| Fair Value Disclosures [Abstract] | Period [Axis] |
|---|
2016-01-01 - 2016-12-31 |
|---|
Fair Value Disclosures [Abstract] | |
Assets Reported on Consolidated Balance Sheets at their Fair Value |
The following table presents the assets reported on the consolidated balance sheets at their fair value as of December 31, 2016 and December 31, 2015 by level within the fair value hierarchy. Financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement.
|
|
|
(Amounts in thousands) |
|
|
|
|
|
|
|
|
Fair Value Measurements at December 31, 2016 Using |
|
|
Description |
|
December 31,
2016 |
|
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1) |
|
|
Significant Other
Observable Inputs
(Level 2) |
|
|
Significant
Unobservable Inputs
(Level 3) |
|
|
ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government agencies and corporations |
|
$ |
7,988 |
|
|
$ |
— |
|
|
$ |
7,988 |
|
|
$ |
— |
|
|
Obligations of states and political subdivisions |
|
|
66,770 |
|
|
|
— |
|
|
|
66,770 |
|
|
|
— |
|
|
U.S. Government-sponsored mortgage-backed securities |
|
|
79,767 |
|
|
|
— |
|
|
|
79,767 |
|
|
|
— |
|
|
U.S. Government-sponsored collateralized mortgage obligations |
|
|
9,349 |
|
|
|
— |
|
|
|
9,349 |
|
|
|
— |
|
|
U.S. Government-guaranteed small business administration pools |
|
|
11,939 |
|
|
|
— |
|
|
|
11,939 |
|
|
|
— |
|
|
Trust preferred securities |
|
|
825 |
|
|
|
— |
|
|
|
— |
|
|
|
825 |
|
|
Regulatory stock |
|
|
2,581 |
|
|
|
2,581 |
|
|
|
— |
|
|
|
— |
|
|
Loans held for sale |
|
|
4,554 |
|
|
|
4,554 |
|
|
|
— |
|
|
|
— |
|
|
Interest rate derivatives |
|
|
297 |
|
|
|
— |
|
|
|
297 |
|
|
|
— |
|
|
LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate derivatives |
|
$ |
297 |
|
|
$ |
— |
|
|
$ |
297 |
|
|
$ |
— |
|
|
|
|
(Amounts in thousands) |
|
|
|
|
|
|
|
|
Fair Value Measurements at December 31, 2015 Using |
|
|
Description |
|
December 31,
2015 |
|
|
Quoted Prices in
Active Markets for
Identical Assets
(Level 1) |
|
|
Significant Other
Observable Inputs
(Level 2) |
|
|
Significant
Unobservable Inputs
(Level 3) |
|
|
ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government agencies and corporations |
|
$ |
12,623 |
|
|
$ |
— |
|
|
$ |
12,623 |
|
|
$ |
— |
|
|
Obligations of states and political subdivisions |
|
|
51,405 |
|
|
|
— |
|
|
|
51,405 |
|
|
|
— |
|
|
U.S. Government-sponsored mortgage-backed securities |
|
|
69,679 |
|
|
|
— |
|
|
|
69,679 |
|
|
|
— |
|
|
U.S. Government-sponsored collateralized mortgage obligations |
|
|
13,530 |
|
|
|
— |
|
|
|
13,530 |
|
|
|
— |
|
|
U.S. Government-guaranteed small business administration pools |
|
|
2,837 |
|
|
|
— |
|
|
|
2,837 |
|
|
|
— |
|
|
Trust preferred securities |
|
|
778 |
|
|
|
— |
|
|
|
— |
|
|
|
778 |
|
|
Regulatory stock |
|
|
3,049 |
|
|
|
3,049 |
|
|
|
— |
|
|
|
— |
|
|
Trading securities |
|
|
8,134 |
|
|
|
— |
|
|
|
8,134 |
|
|
|
— |
|
|
Loans held for sale |
|
|
4,033 |
|
|
|
4,033 |
|
|
|
— |
|
|
|
— |
|
|
Interest rate derivatives |
|
|
171 |
|
|
|
— |
|
|
|
171 |
|
|
|
— |
|
|
LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate derivatives |
|
$ |
171 |
|
|
$ |
— |
|
|
$ |
171 |
|
|
$ |
— |
|
|
Changes in the Level 3 Fair Value Category |
The following tables present the changes in the Level 3 fair value category for the years ended December 31, 2016, 2015 and 2014. The Company classifies financial instruments in Level 3 of the fair-value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly.
|
|
(Amounts in thousands) |
|
|
|
December 31, |
|
|
|
2016 |
|
|
2015 |
|
|
2014 |
|
|
|
Trust preferred
securities |
|
|
Trust preferred
securities |
|
|
Trust preferred
securities |
|
|
Beginning balance |
$ |
778 |
|
|
$ |
779 |
|
|
$ |
10,136 |
|
|
Net realized/unrealized gains/(losses) included in: |
|
|
|
|
|
|
|
|
|
|
|
|
Noninterest income |
|
— |
|
|
|
— |
|
|
|
— |
|
|
Other comprehensive income |
|
67 |
|
|
|
21 |
|
|
|
835 |
|
|
Discount accretion (premium amortization) |
|
— |
|
|
|
— |
|
|
|
7 |
|
|
Sales |
|
— |
|
|
|
— |
|
|
|
(10,044 |
) |
|
Purchases, issuance, and settlements |
|
(20 |
) |
|
|
(22 |
) |
|
|
(155 |
) |
|
Ending balance |
$ |
825 |
|
|
$ |
778 |
|
|
$ |
779 |
|
|
Losses included in net income for the period relating
to assets held at period end |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
Breakdown of Trust Preferred Securities |
The following table details the breakdown of trust preferred securities for the periods indicated:
|
|
(Dollar amounts in thousands) |
|
|
|
December 31, |
|
|
|
2016 |
|
|
2015 |
|
|
Total number of trust preferred securities |
|
2 |
|
|
|
2 |
|
|
Par value |
$ |
1,970 |
|
|
$ |
1,990 |
|
|
|
|
|
|
|
|
|
|
|
Number not considered OTTI |
|
1 |
|
|
|
1 |
|
|
Par value |
$ |
940 |
|
|
$ |
976 |
|
|
|
|
|
|
|
|
|
|
|
Number considered OTTI |
|
1 |
|
|
|
1 |
|
|
Par value |
$ |
1,030 |
|
|
$ |
1,014 |
|
|
|
|
|
|
|
|
|
|
|
Life-to-date impairment recognized in earnings |
$ |
140 |
|
|
$ |
140 |
|
|
Life-to-date impairment recognized in other comprehensive income |
|
795 |
|
|
|
862 |
|
|
Total life-to-date impairment |
$ |
935 |
|
|
$ |
1,002 |
|
|
Trust Preferred Security with OTTI, its Credit Rating at Period End and Related Losses Recognized in Earnings |
The following table details the one debt security with other-than-temporary impairment, its credit rating at December 31, 2016 and the related loss recognized in earnings:
|
|
|
(Dollar amounts in thousands) |
|
|
|
|
Moody’s/Fitch
Rating |
|
Amount of
OTTI
related to
credit loss at
January 1,
2016 |
|
|
Additions in QTD
March 31,
2016 |
|
|
Additions in QTD
June 30,
2016 |
|
|
Additions in QTD
September 30,
2016 |
|
|
Additions in QTD
December 31,
2016 |
|
|
Amount of
OTTI
related to
credit loss at
December 31,
2016 |
|
|
Trapeza IX B-1 |
|
Caa2/CC |
|
$ |
140 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
140 |
|
The following table details the one debt security with other-than-temporary impairment, its credit rating at December 31, 2015 and the related losses recognized in earnings:
|
|
|
(Dollar amounts in thousands) |
|
|
|
|
Moody’s/Fitch
Rating |
|
Amount of
OTTI
related to
credit loss at
January 1,
2015 |
|
|
Additions in QTD
March 31,
2015 |
|
|
Additions in QTD
June 30,
2015 |
|
|
Additions in QTD
September 30,
2015 |
|
|
Additions in QTD
December 31,
2015 |
|
|
Amount of
OTTI
related to
credit loss at
December 31,
2015 |
|
|
Trapeza IX B-1 |
|
Ca/CC |
|
$ |
140 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
140 |
|
|
Additional Information Related to the Company's Trust Preferred Securities |
The following table provides additional information related to the Company’s trust preferred securities as of December 31, 2016 used to evaluate other-than-temporary impairments:
|
|
|
(Dollar amounts in thousands) |
|
|
Deal |
|
Class |
|
Amortized Cost |
|
|
Fair Value |
|
|
Unrealized
Gain/(Loss) |
|
|
Moody’s/
Fitch Rating |
|
Number of
Issuers
Currently
Performing |
|
|
Deferrals and
Defaults as a %
of Current
Collateral |
|
|
Excess
Subordination as a
% of Current
Performing
Collateral |
|
|
PreTSL XXIII |
|
C-2 |
|
$ |
760 |
|
|
$ |
310 |
|
|
$ |
(450 |
) |
|
B2/CCC |
|
|
90 |
|
|
|
22.5 |
% |
|
|
5.33 |
% |
|
Trapeza IX |
|
B-1 |
|
|
860 |
|
|
|
515 |
|
|
|
(345 |
) |
|
Caa2/CC |
|
|
32 |
|
|
|
13.3 |
|
|
|
— |
|
|
Total |
|
|
|
$ |
1,620 |
|
|
$ |
825 |
|
|
$ |
(795 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table provides additional information related to the Company’s trust preferred securities as of December 31, 2015 used to evaluate other-than-temporary impairments:
|
|
|
(Dollar amounts in thousands) |
|
|
Deal |
|
Class |
|
Amortized Cost |
|
|
Fair Value |
|
|
Unrealized
Gain/(Loss) |
|
|
Moody’s/
Fitch Rating |
|
Number of
Issuers
Currently
Performing |
|
|
Deferrals and
Defaults as a %
of Current
Collateral |
|
|
Excess
Subordination as a
% of Current
Performing
Collateral |
|
|
PreTSL XXIII |
|
C-2 |
|
$ |
780 |
|
|
$ |
332 |
|
|
$ |
(448 |
) |
|
B2/CCC |
|
|
90 |
|
|
|
22.5 |
% |
|
|
1.77 |
% |
|
Trapeza IX |
|
B-1 |
|
|
860 |
|
|
|
446 |
|
|
|
(414 |
) |
|
Ca/CC |
|
|
31 |
|
|
|
18.5 |
|
|
|
— |
|
|
Total |
|
|
|
$ |
1,640 |
|
|
$ |
778 |
|
|
$ |
(862 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured on a Nonrecurring Basis on the Consolidated Balance Sheets at their Fair Value |
The following table presents the assets measured on a nonrecurring basis on the Consolidated Balance Sheets at their fair value as of December 31, 2016 and December 31, 2015, by level within the fair value hierarchy. Impaired loans that are collateral dependent are written down to fair value through the establishment of specific reserves. Techniques used to value the collateral that secure the impaired loans include: quoted market prices for identical assets classified as Level 1 inputs; observable inputs, employed by certified appraisers, for similar assets classified as Level 2 inputs. In cases where valuation techniques include inputs that are unobservable and are based on estimates and assumptions developed by management based on the best information available under each circumstance, the asset valuation is classified as Level 3 inputs. Other real estate owned is carried at the lower of cost or fair value less estimated costs to sell.
|
|
|
(Amounts in thousands) |
|
|
|
|
December 31, 2016 |
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
Assets measured on a nonrecurring basis: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,788 |
|
|
$ |
6,788 |
|
|
|
|
(Amounts in thousands) |
|
|
|
|
December 31, 2015 |
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
Assets measured on a nonrecurring basis: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8,800 |
|
|
$ |
8,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other real estate owned |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
61 |
|
|
$ |
61 |
|
|
Carrying Amounts and Estimated Fair Values of the Company's Financial Instruments |
The carrying amounts and estimated fair values of the Company’s financial instruments are as follows:
|
|
(Amounts in thousands) |
|
|
|
December 31, 2016 |
|
|
|
Carrying
Amount |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair Value |
|
|
ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents |
$ |
15,351 |
|
|
$ |
15,351 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
15,351 |
|
|
Investment securities available-for-sale |
|
179,219 |
|
|
|
2,581 |
|
|
|
175,813 |
|
|
|
825 |
|
|
|
179,219 |
|
|
Loans held for sale |
|
4,554 |
|
|
|
4,554 |
|
|
|
— |
|
|
|
— |
|
|
|
4,554 |
|
|
Loans, net of allowance for loan losses |
|
414,900 |
|
|
|
— |
|
|
|
— |
|
|
|
418,532 |
|
|
|
418,532 |
|
|
Bank-owned life insurance |
|
17,376 |
|
|
|
17,376 |
|
|
|
— |
|
|
|
— |
|
|
|
17,376 |
|
|
Accrued interest receivable |
|
2,041 |
|
|
|
2,041 |
|
|
|
— |
|
|
|
— |
|
|
|
2,041 |
|
|
Interest rate derivatives |
|
297 |
|
|
|
— |
|
|
|
297 |
|
|
|
— |
|
|
|
297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Demand, savings and money market deposits |
$ |
408,983 |
|
|
$ |
408,983 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
408,983 |
|
|
Time deposits |
|
130,867 |
|
|
|
— |
|
|
|
— |
|
|
|
133,108 |
|
|
|
133,108 |
|
|
Short-term borrowings |
|
2,702 |
|
|
|
2,702 |
|
|
|
— |
|
|
|
— |
|
|
|
2,702 |
|
|
Federal Home Loan Bank advances - short term |
|
23,000 |
|
|
|
17,000 |
|
|
|
— |
|
|
|
5,998 |
|
|
|
22,998 |
|
|
Federal Home Loan Bank advances - long term |
|
17,500 |
|
|
|
— |
|
|
|
— |
|
|
|
17,580 |
|
|
|
17,580 |
|
|
Subordinated debt |
|
5,155 |
|
|
|
— |
|
|
|
— |
|
|
|
4,363 |
|
|
|
4,363 |
|
|
Accrued interest payable |
|
288 |
|
|
|
288 |
|
|
|
— |
|
|
|
— |
|
|
|
288 |
|
|
Interest rate derivatives |
|
297 |
|
|
|
— |
|
|
|
297 |
|
|
|
— |
|
|
|
297 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in thousands) |
|
|
|
December 31, 2015 |
|
|
|
Carrying
Amount |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Fair Value |
|
|
ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and cash equivalents |
$ |
18,496 |
|
|
$ |
18,496 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
18,496 |
|
|
Investment securities available-for-sale |
|
153,901 |
|
|
|
3,049 |
|
|
|
150,074 |
|
|
|
778 |
|
|
|
153,901 |
|
|
Trading securities |
|
8,134 |
|
|
|
— |
|
|
|
8,134 |
|
|
|
— |
|
|
|
8,134 |
|
|
Loans held for sale |
|
4,033 |
|
|
|
4,033 |
|
|
|
— |
|
|
|
— |
|
|
|
4,033 |
|
|
Loans, net of allowance for loan losses |
|
389,060 |
|
|
|
— |
|
|
|
— |
|
|
|
393,355 |
|
|
|
393,355 |
|
|
Bank-owned life insurance |
|
17,328 |
|
|
|
17,328 |
|
|
|
— |
|
|
|
— |
|
|
|
17,328 |
|
|
Accrued interest receivable |
|
1,640 |
|
|
|
1,640 |
|
|
|
— |
|
|
|
— |
|
|
|
1,640 |
|
|
Interest rate derivatives |
|
171 |
|
|
|
— |
|
|
|
171 |
|
|
|
— |
|
|
|
171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Demand, savings and money market deposits |
$ |
364,577 |
|
|
$ |
364,577 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
364,577 |
|
|
Time deposits |
|
131,827 |
|
|
|
— |
|
|
|
— |
|
|
|
134,251 |
|
|
|
134,251 |
|
|
Short-term borrowings |
|
2,499 |
|
|
|
2,499 |
|
|
|
— |
|
|
|
— |
|
|
|
2,499 |
|
|
Federal Home Loan Bank advances - short term |
|
17,000 |
|
|
|
12,000 |
|
|
|
— |
|
|
|
4,995 |
|
|
|
16,995 |
|
|
Federal Home Loan Bank advances - long term |
|
25,000 |
|
|
|
— |
|
|
|
— |
|
|
|
25,667 |
|
|
|
25,667 |
|
|
Subordinated debt |
|
5,155 |
|
|
|
— |
|
|
|
— |
|
|
|
4,321 |
|
|
|
4,321 |
|
|
Accrued interest payable |
|
255 |
|
|
|
255 |
|
|
|
— |
|
|
|
— |
|
|
|
255 |
|
|
Interest rate derivatives |
|
171 |
|
|
|
— |
|
|
|
171 |
|
|
|
— |
|
|
|
171 |
|
|
Significant Unobservable Inputs for Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis |
The following table presents quantitative information about the Level 3 significant unobservable inputs for assets and liabilities measured at fair value on a recurring and nonrecurring basis at December 31, 2016.
|
|
(Amounts in thousands) |
|
|
|
|
|
|
|
|
|
Fair value at
December 31,
2016 |
|
|
Valuation
Technique |
|
Significant
Unobservable Input |
|
Description of Inputs |
|
Trust preferred securities |
$ |
825 |
|
|
Discounted Cash Flow |
|
Projected
Prepayments |
|
1) Trust preferred securities issued by banks subject to Dodd-Frank's phase-out of trust preferred securities from Tier 1 Capital. All fixed rate within one year; variable rate at increasing intervals depending on spread.
2) Trust preferred securities issued by healthy, well capitalized banks that have fixed rate coupons greater than 8%.
3) 1% annually for all other fixed rate issues and all variable rate issues.
4) Zero for collateral issued by REITs and 2% for insurance companies. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected
Defaults |
|
1) All deferring issuers that do not meet the criteria for curing, as described below, are projected to default immediately.
2) Banks with high, near team default risk are identified using a CAMELS model, and projected to default immediately. Healthy banks are projected to default at a rate of 2% annually for 2 years, and 0.36% annually thereafter.
3) Insurance and REIT defaults are projected according to the historical default rates exhibited by companies with the same credit ratings. Historical default rates are doubled in each of the first two years of the projection to account for current economic conditions. Unrated issuers are assumed to have CCC- ratings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected Cures |
|
1) Deferring issuers that have definitive agreements to either be acquired or recapitalized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected
Recoveries |
|
1) Zero for insurance companies, REITs and insolvent banks, and 10% for projected bank deferrals lagged 2 years. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Discount Rates |
|
1) Ranging from ~9.69% to ~15.11%, depending on each bond's seniority and remaining subordination after projected losses. |
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans |
|
6,788 |
|
|
Appraisal of
Collateral (1) |
|
Appraisal
Adjustments (2) |
|
Range (0)% to (50)%
Weighted average (29)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation
Expenses (2) |
|
Range (0)% to (48)%
Weighted average (5)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level 3 inputs which are not identifiable. |
|
(2) |
Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses. The range and weighted average of liquidation expenses are presented as a percent of the appraisal. The adjustment of appraised value is measured as the effect on fair value as a percentage of unpaid principal. |
The following table presents quantitative information about the Level 3 significant unobservable inputs for assets and liabilities measured at fair value on a recurring and nonrecurring basis at December 31, 2015.
|
|
(Amounts in thousands) |
|
|
|
|
|
|
|
|
|
|
|
Fair value at
December 31,
2015 |
|
|
Valuation
Technique |
|
Significant
Unobservable Input |
|
Description of Inputs |
|
|
Trust preferred securities |
$ |
778 |
|
|
Discounted Cash Flow |
|
Projected
Prepayments |
|
1) Trust preferred securities issued by banks subject to Dodd-Frank's phase-out of trust preferred securities from Tier 1 Capital. All fixed rate within one year; variable rate at increasing intervals depending on spread.
2) Trust preferred securities issued by healthy, well capitalized banks that have fixed rate coupons greater than 8%.
3) 1% annually for all other fixed rate issues and all variable rate issues.
4) Zero for collateral issued by REITs and 2% for insurance companies. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected
Defaults |
|
1) All deferring issuers that do not meet the criteria for curing, as described below, are projected to default immediately.
2) Banks with high, near team default risk are identified using a CAMELS model, and projected to default immediately. Healthy banks are projected to default at a rate of 2% annually for 2 years, and 0.36% annually thereafter.
3) Insurance and REIT defaults are projected according to the historical default rates exhibited by companies with the same credit ratings. Historical default rates are doubled in each of the first two years of the projection to account for current economic conditions. Unrated issuers are assumed to have CCC- ratings. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected Cures |
|
1) Deferring issuers that have definitive agreements to either be acquired or recapitalized. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Projected
Recoveries |
|
1) Zero for insurance companies, REITs and insolvent banks, and 10% for projected bank deferrals lagged 2 years. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Discount Rates |
|
1) Ranging from ~10.26% to ~14.12%, depending on each bond's seniority and remaining subordination after projected losses. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans |
|
8,800 |
|
|
Appraisal of
Collateral (1) |
|
Appraisal
Adjustments (2) |
|
Range (0)% to (53)%
Weighted average (29)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liquidation
Expenses (2) |
|
Range (0)% to (43)%
Weighted average (5)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other real estate owned |
|
61 |
|
|
Appraisal of
Collateral (1), (3) |
|
Appraisal
Adjustments (2) |
|
|
0% |
|
|
(1) |
Fair value is generally determined through independent appraisals of the underlying collateral, which generally include various Level 3 inputs which are not identifiable. |
|
(2) |
Appraisals may be adjusted by management for qualitative factors such as economic conditions and estimated liquidation expenses. The range and weighted average of liquidation expenses are presented as a percent of the appraisal. The adjustment of appraised value is measured as the effect on fair value as a percentage of unpaid principal. |
|
(3) |
Includes qualitative adjustments by management and estimated liquidation expenses. | |