Huntington National Bank 2014 Annual Report Download - page 178

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Gains (losses) included in fair value changes
associated with instrument specific credit risk
Year ended December 31,
(dollar amounts in thousands) 2014
2013 2012
Assets
Automobile loans $ 911 $2,207 $2,749
Assets and Liabilities measured at fair value on a nonrecurring basis
Certain assets and liabilities may be required to be measured at fair value on a nonrecurring basis in periods subsequent to their
initial recognition. These assets and liabilities are not measured at fair value on an ongoing basis; however, they are subject to fair
value adjustments in certain circumstances, such as when there is evidence of impairment. For the year ended December 31, 2014,
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
Fair Value at Identical Assets Inputs Inputs Year Ended
(dollar amounts in thousands) December 31, (Level 1) (Level 2) (Level 3) December 31,
2014
Impaired loans $ 52,911 $ --- $ --- $ 52,911 $ (53,660)
Other real estate owned 35,039 --- --- 35,039 $ (4,021)
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. Appraisals are reviewed and approved by Huntington.
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.
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, 2014:
Quantitative Information about Level 3 Fair Value Measurements
(dollar amounts in thousands) Fair Value at Valuation Significant Range
December 31, 2014 Technique Unobservable Input (Weighted Average)
MSRs $ 22,786 Discounted cash flo
w
Constant prepayment rate (CPR) 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 thru % 38% - 91% (75%)
Municipal securities 1,417,593 Discounted cash flo
w
Discount rate 0.5% - 4.9% (2.5%)
Private-label CMO 30,464 Discounted cash flo
w
Discount rate 2.7% - 7.2% (6.0%)
Constant prepayment rate (CPR) 13.6% - 32.6% (20.7%)
Probability of default 0.1% - 4.0% (0.7%)
Loss Severity 0.0% - 64.0% (33.9%)