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Investment Securities | 6 Months Ended
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Sep. 30, 2012
Notes |
Investment Securities | 5. INVESTMENT SECURITIES The Company did not have any investment securities held to maturity at September 30, 2012. At March 31, 2012, investment securities held to maturity consisted of the following (in thousands):
| Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value
March 31, 2012 |  |  |  |  |  |  |  |  |  |  |
Municipal bonds | $ | 493 |  | $ | 49 |  | $ | - |  | $ | 542
The amortized cost and fair value of investment securities available for sale consisted of the following at the dates indicated (in thousands):
| Amortized Cost |  | Gross Unrealized Gains |  | Gross Unrealized Losses |  | Estimated Fair Value
September 30, 2012 |  |  |  |  |  |  |  |  |  |  |
Trust preferred | $ | 2,974 |  | $ | - |  | $ | (1,855 | ) | $ | 1,119
Agency securities |  | 5,000 |  |  | 17 |  |  | - |  |  | 5,017
Municipal bonds |  | 142 |  |  | - |  |  | - |  |  | 142
Total | $ | 8,116 |  | $ | 17 |  | $ | (1,855 | ) | $ | 6,278
March 31, 2012 |  |  |  |  |  |  |  |  |  |  |
Trust preferred | $ | 2,974 |  | $ | - |  | $ | (1,808 | ) | $ | 1,166
Agency securities |  | 5,000 |  |  | - |  |  | (1 | ) |  | 4,999
Municipal bonds |  | 149 |  |  | - |  |  | - |  |  | 149
Total | $ | 8,123 |  | $ | - |  | $ | (1,809 | ) | $ | 6,314
The contractual maturities of investment securities available for sale at September 30, 2012 are as follows (in thousands):
September 30, 2012 |  | Amortized Cost |  |  | Estimated Fair Value
Due in one year or less | $ | - |  | $ | -
Due after one year through five years |  | 5,000 |  |  | 5,017
Due after five years through ten years |  | - |  |  | -
Due after ten years |  | 3,116 |  |  | 1,261
Total | $ | 8,116 |  | $ | 6,278
The fair value of temporarily impaired securities, the amount of unrealized losses and the length of time these unrealized losses existed are as follows at the dates indicated (in thousands):
| Less than 12 months |  | 12 months or longer |  | Total |
|  | Fair Value |  |  | Unrealized Losses |  |  | Fair Value |  |  | Unrealized Losses |  |  | Fair Value |  |  | Unrealized Losses |
September 30, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Trust preferred | $ | - |  | $ | - |  | $ | 1,119 |  | $ | (1,855 | ) | $ | 1,119 |  | $ | (1,855 | )
March 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Trust preferred | $ | - |  | $ | - |  | $ | 1,166 |  | $ | (1,808 | ) | $ | 1,166 |  | $ | (1,808 | )
Agency securities |  | 4,999 |  |  | (1 | ) |  | - |  |  | - |  |  | 4,999 |  |  | (1 | )
Total | $ | 4,999 |  | $ | (1 | ) | $ | 1,166 |  | $ | (1,808 | ) | $ | 6,165 |  | $ | (1,809 | )
At September 30, 2012, the Company had a single collateralized debt obligation which is secured by trust preferred securities issued by 19 other holding companies. The Company holds the mezzanine tranche of this security. Four of the issuers in this pool have defaulted (representing 38% of the remaining collateral), and six other issuers are currently in deferral (27% of the remaining collateral). Subsequent to September 30, 2012, two issuers cured their deferral reducing the number of issuers in deferral to four (10% of remaining collateral). The Company has estimated an expected default rate of 44% for this security. The expected default rate was estimated based primarily on an analysis of the financial condition of the underlying issuers. The Company estimates that a default rate of 49% would trigger additional other than temporary impairment (“OTTI”) of this security. The Company utilized a discount rate of 22% to estimate the fair value of this security. There was no excess subordination on this security. During the three and six months ended September 30, 2012, the Company determined that there was no additional OTTI charge on the above collateralized debt obligation. The Company does not intend to sell this security and it is not more likely than not that the Company will be required to sell the security before the anticipated recovery of the remaining amortized cost basis. To determine the component of gross OTTI related to credit losses, the Company compared the amortized cost basis of the OTTI security to the present value of the revised expected cash flows, discounted using the current pre-impairment yield. The revised expected cash flow estimates are based primarily on an analysis of default rates, prepayment speeds and third-party analytical reports. Significant judgment of management is required in this analysis that includes, but is not limited to, assumptions regarding the ultimate collectibility of principal and interest on the underlying collateral. The Company realized no gains or losses on sales of investment securities for the three and six months ended September 30, 2012 and 2011. There were no investment securities pledged as collateral by the Company at September 30, 2012 or March 31, 2012.

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