ ----- ------

Held to Maturity

MBS:

U.S. government agencies $ 106 $ (1) $ 348 $ (3) $ 454 $ (4)

Private label residential 76 (3) 1,118 (185) 1,194 (188)

----- ----- ------ ------ ------ -----

Total $ 182 $ (4) $1,466 $ (188) $1,648 $(192)

===== ==== ===== ===== ===== =====

Available for Sale

MBS:

U.S. government agencies $ - - $ - - $ - - $ - - $ - - $ - -

Private label residential - - - - 724 (144) 724 (144)

Mutual funds - - - - 995 (5) 995 (5)

----- ----- ------ ------ ------ -----

Total $ - - $ - - $1,719 $ (149) $1,719 $(149)

===== ===== ====== ====== ===== =====

During the three months ended December 31, 2011 and 2010, the Company recorded

net OTTI charges through earnings on residential MBS of $60,000 and $136,000,

respectively. The Company provides for the bifurcation of OTTI into (i)

amounts related to credit losses which are recognized through earnings, and

(ii) amounts related to all other factors which are recognized as a component

of other comprehensive income (loss).

To determine the component of the gross OTTI related to credit losses, the

Company compared the amortized cost basis of each OTTI security to the present

value of its revised expected cash flows, discounted using its pre-impairment

yield. The revised expected cash flow estimates for individual securities are

based primarily on an analysis of default rates, prepayment speeds and

third-party analytic reports. Significant judgment by management is required

in this analysis that includes, but is not limited to, assumptions regarding

the collectability of principal and interest, net of related expenses, on the

underlying loans. The following table presents a summary of the significant

inputs utilized to measure management's estimate of the credit loss component

on OTTI securities as of December 31, 2011 and September 30, 2011:

Range

--------------------- Weighted

Minimum Maximum Average

------- ------- --------

At December 31, 2011

--------------------

Constant prepayment rate 6.00% 15.00% 8.45%

Collateral default rate 0.71% 30.03% 10.00%

Loss severity rate 25.92% 74.02% 49.39%

At September 30, 2011

---------------------

Constant prepayment rate 6.00% 15.00% 10.71%

Collateral default rate 0.43% 24.23% 8.03%

Loss severity rate 11.93% 64.54% 39.22%

The following tables present the OTTI for the three months ended December 31,

2011 and 2010 (dollars in thousands):

Three months ended Three months ended

December 31, 2011 December 31, 2010

------------------- --------------------

Held To Available Held To Available

Maturity For Sale Maturity For Sale

-------- --------- -------- ---------

Total OTTI $ 52 $ 38 $ 145 $ - -

Portion of OTTI recognized in

other comprehensive loss

(before income taxes)(1) (30) - - (9) - -

------- ------ ------ ------

Net OTTI recognized in

earnings (2) $ 22 $ 38 $ 136 $ - -

===== ===== ===== ======

-------------

(1) Represents OTTI related to all other factors.

(2) Represents OTTI related to credit losses.

The following table presents a roll-forward of the credit loss component of

held to maturity and available for sale debt securities that have been written

down for OTTI with the credit loss component recognized in earnings and the

remaining impairment loss related to all other factors recognized in other

comprehensive income for the three months ended December 31, 2011 and 2010 (in

thousands):

Three months ended December 31,

2011 2010

------ ------

Beginning balance of credit loss $3,361 $4,725

Additions:

Credit losses for which OTTI was

not previously recognized 1 46

Additional increases to the amount

related to credit loss for which OTTI

was previously recognized 59 90

Subtractions:

Realized losses previously recorded

as credit losses (196) (496)

------ ------

Ending balance of credit loss $3,225 $4,365

====== ======

There were no gross realized gains on sale of securities for the three months

ended December 31, 2011. There was a gross realized gain on sale of securities

for the three months ended December 31, 2010 of $79,000. During the three

months ended December 31, 2011, the Company recorded a $196,000 realized loss

(as a result of the securities being deemed worthless) on 21 held to maturity

residential MBS and one available for sale residential MBS, of which the entire amount

had been recognized previously as a credit loss. During the three months ended

December 31, 2010, the Company recorded a $496,000 realized loss on 16 held to

maturity residential MBS which had previously been recognized as a credit loss.

The amortized cost of residential mortgage-backed and agency securities

pledged as collateral for public fund deposits, federal treasury tax and loan

deposits, FHLB collateral, retail repurchase agreements and other non-profit

organization deposits totaled $7.36 million and $7.88 million at December 31,

2011 and September 30, 2011, respectively.

The contractual maturities of debt securities at December 31, 2011 are as

follows (dollars in thousands). Expected maturities may differ from scheduled

maturities as a result of the prepayment of principal or call provisions.

Held to Maturity Available for Sale

-------------------- ----------------------

Estimated Estimated

Amortized Fair Amortized Fair

Cost Value Cost Value

--------------------- ---------------------

Due within one year $ - - $ - - $ - - $ - -

Due after one year to five years 22 23 104 111

Due after five to ten years 37 39 - - - -

Due after ten years 3,882 3,944 5,106 5,178

------- ------- ------- -------

Total $ 3,941 $ 4,006 $ 5,210 $ 5,289

======= ======= ====== ======