Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

v3.20.2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Asset and liability derivatives included in accrued income and other assets
September 30, 2020 December 31, 2019
(dollar amounts in millions) Notional Value Asset Liability Notional Value Asset Liability
Derivatives designated as Hedging Instruments
Interest rate contracts $ 27,671  $ 858  $ 59  $ 25,927  $ 256  $ 36 
Derivatives not designated as Hedging Instruments
Interest rate contracts 33,837  1,109  919  27,614  420  314 
Foreign exchange contracts 2,691  23  24  2,173  19  18 
Commodities contracts 1,899  153  149  3,020  155  152 
Equity contracts 477  —  21  427 
Total Contracts $ 66,575  $ 2,143  $ 1,172  $ 59,161  $ 856  $ 521 
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, 2020 and 2019, 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) 2020 2019 2020 2019
Interest rate contracts:
Customer Capital markets fees $ 10  $ 15  $ 39  $ 38 
Mortgage Banking Mortgage banking income 47  28  109  52 
Interest Rate Floors Interest and fee income on loans and leases —  (1) — 
Foreign exchange contracts Capital markets fees 18  22 
Commodities contracts Capital markets fees —  (3)
Equity contracts Other noninterest expense (1) (2) (3) (3)
Total $ 63  $ 48  $ 165  $ 110 
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, 2020 and December 31, 2019, identified by the underlying interest rate-sensitive instruments.
September 30, 2020
(dollar amounts in millions) Fair Value Hedges Cash Flow Hedges Economic Hedges Total
Instruments associated with:
Loans $ —  $ 17,375  $ 1,000  $ 18,375 
Investment securities 3,309  —  —  3,309 
Long-term debt 6,987  —  —  6,987 
Total notional value at September 30, 2020 $ 10,296  $ 17,375  $ 1,000  $ 28,671 
December 31, 2019
(dollar amounts in millions) Fair Value Hedges Cash Flow Hedges Economic Hedges Total
Instruments associated with:
Loans $ —  $ 18,375  $ —  $ 18,375 
Investment securities —  12  —  12 
Long-term debt 7,540  —  —  7,540 
Total notional value at December 31, 2019 $ 7,540  $ 18,387  $ —  $ 25,927 
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, 2020 and 2019.
Three Months Ended
September 30,
Nine Months Ended
September 30,
(dollar amounts in millions) 2020 2019 2020 2019
Interest rate contracts
Change in fair value of interest rate swaps hedging investment securities (1) $ —  $ —  $ (1) $ — 
Change in fair value of hedged investment securities (1) —  —  — 
Change in fair value of interest rate swaps hedging long-term debt (2) (36) 36  159  165 
Change in fair value of hedged long term debt (2) 35  (32) (160) (162)
(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, 2020, and December 31, 2019, 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, 2020 December 31, 2019 September 30, 2020 December 31, 2019
Investment securities (1) $ 7,389  $ —  $ $ — 
Long-term debt 7,210  7,578  274  114 
Total $ 14,599  $ 7,578  $ 275  $ 114 
(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, 2020, the amortized cost basis of the closed portfolios used in these hedging relationships was $7.2 billion, the cumulative basis adjustments associated with these hedging relationships was $1 million, and the amounts of the designated hedged items were $3.1 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, 2020 and December 31, 2019.
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, 2020 $ 2,143  $ (1,055) $ 1,088  $ (130) $ (56) $ 902 
December 31, 2019 856  (404) 452  (65) (29) 358 
MSR Derivative Hedging
The notional value of the derivative financial instruments, corresponding trading assets and liabilities, and net trading gains (losses) related to MSR hedging activity is summarized in the following table:
(dollar amounts in millions) September 30, 2020 December 31, 2019
Notional value $ 578  $ 778 
Trading assets 56  19 
Three Months Ended
September 30, 2020
Nine Months Ended
September 30, 2020
(dollar amounts in millions) 2020 2019 2020 2019
Trading gains $ (1) $ 20  $ 61  $ 44 
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, 2020 $ 1,172  $ (1,062) $ 110  $ (4) $ (63) $ 43 
December 31, 2019 521  (417) 104  —  (75) 29