Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

v3.21.2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Asset and liability derivatives included in accrued income and other assets
September 30, 2021 December 31, 2020
(dollar amounts in millions) Notional Value Asset Liability Notional Value Asset Liability
Derivatives designated as Hedging Instruments
Interest rate contracts $ 20,053  $ 413  $ 12  $ 27,056  $ 719  $ 51 
Foreign exchange contracts 209  —  —  —  —  — 
Derivatives not designated as Hedging Instruments
Interest rate contracts 54,089  772  665  44,495  1,074  828 
Foreign exchange contracts 3,568  35  30  2,718  46  47 
Commodities contracts 1,255  353  351  1,952  107  103 
Equity contracts 705  13  517  — 
Total Contracts $ 79,879  $ 1,586  $ 1,063  $ 76,738  $ 1,946  $ 1,033 
Gains and (losses) recognized in other comprehensive income (loss) (OCI) for derivatives designated as effective cash flow hedges
The following table presents the amount of gain or loss recognized in income for derivatives not designated as hedging instruments under ASC Subtopic 815-10 in the Unaudited Condensed Consolidated Income Statement for the three-month and nine-month periods ended September 30, 2021 and 2020, respectively.
Location of Gain or (Loss) Recognized in Income
on Derivative
Amount of Gain or (Loss) Recognized in Income on Derivative
Three Months Ended
September 30,
Nine Months Ended
September 30,
(dollar amounts in millions) 2021 2020 2021 2020
Interest rate contracts:
Customer Capital markets fees $ 13  $ 10  $ 37  $ 39 
Mortgage banking Mortgage banking income 47  (24) 109 
Interest rate floors Interest and fee income on loans and leases (4) —  (8) — 
Interest rate caps Interest expense on long-term debt —  —  89  — 
Foreign exchange contracts Capital markets fees 22  18 
Commodities contracts Capital markets fees (1) —  (1)
Equity contracts Other noninterest expense (2) (1) (6) (3)
Total $ 20  $ 63  $ 109  $ 165 
Gross notional values of derivatives used in asset and liability management activities
The following table presents the gross notional values of derivatives used in Huntington’s asset and liability management activities at September 30, 2021 and December 31, 2020, identified by the underlying interest rate-sensitive instruments.
September 30, 2021
(dollar amounts in millions) Fair Value Hedges Cash Flow Hedges Economic Hedges Total
Instruments associated with:
Investment securities $ 7,372  $ —  $ —  $ 7,372 
Loans —  7,925  271  8,196 
Long-term debt 4,756  —  —  4,756 
Total notional value at September 30, 2021 $ 12,128  $ 7,925  $ 271  $ 20,324 
December 31, 2020
(dollar amounts in millions) Fair Value Hedges Cash Flow Hedges Economic Hedges Total
Instruments associated with:
Investment securities $ 3,484  $ —  $ —  $ 3,484 
Loans —  17,375  1,271  18,646 
Long-term debt 6,197  —  5,000  11,197 
Total notional value at December 31, 2020 $ 9,681  $ 17,375  $ 6,271  $ 33,327 
Increase or (decrease) to interest expense for derivatives designated as fair value hedges
The following table presents the change in fair value for derivatives designated as fair value hedges as well as the offsetting change in fair value on the hedged item for the three-month and nine-month periods ended September 30, 2021 and 2020.
Three Months Ended
September 30,
Nine Months Ended
September 30,
(dollar amounts in millions) 2021 2020 2021 2020
Interest rate contracts
Change in fair value of interest rate swaps hedging investment securities (1) $ $ —  $ 39  $ (1)
Change in fair value of hedged investment securities (1) —  —  (40)
Change in fair value of interest rate swaps hedging long-term debt (2) (22) (36) (95) 159 
Change in fair value of hedged long term debt (2) 22  35  96  (160)
(1)Recognized in Interest income—available-for-sale securities—taxable in the Unaudited Condensed Consolidated Statements of Income
(2)Recognized in Interest expense—long-term debt in the Unaudited Condensed Consolidated Statements of Income.
Amounts recorded on the balance sheet related to cumulative basis adjustments
As of September 30, 2021, and December 31, 2020, the following amounts were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges.
Amortized Cost Cumulative Amount of Fair Value Hedging Adjustment To Hedged Items
(dollar amounts in millions) September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020
Assets
Investment securities (1) $ 17,630  $ 6,637  $ $
Liabilities
Long-term debt 4,882  6,383  135  232 
(1)Amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. As of September 30, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $17.2 billion, the cumulative basis adjustments associated with these hedging relationships was $1 million, and the amounts of the designated hedging instruments were $7.0 billion.
Offsetting of financial assets and derivatives assets
The following tables present the gross amounts of these assets and liabilities with any offsets to arrive at the net amounts recognized in the Unaudited Condensed Consolidated Balance Sheets at September 30, 2021 and December 31, 2020.

Offsetting of Financial Assets and Derivative Assets
Gross amounts
offset in the unaudited
condensed
consolidated
balance sheets
Net amounts of
assets
presented in
the unaudited condensed
consolidated
balance sheets
Gross amounts not offset in the
unaudited condensed consolidated
balance sheets
(dollar amounts in millions)
Gross amounts
of recognized
assets
Financial
instruments
Cash collateral
received
Net amount
September 30, 2021 $ 1,586  $ (686) $ 900  $ (81) $ (61) $ 758 
December 31, 2020 1,946  (889) 1,057  (112) (142) 803 
MSR Derivative Hedging
The notional value of the derivative financial instruments, the corresponding net asset (liability) position recognized in other assets and/or other liabilities, and net trading gains (losses) related to MSR hedging activity is summarized in the following table:

(dollar amounts in millions) September 30,
2021
December 31,
2020
Notional value $ 1,153  $ 1,170 
Trading assets 17  43 

Three Months Ended
September 30, 2021
Nine Months Ended
September 30, 2021
(dollar amounts in millions) 2021 2020 2021 2020
Trading gains $ (4) $ (1) $ (28) $ 61 
Offsetting of financial liabilities and derivative liabilities
Offsetting of Financial Liabilities and Derivative Liabilities
Gross amounts
offset in the unaudited
condensed
consolidated
balance sheets
Net amounts of
liabilities
presented in
the unaudited condensed
consolidated
balance sheets
Gross amounts not offset in the
unaudited condensed consolidated
balance sheets
(dollar amounts in millions)
Gross amounts
of recognized
liabilities
Financial
instruments
Cash collateral
delivered
Net amount
September 30, 2021 $ 1,063  $ (813) $ 250  $ —  $ (225) $ 25 
December 31, 2020 1,033  (917) 116  (9) (105)