DIME COMMUNITY BANCSHARES INC - 10-Q filing on 2012-11-13

INVESTMENT AND MORTGAGE-BACKED SECURITIES (Tables)

9 Months Ended

Sep. 30, 2012

INVESTMENT AND MORTGAGE-BACKED SECURITIES [Abstract]

Amortized Cost And Estimated Fair Value Of Available For Sale And Held To Maturity Securities [Table Text Block]

The following is a summary of major categories of securities owned by the Company at September 30, 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 Gains		Fair Value
Investment securities held-to-maturity:
Pooled bank trust preferred securities ("TRUPS")	$	16,846	$	7,901	$	(642	)		-	$	(1,303	)⁽²⁾	$	5,956	$	288	$	6,244
Investment securities available for sale:
Registered Mutual Funds		5,123		3,698		-			1,341		-			5,039		-		5,039
Agency notes		49,818		49,818		-			169		-			49,987		-		49,987
Pass-through MBS issued by GSEs		49,239		49,239		-			3,509		-			52,748		-		52,748
Collateralized mortgage obligations ("CMOs") issued by GSEs		26,824		26,824		-			136		-			26,960		-		26,960
Private issuer pass through MBS		1,068		1,068		-			-		(24	)		1,044		-		1,044
Private issuer CMOs		1,015		1,015		-			25		-			1,040		-		1,040

(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).

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 Gains		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		1,614		-			-		(110	)		1,504	‑			1,504
Private issuer CMOs		1,400		1,400		-			22		-			1,422		-		1,422

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

Investments Classified by Contractual Maturity Date [Table Text Block]

At September 30, 2012, the agency note investments in the table on the preceding page had contractual maturities as follows:

	Amortized Cost		Estimated Fair Value
One year or less	$	-	$	-
Due after one year through five years		49,818		49,987
Due after five years through ten years		-		-
TOTAL	$	49,818	$	49,987

The held-to-maturity TRUPS had a weighted average term to maturity of 22.3 years at September 30, 2012. At September 30, 2012, MBS available-for-sale (which included 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 20.2 years and a weighted average estimated duration of 1.2 years. There were no sales of MBS available-for-sale during the three-month or nine-month periods ended September 30, 2012 or 2011. Sales of other investment securities available-for-sale were not material during the three-month and nine-month periods ended September 30, 2012 and 2011.

Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block]

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 September 30, 2012								At or for the Three Months Ended September 30, 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	$	8,945	$	655		$	9,600		$	8,883	$	951		$	9,834
OTTI recognized on securities with previous OTTI		-		-			-			59		24			83
Reductions and transfers to credit-related OTTI		-		-			-		-			-			-
Amortization of previously recognized OTTI		-		(14	)		(14	)	-			(9	)		(9	)
Cumulative balance at end of the period	$	8,945	$	641		$	9,586		$	8,942	$	966		$	9,908

	At or for the Nine Months Ended September 30, 2012			At or for the Nine Months Ended September 30, 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	695	25	720
Reductions and transfers to credit-related OTTI	-	(181)	(181)	-	(1,245)	(1,245)
Amortization of previously recognized OTTI	(210)	(114)	(324)	-	(17)	(17)
Cumulative balance at end of the period	$8,945	$641	$9,586	$8,942	$966	$9,908

Available For Sale And Held To Maturity Securities Continuous Unrealized Loss Position Fair Value [Table Text Block]

The following table summarizes the gross unrealized losses and fair value of investment securities and MBS as of September 30, 2012, aggregated by investment category and the length of time the securities were in a continuous unrealized loss position:

	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⁾	$	-	$	-	$	3,672	$	1,838	$	3,672	$	1,838
Available-for-Sale Securities:
Private issuer pass through MBS		-		-		1,044		24		1,044		24
TOTAL	$	-	$	-	$	4,716	$	1,862	$	4,716	$	1,862

(1) At September 30, 2012, the recorded balance of these securities was $4,207. This balance reflected the remaining unrealized loss of $1,303 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). In accordance with both ASC 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 September 30, 2012, impairment of two of the TRUPS, with an amortized cost of $5,510, was deemed temporary. These securities remained in an unrealized loss for 12 or more consecutive months, and their cumulative unrealized loss was $1,838 at September 30, 2012, reflecting both illiquidity in the marketplace and concerns over future bank failures. At September 30, 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 September 30, 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 had 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

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

At September 30, 2012, the Company owned one private issuer pass-through MBS that possessed unrealized losses for 12 or more consecutive months, with an amortized cost of $1,068 and an unrealized loss of $24. At September 30, 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:

	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 320-10-35-17 and 320-10-65, these unrealized losses are currently being amortized over the remaining estimated life of these securities.