Fair Value Measurement of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2018

Assets and Liabilities Measured at Fair Value on a 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 June 30, 2018 and December 31, 2017. The assets presented under “nonrecurring fair value measurements” in the tables 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).



	June 30, 2018		Fair Value Measurements at Reporting Date Using:
	June 30, 2018		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	$	48,667	$	48,667	$	—	$	—
U.S. government agency securities	38,006		—		38,006		—
Obligations of states and political subdivisions	211,529		—		211,529		—
Residential mortgage-backed securities	1,477,846		—		1,471,403		6,443
Trust preferred securities	2,279		—		2,279		—
Corporate and other debt securities	55,140		7,629		47,511		—
Total available for sale	1,833,467		56,296		1,770,728		6,443
Loans held for sale ⁽¹⁾	32,670		—		32,670		—
Other assets ⁽²⁾	30,132		—		30,132		—
Total assets	$	1,896,269	$	56,296	$	1,833,530	$	6,443
Liabilities
Other liabilities ⁽²⁾	$	37,902	$	—	$	37,902	$	—
Total liabilities	$	37,902	$	—	$	37,902	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	36,957	$	—	$	—	$	36,957
Loan servicing rights	2,212		—		—		2,212
Foreclosed assets	1,239		—		—		1,239
Total	$	40,408	$	—	$	—	$	40,408



			Fair Value Measurements at Reporting Date Using:
	December 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	$	49,642	$	49,642	$	—	$	—
U.S. government agency securities	42,505		—		42,505		—
Obligations of states and political subdivisions	112,884		—		112,884		—
Residential mortgage-backed securities	1,223,295		—		1,215,935		7,360
Trust preferred securities	3,214		—		3,214		—
Corporate and other debt securities	51,164		7,783		43,381		—
Equity securities	11,201		1,382		9,819		—
Total available for sale	1,493,905		58,807		1,427,738		7,360
Loans held for sale ⁽¹⁾	15,119		—		15,119		—
Other assets ⁽²⁾	26,417		—		26,417		—
Total assets	$	1,535,441	$	58,807	$	1,469,274	$	7,360
Liabilities
Other liabilities ⁽²⁾	$	24,330	$	—	$	24,330	$	—
Total liabilities	$	24,330	$	—	$	24,330	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	48,373	$	—	$	—	$	48,373
Loan servicing rights	5,350		—		—		5,350
Foreclosed assets	3,472		—		—		3,472
Total	$	57,195	$	—	$	—	$	57,195


(1)	Represents residential mortgage loans originated for sale that are carried at fair value and had contractual unpaid principal balances totaling approximately $32.1 million and $14.8 million at June 30, 2018 and December 31, 2017, respectively.


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


(3)	Excludes PCI loans.

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 six months ended June 30, 2018 and 2017 are summarized below:



	Available for Sale Securities
	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
	(in thousands)
Balance, beginning of the period	$	6,498		$	11,367		$	7,360		$	11,888
Total net gains (losses) included in other comprehensive income	313			(31		)	(85		)	13
Settlements, net	(368		)	(606		)	(832		)	(1,171		)
Balance, end of the period	$	6,443		$	10,730		$	6,443		$	10,730

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 June 30, 2018:



Security Type	Valuation Technique	Unobservable Input	Range	Weighted Average

Private label mortgage-backed securities	Discounted cash flow	Prepayment rate	1.8 - 28.8%	13.0	%
		Default rate	3.1 - 47.4	8.9
		Loss severity	45.4 - 62.0	57.1

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 June 30, 2018 and December 31, 2017 were as follows:



	Fair Value Hierarchy	June 30, 2018				December 31, 2017
	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
		(in thousands)
Financial assets
Cash and due from banks	Level 1	$	307,428	$	307,428	$	243,310	$	243,310
Interest bearing deposits with banks	Level 1	164,838		164,838		172,800		172,800
Investment securities held to maturity:
U.S. Treasury securities	Level 1	138,598		141,605		138,676		145,257
U.S. government agency securities	Level 2	9,447		9,280		9,859		9,981
Obligations of states and political subdivisions	Level 2	615,651		616,786		465,878		477,479
Residential mortgage-backed securities	Level 2	1,185,165		1,146,450		1,131,945		1,118,044
Trust preferred securities	Level 2	49,833		43,334		49,824		40,088
Corporate and other debt securities	Level 2	31,500		31,327		46,509		46,771
Total investment securities held to maturity		2,030,194		1,988,782		1,842,691		1,837,620
Net loans	Level 3	23,095,954		22,752,737		18,210,724		17,562,153
Accrued interest receivable	Level 1	88,155		88,155		73,990		73,990
Federal Reserve Bank and Federal Home Loan Bank stock⁽¹⁾	Level 1	291,705		291,705		178,668		178,668
Financial liabilities
Deposits without stated maturities	Level 1	16,987,360		16,987,360		14,589,941		14,589,941
Deposits with stated maturities	Level 2	4,653,412		4,604,918		3,563,521		3,465,373
Short-term borrowings	Level 1	2,877,912		2,580,009		748,628		679,316
Long-term borrowings	Level 2	2,103,993		1,812,019		2,315,819		2,453,797
Junior subordinated debentures issued to capital trusts	Level 2	55,196		48,918		41,774		37,289
Accrued interest payable ⁽²⁾	Level 1	18,608		18,608		14,161		14,161


(1)	Included in other assets.


(2)	Included in accrued expenses and other liabilities.