Huntington National Bank 2009 Annual Report Download - page 35

Financial Instrument
(
1
)
Hierarchy Valuation methodolo
g
y
Leve
l
3 Cons
i
st o
f
asset-
b
ac
k
e
d
secur
i
t
i
es an
d
certa
i
n
p
r
i
vate
l
a
b
e
l
CMOs
,
and residual interest in automobile securitizations
,
fo
r
which fair value is estimated. Assum
p
tions used to determin
e
t
h
e
f
a
i
rva
l
ue o
f
t
h
ese secur
i
t
i
es
h
ave
g
reater su
bj
ect
i
v
i
t
yd
ue to
the lack of observable market transactions. Generall
y
, there ar
e
onl
y
limited trades of similar instruments and a discounted cash
fl
ow a
pp
roac
hi
s use
d
to
d
eterm
i
ne
f
a
i
rva
l
ue
.
M
ort
g
a
g
e Servicin
g
Ri
gh
t
s
(
MSRs)
(
3
)
L
eve
l
3 MSRs
d
o not tra
d
e
i
n an act
i
ve, open mar
k
et w
i
t
h
rea
dily
observable prices. Althou
g
h sales of MSRs do occur, th
e
p
rec
i
se terms an
d
con
di
t
i
ons t
y
p
i
ca
lly
are not rea
dily
ava
il
a
bl
e
.
Fa
i
rva
l
ue
i
s
b
ase
d
u
p
on t
h
e
fi
na
l
mont
h
-en
d
va
l
uat
i
on, w
hi
c
h
utilizes the month-end curve and prepa
y
ment assumptions
.
D
erivatives
(
4
)
Level 1 Consist of exchan
g
e traded options and forward commitment
s
to
d
e
li
ver mort
g
a
g
e-
b
ac
k
e
d
secur
i
t
i
es w
hi
c
hh
ave quote
d
pr
i
ces.
Leve
l
2 Cons
i
st o
fb
as
i
c asset an
dli
a
bili
ty convers
i
on swaps an
d
o
p
t
i
ons, an
di
nterest rate ca
p
s. T
h
ese
d
er
i
vat
i
ve
p
os
i
t
i
ons ar
e
valued usin
g
internall
y
developed models that use readil
y
o
b
serva
bl
e mar
k
et parameters
.
Leve
l
3 Cons
i
st pr
i
mar
ily
o
fi
nterest rate
l
oc
k
a
g
reements re
l
ate
d
t
o
mort
g
a
g
e
l
oan comm
i
tments. T
h
e
d
eterm
i
n
i
nat
i
on o
ff
a
i
rva
l
u
e
includes assum
p
tions related to the likelihood that
a
comm
i
tment w
ill
u
l
t
i
mate
ly
resu
l
t
i
nac
l
ose
dl
oan, w
hi
c
hi
s
a
s
ig
n
ifi
cant uno
b
serva
bl
e assumpt
i
on
.
Eq
uity Investments
(
5
)
Leve
l
3 Cons
i
st o
f
equ
i
t
yi
nvestments v
i
a equ
i
t
yf
un
d
s(
h
o
ldi
n
gb
ot
h
private and publicl
y
-traded equit
y
securities), directl
y
i
n
compan
i
es as a m
i
nor
i
t
yi
nterest
i
nvestor, an
ddi
rect
ly i
n
compan
i
es
i
n con
j
unct
i
on w
i
t
h
our mezzan
i
ne
l
en
di
n
g
act
i
v
i
t
i
es.
These investments do not have readil
y
observable prices. Fai
r
va
l
ue
i
s
b
ase
d
upon a var
i
et
y
o
ff
actors,
i
nc
l
u
di
n
gb
ut no
t
li
m
i
te
d
to, current operat
i
n
g
per
f
ormance an
df
utur
e
expectations of the particular investment, industr
y
valuations of
compara
bl
epu
bli
c compan
i
es, an
d
c
h
an
g
es
i
n mar
k
et out
l
oo
k.
(
1
)
Refer to Notes 1 and 21 of the Notes to the Consolidated Financial Statements for additional information
.
(
2
)
Refer to Note 6 of the Notes to the Consolidated Financial Statements for additional information.
(
3
)
Refer to Note 7 of the Notes to the Consolidated Financial Statements for additional information.
(
4
)
Refer to Note 22 of the Notes to the Consolidated Financial Statements for additional information
.
(
5
) Certain equit
y
investments are accounted for under the equit
y
method and, therefore, are not sub
j
ect to th
e
f
a
i
rva
l
ue
di
sc
l
osure re
q
u
i
rements
.
INVE
S
TMENT
S
E
CU
RITIE
S
(T
h
is section s
h
ou
ld b
erea
d
in con
j
unction wit
h
t
h
e “Investment Securities Port
f
o
l
io”
d
iscussion an
d
N
ote 1 and Note 6 in the Notes to the Consolidated Financial Statements.
)
Level 3 Anal
y
sis on Certain
S
ecurities Portfolios
Our A
l
t-A, CMO, an
d
poo
l
e
d
-trust-pre
f
erre
d
secur
i
t
i
es port
f
o
li
os are c
l
ass
ifi
e
d
as Leve
l
3, an
d
as suc
h,
t
h
es
ig
n
ifi
cant est
i
mates use
d
to
d
eterm
i
ne t
h
e
f
a
i
rva
l
ue o
f
t
h
ese secur
i
t
i
es
h
ave
g
reater su
bj
ect
i
v
i
t
y
.T
h
eA
l
t
-
A and CMO securities portfolios are sub
j
ected to a monthl
y
review of the pro
j
ected cash flows, while the cas
h
flows of our pooled-trust-preferred securities portfolio are reviewed quarterl
y
. These reviews are supporte
d
27