Quarterly report pursuant to Section 13 or 15(d)

Available-for-Sale and Other Securities (Tables)

v2.4.0.8
Available-for-Sale and Other Securities (Tables)
 3 Months Ended
Sep. 30, 2014
Securities [Abstract]  
Contractual maturities of investment securities

Listed below are the contractual maturities (under 1 year, 1-5 years, 6-10 years, and over 10 years) of available-for-sale and other securities at September 30, 2014 and December 31, 2013:

September 30, 2014 December 31, 2013
Amortized Amortized
(dollar amounts in thousands) Cost Fair Value Cost Fair Value
U.S. Treasury:
Under 1 year $ --- $ --- $ 50,793 $ 51,086
1-5 years 5,429 5,424 507 516
6-10 years --- --- --- ---
Over 10 years --- --- 1 2
Total U.S. Treasury 5,429 5,424 51,301 51,604
Federal agencies: mortgage-backed securities:
Under 1 year 61,913 62,155 16,548 16,607
1-5 years 234,364 237,900 164,794 166,946
6-10 years 254,277 257,620 440,116 443,456
Over 10 years 4,417,140 4,429,157 2,940,986 2,939,212
Total Federal agencies: mortgage-backed securities 4,967,694 4,986,832 3,562,444 3,566,221
Other agencies:
Under 1 year 33,124 33,418 2,833 2,880
1-5 years 9,725 10,178 291,726 297,510
6-10 years 72,141 72,243 19,318 19,498
Over 10 years 72,795 73,112 --- ---
Total other agencies 187,785 188,951 313,877 319,888
Total U.S. Government backed agencies 5,160,908 5,181,207 3,927,622 3,937,713
Municipal securities:
Under 1 year 234,499 234,252 191,788 190,762
1-5 years 230,524 234,392 206,719 211,916
6-10 years 857,371 863,298 556,873 554,772
Over 10 years 371,054 382,859 184,883 188,542
Total municipal securities 1,693,448 1,714,801 1,140,263 1,145,992
Private-label CMO:
Under 1 year --- --- --- ---
1-5 years --- --- --- ---
6-10 years 1,467 1,533 1,997 2,089
Over 10 years 44,095 42,139 49,241 47,015
Total private-label CMO 45,562 43,672 51,238 49,104
Asset-backed securities:
Under 1 year --- --- --- ---
1-5 years 259,345 260,221 434,825 438,156
6-10 years 124,605 123,519 260,354 260,880
Over 10 years 611,469 549,460 477,105 392,004
Total asset-backed securities 995,419 933,200 1,172,284 1,091,040
Covered bonds:
Under 1 year --- --- --- ---
1-5 years --- --- 280,595 285,874
6-10 years --- --- --- ---
Over 10 years --- --- --- ---
Total covered bonds --- --- 280,595 285,874
Corporate debt:
Under 1 year 18,821 19,152 903 916
1-5 years 298,430 307,695 283,079 292,989
6-10 years 173,072 170,636 161,398 152,608
Over 10 years --- --- 10,113 10,727
Total corporate debt 490,323 497,483 455,493 457,240
Other:
Under 1 year 750 750 500 500
1-5 years 3,150 3,066 3,399 3,327
6-10 years --- --- --- ---
Over 10 years --- --- --- ---
Non-marketable equity securities 331,322 331,322 320,991 320,992
Marketable equity securities 15,460 16,303 16,522 16,971
Total other 350,682 351,441 341,412 341,790
Total available-for-sale and other securities $ 8,736,342 $ 8,721,804 $ 7,368,907 $ 7,308,753
Amortized cost, fair value, and gross unrealized gains and losses recognized in accumulated other comprehensive income
Unrealized
Amortized Gross Gross Fair
(dollar amounts in thousands) Cost Gains Losses Value
September 30, 2014
U.S. Treasury $ 5,429 $ 9 $ (14) $ 5,424
Federal agencies:
Mortgage-backed securities 4,967,694 48,815 (29,677) 4,986,832
Other agencies 187,785 1,367 (201) 188,951
Total U.S. Government
backed securities 5,160,908 50,191 (29,892) 5,181,207
Municipal securities (1) 1,693,448 33,347 (11,994) 1,714,801
Private-label CMO 45,562 1,111 (3,001) 43,672
Asset-backed securities 995,419 2,376 (64,595) 933,200
Corporate debt 490,323 10,507 (3,347) 497,483
Other securities 350,682 843 (84) 351,441
Total available-for-sale and other securities $ 8,736,342 $ 98,375 $ (112,913) $ 8,721,804
Unrealized
Amortized Gross Gross Fair
(dollar amounts in thousands) Cost Gains Losses Value
December 31, 2013
U.S. Treasury $ 51,301 $ 303 $ --- $ 51,604
Federal agencies:
Mortgage-backed securities 3,562,444 42,319 (38,542) 3,566,221
Other agencies 313,877 6,105 (94) 319,888
Total U.S. Government
backed securities 3,927,622 48,727 (38,636) 3,937,713
Municipal securities (2) 1,140,263 18,825 (13,096) 1,145,992
Private-label CMO 51,238 1,188 (3,322) 49,104
Asset-backed securities 1,172,284 6,771 (88,015) 1,091,040
Covered bonds 280,595 5,279 --- 285,874
Corporate debt 455,493 11,241 (9,494) 457,240
Other securities 341,412 511 (133) 341,790
Total available-for-sale and other securities $ 7,368,907 $ 92,542 $ (152,696) $ 7,308,753
(1) On May 20, 2014 approximately $208.2 million of municipal equipment finance instruments were acquired.
(2) Effective December 31, 2013 approximately $600.4 million of direct purchase municipal instruments were reclassified from C&I loans to available-for-sale securities.
Available for sale securities in an unrealized loss position table text block
Less than 12 Months Over 12 Months Total
Fair Unrealized Fair Unrealized Fair Unrealized
(dollar amounts in thousands ) Value Losses Value Losses Value Losses
September 30, 2014
U.S. Treasury $ 4,910 $ (14) $ --- $ --- $ 4,910 $ (14)
Federal agencies:
Mortgage-backed securities 1,455,043 (10,664) 466,552 (19,013) 1,921,595 (29,677)
Other agencies 50,064 (169) 1,275 (32) 51,339 (201)
Total U.S. Government
backed securities 1,510,017 (10,847) 467,827 (19,045) 1,977,844 (29,892)
Municipal securities 426,425 (10,709) 140,218 (1,285) 566,643 (11,994)
Private-label CMO --- --- 22,734 (3,001) 22,734 (3,001)
Asset-backed securities 245,189 (1,856) 338,569 (62,739) 583,758 (64,595)
Corporate debt 82,328 (409) 108,432 (2,938) 190,760 (3,347)
Other securities --- --- 1,416 (84) 1,416 (84)
Total temporarily impaired securities $ 2,263,959 $ (23,821) $ 1,079,196 $ (89,092) $ 3,343,155 $ (112,913)
Less than 12 Months Over 12 Months Total
Fair Unrealized Fair Unrealized Fair Unrealized
(dollar amounts in thousands ) Value Losses Value Losses Value Losses
December 31, 2013
U.S. Treasury $ --- $ --- $ --- $ --- $ --- $ ---
Federal agencies:
Mortgage-backed securities 1,628,454 (37,174) 12,682 (1,368) 1,641,136 (38,542)
TLGP securities --- --- --- --- --- ---
Other agencies 2,069 (94) --- --- 2,069 (94)
Total U.S. Government
backed securities 1,630,523 (37,268) 12,682 (1,368) 1,643,205 (38,636)
Municipal securities 551,114 (12,395) 7,531 (701) 558,645 (13,096)
Private-label CMO --- --- 22,639 (3,322) 22,639 (3,322)
Asset-backed securities 391,665 (9,720) 107,419 (78,295) 499,084 (88,015)
Covered bonds --- --- --- --- --- ---
Corporate debt 146,308 (7,729) 26,155 (1,765) 172,463 (9,494)
Other securities 3,078 (72) 2,530 (61) 5,608 (133)
Total temporarily impaired securities $ 2,722,688 $ (67,184) $ 178,956 $ (85,512) $ 2,901,644 $ (152,696)
Realized securities gains and losses

The following table is a summary of realized securities gains and losses for the three-month and nine-month periods ended September 30, 2014 and 2013:

Three Months Ended Nine Months Ended
September 30, September 30,
(dollar amounts in thousands) 2014 2013 2014 2013
Gross gains on sales of securities $ 198 $ 448 $ 17,678 $ 1,635
Gross (losses) on sales of securities --- (264) (20) (654)
Net gain on sales of securities $ 198 $ 184 $ 17,658 $ 981
Trust Preferred Securities Data

The fair values of the private label CMO and CDO assets have been impacted by various market conditions. The unrealized losses were primarily the result of wider liquidity spreads on asset-backed securities and increased market volatility on non-agency mortgage and asset-backed securities that are collateralized by certain mortgage loans. In addition, the expected average lives of the asset-backed securities backed by trust-preferred securities have been extended, due to changes in the expectations of when the underlying securities would be repaid. The contractual terms and / or cash flows of the investments do not permit the issuer to settle the securities at a price less than the amortized cost. Huntington does not intend to sell, nor does it believe it will be required to sell these securities until the fair value is recovered, which may be maturity and; therefore, does not consider them to be other-than-temporarily impaired at September 30, 2014.

The following table summarizes the relevant characteristics of our CDO securities portfolio, which are included in asset-backed securities, at September 30, 2014. Each security is part of a pool of issuers and supports a more senior tranche of securities except for the I-Pre TSL II, and MM Comm III securities which are the most senior class.

Collateralized Debt Obligation Data
September 30, 2014
(dollar amounts in thousands) Actual
Deferrals Expected
and Defaults
# of Issuers Defaults as a % of
Lowest Currently as a % of Remaining
Amortized Fair Unrealized Credit Performing/ Original Performing Excess
Deal Name Par Value Cost Value Loss (2) Rating (3) Remaining (4) Collateral Collateral Subordination (5)
Alesco II (1) $ 41,646 $ 29,034 $ 15,430 $ (13,604) C 29/33 10 % 9 % --- %
ICONS 20,000 20,000 16,052 (3,948) BB 19/21 7 17 59
I-Pre TSL II 6,798 6,782 6,581 (201) AA 18/21 7 12 93
MM Comm III 5,626 5,375 4,440 (935) BB 5/9 5 9 30
Pre TSL IX (1) 5,000 3,955 2,422 (1,533) C 29/40 17 9 6
Pre TSL XI (1) 25,000 20,749 12,355 (8,394) C 44/57 16 9 8
Pre TSL XIII (1) 27,530 20,379 13,429 (6,950) C 43/58 18 15 9
Reg Diversified (1) 25,500 6,908 1,097 (5,811) D 23/41 38 10 ---
Soloso (1) 12,500 2,440 342 (2,098) C 37/61 29 21 ---
Tropic III 31,000 31,000 16,436 (14,564) CCC+ 27/40 22 9 38
Total at September 30, 2014 $ 200,600 $ 146,622 $ 88,584 $ (58,038)
Total at December 31, 2013 $ 214,419 $ 161,730 $ 84,136 $ (77,594)
(1) Security was determined to have OTTI. As such, the book value is net of recorded credit impairment.
(2) The majority of securities have been in a continuous loss position for 12 months or longer.
(3) For purposes of comparability, the lowest credit rating expressed is equivalent to Fitch ratings even where the lowest rating is based on another nationally recognized credit rating agency.
(4) Includes both banks and/or insurance companies.
(5) Excess subordination percentage represents the additional defaults in excess of both current and projected defaults that the CDO can absorb before the bond experiences credit impairment. Excess subordinated percentage is calculated by (a) determining what percentage of defaults a deal can experience before the bond has credit impairment, and (b) subtracting from this default breakage percentage both total current and expected future default percentages.
Total OTTI losses, OTTI losses included in OCI, and OTTI recognized in the income statement for securities evaluated for impairment by debt security debt
Three Months Ended Nine Months Ended
September 30, September 30,
(dollar amounts in thousands) 2014 2013 2014 2013
Available-for-sale and other securities:
Pooled-trust-preferred --- (86) --- (1,466)
Private label CMO --- --- --- (336)
Total debt securities --- (86) --- (1,802)
Equity securities --- --- --- ---
Total available-for-sale and other securities $ --- $ (86) $ --- $ (1,802)
OTTI recognized in earnings on debt securities held by Huntington

The following table rolls forward the OTTI recognized in earnings on debt securities held by Huntington for the three-month and nine-month periods ended September 30, 2014 and 2013 as follows:

Three Months Ended Nine Months Ended
September 30, September 30,
(dollar amounts in thousands) 2014 2013 2014 2013
Balance, beginning of period $ 30,869 $ 49,851 $ 30,869 $ 49,433
Reductions from sales/maturities --- (11,886) --- (13,184)
Credit losses not previously recognized --- --- --- ---
Additional credit losses --- 86 --- 1,802
Balance, end of period $ 30,869 $ 38,051 $ 30,869 $ 38,051