Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2012

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present the financial instruments carried at fair value at September 30, 2012 and December 31, 2011, on the consolidated balance sheets and by levels within the valuation hierarchy.


			Fair Value Measurements at Reporting Date Using
Description	September 30, 2012		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Available-for-sale securities:
U.S. Government Agencies	$	140,615	$	0	$	140,615	$	0
Obligations of states and political subdivisions		436,068		0		436,068		0
Agency residential mortgage-backed securities		2,032,899		0		2,032,899		0
Non-agency residential mortgage-backed securities		32,234		0		28,147		4,087
Commercial mortgage-backed securities		44,187		0		44,187		0
Other structured financial products		8,392		0		0		8,392
Other debt securities		44,613		0		44,613		0
Other equity securities		24,469		1,382		19,927		3,160
Derivatives: ⁽¹⁾
Designated as hedging instruments		964		0		964		0
Not designated as hedging instruments		27,775		0		27,775		0

Total	$	2,792,216	$	1,382	$	2,775,195	$	15,639

Liabilities
Derivatives: ⁽²⁾
Designated as hedging instruments	$	55,789	$	0	$	55,789	$	0
Not designated as hedging instruments		23,487		0		23,487		0

Total	$	79,276	$	0	$	79,276	$	0


			Fair Value Measurements at Reporting Date Using
Description	December 31, 2011		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Assets
Available-for-sale securities:
U.S. Government Agencies	$	148,485	$	0	$	148,485	$	0
Obligations of states and political subdivisions		401,979		0		401,979		0
Agency residential mortgage-backed securities		1,531,405		0		1,531,405		0
Non-agency residential mortgage-backed securities		69,071		0		69,071		0
Commercial mortgage-backed securities		56,819		0		56,819		0
Other structured financial products		13,293		0		0		13,293
Other debt securities		51,135		0		51,135		0
Other equity securities		22,847		221		19,196		3,430
Derivatives: ⁽¹⁾
Designated as hedging instruments		3,693		0		3,693		0
Not designated as hedging instruments		22,770		0		22,770		0

Total	$	2,321,497	$	221	$	2,304,553	$	16,723

Liabilities
Derivatives: ⁽²⁾
Designated as hedging instruments	$	52,028	$	0	$	52,028	$	0
Not designated as hedging instruments		21,133		0		21,133		0

Total	$	73,161	$	0	$	73,161	$	0

⁽¹⁾	Included in Other assets

⁽²⁾	Included in Other liabilities

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

The following tables present roll-forwards of the balance sheet amounts for the three and nine month periods ended September 30, 2012 and 2011, for financial instruments classified by Susquehanna within Level 3 of the valuation hierarchy.


	Available-for-sale Securities
	Equity Securities			Other Structured Financial Products			Non- agency Residential Mortgage- backed Securities			Total
Balance at July 1, 2012	$	3,159		$	8,462		$	4,288		$	15,909
Total gains or losses (realized/unrealized):
Included in earnings:
Other-than-temporary impairment ⁽¹⁾		0			0			0			0
Included in other comprehensive income (before taxes)		1			(70	)		(201	)		(270	)
Sales		0			0			0			0
Transfers into Level III		0			0			0			0
Transfers out of Level III		0			0			0			0

Balance at September 30, 2012	$	3,160		$	8,392		$	4,087		$	15,639


Balance at July 1, 2011	$	3,399		$	14,133		$	0		$	17,532
Total gains or losses (realized/unrealized):
Included in earnings:
Other-than-temporary impairment ⁽¹⁾		0			0			0			0
Included in other comprehensive income (before taxes)		31			(1,393	)		0			(1,362	)
Sales		0			0			0			0
Transfers into Level III		0			0			0			0
Transfers out of Level III		0			0			0			0

Balance at September 30, 2011	$	3,430		$	12,740		$	0		$	16,170


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			3,092			2,948
Included in other comprehensive income (before taxes)		(126	)		(4,901	)		(360	)		(5,387	)
Sales		0			0			(18,782	)		(18,782	)
Transfer into Level III		0			0			20,137			20,137
Transfers out of Level III		0			0			0			0

Balance at September 30, 2012	$	3,160		$	8,392		$	4,087		$	15,639


Balance at January 1, 2011	$	3,381		$	12,503		$	0		$	15,884
Total gains or losses (realized/unrealized):
Included in earnings:
Other-than-temporary impairment ⁽¹⁾		0			0			0			0
Included in other comprehensive income (before taxes)		49			237			0			286
Sales		0			0			0			0
Transfers into Level III		0			0			0			0
Transfers out of Level III		0			0			0			0

Balance at September 30, 2011	$	3,430		$	12,740		$	0		$	16,170

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

Assets Measured at Fair Value on Nonrecurring Basis

The following tables present assets measured at fair value on a nonrecurring basis at September 30, 2012 and December 31, 2011, on the consolidated balance sheets and by the valuation hierarchy.


Description	September 30, 2012		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Impaired loans	$	69,756	$	0	$	0	$	69,756
Foreclosed assets		28,641		0		0		28,641

	$	98,397	$	0	$	0	$	98,397


Description	December 31, 2011		Quoted Prices in Active Markets for Identical Instruments (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Impaired loans	$	71,062	$	0	$	0	$	71,062
Foreclosed assets		41,050		0		0		41,050

	$	112,112	$	0	$	0	$	112,112

Quantitative Information about Level 3 Fair Value Measurements

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


Asset	Fair Value at September 30, 2012 (in thousands)		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
Non-agency residential mortgage-backed securities ⁽¹⁾	$	4,087	Discounted cash flow	Conditional repayment rate	7.4%
				Loss severity	45.0%
				Conditional default rate	4.7%
Other structured financial products		8,392	Discounted cash flow	Credit default rates, call options and deferrals, waterfall structure, and covenants.	Varies by individual security, refer to Note 3
Other equity securities		3,160	Discounted cash flow	Timing of cash flows from dividends and terminal value	0.2x - 1.5x (0.9x)
Impaired loans		69,756	Discounted cash flow	Timing of cash flows based upon current discount rates and terminal value	3.3% - 5.8% (4.7%)
Foreclosed assets		28,641	Discounted cash flow	Third party appraisals less estimated selling costs	0.0% - 100.0% (25.4%)

⁽¹⁾	Consists of single security

Carrying Amounts and Estimated Fair Values

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.


	September 30, 2012
	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and due from banks	$	380,100	$	380,100	$	307,642	$	72,458	$	0
Short-term investments		104,608		104,608		0		104,608		0
Investment securities		2,763,477		2,763,477		1,382		2,746,456		15,639
Restricted investment in bank stocks		144,927		144,927		0		144,927		0
Loans and leases		12,675,607		12,738,562		0		0		12,738,562
Derivatives		28,739		28,739		0		28,739		0
Financial liabilities:
Deposits		12,725,379		12,710,035		0		12,710,035		0
Short-term borrowings		762,257		762,257		0		762,257		0
FHLB borrowings		1,110,884		1,102,130		0		1,102,130		0
Long-term debt		639,753		625,573		0		625,573		0
Derivatives		79,276		79,276		0		79,276		0


	December 31, 2011
	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and due from banks	$	276,384	$	276,384	$	179,615	$	96,769	$	0
Short-term investments		121,686		121,686		0		121,686		0
Investment securities		2,295,034		2,295,034		221		2,278,090		16,723
Restricted investment in bank stocks		128,073		128,073		0		128,073		0
Loans and leases		10,259,830		10,344,966		0		0		10,344,966
Derivatives		26,463		26,463		0		26,463		0
Financial liabilities:
Deposits		10,290,472		9,953,598		0		9,953,598		0
Short-term borrowings		613,306		613,306		0		613,306		0
FHLB borrowings		971,020		967,163		0		967,163		0
Long-term debt		656,726		622,167		0		622,167		0
Derivatives		73,161		73,161		0		73,161		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.

+ References

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

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