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

Mar. 31, 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 March 31, 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)			March 31, 2015
Assets
Loans held for sale		$	---	$	478,864	$	---	$	---	$	478,864
Loans held for investment			---		37,160		---		---		37,160

Trading account securities:
	U.S. Treasury securities		---		---		---		---		---
	Federal agencies: Mortgage-backed		---		---		---		---		---
	Federal agencies: Other agencies		---		7,152		---		---		7,152
	Municipal securities		---		5,184		---		---		5,184
	Other securities		32,787		2,503		---		---		35,290
			32,787		14,839		---		---		47,626

Available-for-sale and other securities:
	U.S. Treasury securities		11,355		---		---		---		11,355
	Federal agencies: Mortgage-backed		---		5,783,672		---		---		5,783,672
	Federal agencies: Other agencies		---		350,415		---		---		350,415
	Municipal securities		---		430,397		1,635,808		---		2,066,205
	Private-label CMO		---		10,182		30,072		---		40,254
	Asset-backed securities		---		742,928		89,155		---		832,083
	Corporate debt		---		489,621		---		---		489,621
	Other securities		13,118		3,906		---		---		17,024
			24,473		7,811,121		1,755,035		---		9,590,629

Automobile loans			---		---		6,495		---		6,495

MSRs			---		---		20,455		---		20,455

Derivative assets			---		570,103		8,472		(133,231)		445,344

Liabilities

Derivative liabilities			---		395,937		647		(46,843)		349,741

Short-term borrowings			---		4,046		---		---		4,046

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 March 31, 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		(2,331)		5,001		---		16		---		(213)
	Included in OCI		---		---		(3,992)		18		7,511		---
Purchases/originations			---		---		242,997		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(3,882)
Issues			---		---		---		---		---		---
Settlements			---		(536)		(20,790)		(426)		(1,094)		---
Closing balance		$	20,455	$	7,825	$	1,635,808	$	30,072	$	89,155	$	6,495

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	$	(2,331)	$	4,465	$	(3,992)	$	18	$	7,511	$	(213)


			Level 3 Fair Value Measurements
			Three Months Ended March 31, 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		(3,608)		1,675		---		9		22		(251)
	Included in OCI		---		---		7,272		252		11,543		---
Purchases/originations			---		---		80,185		---		---		---
Sales			---		---		---		---		---		---
Repayments			---		---		---		---		---		(14,767)
Issues			---		---		---		---		---		---
Settlements			---		(365)		(7,616)		(504)		(9,015)		---
Closing balance		$	30,628	$	3,700	$	734,378	$	31,897	$	109,969	$	37,268

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	$	(3,608)	$	1,675	$	7,272	$	252	$	11,543	$	(251)

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 periods ended March 31, 2015 and 2014:

		Level 3 Fair Value Measurements
		Three Months Ended March 31, 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	$	(2,331)	$	5,001	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		16		---		(213)
Noninterest income		---		---		---		---		---		---
Total	$	(2,331)	$	5,001	$	---	$	16	$	---	$	(213)

		Level 3 Fair Value Measurements
		Three Months Ended March 31, 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	$	(3,608)	$	1,675	$	---	$	---	$	---	$	---
Securities gains (losses)		---		---		---		---		---		---
Interest and fee income		---		---		---		9		22		(332)
Noninterest income		---		---		---		---		---		81
Total	$	(3,608)	$	1,675	$	---	$	9	$	22	$	(251)

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:

			March 31, 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	$	478,864	$	461,518	$	17,346	$	354,888	$	340,070	$	14,818
	Loans held for investment		37,160		38,004		(844)		40,027		40,938		(911)
	Automobile loans		6,495		6,140		355		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 periods ended March 31, 2015 and 2014:

		Net gains (losses) from fair value changes
			Three Months Ended
			March 31,
(dollar amounts in thousands)			2015		2014

Assets
	Loans held for sale	$	1,001	$	3,151
	Automobile loans		(213)		(251)

		Gains (losses) included
		in fair value changes associated
		with instrument specific credit risk
			Three Months Ended
			March 31,
(dollar amounts in thousands)			2015		2014
Assets
	Automobile loans	$	66	$	323

Assets measured at fair value on a nonrecurring basis

At March 31, 2015, assets measured at fair value on a nonrecurring basis were as follows:

				Fair Value Measurements Using
				Quoted Prices	Significant		Significant		Total
				In Active	Other		Other		Gains/(Losses)
				Markets for	Observable		Unobservable		For the Three
		Fair Value at		Identical Assets	Inputs		Inputs		Months Ended
(dollar amounts in thousands)	March 31, 2015			(Level 1)	(Level 2)	(Level 3)			March 31, 2015
MSRs	$	125,691		---	---	$	125,691	$	(7,990)
Impaired loans		89,043	$	---	---		89,043		(24,742)
Other real estate owned		33,951		---	---		33,951		1,833

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)		March 31, 2015	Technique	Input	(Weighted Average)
MSRs	$	20,455	Discounted cash flow	Constant prepayment rate	6.0% - 24.0% (15.0%)
				Spread over forward interest rate swap rates	325 - 1,166 (641)
				Net costs to service	-$18 - $70 ($38)

Derivative assets		8,472	Consensus Pricing	Net market price	-3.3% - 6.4% (2.0%)
Derivative liabilities		-		Estimated Pull through %	50.0% - 88.0% (74.0%)

Municipal securities		1,635,808	Discounted cash flow	Discount rate	0.5% - 4.0% (2.6%)

Private-label CMO		30,072	Discounted cash flow	Discount rate	2.8% - 7.0% (5.7%)
				Constant prepayment rate	13.6% - 32.6% (20.6%)
				Probability of default	0.1% - 4.0% (0.7%)
				Loss severity	0.0% - 64.0% (33.3%)

Asset-backed securities		89,155	Discounted cash flow	Discount rate	4.3% - 12.3% (6.7%)
				Cumulative prepayment rate	0.0% - 100.0% (9.4%)
				Cumulative default	1.9% - 100.0% (15.2%)
				Loss given default	85.0% - 100.0% (95.9%)
				Cure given deferral	0.0% - 75.0% (38.0%)

Automobile loans		6,495	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		89,043	Appraisal value	NA	NA

Other real estate owned		33,951	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 March 31, 2015 and December 31, 2014:

			March 31, 2015				December 31, 2014
			Carrying		Fair		Carrying		Fair
(dollar amounts in thousands)			Amount		Value		Amount		Value
Financial Assets
	Cash and short-term assets	$	973,906	$	973,906	$	1,285,124	$	1,285,124
	Trading account securities		47,626		47,626		42,191		42,191
	Loans held for sale		1,620,552		1,620,552		416,327		416,327
	Available-for-sale and other securities		9,922,399		9,922,399		9,384,670		9,384,670
	Held-to-maturity securities		3,336,663		3,374,889		3,379,905		3,382,715
	Net loans and leases		47,090,506		45,339,244		47,050,530		45,110,406
	Derivatives		445,344		445,344		352,642		352,642

Financial Liabilities
	Deposits		52,832,695		53,382,798		51,732,151		52,454,804
	Short-term borrowings		2,007,236		2,007,236		2,397,101		2,397,101
	Long-term debt		5,158,836		5,136,961		4,335,962		4,286,304
	Derivatives		349,741		349,741		284,255		284,255

Estimated Fair Value Measurements at Reporting Date Using									Balance at
(dollar amounts in thousands)			Level 1		Level 2		Level 3		March 31, 2015

Financial Assets
	Held-to-maturity securities	$	---	$	3,374,889	$	---	$	3,374,889
	Net loans and leases		---		---		45,339,244		45,339,244
Financial Liabilities
	Deposits		---		49,433,736		3,949,062		53,382,798
	Short-term borrowings		---		---		2,007,236		2,007,236
	Other long-term debt		---		---		5,136,961		5,136,961

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 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.

+ References + Details