Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUES OF ASSETS AND LIABILITIES (Tables)

v3.10.0.1
FAIR VALUES OF ASSETS AND LIABILITIES (Tables)
9 Months Ended
Sep. 30, 2018
Fair Value Disclosures [Abstract]  
Assets and liabilities measured at fair value on a recurring basis
Assets and Liabilities measured at fair value on a recurring basis
Assets and liabilities measured at fair value on a recurring basis at September 30, 2018 and December 31, 2017 are summarized below:
 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
September 30, 2018
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Trading account securities:
 
 
 
 
 
 
 
 
 
Municipal securities
$

 
$
5

 
$

 
$

 
$
5

Other securities
77

 
1

 

 

 
78

 
77

 
6

 

 

 
83

Available-for-sale securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
5

 

 

 

 
5

Residential CMOs

 
6,940

 

 

 
6,940

Residential MBS

 
620

 

 

 
620

Commercial MBS

 
1,703

 

 

 
1,703

Other agencies

 
157

 

 

 
157

Municipal securities

 
571

 
3,277

 

 
3,848

Asset-backed securities

 
363

 

 

 
363

Corporate debt

 
87

 

 

 
87

Other securities/sovereign debt

 
4

 

 

 
4

 
5

 
10,445

 
3,277

 

 
13,727

Other securities
22

 

 

 

 
22

Loans held for sale

 
727

 

 

 
727

Loans held for investment

 
49

 
32

 

 
81

MSRs

 

 
11

 

 
11

Derivative assets

 
493

 
5

 
(318
)
 
180

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
437

 
4

 
(221
)
 
220

 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
December 31, 2017
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Trading account securities:
 
 
 
 
 
 
 
 
 
Other securities
$
83

 
$
3

 
$

 
$

 
$
86

 
83

 
3

 

 

 
86

Available-for-sale securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
5

 

 

 

 
5

Residential CMOs

 
6,484

 

 

 
6,484

Residential MBS

 
1,367

 

 

 
1,367

Commercial MBS

 
2,487

 

 

 
2,487

Other agencies

 
70

 

 

 
70

Municipal securities

 
711

 
3,167

 

 
3,878

Asset-backed securities

 
443

 
24

 

 
467

Corporate debt

 
109

 

 

 
109

Other securities/sovereign debt

 
2

 

 

 
2

 
5

 
11,673

 
3,191

 

 
14,869

Other securities
19

 

 

 

 
19

Loans held for sale

 
413

 

 

 
413

Loans held for investment

 
55

 
38

 

 
93

MSRs

 

 
11

 

 
11

Derivative assets

 
316

 
6

 
(190
)
 
132

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
326

 
5

 
(245
)
 
86


(1)
Amounts represent the impact of legally enforceable master netting agreements that allow the Company to settle positive and negative positions and cash collateral held or placed with the same counterparties.
Rollforward of financial instruments measured on a recurring basis and classified as Level 3
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2018
 
 
 
 
 
Available-for-sale securities
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Loans held for investment
Opening balance
$
11

 
$
1

 
$
3,178

 
$
34

Transfers out of Level 3 (1)

 
(12
)
 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
Included in earnings

 
9

 
(1
)
 

Included in OCI

 

 

 

Purchases/originations

 

 
260

 

Sales

 

 

 

Repayments

 

 

 
(2
)
Settlements

 
3

 
(160
)
 

Closing balance
$
11

 
$
1

 
$
3,277

 
$
32

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$

 
$
(3
)
 
$

 
$

 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2017
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-backed
securities
 
Loans held for investment
Opening balance
$
13

 
$
3

 
$
2,872

 
$
43

 
$
44

Transfers out of Level 3 (1)

 
(1
)
 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
Included in earnings
(1
)
 
1

 
(1
)
 
(2
)
 

Included in OCI

 

 
(34
)
 
5

 

Purchases/originations

 

 
167

 

 

Sales

 

 

 
(22
)
 

Repayments

 

 

 

 
(4
)
Settlements

 

 
(46
)
 

 

Closing balance
$
12

 
$
3

 
$
2,958

 
$
24

 
$
40

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
(1
)
 
$
1

 
$

 
$

 
$

(1)
Transfers out of Level 3 represent the settlement value of the derivative instruments (i.e. interest rate lock agreements) that is transferred to loans held for sale, which is classified as Level 2.
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2018
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-backed
securities
 
Loans held for investment
Opening balance
$
11

 
$
(1
)
 
$
3,167

 
$
24

 
$
38

Transfers out of Level 3 (1)

 
(26
)
 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
Included in earnings

 
25

 
(3
)
 
(2
)
 

Included in OCI

 

 
(37
)
 
11

 

Purchases/originations

 

 
539

 

 

Sales

 

 

 
(33
)
 

Repayments

 

 

 

 
(6
)
Settlements

 
3

 
(389
)
 

 

Closing balance
$
11

 
$
1

 
$
3,277

 
$

 
$
32

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$

 
$
(1
)
 
$

 
$

 
$


 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2017
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-
backed
securities
 
Loans held for investment
Opening balance
$
14

 
$
(2
)
 
$
2,798

 
$
76

 
$
48

Transfers out of Level 3 (1)

 
(4
)
 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
Included in earnings
(2
)
 
9

 
(4
)
 
(5
)
 
1

Included in OCI

 

 
(1
)
 
13

 

Purchases/originations

 

 
414

 

 

Sales

 

 

 
(59
)
 

Repayments

 

 

 

 
(9
)
Settlements

 

 
(249
)
 
(1
)
 

Closing balance
$
12

 
$
3

 
$
2,958

 
$
24

 
$
40

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
(2
)
 
$
9

 
$

 
$
(4
)
 
$

 
 
 
 
 
 
 
 
 
 
Classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities
The tables below summarize the classification of gains and losses due to changes in fair value, recorded in earnings for Level 3 assets and liabilities for the three-month and nine-month periods ended September 30, 2018 and 2017:
 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2018
 
 
 
 
 
Available-for-sale securities
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Loans held for investment
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
Mortgage banking income
$

 
$
9

 
$

 
$

Other expense

 

 
(1
)
 

Total
$

 
$
9

 
$
(1
)
 
$

 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2017
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-backed
securities
 
Loans held for investment
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(1
)
 
$
1

 
$

 
$

 
$

Securities gains (losses)

 

 

 
(2
)
 

Interest and fee income

 

 
(1
)
 

 

Total
$
(1
)
 
$
1

 
$
(1
)
 
$
(2
)
 
$

 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2018
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-backed
securities
 
Loans held for investment
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
Mortgage banking income
$

 
$
25

 
$

 
$

 
$

Securities gains (losses)

 

 

 
(2
)
 

Other expense

 

 
(3
)
 

 

Total
$

 
$
25

 
$
(3
)
 
$
(2
)
 
$

 
 
 
 
 
 
 
 
 
 
 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2017
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Asset-backed
securities
 
Loans held for investment
Classification of gains and losses in earnings:
 
 
 
 
 
 
 
 
 
Mortgage banking income
$
(2
)
 
$
9

 
$

 
$

 
$

Securities gains (losses)

 

 

 
(5
)
 

Interest and fee income

 

 
(4
)
 

 

Noninterest income

 

 

 

 
1

Total
$
(2
)
 
$
9

 
$
(4
)
 
$
(5
)
 
$
1

Assets and liabilities under the fair value option
The following tables present the fair value and aggregate principal balance of certain assets and liabilities under the fair value option:
 
September 30, 2018
(dollar amounts in millions)
Total Loans
 
Loans that are 90 or more days past due
Assets
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
 
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
Loans held for sale
$
727

 
$
713

 
$
14

 
$

 
$

 
$

Loans held for investment
81

 
88

 
(7
)
 
6

 
7

 
(1
)
 
December 31, 2017
(dollar amounts in millions)
Total Loans
 
Loans that are 90 or more days past due
Assets
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
 
Fair value
carrying
amount
 
Aggregate
unpaid
principal
 
Difference
Loans held for sale
$
413

 
$
400

 
$
13

 
$
1

 
$
1

 
$

Loans held for investment
93

 
102

 
(9
)
 
10

 
11

 
(1
)
The following tables present the net gains (losses) from fair value changes for the three-month and nine-month periods ended September 30, 2018 and 2017.
 
Net gains (losses) from fair value changes
 
Net gains (losses) from fair value changes
(dollar amounts in millions)
Three Months Ended September 30,
 
Nine Months Ended September 30,
Assets
2018
 
2017
 
2018
 
2017
Loans held for sale
$
(4
)
 
$
(2
)
 
$
(1
)
 
$
12

Loans held for investment

 

 

 
1

Assets measured at fair value on a nonrecurring basis
assets measured at fair value on a nonrecurring basis were as follows:
 
 
 
Fair Value Measurements Using
 
 
(dollar amounts in millions)
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)
Nine Months Ended
September 30, 2018
Impaired loans
53

 

 

 
53

 
1

Other real estate owned
27

 

 

 
27

 
(1
)
Quantitative information about significant unobservable level 3 fair value measurement inputs
 
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2018
(dollar amounts in millions)
Fair Value
 
Valuation Technique
 
Significant Unobservable Input
 
Range (Weighted Average)
Measured at fair value on a recurring basis:
MSRs
$
11

 
Discounted cash flow
 
Constant prepayment rate
 
6% - 54% (8%)

 
 
 
 
 
Spread over forward interest rate
swap rates
 
5% - 11% (8%)

Derivative assets
5

 
Consensus Pricing
 
Net market price
 
-4%-8%(1%)

 
 
 
 
 
Estimated Pull through %
 
3% - 100% (91%)

Derivative liabilities
4

 
Discounted cash flow
 
Estimated conversion factor
 
163
%
 
 
 
 
 
Estimated growth rate of Visa Class A shares
 
7
%
 
 
 
 
 
 Discount rate
 
3
%
 
 
 
 
 
Timing of the resolution of the litigation
 
6/30/2020

Municipal securities
3,277

 
Discounted cash flow
 
Discount rate
 
3% - 4% (3%)

 
 
 
 
 
Cumulative default
 
0% - 64% (4%)

 
 
 
 
 
Loss given default
 
5% - 90% (25%)

Loans held for investment
32

 
Discounted cash flow
 
Discount rate
 
 7% (7%)

 
 
 
 
 
Constant prepayment rate
 
9% (9%)

Measured at fair value on a nonrecurring basis:
Impaired loans
53

 
Appraisal value
 
NA
 
NA

Other real estate owned
27

 
Appraisal value
 
NA
 
NA

 
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2017
(dollar amounts in millions)
Fair Value
 
Valuation Technique
 
Significant Unobservable Input
 
Range (Weighted Average)
Measured at fair value on a recurring basis:
MSRs
$
11

 
Discounted cash flow
 
Constant prepayment rate
 
8% - 33% (12%)
 
 
 
 
 
Spread over forward interest rate
swap rates
 
8% - 10% (8%)
Derivative assets
6

 
Consensus Pricing
 
Net market price
 
-5% - 20% (2%)
 
 
 
 
 
Estimated Pull through %
 
3% - 100% (75%)
Derivative liabilities
5

 
Discounted cash flow
 
Estimated conversion factor
 
165%
 
 
 
 
 
Estimated growth rate of Visa Class A shares
 
7%
 
 
 
 
 
 Discount rate
 
3%
 
 
 
 
 
Timing of the resolution of the litigation
 
12/31/2017 - 06/30/2020
Municipal securities
3,167

 
Discounted cash flow
 
Discount rate
 
0% - 10% (4%)
 
 
 
 
 
Cumulative default
 
0% - 64% (3%)
 
 
 
 
 
Loss given default
 
5% - 90% (24%)
Asset-backed securities
24

 
Discounted cash flow
 
Discount rate
 
7% - 7% (7%)
 
 
 
 
 
Cumulative prepayment rate
 
0% - 72% (7%)
 
 
 
 
 
Cumulative default
 
3% - 53% (7%)
 
 
 
 
 
Loss given default
 
90% - 100% (98%)
 
 
 
 
 
Cure given deferral
 
50% - 50% (50%)
Loans held for investment
38

 
Discounted cash flow
 
Discount rate
 
7% - 18% (8%)
 
 
 
 
 
Constant prepayment rate
 
2% - 22% (9%)
Measured at fair value on a nonrecurring basis:
MSRs
190

 
Discounted cash flow
 
Constant prepayment rate
 
6% - 21% (8%)
 
 
 
 
 
Spread over forward interest rate
swap rates
 
2% - 20% (10%)
Impaired loans
36

 
Appraisal value
 
NA
 
NA
Other real estate owned
33

 
Appraisal value
 
NA
 
NA
Carrying amounts and estimated fair values of financial instruments
The following table provides the carrying amounts and estimated fair values of Huntington’s financial instruments at September 30, 2018 and December 31, 2017:
 
September 30, 2018
(dollar amounts in millions)
Amortized Cost
 
Lower of Cost or Market
 
Fair Value or
Fair Value Option
 
Total Carrying Amount
 
Estimated Fair Value
Financial Assets
 
 
 
 
 
 
 
 
 
Cash and short-term assets
1,342

 

 

 
1,342

 
1,342

Trading account securities

 

 
83

 
83

 
83

Available-for-sale securities

 

 
13,727

 
13,727

 
13,727

Held-to-maturity securities
8,465

 

 

 
8,465

 
8,112

Other securities
543

 

 
22

 
565

 
565

Loans held for sale

 
65

 
727

 
792

 
795

Net loans and direct financing leases (1)
72,528

 

 
81

 
72,609

 
71,918

Derivatives

 

 
180

 
180

 
180

Financial Liabilities
 
 
 
 
 
 
 
 
 
Deposits
81,689

 

 

 
81,689

 
81,631

Short-term borrowings
1,348

 

 

 
1,348

 
1,348

Long-term debt
9,385

 

 

 
9,385

 
9,523

Derivatives

 

 
220

 
220

 
220

(1)
Includes collateral-dependent loans measured for impairment.
 
December 31, 2017
(dollar amounts in millions)
Amortized Cost
 
Lower of Cost or Market
 
Fair Value or
Fair Value Option
 
Total Carrying Amount
 
Estimated Fair Value
Financial Assets
 
 
 
 
 
 
 
 
 
Cash and short-term assets
1,567

 

 

 
$
1,567

 
$
1,567

Trading account securities

 

 
86

 
86

 
86

Available-for-sale securities

 

 
14,869

 
14,869

 
14,869

Held-to-maturity securities
9,091

 

 

 
9,091

 
8,971

Other securities
581

 

 
19

 
600

 
600

Loans held for sale

 
75

 
413

 
488

 
491

Net loans and direct financing leases (1)
69,333

 

 
93

 
69,426

 
69,146

Derivatives

 

 
132

 
132

 
132

Financial Liabilities
 
 
 
 
 
 
 
 
 
Deposits
77,041

 

 

 
77,041

 
77,010

Short-term borrowings
5,056

 

 

 
5,056

 
5,056

Long-term debt
9,206

 

 

 
9,206

 
9,402

Derivatives

 

 
86

 
86

 
86

(1)
Includes collateral-dependent loans measured for impairment.
The following table presents the level in the fair value hierarchy for the estimated fair values at September 30, 2018 and December 31, 2017:
 
Estimated Fair Value Measurements at Reporting Date Using
 
September 30, 2018
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
Trading account securities
$
77

 
$
6

 
$

 
$
83

Available-for-sale securities
5

 
10,445

 
3,277

 
13,727

Held-to-maturity securities

 
8,112

 

 
8,112

Other securities
22

 

 

 
22

Loans held for sale

 
727

 
68

 
795

Net loans and direct financing leases

 
49

 
71,869

 
71,918

Financial Liabilities
 
 
 
 
 
 
 
Deposits

 
74,423

 
7,208

 
81,631

Short-term borrowings
2

 

 
1,346

 
1,348

Long-term debt

 
8,986

 
537

 
9,523

 
Estimated Fair Value Measurements at Reporting Date Using
 
December 31, 2017
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
Trading account securities
$
83

 
$
3

 
$

 
$
86

Available-for-sale securities
5

 
11,673

 
3,191

 
14,869

Held-to-maturity securities

 
8,971

 

 
8,971

Other securities
19

 

 

 
19

Loans held for sale

 
413

 
78

 
491

Net loans and direct financing leases

 

 
69,146

 
69,146

Financial Liabilities

 

 

 
 
Deposits

 
73,975

 
3,035

 
77,010

Short-term borrowings

 

 
5,056

 
5,056

Long-term debt

 
8,944

 
458

 
9,402