Indiana
|
35-1927981
|
|
(State
or other jurisdiction of incorporation
|
(I.R.S. Employer
|
|
or
organization)
|
Identification
Number)
|
|
9204
Columbia Avenue
|
||
Munster,
Indiana
|
46321
|
|
(Address
of principal executive offices)
|
(ZIP
code)
|
Page
|
||||
Number
|
||||
PART
I. Financial Information
|
||||
Item 1.
|
Unaudited
Financial Statements
|
|||
Consolidated
Balance Sheets, June 30, 2010 and December 31, 2009
|
1
|
|||
Consolidated
Statements of Income, Three and Six Months Ended
|
||||
June
30, 2010 and 2009
|
2
|
|||
Consolidated
Statements of Changes in Stockholders' Equity, Three and
|
||||
Six
Months Ended June 30, 2010 and 2009
|
3
|
|||
Consolidated
Statements of Cash Flows, Six Months Ended June 30, 2010
|
||||
and
2009
|
4
|
|||
Notes
to Consolidated Financial Statements
|
5-14
|
|||
Item
2.
|
Management’s
Discussion and Analysis of Financial Condition and
|
|||
Results
of Operations
|
15-25
|
|||
Item
3.
|
Quantitative
and Qualitative Disclosures About Market Risk
|
26
|
||
Item
4.
|
Controls
and Procedures
|
26
|
||
PART
II. Other Information
|
27
|
|||
SIGNATURES
|
28
|
|||
EXHIBITS
|
||||
31.1
|
Rule
13a-14(a)/15d-14(a) Certification of Chief Executive
Officer
|
|
||
31.2
|
|
|||
32.1
|
Section
1350 Certifications
|
|
June 30,
|
December 31,
|
|||||||
2010
|
2009
|
|||||||
(Dollars
in thousands)
|
(unaudited)
|
|||||||
ASSETS
|
||||||||
Cash
and non-interest bearing balances in financial
institutions
|
$ | 10,333 | $ | 8,705 | ||||
Interest
bearing balances in financial institutions
|
30,559 | 447 | ||||||
Federal
funds sold
|
11,320 | 4,070 | ||||||
Total
cash and cash equivalents
|
52,212 | 13,222 | ||||||
Securities
available-for-sale
|
131,651 | 124,776 | ||||||
Securities
held-to-maturity
|
18,610 | 19,557 | ||||||
Loans
held for sale
|
477 | 1,025 | ||||||
Loans
receivable
|
442,478 | 458,245 | ||||||
Less:
allowance for loan losses
|
(7,020 | ) | (6,114 | ) | ||||
Net
loans receivable
|
435,458 | 452,131 | ||||||
Federal
Home Loan Bank stock
|
3,650 | 3,650 | ||||||
Accrued
interest receivable
|
2,748 | 2,878 | ||||||
Premises
and equipment
|
19,244 | 19,590 | ||||||
Foreclosed
real estate
|
6,245 | 3,747 | ||||||
Cash
value of bank owned life insurance
|
12,253 | 12,049 | ||||||
Prepaid
FDIC insurance premium
|
2,542 | 3,282 | ||||||
Other
assets
|
4,921 | 5,899 | ||||||
Total
assets
|
$ | 690,011 | $ | 661,806 | ||||
LIABILITIES
AND STOCKHOLDERS' EQUITY
|
||||||||
Deposits:
|
||||||||
Non-interest
bearing
|
$ | 51,061 | $ | 42,390 | ||||
Interest
bearing
|
519,097 | 498,137 | ||||||
Total
|
570,158 | 540,527 | ||||||
Repurchase
agreements
|
20,533 | 15,893 | ||||||
Borrowed
funds
|
32,732 | 47,129 | ||||||
Accrued
expenses and other liabilities
|
10,280 | 5,179 | ||||||
Total
liabilities
|
633,703 | 608,728 | ||||||
Stockholders'
Equity:
|
||||||||
Preferred
stock, no par or stated value;
|
||||||||
10,000,000
shares authorized, none outstanding
|
- | - | ||||||
Common
stock, no par or stated value; 10,000,000 shares
authorized;
|
||||||||
shares
issued: June 30, 2010 - 2,889,252
|
361 | 361 | ||||||
December
31, 2009 - 2,889,452
|
||||||||
shares
outstanding: June 30, 2010 - 2,823,021
|
||||||||
December
31, 2009 - 2,818,578
|
||||||||
Additional
paid in capital
|
5,123 | 5,104 | ||||||
Accumulated
other comprehensive income/(loss)
|
1,141 | (170 | ) | |||||
Retained
earnings
|
51,085 | 49,312 | ||||||
Treasury
stock, common shares at cost: June 30, 2010 -
66,231
|
||||||||
December
31, 2009 - 70,874
|
(1,402 | ) | (1,529 | ) | ||||
Total
stockholders' equity
|
56,308 | 53,078 | ||||||
Total
liabilities and stockholders' equity
|
$ | 690,011 | $ | 661,806 |
Three Months Ended
|
Six Months Ended
|
|||||||||||||||
(Dollars in thousands, except per share data)
|
June 30,
|
June 30,
|
||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Interest
income:
|
||||||||||||||||
Loans
receivable
|
||||||||||||||||
Real
estate loans
|
$ | 5,083 | $ | 5,611 | $ | 10,238 | $ | 11,533 | ||||||||
Commercial
loans
|
1,121 | 916 | 2,153 | 1,813 | ||||||||||||
Consumer
loans
|
20 | 30 | 45 | 64 | ||||||||||||
Total
loan interest
|
6,224 | 6,557 | 12,436 | 13,410 | ||||||||||||
Securities
|
1,564 | 1,512 | 3,094 | 3,095 | ||||||||||||
Other
interest earning assets
|
7 | 5 | 13 | 10 | ||||||||||||
Total
interest income
|
7,795 | 8,074 | 15,543 | 16,515 | ||||||||||||
Interest
expense:
|
||||||||||||||||
Deposits
|
1,055 | 1,885 | 2,255 | 4,051 | ||||||||||||
Repurchase
agreements
|
48 | 76 | 100 | 164 | ||||||||||||
Borrowed
funds
|
234 | 385 | 504 | 783 | ||||||||||||
Total
interest expense
|
1,337 | 2,346 | 2,859 | 4,998 | ||||||||||||
Net
interest income
|
6,458 | 5,728 | 12,684 | 11,517 | ||||||||||||
Provision
for loan losses
|
1,270 | 1,115 | 2,505 | 1,815 | ||||||||||||
Net
interest income after provision for loan losses
|
5,188 | 4,613 | 10,179 | 9,702 | ||||||||||||
Noninterest
income:
|
||||||||||||||||
Fees
and service charges
|
635 | 671 | 1,244 | 1,310 | ||||||||||||
Gain
on sale of securities, net
|
452 | 204 | 742 | 344 | ||||||||||||
Wealth
management operations
|
253 | 205 | 534 | 402 | ||||||||||||
Gain
on sale of loans, net
|
163 | 299 | 272 | 865 | ||||||||||||
Increase
in cash value of bank owned life insurance
|
104 | 104 | 205 | 208 | ||||||||||||
Gain/(loss)
on foreclosed real estate, net
|
44 | 6 | 65 | (31 | ) | |||||||||||
Other-than-temporary
impairment of securities
|
- | - | (11 | ) | - | |||||||||||
Portion
of loss recognized in other comprehensive income
|
- | - | (102 | ) | - | |||||||||||
Other
|
4 | 7 | 8 | 11 | ||||||||||||
Total
noninterest income
|
1,655 | 1,496 | 2,957 | 3,109 | ||||||||||||
Noninterest
expense:
|
||||||||||||||||
Compensation
and benefits
|
2,458 | 2,245 | 4,867 | 4,610 | ||||||||||||
Occupancy
and equipment
|
808 | 750 | 1,593 | 1,533 | ||||||||||||
Federal
deposit insurance premiums
|
265 | 553 | 496 | 740 | ||||||||||||
Data
processing
|
231 | 215 | 463 | 430 | ||||||||||||
Marketing
|
114 | 147 | 239 | 214 | ||||||||||||
Other
|
1,005 | 1,042 | 1,899 | 1,973 | ||||||||||||
Total
noninterest expense
|
4,881 | 4,952 | 9,557 | 9,500 | ||||||||||||
Income
before income tax expenses
|
1,962 | 1,157 | 3,579 | 3,311 | ||||||||||||
Income
tax expenses
|
346 | 104 | 574 | 553 | ||||||||||||
Net
income
|
$ | 1,616 | $ | 1,053 | $ | 3,005 | $ | 2,758 | ||||||||
Earnings
per common share:
|
||||||||||||||||
Basic
|
$ | 0.57 | $ | 0.37 | $ | 1.06 | $ | 0.98 | ||||||||
Diluted
|
$ | 0.57 | $ | 0.37 | $ | 1.06 | $ | 0.98 | ||||||||
Dividends
declared per common share
|
$ | 0.21 | $ | 0.32 | $ | 0.42 | $ | 0.68 |
Three Months Ended
|
Six Months Ended
|
|||||||||||||||
(Dollars in thousands)
|
June 30,
|
June 30,
|
||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Balance
at beginning of period
|
$ | 54,319 | $ | 53,173 | $ | 53,078 | $ | 52,773 | ||||||||
Comprehensive
income:
|
||||||||||||||||
Net
income
|
1,616 | 1,053 | 3,005 | 2,758 | ||||||||||||
Net
unrealized change on securities
|
||||||||||||||||
available-for-sale,
net of reclassifications and tax effects
|
919 | (86 | ) | 1,315 | (333 | ) | ||||||||||
Amortization
of unrecognized gain
|
(2 | ) | (2 | ) | (4 | ) | (4 | ) | ||||||||
Comprehensive
income
|
2,533 | 965 | 4,316 | 2,421 | ||||||||||||
Issuance
of common stock,
|
||||||||||||||||
under
stock based compensation plan, including tax effects
|
- | - | - | 4 | ||||||||||||
Stock
based compensation expense
|
9 | 9 | 19 | 23 | ||||||||||||
Sale
of treasury stock
|
40 | 48 | 80 | 48 | ||||||||||||
Adjustment
to retained earnings for EITF 06-4
|
- | (21 | ) | - | (84 | ) | ||||||||||
Cash
dividends
|
(593 | ) | (900 | ) | (1,185 | ) | (1,911 | ) | ||||||||
Balance
at end of period
|
$ | 56,308 | $ | 53,274 | $ | 56,308 | $ | 53,274 |
Six Months Ended
|
||||||||
(Dollars in thousands)
|
June 30,
|
|||||||
2010
|
2009
|
|||||||
CASH
FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net
income
|
$ | 3,005 | $ | 2,758 | ||||
Adjustments
to reconcile net income to
|
||||||||
net
cash provided by operating activities:
|
||||||||
Origination
of loans for sale
|
(10,466 | ) | (36,916 | ) | ||||
Sale
of loans originated for sale
|
11,253 | 36,188 | ||||||
Depreciation
and amortization, net of accretion
|
1,005 | 694 | ||||||
Amortization
of mortgage servicing rights
|
56 | 74 | ||||||
Amortization
of investment in real estate limited partnerships
|
76 | 95 | ||||||
Equity
in loss of investment in limited partnership,
|
||||||||
net
of interest received
|
3 | 6 | ||||||
Stock
based compensation expense
|
19 | 23 | ||||||
Gains
on sales and calls of securities
|
(742 | ) | (344 | ) | ||||
Net
gains on sale of loans
|
(272 | ) | (865 | ) | ||||
Net
losses due to other-than-temporary impairment of
securities
|
113 | - | ||||||
Net
(gains)/losses on foreclosed real estate
|
(65 | ) | 31 | |||||
Provision
for loan losses
|
2,505 | 1,815 | ||||||
Net
change in:
|
||||||||
Interest
receivable
|
130 | 120 | ||||||
Other
assets
|
916 | (313 | ) | |||||
Cash
value of bank owned life insurance
|
(205 | ) | (208 | ) | ||||
Accrued
expenses and other liabilities
|
5,101 | (3,619 | ) | |||||
Total
adjustments
|
9,427 | (3,219 | ) | |||||
Net
cash - operating activities
|
12,432 | (461 | ) | |||||
CASH
FLOWS FROM INVESTING ACTIVITIES:
|
||||||||
Proceeds
from maturities and pay downs of securities
available-for-sale
|
11,931 | 11,771 | ||||||
Proceeds
from sales of securities available-for-sale
|
13,962 | 7,575 | ||||||
Purchase
of securities available-for-sale
|
(30,330 | ) | (37,667 | ) | ||||
Purchase
of securities held-to-maturity
|
- | (725 | ) | |||||
Proceeds
from maturities and pay downs of securities
held-to-maturity
|
933 | 992 | ||||||
Proceeds
from sale of loans transferred to held-for-sale
|
- | 10,651 | ||||||
Net
change in loans receivable
|
10,803 | 16,031 | ||||||
Purchase
of premises and equipment, net
|
(442 | ) | (1,151 | ) | ||||
Proceeds
from sale of foreclosed real estate
|
932 | 21 | ||||||
Net
cash - investing activities
|
7,789 | 7,498 | ||||||
CASH
FLOWS FROM FINANCING ACTIVITIES:
|
||||||||
Change
in deposits
|
29,631 | 1,848 | ||||||
Proceeds
from FHLB advances
|
9,000 | 2,000 | ||||||
Repayment
of FHLB advances
|
(15,000 | ) | (3,000 | ) | ||||
Change
in other borrowed funds
|
(3,757 | ) | 1,410 | |||||
Proceeds
from issuance of common stock
|
- | 4 | ||||||
Proceeds
from sale of treasury stock
|
80 | 48 | ||||||
Dividends
paid
|
(1,185 | ) | (1,911 | ) | ||||
Net
cash - financing activities
|
18,769 | 399 | ||||||
Net
change in cash and cash equivalents
|
38,990 | 7,436 | ||||||
Cash
and cash equivalents at beginning of period
|
13,222 | 11,296 | ||||||
Cash
and cash equivalents at end of period
|
$ | 52,212 | $ | 18,732 | ||||
SUPPLEMENTAL
CASH FLOW INFORMATION:
|
||||||||
Cash
paid during the period for:
|
||||||||
Interest
|
$ | 2,885 | $ | 5,037 | ||||
Income
taxes
|
$ | 1,010 | $ | 800 | ||||
SUPPLEMENTAL
NONCASH INFORMATION:
|
||||||||
Transfers
from loans to foreclosed real estate
|
$ | 3,442 | $ | 1,177 | ||||
Transfers
from loans to loans held for sale
|
$ | - | $ | 10,497 |
(Dollars in thousands)
|
||||||||||||||||
Gross
|
Gross
|
|||||||||||||||
Cost
|
Unrealized
|
Unrealized
|
Fair
|
|||||||||||||
Basis
|
Gains
|
Losses
|
Value
|
|||||||||||||
6/30/2010
|
||||||||||||||||
U.S.
government sponsored entities
|
$ | 1,000 | $ | 13 | $ | - | $ | 1,013 | ||||||||
CMO
and residential mortgage-backed securities
|
57,386 | 2,366 | - | 59,752 | ||||||||||||
Municipal
securities
|
33,069 | 1,736 | (49 | ) | 34,756 | |||||||||||
CMO
government sponsored entities
|
33,294 | 1,497 | - | 34,791 | ||||||||||||
Collateralized
debt obligations
|
5,230 | - | (3,891 | ) | 1,339 | |||||||||||
Total
debt securities
|
$ | 129,979 | $ | 5,612 | $ | (3,940 | ) | $ | 131,651 | |||||||
12/31/2009
|
||||||||||||||||
U.S.
government sponsored entities
|
$ | 1,993 | $ | 52 | $ | - | $ | 2,045 | ||||||||
CMO
and residential mortgage-backed securities
|
61,095 | 2,302 | (82 | ) | 63,315 | |||||||||||
Municipal
securities
|
34,151 | 1,516 | (94 | ) | 35,573 | |||||||||||
CMO
government sponsored entities
|
22,534 | 168 | (209 | ) | 22,493 | |||||||||||
Collateralized
debt obligations
|
5,343 | - | (3,993 | ) | 1,350 | |||||||||||
Total
debt securities
|
$ | 125,116 | $ | 4,038 | $ | (4,378 | ) | $ | 124,776 |
(Dollars in thousands)
|
||||||||||||||||
Gross
|
Gross
|
|||||||||||||||
Cost
|
Unrecognized
|
Unrecognized
|
Fair
|
|||||||||||||
Basis
|
Gains
|
Losses
|
Value
|
|||||||||||||
6/30/2010
|
||||||||||||||||
Municipal
securities
|
$ | 17,604 | $ | 866 | $ | - | $ | 18,470 | ||||||||
Residential
mortgage-backed securities
|
1,006 | 59 | - | 1,065 | ||||||||||||
Total
debt securities
|
$ | 18,610 | $ | 925 | $ | - | $ | 19,535 | ||||||||
12/31/2009
|
||||||||||||||||
Municipal
securities
|
$ | 18,539 | $ | 724 | $ | - | $ | 19,263 | ||||||||
Residential
mortgage-backed securities
|
1,018 | 28 | (6 | ) | 1,040 | |||||||||||
Total
debt securities
|
$ | 19,557 | $ | 752 | $ | (6 | ) | $ | 20,303 |
(Dollars in thousands)
|
||||||||||||
Available-for-sale
|
Held-to-maturity
|
|||||||||||
Fair
|
Carrying
|
Fair
|
||||||||||
Value
|
Amount
|
Value
|
||||||||||
Due
in one year or less
|
$ | 194 | $ | - | $ | - | ||||||
Due
from one to five years
|
3,133 | 560 | 597 | |||||||||
Due
over five years
|
33,781 | 17,044 | 17,873 | |||||||||
CMO
and residential mortgage-backed securities
|
94,543 | 1,006 | 1,065 | |||||||||
Total
|
$ | 131,651 | $ | 18,610 | $ | 19,535 |
(Dollars in thousands)
|
||||||||
6/30/2010
|
6/30/2009
|
|||||||
Proceeds
|
$ | 13,962 | $ | 7,575 | ||||
Gross
gains
|
742 | 344 | ||||||
Gross
losses
|
- | - |
(Dollars in thousands)
|
||||
Unrealized gains
|
||||
Beginning
balance, December 31, 2009
|
$ | (247 | ) | |
Current
period change
|
1,315 | |||
Ending
balance, June 30, 2010
|
$ | 1,068 |
(Dollars in thousands)
|
||||||||||||||||||||||||
Less than 12 months
|
12 months or longer
|
Total
|
||||||||||||||||||||||
Fair
|
Unrealized
|
Fair
|
Unrealized
|
Fair
|
Unrealized
|
|||||||||||||||||||
Value
|
Losses
|
Value
|
Losses
|
Value
|
Losses
|
|||||||||||||||||||
6/30/2010
|
||||||||||||||||||||||||
Description
of Securities:
|
||||||||||||||||||||||||
CMO
and residential mortgage-
|
||||||||||||||||||||||||
backed
securities
|
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
Municipal
securities
|
- | - | 1,503 | (49 | ) | 1,503 | (49 | ) | ||||||||||||||||
Collateralized
debt obligations
|
- | - | 1,339 | (3,891 | ) | 1,339 | (3,891 | ) | ||||||||||||||||
Total
temporarily impaired
|
$ | - | $ | - | $ | 2,842 | $ | (3,940 | ) | $ | 2,842 | $ | (3,940 | ) | ||||||||||
Number
of securities
|
0 | 7 | 7 |
(Dollars
in thousands)
|
||||||||||||||||||||||||
Less than 12 months
|
12 months or longer
|
Total
|
||||||||||||||||||||||
Fair
|
Unrealized
|
Fair
|
Unrealized
|
Fair
|
Unrealized
|
|||||||||||||||||||
Value
|
Losses
|
Value
|
Losses
|
Value
|
Losses
|
|||||||||||||||||||
12/31/2009
|
||||||||||||||||||||||||
Description
of Securities:
|
||||||||||||||||||||||||
CMO
and residential mortgage-
|
||||||||||||||||||||||||
backed
securities
|
$ | 15,604 | $ | (297 | ) | $ | 13 | $ | - | $ | 15,617 | $ | (297 | ) | ||||||||||
Municipal
securities
|
2,443 | (15 | ) | 1,476 | (79 | ) | 3,919 | (94 | ) | |||||||||||||||
Collateralized
debt obligations
|
- | - | 1,350 | (3,993 | ) | 1,350 | (3,993 | ) | ||||||||||||||||
Total
temporarily impaired
|
$ | 18,047 | $ | (312 | ) | $ | 2,839 | $ | (4,072 | ) | $ | 20,886 | $ | (4,384 | ) | |||||||||
Number
of securities
|
16 | 7 | 23 |
(Dollars
in thousands)
|
||||||||
6/30/2010
|
12/31/2009
|
|||||||
Loans
past due over 90 days still on accrual
|
$ | 1,932 | $ | 1,491 | ||||
Non-accrual
loans
|
14,259 | 17,074 |
(Dollars
in thousands)
|
||||||||
6/30/2010
|
12/31/2009
|
|||||||
Period-end
loans with no allocated
|
||||||||
allowance
for loan losses (including troubled debt restructurings of $6,231 and
$0)
|
$ | 11,543 | $ | 3,853 | ||||
Period-end
loans with allocated
|
||||||||
allowance
for loan losses (including troubled debt restructurings of $5,553 and
$7,199)
|
6,832 | 13,112 | ||||||
Total
|
$ | 18,375 | $ | 16,965 | ||||
Amount
of the allowance for
|
||||||||
loan
losses allocated
|
$ | 658 | $ | 1,179 | ||||
Average
of impaired loans
|
||||||||
during
the period
|
19,540 | 12,820 | ||||||
Interest
income recognized
|
||||||||
during
impairment
|
16 | 10 | ||||||
Cash-basis
interest income
|
||||||||
recognized
during impairment
|
312 | 95 |
(Dollars
in thousands)
|
||||||||
6/30/2010
|
12/31/2009
|
|||||||
Construction
and land development
|
$ | 2,641 | $ | 768 | ||||
Commercial
real estate and other dwelling
|
1,926 | 1,897 | ||||||
Residential
real estate
|
1,534 | 1,082 | ||||||
Commercial
and industrial
|
144 | - | ||||||
Total
|
$ | 6,245 | $ | 3,747 |
(Dollars in thousands, except per share data)
|
||||||||||||||||
Three Months Ended
|
Six Months Ended
|
|||||||||||||||
June 30,
|
June 30,
|
|||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Basic
earnings per common share:
|
||||||||||||||||
Net
income as reported
|
$ | 1,616 | $ | 1,053 | $ | 3,005 | $ | 2,758 | ||||||||
Weighted
average common shares outstanding:
|
2,823,008 | 2,813,143 | 2,821,931 | 2,811,217 | ||||||||||||
Basic
earnings per common share:
|
$ | 0.57 | $ | 0.37 | $ | 1.06 | $ | 0.98 | ||||||||
Diluted
earnings per common share:
|
||||||||||||||||
Net
income as reported
|
$ | 1,616 | $ | 1,053 | $ | 3,005 | $ | 2,758 | ||||||||
Weighted
average common shares outstanding:
|
2,823,008 | 2,813,143 | 2,821,931 | 2,811,217 | ||||||||||||
Add: Dilutive
effect of assumed stock
|
||||||||||||||||
option
exercises:
|
- | - | - | 240 | ||||||||||||
Weighted
average common and dilutive
|
||||||||||||||||
potential
common shares outstanding:
|
2,823,008 | 2,813,143 | 2,821,931 | 2,811,457 | ||||||||||||
Diluted
earnings per common share:
|
$ | 0.57 | $ | 0.37 | $ | 1.06 | $ | 0.98 |
Weighted-
|
||||||||||||||||
Weighted-
|
Average
|
|||||||||||||||
Average
|
Remaining
|
Aggregate
|
||||||||||||||
Exercise
|
Contractual
|
Intrinsic
|
||||||||||||||
Options
|
Shares
|
Price
|
Term
|
Value
|
||||||||||||
Outstanding
at January 1, 2010
|
65,747 | $ | 23.69 | |||||||||||||
Granted
|
- | $ | - | |||||||||||||
Exercised
|
- | $ | - | |||||||||||||
Forfeited
|
(4,800 | ) | $ | 24.04 | ||||||||||||
Expired
|
(11,700 | ) | $ | 21.13 | ||||||||||||
Outstanding
at June 30, 2010
|
49,247 | $ | 24.27 | 2.2 | - | |||||||||||
Exercisable
at June 30, 2010
|
48,247 | $ | 24.18 | 2.1 | - |
(Dollars in thousands)
|
||||
Collateralized debt obligations
|
||||
Ending
balance, December 31, 2009
|
$ | 136 | ||
Additions
not previously recognized
|
113 | |||
Ending
balance, June 30, 2010
|
$ | 249 |
Deal name
|
PreTSL XXIV
|
PreTSL XXVII
|
Alesco IX
|
Alesco XVII
|
||||||||||||
Class
|
B-1 | C-1 | A-2A | B | ||||||||||||
Book
value
|
1,258,772 | 1,296,077 | 1,323,252 | 1,351,903 | ||||||||||||
Fair
value
|
253,706 | 187,891 | 639,600 | 258,096 | ||||||||||||
Unrealized
gains/(losses)
|
(1,005,066 | ) | (1,108,186 | ) | (683,652 | ) | (1,093,807 | ) | ||||||||
Lowest
credit rating assigned
|
Caa3
|
Ca
|
BB
|
Ca
|
||||||||||||
Number
of performing banks
|
52 | 28 | 47 | 38 | ||||||||||||
Number
of performing insurance companies
|
12 | 7 | 10 | n/a | ||||||||||||
Number
of issuers in default
|
13 | 5 | 8 | 7 | ||||||||||||
Number
of issuers in deferral
|
16 | 9 | 11 | 11 | ||||||||||||
Defaults
& deferrals as a % of performing collateral
|
49.63 | % | 34.29 | % | 41.61 | % | 50.11 | % | ||||||||
Subordination:
|
||||||||||||||||
As
a % of performing collateral
|
-15.28 | % | -19.13 | % | 17.84 | % | -20.23 | % | ||||||||
As
a % of performing collateral - adjusted for projected future
defaults
|
-20.71 | % | -24.48 | % | 12.96 | % | -26.43 | % | ||||||||
Other-than-temporary
impairment model assumptions:
|
||||||||||||||||
Defaults:
|
||||||||||||||||
Year
1
|
3.10 | % | 2.70 | % | 4.00 | % | 3.60 | % | ||||||||
Year
2
|
0.80 | % | 0.90 | % | 0.90 | % | 0.80 | % | ||||||||
Year
3
|
0.60 | % | 0.70 | % | 0.70 | % | 0.50 | % | ||||||||
>
3 Years
|
(1 | ) | (1 | ) | (1 | ) | (1 | ) | ||||||||
Discount
rate - 3 month Libor, plus implicit yield spread at
purchase
|
1.48 | % | 1.23 | % | 1.27 | % | 1.44 | % | ||||||||
Recovery
assumptions
|
(2 | ) | (2 | ) | (2 | ) | (2 | ) | ||||||||
Prepayments
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Other-than-temporary
impairment
|
39,300 | 132,000 | 15,884 | 61,950 |
(Dollars in thousands)
|
Fair Value Measurements at June 30, 2010 Using
|
|||||||||||||||
6/30/2010
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
|
Significant Other
Observable Inputs
(Level 2)
|
Significant
Unobservable Inputs
(Level 3)
|
|||||||||||||
Assets:
|
||||||||||||||||
Available-for-sale
debt securities
|
||||||||||||||||
U.S.
government sponsored entities
|
$ | 1,013 | $ | - | $ | 1,013 | $ | - | ||||||||
CMO
and residential mortgage-backed securities
|
59,752 | - | 59,752 | - | ||||||||||||
Municipal
securities
|
34,756 | - | 34,756 | - | ||||||||||||
CMO
government sponsored entities
|
34,791 | - | 34,791 | - | ||||||||||||
Collateralized
debt obligations
|
1,339 | - | - | 1,339 | ||||||||||||
Total
available for sale debt securities
|
$ | 131,651 | $ | - | $ | 130,312 | $ | 1,339 |
(Dollars in thousands)
|
Fair Value Measurements at December 31, 2009 Using
|
|||||||||||||||
12/31/2009
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1)
|
Significant Other
Observable Inputs
(Level 2)
|
Significant
Unobservable Inputs
(Level 3)
|
|||||||||||||
Assets:
|
||||||||||||||||
Available-for-sale
debt securities
|
||||||||||||||||
U.S.
government sponsored entities
|
$ | 2,045 | $ | - | $ | 2,045 | $ | - | ||||||||
CMO
and residential mortgage-backed securities
|
63,315 | - | 63,315 | - | ||||||||||||
Municipal
securities
|
35,573 |