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Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2013

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present the financial instruments carried at fair value at March 31, 2013 and December 31, 2012, on the consolidated balance sheets and by levels within the valuation hierarchy.


				Fair Value Measurements at Reporting Date Using
				Quoted Prices in		Significant
				Active Markets for		Other		Significant
				Identical		Observable		Unobservable
				Instruments		Inputs		Inputs
Description		March 31, 2013		(Level 1)		(Level 2)		(Level 3)
Assets
Available-for-sale securities:
U.S. Government Agencies	$	114,136	$	0	$	114,136	$	0
Obligations of states and political
subdivisions		426,444		0		426,444		0
Agency residential mortgage-backed
securities		1,716,976		0		1,716,976		0
Non-agency residential mortgage-
backed securities		26,238		0		646		25,592
Commercial mortgage-backed
securities		36,894		0		36,894		0
Other structured financial products		9,977		0		0		9,977
Other debt securities		45,500		0		45,500		0
Other equity securities		24,461		1,418		19,886		3,157
Derivatives: ⁽¹⁾
Designated as hedging instruments		934		0		934		0
Not designated as hedging
instruments		23,756		0		23,756		0
Total	$	2,425,316	$	1,418	$	2,385,172	$	38,726
Liabilities
Derivatives: ⁽²⁾
Designated as hedging instruments	$	46,894	$	0	$	46,894	$	0
Not designated as hedging
instruments		20,217		0		20,217		0
Total	$	67,111	$	0	$	67,111	$	0

					Fair Value Measurements at Reporting Date Using
					Quoted Prices in		Significant
					Active Markets for		Other		Significant
					Identical		Observable		Unobservable
					Instruments		Inputs		Inputs
	Description		December 31, 2012		(Level 1)		(Level 2)		(Level 3)
	Assets
	Available-for-sale securities:
	U.S. Government Agencies	$	114,408	$	0	$	114,408	$	0
	Obligations of states and political
	subdivisions		435,777		0		435,777		0
	Agency residential mortgage-
	backed securities		1,880,562		0		1,880,562		0
	Non-agency residential mortgage-
	backed securities		27,450		0		650		26,800
	Commercial mortgage-backed
	securities		40,380		0		40,380		0
	Other structured financial products		9,550		0		0		9,550
	Other debt securities		45,255		0		45,255		0
	Other equity securities		24,519		21,266		97		3,156
	Derivatives: ⁽¹⁾
	Designated as hedging instruments		878		0		878		0
	Not designated as hedging
	instruments		25,037		0		25,037		0
	Total	$	2,603,816	$	21,266	$	2,543,044	$	39,506
	Liabilities
	Derivatives: ⁽²⁾
	Designated as hedging instruments	$	51,172	$	0	$	51,172	$	0
	Not designated as hedging
	instruments		20,954		0		20,954		0
	Total	$	72,126	$	0	$	72,126	$	0

⁽¹⁾	Included in Other assets
⁽²⁾	Included in Other liabilities

Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs

	Assets Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs

	The following tables present roll-forwards of the balance sheet amounts for the three months ended March 31, 2013 and 2012, for financial instruments classified by Susquehanna within Level 3 of the valuation hierarchy.


			Available-for-sale Securities
							Non-
							agency
					Other		Residential
					Structured		Mortgage-
			Equity		Financial		backed
			Securities		Products		Securities		Total
	Balance at January 1, 2013	$	3,156	$	9,550	$	26,800	$	39,506
	Total gains or losses (realized/unrealized):
	Included in earnings:
	Other-than-temporary impairment ⁽¹⁾		0		0		(388)		(388)
	Included in other comprehensive income (before taxes)		1		427		(820)		(392)
	Balance at March 31, 2013	$	3,157	$	9,977	$	25,592	$	38,726

	Balance at January 1, 2012	$	3,430	$	13,293	$	0	$	16,723
	Total gains or losses (realized/unrealized):
	Included in earnings:
	Other-than-temporary impairment ⁽¹⁾		(144)		0		0		(144)
	Included in other comprehensive income (before taxes)		(96)		(5,272)		0		(5,368)
	Transfers into Level 3		0		0		20,137		20,137
	Balance at March 31, 2012	$	3,190	$	8,021	$	20,137	$	31,348

⁽¹⁾	Included in noninterest income, net impairment losses recognized in earnings.

Assets Measured at Fair Value on a Nonrecurring Basis

The following tables present assets measured at fair value on a nonrecurring basis at March 31, 2013 and December 31, 2012, on the consolidated balance sheets and by the valuation hierarchy.


				Quoted
				Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
				Instruments		Inputs		Inputs
Description		March 31, 2013		(Level 1)		(Level 2)		(Level 3)
Impaired loans	$	69,443	$	0	$	0	$	69,443
Foreclosed assets		22,557		0		0		22,557
	$	92,000	$	0	$	0	$	92,000

				Quoted
				Prices
				in Active		Significant
				Markets for		Other		Significant
				Identical		Observable		Unobservable
				Instruments		Inputs		Inputs
Description		December 31, 2012		(Level 1)		(Level 2)		(Level 3)
Impaired loans	$	65,731	$	0	$	0	$	65,731
Foreclosed assets		26,245		0		0		26,245
	$	91,976	$	0	$	0	$	91,976

Quantitative Information about Level 3 Fair Value Measurements

	The following table details the quantitative information about Level 3 fair value measurements:

		Fair Value at
		March 31, 2013		Valuation		Range
Asset		(in thousands)		Technique(s)	Unobservable Input	(Weighted Average)

Non-agency residential mortgage-		$	25,592	Discounted Cash Flow	Conditional repayment rate	10.3%
	backed securities			Discounted Cash Flow	Loss severity	43.0%
					Conditional default rate	3.8%

Other structured financial products			9,977	Discounted Cash Flow	Credit default rates, call options and deferrals, waterfall structure, and covenants.	Varies by individual security, refer to Note 3
				Discounted Cash Flow



Other equity securities			3,157	Discounted Cash Flow	Timing of cash flows from dividends and terminal value	0.2x - 1.5x
				Discounted Cash Flow	Timing of cash flows from dividends and terminal value	(.9x)

Impaired loans			69,443	Discounted Cash Flow	Timing of cash flows based upon current discount rates and terminal value	1.5% - 6.9%
				Discounted Cash Flow		(4.0%)


Foreclosed assets			22,557	Discounted Cash Flow	Third party appraisals less estimated selling costs	0.0% - 100.0%
				Discounted Cash Flow	Third party appraisals less estimated selling costs	(25.1%)

Carrying Amounts and Estimated Fair Values

Additional Disclosures about Fair Value of Financial Instruments

The following table represents the carrying amounts and estimated fair values of Susquehanna's financial instruments. The methods and assumptions used to estimate the fair value of each class of financial instruments are described above.


		March 31, 2013
		Carrying
		Amount		Fair Value		Level 1		Level 2		Level 3
	Financial assets:
	Cash and due from banks	$	291,434	$	291,434	$	291,434	$	0	$	0
	Short-term investments		110,986		110,986		0		110,986		0
	Investment securities		2,400,626		2,400,626		1,418		2,360,482		38,726
	Restricted investment in bank stocks		151,974		151,974		0		151,974		0
	Loans and leases		12,999,703		13,125,606		0		0		13,125,606
	Derivatives		24,690		24,690		0		24,690		0
	Financial liabilities:
	Deposits		12,691,432		12,694,058		0		12,694,058		0
	Short-term borrowings		786,251		786,251		0		786,251		0
	FHLB borrowings		1,044,480		1,045,777		0		1,045,777		0
	Long-term debt		501,559		503,698		0		503,698		0
	Derivatives		67,111		67,111		0		67,111		0

		December 31, 2012
		Carrying
		Amount		Fair Value		Level 1		Level 2		Level 3
	Financial assets:
	Cash and due from banks	$	277,042	$	277,042	$	277,042	$	0	$	0
	Short-term investments		119,176		119,176		0		119,176		0
	Investment securities		2,577,901		2,577,901		21,266		2,517,129		39,506
	Restricted investment in bank stocks		152,434		152,434		0		152,434		0
	Loans and leases		12,894,741		12,954,918		0		0		12,954,918
	Derivatives		25,915		25,915		0		25,915		0
	Financial liabilities:
	Deposits		12,580,046		12,544,069		0		12,544,069		0
	Short-term borrowings		817,577		817,577		0		817,577		0
	FHLB borrowings		1,199,062		1,200,358		0		1,200,358		0
	Long-term debt		513,401		512,632		0		512,632		0
	Derivatives		72,126		72,126		0		72,126		0

- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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Reference 1: http://www.xbrl.org/2003/role/presentationRef

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Reference 5: http://www.xbrl.org/2003/role/presentationRef

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Reference 10: http://www.xbrl.org/2003/role/presentationRef

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