Investment Securities (Tables)

6 Months Ended

Jun. 30, 2014

Amortized Cost and Fair Values of Investment Securities

				Gross		Gross
		Amortized		Unrealized		Unrealized		Fair
At June 30, 2014		Cost		Gains		Losses		Value
Available-for-Sale:
	U.S. Government agencies	$	95,701	$	276	$	100	$	95,877
	Obligations of states and political subdivisions		379,616		20,922		1,275		399,263
	Agency residential mortgage-backed securities		1,612,979		18,363		10,567		1,620,775
	Non-agency residential mortgage-backed securities		385		1		5		381
	Commercial mortgage-backed securities		5,758		124		0		5,882
	Other structured financial products		24,741		0		12,746		11,995
	Other debt securities		24,064		847		273		24,638
			2,143,244		40,533		24,966		2,158,811
	Other equity securities		24,472		699		889		24,282
Total available-for-sale securities		$	2,167,716	$	41,232	$	25,855	$	2,183,093

				Gross		Gross
		Amortized		Unrealized		Unrealized		Fair
At December 31, 2013		Cost		Gains		Losses		Value
Available-for-Sale:
	U.S. Government agencies	$	110,227	$	343	$	422	$	110,148
	Obligations of states and political subdivisions		389,199		13,386		4,075		398,510
	Agency residential mortgage-backed securities		1,786,133		12,163		20,104		1,778,192
	Non-agency residential mortgage-backed securities		572		1		8		565
	Commercial mortgage-backed securities		8,568		166		0		8,734
	Other structured financial products		25,038		0		13,741		11,297
	Other debt securities		43,156		1,487		557		44,086
			2,362,893		27,546		38,907		2,351,532
	Other equity securities		24,318		557		1,183		23,692
Total available-for-sale securities		$	2,387,211	$	28,103	$	40,090	$	2,375,224

Amortized Cost and Fair Value of Total Debt Securities

			June 30, 2014				December 31, 2013
			Amortized		Fair		Amortized		Fair
			Cost		Value		Cost		Value
Securities available for sale:
	Within one year		$	24,902	$	25,188	$	8,870	$	9,005
	After one year but within five years			99,490		100,391		129,176		130,091
	After five years but within ten years			875,681		887,302		945,637		946,754
	After ten years			1,143,171		1,145,930		1,279,210		1,265,682
		Total	$	2,143,244	$	2,158,811	$	2,362,893	$	2,351,532

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,
	2014		2013		2014		2013
Gross gains	$	3,339	$	26	$	3,364	$	433
Gross losses		(46)		0		(79)		(1)
Other-than-temporary impairment		0		(97)		0		(485)
Net gains	$	3,293	$	(71)	$	3,285	$	(53)

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

	Less than 12 Months				12 Months or More				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
June 30, 2014	Value		Losses		Value		Losses		Value		Losses
U.S. Government agencies	$	24,953	$	47	$	1,947	$	53	$	26,900	$	100
Obligations of states and political subdivisions		0		0		59,429		1,275		59,429		1,275
Agency residential mortgage-backed securities		258,383		1,763		331,792		8,804		590,175		10,567
Non-agency residential mortgage-backed securities		0		0		352		5		352		5
Other structured financial products		0		0		11,995		12,746		11,995		12,746
Other debt securities		0		0		6,786		273		6,786		273
Other equity securities		0		0		1,577		889		1,577		889
	$	283,336	$	1,810	$	413,878	$	24,045	$	697,214	$	25,855


	Less than 12 Months				12 Months or More				Total
	Fair		Unrealized		Fair		Unrealized		Fair		Unrealized
December 31, 2013	Value		Losses		Value		Losses		Value		Losses
U.S. Government agencies	$	68,111	$	422	$	0	$	0	$	68,111	$	422
Obligations of states and political subdivisions		73,895		3,910		7,025		165		80,920		4,075
Agency residential mortgage-backed securities		1,030,987		20,104		0		0		1,030,987		20,104
Non-agency residential mortgage-backed securities		530		8		0		0		530		8
Other structured financial products		0		0		11,297		13,741		11,297		13,741
Other debt securities		0		0		6,476		557		6,476		557
Other equity securities		19,111		286		1,619		897		20,730		1,183
	$	1,192,634	$	24,730	$	26,417	$	15,360	$	1,219,051	$	40,090

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
			June 30,
			2014				2013
					Equity				Equity
			RMBS		Securities		RMBS		Securities
Balance - beginning of period			$	0	$	609	$	1,122	$	512
Additions:
	Amount related to credit losses for which an other-than-
		temporary impairment was not previously recognized		0		0		0		0
	Additional amount related to credit losses for which an other-than-
		temporary impairment was previously recognized		0		0		0		97
Deductions:
	Realized losses			0		0		96		0
Balance - end of period			$	0	$	609	$	1,026	$	609

			Six Months Ended
			June 30,
			2014				2013
					Equity				Equity
			RMBS		Securities		RMBS		Securities
Balance - beginning of period			$	0	$	609	$	768	$	512
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		63		97
Deductions:
	Realized losses			0		0		130		0
Balance - end of period			$	0	$	609	$	1,026	$	609

Significant Assumptions of Other-Than-Temporarily Impaired Securities

			Weighted-average (%)
			June 30,
			2014 ⁽¹⁾	2013
		Conditional repayment rate ⁽²⁾	N/A	10.4%
		Loss severity ⁽³⁾	N/A	42.0%
		Conditional default rate ⁽⁴⁾	N/A	3.6%


⁽¹⁾	Not applicable as the related securities were sold during 2013.
⁽²⁾	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.

⁽³⁾	Loss severity rates are projected by considering collateral characteristics such as current loan-to-value, original creditworthiness of borrowers (FICO score) and geographic concentration.

⁽⁴⁾	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, 2014		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
Recorded investment		$	3,000	$	7,160	$	7,831	$	6,750
Fair value			1,222		3,988		4,372		2,413
Unrealized loss			(1,778)		(3,172)		(3,459)		(4,337)
Class		B		B		B		A2L
Class face value		$	35,000	$	59,724	$	89,651	$	45,500
Present value of expected cash flows
	for class noted above and all
	subordinated classes ⁽¹⁾	$	170,046	$	199,081	$	326,512	$	159,410
Lowest credit rating assigned		D		Ca		Caa2		Ca
Original collateral		$	623,984	$	501,470	$	700,535	$	487,680
Performing collateral			377,342		318,814		486,061		273,100
Actual defaults			47,400		55,580		49,000		83,500
Actual deferrals			28,500		75,430		67,650		65,580
Projected future defaults			38,438		42,129		44,490		27,172
Actual defaults as a % of original
	collateral		7.6%		11.1%		7.0%		17.1%
Actual deferrals as a % of original
	collateral ⁽²⁾		4.6%		15.0%		9.7%		13.5%
Actual defaults and deferrals as a % of
	original collateral		12.2%		26.1%		16.7%		30.6%
Projected future defaults as a % of
	original collateral ⁽³⁾		6.2%		8.4%		6.4%		5.6%
Actual institutions deferring and
	defaulted as a % of total institutions		17.2%		31.5%		20.6%		36.5%
Projected future defaults as a % of
	performing collateral plus
	deferrals		9.5%		10.7%		8.0%		8.0%

As of June 30, 2013		Pooled Trust #1		Pooled Trust #2		Pooled Trust #3		Pooled Trust #4
Recorded investment		$	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)
Class		B		B		B		A2L
Class face value		$	35,000	$	59,248	$	89,071	$	45,500
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%

⁽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, 2014 and 2013, 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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