Fair Value Measurement of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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).



	September 30, 2017		Fair Value Measurements at Reporting Date Using:
	September 30, 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	$	50,148	$	50,148	$	—	$	—
U.S. government agency securities	44,230		—		44,230		—
Obligations of states and political subdivisions	118,402		—		118,402		—
Residential mortgage-backed securities	1,161,157		—		1,153,475		7,682
Trust preferred securities	5,393		—		3,278		2,115
Corporate and other debt securities	57,427		7,890		49,537		—
Equity securities	10,980		1,110		9,870		—
Total available for sale	1,447,737		59,148		1,378,792		9,797
Loans held for sale ⁽¹⁾	13,321		—		13,321		—
Other assets ⁽²⁾	26,696		—		26,696		—
Total assets	$	1,487,754	$	59,148	$	1,418,809	$	9,797
Liabilities
Other liabilities ⁽²⁾	$	23,868	$	—	$	23,868	$	—
Total liabilities	$	23,868	$	—	$	23,868	$	—
Non-recurring fair value measurements:
Collateral dependent impaired loans ⁽³⁾	$	33,260	$	—	$	—	$	33,260
Loan servicing rights	7,072		—		—		7,072
Foreclosed assets	1,762		—		—		1,762
Total	$	42,094	$	—	$	—	$	42,094



			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	4,532		—		—		4,532
Total	$	16,406	$	—	$	—	$	16,406


(1)	Represents residential mortgage loans originated for sale that are carried at fair value and had contractual unpaid principal balances totaling approximately $13.1 million and $58.2 million at September 30, 2017 and December 31, 2016, 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 nine months ended September 30, 2017 and 2016 are summarized below:



	Available for Sale Securities
	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
	(in thousands)
Balance, beginning of the period	$	10,730		$	13,101		$	11,888		$	13,793
Total net losses included in other comprehensive income	(448		)	(212		)	(435		)	(283		)
Settlements, net	(485		)	(492		)	(1,656		)	(1,113		)
Balance, end of the period	$	9,797		$	12,397		$	9,797		$	12,397

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, 2017:



Security Type	Valuation Technique	Unobservable Input	Range	Weighted Average

Private label mortgage-backed securities	Discounted cash flow	Prepayment rate	1.1 - 34.1%	18.0	%
		Default rate	1.4 - 30.9	6.7
		Loss severity	47.7 - 63.8	58.3

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, 2017 and December 31, 2016 were as follows:



	Fair Value Hierarchy	September 30, 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	$	215,600	$	215,600	$	220,791	$	220,791
Interest bearing deposits with banks	Level 1	128,226		128,226		171,710		171,710
Investment securities held to maturity:
U.S. Treasury securities	Level 1	138,714		147,126		138,830		147,495
U.S. government agency securities	Level 2	9,984		10,188		11,329		11,464
Obligations of states and political subdivisions	Level 2	495,157		511,159		566,590		577,826
Residential mortgage-backed securities	Level 2	1,088,389		1,081,703		1,112,460		1,102,802
Trust preferred securities	Level 2	49,819		38,998		59,804		47,290
Corporate and other debt securities	Level 2	41,559		41,971		36,559		37,720
Total investment securities held to maturity		1,823,622		1,831,145		1,925,572		1,924,597
Net loans	Level 3	18,082,496		17,741,813		17,121,684		16,756,655
Accrued interest receivable	Level 1	72,063		72,063		66,816		66,816
Federal Reserve Bank and Federal Home Loan Bank stock⁽¹⁾	Level 1	204,978		204,978		147,127		147,127
Financial liabilities
Deposits without stated maturities	Level 1	13,892,110		13,892,110		14,591,837		14,591,837
Deposits with stated maturities	Level 2	3,420,656		3,436,229		3,138,871		3,160,572
Short-term borrowings	Level 1	1,482,709		1,485,695		1,080,960		1,081,751
Long-term borrowings	Level 2	2,215,219		2,300,388		1,433,906		1,523,386
Junior subordinated debentures issued to capital trusts	Level 2	41,716		42,244		41,577		45,785
Accrued interest payable ⁽²⁾	Level 1	10,812		10,812		10,675		10,675


(1)	Included in other assets.


(2)	Included in accrued expenses and other liabilities.