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, September 30, 2010 and December 31, 2009
|
1
|
|||
Consolidated
Statements of Income, Three and Nine Months Ended September 30, 2010 and
2009
|
2
|
|||
Consolidated
Statements of Changes in Stockholders' Equity, Three and Nine Months Ended
September 30, 2010 and 2009
|
3
|
|||
Consolidated
Statements of Cash Flows, Nine Months Ended September 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
|
15-26
|
||
Item
3.
|
Quantitative
and Qualitative Disclosures About Market Risk
|
27
|
||
Item
4.
|
Controls
and Procedures
|
27
|
||
PART
II. Other Information
|
28
|
|||
SIGNATURES
|
29
|
|||
EXHIBITS
|
||||
31.1 Rule
13a-14(a)/15d-14(a) Certification of Chief Executive
Officer
|
30
|
|||
31.2 Rule
13a-14(a)/15d-14(a) Certification of Chief Financial
Officer
|
31
|
|||
32.1 Section
1350 Certifications
|
32
|
September 30,
|
December 31,
|
||||||
2010
|
2009
|
||||||
(Dollars in thousands)
|
(unaudited)
|
||||||
ASSETS
|
|||||||
Cash
and non-interest bearing balances in financial
institutions
|
$ | 7,740 | $ | 8,705 | |||
Interest
bearing balances in financial institutions
|
5,285 | 447 | |||||
Federal
funds sold
|
3,026 | 4,070 | |||||
Total
cash and cash equivalents
|
16,051 | 13,222 | |||||
Securities
available-for-sale
|
141,736 | 124,776 | |||||
Securities
held-to-maturity
|
18,476 | 19,557 | |||||
Loans
held-for-sale
|
5,662 | 1,025 | |||||
Loans
receivable
|
428,812 | 458,245 | |||||
Less:
allowance for loan losses
|
(8,195 | ) | (6,114 | ) | |||
Net
loans receivable
|
420,617 | 452,131 | |||||
Federal
Home Loan Bank stock
|
3,650 | 3,650 | |||||
Accrued
interest receivable
|
2,616 | 2,878 | |||||
Premises
and equipment
|
19,266 | 19,590 | |||||
Foreclosed
real estate
|
5,068 | 3,747 | |||||
Cash
value of bank owned life insurance
|
12,355 | 12,049 | |||||
Prepaid
FDIC insurance premium
|
2,630 | 3,282 | |||||
Other
assets
|
3,988 | 5,899 | |||||
Total
assets
|
$ | 652,115 | $ | 661,806 | |||
LIABILITIES
AND STOCKHOLDERS' EQUITY
|
|||||||
Deposits:
|
|||||||
Non-interest
bearing
|
$ | 53,515 | $ | 42,390 | |||
Interest
bearing
|
484,386 | 498,137 | |||||
Total
|
537,901 | 540,527 | |||||
Repurchase
agreements
|
20,058 | 15,893 | |||||
Borrowed
funds
|
29,671 | 47,129 | |||||
Accrued
expenses and other liabilities
|
7,031 | 5,179 | |||||
Total
liabilities
|
594,661 | 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: September 30, 2010 - 2,888,902 |
361 | 361 | |||||
December
31, 2009 – 2,889,452
|
|||||||
shares
outstanding: September 30, 2010 - 2,825,054
|
|||||||
December
31, 2009 – 2,818,578
|
|||||||
Additional
paid in capital
|
5,131 | 5,104 | |||||
Accumulated
other comprehensive income/(loss)
|
1,620 | (170 | ) | ||||
Retained
earnings
|
51,696 | 49,312 | |||||
Treasury
stock, common shares at cost: September 30, 2010 -
63,848
December 31, 2009 - 70,874 |
(1,354 | ) | (1,529 | ) | |||
Total
stockholders' equity
|
57,454 | 53,078 | |||||
Total
liabilities and stockholders' equity
|
$ | 652,115 | $ | 661,806 |
Three Months Ended
|
Nine Months Ended
|
|||||||||||||||
(Dollars in thousands, except per share data)
|
September 30,
|
September 30,
|
||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Interest
income:
|
||||||||||||||||
Loans
receivable
|
||||||||||||||||
Real
estate loans
|
$ | 4,866 | $ | 5,293 | $ | 15,104 | $ | 16,826 | ||||||||
Commercial
loans
|
1,051 | 954 | 3,204 | 2,767 | ||||||||||||
Consumer
loans
|
16 | 29 | 60 | 93 | ||||||||||||
Total
loan interest
|
5,933 | 6,276 | 18,368 | 19,686 | ||||||||||||
Securities
|
1,455 | 1,538 | 4,549 | 4,632 | ||||||||||||
Other
interest earning assets
|
7 | 3 | 21 | 14 | ||||||||||||
Total
interest income
|
7,395 | 7,817 | 22,938 | 24,332 | ||||||||||||
Interest
expense:
|
||||||||||||||||
Deposits
|
880 | 1,636 | 3,135 | 5,687 | ||||||||||||
Repurchase
agreements
|
46 | 68 | 145 | 200 | ||||||||||||
Borrowed
funds
|
210 | 369 | 714 | 1,184 | ||||||||||||
Total
interest expense
|
1,136 | 2,073 | 3,994 | 7,071 | ||||||||||||
Net
interest income
|
6,259 | 5,744 | 18,944 | 17,261 | ||||||||||||
Provision
for loan losses
|
1,615 | 4,675 | 4,120 | 6,490 | ||||||||||||
Net
interest income after provision for loan losses
|
4,644 | 1,069 | 14,824 | 10,771 | ||||||||||||
Noninterest
income:
|
||||||||||||||||
Fees
and service charges
|
652 | 694 | 1,896 | 2,004 | ||||||||||||
Gain
on sale of securities, net
|
111 | 93 | 853 | 437 | ||||||||||||
Wealth
management operations
|
353 | 270 | 887 | 672 | ||||||||||||
Gain
on sale of loans held-for-sale, net
|
335 | 167 | 607 | 1,032 | ||||||||||||
Increase
in cash value of bank owned life insurance
|
102 | 98 | 306 | 306 | ||||||||||||
Gain/(loss)
on foreclosed real estate, net
|
(266 | ) | (26 | ) | (201 | ) | (58 | ) | ||||||||
Other-than-temporary
impairment of securities
|
(80 | ) | 138 | (99 | ) | (145 | ) | |||||||||
Portion
of loss recognized in other comprehensive income
|
65 | (182 | ) | (29 | ) | 101 | ||||||||||
Other
|
3 | 11 | 12 | 23 | ||||||||||||
Total
noninterest income
|
1,275 | 1,263 | 4,232 | 4,372 | ||||||||||||
Noninterest
expense:
|
||||||||||||||||
Compensation
and benefits
|
2,426 | 2,451 | 7,293 | 7,061 | ||||||||||||
Occupancy
and equipment
|
794 | 782 | 2,386 | 2,315 | ||||||||||||
Federal
deposit insurance premiums
|
231 | 246 | 727 | 986 | ||||||||||||
Data
processing
|
236 | 222 | 700 | 652 | ||||||||||||
Marketing
|
90 | 153 | 329 | 368 | ||||||||||||
Other
|
1,007 | 924 | 2,906 | 2,896 | ||||||||||||
Total
noninterest expense
|
4,784 | 4,778 | 14,341 | 14,278 | ||||||||||||
Income
before income tax expenses
|
1,135 | (2,446 | ) | 4,715 | 865 | |||||||||||
Income
tax expenses
|
94 | (1,051 | ) | 669 | (498 | ) | ||||||||||
Net
income
|
$ | 1,041 | $ | (1,395 | ) | $ | 4,046 | $ | 1,363 | |||||||
Earnings
per common share:
|
||||||||||||||||
Basic
|
$ | 0.37 | $ | (0.50 | ) | $ | 1.43 | $ | 0.48 | |||||||
Diluted
|
$ | 0.37 | $ | (0.50 | ) | $ | 1.43 | $ | 0.48 | |||||||
Dividends
declared per common share
|
$ | 0.15 | $ | 0.32 | $ | 0.57 | $ | 1.00 |
Three Months Ended
|
Nine Months Ended
|
|||||||||||||||
(Dollars in thousands)
|
September 30,
|
September 30,
|
||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Balance
at beginning of period
|
$ | 56,307 | $ | 53,274 | $ | 53,078 | $ | 52,773 | ||||||||
Comprehensive
income:
|
||||||||||||||||
Net
income
|
1,041 | (1,395 | ) | 4,046 | 1,363 | |||||||||||
Net
unrealized change on securities available-for-sale, net of
reclassifications and tax effects
|
483 | 2,283 | 1,796 | 1,948 | ||||||||||||
Amortization
of unrecognized gain
|
(2 | ) | (2 | ) | (6 | ) | (6 | ) | ||||||||
Comprehensive
income
|
1,522 | 886 | 5,836 | 3,305 | ||||||||||||
Issuance
of common stock, under stock based compensation plan, including tax
effects
|
- | - | - | 4 | ||||||||||||
Stock
based compensation expense
|
8 | 9 | 27 | 33 | ||||||||||||
Sale
of treasury stock
|
41 | 52 | 122 | 101 | ||||||||||||
Adjustment
to retained earnings for Topic 715
|
- | - | - | (84 | ) | |||||||||||
Cash
dividends
|
(424 | ) | (902 | ) | (1,609 | ) | (2,813 | ) | ||||||||
Balance
at end of period
|
$ | 57,454 | $ | 53,319 | $ | 57,454 | $ | 53,319 |
Nine
Months Ended
|
||||||||
(Dollars
in thousands)
|
September 30,
|
|||||||
2010
|
2009
|
|||||||
CASH
FLOWS FROM OPERATING ACTIVITIES:
|
||||||||
Net
income
|
$ | 4,046 | $ | 1,363 | ||||
Adjustments
to reconcile net income to net cash provided by operating
activities:
|
||||||||
Origination
of loans for sale
|
(22,296 | ) | (44,961 | ) | ||||
Sale
of loans originated for sale
|
23,366 | 44,771 | ||||||
Depreciation
and amortization, net of accretion
|
1,570 | 1,095 | ||||||
Amortization
of mortgage servicing rights
|
81 | 113 | ||||||
Amortization
of investment in real estate limited partnerships
|
113 | 142 | ||||||
Stock
based compensation expense
|
27 | 33 | ||||||
Gain
on sale of securities, net
|
(853 | ) | (437 | ) | ||||
Gain
on sale of loans held-for-sale, net
|
(607 | ) | (1,032 | ) | ||||
Net
losses due to other-than-temporary impairment of
securities
|
128 | 44 | ||||||
Gain/(loss)
on foreclosed real estate, net
|
(201 | ) | 58 | |||||
Provision
for loan losses
|
4,120 | 6,490 | ||||||
Net
change in:
|
||||||||
Interest
receivable
|
262 | 267 | ||||||
Other
assets
|
1,477 | (1,363 | ) | |||||
Cash
value of bank owned life insurance
|
(306 | ) | (306 | ) | ||||
Accrued
expenses and other liabilities
|
2,018 | (2,442 | ) | |||||
Total
adjustments
|
8,899 | 2,472 | ||||||
Net
cash - operating activities
|
12,945 | 3,835 | ||||||
CASH
FLOWS FROM INVESTING ACTIVITIES:
|
||||||||
Proceeds
from maturities and pay downs of securities
available-for-sale
|
22,743 | 17,254 | ||||||
Proceeds
from sales of securities available-for-sale
|
16,630 | 21,023 | ||||||
Purchase
of securities available-for-sale
|
(53,240 | ) | (48,914 | ) | ||||
Purchase
of securities held-to-maturity
|
- | (3,860 | ) | |||||
Proceeds
from maturities and pay downs of securities
held-to-maturity
|
1,063 | 1,073 | ||||||
Proceeds
from sale of loans transferred to held-for-sale
|
- | 10,651 | ||||||
Net
change in loans receivable
|
19,612 | 5,578 | ||||||
Purchase
of premises and equipment, net
|
(847 | ) | (1,566 | ) | ||||
Proceeds
from sale of foreclosed real estate
|
1,495 | - | ||||||
Net
cash - investing activities
|
7,456 | 1,239 | ||||||
CASH
FLOWS FROM FINANCING ACTIVITIES:
|
||||||||
Change
in deposits
|
(2,626 | ) | 29,122 | |||||
Proceeds
from FHLB advances
|
13,000 | 6,000 | ||||||
Repayment
of FHLB advances
|
(22,000 | ) | (13,000 | ) | ||||
Change
in other borrowed funds
|
(4,293 | ) | (6,745 | ) | ||||
Proceeds
from issuance of common stock
|
- | 4 | ||||||
Proceeds
from sale of treasury stock
|
122 | 101 | ||||||
Dividends
paid
|
(1,775 | ) | (2,813 | ) | ||||
Net
cash - financing activities
|
(17,572 | ) | 12,669 | |||||
Net
change in cash and cash equivalents
|
2,829 | 17,743 | ||||||
Cash
and cash equivalents at beginning of period
|
13,222 | 11,296 | ||||||
Cash
and cash equivalents at end of period
|
$ | 16,051 | $ | 29,039 | ||||
SUPPLEMENTAL
CASH FLOW INFORMATION:
|
||||||||
Cash
paid during the period for:
|
||||||||
Interest
|
$ | 4,035 | $ | 7,128 | ||||
Income
taxes
|
$ | 1,185 | $ | 990 | ||||
SUPPLEMENTAL
NONCASH INFORMATION:
|
||||||||
Transfers
from loans to foreclosed real estate
|
$ | 3,573 | $ | 3,529 | ||||
Transfers
from loans to loans held for sale
|
$ | 5,167 | $ | 10,493 |
(Dollars
in thousands)
|
||||||||||||||||
Gross
|
Gross
|
|||||||||||||||
Cost
|
Unrealized
|
Unrealized
|
Fair
|
|||||||||||||
Basis
|
Gains
|
Losses
|
Value
|
|||||||||||||
September
30, 2010
|
||||||||||||||||
U.S.
government sponsored entities
|
$ | 6,209 | $ | 2 | $ | (4 | ) | $ | 6,207 | |||||||
CMO
and residential mortgage-backed securities
|
54,867 | 2,006 | - | 56,873 | ||||||||||||
Municipal
securities
|
34,596 | 2,798 | (4 | ) | 37,390 | |||||||||||
CMO
government sponsored entities
|
38,442 | 1,573 | - | 40,015 | ||||||||||||
Collateralized
debt obligations
|
5,215 | - | (3,964 | ) | 1,251 | |||||||||||
Total
securities available-for-sale
|
$ | 139,329 | $ | 6,379 | $ | (3,972 | ) | $ | 141,736 | |||||||
December
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
securities available-for-sale
|
$ | 125,116 | $ | 4,038 | $ | (4,378 | ) | $ | 124,776 |
(Dollars in thousands)
|
||||||||||||||||
Gross
|
Gross
|
|||||||||||||||
Cost
|
Unrecognized
|
Unrecognized
|
Fair
|
|||||||||||||
Basis
|
Gains
|
Losses
|
Value
|
|||||||||||||
September
30, 2010
|
||||||||||||||||
Municipal
securities
|
$ | 17,596 | $ | 1,143 | $ | - | $ | 18,739 | ||||||||
Residential
mortgage-backed securities
|
880 | 59 | - | 939 | ||||||||||||
Total
securities heald-to-maturity
|
$ | 18,476 | $ | 1,202 | $ | - | $ | 19,678 | ||||||||
December
31, 2009
|
||||||||||||||||
Municipal
securities
|
$ | 18,539 | $ | 724 | $ | - | $ | 19,263 | ||||||||
Residential
mortgage-backed securities
|
1,018 | 28 | (6 | ) | 1,040 | |||||||||||
Total
securities heald-to-maturity
|
$ | 19,557 | $ | 752 | $ | (6 | ) | $ | 20,303 |
(Dollars in thousands)
|
||||||||||||||||||||
Available-for-sale
|
Held-to-maturity
|
|||||||||||||||||||
Fair
|
Tax-Equivalent
|
Carrying
|
Fair
|
Tax-Equivalent
|
||||||||||||||||
Value
|
Yield
|
Amount
|
Value
|
Yield
|
||||||||||||||||
Due
in one year or less
|
$ | 193 | 7.07 | $ | - | $ | - | - | ||||||||||||
Due
from one to five years
|
4,805 | 3.92 | 1,876 | 2,020 | 6.34 | |||||||||||||||
Due
over five years
|
39,850 | 5.60 | 15,720 | 16,720 | 6.02 | |||||||||||||||
CMO
and residential mortgage-backed securities
|
96,888 | 3.98 | 880 | 938 | 4.79 | |||||||||||||||
Total
|
$ | 141,736 | 4.44 | $ | 18,476 | $ | 19,678 | 6.00 |
(Dollars in thousands)
|
||||||||
September 30,
|
September 30,
|
|||||||
2010
|
2009
|
|||||||
Proceeds
|
$ | 16,630 | 21,023 | |||||
Gross
gains
|
853 | 437 | ||||||
Gross
losses
|
- | - |
(Dollars in thousands)
|
||||
Unrealized gains
|
||||
Beginning
balance, December 31, 2009
|
$ | (247 | ) | |
Current
period change
|
1,796 | |||
Ending
balance, September 30, 2010
|
$ | 1,549 |
(Dollars
in thousands)
|
||||||||||||||||||||||||
Less
than 12 months
|
12
months or longer
|
Total
|
||||||||||||||||||||||
Fair
|
Unrealized
|
Fair
|
Unrealized
|
Fair
|
Unrealized
|
|||||||||||||||||||
Value
|
Losses
|
Value
|
Losses
|
Value
|
Losses
|
|||||||||||||||||||
September
30, 2010
|
||||||||||||||||||||||||
Description
of Securities:
|
||||||||||||||||||||||||
U.S.
government sponsored entities
|
$ | 1,525 | $ | (4 | ) | $ | - | $ | - | $ | 1,525 | $ | (4 | ) | ||||||||||
CMO
and residential mortgage-backed securities
|
- | - | - | - | - | - | ||||||||||||||||||
Municipal
securities
|
- | - | 412 | (4 | ) | 412 | (4 | ) | ||||||||||||||||
Collateralized
debt obligations
|
- | - | 1,251 | (3,964 | ) | 1,251 | (3,964 | ) | ||||||||||||||||
Total
temporarily impaired
|
$ | 1,525 | $ | (4 | ) | $ | 1,663 | $ | (3,968 | ) | $ | 3,188 | $ | (3,972 | ) | |||||||||
Number
of securities
|
1 | 5 | 6 |
(Dollars
in thousands)
|
||||||||||||||||||||||||
Less
than 12 months
|
12
months or longer
|
Total
|
||||||||||||||||||||||
Fair
|
Unrealized
|
Fair
|
Unrealized
|
Fair
|
Unrealized
|
|||||||||||||||||||
Value
|
Losses
|
Value
|
Losses
|
Value
|
Losses
|
|||||||||||||||||||
December
31, 2009
|
||||||||||||||||||||||||
Description
of Securities:
|
||||||||||||||||||||||||
U.S.
government sponsored entities
|
$ | - | $ | - | $ | - | $ | - | $ | - | $ | - | ||||||||||||
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)
|
||||||||
September 30,
|
September 30,
|
|||||||
2010
|
2009
|
|||||||
Loans
past due over 90 days still on accrual
|
$ | 296 | $ | 1,491 | ||||
Non-accrual
loans
|
23,238 | 17,074 |
(Dollars in thousands)
|
||||||||
September 30,
|
September 30,
|
|||||||
2010
|
2009
|
|||||||
Period-end
loans with no allocated allowance for loan losses (including troubled debt
restructurings of $6,326 and $0)
|
$ | 16,850 | $ | 3,853 | ||||
Period-end
loans with allocated allowance for loan losses (including troubled debt
restructurings of $5,554 and $7,199)
|
10,653 | 13,112 | ||||||
Total
|
$ | 27,503 | $ | 16,965 | ||||
Amount
of the allowance for loan losses allocated
|
$ | 1,041 | $ | 1,179 | ||||
Average
of impaired loans during the period
|
21,531 | 12,820 | ||||||
Interest
income recognized during impairment
|
19 | 10 | ||||||
Cash-basis
interest income recognized during impairment
|
409 | 95 |
(Dollars in thousands)
|
||||||||
September 30,
|
September 30,
|
|||||||
2010
|
2009
|
|||||||
Construction
and land development
|
$ | 1,940 | $ | 768 | ||||
Commercial
real estate and other dwelling
|
1,598 | 1,897 | ||||||
Residential
real estate
|
1,386 | 1,082 | ||||||
Commercial
and industrial
|
144 | - | ||||||
Total
|
$ | 5,068 | $ | 3,747 |
Three Months Ended
|
Nine Months Ended
|
|||||||||||||||
September 30,
|
September 30,
|
|||||||||||||||
2010
|
2009
|
2010
|
2009
|
|||||||||||||
Basic
earnings per common share:
|
||||||||||||||||
Net
income as reported
|
$ | 1,041 | $ | (1,395 | ) | $ | 4,046 | $ | 1,363 | |||||||
Weighted
average common shares outstanding:
|
2,823,684 | 2,816,600 | 2,822,522 | 2,813,031 | ||||||||||||
Basic
earnings per common share:
|
$ | 0.37 | $ | (0.50 | ) | $ | 1.43 | $ | 0.48 | |||||||
Diluted
earnings per common share:
|
||||||||||||||||
Net
income as reported
|
$ | 1,041 | $ | (1,395 | ) | $ | 4,046 | $ | 1,363 | |||||||
Weighted
average common shares outstanding:
|
2,823,684 | 2,816,600 | 2,822,522 | 2,813,031 | ||||||||||||
Add: Dilutive
effect of assumed stock option exercises:
|
- | - | - | - | ||||||||||||
Weighted
average common and dilutive
|
||||||||||||||||
potential
common shares outstanding:
|
2,823,684 | 2,816,600 | 2,822,522 | 2,813,031 | ||||||||||||
Diluted
earnings per common share:
|
$ | 0.37 | $ | (0.50 | ) | $ | 1.43 | $ | 0.48 |
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 September 30, 2010
|
49,247 | $ | 24.27 |
2.0
|
-
|
||||||
Exercisable
at September 30, 2010
|
48,247 | $ | 24.18 |
1.9
|
-
|
(Dollars in thousands)
|
|||
Collateralized debt obligations
|
|||
Ending balance, December 31, 2009
|
$ | 136 | |
Additions
not previously recognized
|
128 | ||
Ending
balance, September 30, 2010
|
$ | 264 |
Deal name
|
PreTSL XXIV
|
PreTSL XXVII
|
Alesco IX
|
Alesco XVII
|
||||||||
Class
|
Caaa3
|
Ca
|
CCC-
|
Ca
|
||||||||
Book
value
|
1,256,972 | 1,296,077 | 1,309,886 | 1,351,903 | ||||||||
Fair
value
|
229,878 | 191,557 | 580,200 | 249,267 | ||||||||
Unrealized
gains/(losses)
|
(1,027,093 | ) | (1,104,521 | ) | (729,686 | ) | (1,102,635 | ) | ||||
Lowest
credit rating assigned
|
Caa3
|
Ca
|
BB
|
Ca
|
||||||||
Number
of performing banks
|
51 | 26 | 44 | 37 | ||||||||
Number
of performing insurance companies
|
12 | 7 | 10 | n/a | ||||||||
Number
of issuers in default
|
13 | 6 | 8 | 7 | ||||||||
Number
of issuers in deferral
|
18 | 10 | 14 | 12 | ||||||||
Defaults
& deferrals as a % of performing collateral
|
55.13 | % | 41.58 | % | 46.63 | % | 53.69 | % | ||||
Subordination:
|
||||||||||||
As
a % of performing collateral
|
-19.35 | % | -25.48 | % | 14.65 | % | -4.25 | % | ||||
As
a % of performing collateral - adjusted for projected future
defaults
|
-24.58 | % | -30.98 | % | 10.45 | % | -8.71 | % | ||||
Other-than-temporary
impairment model assumptions:
|
||||||||||||
Defaults:
|
||||||||||||
Year
1
|
2.90 | % | 2.70 | % | 3.20 | % | 3.00 | % | ||||
Year
2
|
0.70 | % | 0.80 | % | 0.80 | % | 0.60 | % | ||||
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
|
41,100 | 132,000 | 29,250 | 61,950 |
(Dollars in thousands)
|
Fair Value Measurements at September 30, 2010 Using
|
|||||||||||||||
September 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
|
$ | 6,207 | $ | - | $ | 6,207 | $ | - | ||||||||
CMO
and residential mortgage-backed securities
|
56,873 | - | 56,873 | - | ||||||||||||
Municipal
securities
|
37,390 | - | 37,390 | - | ||||||||||||
CMO
government sponsored entities
|
40,015 | - | 40,015 | - | ||||||||||||
Collateralized
debt obligations
|
1,251 | - | - | 1,251 | ||||||||||||
Total
available for sale debt securities
|
$ | 141,736 | $ | - | $ | 140,485 | $ | 1,251 |
(Dollars in thousands)
|
Fair Value Measurements at December 31, 2009 Using
|
|||||||||||||||
December 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 | - | 35,573 | - | ||||||||||||
CMO
government sponsored entities
|
22,493 | - | 22,493 | - | ||||||||||||
Collateralized
debt obligations
|
1,350 | - | - | 1,350 | ||||||||||||
Total
available for sale debt securities
|
$ | 124,776 | $ | - | $ | 123,426 |