Huntington National Bank 2012 Annual Report Download - page 183

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Periodically, Huntington records nonrecurring adjustments of collateral-dependent loans measured for impairment when
establishing the ACL. Such amounts are generally based on the fair value of the underlying collateral supporting the loan. Appraisals
are generally obtained to support the fair value of the collateral and incorporate measures such as recent sales prices for comparable
properties and cost of construction. In cases where the carrying value exceeds the fair value of the collateral less cost to sell, an
impairment charge is recognized. During the year ended December 31, 2012, Huntington identified $150.9 million of impaired loans
for which the fair value is recorded based upon collateral value. For the year ended December 31, 2012, nonrecurring fair value losses
of $43.4 million were recorded within the provision for credit losses.
Other real estate owned properties are included in accrued income and other assets and valued based on appraisals and third party
price opinions, less estimated selling costs. During the year ended December 31, 2012, Huntington recorded $28.1 million of OREO
assets at fair value and recognized losses of $8.3 million, recorded within noninterest expense.
Significant unobservable inputs for assets and liabilities measured at fair value on a recurring and nonrecurring basis
The table below presents quantitative information about the significant unobservable inputs for assets and liabilities measured at fair
value on a recurring and nonrecurring basis at December 31, 2012:
Quantitative Information about Level 3 Fair Value Measurements
(dollar amounts in thousands, Fair Value at Valuation Significant Range
except net costs to service) December 31, 2012 Technique Unobservable Input (Weighted Average)
MSRs $ 35,202 Discounted cash flo
w
Constant prepayment rate (CPR) 10.0% - 31.0% (20.0%)
Spread over forward interest rate
swap rates -568 - 4,552 (1,288)
Derivative assets 13,180 Consensus Pricing Net market price -2.3% - 10.8% (3.0%)
Derivative liabilities 478 Estimated Pull thru % 38.0% - 89.0% (75.0%)
Municipal securities 61,228 Discounted cash flo
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Discount rate 1.7% - 12.0% (3.1%)
Private-label CMO 48,775 Discounted cash flo
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Discount rate 3.0% - 8.5% (6.2%)
Constant prepayment rate (CPR) 5.1% - 26.7% (14.8%)
Probability of default 0.1% - 4.0% (1.0%)
Loss Severity 0.0% - 64.0% (27.8%)
Asset-backed securities 110,037 Discounted cash flo
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Discount rate 4.5% - 16.6% (9.0%)
Constant prepayment rate (CPR) 5.1% - 9.8% (5.3%)
Cumulative prepayment rate 0.0% - 100.0% (6.9%)
Constant default 0.3% - 4.0% (2.8%)
Cumulative defaul
t
1.1% - 100.0% (20.1%)
Loss given default 85.0% - 100.0% (92.4%)
Cure given deferral 0.0% - 90.0% (34.7%)
Loss severity 20.0% - 72.0% (64.9%)
Automobile loans 142,762 Discounted cash flo
w
Constant prepayment rate (CPR) 15.6%
Discount rate 0.8% - 5.0% (4.0%)
Impaired loans 150,873 Appraisal value --- ---
Other real estate owned 28,097 Appraisal value --- ---