Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Disclosures [Abstract]

Fair Value Of Assets And Liabilities Measured On Recurring Basis

A summary of fair values for assets and liabilities measured at fair value on a recurring basis is as follows:

	At September 30, 2012
(In thousands)	Carrying Balance		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Financial assets held at fair value:
Available for sale securities:
U.S. treasury bills	$	200	$	200	$	—	$	—
Agency CMOs - GSE	1,474,210		—		1,474,210		—
Corporate debt	118,138		—		118,138		—
Pooled trust preferred securities	28,253		—		—		28,253
Single issuer trust preferred securities	41,420		—		41,420		—
Equity securities	8,295		8,095		200		—
Mortgage-backed securities- GSE	1,069,217		—		1,069,217		—
CMBS	380,621		—		380,621		—
Total available for sale securities	3,120,354		8,295		3,083,806		28,253
Derivative instruments:
Interest rate swaps	56,485		—		56,485		—
Mortgage banking derivatives	1,323		—		1,323		—
Investments held in Rabbi Trust	5,706		5,706		—		—
Investments in private equity funds	1,615		—		—		1,615
Total financial assets held at fair value	$	3,185,483	$	14,001	$	3,141,614	$	29,868
Financial liabilities held at fair value:
Derivative instruments:
Interest rate swaps	$	63,646	$	—	$	63,646	$	—
Fed Fund futures contracts	447		447		—		—
Visa Swap	3		—		3		—
Total financial liabilities held at fair value	$	64,096	$	447	$	63,649	$	—

	At December 31, 2011
(In thousands)	Carrying Balance		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Financial assets held at fair value:
Available for sale securities:
U.S. treasury bills	$	200	$	200	$	—	$	—
Agency CMOs - GSE	1,940,242		—		1,940,242		—
Pooled trust preferred securities	28,998		—		—		28,998
Single issuer trust preferred securities	38,214		—		38,214		—
Equity securities	9,447		8,472		—		975
Mortgage-backed securities- GSE	527,310		—		527,310		—
CMBS	330,353		—		330,353		—
Total available for sale securities	2,874,764		8,672		2,836,119		29,973
Derivative instruments:
Interest rate swaps	47,134		—		47,134		—
Investments in private equity funds	2,841		—		—		2,841
Total financial assets held at fair value	$	2,924,739	$	8,672	$	2,883,253	$	32,814
Financial liabilities held at fair value:
Derivative instruments:
Interest rate swaps	$	58,424	$	—	$	58,424	$	—
Fed Fund futures contracts	1,365		—		1,365		—
Visa Swap	2		—		2		—
Total financial liabilities held at fair value	$	59,791	$	—	$	59,791	$	—

Schedule Of Changes In Level 3 Assets And Liabilities Measured At Fair Value On A Recurring Basis

The following table presents the changes in Level 3 assets and liabilities that are measured at fair value on a recurring basis, for the three and nine months ended September 30, 2012 and 2011:

	Three months ended September 30,						Nine months ended September 30,
(In thousands)	2012			2011			2012			2011
Level 3, beginning of period (a)	$	30,976		$	50,628		$	32,814		$	61,098
Transfers out of Level 3 (b)	—			—			(975		)	—
Change in unrealized loss included in other comprehensive income	1,587			(13,569		)	2,279			(11,492		)
Unrealized gain (loss) included in net income	(539		)	(213		)	(1,161		)	(186		)
Realized loss on sale of available for sale securities	—			—			—			(3,343		)
Purchases/capital calls	—			179			126			411
Sales/proceeds	—			—			—			(5,487		)
Accretion/amortization	63			213			79			488
Calls/paydowns	(2,219		)	(2,746		)	(3,294		)	(6,759		)
Other	—			—			—			(238		)
Level 3, end of period	$	29,868		$	34,492		$	29,868		$	34,492

(a) The Company's investments in private equity funds are included in Level 3 and has adjusted prior period balances to conform to the current period’s presentation. Management believes that these changes are immaterial to Webster’s financial statements and align reporting of such data more closely with reporting requirements resulting from the adoption of ASU 2011-4 Fair Value Measurement (Topic 820) “Amendments to Achieve Common Fair Value Measurements and Disclosure Requirements in US GAAP and IFRS”.

(b) As of January 1, 2012, auction rate preferred securities were transferred from Level 3 to Level 2. These securities are considered to be Level 2 based upon observable market activity at full par value for recent transactions.

Schedule Of Quantitative Inputs And Assumptions For Items Categorized In Level 3 Of The Fair Value Hierarchy

The following table presents information about quantitative inputs and assumptions for items categorized in Level 3 of the fair value hierarchy:

	At September 30, 2012
(In thousands)	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
Pooled trust preferred securities	$	28,253	Discounted cash flow	Discount rate	6.55 - 10.86% (9.52%)
				Credit spread	394 - 825 bp (691 bp)

Schedule Of Valuation Methodology And Unobservable Inputs

The table below presents the valuation methodology and unobservable inputs for Level 3 assets measured at fair value on a non-recurring basis at September 30, 2012:

(Dollars in thousands)
Asset	Fair Value		Valuation Methodology	Unobservable Inputs	Range of Inputs
Impaired Loans	$	34,618	Real Estate Appraisals	Discount for dated appraisal	0% - 15%
				Discount for costs to sell	3% - 8%
				Discount for payment status	25% - 33%
			Asset Appraisals	Discount to Inventory	21.4%
				Reduction for estimated accounts receivable recovery	98.8%
Other Real Estate	$	2,622	Appraisals	Discount for costs to sell	8%
				Discount for appraisal type	15% - 60%
Mortgage Servicing Rights	$	11,013	Discounted cash flow	Prepayment speeds	7.4% - 25%
				Discount Rates	2.6% - 4.4%

Summary Of Estimated Fair Values Of Significant Financial Instruments

A summary of estimated fair values of significant financial instruments consisted of the following:

	At September 30, 2012
(In thousands)	Carrying Balance		Quoted Prices in Active  Markets for Identical Assets (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Securities available for sale	$	3,120,354	$	8,295	$	3,083,806	$	28,253
Securities held-to-maturity	3,142,160		—		3,321,317		—
Loans held for sale	91,207		—		—		91,207
Loans, net	11,727,652		—		—		11,626,902
Mortgage servicing assets (a)	12,407		—		—		12,811
Investments in private equity funds	1,615		—		—		1,615
Derivative instruments	56,485		—		56,485		—
Investments held in Rabbi Trust	5,706		5,706		—		—
Liabilities
Deposits other than time deposits	$	11,786,738	$	—	$	11,786,738	$	—
Time deposits	2,626,699		—		2,670,366		—
Securities sold under agreements to repurchase and other short-term borrowings	1,310,015		—		1,373,475		—
Federal Home Loan Bank advances (b)	1,452,660		—		1,478,212		—
Long-term debt (c)	335,678		—		296,667		—
Derivative instruments	64,096		447		63,649		—

	At December 31, 2011
(In thousands)	Carrying Balance		Quoted Prices in Active  Markets for Identical Assets (Level 1)		Significant Other Observable  Inputs (Level 2)		Significant Unobservable  Inputs (Level 3)
Assets
Securities available for sale	$	2,874,764	$	8,672	$	2,836,119	$	29,973
Securities held-to-maturity	2,973,727		—		3,130,546		—
Loans held for sale	57,391		—		—		57,391
Loans, net	10,991,917		—		—		11,097,390
Mortgage servicing assets (a)	7,831		—		—		9,968
Investments in private equity funds	12,343		—		—		12,343
Derivative instruments	47,134		—		47,134		—
Liabilities
Deposits other than time deposits	$	10,821,390	$	—	$	10,619,712	$	—
Time deposits	2,834,635		—		2,883,006		—
Securities sold under agreements to repurchase and other short-term borrowings	1,164,706		—		1,212,228		—
Federal Home Loan Bank advances (b)	1,252,609		—		1,283,871		—
Long-term debt (c)	552,589		—		505,635		—
Derivative instruments	59,791		—		59,791		—

(a) The carrying amount of mortgage servicing assets is net of $1.6 million and $0.9 million reserves at September 30, 2012 and December 31, 2011, respectively. The estimated fair value does not include such adjustments.

(b) The carrying amount of FHLB advances is net of $0.1 million and $0.8 million in hedge accounting adjustments and discounts at September 30, 2012 and December 31, 2011, respectively. The estimated fair value does not include such adjustments.

(c) The carrying amount of Long-term debt is net of $5.8 million and $11.7 million in hedge accounting adjustments and discounts at September 30, 2012 and December 31, 2011, respectively. The estimated fair value does not include such adjustments.