Huntington National Bank 2013 Annual Report Download - page 176

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170
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, 2013, Huntington recorded $27.7 million of OREO
assets at fair value and recognized gains of $4.3 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, 2013:
Quantitative Information about Level 3 Fair Value Measurements
(dollar amounts in thousands) Fair Value at Valuation Significant Range
December 31, 2013 Technique Unobservable Input (Weighted Average)
MSRs $ 34,236 Discounted cash flo
w
Constant prepayment rate (CPR) 7% - 32% (12%)
Spread over forward interest rate
swap rates -158 - 4,216 (1,069)
Derivative assets 3,066 Consensus Pricing Net market price -5.25% - 13.53% (1.3%)
Derivative liabilities 676 Estimated Pull thru % 50% - 89% (78%)
Municipal securities 654,537 Discounted cash flo
w
Discount rate 1.6% - 4.5% (2.4%)
Private-label CMO 32,140 Discounted cash flo
w
Discount rate 2.9% - 8.3% (6.3%)
Constant prepayment rate (CPR) 12.0% - 31.6% (18.0%)
Probability of default 0.1% - 4.0% (0.7%)
Loss Severity 8.0% - 64.0% (38.2%)
Asset-backed securities 107,419 Discounted cash flo
w
Discount rate 3.7% - 15.5% (8.1%)
Constant prepayment rate (CPR) 5.7% - 5.7% (5.7%)
Cumulative prepayment rate 0.0% - 100% (16.6%)
Constant default 1.4% - 4.0% (2.8%)
Cumulative defaul
t
0.5% - 100% (18.2%)
Loss given default 20% - 100% (93.7%)
Cure given deferral 0.0% - 75% (35.8%)
Loss severity 49.0% - 69.0% (63.5%)
Automobile loans 52,286 Discounted cash flo
w
Constant prepayment rate (CPR) 79.2%
Discount rate 0.3% - 5.0% (1.5%)
Impaired loans 114,256 Appraisal value NA NA
Other real estate owned 27,664 Appraisal value NA NA
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement
and the interrelationship between unobservable inputs, where relevant/significant. Interrelationships may also exist between
observable and unobservable inputs. Such relationships have not been included in the discussion below.
A significant change in the unobservable inputs may result in a significant change in the ending fair value measurement of Level
3 instruments. In general, prepayment rates increase when market interest rates decline and decrease when market interest rates rise
and higher prepayment rates generally result in lower fair values for MSR assets, Private-label CMO securities, Asset-backed
securities, and automobile loans.