9. INVESTMENT AND MORTGAGE-BACKED SECURITIES

The following tables summarize the major categories of securities owned by the Company (excluding trading securities) as of the dates indicated:

	At September 30, 2017
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Investment securities available-for-sale:
Registered Mutual Funds	$	3,824	$	262	$	(52	)	$	4,034
Pass-through MBS issued by GSEs		16,739		12		(67	)		16,684
Agency Collateralized Mortgage Obligation (“CMO”)		10,766		1		(70	)		10,697
Total investment securities available for sale	$	31,329	$	275	$	(189	)	$	31,415

	At December 31, 2016
	Amortized Cost⁽¹⁾		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Investment securities held-to-maturity:
TRUP CDOs	$	5,378	$	2,221	$	(303	)	$	7,296

Investment securities available-for-sale:
Registered Mutual Funds		4,011		62		(178	)		3,895
Pass-through MBS issued by GSEs		360		12		-			372
CMO		3,247		-		(61	)		3,186
Total investment securities available-for-sale		7,618		74		(239	)		7,453
Total investment securities	$	12,996	$	2,295	$	(542	)	$	14,749

⁽¹⁾ Amount represents the purchase amortized / historical cost less any OTTI charges (credit or non-credit related) previously recognized. For the TRUP CDOs, amount is also net of the $755 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 September 30, 2017, available-for-sale pass-through MBS issued by GSEs possessed a weighted average contractual maturity of 19.7 years and a weighted average estimated duration of 3.2 years. As of September 30, 2017, the available-for-sale agency CMO securities had a weighted average term to maturity of 16.7 years and a weighted average estimated duration of 2.3 years.

During the three-month period ended September 30, 2017, the Company sold its entire portfolio of investment securities held-to-maturity consisting of six TRUP CDO securities, of which five were deemed to be OTTI. The TRUP CDO portfolio was sold as part of the Company’s strategy to diversify of the Company’s balance sheet and take advantage of investment opportunities. The Company does not intent to classify any securities as held-to-maturity for the foreseeable future. The amortized cost of the TRUP CDO portfolio was $5,331 at the time of the sale. The amortized cost represents the purchase amortized/historical cost less $8,553 of OTTI charges previously recognized and $705 of the unamortized portion of unrealized losses that were 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). As a result of the sale, the pre-tax balances of both the unamortized portion of the unrealized losses at transfer to held-to-maturity of $705 and the unamortized portion of previous credit losses of $524 were reclassified out of accumulated comprehensive loss during the three and nine month periods ended September 30, 2017. Gross proceeds from the sale of the TRUP CDOs were $9,167 for the three and nine month periods ended September 30, 2017. Gross gains of $3,048 and gross losses of $441 were recognized on these sales. There were no sales of held-to-maturity securities during the three or nine month periods ended September 30, 2016.

There were no sales of pass-through MBS issued by GSEs during the three-month or nine-month periods ended September 30, 2017 or 2016. There were no sales of agency collateralized mortgage obligation securities during the three-month or nine-month periods ended September 30, 2017 or 2016.

The Company holds both registered mutual funds (as investment securities available-for-sale) and trading securities as the underlying investments of the BMP, held in a rabbi trust. The Company may sell either registered mutual funds or trading securities on a periodic basis in order to pay retirement benefits to plan retirees. There are no gains or losses recognized from the sales of registered mutual funds. A summary of the sales of registered mutual funds and trading securities is listed below for the periods indicated:

	For the Three Months Ended September 30,				For the Nine Months Ended September 30,
	2017		2016		2017		2016
Investment securities available-for-sale (Registered Mutual Funds):
Proceeds	$	137	$	-	$	240	$	-
Trading securities:
Proceeds	$	85	$	-	$	4,629	$	3,648
Gross gains		3		-		66		3
Gross losses		-		-		25		45

The remaining gain or loss on securities shown in the unaudited condensed consolidated statements of income during those periods resulted from market valuation changes or sales of trading securities.

The following table summarizes the gross unrealized losses and fair value of investment securities aggregated by investment category and the length of time the securities were in a continuous unrealized loss position as of the dates indicated:

	September 30, 2017
	Less than 12 Consecutive Months				12 Consecutive Months or Longer				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Investment securities available-for-sale:
Registered Mutual Funds	$	1,074	$	21	$	1,574	$	31	$	2,648	$	52
Pass through MBS issued by GSEs		16,349		67		-		-		16,349		67
Agency CMO		5,064		15		3,133		55		8,197		70

	December 31, 2016
	Less than 12 Consecutive Months				12 Consecutive Months or Longer				Total
	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Investment securities held-to-maturity:
TRUP CDOs	$	-	$	-	$	2,439	$	303	$	2,439	$	303

Investment securities available-for-sale:
Registered Mutual Funds		1,308		47		1,747		131		3,055		178
Agency CMO		3,186		61		-		-		3,186		61

TRUP CDOs That Maintained an Unrealized Holding Loss for 12 or More Consecutive Months

The Company sold its TRUP CDOs portfolio during the three-month period ended September 30, 2017. At December 31, 2016, there were two TRUP CDOs with unrealized holding losses for 12 or more consecutive months. The impairment of one of those TRUP CDOs was deemed temporary, as management believed that the full recorded balance of the investments would be realized. In making this determination, management considered the following:

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

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

The securities have a pool of underlying issuers comprised primarily of banks

None of the securities have exposure to real estate investment trust issued debt (which has experienced high default rates)

The securities feature 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 securities are adequately collateralized

The unrealized loss on the second TRUP with unrealized holding losses for 12 or more consecutive months was considered to be other than temporary. See below for a discussion of other than temporary impairment.

TRUP CDOs with Other than Temporary Impairment

As of each reporting period through June 30, 2017, the Company applied the protocol established by ASC 320-10-65 in order to determine whether OTTI existed for its TRUPs and/or to measure, for TRUP CDOs that were determined to be other than temporarily impaired, the credit related and non-credit related components of OTTI. The Company sold its entire TRUP CDO portfolio during the three-month period ended September 30, 2017. As of the date of the sale of the TRUP CDO portfolio, five TRUP CDOs were determined to meet the criteria for OTTI based upon this analysis, and no additional OTTI charges were recognized.

The following table provides a reconciliation of the pre-tax OTTI charges recognized on the Company’s TRUP CDOs, for which a portion of the impairment loss (non-credit factors) was recognized in other comprehensive income for the period ended:

	Three Months Ended September 30,
	2017									2016
	Credit Related OTTI Recognized in Earnings			Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss			Total OTTI Charge			Credit Related OTTI Recognized in Earnings			Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss			Total OTTI Charge
Cumulative pre-tax balance at the beginning of the period	$	8,561		$	527		$	9,088		$	8,665		$	562		$	9,227
Amortization of previously recognized OTTI		(8	)		(3	)		(11	)		(26	)		(9	)		(35	)
Reductions for previous credit losses realized on securities sold during the year		(8,553	)		(524	)		(9,077	)		-			-			-
Cumulative pre-tax balance at end of the period	$	-		$	-		$	-		$	8,639		$	553		$	9,192

	Nine Months Ended September 30,
	2017									2016
	Credit Related OTTI Recognized in Earnings			Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss			Total OTTI Charge			Credit Related OTTI Recognized in Earnings			Non-Credit OTTI Recognized in Accumulated Other Comprehensive Loss			Total OTTI Charge
Cumulative pre-tax balance at the beginning of the period	$	8,613		$	544		$	9,157		$	8,717		$	578		$	9,295
Amortization of previously recognized OTTI		(60	)		(20	)		(80	)		(78	)		(25	)		(103	)
Reductions for previous credit losses realized on securities sold during the year		(8,553	)		(524	)		(9,077	)		-			-			-
Cumulative pre-tax balance at end of the period	$	-		$	-		$	-		$	8,639		$	553		$	9,192