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Investment Securities (Tables)

9 Months Ended

Jun. 30, 2020

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


	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
June 30, 2020
Held to maturity
Mortgage-backed securities ("MBS"):
U.S. government agencies	$	30,413	$	1,657	$	(12)	$	32,058
Private label residential	247		302		(1)		548

Total	$	30,660	$	1,959	$	(13)	$	32,606

Available for sale

MBS: U.S. government agencies	$	41,910	$	33	$	(29)	$	41,914
Total	$	41,910	$	33	$	(29)	$	41,914

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 June 30, 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	$	7,014	$	(11)	5	$	41	$	(1)	4	$	7,055	$	(12)
Private label residential	7		—		1	11		(1)		2	18		(1)

Total	$	7,021	$	(11)	6	$	52	$	(2)	6	$	7,073	$	(13)

Available for sale

MBS: U.S. government agencies	$	35,709	$	(29)	9	$	—	$	—	—	$	35,709	$	(29)
Total	$	35,709	$	(29)	9	$	—	$	—	—	$	35,709	$	(29)

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 June 30, 2020 and 2019:


	Range						Weighted
	Minimum		Maximum		Average
June 30, 2020
Constant prepayment rate	6.00	%	15.00	%	9.21	%
Collateral default rate	2.00	%	19.96	%	10.21	%
Loss severity rate	—	%	12.41	%	2.48	%

June 30, 2019
Constant prepayment rate	6.00	%	15.00	%	11.52	%
Collateral default rate	—	%	11.28	%	5.28	%
Loss severity rate	—	%	78.00	%	37.73	%

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the OTTI recoveries for the three and nine months ended June 30, 2020 and 2019 (dollars in thousands):



	Three Months Ended June 30, 2020						Three Months Ended June 30, 2019
	Held To Maturity		Available For Sale		Held To Maturity		Available For Sale
Total recoveries	$	6	$	—	$	14	$	—
Adjustment for portion of OTTI transferred from other comprehensive income (loss) before income taxes (1)	—		—		—		—
Net recoveries recognized in earnings (2)	$	6	$	—	$	14	$	—


	Nine Months Ended June 30, 2020						Nine Months Ended June 30, 2019
	Held To Maturity		Available For Sale		Held To Maturity		Available For Sale
Total recoveries	$	113	$	—	$	46	$	—
Adjustment for portion of OTTI transferred from other comprehensive income (loss) before income taxes (1)	—		—		(12)		—
Net recoveries recognized in earnings (2)	$	113	$	—	$	34	$	—

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(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 nine months ended June 30, 2020 and 2019 (dollars in thousands):


	Nine Months Ended June 30,
	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	2		13
Subtractions:
Realized losses previously recorded as credit losses	(65)		(16)
Recovery of prior credit loss	(112)		(47)
Ending balance of credit loss	$	896	$	1,103

Schedule of Contractual Maturities of Debt Securities

The contractual maturities of debt securities at June 30, 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	$	—	$	—	$	836	$	834
Due after one year to five years	144		151		1,118		1,108
Due after five years to ten years	6,708		7,444		6,150		6,160
Due after ten years	23,808		25,011		33,806		33,812
Total	$	30,660	$	32,606	$	41,910	$	41,914