Huntington National Bank 2015 Annual Report Download - page 180

172
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)
Year ended
December 31, 2015
MSRs $ 141,726 $ — $ — $ 141,726 $ (2,732)
Impaired loans 62,029 — — 62,029 (20,762)
Other real estate owned 27,342 — — 27,342 (4,005)
MSRs accounted for under the amortization method are subject to nonrecurring fair value measurement when the fair value is
lower than the carrying amount.
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.
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.
The appraisals supporting the fair value of the collateral to recognize loan impairment or unrealized loss on other real estate
owned properties may not have been obtained as of December 31, 2015.
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, 2015:
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%)
Automobile loans 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
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.