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, 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 September 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)			September 30, 2013
Assets
Loans held for sale		$	---	$	313,099	$	---	$	---	$	313,099

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	Federal agencies: Other agencies		---		---		---		---		---
	Municipal securities		---		3,282		---		---		3,282
	Other securities		70,447		438		---		---		70,885
			70,447		3,720		---		---		74,167

Available-for-sale and other securities:
	U.S. Treasury securities		51,554		---		---		---		51,554
	Federal agencies: Mortgage-backed		---		3,221,711		---		---		3,221,711
	Federal agencies: Other agencies		---		339,419		---		---		339,419
	Municipal securities		---		507,623		58,855		---		566,478
	Private-label CMO		---		18,435		32,331		---		50,766
	Asset-backed securities		---		1,013,425		114,902		---		1,128,327
	Covered bonds		---		286,924				---		286,924
	Corporate debt		---		460,972		---		---		460,972
	Other securities		19,294		3,774		---		---		23,068
			70,848		5,852,283		206,088		---		6,129,219

Automobile loans			---		---		69,780		---		69,780

MSRs			---		---		34,106		---		34,106

Derivative assets			13,340		252,131		8,127		(54,892)		218,706

Liabilities
Derivative liabilities			23,755		136,540		542		(29,488)		131,349

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 September 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		$	37,544	$	(4,226)	$	58,100	$	32,926	$	119,861	$	91,140
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(3,438)		11,568		---		32		(25)		(617)
	Included in OCI		---		---		2,595		891		10,535		---
Purchases			---		---		---		---		---		---
Sales			---		---		---		---		(8,281)		---
Repayments			---		---		---		---		---		(20,743)
Issues			---		---		---		---		---		---
Settlements			---		243		(1,840)		(1,518)		(7,188)		---
Closing balance		$	34,106	$	7,585	$	58,855	$	32,331	$	114,902	$	69,780

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	$	(3,437)	$	11,568	$	2,595	$	923	$	(25)	$	(617)


			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
			Nine Months Ended September 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		(1,096)		(1,591)		---		(207)		(2,321)		16
	Included in OCI		---		---		3,287		968		31,220		---
Purchases			---		---		---		---		---		---
Sales			---		---		---		(10,254)		(8,281)		---
Repayments			---		---		---		---		---		(72,998)
Issues			---		---		---		---		---		---
Settlements			---		(3,526)		(5,660)		(6,951)		(15,753)		---
Closing balance		$	34,106	$	7,585	$	58,855	$	32,331	$	114,902	$	69,780

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	$	(1,096)	$	(1,591)	$	3,287	$	(207)	$	(2,321)	$	16


			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)

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, 2013 and 2012:

		Level 3 Fair Value Measurements
		Three Months Ended September 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)	$	(3,438)	$	11,568	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		(86)		---
Interest and fee income		---		---		---		32		61		(1,032)
Noninterest income		---		---		---		---		---		415
Total	$	(3,438)	$	11,568	$	---	$	32	$	(25)	$	(617)

		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
		Nine Months Ended September 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)	$	(1,096)	$	(1,591)	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		(334)		(1,465)		---
Interest and fee income		---		---		---		127		(856)		(3,056)
Noninterest income		---		---		---		---		---		3,072
Total	$	(1,096)	$	(1,591)	$	---	$	(207)	$	(2,321)	$	16

		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)

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, 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	$	313,099	$	305,290	$	7,809	$	452,949	$	438,254	$	14,695
	Automobile loans		69,780		67,920		1,860		142,762		140,916		1,846
Liabilities
	Securitization trust notes payable	$	---	$	---	$	---	$	---	$	---	$	---

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, 2013 and 2012:

		Net gains (losses) from fair value changes
			Three Months Ended				Nine Months Ended
			September 30,				September 30,
(dollar amounts in thousands)			2013		2012		2013		2012

Assets
	Mortgage loans held for sale	$	18,459	$	9,224	$	(6,885)	$	12,913
	Automobile loans		(618)		(546)		14		(1,197)
Liabilities
	Securitization trust notes payable		---		(101)		---		(2,023)

		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)			2013		2012		2013		2012
Assets
	Automobile loans	$	468	$	1,137	$	1,620	$	3,715

Assets measured at fair value on a nonrecurring basis

At September 30, 2013, 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, 2013

(Level 1)

(Level 2)

(Level 3)

September 30, 2013

Impaired loans

36,326

---

36,326

(20,004)

Accrued income and other assets

29,154

---

29,154

(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)		September 30, 2013	Technique	Input	(Weighted Average)
MSRs	$	34,106	Discounted cash flow	Constant prepayment rate (CPR)	7.0% - 35.0% (12.0%)
				Spread over forward interest rate swap rates	-431 - 4,569 (1,236)

Derivative assets		8,127	Consensus Pricing	Net market price	-4.5% - 12.1% (2.8%)
Derivative liabilities		542		Estimated Pull thru %	50.0% - 89.0% (73.0%)

Municipal securities		58,855	Discounted cash flow	Discount rate	1.7% - 7.0% (2.7%)

Private-label CMO		32,331	Discounted cash flow	Discount rate	3.2% - 8.4% (6.5%)
				Constant prepayment rate (CPR)	5.7% - 26.7% (13.0%)
				Probability of default	0.1% - 4.0% (1.3%)
				Loss Severity	8.0% - 69.0% (46.4%)

Asset-backed securities		114,902	Discounted cash flow	Discount rate	3.7% - 15.5% (8.4%)
				Constant prepayment rate (CPR)	5.7% - 5.7% (5.7%)
				Cumulative prepayment rate	0.0% - 100.0% (15.7%)
				Constant default	1.4% - 4.0% (2.8%)
				Cumulative default	0.7% - 100.0% (17.4%)
				Loss given default	20.0% - 100.0% (94.1%)
				Cure given deferral	0.0% - 75.0% (37.2%)
				Loss severity	49.0% - 69.0% (63.6%)

Automobile loans		69,780	Discounted cash flow	Constant prepayment rate (CPR)	15.6%
				Discount rate	0.3% - 5.0% (1.5%)

Impaired loans		36,326	Appraisal value	NA	NA

Other real estate owned		29,154	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 September 30, 2013 and December 31, 2012:

			September 30, 2013				December 31, 2012
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value
Financial Assets:
	Cash and short-term assets	$	1,170,758	$	1,170,758	$	1,333,727	$	1,333,727
	Trading account securities		74,167		74,167		91,205		91,205
	Loans held for sale		345,621		345,621		764,309		773,013
	Available-for-sale and other securities		6,446,681		6,446,681		7,566,175		7,566,175
	Held-to-maturity securities		2,236,121		2,217,359		1,743,876		1,794,105
	Net loans and leases		41,889,803		39,786,532		39,959,350		38,401,965
	Derivatives		218,706		218,706		385,697		385,697

Financial Liabilities:
	Deposits		46,564,046		47,307,759		46,252,683		46,330,715
	Short-term borrowings		660,932		651,752		589,814		584,671
	Federal Home Loan Bank advances		333,352		333,631		1,008,959		1,008,959
	Other long-term debt		904,668		918,390		158,784		156,719
	Subordinated notes		1,111,598		1,021,507		1,197,091		1,183,827
	Derivatives		131,349		131,349		152,188		152,188

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		September 30, 2013

Financial Assets
	Loans held for sale	$	---	$	---	$	---	$	---
	Held-to-maturity securities		---		2,217,359		---		2,217,359
	Net loans and leases		---		---		39,716,961		39,716,961
Financial liabilities
	Deposits		---		40,854,625		6,453,134		47,307,759
	Short-term borrowings		---		---		651,752		651,752
	Federal Home Loan Bank advances		---		---		333,631		333,631
	Other long-term debt		---		---		918,390		918,390
	Subordinated notes		---		---		1,021,507		1,021,507

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	$	---	$	---	$	---	$	---
	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

- 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 (loss), 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, issues, 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, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References + Details

- 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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