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

Jun. 30, 2014

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, 2014 and December 31, 2013 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, 2014
Assets
Loans held for sale		$	---	$	316,182	$	---	$	---	$	316,182

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	Federal agencies: Other agencies		---		---		---		---		---
	Municipal securities		---		8,598		---		---		8,598
	Other securities		36,446		5,497		---		---		41,943
			36,446		14,095		---		---		50,541

Available-for-sale and other securities:
	U.S. Treasury securities		50,709		---		---		---		50,709
	Federal agencies: Mortgage-backed		---		4,747,866		---		---		4,747,866
	Federal agencies: Other agencies		---		139,626		---		---		139,626
	Municipal securities		---		486,966		1,206,455		---		1,693,421
	Private-label CMO		---		14,166		31,633		---		45,799
	Asset-backed securities		---		873,537		106,461		---		979,998
	Covered bonds		---		---				---		---
	Corporate debt		---		480,465		---		---		480,465
	Other securities		18,277		3,816		---		---		22,093
			68,986		6,746,442		1,344,549		---		8,159,977

Automobile loans			---		---		25,498		---		25,498

MSRs			---		---		26,747		---		26,747

Derivative assets			30,180		250,809		6,779		(61,839)		225,929

Liabilities
Derivative liabilities			35,561		114,347		583		(27,651)		122,840

Short-term borrowings			---		---		---		---		---

Fair Value Measurements at Reporting Date Using									Netting		Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3	Adjustments (1)			December 31, 2013
Assets
Mortgage loans held for sale		$	---	$	278,928	$	---	$	---	$	278,928

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	Federal agencies: Other agencies		---		834		---		---		834
	Municipal securities		---		2,180		---		---		2,180
	Other securities		32,081		478		---		---		32,559
			32,081		3,492		---		---		35,573

Available-for-sale and other securities:
	U.S. Treasury securities		51,604		---		---		---		51,604
	Federal agencies: Mortgage-backed		---		3,566,221		---		---		3,566,221
	Federal agencies: Other agencies		---		319,888		---		---		319,888
	Municipal securities		---		491,455		654,537		---		1,145,992
	Private-label CMO		---		16,964		32,140		---		49,104
	Asset-backed securities		---		983,621		107,419		---		1,091,040
	Covered bonds		---		285,874		---		---		285,874
	Corporate debt		---		457,240		---		---		457,240
	Other securities		16,971		3,828		---		---		20,799
			68,575		6,125,091		794,096		---		6,987,762

Automobile loans			---		---		52,286		---		52,286

MSRs			---		---		34,236		---		34,236

Derivative assets			36,774		219,045		3,066		(58,856)		200,029

Liabilities
Derivative liabilities			22,787		124,123		676		(18,312)		129,274

Short-term borrowings			---		1,089		---		---		1,089

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

			Level 3 Fair Value Measurements
			Three Months Ended June 30, 2014
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	30,628	$	3,700	$	734,378	$	31,897	$	109,969	$	37,268
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		(3,881)		2,957		---		7		15		(201)
	Included in OCI		---		---		(14,061)		249		2,887		---
Purchases			---		---		501,094		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(11,569)
Issues			---		---		---		---		---		---
Settlements			---		(461)		(14,956)		(520)		(6,410)		---
Closing balance		$	26,747	$	6,196	$	1,206,455	$	31,633	$	106,461	$	25,498

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	$	(3,881)	$	2,957	$	(14,061)	$	249	$	2,887	$	(201)


			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
			Six Months Ended June 30, 2014
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		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		(7,489)		4,632		---		17		37		(452)
	Included in OCI		---		---		(6,789)		500		14,429		---
Purchases			---		---		581,278		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(26,336)
Issues			---		---		---		---		---		---
Settlements			---		(826)		(22,571)		(1,024)		(15,424)		---
Closing balance		$	26,747	$	6,196	$	1,206,455	$	31,633	$	106,461	$	25,498

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	$	(7,489)	$	4,632	$	(6,789)	$	500	$	14,430	$	(452)


			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

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, 2014 and 2013:

		Level 3 Fair Value Measurements
		Three Months Ended June 30, 2014
						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)	$	(3,881)	$	2,957	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		7		15		(244)
Noninterest income		---		---		---		---		---		43
Total	$	(3,881)	$	2,957	$	---	$	7	$	15	$	(201)

		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
		Six Months Ended June 30, 2014
						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)	$	(7,489)	$	4,632	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		17		37		(576)
Noninterest income		---		---		---		---		---		124
Total	$	(7,489)	$	4,632	$	---	$	17	$	37	$	(452)

		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

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, 2014						December 31, 2013
			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	$	316,182	$	300,465	$	15,717	$	278,928	$	276,945	$	1,983
	Automobile loans		25,498		24,464		1,034		52,286		50,800		1,486
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, 2014 and 2013:

		Net gains (losses) from fair value changes
			Three Months Ended				Six Months Ended
			June 30,				June 30,
(dollar amounts in thousands)			2014		2013		2014		2013

Assets
	Mortgage loans held for sale	$	(5,378)	$	(20,681)	$	7,497	$	(25,344)
	Automobile loans		(201)		(504)		(452)		632
Liabilities

		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)			2014		2013		2014		2013
Assets
	Automobile loans	$	251	$	826	$	573	$	1,153

Assets measured at fair value on a nonrecurring basis

At June 30, 2014, 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 Three

For the Six

Fair Value at

Identical Assets

Inputs

Months Ended

(dollar amounts in thousands)

June 30, 2014

(Level 1)

(Level 2)

(Level 3)

June 30, 2014

Impaired loans

65,705

---

65,705

(15,084)

(21,100)

Other real estate owned

34,695

---

34,695

2,344

2,697

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, 2014	Technique	Input	(Weighted Average)
MSRs	$	26,747	Discounted cash flow	Constant prepayment rate	7.0% - 35.0% (14.0%)
				Spread over forward interest rate swap rates	-129 - 4,221 (1,094)

Derivative assets		6,779	Consensus Pricing	Net market price	-3.64% - 14.8% (2.3%)
Derivative liabilities		583		Estimated Pull through %	38.0% - 89.0% (76.0%)

Municipal securities		1,206,455	Discounted cash flow	Discount rate	1.3% - 4.4% (2.6%)

Private-label CMO		31,633	Discounted cash flow	Discount rate	2.6% - 7.5% (5.8%)
				Constant prepayment rate	13.3% - 32.6% (19.8%)
				Probability of default	0.1% - 4.0% (0.7%)
				Loss severity	8.0% - 64.0% (38.9%)

Asset-backed securities		106,461	Discounted cash flow	Discount rate	3.5% - 13.7% (7.3%)
				Constant prepayment rate	5.7% - 5.7% (5.7%)
				Cumulative prepayment rate	0.0% - 100.0% (14.7%)
				Constant default	1.4% - 4.0% (2.8%)
				Cumulative default	2.3% - 100.0% (17.4%)
				Loss given default	20.0% - 100.0% (93.7%)
				Cure given deferral	0.0% - 75.0% (27.3%)
				Loss severity	49.0% - 69.0% (63.5%)

Automobile loans		25,498	Discounted cash flow	Constant prepayment rate	77.8%
				Discount rate	0.2% - 5.0% (1.6%)

Impaired loans		65,705	Appraisal value	NA	NA

Other real estate owned		34,695	Appraisal value	NA	NA

Quantitative Information about Level 3 Fair Value Measurements
		Fair Value at	Valuation	Significant	Range
(dollar amounts in thousands)		December 31, 2013	Technique	Unobservable Input	(Weighted Average)
MSRs	$	34,236	Discounted cash flow	Constant prepayment rate	7% - 32% (12%)
				Spread over forward interest rate swap rates	-158 - 4,216 (1,069)

Derivative assets		3,066	Consensus Pricing	Net market price	-5.25% - 13.53% (1.3%)
Derivative liabilities		676		Estimated Pull through %	50% - 89% (78%)

Municipal securities		654,537	Discounted cash flow	Discount rate	1.6% - 4.5% (2.4%)

Private-label CMO		32,140	Discounted cash flow	Discount rate	2.9% - 8.3% (6.3%)
				Constant prepayment rate	12.0% - 31.6% (18.0%)
				Probability of default	0.1% - 4.0% (0.7%)
				Loss severity	8.0% - 64.0% (38.2%)

Asset-backed securities		107,419	Discounted cash flow	Discount rate	3.7% - 15.5% (8.1%)
				Constant prepayment rate	5.7% - 5.7% (5.7%)
				Cumulative prepayment rate	0.0% - 100% (16.6%)
				Constant default	1.4% - 4.0% (2.8%)
				Cumulative default	0.5% - 100% (18.2%)
				Loss given default	20% - 100% (93.7%)
				Cure given deferral	0.0% - 75% (35.8%)
				Loss severity	49.0% - 69.0% (63.5%)

Automobile loans		52,286	Discounted cash flow	Constant prepayment rate	79.2%
				Discount rate	0.3% - 5.0% (1.5%)

Impaired loans		114,256	Appraisal value	NA	NA

Other real estate owned		27,664	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, 2014 and December 31, 2013:

			June 30, 2014				December 31, 2013
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value
Financial Assets
	Cash and short-term assets	$	1,288,087	$	1,288,087	$	1,058,175	$	1,058,175
	Trading account securities		50,541		50,541		35,573		35,573
	Loans held for sale		317,862		317,862		326,212		326,212
	Available-for-sale and other securities		8,491,037		8,491,037		7,308,753		7,308,753
	Held-to-maturity securities		3,621,995		3,611,261		3,836,667		3,760,898
	Net loans and leases		45,444,674		43,551,863		42,472,630		40,976,014
	Derivatives		225,929		225,929		200,029		200,029

Financial Liabilities
	Deposits		48,748,765		48,776,554		47,506,718		48,132,550
	Short-term borrowings		1,252,409		1,244,054		552,143		543,552
	Federal Home Loan Bank advances		2,883,173		2,883,407		1,808,293		1,808,558
	Other long-term debt		2,602,869		2,602,406		1,349,119		1,342,890
	Subordinated notes		983,310		966,561		1,100,860		1,073,116
	Derivatives		122,840		122,840		129,274		129,274

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		June 30, 2014

Financial Assets
	Held-to-maturity securities	$	---	$	3,611,261	$	---	$	3,611,261
	Net loans and leases		---		---		43,551,863		43,551,863
Financial Liabilities
	Deposits		---		43,908,133		4,868,421		48,776,554
	Short-term borrowings		---		---		1,244,054		1,244,054
	Federal Home Loan Bank advances		---		---		2,883,407		2,883,407
	Other long-term debt		---		---		2,602,406		2,602,406
	Subordinated notes		---		---		966,561		966,561

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		December 31, 2013

Financial Assets
	Held-to-maturity securities	$	---	$	3,760,898	$	---	$	3,760,898
	Net loans and leases		---		---		40,976,014		40,976,014
Financial Liabilities
	Deposits		---		42,279,542		5,853,008		48,132,550
	Short-term borrowings		---		---		543,552		543,552
	Federal Home Loan Bank advances		---		---		1,808,558		1,808,558
	Other long-term debt		---		---		1,342,890		1,342,890
	Subordinated notes		---		---		1,073,116		1,073,116

- 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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