Fair Value Measurement of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2016

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 September 30, 2016 and December 31, 2015. 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).



	September 30, 2016		Fair Value Measurements at Reporting Date Using:
	September 30, 2016		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	$	51,791	$	51,791	$	—	$	—
U.S. government agency securities	24,097		—		24,097		—
Obligations of states and political subdivisions	125,290		—		125,290		—
Residential mortgage-backed securities	966,638		—		956,266		10,372
Trust preferred securities	8,156		—		6,131		2,025
Corporate and other debt securities	80,567		17,579		62,988		—
Equity securities	20,170		536		19,634		—
Total available for sale	1,276,709		69,906		1,194,406		12,397
Loans held for sale ⁽¹⁾	27,868		—		27,868		—
Other assets ⁽²⁾	46,019		—		46,019		—
Total assets	$	1,350,596	$	69,906	$	1,268,293	$	12,397
Liabilities
Other liabilities ⁽²⁾	$	72,672	$	—	$	72,672	$	—
Total liabilities	$	72,672	$	—	$	72,672	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	2,214	$	—	$	—	$	2,214
Loan servicing rights	7,358		—		—		7,358
Foreclosed assets ⁽⁴⁾	1,711		—		—		1,711
Total	$	11,283	$	—	$	—	$	11,283



			Fair Value Measurements at Reporting Date Using:
	December 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	$	549,473	$	549,473	$	—	$	—
U.S. government agency securities	29,963		—		29,963		—
Obligations of states and political subdivisions	124,966		—		124,966		—
Residential mortgage-backed securities	696,428		—		684,777		11,651
Trust preferred securities	8,404		—		6,262		2,142
Corporate and other debt securities	77,552		17,710		59,842		—
Equity securities	20,075		1,198		18,877		—
Total available for sale	1,506,861		568,381		924,687		13,793
Loans held for sale ⁽¹⁾	16,382		—		16,382		—
Other assets ⁽²⁾	33,774		—		33,774		—
Total assets	$	1,557,017	$	568,381	$	974,843	$	13,793
Liabilities
Other liabilities ⁽²⁾	$	50,844	$	—	$	50,844	$	—
Total liabilities	$	50,844	$	—	$	50,844	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	15,427	$	—	$	—	$	15,427
Loan servicing rights	2,571		—		—		2,571
Foreclosed assets ⁽⁴⁾	16,672		—		—		16,672
Total	$	34,670	$	—	$	—	$	34,670


(1)	Loans held for sale carried at fair value (which consist of residential mortgages) had contractual unpaid principal balances totaling approximately $27.0 million and $16.1 million at September 30, 2016 and December 31, 2015, respectively.


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


(3)	Excludes PCI loans.


(4)	Includes covered (i.e., subject to loss-sharing agreements with the FDIC) other real estate owned totaling $200 thousand and $4.2 million at September 30, 2016 and December 31, 2015, respectively.

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 and nine months ended September 30, 2016 and 2015 are summarized below:



	Available for Sale Securities
	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
	(in thousands)
Balance, beginning of the period	$	13,101		$	14,712		$	13,793		$	19,309
Total net losses included in other comprehensive income for the period	(212		)	(26		)	(283		)	(908		)
Sales	—			—			—			(2,675		)
Settlements	(492		)	(340		)	(1,113		)	(1,380		)
Balance, end of the period	$	12,397		$	14,346		$	12,397		$	14,346

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 September 30, 2016:



Security Type	Valuation Technique	Unobservable Input	Range	Weighted Average

Private label mortgage-backed securities	Discounted cash flow	Prepayment rate	4.8-20.9%	12.3	%
		Default rate	3.8-27.0	9.1
		Loss severity	45.3-66.7	60.6

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 September 30, 2016 and December 31, 2015 were as follows:



	Fair Value Hierarchy	September 30, 2016				December 31, 2015
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
		(in thousands)
Financial assets
Cash and due from banks	Level 1	$	238,664	$	238,664	$	243,575	$	243,575
Interest bearing deposits with banks	Level 1	160,462		160,462		170,225		170,225
Investment securities held to maturity:
U.S. Treasury securities	Level 1	138,866		154,042		138,978		149,483
U.S. government agency securities	Level 2	11,549		12,106		12,859		13,130
Obligations of states and political subdivisions	Level 2	568,212		595,525		504,865		527,263
Residential mortgage-backed securities	Level 2	1,030,165		1,046,387		852,289		855,272
Trust preferred securities	Level 2	59,800		45,726		59,785		46,437
Corporate and other debt securities	Level 2	36,559		38,196		27,609		29,454
Total investment securities held to maturity		1,845,151		1,891,982		1,596,385		1,621,039
Net loans	Level 3	16,523,438		16,511,137		15,936,929		15,824,475
Accrued interest receivable	Level 1	63,815		63,815		63,554		63,554
Federal Reserve Bank and Federal Home Loan Bank stock⁽¹⁾	Level 1	162,584		162,584		145,068		145,068
Financial liabilities
Deposits without stated maturities	Level 1	13,852,302		13,852,302		13,095,647		13,095,647
Deposits with stated maturities	Level 2	3,119,881		3,148,902		3,157,904		3,203,389
Short-term borrowings	Level 1	1,433,356		1,433,356		1,076,991		1,076,991
Long-term borrowings	Level 2	1,450,818		1,612,654		1,810,728		1,945,741
Junior subordinated debentures issued to capital trusts	Level 2	41,536		43,751		41,414		44,127
Accrued interest payable ⁽²⁾	Level 1	9,931		9,931		13,110		13,110


(1)	Included in other assets.


(2)	Included in accrued expenses and other liabilities.