Investment Securities (Tables)

6 Months Ended

Mar. 31, 2020

Held to maturity and available for sale investment securities have been classified according to management’s intent and were as follows as of March 31, 2020 and September 30, 2019 (dollars in thousands):



	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Estimated Fair Value
March 31, 2020
Held to maturity
Mortgage-backed securities ("MBS"):
U.S. government agencies	$	33,407	$	1,442	$	(33	)	$	34,816
Private label residential	261		262		(4		)	519
U.S. Treasury and U.S government agency securities	2,999		—		(2		)	2,997
Total	$	36,667	$	1,704	$	(39	)	$	38,332

Available for sale
MBS: U.S. government agencies	$	41,661	$	74	$	(265	)	$	41,470
Total	$	41,661	$	74	$	(265	)	$	41,470

September 30, 2019
Held to maturity
MBS:
U.S. government agencies	$	27,786	$	999	$	(2	)	$	28,783
Private label residential	317		490		(1		)	806
U.S. Treasury and U.S. government agency securities	2,999		—		(8		)	2,991
Total	$	31,102	$	1,489	$	(11	)	$	32,580

Available for sale
MBS: U.S. government agencies	$	22,418	$	114	$	—		$	22,532
Total	$	22,418	$	114	$	—		$	22,532

Unrealized Gain (Loss) on Investments

Held to maturity and available for sale investment securities with unrealized losses were as follows as of March 31, 2020 (dollars in thousands):



	Less Than 12 Months						12 Months or Longer						Total
	Estimated Fair Value		Gross Unrealized Losses			Quantity	Estimated Fair Value		Gross Unrealized Losses			Quantity	Estimated Fair Value		Gross Unrealized Losses
Held to maturity
MBS:
U.S. government agencies	$	5,110	$	(32	)	6	$	45	$	(1	)	5	$	5,155	$	(33	)
Private label residential	13		(2		)	2	11		(2		)	2	24		(4		)
U.S. Treasury and U.S. government agency securities	—		—			—	2,997		(2		)	1	2,997		(2		)
Total	$	5,123	$	(34	)	8	$	3,053	$	(5	)	8	$	8,176	$	(39	)

Available for sale
MBS: U.S. government agencies	$	32,116	$	(265	)	5	$	—	$	—		—	$	32,116	$	(265	)
Total	$	32,116	$	(265	)	5	$	—	$	—		—	$	32,116	$	(265	)

Held to maturity investment securities with unrealized losses were as follows as of September 30, 2019 (dollars in thousands):



	Less Than 12 Months						12 Months or Longer						Total
	Estimated Fair Value		Gross Unrealized Losses			Quantity	Estimated Fair Value		Gross Unrealized Losses			Quantity	Estimated Fair Value		Gross Unrealized Losses
Held to maturity
MBS:
U.S. government agencies	$	291	$	(1	)	2	$	76	$	(1	)	6	$	367	$	(2	)
Private label residential	—		—			—	23		(1		)	5	23		(1		)
U.S. Treasury and U.S. government agency securities	—		—			—	2,991		(8		)	1	2,991		(8		)
Total	$	291	$	(1	)	2	$	3,090	$	(10	)	12	$	3,381	$	(11	)

Schedule of Significant Inputs Utilized to Measure Estimate of Credit Loss Component on OTTI Securities

The following table presents a summary of the significant inputs utilized to measure management’s estimates of the credit loss component on OTTI securities as of March 31, 2020 and 2019:



	Range				Weighted
	Minimum		Maximum		Average
March 31, 2020
Constant prepayment rate	6.00	%	15.00	%	10.91	%
Collateral default rate	1.86	%	22.47	%	10.44	%
Loss severity rate	—	%	16.34	%	4.02	%

March 31, 2019
Constant prepayment rate	6.00	%	15.00	%	10.24	%
Collateral default rate	—	%	16.06	%	5.20	%
Loss severity rate	—	%	78.00	%	40.02	%

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the OTTI recoveries for the three and six months ended March 31, 2020 and 2019 (dollars in thousands):




	Three Months Ended March 31, 2020				Three Months Ended March 31, 2019
	Held To Maturity		Available For Sale		Held To Maturity			Available For Sale
Total recoveries	$	3	$	—	$	20		$	—
Adjustment for portion of OTTI transferred from other comprehensive income (loss) before income taxes (1)	—		—		(11		)	—
Net recoveries recognized in earnings (2)	$	3	$	—	$	9		$	—



	Six Months Ended March 31, 2020				Six Months Ended March 31, 2019
	Held To Maturity		Available For Sale		Held To Maturity			Available For Sale
Total recoveries	$	106	$	—	$	32		$	—
Adjustment for portion of OTTI transferred from other comprehensive income (loss) before income taxes (1)	—		—		(12		)	—
Net recoveries recognized in earnings (2)	$	106	$	—	$	20		$	—

_________________

(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 for the six months ended March 31, 2020 and 2019 (dollars in thousands):



	Six Months Ended March 31,
	2020			2019
Beginning balance of credit loss	$	1,071		$	1,153
Additions:
Additional increases to the amount related to credit loss for which OTTI was previously recognized	—			12
Subtractions:
Realized losses previously recorded as credit losses	(60		)	(13		)
Recovery of prior credit loss	(106		)	(32		)
Ending balance of credit loss	$	905		$	1,120

Schedule of Contractual Maturities of Debt Securities

The contractual maturities of debt securities at March 31, 2020 were as follows (dollars in thousands). Expected maturities may differ from scheduled maturities due to the prepayment of principal or call provisions.



	Held to Maturity				Available for Sale
	Amortized Cost		Estimated Fair Value		Amortized Cost		Estimated Fair Value
Due within one year	$	3,004	$	3,001	$	—	$	—
Due after one year to five years	164		172		121		121
Due after five years to ten years	5,817		6,282		6,301		6,068
Due after ten years	27,682		28,877		35,239		35,281
Total	$	36,667	$	38,332	$	41,661	$	41,470