Huntington Bancshares Incorporated Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Values of Assets and Liabilities (Tables)

Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Sep. 30, 2012

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

Assets and liabilities measured at fair value on a recurring basis at September 30, 2012 and December 31, 2011 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)			September 30, 2012
Assets
Loans held for sale		$	---	$	518,659	$	---	$	---	$	518,659

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		3,312		---		---		3,312
	Federal agencies: Other agencies		---		25		---		---		25
	Municipal securities		---		11,529		---		---		11,529
	Other securities		77,029		75		---		---		77,104
			77,029		14,941		---		---		91,970

Available-for-sale and other securities:
	U.S. Treasury securities		52,571		---		---		---		52,571
	Federal agencies: Mortgage-backed		---		4,568,602		---		---		4,568,602
	Federal agencies: Other agencies		---		364,147		---		---		364,147
	Municipal securities		---		409,289		66,336		---		475,625
	Private-label CMO		---		24,092		51,690		---		75,782
	Asset-backed securities		---		867,342		106,277		---		973,619
	Covered bonds		---		291,965		---		---		291,965
	Corporate debt		---		653,289		---		---		653,289
	Other securities		17,608		3,896		---		---		21,504
			70,179		7,182,622		224,303		---		7,477,104

Automobile loans			---		---		173,639		---		173,639

MSRs			---		---		36,621		---		36,621

Derivative assets			6,515		525,888		18,418		(108,411)		442,410

Liabilities
Securitization trust notes payable			---		---		---		---		---

Derivative liabilities			20,360		255,861		450		(95,616)		181,055

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

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		---		4,464,892		---		---		4,464,892
	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

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

			Level 3 Fair Value Measurements
			Three Months Ended September 30, 2012
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	45,061	$	12,391	$	78,151	$	67,145	$	119,674	$	210,031
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(8,440)		7,481		---		93		39		(546)
	Included in OCI		---		---		---		2,632		10,484		---
Purchases			---		---		---		---		---		---
Sales			---		---		---		(15,183)		(20,852)		---
Repayments			---		---		---		---		---		(35,846)
Issues			---		---		---		---		---		---
Settlements			---		(1,904)		(11,815)		(2,997)		(3,068)		---
Closing balance		$	36,621	$	17,968	$	66,336	$	51,690	$	106,277	$	173,639

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	$	(8,440)	$	5,577	$	---	$	2,632	$	10,484	$	(546)


			Level 3 Fair Value Measurements
			Three Months Ended September 30, 2011
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	104,997	$	418	$	123,800	$	88,770	$	165,742	$	400,935
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(31,173)		7,557		---		(872)		(354)		(3,695)
	Included in OCI		---		---		---		(2,543)		(9,874)		---
Purchases			---		---		---		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(52,711)
Issues			---		---		---		---		---		---
Settlements			---		(41)		(22,373)		(6,455)		(2,495)		---
Closing balance		$	73,824	$	7,934	$	101,427	$	78,900	$	153,019	$	344,529

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	$	(31,173)	$	7,516	$	---	$	(2,543)	$	(9,874)	$	(3,695)

			Level 3 Fair Value Measurements
			Nine Months Ended September 30, 2012
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	65,001	$	(169)	$	95,092	$	72,364	$	121,698	$	296,250
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(28,380)		13,702		---		(912)		(97)		(1,196)
	Included in OCI		---		---		---		7,511		15,663		---
Purchases			---		---		---		---		---		---
Sales			---		---		---		(15,183)		(20,852)		---
Repayments			---		---		---		---		---		(121,415)
Issues			---		---		---		---		---		---
Settlements			---		4,435		(28,756)		(12,090)		(10,135)		---
Closing balance		$	36,621	$	17,968	$	66,336	$	51,690	$	106,277	$	173,639

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	$	(28,380)	$	11,084	$	---	$	7,511	$	15,663	$	(1,196)


			Level 3 Fair Value Measurements
			Nine Months Ended September 30, 2011
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	125,679	$	966	$	149,806	$	121,925	$	162,684	$	522,717
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(51,855)		7,264		---		(1,255)		(3,615)		(5,079)
	Included in OCI		---		---		---		1,074		3,716		---
Purchases			---		---		1,760		---		---		---
Sales			---		---		---		(20,958)		---		---
Repayments			---		---		---		---		---		(173,109)
Issues			---		---		---		---		---		---
Settlements			---		(296)		(50,139)		(21,886)		(9,766)		---
Closing balance		$	73,824	$	7,934	$	101,427	$	78,900	$	153,019	$	344,529

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	$	(51,855)	$	6,968	$	---	$	769	$	3,716	$	(5,079)

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, 2012 and 2011:

		Level 3 Fair Value Measurements
		Three Months Ended September 30, 2012
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(8,440)	$	7,481	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(116)		---		---
Interest and fee income		---		---		---		209		39		(1,451)
Noninterest income		---		---		---		---		---		905
Total	$	(8,440)	$	7,481	$	---	$	93	$	39	$	(546)

		Level 3 Fair Value Measurements
		Three Months Ended September 30, 2011
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(31,173)	$	7,101	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(1,029)		(335)		---
Interest and fee income		---		---		---		157		(19)		(3,627)
Noninterest income		---		456		---		---		---		(68)
Total	$	(31,173)	$	7,557	$	---	$	(872)	$	(354)	$	(3,695)

		Level 3 Fair Value Measurements
		Nine Months Ended September 30, 2012
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(28,380)	$	13,702	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(1,601)		---		---
Interest and fee income		---		---		---		689		(97)		(5,740)
Noninterest income		---		---		---		---		---		4,544
Total	$	(28,380)	$	13,702	$	---	$	(912)	$	(97)	$	(1,196)

		Level 3 Fair Value Measurements
		Nine Months Ended September 30, 2011
						Available-for-sale securities
										Asset-
				Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)		MSRs		instruments		securities		label CMO		securities		loans
Classification of gains and losses in earnings:

Mortgage banking income (loss)	$	(51,855)	$	7,763	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(1,941)		(3,771)		---
Interest and fee income		---		---		---		686		156		(8,852)
Noninterest income		---		(499)		---		---		---		3,773
Total	$	(51,855)	$	7,264	$	---	$	(1,255)	$	(3,615)	$	(5,079)

Assets and liabilities under the fair value option

Huntington has elected the fair value option for certain loans in the held for sale portfolio. The following table presents the fair value and aggregate principal balance of loans held for sale under the fair value option.

		September 30, 2012			December 31, 2011
		Fair value	Aggregate		Fair value	Aggregate
		carrying	unpaid		carrying	unpaid
		amount	principal	Difference	amount	principal	Difference
Assets
	Mortgage loans held for sale	518,659	487,042	31,617	343,588	328,641	14,947
	Automobile loans	173,639	171,760	1,879	296,250	293,174	3,076
Liabilities
	Securitization trust notes payable	---	---	---	123,039	121,016	2,023

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, 2012 and 2011.

		Net gains (losses) from fair value changes
			Three Months Ended				Nine Months Ended
			September 30,				September 30,
(dollar amounts in thousands)			2012		2011		2012		2011

Assets
	Mortgage loans held for sale	$	9,224	$	5,823	$	12,913	$	13,725
	Automobile loans		(546)		(3,695)		(1,197)		(5,079)
Liabilities
	Securitization trust notes payable		(101)		(2,485)		(2,023)		(6,102)

		Gains (losses) included
		in fair value changes associated
		with instrument specific credit risk
			Three Months Ended				Nine Months Ended
			September 30,				September 30,
(dollar amounts in thousands)			2012		2011		2012		2011
Assets
	Automobile loans	$	1,137	$	2,498	$	3,715	$	4,780

Assets measured at fair value on a nonrecurring basis

At September 30, 2012, assets measured at fair value on a nonrecurring basis were as follows:

Fair Value Measurements Using

Quoted Prices

Significant

Total

In Active

Other

Gains/(Losses)

Markets for

Observable

Unobservable

For the Nine

Fair Value at

Identical Assets

Inputs

Months Ended

(dollar amounts in thousands)

September 30, 2012

(Level 1)

(Level 2)

(Level 3)

September 30, 2012

Impaired loans

129,312

---

129,312

(41,322)

Accrued income and other assets

54,206

---

54,206

(2,113)

Quantitative information about significant unobservable level 3 fair value measurement inputs

Significant unobservable inputs for assets and liabilities measured at fair value on a recurring and nonrecurring basis

The table below presents quantitative information about the significant unobservable inputs for assets and liabilities measured at fair value on a recurring and nonrecurring basis at September 30, 2012.

Quantitative Information about Level 3 Fair Value Measurements
				Significant
(dollar amounts in thousands,		Fair Value at	Valuation	Unobservable	Range
except net costs to service)		September 30, 2012	Technique	Input	(Weighted Average)
MSRs	$	36,621	Discounted cash flow	Constant prepayment rate (CPR)	10.0% - 34.0% (22.0%)
				Spread over forward interest rate swap rates	-603 - 4,552 (1,291)

Derivative assets		18,418	Consensus Pricing	Net market price	-1.0% - 11.7% (4.1%)
Derivative liabilities		450		Estimated Pull thru %	50.0% - 88.0% (69.0%)

Municipal securities		66,336	Discounted cash flow	Discount rate	0.6% - 7.0% (2.5%)

Private-label CMO		51,690	Discounted cash flow	Discount rate	3.1% - 8.8% (6.4%)
				Constant prepayment rate (CPR)	5.1% - 26.7% (14.9%)
				Probability of default	0.1% - 4.0% (1.3%)
				Loss Severity	0.0% - 64.0% (28.5%)

Asset-backed securities		106,277	Discounted cash flow	Discount rate	5.3% - 16.6% (9.4%)
				Constant prepayment rate (CPR)	5.1% - 9.8% (4.1%)
				Cumulative prepayment rate	0.0% - 100.0% (6.9%)
				Constant default	0.3% - 4.0% (2.3%)
				Cumulative default	0.8% - 100.0% (20.4%)
				Loss given default	85.0% - 100.0% (93.3%)
				Cure given deferral	0.0% - 100.0% (37.0%)
				Loss severity	20.0% - 72.0% (50.1%)

Automobile loans		173,639	Discounted cash flow	Absolute prepayment speed (ABS)	1.3%
				Discount rate	0.6% - 9.0% (4.1%)

Impaired loans		129,312	Appraisal value	NA	NA

Other real estate owned		54,206	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, 2012 and December 31, 2011:

			September 30, 2012				December 31, 2011
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value
Financial Assets:
	Cash and short-term assets	$	863,236	$	863,236	$	1,206,911	$	1,206,911
	Trading account securities		91,970		91,970		45,899		45,899
	Loans held for sale		1,852,919		1,890,882		1,618,391		1,638,276
	Available-for-sale and other securities		7,778,568		7,778,568		8,078,014		8,078,014
	Held-to-maturity securities		1,582,150		1,624,970		640,551		660,186
	Net loans and direct financing leases		39,471,275		37,944,350		37,958,955		36,669,829
	Derivatives		442,410		442,410		403,002		403,002

Financial Liabilities:
	Deposits		46,741,286		46,833,300		43,279,625		43,406,125
	Short-term borrowings		1,259,771		1,252,276		1,441,092		1,429,717
	Federal Home Loan Bank advances		9,406		9,406		362,972		362,972
	Other long-term debt		185,613		182,703		1,231,517		1,232,975
	Subordinated notes		1,306,273		1,285,493		1,503,368		1,410,392
	Derivatives		181,055		181,055		265,316		265,316

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		September 30, 2012

Financial Assets
	Loans held for sale	$	---	$	---	$	1,369,610	$	1,369,610
	Held-to-maturity securities		---		1,624,970		---		1,624,970
	Net loans and direct financing leases		---		---		37,770,711		37,770,711
Financial liabilities
	Deposits		---		39,291,228		7,542,072		46,833,300
	Short-term borrowings		---		---		1,252,276		1,252,276
	Other long-term debt		---		29,038		153,665		182,703
	Subordinated notes		---		---		1,285,493		1,285,493

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		December 31, 2011

Financial Assets
	Loans held for sale	$	---	$	---	$	1,291,755	$	1,291,755
	Held-to-maturity securities		---		660,186		---		660,186
	Net loans and direct financing leases		---		---		36,373,579		36,373,579
Financial liabilities
	Deposits		---		35,049,194		8,356,931		43,406,125
	Short-term borrowings		---		---		1,429,717		1,429,717
	Other long-term debt		---		937,959		171,977		1,109,936
	Subordinated notes		---		---		1,410,392		1,410,392

- 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.

+ References + Details

- 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.

+ References + Details

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 10

-Subparagraph (a)

-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13433-108611

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 2

-Subparagraph (a)

-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19207-110258

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 14

-Subparagraph a

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

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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.

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