Investment Securities (Tables)

9 Months Ended

Sep. 30, 2011

Amortized Cost And Fair Values Of Investment Securities


At September 30, 2011	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Available-for-Sale:
U.S. Government agencies	$	233,206	$	2,553	$	2	$	235,757
Obligations of states and political subdivisions		390,196		22,820		82		412,934
Agency residential mortgage-backed securities		1,653,420		38,376		209		1,691,587
Non-agency residential mortgage-backed securities		83,655		0		8,888		74,767
Commercial mortgage-backed securities		63,144		2,146		0		65,290
Other structured financial products		24,792		0		12,052		12,740
Other debt securities		54,152		170		3,650		50,672
Equity securities of the Federal Home Loan Bank		73,007		0		0		73,007
Equity securities of the Federal Reserve Bank		50,225		0		0		50,225
Other equity securities		24,292		855		839		24,308

Total available-for-sale securities	$	2,650,089	$	66,920	$	25,722	$	2,691,287

Held-to-Maturity:
Other	$	4,570	$	0	$	0	$	4,570
State and municipal		3,907		0		0		3,907

Total held-to-maturity securities	$	8,477	$	0	$	0	$	8,477

Amortized Cost And Fair Value Of Total Debt Securities


	September 30, 2011
	Amortized Cost		Fair Value
Securities available for sale:
Within one year	$	29,910	$	30,523
After one year but within five years		242,547		245,806
After five years but within ten years		497,607		508,534
After ten years		1,732,501		1,758,884

Total securities available for sale	$	2,502,565	$	2,543,747

Securities held to maturity:
Within one year	$	0	$	0
After one year but within five years		0		0
After five years but within ten years		0		0
After ten years		8,477		8,477

Total securities held to maturity	$	8,477	$	8,477

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,
	2011			2010			2011			2010
Gross gains	$	2,070		$	394		$	8,562		$	11,409
Gross losses		(417	)		(1	)		(3,978	)		(124	)
Other-than-temporary impairment		(215	)		(322	)		(3,060	)		(3,059	)

Net gain	$	1,438		$	71		$	1,524		$	8,226

Gross Unrealized Losses And Fair Values By Investment And Length Of Time Of Securities

		$0000000000		$0000000000		$0000000000		$0000000000		$0000000000		$0000000000
	Less than 12 Months				12 Months or More				Total
September 30, 2011	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U.S. Government agencies	$	997	$	2	$	0	$	0	$	997	$	2
Obligations of states and political subdivisions		1,306		77		1,154		5		2,460		82
Agency residential mortgage-backed securities		65,235		209		0		0		65,235		209
Non-agency residential mortgage-backed securities		7,697		327		67,070		8,561		74,767		8,888
Other structured financial products		0		0		12,740		12,052		12,740		12,052
Other debt securities		1,645		144		34,729		3,506		36,374		3,650
Other equity securities		592		124		1,634		715		2,226		839

	$	77,472	$	883	$	117,327	$	24,839	$	194,799	$	25,722


	Less than 12 Months				12 Months or More				Total
December 31, 2010	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
U. S. Government agencies	$	114,618	$	2,883	$	0	$	0	$	114,618	$	2,883
Obligations of states and political subdivisions		147,732		5,483		6,215		503		153,947		5,986
Agency residential mortgage-backed securities		642,864		17,873		0		0		642,864		17,873
Non-agency residential mortgage-backed securities		5,664		124		109,272		12,303		114,936		12,427
Other structured financial products		0		0		12,503		12,177		12,503		12,177
Other debt securities		15,120		630		1,480		300		16,600		930
Other equity securities		666		210		2,103		637		2,769		847

	$	926,664	$	27,203	$	131,573	$	25,920	$	1,058,237	$	53,123

Credit Losses On Non-Agency Residential Mortgage-Backed Securities


	Three months ended September 30,				Nine months ended September 30,
	2011		2010		2011		2010
Balance - beginning of period	$	4,582	$	1,737	$	1,737	$	0
Additions:
Amount related to credit losses for which an other- than-temporary impairment was not previously recognized		215		0		2,791		1,737
Additional amount related to credit losses for which an other- than-temporary impairment was previously recognized		0		0		269		0

Balance - end of period	$	4,797	$	1,737	$	4,797	$	1,737

Significant Assumptions Of Other-Than-Temporarily Impaired Securities


As of September 30, 2011	Weighted-average (%)
Annual constant prepayment speed		8.44
Loss severity (1)		45.01
Life default rate, net of recoveries (2)		7.54

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

(2)	Default rates, net of expected recoveries, are projected by considering collateral characteristics including, but not limited to, loan-to-value, FICO score, and geographic concentration.

Present Value Of Expected Cash Flows For Company Specific Class And All Subordinate Classes


As of September 30, 2011	Pooled Trust #1			Pooled Trust #2			Pooled Trust #3			Pooled Trust #4
Class		B			B			B			A2L
Class face value	$	35,000		$	57,995		$	87,498		$	45,500

Book value	$	3,000		$	7,051		$	7,991		$	6,750
Fair value		1,742			3,637			4,076			3,285

Unrealized loss	$	(1,258	)	$	(3,414	)	$	(3,915	)	$	(3,465	)

Present value of expected cash flows for class noted above and all subordinate classes (1)	$	161,233		$	165,727		$	279,813		$	140,625

Lowest credit rating assigned		CCC-			Caa3			Ca			CCC-

Original collateral	$	623,984		$	501,470		$	700,535		$	487,680
Performing collateral		371,728			300,200			507,281			314,700
Actual defaults		3,000			42,580			93,500			71,500
Actual deferrals		97,400			129,690			98,900			83,480
Projected future defaults		68,392			79,609			56,912			52,151

Actual defaults as a % of original collateral		0.5	%		8.5	%		13.3	%		14.7	%
Actual deferrals as a % of original collateral (2)		15.6			25.9			14.1			17.1

Actual defaults and deferrals as a % of original collateral		16.1	%		34.4	%		27.4	%		31.8	%

Projected future defaults as a % of original collateral (3)		11.0	%		15.9	%		8.1	%		10.7	%
Actual institutions deferring and defaulted as a % of total institutions		16.4			37.5			31.1			38.6
Projected future defaults as a % of performing collateral plus deferrals		14.6			18.5			9.4			13.1

(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, using documented assumptions. The present value of the expected cash flows for Susquehanna's specific class and all subordinate classes is listed above. As of September 30, 2011, the present value of the current estimated cash flows was equal to or greater than the face amount of the specific class for all trust preferred securities, and consequently, there was no other-than-temporary impairment.

(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 the full twenty quarters 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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