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Investments
 6 Months Ended
Jun. 30, 2016
Investments [Abstract]  
Investments
Investments
Securities Available For Sale, at Fair Value
The following table sets forth the major components of securities available for sale and compares the amortized costs and estimated fair market values of, and the gross unrealized gains and losses on, these securities at June 30, 2016 and December 31, 2015:
(Dollars in thousands)
June 30, 2016
 
December 31, 2015
Amortized
Cost
 
Gross Unrealized
 
Estimated
Fair Value
 
Amortized
Cost
 
Gross Unrealized
 
Estimated
Fair Value
Gain
 
Loss
 
Gain
 
Loss
 
Securities Available for Sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage backed securities issued by U.S. Agencies(1)
$
42,164

 
$
204

 
$
(55
)
 
$
42,313

 
$
46,126

 
$
4

 
$
(976
)
 
$
45,154

Residential collateralized mortgage obligations issued by non-agencies(1)
551

 
—

 
(15
)
 
536

 
646

 
—

 
(14
)
 
632

Asset backed security(2)
2,027

 
—

 
(698
)
 
1,329

 
2,027

 
—

 
(547
)
 
1,480

Mutual funds(3)
5,000

 
92

 
(7
)
 
5,085

 
5,000

 
33

 
(50
)
 
4,983

Total
$
49,742

 
$
296

 
$
(775
)
 
$
49,263

 
$
53,799

 
$
37

 
$
(1,587
)
 
$
52,249

 
 

(1)
Secured by closed-end first liens on 1-4 family residential mortgages.
(2)
Comprised of a security that represents an interest in a pool of trust preferred securities issued by U.S.-based banks and insurance companies.
(3)
Consists primarily of mutual fund investments in closed-end first liens on 1-4 family residential mortgages.
At June 30, 2016 and December 31, 2015, U.S. agency mortgage backed securities with an aggregate fair market value of $16.6 million and $2.9 million, respectively, were pledged to secure repurchase agreements, local agency deposits and treasury, tax and loan accounts.
The amortized cost and estimated fair values of securities available for sale at June 30, 2016 and December 31, 2015 are shown in the tables below by contractual maturities taking into consideration historical prepayments based on the prior twelve months of principal payments. Expected maturities will differ from contractual maturities and historical prepayments, particularly with respect to collateralized mortgage obligations, primarily because prepayment rates are affected by changes in conditions in the interest rate market and, therefore, future prepayment rates may differ from historical prepayment rates.
 
At June 30, 2016 Maturing in
(Dollars in thousands)
One year
or less
 
Over one
year through
five years
 
Over five
years through
ten years
 
Over ten
Years
 
Total
Securities available for sale, amortized cost
$
7,974

 
$
25,514

 
$
11,956

 
$
4,298

 
$
49,742

Securities available for sale, estimated fair value
7,966

 
25,740

 
11,956

 
3,601

 
49,263

Weighted average yield
1.59
%
 
1.56
%
 
1.57
%
 
2.29
%
 
1.63
%
 
At December 31, 2015 Maturing in
(Dollars in thousands)
One year
or less
 
Over one
year through
five years
 
Over five
years through
ten years
 
Over ten
Years
 
Total
Securities available for sale, amortized cost
$
7,761

 
$
26,178

 
$
14,164

 
$
5,696

 
$
53,799

Securities available for sale, estimated fair value
7,599

 
25,716

 
13,857

 
5,077

 
52,249

Weighted average yield
1.63
%
 
1.60
%
 
1.60
%
 
2.05
%
 
1.65
%

 
We had no sales of securities available for sale during the three and six months ended June 30, 2016 and 2015.
The tables below indicate, as of June 30, 2016 and December 31, 2015, the gross unrealized losses and fair values of our investments, aggregated by investment category, and length of time that the individual securities have been in a continuous unrealized loss position.
 
Securities with Unrealized Loss at June 30, 2016
 
Less than 12 months
 
12 months or more
 
Total
(Dollars in thousands)
Fair Value
 
Unrealized
Loss
 
Fair Value
 
Unrealized
Loss
 
Fair Value
 
Unrealized
Loss
Residential mortgage backed securities issued by U.S. Agencies
$
351

 
$
(1
)
 
$
22,663

 
$
(54
)
 
$
23,014

 
$
(55
)
Residential collateralized mortgage obligations issued by non-agencies
—

 
—

 
536

 
(15
)
 
536

 
(15
)
Asset backed security
—

 
—

 
1,329

 
(698
)
 
1,329

 
(698
)
Mutual funds
—

 
—

 
993

 
(7
)
 
993

 
(7
)
Total
$
351

 
$
(1
)
 
$
25,521

 
$
(774
)
 
$
25,872

 
$
(775
)
  
Securities With Unrealized Loss as of December 31, 2015
 
Less than 12 months
 
12 months or more
 
Total
(Dollars in thousands)
Fair Value
 
Unrealized
Loss
 
Fair Value
 
Unrealized
Loss
 
Fair Value
 
Unrealized
Loss
Residential mortgage backed securities issued by U.S. Agencies
$
20,597

 
$
(197
)
 
$
23,865

 
$
(779
)
 
$
44,462

 
$
(976
)
Residential collateralized mortgage obligations issued by non-agencies
—

 
—

 
631

 
(14
)
 
631

 
(14
)
Asset-backed security
—

 
—

 
1,480

 
(547
)
 
1,480

 
(547
)
Mutual funds
1,728

 
(23
)
 
973

 
(27
)
 
2,701

 
(50
)
Total
$
22,325

 
$
(220
)
 
$
26,949

 
$
(1,367
)
 
$
49,274

 
$
(1,587
)

We regularly monitor investments for significant declines in fair value. We have determined that declines in the fair values of these investments below their respective amortized costs, as set forth in the tables above, are temporary because (i) those declines were due to interest rate changes and not to a deterioration in the creditworthiness of the issuers of those investment securities, and (ii) we have the ability to hold those securities until there is a recovery in their values or until their maturity.
We recognize other-than-temporary impairments (“OTTI”) to our available-for-sale debt securities in accordance with FASB ASC 320-10. When there are credit losses associated with, but we have no intention to sell, an impaired debt security, and it is more likely than not that we will not have to sell the security before recovery of its cost basis, we will separate the amount of impairment, or OTTI, between the amount that is credit related and the amount that is related to non-credit factors. Credit-related impairments are recognized in our consolidated statements of operations. Any non-credit-related impairments are recognized and reflected in other comprehensive income in our consolidated statements of financial condition.
Through the impairment assessment process, we determined that the available-for-sale securities discussed below were other-than-temporarily impaired at June 30, 2016. We recorded no impairment credit losses on available-for-sale securities in our consolidated statements of operations for the three and six months ended June 30, 2016 and 2015. The OTTI related to factors other than credit losses, in the aggregate amount of $698 thousand, and was recognized as other comprehensive loss in our accompanying consolidated statement of financial condition as of June 30, 2016.

The table below presents, for the six months ended June 30, 2016, a roll-forward of OTTI in those instances when a portion of the OTTI was attributable to non-credit related factors and, therefore, was recognized in other comprehensive loss:
(Dollars in thousands)
Gross Other-
Than-
Temporary
Impairments
 
Other-Than-
Temporary
Impairments
Included in Other
Comprehensive
Loss
 
Net Other-Than-
Temporary
Impairments
Included in
Retained  Earnings
(Deficit)
Balance – December 31, 2015
$
(1,100
)
 
$
(547
)
 
$
(553
)
Change in market value on a security for which an OTTI was previously recognized
(151
)
 
(151
)
 
—

Principal received on OTTI security
—

 
—

 
—

Balance – June 30, 2016
$
(1,251
)
 
$
(698
)
 
$
(553
)

In determining the component of OTTI related to credit losses, we compare the amortized cost basis of each OTTI security to the present value of its expected cash flows, discounted using the effective interest rate implicit in the security at the date of acquisition.
As a part of our OTTI assessment process with respect to securities available for sale with unrealized losses, we consider available information about (i) the performance of the collateral underlying each such security, including any credit enhancements, (ii) historical prepayment speeds, (iii) delinquency and default rates, (iv) loss severities, (v) the age or “vintage” of the security, and (vi) any rating agency reports on the security. Significant judgments are required with respect to these and other factors in order to make a determination of the future cash flows that can be expected to be generated by the security.
Based on our OTTI assessment process, we determined that there is one asset-backed security in our portfolio of securities available for sale that was impaired as of June 30, 2016. This security is a multi-class, cash flow collateralized bond obligation backed by a pool of trust preferred securities issued by a diversified pool of 56 issuers that consisted of 45 U.S. depository institutions and 11 insurance companies at the time of the security’s issuance in November 2007. We purchased $3.0 million face amount of this security in November 2007 at a price of 95.21% for a total purchase price of $2.9 million, out of a total of $363 million of this security sold at the time of issuance. The security that we own (CUSIP 74042CAE8) is the mezzanine class B piece security with a variable interest rate of 3 month LIBOR plus 60 basis points, which had a rating of Aa2 and AA by Moody’s and Fitch, respectively, at the time of issuance in 2007.
As of June 30, 2016, the amortized cost of this security was $2.0 million with a fair value of $1.3 million, for an unrealized loss of approximately $698 thousand. As of June 30, 2016, the security had a Baa3 rating from Moody’s and a B rating from Fitch and had experienced $42.5 million in defaults (12.5% of total current collateral) and $7.0 million in deferring securities (2.1% of total current collateral) from issuance to June 30, 2016. As of June 30, 2016, the mezzanine class B tranche had $59.5 million in excess subordination.
We have made a determination that the remainder of our securities with respect to which there were unrealized losses as of June 30, 2016 are not other-than-temporarily impaired, because we have concluded that we have the ability to continue to hold those securities until their respective fair market values increase above their respective amortized costs or, if necessary, until their respective maturities. In reaching that conclusion we considered a number of factors and other information, which included: (i) the significance of each such security, (ii) the amount of the unrealized losses attributable to each such security, (iii) our liquidity position, (iv) the impact that retention of those securities could have on our capital position and (v) our evaluation of the expected future performance of these securities (based on the criteria discussed above).
Other Investments
As of June 30, 2016 and December 31, 2015, we had one investment in a limited partnership which was accounted for under the cost method of accounting and included within other assets on the consolidated statements of financial condition. During the three and six months ended June 30, 2016, we contributed $12 thousand and $87 thousand, respectively, to the investment. We had no contributions to this investment during the three and six months ended June 30, 2015. As of June 30, 2016 and December 31, 2015, our other investment was as follows:
 
June 30, 2016
 
December 31, 2015
 
(Dollars in thousands)
Investments accounted for under the cost method (1)
368

 
281

 
 
(1)
Represents the aggregate carrying amount of our investments that were not evaluated for impairment.