Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUES OF ASSETS AND LIABILITIES (Tables)

v3.3.0.814
FAIR VALUES OF ASSETS AND LIABILITIES (Tables)
9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Assets and liabilities measured at fair value on a recurring basis
Assets and Liabilities measured at fair value on a recurring basis
Assets and liabilities measured at fair value on a recurring basis at September 30, 2015 and December 31, 2014 are summarized below:
 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
September 30, 2015
(dollar amounts in thousands)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Loans held for sale
$

 
$
393,473

 
$

 
$

 
$
393,473

Loans held for investment

 
34,019

 

 

 
34,019

Trading account securities:
 
 
 
 
 
 
 
 
 
Federal agencies: Other agencies

 

 

 

 

Municipal securities

 
5,932

 

 

 
5,932

Other securities
32,500

 
177

 

 

 
32,677

 
32,500

 
6,109

 

 

 
38,609

Available-for-sale and other securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
14,095

 

 

 

 
14,095

Federal agencies: Mortgage-backed

 
6,764,213

 

 

 
6,764,213

Federal agencies: Other agencies

 
376,538

 

 

 
376,538

Municipal securities

 
377,535

 
1,950,556

 

 
2,328,091

Private-label CMO

 

 

 

 

Asset-backed securities

 
712,837

 
101,172

 

 
814,009

Corporate debt

 
449,089

 

 

 
449,089

Other securities
12,501

 
3,914

 

 

 
16,415

 
26,596

 
8,684,126

 
2,051,728

 

 
10,762,450

Automobile loans

 

 
2,563

 

 
2,563

MSRs

 

 
18,065

 

 
18,065

Derivative assets

 
520,802

 
8,339

 
(77,557
)
 
451,584

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
316,452

 
555

 
(27,330
)
 
289,677

Short-term borrowings

 
511

 

 

 
511

 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
December 31, 2014
(dollar amounts in thousands)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Loans held for sale
$

 
$
354,888

 
$

 
$

 
$
354,888

Loans held for investment

 
40,027

 

 

 
40,027

Trading account securities:
 
 
 
 
 
 
 
 
 
Federal agencies: Other agencies

 
2,857

 

 

 
2,857

Municipal securities

 
5,098

 

 

 
5,098

Other securities
33,121

 
1,115

 

 

 
34,236

 
33,121

 
9,070

 

 

 
42,191

Available-for-sale and other securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
5,452

 

 

 

 
5,452

Federal agencies: Mortgage-backed

 
5,322,701

 

 

 
5,322,701

Federal agencies: Other agencies

 
351,543

 

 

 
351,543

Municipal securities

 
450,976

 
1,417,593

 

 
1,868,569

Private-label CMO

 
11,462

 
30,464

 

 
41,926

Asset-backed securities

 
873,260

 
82,738

 

 
955,998

Corporate debt

 
486,176

 

 

 
486,176

Other securities
17,430

 
3,316

 

 

 
20,746

 
22,882

 
7,499,434

 
1,530,795

 

 
9,053,111

Automobile loans

 

 
10,590

 

 
10,590

MSRs

 

 
22,786

 

 
22,786

Derivative assets

 
449,775

 
4,064

 
(101,197
)
 
352,642

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
335,524

 
704

 
(51,973
)
 
284,255

Short-term borrowings

 
2,295

 

 

 
2,295

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Rollforward of financial instruments measured on a recurring basis and classified as Level 3
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2015
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-
backed
securities
 
Automobile
loans
Opening balance
$
20,681

 
$
5,166

 
$
1,716,845

 
$
29,429

 
$
102,071

 
$
3,998

Transfers into Level 3

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
(2,616
)
 
3,023

 

 
20

 
(2,440
)
 
(142
)
Included in OCI

 

 
3,514

 
1,309

 
1,997

 

Purchases/originations

 

 
426,501

 

 

 

Sales

 

 

 
(30,077
)
 

 

Repayments

 

 

 

 

 
(1,293
)
Issues

 

 

 

 

 

Settlements

 
(405
)
 
(196,304
)
 
(681
)
 
(456
)
 

Closing balance
$
18,065

 
$
7,784

 
$
1,950,556

 
$

 
$
101,172

 
$
2,563

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date
$
(2,616
)
 
$
3,023

 
$
3,514

 
$

 
$
1,997

 
$
(142
)
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2014
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-
backed
securities
 
Automobile
loans
Opening balance
$
26,747

 
$
6,196

 
$
1,206,455

 
$
31,633

 
$
106,461

 
$
25,498

Transfers into Level 3

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
(1,309
)
 
(1,847
)
 

 
8

 
171

 
(253
)
Included in OCI

 

 
14,344

 
(137
)
 
5,826

 

Purchases/originations

 

 
224,615

 

 

 

Sales

 

 

 

 
(22,870
)
 

Repayments

 

 

 

 

 
(8,545
)
Issues

 

 

 

 

 

Settlements

 
(813
)
 
(190,619
)
 
(570
)
 
(1,004
)
 

Closing balance
$
25,438

 
$
3,536

 
$
1,254,795

 
$
30,934

 
$
88,584

 
$
16,700

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date
$
(1,309
)
 
$
(1,847
)
 
$
14,344

 
$
(137
)
 
$
5,468

 
$
(253
)
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2015
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-
backed
securities
 
Automobile
loans
Opening balance
$
22,786

 
$
3,360

 
$
1,417,593

 
$
30,464

 
$
82,738

 
$
10,590

Transfers into Level 3

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
(4,721
)
 
6,244

 

 
47

 
(2,435
)
 
(497
)
Included in OCI

 

 
2,199

 
1,832

 
23,860

 

Purchases/originations

 

 
768,529

 

 

 

Sales

 

 

 
(30,077
)
 

 

Repayments

 

 

 

 

 
(7,530
)
Issues

 

 

 

 

 

Settlements

 
(1,820
)
 
(237,765
)
 
(2,266
)
 
(2,991
)
 

Closing balance
$
18,065

 
$
7,784

 
$
1,950,556

 
$

 
$
101,172

 
$
2,563

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date
$
(4,721
)
 
$
6,244

 
$
2,199

 
$

 
$
23,860

 
$
(497
)
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2014
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-
backed
securities
 
Automobile
loans
Opening balance
$
34,236

 
$
2,390

 
$
654,537

 
$
32,140

 
$
107,419

 
$
52,286

Transfers into Level 3

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
(8,798
)
 
2,785

 

 
24

 
38

 
(705
)
Included in OCI

 

 
7,555

 
364

 
20,256

 

Purchases/originations

 

 
805,893

 

 

 

Sales

 

 

 

 
(22,700
)
 

Repayments

 

 

 

 

 
(34,881
)
Issues

 

 

 

 

 

Settlements

 
(1,639
)
 
(213,190
)
 
(1,594
)
 
(16,429
)
 

Closing balance
$
25,438

 
$
3,536

 
$
1,254,795

 
$
30,934

 
$
88,584

 
$
16,700

Change in unrealized gains or losses for the period included in earnings (or changes in net assets) for assets held at end of the reporting date
$
(8,798
)
 
$
2,785

 
$
7,555

 
$
364

 
$
19,554

 
$
(705
)
Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities
The table below summarizes the classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities for the three-month and nine-month periods ended September 30, 2015 and 2014:
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2015
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label CMO
 
Asset-
backed
securities
 
Automobile
loans
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(2,616
)
 
$
3,023

 
$

 
$

 
$

 
$

Securities gains (losses)

 

 

 

 
(2,440
)
 

Interest and fee income

 

 

 
20

 

 
(142
)
Noninterest income

 

 

 

 

 

Total
$
(2,616
)
 
$
3,023

 
$

 
$
20

 
$
(2,440
)
 
$
(142
)
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2014
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label CMO
 
Asset-
backed
securities
 
Automobile
loans
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(1,309
)
 
$
(1,847
)
 
$

 
$

 
$

 
$

Securities gains (losses)

 

 

 

 
170

 

Interest and fee income

 

 

 
8

 
1

 
(243
)
Noninterest income

 

 

 

 

 
(10
)
Total
$
(1,309
)
 
$
(1,847
)
 
$

 
$
8

 
$
171

 
$
(253
)
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2015
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label CMO
 
Asset-
backed
securities
 
Automobile
loans
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(4,721
)
 
$
6,244

 
$

 
$

 
$

 
$

Securities gains (losses)

 

 

 

 
(2,440
)
 

Interest and fee income

 

 

 
47

 
5

 
(497
)
Noninterest income

 

 

 

 

 

Total
$
(4,721
)
 
$
6,244

 
$

 
$
47

 
$
(2,435
)
 
$
(497
)
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2014
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in thousands)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label CMO
 
Asset-
backed
securities
 
Automobile
loans
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(8,798
)
 
$
2,785

 
$

 
$

 
$

 
$

Securities gains (losses)

 

 

 

 
170

 

Interest and fee income

 

 

 
24

 
38

 
(819
)
Noninterest income

 

 

 

 

 
114

Total
$
(8,798
)
 
$
2,785

 
$

 
$
24

 
$
208

 
$
(705
)
Assets and liabilities under the fair value option
The following table presents the fair value and aggregate principal balance of certain assets and liabilities under the fair value option:
 
September 30, 2015
 
December 31, 2014
(dollar amounts in thousands)
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
 
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
Assets
 
 
 
 
 
 
 
 
 
 
 
Loans held for sale
$
393,473

 
$
377,707

 
$
15,766

 
$
354,888

 
$
340,070

 
$
14,818

Loans held for investment
34,019

 
34,774

 
(755
)
 
40,027

 
40,938

 
(911
)
Automobile loans
2,563

 
2,563

 

 
10,590

 
10,022

 
568

The following tables present the net gains (losses) from fair value changes, including net gains (losses) associated with instrument specific credit risk for the three-month and nine-month periods ended September 30, 2015 and 2014:
 
Net gains (losses) from
fair value changes
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
(dollar amounts in thousands)
2015
 
2014
 
2015
 
2014
Assets
 
 
 
 
 
 
 
Loans held for sale
$
6,801

 
$
4,562

 
$
1,244

 
$
3,700

Automobile loans
(142
)
 
(253
)
 
(568
)
 
(706
)
 
Gains (losses) included
in fair value changes associated
with instrument specific credit risk
 
Three Months Ended
September 30,
 
Nine Months Ended
September 30,
(dollar amounts in thousands)
2015
 
2014
 
2015
 
2014
Assets
 
 
 
 
 
 
 
Automobile loans
$
37

 
$
323

 
$
108

 
$
861

Assets measured at fair value on a nonrecurring basis
Assets measured at fair value on a nonrecurring basis were as follows:
 
 
 
Fair Value Measurements Using
 
 
 
 
(dollar amounts in thousands)
Fair Value
 
Quoted Prices
In Active
Markets for
Identical Assets
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Other
Unobservable
Inputs
(Level 3)
 
Total
Gains/(Losses)
Three Months Ended
September 30, 2015
 
Total
Gains/(Losses)
Nine Months Ended
September 30, 2015
MSRs
$
133,812

 
$

 
$

 
$
133,812

 
$
(12,472
)
 
$
(7,492
)
Impaired loans
52,837

 

 

 
52,837

 
(2,614
)
 
(6,964
)
Other real estate owned
24,910

 

 

 
24,910

 
356

 
3,619

Quantitative information about significant unobservable level 3 fair value measurement inputs
 
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2015
(dollar amounts in thousands)
Fair Value at
 
Valuation Technique
 
Significant Unobservable Input
 
Range (Weighted Average)
MSRs
$
18,065

 
Discounted cash flow
 
Constant prepayment rate
 
6.0% - 24.0% (14.3%)

 
 
 
 
 
Spread over forward interest rate
swap rates
 
325 - 1,166 (599)

Derivative assets
8,339

 
Consensus Pricing
 
Net market price
 
-3.6% - 19.4% (2.1%)

Derivative liabilities
555

 
 
 
Estimated Pull through %
 
50.0% - 90.0% (76.0%)

Municipal securities
1,950,556

 
Discounted cash flow
 
Discount rate
 
0.3% - 4.7% (2.6%)

Asset-backed securities
101,172

 
Discounted cash flow
 
Discount rate
 
4.3% - 11.3% (5.8%)

 
 
 
 
 
Cumulative prepayment rate
 
0.0% - 100.0% (8.3%)

 
 
 
 
 
Cumulative default
 
1.7% - 100.0% (11.5%)

 
 
 
 
 
Loss given default
 
85% - 100% (96.4%)

 
 
 
 
 
Cure given deferral
 
0.0% - 75.0% (36.6%)

Automobile loans
2,563

 
Discounted cash flow
 
Constant prepayment rate
 
154.2
%
 
 
 
 
 
Discount rate
 
0.2% - 5.0% (2.3%)

 
 
 
 
 
Life of pool cumulative losses
 
2.1
%
Impaired loans
52,837

 
Appraisal value
 
NA
 
NA

Other real estate owned
24,910

 
Appraisal value
 
NA
 
NA

 
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014
(dollar amounts in thousands)
Fair Value
 
Valuation Technique
 
Significant Unobservable Input
 
Range (Weighted Average)
MSRs
$
22,786

 
Discounted cash flow
 
Constant prepayment rate
 
7% - 26% (16%)

 
 
 
 
 
Spread over forward interest rate
swap rates
 
228 - 900 (546)

Derivative assets
4,064

 
Consensus Pricing
 
Net market price
 
-5.09% - 17.46% (1.7%)

Derivative liabilities
704

 
 
 
Estimated Pull through %
 
38% - 91% (75%)

Municipal securities
1,417,593

 
Discounted cash flow
 
Discount rate
 
0.5% - 4.9% (2.5%)

Private-label CMO
30,464

 
Discounted cash flow
 
Discount rate
 
2.7% - 7.2% (6.0%)

 
 
 
 
 
Constant prepayment rate
 
13.6% - 32.6% (20.7%)

 
 
 
 
 
Probability of default
 
0.1% - 4.0% (0.7%)

 
 
 
 
 
Loss severity
 
0.0% - 64.0% (33.9%)

Asset-backed securities
82,738

 
Discounted cash flow
 
Discount rate
 
4.3% - 13.3% (7.3%)

 
 
 
 
 
Cumulative prepayment rate
 
0.0% - 100% (10.1%)

 
 
 
 
 
Cumulative default
 
1.9% - 100% (15.9%)

 
 
 
 
 
Loss given default
 
20% - 100% (94.4%)

 
 
 
 
 
Cure given deferral
 
0.0% - 75% (32.6%)

Automobile loans
10,590

 
Discounted cash flow
 
Constant prepayment rate
 
154.2
%
 
 
 
 
 
Discount rate
 
0.2% - 5.0% (2.3%)

 
 
 
 
 
Life of pool cumulative losses
 
2.1
%
Impaired loans
52,911

 
Appraisal value
 
NA
 
NA

Other real estate owned
35,039

 
Appraisal value
 
NA
 
NA

Carrying amounts and estimated fair values of financial instruments
The following table provides the carrying amounts and estimated fair values of Huntington’s financial instruments that are carried either at fair value or cost at September 30, 2015 and December 31, 2014:
 
September 30, 2015
 
December 31, 2014
(dollar amounts in thousands)
Carrying
Amount
 
Fair Value
 
Carrying
Amount
 
Fair Value
Financial Assets
 
 
 
 
 
 
 
Cash and short-term assets
$
1,090,163

 
$
1,090,163

 
$
1,285,124

 
$
1,285,124

Trading account securities
38,609

 
38,609

 
42,191

 
42,191

Loans held for sale
675,636

 
675,636

 
416,327

 
416,327

Available-for-sale and other securities
11,094,868

 
11,094,868

 
9,384,670

 
9,384,670

Held-to-maturity securities
3,157,688

 
3,191,907

 
3,379,905

 
3,382,715

Net loans and leases
49,063,971

 
47,374,526

 
47,050,530

 
45,110,406

Derivatives
451,584

 
451,584

 
352,642

 
352,642

Financial Liabilities
 
 
 
 
 
 
 
Deposits
54,244,711

 
54,831,170

 
51,732,151

 
52,454,804

Short-term borrowings
1,453,812

 
1,453,812

 
2,397,101

 
2,397,101

Long-term debt
6,359,445

 
6,265,129

 
4,335,962

 
4,286,304

Derivatives
289,677

 
289,677

 
284,255

 
284,255

The following table presents the level in the fair value hierarchy for the estimated fair values of only Huntington’s financial instruments that are not already on the Unaudited Condensed Consolidated Balance Sheets at fair value at September 30, 2015 and December 31, 2014:
 
Estimated Fair Value Measurements at Reporting Date Using
 
September 30, 2015
(dollar amounts in thousands)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
Held-to-maturity securities
$

 
$
3,191,907

 
$

 
$
3,191,907

Net loans and leases

 

 
47,374,526

 
47,374,526

Financial Liabilities
 
 
 
 
 
 
 
Deposits

 
51,244,015

 
3,587,155

 
54,831,170

Short-term borrowings

 

 
1,453,812

 
1,453,812

Other long-term debt

 

 
6,265,129

 
6,265,129

 
Estimated Fair Value Measurements at Reporting Date Using
 
December 31, 2014
(dollar amounts in thousands)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
Held-to-maturity securities
$

 
$
3,382,715

 
$

 
$
3,382,715

Net loans and leases

 

 
45,110,406

 
45,110,406

Financial Liabilities
 
 
 
 
 
 
 
Deposits

 
48,183,798

 
4,271,006

 
52,454,804

Short-term borrowings

 

 
2,397,101

 
2,397,101

Other long-term debt

 

 
4,286,304

 
4,286,304