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)
 9 Months Ended
Sep. 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 September 30, 2020 and December 31, 2019 are summarized below:
Fair Value Measurements at Reporting Date Using Netting Adjustments (1) September 30, 2020
(dollar amounts in millions) Level 1 Level 2 Level 3
Assets
Trading account securities:
Municipal securities $ —  $ 54  $ —  $ —  $ 54 
Available-for-sale securities:
U.S. Treasury securities 5  —  —  —  5 
Residential CMOs —  4,498  —  —  4,498 
Residential MBS —  5,761  —  —  5,761 
Commercial MBS —  807  —  —  807 
Other agencies —  114  —  —  114 
Municipal securities —  55  3,089  —  3,144 
Private-label CMO —  —  5  —  5 
Asset-backed securities —  154  49  —  203 
Corporate debt —  266  —  —  266 
Other securities/sovereign debt —  4  —  —  4 
5  11,659  3,143  —  14,807 
Other securities 58  —  —  —  58 
Loans held for sale —  1,118  —  —  1,118 
Loans held for investment —  68  24  —  92 
MSRs —  —  191  —  191 
Derivative assets —  2,093  50  (1,055) 1,088 
Liabilities
Derivative liabilities —  1,170  2  (1,062) 110 
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 nine-month periods ended September 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 September 30, 2020
Available-for-sale securities Loans held for investment
(dollar amounts in millions) MSRs
Derivative
instruments
Municipal
securities
 Private-
label CMO
Asset-backed
securities
Opening balance $ 172  $ 40  $ 3,102  $ 5  $ 56  $ 25 
Transfers out of Level 3 (1) —  (64) —  —  —  — 
Total gains/losses for the period:
Included in earnings 19  72  (1) —  —  — 
Included in OCI —  —  60  —  —  — 
Purchases/originations —  —  154  —  —  — 
Repayments —  —  —  —  —  (1)
Settlements —  —  (226) —  (7) — 
Closing balance $ 191  $ 48  $ 3,089  $ 5  $ 49  $ 24 
Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date $ 18  $ 8  $ —  $ —  $ —  $ — 
Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period —  —  62  —  —  — 
Level 3 Fair Value Measurements
Three Months Ended September 30, 2019
MSRs
Derivative
instruments
 Available-for-sale securities Loans held for investment
(dollar amounts in millions)
Municipal
securities
Asset-backed
securities
Opening balance $ 9  $ 9  $ 3,202  $ —  $ 28 
Transfers out of Level 3 (1) —  (20) —  —  — 
Total gains/losses for the period:
Included in earnings (1) 19  (1) —  — 
Included in OCI —  —  24  —  — 
Purchases/originations —  —  28  55  — 
Repayments —  —  —  —  (1)
Settlements —  —  (159) —  — 
Closing balance $ 8  $ 8  $ 3,094  $ 55  $ 27 
Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date $ (1) $ (1) $ —  $ —  $ — 
Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period $ —  $ —  23  $ — 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2020
Available-for-sale securities
Loans held for investment
(dollar amounts in millions)
MSRs
Derivative
instruments
Municipal
securities
 Private- label CMO
Asset-backed
securities
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) —  (139) —  —  —  — 
Total gains/losses for the period:
Included in earnings (21) 181  (2) —  —  — 
Included in OCI —  —  61  —  —  — 
Purchases/originations —  —  491  3  28  — 
Repayments —  —  —  —  —  (2)
Settlements —  —  (460) —  (27) — 
Closing balance $ 191  $ 48  $ 3,089  $ 5  $ 49  $ 24 
Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date $ (22) $ 42  $ —  $ —  $ —  $ — 
Change in unrealized gains or losses for the period included in other comprehensive income for assets held at the end of the reporting period —  —  64  —  —  — 
Level 3 Fair Value Measurements
Nine Months Ended September 30, 2019
Available-for-sale securities
Loans held for investment
(dollar amounts in millions)
MSRs
Derivative
instruments
Municipal
securities
Asset-
backed
securities
Opening balance $ 10  $ 2  $ 3,165  $ —  $ 30 
Transfers out of Level 3 (1) —  (44) —  —  — 
Total gains/losses for the period:
Included in earnings (2) 50  (1) —  — 
Included in OCI —  —  70  —  — 
Purchases/originations —  —  136  55  — 
Repayments —  —  —  —  (3)
Settlements —  —  (276) —  — 
Closing balance $ 8  $ 8  $ 3,094  $ 55  $ 27 
Change in unrealized gains or losses for the period included in earnings for assets held at end of the reporting date $ (2) $ 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 —  —  $ 68  — 
(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 nine-month periods ended September 30, 2020 and 2019:
Level 3 Fair Value Measurements
Three Months Ended September 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 $ 19  $ 72  $ — 
Interest and fee income —  —  (1)
Total $ 19  $ 72  $ (1)
Level 3 Fair Value Measurements
Three Months Ended September 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
Nine Months Ended September 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 $ (21) $ 181  $ — 
Interest and fee income —  —  (2)
Total $ (21) $ 181  $ (2)
Level 3 Fair Value Measurements
Nine Months Ended September 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 $ (2) $ 50  $ — 
Interest and fee income —  —  (1)
Total $ (2) $ 50  $ (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, 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 $ 1,118  $ 1,057  $ 61  $ 1  $ 1  $ — 
Loans held for investment 92  97  (5) 5  5  — 
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 nine-month periods ended September 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 September 30, Nine Months Ended September 30,
Assets 2020 2019 2020 2019
Loans held for sale (1) $ 13  $ 6  $ 35  $ 12 
(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 September 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)
Nine Months Ended
September 30, 2020
Collateral-dependent loans 124  —  —  124  (39)
Loans held for sale 107  —  —  107  (58)
Quantitative information about significant unobservable level 3 fair value measurement inputs
Quantitative Information about Level 3 Fair Value Measurements at September 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 $ 191  Discounted cash flow Constant prepayment rate 9  % - 23% 16  %
Spread over forward interest rate swap rates 5  % - 11% 8  %
Derivative assets 50  Consensus Pricing Net market price (1) % - 13% 4  %
Estimated Pull through % 4  % - 100% 88  %
Municipal securities 3,089  Discounted cash flow Discount rate —  % - 8% 3  %
Asset-backed securities 49  Cumulative default 0  % - 39% 4  %
Loss given default 5  % - 80% 24  %
Measured at fair value on a nonrecurring basis:
Collateral-dependent loans 124  Appraisal value NA NA

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 September 30, 2020 and December 31, 2019:
September 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 $ 6,384  $ —  $ —  $ 6,384  $ 6,384 
Trading account securities —  —  54  54  54 
Available-for-sale securities —  —  14,807  14,807  14,807 
Held-to-maturity securities 8,557  —  —  8,557  8,970 
Other securities 363  —  58  421  421 
Loans held for sale —  185  1,118  1,303  1,308 
Net loans and leases (1) 79,268  —  92  79,360  80,490 
Derivative assets —  —  1,088  1,088  1,088 
Financial Liabilities
Deposits 95,154  —  —  95,154  95,350 
Short-term borrowings 222  —  —  222  222 
Long-term debt 9,174  —  —  9,174  9,440 
Derivative liabilities —  —  110  110  110 
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 September 30, 2020 and December 31, 2019:
Estimated Fair Value Measurements at Reporting Date Using Netting Adjustments (1)  September 30, 2020
(dollar amounts in millions) Level 1 Level 2 Level 3
Financial Assets
Trading account securities $ —  $ 54  $ —  $ 54 
Available-for-sale securities 5  11,659  3,143  14,807 
Held-to-maturity securities —  8,970  —  8,970 
Other securities (2) 58  —  —  58 
Loans held for sale —  1,118  190  1,308 
Net loans and direct financing leases —  68  80,422  80,490 
Derivative assets —  2,093  50  $ (1,055) 1,088 
Financial Liabilities
Deposits —  92,779  2,571  95,350 
Short-term borrowings —  —  222  222 
Long-term debt —  8,877  563  9,440 
Derivative liabilities —  1,170  2  (1,062) 110 
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