Amortized cost basis of the closed portfolios used in hedging relationships

[Table of](#ib75bcbc468d84ef69c01608c63d6bb19_10) [Content](#ib75bcbc468d84ef69c01608c63d6bb19_10)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, 2022 and 2021.

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| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
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|  |  | Three Months EndedSeptember 30, |  | Nine Months EndedSeptember 30, |
| (dollar amounts in millions) |  | 2022 |  | 2021 |  | 2022 |  | 2021 |
| Interest rate contracts |  |  |  |  |  |  |  |  |
| Change in fair value of interest rate swaps hedging investment securities (1) |  | $ | 340  |  |  | $ | 2  |  |  | $ | 926  |  |  | $ | 39  |  |
| Change in fair value of hedged investment securities (1) |  | (324) |  |  | —  |  |  | (914) |  |  | (40) |  |
|  |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |
| Change in fair value of interest rate swaps hedging long-term debt (2) |  | (178) |  |  | (22) |  |  | (314) |  |  | (95) |  |
| Change in fair value of hedged long term debt (2) |  | 178  |  |  | 22  |  |  | 315  |  |  | 96  |  |

(1)Recognized in Interest income—available-for-sale securities—taxable in the [Unaudited Condensed Consolidated Statements of Income](#ib75bcbc468d84ef69c01608c63d6bb19_175).(2)Recognized in Interest expense—long-term debt in the [Unaudited Condensed Consolidated Statements of Income](#ib75bcbc468d84ef69c01608c63d6bb19_175).As of September 30, 2022, and December 31, 2021, the following amounts were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges.

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| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
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|  | Amortized Cost |  | Cumulative Amount of Fair Value Hedging Adjustment To Hedged Items |
| (dollar amounts in millions) | September 30, 2022 |  | December 31, 2021 |  | September 30, 2022 |  | December 31, 2021 |
| Assets |  |  |  |  |  |  |  |
| Investment securities (1) | $ | 18,026  |  |  | $ | 17,150  |  |  | $ | (1,032) |  |  | $ | (117) |  |
|  |  |  |  |  |  |  |  |
| Liabilities |  |  |  |  |  |  |  |
| Long-term debt (2) | 4,095  |  |  | 1,981  |  |  | (271) |  |  | 45  |  |
|  |  |  |  |  |  |  |  |

(1)Amounts include the amortized cost basis of closed portfolios used to designate hedging relationships under the portfolio layer method. The hedged item is a layer of the closed portfolio which is expected to be remaining at the end of the hedging relationship. As of September 30, 2022, 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 $892 million, and the amounts of the designated hedging instruments were $9.4 billion.(2)Excluded from the above table are the cumulative amount of fair value hedge adjustments remaining for long-term debt for which hedge accounting has been discontinued in the amounts of $(69) million at September 30, 2022 and $17 million at December 31, 2021.Cash Flow HedgesAt September 30, 2022, Huntington has $22.3 billion of interest rate swaps and collars. These are designated as cash flow hedges for variable rate commercial loans. The change in the fair value of a derivative instrument designated as a cash flow hedge is initially recognized in OCI and is reclassified into income when the hedged item impacts earnings. The initial premium paid for the interest rate collar contracts represents the time value of the contracts and is not included in the measurement of hedge effectiveness. Any change in fair value related to time value is recognized in OCI. The initial premium paid is amortized on a straight line basis as a reduction to interest income over the contractual life of these contracts.Gains and (losses) on interest rate floors, floor spreads, and swaps recognized in other comprehensive income (loss) after-tax were $(456) million and $(29) million for the three-month periods ended September 30, 2022 and 2021, respectively. For the nine-month periods ended September 30, 2022 and 2021, gains and (losses) on interest rate floors and swaps recognized in other comprehensive income were $(782) million and $(131) million, respectively. Derivatives used in mortgage banking activitiesMortgage loan origination hedging activityHuntington’s mortgage origination hedging activity is related to economically hedging Huntington’s mortgage pricing commitments to customers and the secondary sale to third parties. The value of a newly originated mortgage is not firm until the interest rate is committed or locked. Forward commitments to sell economically hedge the possible loss on interest rate lock commitments due to interest rate change. The net asset position of these derivatives at September 30, 2022 and December 31, 2021 were $41 million and $15 million, respectively. At September 30, 2022 and December 31, 2021, Huntington had commitments to sell residential real estate loans of $1.2 billion and $2.1 billion, respectively. These contracts mature in less than one year.80 Huntington Bancshares Incorporated  

