Quarterly report pursuant to Section 13 or 15(d)

Fair Values of Assets and Liabilities (Tables)

v2.4.0.8
Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Jun. 30, 2013
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 June 30, 2013 and December 31, 2012 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)   June 30, 2013
Assets                            
Loans held for sale $ ---   $ 418,386   $ ---   $ ---   $ 418,386
                               
Trading account securities:                            
  U.S. Treasury securities   ---     ---     ---     ---     ---
  Federal agencies: Mortgage-backed   ---     ---     ---     ---     ---
  Federal agencies: Other agencies   ---     ---     ---     ---     ---
  Municipal securities   ---     5,668     ---     ---     5,668
  Other securities   75,145     114     ---     ---     75,259
      75,145     5,782     ---     ---     80,927
                               
Available-for-sale and other securities:                            
  U.S. Treasury securities   51,778     ---     ---     ---     51,778
  Federal agencies: Mortgage-backed   ---     3,502,077     ---     ---     3,502,077
  Federal agencies: Other agencies   ---     345,114     ---     ---     345,114
  Municipal securities   ---     513,563     58,100     ---     571,663
  Private-label CMO   ---     19,908     32,926     ---     52,834
  Asset-backed securities   ---     1,061,069     119,861     ---     1,180,930
  Covered bonds   ---     286,911           ---     286,911
  Corporate debt   ---     485,563     ---     ---     485,563
  Other securities   18,846     3,770     ---     ---     22,616
      70,624     6,217,975     210,887     ---     6,499,486
                               
Automobile loans   ---     ---     91,140     ---     91,140
                               
MSRs   ---     ---     37,544     ---     37,544
                               
Derivative assets   47,821     259,971     1,581     (60,591)     248,782
                               
Liabilities                            
Derivative liabilities   18,083     162,163     5,807     (46,556)     139,497
                               
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, 2012
Assets                            
Mortgage loans held for sale $ ---   $ 452,949   $ ---   $ ---   $ 452,949
                               
Trading account securities:                            
  U.S. Treasury securities   ---     ---     ---     ---     ---
  Federal agencies: Mortgage-backed   ---     ---     ---     ---     ---
  Federal agencies: Other agencies   ---     ---     ---     ---     ---
  Municipal securities   ---     15,218     ---     ---     15,218
  Other securities   75,729     258     ---     ---     75,987
      75,729     15,476     ---     ---     91,205
                               
Available-for-sale and other securities:                            
  U.S. Treasury securities   52,311     ---     ---     ---     52,311
  Federal agencies: Mortgage-backed   ---     4,264,670     ---     ---     4,264,670
  Federal agencies: Other agencies   ---     359,626     ---     ---     359,626
  Municipal securities   ---     439,772     61,228     ---     501,000
  Private-label CMO   ---     22,793     48,775     ---     71,568
  Asset-backed securities   ---     919,046     110,037     ---     1,029,083
  Covered bonds   ---     290,625     ---     ---     290,625
  Corporate debt   ---     668,142     ---     ---     668,142
  Other securities   17,177     3,898     ---     ---     21,075
      69,488     6,968,572     220,040     ---     7,258,100
                               
Automobile loans   ---     ---     142,762     ---     142,762
                               
MSRs   ---     ---     35,202     ---     35,202
                               
Derivative assets   6,368     465,517     13,180     (99,368)     385,697
                               
Liabilities                            
Derivative liabilities   6,813     228,312     478     (83,415)     152,188
                               
Other liabilities   ---     ---     ---     ---     ---
                               
Rollforward of financial instruments measured on a recurring basis and classified as Level 3
        Level 3 Fair Value Measurements
        Three Months Ended June 30, 2013
                Available-for-sale securities    
                        Asset-    
            Derivative   Municipal   Private-   backed   Automobile
(dollar amounts in thousands)     MSRs   instruments   securities   label CMO   securities   loans
Opening balance   $ 35,582 $ 9,006 $ 59,098 $ 45,546 $ 115,455 $ 116,039
Transfers into Level 3     ---   ---   ---   ---   ---   ---
Transfers out of Level 3     ---   ---   ---   ---   ---   ---
Total gains/losses for the period:                          
  Included in earnings     1,962   (11,676)   ---   29   (1,557)   (504)
  Included in OCI     ---   ---   537   (814)   7,897   ---
Purchases     ---   ---   ---   ---   ---   ---
Sales     ---   ---   ---   (10,254)   ---   ---
Repayments     ---   ---   ---   ---   ---   (24,395)
Issues     ---   ---   ---   ---   ---   ---
Settlements     ---   (1,556)   (1,535)   (1,581)   (1,934)   ---
Closing balance   $ 37,544 $ (4,226) $ 58,100 $ 32,926 $ 119,861 $ 91,140
                             
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 $ 1,962 $ (13,232) $ 537 $ (814) $ 7,897 $ (504)
                             
                             
        Level 3 Fair Value Measurements
        Three Months Ended June 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   $ 62,454 $ 7,443 $ 85,447 $ 70,231 $ 125,696 $ 250,774
Transfers into Level 3     ---   ---   ---   ---   ---   ---
Transfers out of Level 3     ---   ---   ---   ---   ---   ---
Total gains/losses for the period:                          
  Included in earnings     (17,393)   5,496   ---   (16)   40   (558)
  Included in OCI     ---   ---   ---   706   (2,615)   ---
Purchases     ---   ---   ---   ---   ---   ---
Sales     ---   ---   (7,000)   ---   ---   ---
Repayments     ---   ---   ---   ---   ---   (40,185)
Issues     ---   ---   ---   ---   ---   ---
Settlements     ---   (548)   (296)   (3,776)   (3,447)   ---
Closing balance   $ 45,061 $ 12,391 $ 78,151 $ 67,145 $ 119,674 $ 210,031
                             
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 $ (17,393) $ 4,949 $ --- $ 706 $ (2,615) $ (558)
                             

        Level 3 Fair Value Measurements
        Six Months Ended June 30, 2013
                Available-for-sale securities    
                        Asset-    
            Derivative   Municipal   Private-   backed   Automobile
(dollar amounts in thousands)     MSRs   instruments   securities   label CMO   securities   loans
Opening balance   $ 35,202 $ 12,702 $ 61,228 $ 48,775 $ 110,037 $ 142,762
Transfers into Level 3     ---   ---   ---   ---   ---   ---
Transfers out of Level 3     ---   ---   ---   ---   ---   ---
Total gains/losses for the period:                          
  Included in earnings     2,342   (13,158)   ---   (240)   (2,296)   633
  Included in OCI     ---   ---   692   77   20,686   ---
Purchases     ---   ---   ---   ---   ---   ---
Sales     ---   ---   ---   (10,254)   ---   ---
Repayments     ---   ---   ---   ---   ---   (52,255)
Issues     ---   ---   ---   ---   ---   ---
Settlements     ---   (3,770)   (3,820)   (5,432)   (8,566)   ---
Closing balance   $ 37,544 $ (4,226) $ 58,100 $ 32,926 $ 119,861 $ 91,140
                             
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 $ 2,342 $ (16,928) $ 692 $ 77 $ 20,686 $ 633
                             
                             
        Level 3 Fair Value Measurements
        Six Months Ended June 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     (19,940)   6,221   ---   (1,006)   (136)   (650)
  Included in OCI     ---   ---   ---   4,879   5,178   ---
Purchases     ---   ---   ---   ---   ---   ---
Sales     ---   ---   (7,000)   ---   ---   ---
Repayments     ---   ---   ---   ---   ---   (85,569)
Issues     ---   ---   ---   ---   ---   ---
Settlements     ---   6,339   (9,941)   (9,092)   (7,066)   ---
Closing balance   $ 45,061 $ 12,391 $ 78,151 $ 67,145 $ 119,674 $ 210,031
                             
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 $ (19,940) $ 5,508 $ --- $ 4,879 $ 5,178 $ (650)
                             
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 six-month periods ended June 30, 2013 and 2012:

        Level 3 Fair Value Measurements
        Three Months Ended June 30, 2013
                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)   $ 1,962 $ (11,676) $ --- $ --- $ --- $ ---
Securities gains (losses)     ---   ---   ---   ---   (1,020)   ---
Interest and fee income     ---   ---   ---   29   (537)   (1,165)
Noninterest income     ---   ---   ---   ---   ---   661
Total   $ 1,962 $ (11,676) $ --- $ 29 $ (1,557) $ (504)
                             
        Level 3 Fair Value Measurements
        Three Months Ended June 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)   $ (17,393) $ 5,496 $ --- $ --- $ --- $ ---
Securities gains (losses)     ---   ---   ---   (249)   ---   ---
Interest and fee income     ---   ---   ---   233   40   (2,265)
Noninterest income     ---   ---   ---   ---   ---   1,707
Total   $ (17,393) $ 5,496 $ --- $ (16) $ 40 $ (558)
                             

        Level 3 Fair Value Measurements
        Six Months Ended June 30, 2013
                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)   $ 2,342 $ (13,158) $ --- $ --- $ --- $ ---
Securities gains (losses)     ---   ---   ---   (336)   (1,379)   ---
Interest and fee income     ---   ---   ---   96   (917)   (2,024)
Noninterest income     ---   ---   ---   ---   ---   2,657
Total   $ 2,342 $ (13,158) $ --- $ (240) $ (2,296) $ 633
                             
        Level 3 Fair Value Measurements
        Six Months Ended June 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)   $ (19,940) $ 6,889   --- $ --- $ --- $ ---
Securities gains (losses)     ---   ---   ---   (1,485)   ---   ---
Interest and fee income     ---   ---   ---   479   (136)   (4,289)
Noninterest income     ---   (668)   ---   ---   ---   3,639
Total   $ (19,940) $ 6,221 $ --- $ (1,006) $ (136) $ (650)
                             
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:

 

      June 30, 2013     December 31, 2012
      Fair value     Aggregate           Fair value     Aggregate      
      carrying     unpaid           carrying     unpaid      
(dollar amounts in thousands)   amount     principal     Difference     amount     principal     Difference
Assets                                  
  Mortgage loans held for sale $ 418,386   $ 429,036   $ (10,650)   $ 452,949   $ 438,254   $ 14,695
  Automobile loans   91,140     88,662     2,478     142,762     140,916     1,846
Liabilities                                  

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 six-month periods ended June 30, 2013 and 2012:

    Net gains (losses) from fair value changes  
      Three Months Ended       Six Months Ended  
    June 30,       June 30,  
(dollar amounts in thousands)   2013       2012       2013       2012  
                                 
Assets                              
  Mortgage loans held for sale $ (20,681)     $ 8,585     $ (25,344)     $ 3,690  
  Automobile loans   (504)       (558)       632       (651)  
Liabilities                              
  Securitization trust notes payable   ---       (579)       ---       (1,922)  

    Gains (losses) included  
    in fair value changes associated  
    with instrument specific credit risk  
      Three Months Ended       Six Months Ended  
      June 30,       June 30,  
(dollar amounts in thousands)   2013       2012       2013       2012  
Assets                              
  Automobile loans $ 826     $ 2,012     $ 1,153     $ 2,578  
Assets measured at fair value on a nonrecurring basis

At June 30, 2013, assets measured at fair value on a nonrecurring basis were as follows:

          Fair Value Measurements Using        
          Quoted Prices     Significant     Significant     Total  
          In Active     Other     Other     Gains/(Losses)  
          Markets for     Observable     Unobservable     For the Six  
    Fair Value at     Identical Assets     Inputs     Inputs     Months Ended  
(dollar amounts in thousands) June 30, 2013   (Level 1)     (Level 2)   (Level 3) June 30, 2013
Impaired loans $ 18,721   $ ---   $ ---   $ 18,721   $ (5,458)  
Accrued income and other assets   21,066     ---     ---     21,066     (1,165)  
Quantitative information about significant unobservable level 3 fair value measurement inputs
Quantitative Information about Level 3 Fair Value Measurements
            Significant    
  Fair Value at   Valuation   Unobservable   Range
(dollar amounts in thousands) June 30, 2013   Technique   Input   (Weighted Average)
MSRs $ 37,544   Discounted cash flow   Constant prepayment rate (CPR)   7.0% - 42.0% (12.0%)
            Spread over forward interest rate swap rates   -437 - 4,569 (1,233)
                 
Derivative assets   1,581   Consensus Pricing   Net market price   -8.3% - 11.5% (-1.0%)
Derivative liabilities   5,807       Estimated Pull thru %   50.0% - 90.0% (76.0%)
                 
Municipal securities   58,100   Discounted cash flow   Discount rate   1.7% - 12.0% (3.2%)
                 
Private-label CMO   32,926   Discounted cash flow   Discount rate   4.4% - 8.7% (7.0%)
            Constant prepayment rate (CPR)   9.2% - 26.7% (16.1%)
            Probability of default   0.1% - 4.0% (0.7%)
            Loss Severity   4.0% - 64.0% (32.1%)
                 
Asset-backed securities   119,861   Discounted cash flow   Discount rate   4.0% - 15.8% (8.6%)
            Constant prepayment rate (CPR)   5.1% - 5.1% (5.1%)
            Cumulative prepayment rate   0.0% - 100.0% (17.1%)
            Constant default   1.4% - 4.0% (2.8%)
            Cumulative default   0.8% - 100.0% (18.0%)
            Loss given default   85.0% - 100.0% (94.6%)
            Cure given deferral   0.0% - 90.0% (36.6%)
            Loss severity   48.0% - 68.0% (62.6%)
                 
Automobile loans   91,140   Discounted cash flow   Constant prepayment rate (CPR)   15.6%
            Discount rate   0.3% - 5.0% (1.4%)
                 
Impaired loans   18,721   Appraisal value   NA   NA
                 
Other real estate owned   21,066   Appraisal value   NA   NA
                 

Quantitative Information about Level 3 Fair Value Measurements
  Fair Value at   Valuation   Significant   Range
(dollar amounts in thousands) December 31, 2012   Technique   Unobservable Input   (Weighted Average)
MSRs $ 35,202   Discounted cash flow   Constant prepayment rate (CPR)   10.0% - 31.0% (20.0%)
            Spread over forward interest rate swap rates   -568 - 4,552 (1,288)
                 
Derivative assets   13,180   Consensus Pricing   Net market price   -2.3% - 10.8% (3.0%)
Derivative liabilities   478       Estimated Pull thru %   38.0% - 89.0% (75.0%)
                 
Municipal securities   61,228   Discounted cash flow   Discount rate   1.7% - 12.0% (3.1%)
                 
Private-label CMO   48,775   Discounted cash flow   Discount rate   3.0% - 8.5% (6.2%)
            Constant prepayment rate (CPR)   5.1% - 26.7% (14.8%)
            Probability of default   0.1% - 4.0% (1.0%)
            Loss Severity   0.0% - 64.0% (27.8%)
                 
Asset-backed securities   110,037   Discounted cash flow   Discount rate   4.5% - 16.6% (9.0%)
            Constant prepayment rate (CPR)   5.1% - 9.8% (5.3%)
            Cumulative prepayment rate   0.0% - 100.0% (6.9%)
            Constant default   0.3% - 4.0% (2.8%)
            Cumulative default   1.1% - 100.0% (20.1%)
            Loss given default   85.0% - 100.0% (92.4%)
            Cure given deferral   0.0% - 90.0% (34.7%)
            Loss severity   20.0% - 72.0% (64.9%)
                 
Automobile loans   142,762   Discounted cash flow   Constant prepayment rate (CPR)   15.6%
            Discount rate   0.8% - 5.0% (4.0%)
                 
Impaired loans   150,873   Appraisal value   NA   NA
                 
Other real estate owned   28,097   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 June 30, 2013 and December 31, 2012:

      June 30, 2013     December 31, 2012
      Carrying     Fair     Carrying     Fair
(dollar amounts in thousands)   Amount     Value     Amount     Value
Financial Assets:                      
  Cash and short-term assets $ 1,069,621   $ 1,069,621   $ 1,333,727   $ 1,333,727
  Trading account securities   80,927     80,927     91,205     91,205
  Loans held for sale   458,275     458,275     764,309     773,013
  Available-for-sale and other securities   6,815,658     6,815,658     7,566,175     7,566,175
  Held-to-maturity securities   2,172,229     2,166,749     1,743,876     1,794,105
  Net loans and leases   41,006,771     39,356,382     39,959,350     38,401,965
  Derivatives   248,782     248,782     385,697     385,697
                         
Financial Liabilities:                      
  Deposits   46,331,434     46,415,586     46,252,683     46,330,715
  Short-term borrowings   630,405     623,551     589,814     584,671
  Federal Home Loan Bank advances   983,420     983,420     1,008,959     1,008,959
  Other long-term debt   155,126     154,578     158,784     156,719
  Subordinated notes   1,114,368     1,129,481     1,197,091     1,183,827
  Derivatives   139,497     139,497     152,188     152,188

Estimated Fair Value Measurements at Reporting Date Using   Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3     June 30, 2013
                         
Financial Assets                      
  Loans held for sale $ ---   $ ---   $ ---   $ ---
  Held-to-maturity securities   ---     2,166,749     ---     2,166,749
  Net loans and leases   ---     ---     39,265,242     39,265,242
Financial liabilities                      
  Deposits   ---     40,542,678     5,872,908     46,415,586
  Short-term borrowings   ---     ---     623,551     623,551
  Other long-term debt   ---     ---     154,578     154,578
  Subordinated notes   ---     ---     1,129,481     1,129,481
                         
Estimated Fair Value Measurements at Reporting Date Using   Balance at
(dollar amounts in thousands)   Level 1     Level 2     Level 3     December 31, 2012
                         
Financial Assets                      
  Loans held for sale $ ---   $ ---   $ 316,007   $ 316,007
  Held-to-maturity securities   ---     1,794,105     ---     1,794,105
  Net loans and leases   ---     ---     38,259,203     38,259,203
Financial liabilities                      
  Deposits   ---     39,136,127     7,194,588     46,330,715
  Short-term borrowings   ---     ---     584,671     584,671
  Other long-term debt   ---     2,124     154,595     156,719
  Subordinated notes   ---     ---     1,183,827     1,183,827