Fair Value Measurement of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016. 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, 2017		Fair Value Measurements at Reporting Date Using:
	March 31, 2017		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	$	49,780	$	49,780	$	—	$	—
U.S. government agency securities	47,275		—		47,275		—
Obligations of states and political subdivisions	119,162		—		119,162		—
Residential mortgage-backed securities	1,158,064		—		1,148,704		9,360
Trust preferred securities	6,393		—		4,386		2,007
Corporate and other debt securities	62,717		8,009		54,708		—
Equity securities	10,940		1,093		9,847		—
Total available for sale	1,454,331		58,882		1,384,082		11,367
Loans held for sale ⁽¹⁾	11,184		—		11,184		—
Other assets ⁽²⁾	25,466		—		25,466		—
Total assets	$	1,490,981	$	58,882	$	1,420,732	$	11,367
Liabilities
Other liabilities ⁽²⁾	$	23,231	$	—	$	23,231	$	—
Total liabilities	$	23,231	$	—	$	23,231	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	3,470	$	—	$	—	$	3,470
Loan servicing rights	7,826		—		—		7,826
Foreclosed assets ⁽⁴⁾	2,710		—		—		2,710
Total	$	14,006	$	—	$	—	$	14,006



			Fair Value Measurements at Reporting Date Using:
	December 31, 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	$	49,591	$	49,591	$	—	$	—
U.S. government agency securities	23,041		—		23,041		—
Obligations of states and political subdivisions	119,767		—		119,767		—
Residential mortgage-backed securities	1,015,542		—		1,005,589		9,953
Trust preferred securities	8,009		—		6,074		1,935
Corporate and other debt securities	60,565		8,064		52,501		—
Equity securities	20,858		1,306		19,552		—
Total available for sale	1,297,373		58,961		1,226,524		11,888
Loans held for sale ⁽¹⁾	57,708		—		57,708		—
Other assets ⁽²⁾	29,055		—		29,055		—
Total assets	$	1,384,136	$	58,961	$	1,313,287	$	11,888
Liabilities
Other liabilities ⁽²⁾	$	44,077	$	—	$	44,077	$	—
Total liabilities	$	44,077	$	—	$	44,077	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	5,385	$	—	$	—	$	5,385
Loan servicing rights	6,489		—		—		6,489
Foreclosed assets ⁽⁴⁾	4,532		—		—		4,532
Total	$	16,406	$	—	$	—	$	16,406


(1)	Loans held for sale carried at fair value (which consist of residential mortgage loans originated for sale) had contractual unpaid principal balances totaling approximately $11.2 million and $58.2 million at March 31, 2017 and December 31, 2016, 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 $300 thousand at December 31, 2016. There were no covered other real estate owned properties at March 31, 2017.

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, 2017 and 2016 are summarized below:



	Available for Sale Securities
	Three Months Ended March 31,
	2017			2016
	(in thousands)
Balance, beginning of the period	$	11,888		$	13,793
Total net gains (losses) included in other comprehensive income	44			(585		)
Settlements, net	(565		)	(259		)
Balance, end of the period	$	11,367		$	12,949

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, 2017:



Security Type	Valuation Technique	Unobservable Input	Range	Weighted Average

Private label mortgage-backed securities	Discounted cash flow	Prepayment rate	15.3 - 25.0%	21.5	%
		Default rate	3.4 - 36.4	9.3
		Loss severity	47.2 - 66.0	60.5

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, 2017 and December 31, 2016 were as follows:



	Fair Value Hierarchy	March 31, 2017				December 31, 2016
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
		(in thousands)
Financial assets
Cash and due from banks	Level 1	$	225,443	$	225,443	$	220,791	$	220,791
Interest bearing deposits with banks	Level 1	111,283		111,283		171,710		171,710
Investment securities held to maturity:
U.S. Treasury securities	Level 1	138,793		147,419		138,830		147,495
U.S. government agency securities	Level 2	10,722		10,881		11,329		11,464
Obligations of states and political subdivisions	Level 2	538,032		551,788		566,590		577,826
Residential mortgage-backed securities	Level 2	1,113,413		1,103,770		1,112,460		1,102,802
Trust preferred securities	Level 2	59,810		48,034		59,804		47,290
Corporate and other debt securities	Level 2	41,559		42,631		36,559		37,720
Total investment securities held to maturity		1,902,329		1,904,523		1,925,572		1,924,597
Net loans	Level 3	17,334,055		16,961,749		17,121,684		16,756,655
Accrued interest receivable	Level 1	68,245		68,245		66,816		66,816
Federal Reserve Bank and Federal Home Loan Bank stock⁽¹⁾	Level 1	188,557		188,557		147,127		147,127
Financial liabilities
Deposits without stated maturities	Level 1	14,116,047		14,116,047		14,591,837		14,591,837
Deposits with stated maturities	Level 2	3,215,094		3,235,676		3,138,871		3,160,572
Short-term borrowings	Level 1	1,644,964		1,648,547		1,080,960		1,081,751
Long-term borrowings	Level 2	1,634,008		1,723,673		1,433,906		1,523,386
Junior subordinated debentures issued to capital trusts	Level 2	41,617		46,084		41,577		45,785
Accrued interest payable ⁽²⁾	Level 1	9,473		9,473		10,675		10,675


(1)	Included in other assets.


(2)	Included in accrued expenses and other liabilities.