Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUES OF ASSETS AND LIABILITIES (Tables)

v3.20.2
FAIR VALUES OF ASSETS AND LIABILITIES (Tables)
6 Months Ended
Jun. 30, 2020
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 June 30, 2020 and December 31, 2019 are summarized below:
 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
June 30, 2020
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Trading account securities:
 
 
 
 
 
 
 
 
 
Municipal securities
$

 
$
45

 
$

 
$

 
$
45

Available-for-sale securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
8

 

 

 

 
8

Residential CMOs

 
5,118

 

 

 
5,118

Residential MBS

 
3,838

 

 

 
3,838

Commercial MBS

 
788

 

 

 
788

Other agencies

 
147

 

 

 
147

Municipal securities

 
55

 
3,102

 

 
3,157

Private-label CMO

 

 
5

 

 
5

Asset-backed securities

 
155

 
56

 

 
211

Corporate debt

 
21

 

 

 
21

Other securities/sovereign debt

 
4

 

 

 
4

 
8

 
10,126

 
3,163

 

 
13,297

Other securities
56

 

 

 

 
56

Loans held for sale

 
954

 

 

 
954

Loans held for investment

 
67

 
25

 

 
92

MSRs

 

 
172

 

 
172

Derivative assets

 
2,278

 
43

 
(1,214
)
 
1,107

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
1,276

 
3

 
(1,107
)
 
172

 
Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
 
December 31, 2019
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
 
Assets
 
 
 
 
 
 
 
 
 
Trading account securities:
 
 
 
 
 
 
 
 
 
Federal agencies: Other agencies
$

 
$
4

 
$

 
$

 
$
4

Municipal securities

 
63

 

 

 
63

Other securities
30

 
2

 

 

 
32

 
30

 
69

 

 

 
99

Available-for-sale securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
10

 

 

 

 
10

Residential CMOs

 
5,085

 

 

 
5,085

Residential MBS

 
4,222

 

 

 
4,222

Commercial MBS

 
976

 

 

 
976

Other agencies

 
165

 

 

 
165

Municipal securities

 
56

 
2,999

 

 
3,055

Private-label CMO

 

 
2

 

 
2

Asset-backed securities

 
531

 
48

 

 
579

Corporate debt

 
51

 

 

 
51

Other securities/sovereign debt

 
4

 

 

 
4

 
10

 
11,090

 
3,049

 

 
14,149

Other securities
54

 

 

 

 
54

Loans held for sale

 
781

 

 

 
781

Loans held for investment

 
55

 
26

 

 
81

MSRs

 

 
7

 

 
7

Derivative assets

 
848

 
8

 
(404
)
 
452

Liabilities
 
 
 
 
 
 
 
 
 
Derivative liabilities

 
519

 
2

 
(417
)
 
104


(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
The tables below present a rollforward of the balance sheet amounts for the three-month and six-month periods ended June 30, 2020 and 2019, for financial instruments measured on a recurring basis and classified as Level 3. The classification of an item as Level 3 is based on the significance of the unobservable inputs to the overall fair value measurement. However, Level 3 measurements may also include observable components of value that can be validated externally. Accordingly, the gains and losses in the table below include changes in fair value due in part to observable factors that are part of the valuation methodology.
 
Level 3 Fair Value Measurements
Three Months Ended June 30, 2020
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-backed
securities
 
Loans held for investment
Opening balance
$
165

 
$
39

 
$
2,937

 
$
2

 
$
69

 
$
26

Transfers out of Level 3 (1)

 
(55
)
 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
7

 
56

 

 

 

 

Included in OCI

 

 
69

 

 

 

Purchases/originations

 

 
264

 
3

 

 

Repayments

 

 

 

 

 
(1
)
Settlements

 

 
(168
)
 

 
(13
)
 

Closing balance
$
172

 
$
40

 
$
3,102

 
$
5

 
$
56

 
$
25

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
7

 
$

 
$

 
$

 
$

 
$

Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period

 

 
(20
)
 

 

 

 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 Fair Value Measurements
Three Months Ended June 30, 2019
 
MSRs
 
Derivative
instruments
 
Available-for-sale securities
 
Loans held for investment
(dollar amounts in millions)
 
 
Municipal
securities
 
Opening balance
$
10

 
$
5

 
$
3,237

 
$
29

Transfers out of Level 3 (1)

 
(15
)
 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
Included in earnings
(1
)
 
19

 
(1
)
 

Included in OCI

 

 
3

 

Purchases/originations

 

 
28

 

Repayments

 

 

 
(1
)
Settlements

 

 
(65
)
 

Closing balance
$
9

 
$
9

 
$
3,202

 
$
28

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
(1
)
 
$
4

 
$

 
$

Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period
$

 
$

 
3

 
$


 
Level 3 Fair Value Measurements
Six Months Ended June 30, 2020
 
 
 
 
 
Available-for-sale securities
 
 
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Private-
label
CMO
 
Asset-backed
securities
 
Loans held for investment
Opening balance
$
7

 
$
6

 
$
2,999

 
$
2

 
$
48

 
$
26

Fair value election for servicing assets previously measured using the amortized method

205

 

 

 

 

 

Transfers out of Level 3 (1)

 
(75
)
 

 

 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
 
 
 
 
Included in earnings
(40
)
 
109

 
(1
)
 

 

 

Included in OCI

 

 
1

 

 

 

Purchases/originations

 

 
338

 
3

 
28

 

Repayments

 

 

 

 

 
(1
)
Settlements

 

 
(235
)
 

 
(20
)
 

Closing balance
$
172

 
$
40

 
$
3,102

 
$
5

 
$
56

 
$
25

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
(40
)
 
$
34

 
$

 
$

 
$

 
$

Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period

 

 
2

 

 

 

 
Level 3 Fair Value Measurements
Six Months Ended June 30, 2019
 
 
 
 
 
Available-for-sale securities
 
Loans held for investment
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
 
Opening balance
$
10

 
$
2

 
$
3,165

 
$
30

Transfers out of Level 3 (1)

 
(24
)
 

 

Total gains/losses for the period:
 
 
 
 
 
 
 
Included in earnings
(1
)
 
31

 

 

Included in OCI

 

 
46

 

Purchases/originations

 

 
108

 

Repayments

 

 

 
(2
)
Settlements

 

 
(117
)
 

Closing balance
$
9

 
$
9

 
$
3,202

 
$
28

Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date
$
(1
)
 
$
6

 
$

 
$

Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period

 

 
46

 


(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.
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 six-month periods ended June 30, 2020 and 2019:
 
 
 
 
 
 
 
Level 3 Fair Value Measurements
Three Months Ended June 30, 2020
 
 
 
 
 
Available-for-sale securities
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
Classification of gains and losses in earnings:
 
 
 
 
 
Mortgage banking income
$
7

 
$
56

 
$

Interest and fee income

 

 

Total
$
7

 
$
56

 
$

 
 
 
 
 
 
 
Level 3 Fair Value Measurements
Three Months Ended June 30, 2019
 
 
 
 
 
Available-for-sale securities
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
Classification of gains and losses in earnings:
 
 
 
 
 
Mortgage banking income
$
(1
)
 
$
19

 
$

Interest and fee income

 

 
(1
)
Total
$
(1
)
 
$
19

 
$
(1
)

 
Level 3 Fair Value Measurements
Six Months Ended June 30, 2020
 
 
 
 
 
Available-for-sale securities
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
Classification of gains and losses in earnings:
 
 
 
 
 
Mortgage banking income
$
(40
)
 
$
109

 
$

Interest and fee income

 

 
(1
)
Total
$
(40
)
 
$
109

 
$
(1
)
 
Level 3 Fair Value Measurements
Six Months Ended June 30, 2019
 
 
 
 
 
Available-for-sale securities
(dollar amounts in millions)
MSRs
 
Derivative
instruments
 
Municipal
securities
Classification of gains and losses in earnings:
 
 
 
 
 
Mortgage banking income
$
(1
)
 
$
31

 
$

Interest and fee income

 

 

Total
$
(1
)
 
$
31

 
$


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:
 
June 30, 2020
(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
$
954

 
$
906

 
$
48

 
$
1

 
$
1

 
$

Loans held for investment
92

 
97

 
(5
)
 
4

 
4

 

 
December 31, 2019
(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
$
781

 
$
755

 
$
26

 
$
2

 
$
2

 
$

Loans held for investment
81

 
87

 
(6
)
 
3

 
4

 
(1
)
The following tables present the net gains (losses) from fair value changes for the three-month and six-month periods ended June 30, 2020 and 2019.
 
 
Net gains (losses) from fair value changes
 
Net gains (losses) from fair value changes
(dollar amounts in millions)
 
Three Months Ended June 30,
 
Six Months Ended June 30,
Assets
 
2020
 
2019
 
2020
 
2019
Loans held for sale (1)
 
$
3

 
$
8

 
$
22

 
$
6

(1)
The net gains (losses) from fair value changes are included in Mortgage banking income on the Unaudited Condensed Consolidated Statements of Income.
Assets measured at fair value on a nonrecurring basis
The amounts measured at fair value on a nonrecurring basis at June 30, 2020 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)
Six Months Ended
June 30, 2020
Collateral-dependent loans
116

 

 

 
116

 
(38
)
Loans held for sale
76

 

 

 
76

 
(45
)

Quantitative information about significant unobservable level 3 fair value measurement inputs
 
Quantitative Information about Level 3 Fair Value Measurements at June 30, 2020 (1)
(dollar amounts in millions)
Fair Value
 
Valuation Technique
 
Significant Unobservable Input
 
Range
 
Weighted Average
Measured at fair value on a recurring basis:
MSRs
$
172

 
Discounted cash flow
 
Constant prepayment rate
 
10
 %
-
26%
 
17
%
 
 
 
 
 
Spread over forward interest rate swap rates
 
5
 %
-
11%
 
8
%
Derivative assets
43

 
Consensus Pricing
 
Net market price
 
(3
)%
-
14%
 
4
%
 
 
 
 
 
Estimated Pull through %
 
4
 %
-
100%
 
88
%
Municipal securities
3,102

 
Discounted cash flow
 
Discount rate
 
2
 %
-
2%
 
2
%
Asset-backed securities
56

 
 
 
Cumulative default
 
0
 %
-
39%
 
4
%
 
 
 
 
 
Loss given default
 
5
 %
-
80%
 
24
%
Measured at fair value on a nonrecurring basis:
Collateral-dependent loans
116

 
Appraisal value
 
NA
 
 
 
 
 
NA

(1)
Certain disclosures related to quantitative level 3 fair value measurements do not include those deemed to be immaterial.
 
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019 (1)
(dollar amounts in millions)
Fair Value
 
Valuation Technique
 
Significant Unobservable Input
 
Range
 
Weighted Average
Measured at fair value on a recurring basis:
 
 
 
 
MSRs
$
7

 
Discounted cash flow
 
Constant prepayment rate
 
 %
-
26%
 
8
%
 
 
 
 
 
Spread over forward interest rate swap rates
 
5
 %
-
11%
 
8
%
Derivative assets
8

 
Consensus Pricing
 
Net market price
 
(2
)%
-
11%
 
2
%
 
 
 
 
 
Estimated Pull through %
 
2
 %
-
100%
 
91
%
Municipal securities
2,999

 
Discounted cash flow
 
Discount rate
 
2
 %
-
3%
 
2
%
Asset-backed securities
48

 
 
 
Cumulative default
 
 %
-
39%
 
4
%
 
 
 
 
 
Loss given default
 
5
 %
-
80%
 
24
%
Measured at fair value on a nonrecurring basis:
 
 
 
 
MSRs
206

 
Discounted cash flow
 
Constant prepayment rate
 
10
 %
-
31%
 
12
%
 
 
 
 
 
Spread over forward interest rate swap rates
 
5
 %
-
11%
 
9
%
Impaired loans
26

 
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 June 30, 2020 and December 31, 2019:
 
June 30, 2020
(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
$
6,375

 
$

 
$

 
$
6,375

 
$
6,375

Trading account securities

 

 
45

 
45

 
45

Available-for-sale securities

 

 
13,297

 
13,297

 
13,297

Held-to-maturity securities
9,416

 

 

 
9,416

 
9,856

Other securities
382

 

 
56

 
438

 
438

Loans held for sale

 
211

 
954

 
1,165

 
1,167

Net loans and leases (1)
78,345

 

 
92

 
78,437

 
79,502

Derivative assets

 

 
1,107

 
1,107

 
1,107

Financial Liabilities
 
 
 
 
 
 
 
 
 
Deposits
93,691

 

 

 
93,691

 
93,702

Short-term borrowings
146

 

 

 
146

 
146

Long-term debt
9,753

 

 

 
9,753

 
9,992

Derivative liabilities

 

 
172

 
172

 
172

 
December 31, 2019
(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
$
1,272

 
$

 
$

 
$
1,272

 
$
1,272

Trading account securities

 

 
99

 
99

 
99

Available-for-sale securities

 

 
14,149

 
14,149

 
14,149

Held-to-maturity securities
9,070

 

 

 
9,070

 
9,186

Other securities
387

 

 
54

 
441

 
441

Loans held for sale

 
96

 
781

 
877

 
879

Net loans and leases (1)
74,540

 

 
81

 
74,621

 
75,177

Derivative assets

 

 
452

 
452

 
452

Financial Liabilities
 
 
 
 
 
 
 
 
 
Deposits
82,347

 

 

 
82,347

 
82,344

Short-term borrowings
2,606

 

 

 
2,606

 
2,606

Long-term debt
9,849

 

 

 
9,849

 
10,075

Derivative liabilities

 

 
104

 
104

 
104

(1)
Includes collateral-dependent loans.
The following table presents the level in the fair value hierarchy for the estimated fair values at June 30, 2020 and December 31, 2019:
 
Estimated Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1) 
June 30, 2020
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
 
Trading account securities
$

 
$
45

 
$

 
 
$
45

Available-for-sale securities
8

 
10,126

 
3,163

 
 
13,297

Held-to-maturity securities

 
9,856

 

 
 
9,856

Other securities (2)
56

 

 

 
 
56

Loans held for sale

 
954

 
213

 
 
1,167

Net loans and direct financing leases

 
67

 
79,435

 
 
79,502

Derivative assets

 
2,278

 
43

 
$
(1,214
)
1,107

Financial Liabilities
 
 
 
 
 
 
 
 
Deposits

 
90,153

 
3,549

 
 
93,702

Short-term borrowings

 

 
146

 
 
146

Long-term debt

 
9,374

 
618

 
 
9,992

Derivative liabilities

 
1,276

 
3

 
(1,107
)
172

 
Estimated Fair Value Measurements at Reporting Date Using
 
Netting Adjustments (1)
December 31, 2019
(dollar amounts in millions)
Level 1
 
Level 2
 
Level 3
 
Financial Assets
 
 
 
 
 
 
 
 
Trading account securities
$
30

 
$
69

 
$

 
 
$
99

Available-for-sale securities
10

 
11,090

 
3,049

 
 
14,149

Held-to-maturity securities

 
9,186

 

 
 
9,186

Other securities (2)
54

 

 

 
 
54

Loans held for sale

 
781

 
98

 
 
879

Net loans and direct financing leases

 
55

 
75,122

 
 
75,177

Derivative assets

 
848

 
8

 
$
(404
)
452

Financial Liabilities

 

 

 
 
 
Deposits

 
76,790

 
5,554

 
 
82,344

Short-term borrowings

 

 
2,606

 
 
2,606

Long-term debt

 
9,439

 
636

 
 
10,075

Derivative liabilities

 
519

 
2

 
(417
)
104