FAIR VALUES OF ASSETS AND LIABILITIES (Tables)
|
9 Months Ended |
Sep. 30, 2016 |
|---|
| 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, 2016 and December 31, 2015 are summarized below:
|
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Fair Value Measurements at Reporting Date Using |
|
Netting Adjustments (1) |
|
September 30, 2016 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Assets |
|
|
|
|
|
|
|
|
|
Loans held for sale |
$ |
— |
|
|
$ |
517,591 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
517,591 |
|
Loans held for investment |
— |
|
|
35,905 |
|
|
53,285 |
|
|
— |
|
|
89,190 |
|
Trading account securities: |
|
|
|
|
|
|
|
|
|
Municipal securities |
— |
|
|
2,854 |
|
|
— |
|
|
— |
|
|
2,854 |
|
Other securities |
32,074 |
|
|
1,143 |
|
|
— |
|
|
— |
|
|
33,217 |
|
|
32,074 |
|
|
3,997 |
|
|
— |
|
|
— |
|
|
36,071 |
|
Available-for-sale and other securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities |
6,509 |
|
|
— |
|
|
— |
|
|
— |
|
|
6,509 |
|
Federal agencies: Mortgage-backed |
— |
|
|
10,880,880 |
|
|
— |
|
|
— |
|
|
10,880,880 |
|
Federal agencies: Other agencies |
— |
|
|
125,771 |
|
|
— |
|
|
— |
|
|
125,771 |
|
Municipal securities |
— |
|
|
405,888 |
|
|
2,905,273 |
|
|
— |
|
|
3,311,161 |
|
Asset-backed securities |
— |
|
|
1,007,363 |
|
|
73,819 |
|
|
— |
|
|
1,081,182 |
|
Corporate debt |
— |
|
|
552,491 |
|
|
— |
|
|
— |
|
|
552,491 |
|
Other securities |
16,353 |
|
|
3,947 |
|
|
— |
|
|
— |
|
|
20,300 |
|
|
22,862 |
|
|
12,976,340 |
|
|
2,979,092 |
|
|
— |
|
|
15,978,294 |
|
MSRs |
— |
|
|
— |
|
|
12,428 |
|
|
— |
|
|
12,428 |
|
Derivative assets |
— |
|
|
585,316 |
|
|
15,483 |
|
|
(172,666 |
) |
|
428,133 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Derivative liabilities |
— |
|
|
385,813 |
|
|
6,883 |
|
|
(278,458 |
) |
|
114,238 |
|
Short-term borrowings |
822 |
|
|
— |
|
|
— |
|
|
— |
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|
822 |
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|
Fair Value Measurements at Reporting Date Using |
|
Netting Adjustments (1) |
|
December 31, 2015 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
|
Assets |
|
|
|
|
|
|
|
|
|
Loans held for sale |
$ |
— |
|
|
$ |
337,577 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
337,577 |
|
Loans held for investment |
— |
|
|
32,889 |
|
|
1,748 |
|
|
— |
|
|
34,637 |
|
Trading account securities: |
|
|
|
|
|
|
|
|
|
Municipal securities |
— |
|
|
4,159 |
|
|
— |
|
|
— |
|
|
4,159 |
|
Other securities |
32,475 |
|
|
363 |
|
|
— |
|
|
— |
|
|
32,838 |
|
|
32,475 |
|
|
4,522 |
|
|
— |
|
|
— |
|
|
36,997 |
|
Available-for-sale and other securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities |
5,472 |
|
|
— |
|
|
— |
|
|
— |
|
|
5,472 |
|
Federal agencies: Mortgage-backed |
— |
|
|
4,521,688 |
|
|
— |
|
|
— |
|
|
4,521,688 |
|
Federal agencies: Other agencies |
— |
|
|
115,913 |
|
|
— |
|
|
— |
|
|
115,913 |
|
Municipal securities |
— |
|
|
360,845 |
|
|
2,095,551 |
|
|
— |
|
|
2,456,396 |
|
Asset-backed securities |
— |
|
|
761,076 |
|
|
100,337 |
|
|
— |
|
|
861,413 |
|
Corporate debt |
— |
|
|
466,477 |
|
|
— |
|
|
— |
|
|
466,477 |
|
Other securities |
11,397 |
|
|
3,899 |
|
|
— |
|
|
— |
|
|
15,296 |
|
|
16,869 |
|
|
6,229,898 |
|
|
2,195,888 |
|
|
— |
|
|
8,442,655 |
|
MSRs |
— |
|
|
— |
|
|
17,585 |
|
|
— |
|
|
17,585 |
|
Derivative assets |
— |
|
|
429,448 |
|
|
6,721 |
|
|
(161,297 |
) |
|
274,872 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Derivative liabilities |
— |
|
|
287,994 |
|
|
665 |
|
|
(144,309 |
) |
|
144,350 |
|
Short-term borrowings |
— |
|
|
1,770 |
|
|
— |
|
|
— |
|
|
1,770 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle positive and negative positions and cash collateral held or placed with the same counterparties. |
|
| 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, 2016 |
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|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Asset-
backed
securities
|
|
Loans held for investment |
Opening balance |
$ |
13,105 |
|
|
$ |
12,751 |
|
|
$ |
2,237,975 |
|
|
$ |
71,379 |
|
|
$ |
925 |
|
Transfers into Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Transfers out of Level 3 (1) |
— |
|
|
(1,692 |
) |
|
— |
|
|
— |
|
|
— |
|
Total gains/losses for the period: |
|
|
|
|
|
|
|
|
|
Included in earnings |
(677 |
) |
|
(2,459 |
) |
|
4,166 |
|
|
— |
|
|
(249 |
) |
Included in OCI |
— |
|
|
— |
|
|
(28,272 |
) |
|
2,875 |
|
|
— |
|
Purchases/originations |
— |
|
|
— |
|
|
953,639 |
|
|
10 |
|
|
56,469 |
|
Sales |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(3,860 |
) |
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Settlements |
— |
|
|
— |
|
|
(262,235 |
) |
|
(445 |
) |
|
— |
|
Closing balance |
$ |
12,428 |
|
|
$ |
8,600 |
|
|
$ |
2,905,273 |
|
|
$ |
73,819 |
|
|
$ |
53,285 |
|
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 |
$ |
(677 |
) |
|
$ |
(2,459 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
(1) Transfers out of Level 3 represent the settlement value of the derivative instruments (i.e. interest rate lock agreements) that
is transferred to loans held for sale, which is classified as Level 2.
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Level 3 Fair Value Measurements
Three Months Ended September 30, 2015 |
|
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|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Private-
label
CMO
|
|
Asset-
backed
securities
|
|
Loans held for investment |
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 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
Level 3 Fair Value Measurements
Nine months ended September 30, 2016 |
|
|
|
|
|
Available-for-sale securities |
|
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Asset-
backed
securities
|
|
Loans held for investment |
|
Opening balance |
$ |
17,585 |
|
|
$ |
6,056 |
|
|
$ |
2,095,551 |
|
|
$ |
100,337 |
|
|
$ |
1,748 |
|
|
Transfers into Level 3 |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Transfers out of Level 3 (1) |
— |
|
|
(5,115 |
) |
|
— |
|
|
— |
|
|
— |
|
|
Total gains/losses for the period: |
|
|
|
|
|
|
|
|
|
|
Included in earnings |
(5,157 |
) |
|
7,659 |
|
|
4,166 |
|
|
2 |
|
|
(249 |
) |
|
Included in OCI |
— |
|
|
— |
|
|
(8,946 |
) |
|
3,549 |
|
|
— |
|
|
Purchases/originations |
— |
|
|
— |
|
|
1,237,546 |
|
|
10 |
|
|
56,469 |
|
|
Sales |
— |
|
|
— |
|
|
(36,657 |
) |
|
(27,794 |
) |
|
— |
|
|
Repayments |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
(4,683 |
) |
|
Issues |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
|
Settlements |
— |
|
|
— |
|
|
(386,387 |
) |
|
(2,285 |
) |
|
— |
|
|
Closing balance |
$ |
12,428 |
|
|
$ |
8,600 |
|
|
$ |
2,905,273 |
|
|
$ |
73,819 |
|
|
$ |
53,285 |
|
|
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 |
$ |
(5,157 |
) |
|
$ |
7,759 |
|
|
$ |
— |
|
|
$ |
2 |
|
|
$ |
— |
|
|
(1) Transfers out of Level 3 represent the settlement value of the derivative instruments (i.e. interest rate lock agreements) that is transferred to loans held for sale, which is classified as Level 2.
|
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|
|
|
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|
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
|
|
Loans held for investment |
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 |
) |
|
| Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities |
The tables below summarize 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, 2016 and 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 Fair Value Measurements
Three Months Ended September 30, 2016 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Asset-
backed
securities
|
|
Loans held for investment |
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(677 |
) |
|
$ |
(2,459 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Noninterest income |
— |
|
|
— |
|
|
4,166 |
|
|
— |
|
|
(249 |
) |
Total |
$ |
(677 |
) |
|
$ |
(2,459 |
) |
|
$ |
4,166 |
|
|
$ |
— |
|
|
$ |
(249 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
Loans held for investment |
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
Nine months ended September 30, 2016 |
|
|
|
|
|
Available-for-sale securities |
|
|
(dollar amounts in thousands) |
MSRs |
|
Derivative
instruments
|
|
Municipal
securities
|
|
Asset-
backed
securities
|
|
Loans held for investment |
Classification of gains and losses in earnings: |
|
|
|
|
|
|
|
|
|
Mortgage banking income |
$ |
(5,157 |
) |
|
$ |
7,659 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Securities gains (losses) |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Interest and fee income |
— |
|
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Noninterest income |
— |
|
|
— |
|
|
4,166 |
|
|
2 |
|
|
(249 |
) |
Total |
$ |
(5,157 |
) |
|
$ |
7,659 |
|
|
$ |
4,166 |
|
|
$ |
2 |
|
|
$ |
(249 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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
|
|
Loans held for investment |
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 |
) |
|
| 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, 2016 |
|
Total Loans |
|
Loans that are 90 or more days past due |
(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 |
$ |
517,591 |
|
|
$ |
494,092 |
|
|
$ |
23,499 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Loans held for investment |
89,190 |
|
|
100,283 |
|
|
(11,093 |
) |
|
11,837 |
|
|
15,636 |
|
|
(3,799 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
|
Total Loans |
|
Loans that are 90 or more days past due |
(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 |
$ |
337,577 |
|
|
$ |
326,802 |
|
|
$ |
10,775 |
|
|
$ |
1,268 |
|
|
$ |
1,294 |
|
|
$ |
(26 |
) |
Loans held for investment |
34,637 |
|
|
35,385 |
|
|
(748 |
) |
|
428 |
|
|
497 |
|
|
(69 |
) |
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, 2016 and 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net gains (losses) from
fair value changes
|
|
Net gains (losses) from
fair value changes |
|
Three Months Ended
September 30, |
|
Nine Months Ended
September 30, |
(dollar amounts in thousands) |
2016 |
|
2015 |
|
2016 |
|
2015 |
Assets |
|
|
|
|
|
|
|
Loans held for sale |
$ |
(4,439 |
) |
|
$ |
6,801 |
|
|
$ |
9,080 |
|
|
$ |
1,244 |
|
Loans held for investment |
— |
|
|
(142 |
) |
|
— |
|
|
(568 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (losses) included
in fair value changes associated
with instrument specific credit risk
|
|
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) |
2016 |
|
2015 |
|
2016 |
|
2015 |
Assets |
|
|
|
|
|
|
|
Loans held for investment |
$ |
68 |
|
|
$ |
37 |
|
|
$ |
255 |
|
|
$ |
108 |
|
|
| 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, 2016
|
|
Total
Gains/(Losses)
Nine months ended
September 30, 2016
|
MSRs |
$ |
143,289 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
143,289 |
|
|
$ |
2,543 |
|
|
$ |
(21,093 |
) |
Impaired loans |
56,976 |
|
|
— |
|
|
— |
|
|
56,976 |
|
|
(216 |
) |
|
5,606 |
|
Other real estate owned |
71,336 |
|
|
— |
|
|
— |
|
|
71,336 |
|
|
(768 |
) |
|
(1,988 |
) |
|
| Quantitative information about significant unobservable level 3 fair value measurement inputs |
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2016 |
(dollar amounts in thousands) |
Fair Value |
|
Valuation Technique |
|
Significant Unobservable Input |
|
Range (Weighted Average) |
MSRs |
$ |
12,428 |
|
|
Discounted cash flow |
|
Constant prepayment rate |
|
7.0% - 26.5% (12.4%) |
|
|
|
|
|
Spread over forward interest rate
swap rates |
|
3.0% - 9.2% (5.5%) |
Derivative assets |
15,483 |
|
|
Consensus Pricing |
|
Net market price |
|
-2.7% - 25.1% (3.0%) |
Derivative liabilities |
6,883 |
|
|
|
|
Estimated Pull through % |
|
7.6% - 99.8% (77.7%) |
Municipal securities |
2,905,273 |
|
|
Discounted cash flow |
|
Discount rate |
|
0.0% - 10.6% (3.6%) |
|
|
|
|
|
Cumulative default |
|
0.3% - 37.8% (4.8%) |
|
|
|
|
|
Loss given default |
|
5.0% - 80.0% (24.1%) |
Asset-backed securities |
73,819 |
|
|
Discounted cash flow |
|
Discount rate |
|
4.9% - 11.9% (6.2%) |
|
|
|
|
|
Cumulative prepayment rate |
|
0.0% - 73% (7.8%) |
|
|
|
|
|
Cumulative default |
|
1.2% - 100% (11.1%) |
|
|
|
|
|
Loss given default |
|
85% - 100% (96.7%) |
|
|
|
|
|
Cure given deferral |
|
0.0% - 75.0% (31.4%) |
Loans held for investment |
53,285 |
|
|
Discounted cash flow |
|
Discount rate |
|
5.4% - 16.2% (5.6%) |
Impaired loans |
56,976 |
|
|
Appraisal value |
|
NA |
|
NA |
Other real estate owned |
71,336 |
|
|
Appraisal value |
|
NA |
|
NA |
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2015 |
(dollar amounts in thousands) |
Fair Value |
|
Valuation Technique |
|
Significant Unobservable Input |
|
Range (Weighted Average) |
MSRs |
$ |
17,585 |
|
|
Discounted cash flow |
|
Constant prepayment rate |
|
7.9% - 25.7% (14.7%) |
|
|
|
|
|
|
Spread over forward interest rate
swap rates |
|
3.3% - 9.2% (5.4%) |
|
Derivative assets |
6,721 |
|
|
Consensus Pricing |
|
Net market price |
|
-3.2% - 20.9% (1.9%) |
|
Derivative liabilities |
665 |
|
|
|
|
Estimated Pull through % |
|
11.9% - 99.8% (76.7%) |
|
Municipal securities |
2,095,551 |
|
|
Discounted cash flow |
|
Discount rate |
|
0.3% - 7.2% (3.1%) |
|
|
|
|
|
|
Cumulative default |
|
0.1% - 50.0% (2.1%)
|
|
|
|
|
|
|
Loss given default |
|
5.0% - 80.0% (20.5%)
|
|
Asset-backed securities |
100,337 |
|
|
Discounted cash flow |
|
Discount rate |
|
4.6% - 10.9% (6.2%) |
|
|
|
|
|
|
Cumulative prepayment rate |
|
0.0% - 100% (9.6%) |
|
|
|
|
|
|
Cumulative default |
|
1.6% - 100% (11.1%) |
|
|
|
|
|
|
Loss given default |
|
85% - 100% (96.6%) |
|
|
|
|
|
|
Cure given deferral |
|
0.0% - 75.0% (36.8%) |
|
Loans held for investment |
1,748 |
|
|
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 |
62,029 |
|
|
Appraisal value |
|
NA |
|
NA |
|
Other real estate owned |
27,342 |
|
|
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, 2016 and December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2016 |
|
December 31, 2015 |
(dollar amounts in thousands) |
Carrying
Amount
|
|
Fair Value |
|
Carrying
Amount
|
|
Fair Value |
Financial Assets |
|
|
|
|
|
|
|
Cash and short-term assets |
$ |
1,713,052 |
|
|
$ |
1,713,052 |
|
|
$ |
898,994 |
|
|
$ |
898,994 |
|
Trading account securities |
36,071 |
|
|
36,071 |
|
|
36,997 |
|
|
36,997 |
|
Loans held for sale |
3,414,497 |
|
|
3,419,078 |
|
|
474,621 |
|
|
484,511 |
|
Available-for-sale and other securities |
16,470,374 |
|
|
16,470,374 |
|
|
8,775,441 |
|
|
8,775,441 |
|
Held-to-maturity securities |
5,301,387 |
|
|
5,389,093 |
|
|
6,159,590 |
|
|
6,135,458 |
|
Net loans and direct financing leases |
65,687,568 |
|
|
64,235,535 |
|
|
49,743,256 |
|
|
48,024,998 |
|
Derivatives |
428,132 |
|
|
428,132 |
|
|
274,872 |
|
|
274,872 |
|
Financial Liabilities |
|
|
|
|
|
|
|
Deposits |
77,405,096 |
|
|
78,232,991 |
|
|
55,294,979 |
|
|
55,299,435 |
|
Short-term borrowings |
2,148,118 |
|
|
2,148,118 |
|
|
615,279 |
|
|
615,279 |
|
Long-term debt |
8,998,571 |
|
|
9,101,522 |
|
|
7,067,614 |
|
|
7,043,014 |
|
Derivatives |
114,239 |
|
|
114,239 |
|
|
144,350 |
|
|
144,350 |
|
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, 2016 and December 31, 2015:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Estimated Fair Value Measurements at Reporting Date Using |
|
September 30, 2016 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Financial Assets |
|
|
|
|
|
|
|
Held-to-maturity securities |
$ |
— |
|
|
$ |
5,389,093 |
|
|
$ |
— |
|
|
$ |
5,389,093 |
|
Net loans and direct financing leases |
— |
|
|
— |
|
|
64,235,535 |
|
|
64,235,535 |
|
Financial Liabilities |
|
|
|
|
|
|
|
Deposits |
— |
|
|
74,056,244 |
|
|
4,176,747 |
|
|
78,232,991 |
|
Short-term borrowings |
822 |
|
|
— |
|
|
2,147,296 |
|
|
2,148,118 |
|
Long-term debt |
— |
|
|
— |
|
|
9,101,522 |
|
|
9,101,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Estimated Fair Value Measurements at Reporting Date Using |
|
December 31, 2015 |
(dollar amounts in thousands) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Financial Assets |
|
|
|
|
|
|
|
Held-to-maturity securities |
$ |
— |
|
|
$ |
6,135,458 |
|
|
$ |
— |
|
|
$ |
6,135,458 |
|
Net loans and direct financing leases |
— |
|
|
— |
|
|
48,024,998 |
|
|
48,024,998 |
|
Financial Liabilities |
|
|
|
|
|
|
|
Deposits |
— |
|
|
51,869,105 |
|
|
3,430,330 |
|
|
55,299,435 |
|
Short-term borrowings |
— |
|
|
1,770 |
|
|
613,509 |
|
|
615,279 |
|
Long-term debt |
— |
|
|
— |
|
|
7,043,014 |
|
|
7,043,014 |
|
|