Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

v3.7.0.1
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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 June 30, 2017, identified by the underlying interest rate-sensitive instruments:
(dollar amounts in thousands)
Fair Value Hedges
 
Cash Flow Hedges
 
Total
Instruments associated with:
 
 
 
 
 
Loans
$

 
$
1,925,000

 
$
1,925,000

Deposits

 

 

Subordinated notes
950,000

 

 
950,000

Long-term debt
6,725,000

 

 
6,725,000

Total notional value at June 30, 2017
$
7,675,000

 
$
1,925,000

 
$
9,600,000

Additional information about the interest rate swaps used in asset and liability management activities
The following table presents additional information about the interest rate swaps used in Huntington’s asset and liability management activities at June 30, 2017:
 
 
 
 
 
 
 
Weighted-Average
Rate
(dollar amounts in thousands)
Notional Value
 
Average Maturity (years)
 
Fair Value
 
Receive
 
Pay
Asset conversion swaps
 
 
 
 
 
 
 
 
 
Receive fixed—generic
$
1,925,000

 
0.3
 
$
(3,420
)
 
1.07
%
 
1.44
%
Liability conversion swaps
 
 
 
 
 
 
 
 
 
Receive fixed—generic
7,675,000

 
2.8
 
(46,490
)
 
1.54

 
1.19

Total swap portfolio at June 30, 2017
$
9,600,000

 
2.3
 
$
(49,910
)
 
1.44
%
 
1.24
%
Asset and liability derivatives included in accrued income and other assets
 
June 30, 2017
December 31, 2016
(dollar amounts in thousands)
Asset
 
Liability
 
Asset
 
Liability
Derivatives designated as Hedging Instruments
 
 
 
 
 
 
 
Interest rate contracts
$
40,416

 
$
90,326

 
$
46,440

 
$
99,996

Derivatives not designated as Hedging Instruments
 
 
 
 
 
 
 
Interest rate contracts
192,000

 
114,889

 
213,587

 
143,976

Foreign exchange contracts
27,655

 
27,883

 
23,265

 
19,576

Commodities contracts
53,295

 
49,520

 
108,026

 
104,328

Equity contracts
10,728

 
5,694

 
9,775

 

Total Contracts
$
324,094

 
$
288,312

 
$
401,093

 
$
367,876

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 six-month periods ended June 30, 2017 and 2016:
 
Three Months Ended
June 30,
 
Six Months Ended
June 30,
(dollar amounts in thousands)
2017
 
2016
 
2017
 
2016
Interest rate contracts
 
 
 
 
 
 
 
Change in fair value of interest rate swaps hedging deposits (1)
$

 
$

 
$
(76
)
 
$
(82
)
Change in fair value of hedged deposits (1)

 

 

 
72

Change in fair value of interest rate swaps hedging subordinated notes (2)
2,277

 
4

 
(2,431
)
 
6,809

Change in fair value of hedged subordinated notes (2)
(2,235
)
 
(4
)
 
3,168

 
(6,809
)
Change in fair value of interest rate swaps hedging other long-term debt (2)
15,832

 
22,017

 
5,551

 
83,049

Change in fair value of hedged other long-term debt (2)
(16,913
)
 
(21,047
)
 
(8,378
)
 
(80,834
)
(1)
Effective portion of the hedging relationship is recognized in Interest expense—deposits in the Unaudited Condensed Consolidated Statements of Income. Any resulting ineffective portion of the hedging relationship is recognized in noninterest income in the Unaudited Condensed Consolidated Statements of Income.
(2)
Effective portion of the hedging relationship is recognized in Interest expense—subordinated notes and other long-term debt in the Unaudited Condensed Consolidated Statements of Income. Any resulting ineffective portion of the hedging relationship is recognized in noninterest income in the Unaudited Condensed Consolidated Statements of Income.
Gains and (losses) recognized in other comprehensive income (loss) (OCI) for derivatives designated as effective cash flow hedges
The following table presents the gains and (losses) recognized in OCI and the location in the Unaudited Condensed Consolidated Statements of Income of gains and (losses) reclassified from OCI into earnings for derivatives designated as effective cash flow hedges for the three-month and six-month periods ended June 30, 2017 and 2016:
 
 
 
 
 
 
 
 
 
 
Derivatives in cash flow hedging relationships
Amount of gain or
(loss) recognized in
OCI on derivatives
(effective portion)
(after-tax)
 
Location of gain or (loss) reclassified from
accumulated OCI into earnings (effective portion)
 
Amount of (gain) or loss
reclassified from
accumulated OCI
into earnings
(effective portion)
 
Three Months Ended June 30,
 
 
 
Three Months Ended June 30,
(dollar amounts in thousands)
2017
 
2016
 
 
 
2017
 
2016
Interest rate contracts
 
 
 
 
 
 
 
 
 
Loans
$
793

 
$
1,293

 
Interest and fee income - loans and leases
 
$
427

 
$
(248
)
Investment Securities

 

 
Noninterest income - other income
 

 

Total
$
793

 
$
1,293

 
 
 
$
427

 
$
(248
)
Derivatives in cash flow hedging relationships
Amount of gain or
(loss) recognized in
OCI on derivatives
(effective portion)
(after-tax)
 
Location of gain or (loss) reclassified from
accumulated OCI into earnings (effective portion)
 
Amount of (gain) or loss
reclassified from
accumulated OCI
into earnings
(effective portion)
 
Six Months Ended June 30,
 
 
 
Six Months Ended June 30,
(dollar amounts in thousands)
2017
 
2016
 
 
 
2017
 
2016
Interest rate contracts
 
 
 
 
 
 
 
 
 
Loans
$
(397
)
 
$
10,542

 
Interest and fee income - loans and leases
 
$
987

 
$
(893
)
Investment Securities

 

 
Noninterest income - other income
 

 
1


$
(397
)
 
$
10,542

 
 
 
$
987

 
$
(892
)
Gains and (losses) recognized in noninterest income on the ineffective portion on interest rate contracts for derivatives designated as fair value and cash flow hedges
The following table presents the gains and (losses) recognized in noninterest income for the ineffective portion of interest rate contracts for derivatives designated as cash flow hedges for the three and six-month periods ended June 30, 2017 and 2016:
Derivatives in cash flow hedging relationships
Three Months Ended
June 30,
 
Six Months Ended
June 30,
(dollar amounts in thousands)
2017
 
2016
 
2017
 
2016
Interest rate contracts
 
 
 
 
 
 
 
Loans
$
(31
)
 
$
421

 
$
(134
)
 
$
377

Derivative assets and liabilities used in mortgage banking activities [Table Text Block]
The following table summarizes the derivative assets and liabilities used in mortgage banking activities:
Derivatives used in mortgage banking activities
June 30, 2017
December 31, 2016
(dollar amounts in thousands)
Asset
 
Liability
 
Asset
 
Liability
Interest rate lock agreements
$
9,227

 
$
355

 
$
5,747

 
$
1,598

Forward trades and options
1,642

 
2,178

 
13,319

 
1,173

Total derivatives used in mortgage banking activities
$
10,869

 
$
2,533

 
$
19,066

 
$
2,771

Offsetting of financial liabilities and derivative liabilities

Offsetting of Financial Liabilities and Derivative Liabilities
 
 
 
 
Gross amounts
offset in the
condensed
consolidated
balance sheets
 
Net amounts of
liabilities
presented in
the condensed
consolidated
balance sheets
 
Gross amounts not offset in
the condensed consolidated
balance sheets
 
 
(dollar amounts in thousands)
 
Gross amounts
of recognized
liabilities
 
 
 
Financial
instruments
 
Cash collateral
delivered
 
Net amount
June 30, 2017
Derivatives
$
290,845

 
$
(212,487
)
 
$
78,358

 
$

 
$
(24,348
)
 
$
54,010

December 31, 2016
Derivatives
370,647

 
(272,361
)
 
98,286

 
(7,550
)
 
(23,943
)
 
66,793

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 June 30, 2017 and December 31, 2016:
Offsetting of Financial Liabilities and Derivative Assets
 
 
 
 
Gross amounts
offset in the
condensed
consolidated
balance sheets
 
Net amounts of
assets
presented in
the condensed
consolidated
balance sheets
 
Gross amounts not offset in
the condensed consolidated
balance sheets
 
 
(dollar amounts in thousands)
 
Gross amounts
of recognized
assets
 
 
 
Financial
instruments
 
Cash collateral
received
 
Net amount
June 30, 2017
Derivatives
$
334,963

 
$
(144,951
)
 
$
190,012

 
$
(5,009
)
 
$
(18,448
)
 
$
166,555

December 31, 2016
Derivatives
420,159

 
(181,940
)
 
238,219

 
(34,328
)
 
(5,428
)
 
198,463