FAIR VALUES OF ASSETS AND LIABILITIES (Tables)
|
9 Months Ended |
Sep. 30, 2015 |
|---|
| Fair Value Disclosures [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, 2015 and December 31, 2014 are summarized below:
|
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|
Fair Value Measurements at Reporting Date Using |
|
Netting Adjustments (1) |
|
September 30, 2015 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Assets |
|
|
|
|
|
|
|
|
|
Loans held for sale |
$ |
— |
|
|
$ |
393,473 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
393,473 |
|
Loans held for investment |
— |
|
|
34,019 |
|
|
— |
|
|
— |
|
|
34,019 |
|
Trading account securities: |
|
|
|
|
|
|
|
|
|
Federal agencies: Other agencies |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Municipal securities |
— |
|
|
5,932 |
|
|
— |
|
|
— |
|
|
5,932 |
|
Other securities |
32,500 |
|
|
177 |
|
|
— |
|
|
— |
|
|
32,677 |
|
|
32,500 |
|
|
6,109 |
|
|
— |
|
|
— |
|
|
38,609 |
|
Available-for-sale and other securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities |
14,095 |
|
|
— |
|
|
— |
|
|
— |
|
|
14,095 |
|
Federal agencies: Mortgage-backed |
— |
|
|
6,764,213 |
|
|
— |
|
|
— |
|
|
6,764,213 |
|
Federal agencies: Other agencies |
— |
|
|
376,538 |
|
|
— |
|
|
— |
|
|
376,538 |
|
Municipal securities |
— |
|
|
377,535 |
|
|
1,950,556 |
|
|
— |
|
|
2,328,091 |
|
Private-label CMO |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Asset-backed securities |
— |
|
|
712,837 |
|
|
101,172 |
|
|
— |
|
|
814,009 |
|
Corporate debt |
— |
|
|
449,089 |
|
|
— |
|
|
— |
|
|
449,089 |
|
Other securities |
12,501 |
|
|
3,914 |
|
|
— |
|
|
— |
|
|
16,415 |
|
|
26,596 |
|
|
8,684,126 |
|
|
2,051,728 |
|
|
— |
|
|
10,762,450 |
|
Automobile loans |
— |
|
|
— |
|
|
2,563 |
|
|
— |
|
|
2,563 |
|
MSRs |
— |
|
|
— |
|
|
18,065 |
|
|
— |
|
|
18,065 |
|
Derivative assets |
— |
|
|
520,802 |
|
|
8,339 |
|
|
(77,557 |
) |
|
451,584 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Derivative liabilities |
— |
|
|
316,452 |
|
|
555 |
|
|
(27,330 |
) |
|
289,677 |
|
Short-term borrowings |
— |
|
|
511 |
|
|
— |
|
|
— |
|
|
511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements at Reporting Date Using |
|
Netting Adjustments (1) |
|
December 31, 2014 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Assets |
|
|
|
|
|
|
|
|
|
Loans held for sale |
$ |
— |
|
|
$ |
354,888 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
354,888 |
|
Loans held for investment |
— |
|
|
40,027 |
|
|
— |
|
|
— |
|
|
40,027 |
|
Trading account securities: |
|
|
|
|
|
|
|
|
|
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 |
|
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|
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|
| Rollforward of financial instruments measured on a recurring basis and classified as Level 3 |
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|
Level 3 Fair Value Measurements
Three Months Ended September 30, 2015 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label
CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Opening balance |
$ |
20,681 |
|
|
$ |
5,166 |
|
|
$ |
1,716,845 |
|
|
$ |
29,429 |
|
|
$ |
102,071 |
|
|
$ |
3,998 |
|
Transfers into Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Transfers out of Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total gains/losses for the period: |
|
|
|
|
|
|
|
|
|
|
|
Included in earnings |
(2,616 |
) |
|
3,023 |
|
|
— |
|
|
20 |
|
|
(2,440 |
) |
|
(142 |
) |
Included in OCI |
— |
|
|
— |
|
|
3,514 |
|
|
1,309 |
|
|
1,997 |
|
|
— |
|
Purchases/originations |
— |
|
|
— |
|
|
426,501 |
|
|
— |
|
|
— |
|
|
— |
|
Sales |
— |
|
|
— |
|
|
— |
|
|
(30,077 |
) |
|
— |
|
|
— |
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(1,293 |
) |
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Settlements |
— |
|
|
(405 |
) |
|
(196,304 |
) |
|
(681 |
) |
|
(456 |
) |
|
— |
|
Closing balance |
$ |
18,065 |
|
|
$ |
7,784 |
|
|
$ |
1,950,556 |
|
|
$ |
— |
|
|
$ |
101,172 |
|
|
$ |
2,563 |
|
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 |
$ |
(2,616 |
) |
|
$ |
3,023 |
|
|
$ |
3,514 |
|
|
$ |
— |
|
|
$ |
1,997 |
|
|
$ |
(142 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Three Months Ended September 30, 2014 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label
CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Opening balance |
$ |
26,747 |
|
|
$ |
6,196 |
|
|
$ |
1,206,455 |
|
|
$ |
31,633 |
|
|
$ |
106,461 |
|
|
$ |
25,498 |
|
Transfers into Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Transfers out of Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total gains/losses for the period: |
|
|
|
|
|
|
|
|
|
|
|
Included in earnings |
(1,309 |
) |
|
(1,847 |
) |
|
— |
|
|
8 |
|
|
171 |
|
|
(253 |
) |
Included in OCI |
— |
|
|
— |
|
|
14,344 |
|
|
(137 |
) |
|
5,826 |
|
|
— |
|
Purchases/originations |
— |
|
|
— |
|
|
224,615 |
|
|
— |
|
|
— |
|
|
— |
|
Sales |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(22,870 |
) |
|
— |
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(8,545 |
) |
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Settlements |
— |
|
|
(813 |
) |
|
(190,619 |
) |
|
(570 |
) |
|
(1,004 |
) |
|
— |
|
Closing balance |
$ |
25,438 |
|
|
$ |
3,536 |
|
|
$ |
1,254,795 |
|
|
$ |
30,934 |
|
|
$ |
88,584 |
|
|
$ |
16,700 |
|
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 |
$ |
(1,309 |
) |
|
$ |
(1,847 |
) |
|
$ |
14,344 |
|
|
$ |
(137 |
) |
|
$ |
5,468 |
|
|
$ |
(253 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2015 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label
CMO
|
|
Asset-
backed
securities
|
|
Automobile
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 |
(4,721 |
) |
|
6,244 |
|
|
— |
|
|
47 |
|
|
(2,435 |
) |
|
(497 |
) |
Included in OCI |
— |
|
|
— |
|
|
2,199 |
|
|
1,832 |
|
|
23,860 |
|
|
— |
|
Purchases/originations |
— |
|
|
— |
|
|
768,529 |
|
|
— |
|
|
— |
|
|
— |
|
Sales |
— |
|
|
— |
|
|
— |
|
|
(30,077 |
) |
|
— |
|
|
— |
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(7,530 |
) |
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Settlements |
— |
|
|
(1,820 |
) |
|
(237,765 |
) |
|
(2,266 |
) |
|
(2,991 |
) |
|
— |
|
Closing balance |
$ |
18,065 |
|
|
$ |
7,784 |
|
|
$ |
1,950,556 |
|
|
$ |
— |
|
|
$ |
101,172 |
|
|
$ |
2,563 |
|
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 |
$ |
(4,721 |
) |
|
$ |
6,244 |
|
|
$ |
2,199 |
|
|
$ |
— |
|
|
$ |
23,860 |
|
|
$ |
(497 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2014 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label
CMO
|
|
Asset-
backed
securities
|
|
Automobile
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 |
(8,798 |
) |
|
2,785 |
|
|
— |
|
|
24 |
|
|
38 |
|
|
(705 |
) |
Included in OCI |
— |
|
|
— |
|
|
7,555 |
|
|
364 |
|
|
20,256 |
|
|
— |
|
Purchases/originations |
— |
|
|
— |
|
|
805,893 |
|
|
— |
|
|
— |
|
|
— |
|
Sales |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(22,700 |
) |
|
— |
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(34,881 |
) |
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Settlements |
— |
|
|
(1,639 |
) |
|
(213,190 |
) |
|
(1,594 |
) |
|
(16,429 |
) |
|
— |
|
Closing balance |
$ |
25,438 |
|
|
$ |
3,536 |
|
|
$ |
1,254,795 |
|
|
$ |
30,934 |
|
|
$ |
88,584 |
|
|
$ |
16,700 |
|
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 |
$ |
(8,798 |
) |
|
$ |
2,785 |
|
|
$ |
7,555 |
|
|
$ |
364 |
|
|
$ |
19,554 |
|
|
$ |
(705 |
) |
|
| 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, 2015 and 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Three Months Ended September 30, 2015 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(2,616 |
) |
|
$ |
3,023 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(2,440 |
) |
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
20 |
|
|
— |
|
|
(142 |
) |
Noninterest income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total |
$ |
(2,616 |
) |
|
$ |
3,023 |
|
|
$ |
— |
|
|
$ |
20 |
|
|
$ |
(2,440 |
) |
|
$ |
(142 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Three Months Ended September 30, 2014 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(1,309 |
) |
|
$ |
(1,847 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
170 |
|
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
8 |
|
|
1 |
|
|
(243 |
) |
Noninterest income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(10 |
) |
Total |
$ |
(1,309 |
) |
|
$ |
(1,847 |
) |
|
$ |
— |
|
|
$ |
8 |
|
|
$ |
171 |
|
|
$ |
(253 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2015 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(4,721 |
) |
|
$ |
6,244 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(2,440 |
) |
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
47 |
|
|
5 |
|
|
(497 |
) |
Noninterest income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total |
$ |
(4,721 |
) |
|
$ |
6,244 |
|
|
$ |
— |
|
|
$ |
47 |
|
|
$ |
(2,435 |
) |
|
$ |
(497 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2014 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label CMO
|
|
Asset-
backed
securities
|
|
Automobile
loans
|
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(8,798 |
) |
|
$ |
2,785 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
170 |
|
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
24 |
|
|
38 |
|
|
(819 |
) |
Noninterest income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
114 |
|
Total |
$ |
(8,798 |
) |
|
$ |
2,785 |
|
|
$ |
— |
|
|
$ |
24 |
|
|
$ |
208 |
|
|
$ |
(705 |
) |
|
| 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, 2015 |
|
December 31, 2014 |
(dollar amounts in thousands) |
Fair value
carrying
amount
|
|
Aggregate
unpaid
principal
|
|
Difference |
|
Fair value
carrying
amount
|
|
Aggregate
unpaid
principal
|
|
Difference |
Assets |
|
|
|
|
|
|
|
|
|
|
|
Loans held for sale |
$ |
393,473 |
|
|
$ |
377,707 |
|
|
$ |
15,766 |
|
|
$ |
354,888 |
|
|
$ |
340,070 |
|
|
$ |
14,818 |
|
Loans held for investment |
34,019 |
|
|
34,774 |
|
|
(755 |
) |
|
40,027 |
|
|
40,938 |
|
|
(911 |
) |
Automobile loans |
2,563 |
|
|
2,563 |
|
|
— |
|
|
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 nine-month periods ended September 30, 2015 and 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) from
fair value changes
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
(dollar amounts in thousands) |
2015 |
|
2014 |
|
2015 |
|
2014 |
Assets |
|
|
|
|
|
|
|
Loans held for sale |
$ |
6,801 |
|
|
$ |
4,562 |
|
|
$ |
1,244 |
|
|
$ |
3,700 |
|
Automobile loans |
(142 |
) |
|
(253 |
) |
|
(568 |
) |
|
(706 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (losses) included
in fair value changes associated
with instrument specific credit risk
|
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
(dollar amounts in thousands) |
2015 |
|
2014 |
|
2015 |
|
2014 |
Assets |
|
|
|
|
|
|
|
Automobile loans |
$ |
37 |
|
|
$ |
323 |
|
|
$ |
108 |
|
|
$ |
861 |
|
|
| 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 |
|
|
|
|
(dollar amounts in thousands) |
Fair Value |
|
Quoted Prices
In Active
Markets for
Identical Assets
(Level 1)
|
|
Significant
Other
Observable
Inputs
(Level 2)
|
|
Significant
Other
Unobservable
Inputs
(Level 3)
|
|
Total
Gains/(Losses)
Three Months Ended
September 30, 2015
|
|
Total
Gains/(Losses)
Nine Months Ended
September 30, 2015
|
MSRs |
$ |
133,812 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
133,812 |
|
|
$ |
(12,472 |
) |
|
$ |
(7,492 |
) |
Impaired loans |
52,837 |
|
|
— |
|
|
— |
|
|
52,837 |
|
|
(2,614 |
) |
|
(6,964 |
) |
Other real estate owned |
24,910 |
|
|
— |
|
|
— |
|
|
24,910 |
|
|
356 |
|
|
3,619 |
|
|
| Quantitative information about significant unobservable level 3 fair value measurement inputs |
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2015 |
(dollar amounts in thousands) |
Fair Value at |
|
Valuation Technique |
|
Significant Unobservable Input |
|
Range (Weighted Average) |
MSRs |
$ |
18,065 |
|
|
Discounted cash flow |
|
Constant prepayment rate |
|
6.0% - 24.0% (14.3%) |
|
|
|
|
|
|
Spread over forward interest rate
swap rates |
|
325 - 1,166 (599) |
|
Derivative assets |
8,339 |
|
|
Consensus Pricing |
|
Net market price |
|
-3.6% - 19.4% (2.1%) |
|
Derivative liabilities |
555 |
|
|
|
|
Estimated Pull through % |
|
50.0% - 90.0% (76.0%) |
|
Municipal securities |
1,950,556 |
|
|
Discounted cash flow |
|
Discount rate |
|
0.3% - 4.7% (2.6%) |
|
Asset-backed securities |
101,172 |
|
|
Discounted cash flow |
|
Discount rate |
|
4.3% - 11.3% (5.8%) |
|
|
|
|
|
|
Cumulative prepayment rate |
|
0.0% - 100.0% (8.3%) |
|
|
|
|
|
|
Cumulative default |
|
1.7% - 100.0% (11.5%) |
|
|
|
|
|
|
Loss given default |
|
85% - 100% (96.4%) |
|
|
|
|
|
|
Cure given deferral |
|
0.0% - 75.0% (36.6%) |
|
Automobile loans |
2,563 |
|
|
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 |
52,837 |
|
|
Appraisal value |
|
NA |
|
NA |
|
Other real estate owned |
24,910 |
|
|
Appraisal value |
|
NA |
|
NA |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014 |
(dollar amounts in thousands) |
Fair Value |
|
Valuation Technique |
|
Significant Unobservable Input |
|
Range (Weighted Average) |
MSRs |
$ |
22,786 |
|
|
Discounted cash flow |
|
Constant prepayment rate |
|
7% - 26% (16%) |
|
|
|
|
|
|
Spread over forward interest rate
swap rates |
|
228 - 900 (546) |
|
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 September 30, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2015 |
|
December 31, 2014 |
(dollar amounts in thousands) |
Carrying
Amount
|
|
Fair Value |
|
Carrying
Amount
|
|
Fair Value |
Financial Assets |
|
|
|
|
|
|
|
Cash and short-term assets |
$ |
1,090,163 |
|
|
$ |
1,090,163 |
|
|
$ |
1,285,124 |
|
|
$ |
1,285,124 |
|
Trading account securities |
38,609 |
|
|
38,609 |
|
|
42,191 |
|
|
42,191 |
|
Loans held for sale |
675,636 |
|
|
675,636 |
|
|
416,327 |
|
|
416,327 |
|
Available-for-sale and other securities |
11,094,868 |
|
|
11,094,868 |
|
|
9,384,670 |
|
|
9,384,670 |
|
Held-to-maturity securities |
3,157,688 |
|
|
3,191,907 |
|
|
3,379,905 |
|
|
3,382,715 |
|
Net loans and leases |
49,063,971 |
|
|
47,374,526 |
|
|
47,050,530 |
|
|
45,110,406 |
|
Derivatives |
451,584 |
|
|
451,584 |
|
|
352,642 |
|
|
352,642 |
|
Financial Liabilities |
|
|
|
|
|
|
|
Deposits |
54,244,711 |
|
|
54,831,170 |
|
|
51,732,151 |
|
|
52,454,804 |
|
Short-term borrowings |
1,453,812 |
|
|
1,453,812 |
|
|
2,397,101 |
|
|
2,397,101 |
|
Long-term debt |
6,359,445 |
|
|
6,265,129 |
|
|
4,335,962 |
|
|
4,286,304 |
|
Derivatives |
289,677 |
|
|
289,677 |
|
|
284,255 |
|
|
284,255 |
|
The following table presents the level in the fair value hierarchy for the estimated fair values of only Huntington’s financial instruments that are not already on the Unaudited Condensed Consolidated Balance Sheets at fair value at September 30, 2015 and December 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Estimated Fair Value Measurements at Reporting Date Using |
|
September 30, 2015 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Financial Assets |
|
|
|
|
|
|
|
Held-to-maturity securities |
$ |
— |
|
|
$ |
3,191,907 |
|
|
$ |
— |
|
|
$ |
3,191,907 |
|
Net loans and leases |
— |
|
|
— |
|
|
47,374,526 |
|
|
47,374,526 |
|
Financial Liabilities |
|
|
|
|
|
|
|
Deposits |
— |
|
|
51,244,015 |
|
|
3,587,155 |
|
|
54,831,170 |
|
Short-term borrowings |
— |
|
|
— |
|
|
1,453,812 |
|
|
1,453,812 |
|
Other long-term debt |
— |
|
|
— |
|
|
6,265,129 |
|
|
6,265,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Estimated Fair Value Measurements at Reporting Date Using |
|
December 31, 2014 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
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 |
|
|