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Derivative Financial Instruments (Tables)
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6 Months Ended |
|
Jun. 30, 2011
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| Derivative Financial Instruments [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, 2011, identified by the underlying interest
rate-sensitive instruments:
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Fair Value |
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Cash Flow |
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| (dollar amounts in thousands ) |
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Hedges |
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Hedges |
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Total |
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Instruments associated with:
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Loans
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$ |
— |
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$ |
5,555,000 |
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$ |
5,555,000 |
|
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Investment securities
|
|
|
— |
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50,000 |
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|
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50,000 |
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Deposits
|
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|
958,912 |
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|
— |
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958,912 |
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Subordinated notes
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598,000 |
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— |
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598,000 |
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Other long-term debt
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35,000 |
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— |
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35,000 |
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Total notional value at June 30, 2011
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$ |
1,591,912 |
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$ |
5,605,000 |
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$ |
7,196,912 |
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| 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, 2011:
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Average |
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Weighted-Average |
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Notional |
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Maturity |
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Fair |
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Rate |
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| (dollar amounts in thousands ) |
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Value |
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(years) |
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Value |
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Receive |
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Pay |
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Asset conversion swaps — receive fixed — generic
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$ |
5,605,000 |
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1.9 |
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$ |
55,374 |
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|
1.65 |
% |
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|
0.65 |
% |
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Liability conversion swaps — receive fixed — generic
|
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1,591,912 |
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4.1 |
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69,285 |
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2.53 |
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|
0.32 |
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Total swap portfolio
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$ |
7,196,912 |
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2.4 |
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$ |
124,659 |
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|
1.84 |
% |
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|
0.58 |
% |
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| Asset derivatives included in accrued income and other assets |
Asset derivatives included in accrued income and other assets:
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June 30, |
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December 31, |
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June 30, |
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| (dollar amounts in thousands) |
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2011 |
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2010 |
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|
2010 |
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Interest rate contracts designated as hedging instruments
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$ |
124,659 |
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$ |
127,346 |
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$ |
119,483 |
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Interest rate contracts not designated as hedging instruments
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253,310 |
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|
263,015 |
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|
334,766 |
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Foreign exchange contracts not designated as hedging instruments
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3,793 |
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2,845 |
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|
1,554 |
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Total contracts
|
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$ |
381,762 |
|
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$ |
393,206 |
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$ |
455,803 |
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| Liability derivatives included in accrued expenses and other liabilities |
Liability derivatives included in accrued expenses and other liabilities
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June 30, |
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December 31, |
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June 30, |
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| (dollar amounts in thousands) |
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2011 |
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2010 |
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2010 |
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Interest rate contracts designated as hedging instruments
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$ |
— |
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$ |
— |
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$ |
— |
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Interest rate contracts not designated as hedging instruments
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208,928 |
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233,805 |
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|
267,397 |
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Foreign exchange contracts not designated as hedging instruments
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4,336 |
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3,107 |
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— |
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Total contracts
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$ |
213,264 |
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$ |
236,912 |
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$ |
267,397 |
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| 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, 2011 and 2010:
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Three Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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| (dollar amounts in thousands) |
|
2011 |
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2010 |
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|
2011 |
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2010 |
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Interest rate contracts
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Change in fair value of interest rate swaps hedging deposits (1)
|
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$ |
7,185 |
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$ |
2,269 |
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$ |
909 |
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$ |
5,581 |
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Change in fair value of hedged deposits (1)
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|
(7,117 |
) |
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(1,856 |
) |
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(1,080 |
) |
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(5,012 |
) |
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Change in fair value of interest rate swaps hedging
subordinated notes (2)
|
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|
14,392 |
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12,718 |
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|
5,237 |
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|
16,361 |
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Change in fair value of hedged subordinated notes (2)
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(14,392 |
) |
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(12,718 |
) |
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(5,237 |
) |
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(16,361 |
) |
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Change in fair value of interest rate swaps hedging other
long-term debt (2)
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|
969 |
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2,035 |
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|
389 |
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2,553 |
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Change in fair value of hedged other long-term debt (2)
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(969 |
) |
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(2,035 |
) |
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(389 |
) |
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(2,553 |
) |
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| (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. |
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| (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 the six-month periods ended June 30, 2011 and 2010 for derivatives designated as
effective cash flow hedges:
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Amount of (gain) or loss |
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Amount of gain or |
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reclassified from |
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(loss) recognized in |
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accumulated OCI into |
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| Derivatives in cash flow |
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OCI on derivatives |
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Location of gain or (loss) reclassified from |
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earnings (effective |
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| hedging relationships |
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(effective portion) |
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accumulated OCI into earnings (effective portion) |
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portion) |
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Six Months Ended |
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Six Months Ended |
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June 30, |
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June 30, |
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| (dollar amounts in thousands) |
|
2011 |
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2010 |
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2011 |
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2010 |
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Interest rate contracts
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Loans
|
|
$ |
(3,210 |
) |
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$ |
47,434 |
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|
Interest and fee income — loans and leases |
|
$ |
7,627 |
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|
$ |
(73,381 |
) |
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Investment Securities
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|
468 |
|
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|
— |
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Interest and fee income — investment securities |
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|
— |
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|
— |
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FHLB Advances
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|
— |
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|
— |
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Interest expense — subordinated notes and other long-term debt |
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|
— |
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|
2,216 |
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Deposits
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|
— |
|
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|
— |
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|
Interest expense — deposits |
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|
— |
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|
— |
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Subordinated notes
|
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|
— |
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|
— |
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Interest expense — subordinated notes and other long-term debt |
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|
— |
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|
(837 |
) |
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Other long term debt
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|
— |
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|
— |
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Interest expense — subordinated notes and other long-term debt |
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13 |
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— |
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Total
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|
$ |
(2,742 |
) |
|
$ |
47,434 |
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$ |
7,640 |
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|
$ |
(72,002 |
) |
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| 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 details the gains and (losses) recognized in noninterest income on the
ineffective portion on interest rate contracts for derivatives designated as cash flow hedges for
the three-month and six-month periods ended June 30, 2011 and 2010.
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Three Months Ended |
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Six Months Ended |
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| |
|
June 30, |
|
|
June 30, |
|
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
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|
2010 |
|
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Derivatives in cash flow hedging relationships
|
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Interest rate contracts
|
|
|
|
|
|
|
|
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|
|
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|
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|
Loans
|
|
|
(350 |
) |
|
|
(293 |
) |
|
|
114 |
|
|
|
574 |
|
|
FHLB Advances
|
|
|
— |
|
|
|
— |
|
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|
— |
|
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|
— |
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| Derivative assets and liabilities used in mortgage banking activities |
Derivatives used in mortgage banking activities
Huntington also uses certain derivative financial instruments to offset changes in value of
its MSRs. These derivatives consist primarily of forward interest rate agreements and forward
mortgage securities. The derivative instruments used are not designated as hedges. Accordingly,
such derivatives are recorded at fair value with changes in fair value reflected in mortgage
banking income. The following table summarizes the derivative assets and liabilities used in
mortgage banking activities:
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| |
|
June 30, |
|
|
December 31, |
|
|
June 30, |
|
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2010 |
|
|
Derivative assets:
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Interest rate lock agreements
|
|
$ |
2,102 |
|
|
$ |
2,817 |
|
|
$ |
8,469 |
|
|
Forward trades and options
|
|
|
580 |
|
|
|
20,669 |
|
|
|
109 |
|
|
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|
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Total derivative assets
|
|
|
2,682 |
|
|
|
23,486 |
|
|
|
8,578 |
|
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|
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Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock agreements
|
|
|
(323 |
) |
|
|
(1,445 |
) |
|
|
(79 |
) |
|
Forward trades and options
|
|
|
(2,246 |
) |
|
|
(883 |
) |
|
|
(13,682 |
) |
|
|
|
|
|
|
|
|
|
|
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Total derivative liabilities
|
|
|
(2,569 |
) |
|
|
(2,328 |
) |
|
|
(13,761 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Net derivative asset (liability)
|
|
$ |
113 |
|
|
$ |
21,158 |
|
|
$ |
(5,183 |
) |
|
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|
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