Quarterly report pursuant to Section 13 or 15(d)

Fair Values of Assets and Liabilities (Tables)

v2.4.0.8
Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Sep. 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 September 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) September 30, 2014
Assets
Loans held for sale $ --- $ 339,061 $ --- $ --- $ 339,061
Trading account securities:
U.S. Treasury securities 15,580 --- --- --- 15,580
Federal agencies: Mortgage-backed --- --- --- --- ---
Federal agencies: Other agencies --- 2,246 --- --- 2,246
Municipal securities --- 5,804 --- --- 5,804
Other securities 39,605 3,225 --- --- 42,830
55,185 11,275 --- --- 66,460
Available-for-sale and other securities:
U.S. Treasury securities 5,424 --- --- --- 5,424
Federal agencies: Mortgage-backed --- 4,986,832 --- --- 4,986,832
Federal agencies: Other agencies --- 188,951 --- --- 188,951
Municipal securities --- 460,006 1,254,795 --- 1,714,801
Private-label CMO --- 12,738 30,934 --- 43,672
Asset-backed securities --- 844,616 88,584 --- 933,200
Corporate debt --- 497,483 --- 497,483
Other securities 16,303 3,816 --- --- 20,119
21,727 6,994,442 1,374,313 --- 8,390,482
Automobile loans --- --- 16,700 --- 16,700
MSRs --- --- 25,438 --- 25,438
Derivative assets 44,242 217,448 4,262 (58,616) 207,336
Liabilities
Derivative liabilities 39,227 134,710 727 (36,188) 138,476
Short-term borrowings --- 2,990 --- --- 2,990
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 September 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 $ 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 --- --- 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
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
Nine Months Ended September 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 (8,798) 2,785 --- 24 38 (705)
Included in OCI --- --- 7,555 364 20,256 ---
Purchases --- --- 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)
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
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, 2014 and 2013:

Level 3 Fair Value Measurements
Three Months Ended September 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 $ (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
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 $ (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
Nine Months Ended September 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 $ (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)
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 $ (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
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, 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 $ 339,061 $ 326,658 $ 12,403 $ 278,928 $ 276,945 $ 1,983
Automobile loans 16,700 15,920 780 52,286 50,800 1,486

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, 2014 and 2013:

Net gains (losses) from fair value changes
Three Months Ended Nine Months Ended
September 30, September 30,
(dollar amounts in thousands) 2014 2013 2014 2013
Assets
Mortgage loans held for sale $ 4,562 $ 18,459 $ 3,700 $ (6,885)
Automobile loans (253) (618) (706) 14

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) 2014 2013 2014 2013
Assets
Automobile loans $ 323 $ 468 $ 861 $ 1,620
Assets measured at fair value on a nonrecurring basis

At September 30, 2014, 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 Nine
Fair Value at Identical Assets Inputs Inputs Months Ended Months Ended
(dollar amounts in thousands) September 30, 2014 (Level 1) (Level 2) (Level 3) September 30, 2014 September 30, 2014
Impaired loans $ 91,757 $ --- $ --- $ 91,757 $ (12,719) $ (33,819)
Other real estate owned 36,270 --- --- 36,270 874 3,571
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, 2014 Technique Input (Weighted Average)
MSRs $ - Discounted cash flow Constant prepayment rate 7.0% - 22.0% (13.0%)
Spread over forward interest rate swap rates 352 - 1,100 (676)
Derivative assets - Consensus Pricing Net market price -4.7% - 15.8% (1.6%)
Derivative liabilities - Estimated Pull through % 50.0% - 89.0% (77.0%)
Municipal securities 30,934 Discounted cash flow Discount rate 1.2% - 3.9% (2.6%)
Private-label CMO 88,584 Discounted cash flow Discount rate 2.7% - 7.6% (6.1%)
Constant prepayment rate 13.6% - 32.6% (20.7%)
Probability of default 0.2% - 4.0% (0.7%)
Loss severity 0.0% - 64.0% (33.8%)
Asset-backed securities - Discounted cash flow Discount rate 3.2% - 13.2% (7.1%)
Cumulative prepayment rate 0.0% - 100.0% (14.2%)
Cumulative default 2.3% - 100.0% (16.9%)
Loss given default 20.0% - 100.0% (93.7%)
Cure given deferral 0.0% - 75.0% (31.4%)
Automobile loans - Discounted cash flow Constant prepayment rate 119.2%
Discount rate 0.2% - 5.0% (2.0%)
Impaired loans 91,757 Appraisal value NA NA
Other real estate owned 36,270 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 September 30, 2014 and December 31, 2013:

September 30, 2014 December 31, 2013
Carrying Fair Carrying Fair
(dollar amounts in thousands) Amount Value Amount Value
Financial Assets
Cash and short-term assets $ 952,760 $ 952,760 $ 1,058,175 $ 1,058,175
Trading account securities 66,460 66,460 35,573 35,573
Loans held for sale 410,932 410,932 326,212 326,212
Available-for-sale and other securities 8,721,804 8,721,804 7,308,753 7,308,753
Held-to-maturity securities 3,496,493 3,467,056 3,836,667 3,760,898
Net loans and leases 46,092,338 45,219,329 42,472,630 40,976,014
Derivatives 207,336 207,336 200,029 200,029
Financial Liabilities
Deposits 50,129,837 50,930,985 47,506,718 48,132,550
Short-term borrowings 1,530,938 1,522,460 552,143 543,552
Federal Home Loan Bank advances 1,658,112 1,658,370 1,808,293 1,808,558
Other long-term debt 2,590,212 2,604,544 1,349,119 1,342,890
Subordinated notes 976,264 970,949 1,100,860 1,073,116
Derivatives 138,476 138,476 129,274 129,274

Estimated Fair Value Measurements at Reporting Date Using Balance at
(dollar amounts in thousands) Level 1 Level 2 Level 3 September 30, 2014
Financial Assets
Held-to-maturity securities $ --- $ 3,467,056 $ --- $ 3,467,056
Net loans and leases --- --- 45,219,329 45,219,329
Financial Liabilities
Deposits --- 46,329,168 4,601,817 50,930,985
Short-term borrowings --- --- 1,522,460 1,522,460
Federal Home Loan Bank advances --- --- 1,658,370 1,658,370
Other long-term debt --- --- 2,604,544 2,604,544
Subordinated notes --- --- 970,949 970,949
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