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, 2015

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, 2015 and December 31, 2014 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, 2015
Assets
Loans held for sale		$	---	$	453,489	$	---	$	---	$	453,489
Loans held for investment			---		34,997		---		---		34,997

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	Federal agencies: Other agencies		---		8,506		---		---		8,506
	Municipal securities		---		4,182		---		---		4,182
	Other securities		32,908		13,550		---		---		46,458
			32,908		26,238		---		---		59,146

Available-for-sale and other securities:
	U.S. Treasury securities		12,600		---		---		---		12,600
	Federal agencies: Mortgage-backed		---		6,161,270		---		---		6,161,270
	Federal agencies: Other agencies		---		329,184		---		---		329,184
	Municipal securities		---		401,520		1,716,845		---		2,118,365
	Private-label CMO		---		8,575		29,429		---		38,004
	Asset-backed securities		---		689,246		102,071		---		791,317
	Corporate debt		---		454,584		---		---		454,584
	Other securities		13,555		3,897		---		---		17,452
			26,155		8,048,276		1,848,345		---		9,922,776

Automobile loans			---		---		3,998		---		3,998

MSRs			---		---		20,681		---		20,681

Derivative assets			---		469,106		6,399		(97,876)		377,629

Liabilities

Derivative liabilities			---		313,377		1,233		(21,466)		293,144

Short-term borrowings			---		16,037		---		---		16,037

Fair Value Measurements at Reporting Date Using									Netting		Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3	Adjustments (1)			December 31, 2014
Assets
Loans held for sale		$	---	$	354,888	$	---	$	---	$	354,888
Loans held for investment			---		40,027		---		---		40,027

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	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 June 30, 2015
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		loans
Opening balance		$	20,455	$	7,825	$	1,635,808	$	30,072	$	89,155	$	6,495
Transfers into Level 3			---		---		---		---		---		---
Transfers out of Level 3			---		---		---		---		---		---
Total gains/losses for the period:
	Included in earnings		226		(1,780)		---		11		6		(213)
	Included in OCI		---		---		2,677		505		14,351		---
Purchases/originations			---		---		99,031		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(2,284)
Issues			---		---		---		---		---		---
Settlements			---		(879)		(20,671)		(1,159)		(1,441)		---
Closing balance		$	20,681	$	5,166	$	1,716,845	$	29,429	$	102,071	$	3,998

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	$	226	$	(1,780)	$	2,677	$	505	$	14,351	$	(213)


			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/originations			---		---		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
			Six Months Ended June 30, 2015
							Available-for-sale securities
											Asset-
					Derivative		Municipal		Private-		backed		Automobile
(dollar amounts in thousands)			MSRs		instruments		securities		label CMO		securities		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		(2,105)		3,221		---		27		6		(426)
	Included in OCI		---		---		(1,315)		523		21,863		---
Purchases/originations			---		---		342,028		---		---		(6,166)
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		---
Issues			---		---		---		---		---		---
Settlements			---		(1,415)		(41,461)		(1,585)		(2,536)		---
Closing balance		$	20,681	$	5,166	$	1,716,845	$	29,429	$	102,071	$	3,998

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	$	(2,105)	$	3,221	$	(1,315)	$	523	$	21,863	$	(426)


			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/originations			---		---		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)

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, 2015 and 2014:

		Level 3 Fair Value Measurements
		Three Months Ended June 30, 2015
						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	$	226	$	(1,780)	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		11		6		(213)
Noninterest income		---		---		---		---		---		---
Total	$	226	$	(1,780)	$	---	$	11	$	6	$	(213)

		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	$	(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
		Six Months Ended June 30, 2015
						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	$	(2,105)	$	3,221	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		27		6		(426)
Noninterest income		---		---		---		---		---		---
Total	$	(2,105)	$	3,221	$	---	$	27	$	6	$	(426)

		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	$	(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)

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, 2015						December 31, 2014
			Fair value		Aggregate				Fair value		Aggregate
			carrying		unpaid				carrying		unpaid
(dollar amounts in thousands)			amount		principal		Difference		amount		principal		Difference
Assets
	Loans held for sale	$	453,489	$	442,306	$	11,183	$	354,888	$	340,070	$	14,818
	Loans held for investment		34,997		35,776		(779)		40,027		40,938		(911)
	Automobile loans		3,998		3,856		142		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 six-month periods ended June 30, 2015 and 2014:

		Net gains (losses) from fair value changes
			Three Months Ended				Six Months Ended
			June 30,				June 30,
(dollar amounts in thousands)			2015		2014		2015		2014

Assets
	Loans held for sale	$	(6,559)	$	(5,378)	$	(5,557)	$	7,497
	Automobile loans		(213)		(201)		(426)		(452)

		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)			2015		2014		2015		2014
Assets
	Automobile loans	$	5	$	251	$	70	$	573

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
				Quoted Prices	Significant		Significant		Total		Total
				In Active	Other		Other		Gains/(Losses)		Gains/(Losses)
				Markets for	Observable		Unobservable		For the Three		For the Six
				Identical Assets	Inputs		Inputs		Months Ended		Months Ended
(dollar amounts in thousands)	Fair Value			(Level 1)	(Level 2)	(Level 3)			June 30, 2015		June 30, 2015
MSRs	$	141,611	$	---	---	$	141,611	$	12,970	$	4,980
Impaired loans		86,199		---	---		86,199		5,171		(4,350)
Other real estate owned		29,232		---	---		29,232		1,430		3,263

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, 2015	Technique	Input	(Weighted Average)
MSRs	$	20,681	Discounted cash flow	Constant prepayment rate	5.0% - 24.0% (14.0%)
				Spread over forward interest rate swap rates	325 - 1,166 (597)
				Net costs to service	$26 - $120 ($47)

Derivative assets		6,399	Consensus Pricing	Net market price	-4.8% - 18.5% (1.4%)
Derivative liabilities		1,233		Estimated Pull through %	50.0% - 94.0% (78.0%)

Municipal securities		1,716,845	Discounted cash flow	Discount rate	0.5% - 3.8% (2.6%)

Private-label CMO		29,429	Discounted cash flow	Discount rate	2.7% - 7.4% (6.0%)
				Constant prepayment rate	12.0% - 32.6% (20.0%)
				Probability of default	0.1% - 4.0% (0.7%)
				Loss severity	0.0% - 64.0% (34.8%)

Asset-backed securities		102,071	Discounted cash flow	Discount rate	4.3% - 11.3% (5.8%)
				Cumulative prepayment rate	0.0% - 100.0% (8.9%)
				Cumulative default	1.8% - 100.0% (14.4%)
				Loss given default	85.0% - 100.0% (96.0%)
				Cure given deferral	0.0% - 75.0% (41.7%)

Automobile loans		3,998	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		86,199	Appraisal value	NA	NA

Other real estate owned		29,232	Appraisal value	NA	NA

Quantitative Information about Level 3 Fair Value Measurements
		Fair Value at	Valuation	Significant	Range
(dollar amounts in thousands)		December 31, 2014	Technique	Unobservable Input	(Weighted Average)
MSRs	$	22,786	Discounted cash flow	Constant prepayment rate	7% - 26% (16%)
				Spread over forward interest rate swap rates	228 - 900 (546)
				Net costs to service	$21 - $79 ($40)

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 June 30, 2015 and December 31, 2014:

			June 30, 2015				December 31, 2014
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value
Financial Assets
	Cash and short-term assets	$	1,451,378	$	1,451,378	$	1,285,124	$	1,285,124
	Trading account securities		59,146		59,146		42,191		42,191
	Loans held for sale		548,054		548,054		416,327		416,327
	Available-for-sale and other securities		10,254,871		10,254,871		9,384,670		9,384,670
	Held-to-maturity securities		3,304,160		3,309,479		3,379,905		3,382,715
	Net loans and leases		48,152,759		46,421,778		47,050,530		45,110,406
	Derivatives		377,629		377,629		352,642		352,642

Financial Liabilities
	Deposits		53,473,179		53,835,268		51,732,151		52,454,804
	Short-term borrowings		1,511,444		1,511,444		2,397,101		2,397,101
	Long-term debt		5,854,584		5,830,328		4,335,962		4,286,304
	Derivatives		293,144		293,144		284,255		284,255

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		June 30, 2015

Financial Assets
	Held-to-maturity securities	$	---	$	3,309,479	$	---	$	3,309,479
	Net loans and leases		---		---		46,421,778		46,421,778
Financial Liabilities
	Deposits		---		50,117,029		3,718,239		53,835,268
	Short-term borrowings		---		---		1,511,444		1,511,444
	Other long-term debt		---		---		5,830,328		5,830,328

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		December 31, 2014

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

- 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.

+ References + Details