Fair Value Measurement of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

Assets and Liabilities Measured at Fair Value on Recurring and Non-Recurring Basis

The following tables present the assets and liabilities that are measured at fair value on a recurring and nonrecurring basis by level within the fair value hierarchy as reported on the consolidated statements of financial condition at March 31, 2015 and December 31, 2014. The assets presented under “nonrecurring fair value measurements” in the table below are not measured at fair value on an ongoing basis but are subject to fair value adjustments under certain circumstances (e.g., when an impairment loss is recognized).



	March 31, 2015		Fair Value Measurements at Reporting Date Using:
	March 31, 2015		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(in thousands)
Recurring fair value measurements:
Assets
Investment securities:
Available for sale:
U.S. Treasury securities	$	50,473	$	50,473	$	—	$	—
U.S. government agency securities	27,339		—		27,339		—
Obligations of states and political subdivisions	44,207		—		44,207		—
Residential mortgage-backed securities	617,715		—		604,277		13,438
Trust preferred securities	8,538		—		6,508		2,030
Corporate and other debt securities	74,502		18,272		56,230		—
Equity securities	20,744		1,473		19,271		—
Total available for sale	843,518		70,218		757,832		15,468
Loans held for sale ⁽¹⁾⁽²⁾	3,648		—		3,648		—
Other assets ⁽³⁾	29,770		—		29,770		—
Total assets	$	876,936	$	70,218	$	791,250	$	15,468
Liabilities
Other liabilities ⁽³⁾	$	47,120	$	—	$	47,120	$	—
Total liabilities	$	47,120	$	—	$	47,120	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽⁴⁾	$	9,963	$	—	$	—	$	9,963
Loan servicing rights	5,657		—		—		5,657
Foreclosed assets ⁽⁵⁾	2,379		—		—		2,379
Total	$	17,999	$	—	$	—	$	17,999



			Fair Value Measurements at Reporting Date Using:
	December 31, 2014		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
	(in thousands)
Recurring fair value measurements:
Assets
Investment securities:
Available for sale:
U.S. Treasury securities	$	49,443	$	49,443	$	—	$	—
U.S. government agency securities	33,825		—		33,825		—
Obligations of states and political subdivisions	44,051		—		44,051		—
Residential mortgage-backed securities	644,276		—		629,696		14,580
Trust preferred securities	20,537		—		15,808		4,729
Corporate and other debt securities	74,012		18,241		55,771		—
Equity securities	20,826		1,337		19,489		—
Total available for sale	886,970		69,021		798,640		19,309
Trading securities	14,233		—		14,233		—
Loans held for sale ⁽¹⁾	17,165		—		17,165		—
Other assets ⁽³⁾	20,987		—		20,987		—
Total assets	$	939,355	$	69,021	$	851,025	$	19,309
Liabilities
Other liabilities ⁽³⁾	$	33,330	$	—	$	33,330	$	—
Total liabilities	$	33,330	$	—	$	33,330	$	—
Non-recurring fair value measurements:
Non-performing loans held for sale	$	7,130	$	—	$	—	$	7,130
Collateral dependent impaired loans ⁽⁴⁾	13,985		—		—		13,985
Loan servicing rights	3,987		—		—		3,987
Foreclosed assets ⁽⁵⁾	18,098		—		—		18,098
Total	$	43,200	$	—	$	—	$	43,200


(1)	Loans held for sale carried at fair value (which consist of residential mortgages) had contractual unpaid principal balances totaling approximately $3.5 million and $16.9 million at March 31, 2015 and December 31, 2014, respectively.


(2)	Gains and losses related to the change in the fair value of loans held for sale is included in net gains on sales of loans within the non-interest income category of our consolidated statements of income and totaled a net gain of $100 thousand and $121 thousand for the three months ended March 31, 2015 and 2014, respectively.


(3)	Derivative financial instruments are included in this category.


(4)	Excludes PCI loans.


(5)	Includes covered real estate owned totaling $3.2 million at December 31, 2014. There were no covered loan transfers into the real estate owned during the three months ended March 31, 2015.

Changes in Level 3 Assets Measured at Fair Value on Recurring Basis

The changes in Level 3 assets measured at fair value on a recurring basis for the three months ended March 31, 2015 and 2014 are summarized below:



	Available for Sale Securities
	Three Months Ended March 31,
	2015			2014
	(in thousands)
Balance, beginning of the period	$	19,309		$	28,523
Total net (losses) gains included in other comprehensive income for the period	(792		)	48
Sales	(2,675		)	—
Settlements	(374		)	(1,660		)
Balance, end of the period	$	15,468		$	26,911

Schedule of Quantitative Information about Level 3 Inputs Used to Measure Fair Value of Available for Sale Securities

The following table presents quantitative information about Level 3 inputs used to measure the fair value of these securities at March 31, 2015:



Security Type	Valuation Technique	Unobservable Input	Range	Weighted Average

Private label mortgage-backed securities	Discounted cash flow	Prepayment rate	0.0 - 18.2%	11.1	%
		Default rate	3.0 - 24.9	10.1
		Loss severity	40.0 - 62.9	57.1

Schedule of Gains and Losses from Fair Value Changes

Carrying Amounts and Estimated Fair Values of Financial Instruments

The carrying amounts and estimated fair values of financial instruments not measured and not reported at fair value on the consolidated statements of financial condition at March 31, 2015 and December 31, 2014 were as follows:



	Fair Value Hierarchy	March 31, 2015				December 31, 2014
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
		(in thousands)
Financial assets
Cash and due from banks	Level 1	$	394,002	$	394,002	$	462,569	$	462,569
Interest bearing deposits with banks	Level 1	370,712		370,712		367,838		367,838
Investment securities held to maturity:
U.S. Treasury securities	Level 1	139,087		153,676		139,121		151,300
U.S. government agency securities	Level 2	13,630		14,040		14,081		14,385
Obligations of states and political subdivisions	Level 2	490,757		512,916		500,018		519,693
Residential mortgage-backed securities	Level 2	1,059,278		1,074,679		986,992		998,981
Trust preferred securities	Level 2	98,458		86,080		98,456		86,243
Corporate and other debt securities	Level 2	24,609		27,234		39,648		45,374
Total investment securities held to maturity		1,825,819		1,868,625		1,778,316		1,815,976
Net loans	Level 3	13,631,830		13,419,880		13,371,560		13,085,830
Accrued interest receivable	Level 1	56,590		56,590		57,333		57,333
Federal Reserve Bank and Federal Home Loan Bank stock⁽¹⁾	Level 1	135,032		135,032		133,117		133,117
Financial liabilities
Deposits without stated maturities	Level 1	11,444,508		11,444,508		11,291,648		11,291,648
Deposits with stated maturities	Level 2	2,772,235		2,837,408		2,742,468		2,807,522
Short-term borrowings	Level 1	133,866		133,866		146,781		146,781
Long-term borrowings	Level 2	2,529,073		2,751,489		2,526,408		2,738,122
Junior subordinated debentures issued to capital trusts	Level 2	41,292		43,824		41,252		44,584
Accrued interest payable ⁽²⁾	Level 1	12,448		12,448		15,526		15,526


(1)	Included in other assets.


(2)	Included in accrued expenses and other liabilities.

- 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, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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