AVAILABLE FOR SALE SECURITIES (Tables)

6 Months Ended

Mar. 31, 2015

Available-for-sale Securities [Abstract]

Amortized Cost and Estimated Fair Values of Available For Sale Securities

The amortized cost and fair values of available for sale securities are as follows:



	Cost basis		Gross unrealized gains		Gross unrealized losses			Fair value
	(in thousands)
March 31, 2015
Available for sale securities:
Agency MBS and CMOs	$	239,776	$	1,066	$	(354	)	$	240,488
Non-agency CMOs ⁽¹⁾	93,272		24		(5,934		)	87,362
Other securities	1,575		453		—			2,028
Total RJ Bank available for sale securities	334,623		1,543		(6,288		)	329,878

Auction rate securities:
Municipal obligations	81,492		9,683		(1,561		)	89,614
Preferred securities	104,302		8,146		—			112,448
Total auction rate securities	185,794		17,829		(1,561		)	202,062
Total available for sale securities	$	520,417	$	19,372	$	(7,849	)	$	531,940

September 30, 2014
Available for sale securities:
Agency MBS and CMOs	$	267,927	$	822	$	(1,029	)	$	267,720
Non-agency CMOs ⁽²⁾	98,946		56		(7,084		)	91,918
Other securities	1,575		341		—			1,916
Total RJ Bank available for sale securities	368,448		1,219		(8,113		)	361,554

Auction rate securities:
Municipal obligations	81,535		6,240		(1,079		)	86,696
Preferred securities	104,526		9,513		—			114,039
Total auction rate securities	186,061		15,753		(1,079		)	200,735
Total available for sale securities	$	554,509	$	16,972	$	(9,192	)	$	562,289


(1)	As of March 31, 2015, the non-credit portion of other-than-temporary impairment (“OTTI”) recorded in accumulated other comprehensive income (loss) (“AOCI”) was $4.9 million (before taxes). See Note 16 for additional information.


(2)	As of September 30, 2014, the non-credit portion of OTTI recorded in AOCI was $6.1 million (before taxes).

Contractual Maturities, Amortized Cost, Carrying Values, and Current Yields for Available For Sales Securities

The contractual maturities, amortized cost, carrying values and current yields for our available for sale securities are as presented below. Since RJ Bank’s available for sale securities (MBS & CMOs) are backed by mortgages, actual maturities will differ from contractual maturities because borrowers may have the right to prepay obligations without prepayment penalties. Expected maturities of ARS may differ significantly from contractual maturities, as issuers may have the right to call or prepay obligations with or without call or prepayment penalties.



	March 31, 2015
	Within one year		After one but within five years			After five but within ten years			After ten years			Total
	($ in thousands)
Agency MBS & CMOs:
Amortized cost	$	—	$	7,463		$	10,466		$	221,847		$	239,776
Carrying value	—		7,480			10,541			222,467			240,488
Weighted-average yield	—		0.26		%	0.48		%	0.97		%	0.94		%

Non-agency CMOs:
Amortized cost	$	—	$	—		$	—		$	93,272		$	93,272
Carrying value	—		—			—			87,362			87,362
Weighted-average yield	—		—			—			2.39		%	2.39		%

Other securities:
Amortized cost	$	—	$	—		$	—		$	1,575		$	1,575
Carrying value	—		—			—			2,028			2,028
Weighted-average yield	—		—			—			—			—

Sub-total agency MBS & CMOs, non-agency CMOs, and other securities:
Amortized cost	$	—	$	7,463		$	10,466		$	316,694		$	334,623
Carrying value	—		7,480			10,541			311,857			329,878
Weighted-average yield	—		0.26		%	0.48		%	1.36		%	1.32		%

Auction rate securities:
Municipal obligations
Amortized cost	$	—	$	—		$	—		$	81,492		$	81,492
Carrying value	—		—			—			89,614			89,614
Weighted-average yield	—		—			—			0.42		%	0.42		%

Preferred securities:
Amortized cost	$	—	$	—		$	—		$	104,302		$	104,302
Carrying value	—		—			—			112,448			112,448
Weighted-average yield	—		—			—			0.27		%	0.27		%

Sub-total auction rate securities:
Amortized cost	$	—	$	—		$	—		$	185,794		$	185,794
Carrying value	—		—			—			202,062			202,062
Weighted-average yield	—		—			—			0.34		%	0.34		%

Total available for sale securities:
Amortized cost	$	—	$	7,463		$	10,466		$	502,488		$	520,417
Carrying value	—		7,480			10,541			513,919			531,940
Weighted-average yield	—		0.26		%	0.48		%	0.96		%	0.95		%

Available For Sale Securities in a Continuous Unrealized Loss Position

The gross unrealized losses and fair value, aggregated by investment category and length of time the individual securities have been in a continuous unrealized loss position, are as follows:



	March 31, 2015
	Less than 12 months					12 months or more					Total
	Estimated fair value		Unrealized losses			Estimated fair value		Unrealized losses			Estimated fair value		Unrealized losses
	(in thousands)
Agency MBS and CMOs	$	—	$	—		$	54,584	$	(354	)	$	54,584	$	(354	)
Non-agency CMOs	18,921		(769		)	64,519		(5,165		)	83,440		(5,934		)
ARS municipal obligations	226		(2		)	11,593		(1,559		)	11,819		(1,561		)
Total	$	19,147	$	(771	)	$	130,696	$	(7,078	)	$	149,843	$	(7,849	)



	September 30, 2014
	Less than 12 months					12 months or more					Total
	Estimated fair value		Unrealized losses			Estimated fair value		Unrealized losses			Estimated fair value		Unrealized losses
	(in thousands)
Agency MBS and CMOs	$	18,062	$	(53	)	$	71,688	$	(976	)	$	89,750	$	(1,029	)
Non-agency CMOs	5,506		(357		)	69,970		(6,727		)	75,476		(7,084		)
ARS municipal obligations	—		—			12,072		(1,079		)	12,072		(1,079		)
Total	$	23,568	$	(410	)	$	153,730	$	(8,782	)	$	177,298	$	(9,192	)

Non-Agency CMOs Cash Flow Analysis Assumptions

The significant assumptions used in the cash flow analysis of non-agency CMOs are as follows:



	March 31, 2015
	Range	Weighted- average ⁽¹⁾
Default rate	0% - 10.2%	4.06%
Loss severity	0% - 73.4%	41.23%
Prepayment rate	5% - 20%	8.78%


(1)	Represents the expected activity for the next twelve months.

Credit Losses Recognized in Earnings on Available For Sale Securities

Changes in the amount of OTTI related to credit losses recognized in other revenues on available for sale securities are as follows:



	Three months ended March 31,				Six months ended March 31,
	2015		2014		2015		2014
	(in thousands)
Amount related to credit losses on securities we held at the beginning of the period	$	18,703	$	28,244	$	18,703	$	28,217
Additional increases to the amount related to credit loss for which an OTTI was previously recognized	—		—		—		27
Amount related to credit losses on securities we held at the end of the period	$	18,703	$	28,244	$	18,703	$	28,244

- Definition

Tabular disclosure of available-for-sale securities which includes, but is not limited to, changes in the cost basis and fair value, fair value and gross unrealized gain (loss), fair values by type of security, contractual maturity and classification, amortized cost basis, contracts to acquire securities to be accounted for as available-for-sale, debt maturities, transfers to trading, change in net unrealized holding gain (loss) net of tax, continuous unrealized loss position fair value, aggregate losses qualitative disclosures, other than temporary impairment (OTTI) losses or other disclosures related to available for sale securities.

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- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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