Investment Securities (Tables)

6 Months Ended

Jun. 30, 2013

Amortized Cost and Fair Values of Investment Securities

				Gross		Gross
			Amortized	Unrealized		Unrealized		Fair
At June 30, 2013		Cost		Gains		Losses		Value
Available-for-Sale:
	U.S. Government agencies	$	60,189	$	412	$	535	$	60,066
	Obligations of states and political subdivisions		396,320		15,338		4,158		407,500
	Agency residential mortgage-backed securities		1,738,829		15,559		13,856		1,740,532
	Non-agency residential mortgage-backed securities		25,929		1		747		25,183
	Commercial mortgage-backed securities		31,895		890		0		32,785
	Other structured financial products		25,049		0		14,543		10,506
	Other debt securities		43,115		558		470		43,203
			2,321,326		32,758		34,309		2,319,775
	Other equity securities		24,175		384		905		23,654
Total available-for-sale securities		$	2,345,501	$	33,142	$	35,214	$	2,343,429

				Gross		Gross
			Amortized	Unrealized		Unrealized		Fair
At December 31, 2012		Cost		Gains		Losses		Value
Available-for-Sale:
	U.S. Government agencies	$	113,367	$	1,041	$	0	$	114,408
	Obligations of states and political subdivisions		403,487		32,585		295		435,777
	Agency residential mortgage-backed securities		1,843,511		37,104		53		1,880,562
	Non-agency residential mortgage-backed securities		29,428		2		1,980		27,450
	Commercial mortgage-backed securities		38,847		1,533		0		40,380
	Other structured financial products		25,011		0		15,461		9,550
	Other debt securities		43,076		2,643		464		45,255
			2,496,727		74,908		18,253		2,553,382
	Other equity securities		24,097		1,179		757		24,519
Total available-for-sale securities		$	2,520,824	$	76,087	$	19,010	$	2,577,901

Amortized Cost and Fair Value of Total Debt Securities

			June 30, 2013				December 31, 2012
			Amortized		Fair		Amortized		Fair
			Cost		Value		Cost		Value
Securities available for sale:
	Within one year		$	9,546	$	9,719	$	8,690	$	8,781
	After one year but within five years			85,458		86,471		141,362		143,714
	After five years but within ten years			835,879		833,557		935,796		952,680
	After ten years			1,390,443		1,390,028		1,410,879		1,448,207
		Total	$	2,321,326	$	2,319,775	$	2,496,727	$	2,553,382

Gross Realized Gains and Gross Realized Losses on Available-for-Sale Securities

	Available-for-sale Securities
	Three Months Ended June 30,				Six Months Ended June 30,
	2013		2012		2013		2012
Gross gains	$	26	$	4,348	$	433	$	4,740
Gross losses		0		(2,987)		(1)		(2,994)
Other-than-temporary impairment		(97)		0		(485)		(144)
Net gains	$	(71)	$	1,361	$	(53)	$	1,602

Gross Unrealized Losses and Fair Values by Investment and Length of Time of Securities

June 30, 2013	Less than 12 Months				12 Months or More				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
	Value		Losses		Value		Losses		Value		Losses
U.S. Government agencies		42,890		535		0		0		42,890		535
Obligations of states and political subdivisions		74,856		3,959		7,051		199		81,907		4,158
Agency residential mortgage-backed securities		928,206		13,856		0		0		928,206		13,856
Non-agency residential mortgage-backed securities		11,501		137		13,641		610		25,142		747
Other structured financial products		0		0		10,506		14,543		10,506		14,543
Other debt securities		6,679		68		6,606		402		13,285		470
Other equity securities		0		0		1,610		905		1,610		905
	$	1,064,132	$	18,555	$	39,414	$	16,659	$	1,103,546	$	35,214


December 31, 2012	Less than 12 Months				12 Months or More				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
	Value		Losses		Value		Losses		Value		Losses
U.S. Government agencies		0		0		0		0		0		0
Obligations of states and political subdivisions		31,791		295		0		0		31,791		295
Agency residential mortgage-backed securities		11,291		53		0		0		11,291		53
Non-agency residential mortgage-backed securities		12,117		450		14,683		1,530		26,800		1,980
Other structured financial products		0		0		9,551		15,461		9,551		15,461
Other debt securities		0		0		6,518		464		6,518		464
Other equity securities		1,751		585		796		172		2,547		757
	$	56,950	$	1,383	$	31,548	$	17,627	$	88,498	$	19,010

Credit Losses on Non-Agency Residential Mortgage-Backed Securities

Credit Losses on Non-agency Residential Mortgage-backed and Other Equity Securities for which a Portion of an
Other-than-temporary Impairment was Recognized in Other Comprehensive Income

			Three Months Ended				Six Months Ended
			June 30,				June 30,
			2013		2012		2013		2012
Balance - beginning of period			$	1,634	$	4,746	$	1,280	$	4,602
Additions:
	Amount related to credit losses for which an other-than-
		temporary impairment was not previously recognized		0		0		325		0
	Additional amount related to credit losses for which an other-than-
		temporary impairment was previously recognized		97		0		160		144
Deductions:
	Realized losses			96		0		130		0
	Sale of securities for which other-than-temporary impairment was
		previously recognized		0		3,180		0		3,180
Balance - end of period			$	1,635	$	1,566	$	1,635	$	1,566

Significant Assumptions of Other-Than-Temporarily Impaired Securities

			Weighted-average (%)
			June 30,
			2013	2012
		Conditional repayment rate ⁽¹⁾	10.4%	6.7%
		Loss severity ⁽²⁾	42.0%	52.6%
		Conditional default rate ⁽³⁾	3.6%	10.5%



⁽¹⁾	Conditional repayment rate represents a rate equal to the proportion of principal balance paid off voluntarily over a certain period of time on an annualized basis.

⁽²⁾	Loss severity rates are projected by considering collateral characteristics such as current loan-to-value, original creditworthiness of borrowers (FICO score) and geographic concentration.

⁽³⁾	Conditional default rate is an annualized rate of default on a group of mortgages, and represents the percentage of outstanding principal balances in the pool that are in default, which typically equates to the borrower being past due 60 days, 90 days, or possibly already in the foreclosure process.

Present Value of Expected Cash Flows for Company's Specific Class and Subordinate Classes

	The present value of the expected cash flows for Susquehanna’s specific class and subordinate classes, as well as additional
information about the pooled trust preferred securities, are included in the following tables.


	As of June 30, 2013		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
	Class		B		B		B		A2L
	Class face value		$	35,000	$	59,248	$	89,071	$	45,500
	Book value		$	3,000	$	7,183	$	8,115	$	6,750
	Fair value			1,272		3,231		3,798		2,204
	Unrealized loss			(1,728)		(3,952)		(4,317)		(4,546)
	Present value of expected cash flows
		for class noted above and all
		subordinated classes ⁽¹⁾	$	162,483	$	190,163	$	305,257	$	150,521
	Lowest credit rating assigned		D		Ca		Ca		Ca
	Original collateral		$	623,984	$	501,470	$	700,535	$	487,680
	Performing collateral			358,342		279,934		470,731		281,488
	Actual defaults			30,000		51,580		44,000		77,212
	Actual deferrals			80,900		125,810		96,150		93,080
	Projected future defaults			54,168		45,809		49,876		39,479
	Actual defaults as a % of original
		collateral		4.8%		10.3%		6.3%		15.8%
	Actual deferrals as a % of original
		collateral ⁽²⁾		13.0%		25.1%		13.7%		19.1%
	Actual defaults and deferrals as a % of
		original collateral		17.8%		35.4%		20.0%		34.9%
	Projected future defaults as a % of
		original collateral ⁽³⁾		8.7%		9.1%		7.1%		8.1%
	Actual institutions deferring and
		defaulted as a % of total institutions		20.0%		38.2%		26.2%		40.9%
	Projected future defaults as a % of
		performing collateral plus
		deferrals		12.3%		11.3%		8.8%		10.5%

	As of June 30, 2012		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
	Class		B		B		B		A2L
	Class face value		$	35,000	$	58,557	$	88,203	$	45,500
	Book value		$	3,000	$	7,119	$	8,055	$	6,750
	Fair value			946		2,589		2,880		2,047
	Unrealized loss			(2,054)		(4,530)		(5,175)		(4,703)
	Present value of expected cash flows
		for class noted above and all
		subordinated classes ⁽¹⁾	$	143,300	$	168,000	$	261,812	$	142,223
	Lowest credit rating assigned		Ca		Ca		Ca		Ca
	Original collateral		$	623,984	$	501,470	$	700,535	$	487,680
	Performing collateral			352,028		293,200		470,731		304,600
	Actual defaults			10,000		51,580		44,000		74,500
	Actual deferrals			107,400		127,690		135,150		83,080
	Projected future defaults			75,111		61,395		68,172		46,599
	Actual defaults as a % of original
		collateral		1.6%		10.3%		6.3%		15.3%
	Actual deferrals as a % of original
		collateral ⁽²⁾		17.2%		25.5%		19.3%		17.0%
	Actual defaults and deferrals as a % of
		original collateral		18.8%		35.8%		25.6%		32.3%
	Projected future defaults as a % of
		original collateral ⁽³⁾		12.0%		12.2%		9.7%		9.6%
	Actual institutions deferring and
		defaulted as a % of total institutions		19.7%		39.3%		30.4%		38.2%
	Projected future defaults as a % of
		performing collateral plus
		deferrals		16.3%		14.6%		11.3%		12.0%


⁽¹⁾	Susquehanna determines whether it expects to recover the entire amortized cost basis by comparing the present value of the expected cash flows to be collected with the amortized cost basis. As of June 30, 2013 and 2012, the present value of the current estimated cash flows is equal to or greater than the book value of the trust preferred securities held. Consequently, there is no credit-related other-than-temporary impairment required to be recognized.




⁽²⁾	Includes current interest deferrals for the quarter for those institutions deferring as of the date of the assessment of the other-than-temporary impairment. Current deferrals are assumed to continue for twenty quarters, the full contractually permitted deferral period, if the institutions are not projected to default prior to that time.



⁽³⁾	Includes those institutions that are performing but are not projected to continue to perform and includes those institutions that are currently deferring interest that are projected to default, based upon third-party proprietary valuation methodology used to determine future defaults. Creditworthiness of each underlying issue in the collateralized debt obligation is determined using publicly available data.

- Definition

Tabular disclosure of the amount of other than temporary impairment (OTTI) related to credit losses recognized in earnings including: (a) the beginning balance of the amount related to credit losses on debt securities held by the investor at the beginning of the period for which a portion of an OTTI was recognized in other comprehensive income; (b) additions for the amount related to the credit loss for which an OTTI was not previously recognized; (c) reductions for securities sold during the period (realized); (d) reductions for securities for which the amount previously recognized in other comprehensive income was recognized in earnings because the investor intends to sell the security or more likely than not will be required to sell the security before recovery of its amortized cost basis; (e) additional increases to the amount related to the credit loss for which an OTTI was previously recognized when the investor does not intend to sell the security and it is not more likely than not that the investor will be required to sell the security before recovery of its amortized cost basis; (f) reductions for increases in cash flows expected to be collected that are recognized over the remaining life of the security; and (g) the ending balance of the amount related to credit losses on debt securities held by the entity at the end of the period for which a portion of an OTTI was recognized in other comprehensive income.

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