Huntington Bancshares Incorporated Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Fair Values of Assets and Liabilities (Tables)

Fair Values of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2011

Fair Values of Assets and Liabilities [Abstract]

Assets and liabilities measured at fair value on a recurring basis

Assets and liabilities measured at fair value on a recurring basis at December 31, 2011 and 2010 are summarized below

Fair Value Measurements at Reporting Date Using									Netting		Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3	Adjustments (1)			December 31, 2011
Assets
Mortgage loans held for sale		$	---	$	343,588	$	---	$	---	$	343,588

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		5,541		---		---		5,541
	Federal agencies: Other agencies		---		---		---		---		---
	Municipal securities		---		8,147		---		---		8,147
	Other securities		32,085		126		---		---		32,211
			32,085		13,814		---		---		45,899

Available-for-sale and other securities:
	U.S. Treasury securities		53,204		---		---		---		53,204
	Federal agencies: Mortgage-backed (2)		---		4,464,892		---		---		4,464,892
	TLGP securities		---		---		---		---		---
	Federal agencies: Other agencies		---		735,544		---		---		735,544
	Municipal securities		---		312,634		95,092		---		407,726
	Private-label CMO		---		---		72,364		---		72,364
	Asset-backed securities		---		845,390		121,698		---		967,088
	Covered bonds		---		504,045		---		---		504,045
	Corporate debt		---		528,883		---		---		528,883
	Other securities		53,619		4,134		---		---		57,753
			106,823		7,395,522		289,154		---		7,791,499

Automobile loans			---		---		296,250		---		296,250

MSRs			---		---		65,001		---		65,001

Derivative assets			4,886		485,428		6,770		(94,082)		403,002

Liabilities
Securitization trust notes payable			---		123,039		---		---		123,039

Derivative liabilities			12,245		246,132		6,939		---		265,316

Other liabilities			---		751		---		---		751

Fair Value Measurements at Reporting Date Using									Netting		Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3	Adjustments (1)			December 31, 2010
Assets
Mortgage loans held for sale		$	---	$	754,117	$	---	$	---	$	754,117

Trading account securities:
	U.S. Treasury securities		47,430		---		---		---		47,430
	Federal agencies: Mortgage-backed		---		10,860		---		---		10,860
	Federal agencies: Other agencies		---		24,853		---		---		24,853
	Municipal securities		---		30,205		---		---		30,205
	Other securities		69,017		3,039		---		---		72,056
			116,447		68,957		---		---		185,404

Available-for-sale and other securities:
	U.S. Treasury securities		51,781		---		---		---		51,781
	Federal agencies: Mortgage-backed		---		4,754,404		---		---		4,754,404
	TLGP securities		---		183,467		---		---		183,467
	Federal agencies: Other agencies (3)		---		2,058,376		---		---		2,058,376
	Municipal securities		---		305,909		149,806		---		455,715
	Private-label CMO		---		---		121,925		---		121,925
	Asset-backed securities		---		1,044,438		162,684		---		1,207,122
	Covered bonds		---		367,209		---		---		367,209
	Corporate debt		---		323,389		---		---		323,389
	Other securities		53,286		9,848		---		---		63,134
			105,067		9,047,040		434,415		---		9,586,522

Automobile loans			---		---		522,717		---		522,717

MSRs			---		---		125,679		---		125,679

Derivative assets			23,514		390,361		2,817		(70,559)		346,133

Liabilities
Securitization trust notes payable			---		356,089		---		---		356,089

Derivative liabilities			3,990		233,399		1,851		---		239,240

Other liabilities			---		---		---		---		---

Rollforward of financial instruments measured on a recurring basis and classified as Level 3

The tables below present a rollforward of the balance sheet amounts for the years ended December 31, 2011, 2010, and 2009 for financial instruments measured on a recurring basis and classified as Level 3. The classification of an item as Level 3 is based on the significance of the unobservable inputs to the overall fair value measurement. However, Level 3 measurements may also include observable components of value that can be validated externally. Accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology

			Level 3 Fair Value Measurements
			Year ended December 31, 2011
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile		Equity
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans		investments
Balance, beginning of year		$	125,679	$	966	$	149,806	$	121,925	$	162,684	$	522,717	$	---
Total gains / losses:
	Included in earnings		(60,678)		211		---		(1,673)		(3,065)		(6,577)		---
	Included in OCI		---		---		---		349		2,070		---		---
Purchases			---		---		1,760		---		---		---		---
Sales			---		---		---		(20,958)		---		---		---
Repayments			---		---		---		---		---		(219,890)		---
Issuances			---		---		---		---		---		---		---
Settlements			---		(1,346)		(56,474)		(27,279)		(39,991)		---		---
Transfers in / out of Level 3			---		---		---		---		---		---		---
Balance, end of year		$	65,001	$	(169)	$	95,092	$	72,364	$	121,698	$	296,250	$	---

The amount of total gains
	or losses for the period
	included in earnings
	(or OCI) attributable to the
	change in unrealized gains or
	losses relating to assets still
	held at reporting date	$	(60,678)	$	(1,135)	$	---	$	(1,494)	$	595	$	(6,577)	$	---

			Level 3 Fair Value Measurements
			Year ended December 31, 2010
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private		backed		Automobile		Equity
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans		investments
Balance, beginning of year		$	176,427	$	(4,236)	$	11,515	$	477,319	$	407,098	$	---	$	25,872
Total gains / losses:
	Included in earnings		(50,748)		4,413		---		(5,117)		(6,160)		(2,267)		---
	Included in OCI		---		---		---		44,475		16,191		---		---
Purchases			---		---		---		---		---		---		---
Sales			---		---		(112,322)		(312,460)		(53,806)		---		---
Repayments			---		---		---		---		---		(266,381)		---
Issuances			---		(1,741)		---		---		---		---		---
Settlements			---		2,530		(73,024)		(82,292)		(16,566)		---		---
Transfers in / out of Level 3 (1)			---		---		323,637		---		(184,073)		791,365		(25,872)
Balance, end of year		$	125,679	$	966	$	149,806	$	121,925	$	162,684	$	522,717	$	---

The amount of total gains
	or losses for the period
	included in earnings
	(or OCI) attributable to the
	change in unrealized gains or
	losses relating to assets still
	held at reporting date	$	(50,748)	$	1,715	$	---	$	5,565	$	15,113	$	(2,267)	$	---

	(1) Transfers in / out of Level 3 include a transfer in of $323.6 million relating to municipal securities, due to lack of observable market data, a transfer out of $184.1 million of securities related to the consolidation of the 2009 Trust and a transfer in of $791.4 million of loans related to the 2009 Trust.

			Level 3 Fair Value Measurements
			Year ended December 31, 2009
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private		backed		Automobile		Equity
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans		investments
Balance, beginning of year		$	167,438	$	8,132	$	---	$	523,515	$	464,027	$	---	$	36,893
Total gains / losses:
	Included in earnings		9,707		(5,976)		---		(3,606)		(40,039)		---		408
	Included in OCI		---		---		---		93,934		40,385		---		---
Purchases			2,388		(7,100)		---		5,448		211,296		---		1,688
Sales			---		---		---		---		(295,033)		---		---
Repayments			---		---		---		---		---		---		---
Issuances			---		---		---		---		47,119		---		---
Settlements			(3,106)		708		(185)		(141,972)		(20,657)		---		(13,117)
Transfers in / out of Level 3 (2)			---		---		11,700		---		---		---		---
Balance, end of year		$	176,427	$	(4,236)	$	11,515	$	477,319	$	407,098	$	---	$	25,872

The amount of total gains
	or losses for the period
	included in earnings
	(or OCI) attributable to the
	change in unrealized gains or
	losses relating to assets still
	held at reporting date	$	9,707	$	(8,475)	$	---	$	90,328	$	(7,406)	$	---	$	408

	(2) Transferred in to Level 3 as a result of a lack of observable market data due to a decrease in market activity.

Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities

The tables below summarize the classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities for the years ended December 31, 2011, 2010, and 2009.

		Level 3 Fair Value Measurements
		Year ended December 31, 2011
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private		backed		Automobile		Equity
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans		investments
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(60,678)	$	6,635	$	---	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(2,551)		(4,159)		---		---
Interest and fee income		---		---		---		878		1,094		(11,645)		---
Noninterest income		---		(6,424)		---		---		---		5,068		---
Total	$	(60,678)	$	211	$	---	$	(1,673)	$	(3,065)	$	(6,577)	$	---

		Level 3 Fair Value Measurements
		Year ended December 31, 2010
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private		backed		Automobile		Equity
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans		investments
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(50,748)	$	4,413	$	---	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(7,149)		(6,554)		---		---
Interest and fee income		---		---		---		2,032		394		(11,202)		---
Noninterest income		---		---		---		---		---		8,935		---
Total	$	(50,748)	$	4,413	$	---	$	(5,117)	$	(6,160)	$	(2,267)	$	---

		Level 3 Fair Value Measurements
		Year ended December 31, 2009
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private		backed		Automobile		Equity
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans		investments
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	9,707	$	(5,976)	$	---	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(5,996)		(53,068)		---		---
Interest and fee income		---		---		---		2,390		13,029		---		---
Noninterest income		---		---		---		---		---		---		408
Total	$	9,707	$	(5,976)	$	---	$	(3,606)	$	(40,039)	$	---	$	408

Assets and liabilities under the fair value option

The following table presents the fair value and aggregate principal balance of mortgage loans held for sale under the fair value option.

		December 31,
(dollar amounts in thousands)		2011		2010
Fair value	$	343,588	$	754,117
Aggregate outstanding principal balance		328,641		749,982

		Net gains (losses) from fair value changes
		Year ended December 31,
(dollar amounts in thousands)			2011		2010		2009

Assets
	Mortgage loans held for sale	$	13,842	$	(5,633)	$	(6,312)
	Automobile loans		(6,577)		(2,267)		---
Liabilities
	Securitization trust notes payable		(7,731)		(9,565)		---

		Gains (losses) included in fair value changes
		associated with instrument specific credit risk
		Year ended December 31,
(dollar amounts in thousands)			2011		2010		2009

Assets
	Automobile loans	$	6,610	$	3,370	$	---

Assets measured at fair value on a nonrecurring basis

For the year ended December 31, 2011, assets measured at fair value on a nonrecurring basis were as follows:

				Fair Value Measurements Using
				Quoted Prices		Significant		Significant
				In Active		Other		Other
				Markets for		Observable		Unobservable		Total
		Year Ended		Identical Assets		Inputs		Inputs		Gains/
(dollar amounts in millions)		December 31,		(Level 1)		(Level 2)	(Level 3)			(Losses)
2011
Impaired loans	$	129.0	$	---	$	---	$	129.0	$	(34.1)
Accrued income and other assets		38.4		---		---		38.4	$	(2.2)

Carrying amounts and estimated fair values of financial instruments

The carrying amounts and estimated fair values of Huntington's financial instruments at December 31, 2011 and 2010 are presented in the following table:

			December 31, 2011				December 31, 2010
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value

Financial Assets:
	Cash and short-term assets	$	1,206,911	$	1,206,911	$	982,926	$	982,926
	Trading account securities		45,899		45,899		185,404		185,404
	Loans held for sale		1,618,391		1,638,276		793,285		793,285
	Available-for-sale and other securities		8,078,014		8,078,014		9,895,244		9,895,244
	Held-to-maturity securities		640,551		660,186		---		---
	Net loans and direct financing leases		37,958,955		36,669,829		36,857,499		35,403,910
	Derivatives		403,002		403,002		346,133		346,133

Financial Liabilities:
	Deposits		(43,279,625)		(43,406,125)		(41,853,898)		(41,993,567)
	Short-term borrowings		(1,441,092)		(1,429,717)		(2,040,732)		(1,982,545)
	Federal Home Loan Bank advances		(362,972)		(362,972)		(172,519)		(172,519)
	Other long term debt		(1,231,517)		(1,232,975)		(2,144,092)		(2,157,358)
	Subordinated notes		(1,503,368)		(1,410,392)		(1,497,216)		(1,377,851)
	Derivatives		(265,316)		(265,316)		(239,240)		(239,240)

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References

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