Investment Securities (Tables)

9 Months Ended

Sep. 30, 2013

Amortized Cost and Fair Values of Investment Securities

				Gross		Gross
		Amortized		Unrealized		Unrealized		Fair
At September 30, 2013		Cost		Gains		Losses		Value
Available-for-Sale:
	U.S. Government agencies	$	85,149	$	523	$	479	$	85,193
	Obligations of states and political subdivisions		390,752		14,356		3,830		401,278
	Agency residential mortgage-backed securities		1,879,504		18,135		12,829		1,884,810
	Non-agency residential mortgage-backed securities		24,106		70		580		23,596
	Commercial mortgage-backed securities		10,173		319		0		10,492
	Other structured financial products		25,049		0		13,605		11,444
	Other debt securities		43,135		323		629		42,829
			2,457,868		33,726		31,952		2,459,642
	Other equity securities		24,199		439		905		23,733
Total available-for-sale securities		$	2,482,067	$	34,165	$	32,857	$	2,483,375

				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

			September 30, 2013				December 31, 2012
			Amortized		Fair		Amortized		Fair
			Cost		Value		Cost		Value
Securities available for sale:
	Within one year		$	6,068	$	6,230	$	8,690	$	8,781
	After one year but within five years			105,652		106,773		141,362		143,714
	After five years but within ten years			970,915		975,745		935,796		952,680
	After ten years			1,375,233		1,370,894		1,410,879		1,448,207
		Total	$	2,457,868	$	2,459,642	$	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 September 30,				Nine Months Ended September 30,
	2013		2012		2013		2012
Gross gains	$	2	$	278	$	435	$	5,018
Gross losses		0		(247)		(1)		(3,241)
Other-than-temporary impairment		0		0		(485)		(144)
Net gains	$	2	$	31	$	(51)	$	1,633

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

September 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	$	42,946	$	479	$	0	$	0	$	42,946	$	479
Obligations of states and political subdivisions		74,465		3,658		7,048		172		81,513		3,830
Agency residential mortgage-backed securities		872,355		12,829		0		0		872,355		12,829
Non-agency residential mortgage-backed securities		535		4		13,177		576		13,712		580
Other structured financial products		0		0		11,444		13,605		11,444		13,605
Other debt securities		18,576		173		6,565		456		25,141		629
Other equity securities		0		0		1,610		905		1,610		905
	$	1,008,877	$	17,143	$	39,844	$	15,714	$	1,048,721	$	32,857


December 31, 2012	Less than 12 Months				12 Months or More				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
	Value		Losses		Value		Losses		Value		Losses
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				Nine Months Ended
			September 30,				September 30,
			2013		2012		2013		2012
Balance - beginning of period			$	1,635	$	1,566	$	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		0		0		160		144
Deductions:
	Realized losses			26		0		156		0
	Sale of securities for which other-than-temporary impairment was
		previously recognized		0		0		0		3,180
Balance - end of period			$	1,609	$	1,566	$	1,609	$	1,566

Significant Assumptions of Other-Than-Temporarily Impaired Securities

			Weighted-average (%)
			September 30,
			2013	2012
		Conditional repayment rate ⁽¹⁾	10.6%	7.4%
		Loss severity ⁽²⁾	37.8%	45.0%
		Conditional default rate ⁽³⁾	3.6%	4.7%



⁽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 September 30, 2013		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
Book value (SUSQ)		$	3,000	$	7,183	$	8,116	$	6,750
Fair value			1,400		3,654		4,081		2,309
Unrealized loss			(1,600)		(3,529)		(4,035)		(4,441)
Class		B		B		B		A2L
Class face value		$	35,000	$	59,409	$	89,268	$	45,500
Present value of expected cash flows
	for class noted above and all
	subordinated classes ⁽¹⁾	$	172,482	$	194,406	$	305,868	$	153,932
Lowest credit rating assigned		D		Ca		Ca		Ca
Original collateral		$	623,984	$	501,470	$	700,535	$	487,680
Performing collateral			393,342		299,934		472,261		273,488
Actual defaults			41,600		51,580		44,000		75,357
Actual deferrals			34,300		98,310		93,650		93,080
Projected future defaults			41,274		45,777		49,510		42,236
Actual defaults as a % of original
	collateral		6.7%		10.3%		6.3%		15.5%
Actual deferrals as a % of original
	collateral ⁽²⁾		5.5%		19.6%		13.4%		19.1%
Actual defaults and deferrals as a % of
	original collateral		12.2%		29.9%		19.7%		34.6%
Projected future defaults as a % of
	original collateral ⁽³⁾		6.6%		9.1%		7.1%		8.7%
Actual institutions deferring and
	defaulted as a % of total institutions		16.9%		34.5%		24.6%		40.9%
Projected future defaults as a % of
	performing collateral plus
	deferrals		9.7%		11.5%		8.7%		11.5%

As of September 30, 2012		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
Book value (SUSQ)		$	3,000	$	7,142	$	8,078	$	6,750
Fair value			775		2,609		2,927		2,082
Unrealized loss			(2,225)		(4,533)		(5,151)		(4,668)
Class		B		B		B		A2L
Class face value		$	35,000	$	58,745	$	88,449	$	45,500
Present value of expected cash flows
	for class noted above and all
	subordinated classes ⁽¹⁾	$	142,581	$	166,849	$	262,974	$	139,918
Lowest credit rating assigned		Ca		Ca		Ca		Ca
Original collateral		$	623,984	$	501,470	$	700,535	$	487,680
Performing collateral			352,028		293,200		462,731		304,600
Actual defaults			10,000		51,580		44,000		75,446
Actual deferrals			107,400		127,690		138,150		83,081
Projected future defaults			80,793		60,801		68,916		47,451
Actual defaults as a % of original
	collateral		1.6%		10.3%		6.3%		15.5%
Actual deferrals as a % of original
	collateral ⁽²⁾		17.2%		25.5%		19.7%		17.0%
Actual defaults and deferrals as a % of
	original collateral		18.8%		35.8%		26.0%		32.5%
Projected future defaults as a % of
	original collateral ⁽³⁾		12.9%		12.1%		9.8%		9.7%
Actual institutions deferring and
	defaulted as a % of total institutions		19.7%		39.3%		34.4%		38.2%
Projected future defaults as a % of
	performing collateral plus
	deferrals		17.6%		14.4%		11.5%		12.2%

⁽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 September 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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