INVESTMENT AND MORTGAGE-BACKED SECURITIES

3 Months Ended

Mar. 31, 2012

INVESTMENT AND MORTGAGE-BACKED SECURITIES [Abstract]

INVESTMENT AND MORTGAGE-BACKED SECURITIES

10.   INVESTMENT AND MORTGAGE-BACKED SECURITIES

The following is a summary of major categories of securities owned by the Company at March 31, 2012:

			Unrealized Gains or Losses Recognized in Accumulated Other Comprehensive Loss
	Purchase Amortized / Historical Cost	Recorded Amortized/ Historical Cost (1)	Non-Credit OTTI	Unrealized Gains	Unrealized Losses	Book Value	Other Unrecognized Losses	Fair Value
Investment securities held-to-maturity:
Pooled bank trust preferred securities ("TRUPS")	$17,729	$8,574	$(926)	-	$(1,423)(2)	$6,225	$(563)	$5,662
Investment securities available for sale:
Registered Mutual Funds	5,058	3,633	-	1,279	-	4,912	-	4,912
Agency notes	119,809	119,809	-	41	(12)	119,838	-	119,838
Pass-through MBS issued by GSEs	64,661	64,661	-	4,281	-	68,942	-	68,942
Collateralized mortgage obligations    ("CMOs")  issued by GSEs	34,529	34,529	-	174	(29)	34,674	-	34,674
Private issuer pass through MBS	1,503	1,503	-	-	(87)	1,416	-	1,416
Private issuer CMO	1,259	1,259	-	23	-	1,282	-	1,282
Total	$244,548	$233,968	$(926)	$5,798	$(1,551)	$237,289	$(563)	$236,726

(1) Amount represents the purchase amortized / historical cost less any credit-related OTTI charges recognized through earnings.

(2) Amount represents the unamortized portion of the unrealized loss that was recognized in accumulated other comprehensive loss on September 1, 2008 (the day on which these securities were transferred from available-for-sale to held-to-maturity).

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The following is a summary of major categories of securities owned by the Company at December 31, 2011:

			Unrealized Gains or Losses Recognized in Accumulated Other Comprehensive Loss
	Purchase Amortized / Historical Cost	Recorded Amortized/ Historical Cost (1)	Non-Credit OTTI	Unrealized Gains	Unrealized Losses	Book Value	Other Unrecognized Losses	Fair Value
Investment securities held-to-maturity:
TRUPS	$17,884	$8,910	$(929)	-	$(1,470)(2)	$6,511	$(1,587)	$4,924
Investment securities available for sale:
Registered Mutual Funds	5,049	3,624	-	935	-	4,559	-	4,559
Agency notes	170,362	170,362	-	37	(90)	170,309	-	170,309
Pass-through MBS issued by GSEs	71,008	71,008	-	4,554	-	75,562	-	75,562
CMOs issued by GSEs	15,128	15,128	-	261	-	15,389	-	15,389
Private issuer pass through MBS	1,614	1,613	-	-	(109)	1,504	-	1,504
Private issuer CMO	1,400	1,400	-	22	-	1,422	-	1,422
Total	$282,445	$272,045	$(929)	$5,809	$(1,669)	$275,256	$(1,587)	$273,669

(1) Amount represents the purchase amortized / historical cost less any credit-related OTTI charges recognized through earnings.

(2) Amount represents the unamortized portion of the unrealized loss that was recognized in accumulated other comprehensive loss on September 1, 2008 (the day on which these securities were transferred from available-for-sale to held-to-maturity).

At March 31, 2012, the agency note investments in the above table had contractual maturities as follows:

	Amortized Cost	Estimated Fair Value
One year or less	$19,992	$20,000
Due after one year through three years	84,747	84,757
Due after three years through five years	15,000	15,011
Due after five years through ten years	70	70
	$119,809	$119,838

The held-to-maturity TRUPS had a weighted average term to maturity of 22.7 years at March 31, 2012.  At March 31, 2012, MBS available-for-sale (which include pass-through MBS issued by GSEs, CMOs issued by GSEs, one private issuer pass through MBS and one private issuer CMO) possessed a weighted average contractual maturity of 19.8 years and a weighted average estimated duration of 1.3 years.  There were no sales of MBS available-for-sale during the three months ended March 31, 2012 or 2011.

There were no sales of investment securities available-for-sale during the three months ended March 31, 2012 and 2011.

As of each reporting period through March 31, 2012, the Company has applied the protocol established by ASC reference number 320-10-65 ("ASC 320-10-65") in order to determine whether OTTI existed for the TRUPS and/or to measure, for TRUPS that have been determined to be other than temporarily impaired, the credit related and non-credit related components of OTTI.  As of March 31, 2012, six TRUPS were determined to meet the criteria for OTTI based upon this analysis.  At March 31, 2012, these six securities had credit ratings ranging from "D" to "Caa3."

The following table provides a reconciliation of the pre-tax OTTI charges recognized on the Company's TRUPS:

	At or for the Three Months Ended March 31, 2012			At or for the Three Months Ended March 31, 2011
	Credit Related OTTI Recognized in Earnings	Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss	Total OTTI	Credit Related OTTI Recognized in Earnings	Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss	Total OTTI
Cumulative balance at the beginning of the period	$8,974	$930	$9,904	$8,247	$2,203	$10,450
OTTI recognized on securities with previous OTTI	181	6	187	63	-	63
Reductions and transfers to credit-related OTTI	-	-	-	-	(605)	(605)
Amortization of previously recognized OTTI	-	(10)	(10)	-	(7)	(7)
Cumulative balance at end of the period	$9,155	$926	$10,081	$8,310	$1,591	$9,901

The remaining aggregate amortized cost of TRUPS potentially subject to future OTTI charges through earnings was $7,816 at March 31, 2012.  Of this total, unrealized losses of $1.6 million have already been recognized as a component of accumulated other comprehensive loss.

The following table summarizes the gross unrealized losses and fair value of investment securities and MBS as of March 31, 2012, aggregated by investment category and the length of time the securities were in a continuous unrealized loss position:

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	Less than 12 Months Consecutive Unrealized Losses		12 Months or More Consecutive Unrealized Losses		Total
	Fair Value	Gross Unrecognized/ Unrealized Losses	Fair Value	Gross Unrecognized/ Unrealized Losses	Fair Value	Gross Unrecognized/ Unrealized Losses
Held-to-Maturity Securities:
TRUPS (1)	-	-	$5,662	$2,912	$5,662	$2,912
Available-for-Sale Securities:
Agency notes	19,988	12	-	-	19,988	12
Private issuer pass through MBS	-	-	1,416	87	1,416	87
CMOs issued by GSEs	23,157	29			23,157	29
TOTAL	$43,145	$41	$7,078	$2,999	$50,223	$3,040

(1)   At March 31, 2012, the recorded balance of these securities was $6.2 million.  This balance reflected both the remaining unrealized loss of $1.4 million that was recognized in accumulated other comprehensive loss on September 1, 2008 (the day on which these securities were transferred from available-for-sale to held-to-maturity) for two TRUPS that have not been deemed OTTI, and an unrealized loss of $926 that has been recognized in accumulated other comprehensive loss that represents the non-credit component of impairment for five TRUPS that have been deemed OTTI.  In accordance with both ASC reference numbers 320-10-35-17 and 320-10-65, these unrealized losses are currently being amortized over the remaining estimated life of these securities.

TRUPS That Have Maintained an Unrealized Holding Loss for 12 or More Consecutive Months

At March 31, 2012, impairment of two of the TRUPS, with an amortized cost of $5,974, was deemed temporary.  These securities remained in an unrealized loss for 12 or more consecutive months, and their cumulative unrealized loss was $2,496 at March 31, 2012, reflecting both illiquidity in the marketplace and concerns over future bank failures.  At March 31, 2012, both of these securities had ratings ranging from "CC" to "Ba1."  Despite the significant decline in market value and the duration of their impairment, management believed that the unrealized losses on these securities at March 31, 2012 were temporary, and that all contractual principal and interest payments were expected to be received by their respective contractual maturities.  In reaching this determination, management considered the following:

�Based upon an internal review of the collateral backing the TRUPS portfolio, which accounted for current and prospective deferrals, both of the securities could reasonably be expected to continue making all contractual payments

�The Company has the intent and ability to hold these securities until they fully recover their impairment, evidenced by the election to reclassify them as held-to-maturity in 2008

�There were no cash or working capital requirements nor contractual or regulatory obligations that would compel the Company to sell either of these securities prior to their forecasted recovery or maturity

�Each security has a pool of underlying issuers comprised primarily of banks

�Each security featured either a mandatory auction or a de-leveraging mechanism that could result in principal repayments to the Bank prior to the stated maturity of the security

The remaining six TRUPS, with an aggregate amortized cost of $2.6 million at March 31, 2012, have previously been determined to meet the OTTI criteria.

Private Issuer Pass Through MBS That Have Maintained an Unrealized Holding Loss for 12 or More Consecutive Months

At March 31, 2012, the Company owned one private label pass-through MBS that possessed unrealized losses for 12 or more consecutive months, with an amortized cost of $1,503 and an unrealized loss of $87. The Company's investment is in the most senior tranche (or repayment pool) of this security.  Despite a challenging real estate marketplace, the private label pass-through MBS made contractual principal and interest payments that reduced its principal balance by approximately 29% during the twelve months ended March 31, 2012.  At March 31, 2012, the Company performed an analysis of likely potential defaults of the real estate loans underlying this security in the then existing economic environment, and determined that it could reasonably be expected to continue making all contractual payments.  The Company has no intent to sell this security and it is not likely that the Company will be required to sell it before the recovery of its remaining amortized cost.

The following summarizes the gross unrealized losses and fair value of investment securities and MBS as of December 31, 2011, aggregated by investment category and the length of time that the securities were in a continuous unrealized loss position:

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	Less than 12 Months Consecutive Unrealized Losses		12 Months or More Consecutive Unrealized Losses		Total
	Fair Value	Gross Unrecognized/ Unrealized Losses	Fair Value	Gross Unrecognized/ Unrealized Losses	Fair Value	Gross Unrecognized/ Unrealized Losses
Held-to-Maturity Securities:
TRUPS (1)	-	-	$4,924	$3,986	$4,924	$3,986
Available-for-Sale Securities:
Agency notes	$114,885	$90	-	-	$114,885	$90
Private issuer pass through MBS	$-	$-	$1,505	$109	$1,505	$109
TOTAL	$114,885	$90	$6,429	$4,095	$121,314	$4,185

(1) At December 31, 2011, the recorded balance of these securities was $6,511.  This balance reflected both the remaining unrealized loss of $1,470 that was recognized in accumulated other comprehensive loss on September 1, 2008 (the day on which these securities were transferred from available-for-sale to held-to-maturity) for two TRUPS that have not been deemed OTTI, and an unrealized loss of $929 that has been recognized in accumulated other comprehensive loss that represents the non-credit component of impairment for six TRUPS that have been deemed OTTI.  In accordance with both ASC reference numbers 320-10-35-17 and 320-10-65, these unrealized losses are currently being amortized over the remaining estimated life of these securities.