Derivative Financial Instruments (Tables)
|
9 Months Ended |
Sep. 30, 2011 |
|---|
| 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 September 30, 2011, identified by the underlying interest rate-sensitive instruments:
| |
|
|
Fair Value |
|
|
Cash Flow |
|
|
|
| (dollar amounts in thousands ) |
|
Hedges |
|
|
Hedges |
|
|
Total |
| Instruments associated with: |
|
|
|
|
|
|
|
|
| |
Loans |
$ |
--- |
|
$ |
7,045,000 |
|
$ |
7,045,000 |
| |
Investment securities |
|
--- |
|
|
50,000 |
|
|
50,000 |
| |
Deposits |
|
988,912 |
|
|
--- |
|
|
988,912 |
| |
Subordinated notes |
|
598,000 |
|
|
--- |
|
|
598,000 |
| |
Other long-term debt |
|
35,000 |
|
|
--- |
|
|
35,000 |
| Total notional value at September 30, 2011 |
$ |
1,621,912 |
|
$ |
7,095,000 |
|
$ |
8,716,912 |
|
| 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 September 30, 2011:
| |
|
|
|
|
Average |
|
|
|
|
Weighted-Average |
| |
|
|
Notional |
|
Maturity |
|
|
Fair |
|
Rate |
| (dollar amounts in thousands ) |
|
Value |
|
(years) |
|
|
Value |
|
Receive |
Pay |
| Asset conversion swaps - receive fixed - generic |
$ |
7,095,000 |
|
1.9 |
|
$ |
80,447 |
|
1.49 |
% |
0.59 |
% |
| Total asset conversion swaps |
|
7,095,000 |
|
1.9 |
|
|
80,447 |
|
1.49 |
|
0.59 |
|
| Liability conversion swaps |
|
|
|
|
|
|
|
|
|
|
|
|
| Liability conversion swaps - receive fixed - generic |
|
1,591,912 |
|
3.8 |
|
|
115,090 |
|
2.53 |
|
0.36 |
|
| Liability conversion swaps - receive fixed - callable |
|
30,000 |
|
9.0 |
|
|
425 |
|
2.98 |
|
--- |
|
| Total liability conversion swaps |
|
1,621,912 |
|
3.9 |
|
|
115,515 |
|
2.54 |
|
0.36 |
|
| Total swap portfolio |
$ |
8,716,912 |
|
2.2 |
|
$ |
195,962 |
|
1.68 |
% |
0.55 |
% |
|
| Asset and liability derivatives included in accrued income and other assets |
The following table presents the fair values at September 30, 2011, December 31, 2010, and September 30, 2010 of Huntington's derivatives that are designated and not designated as hedging instruments. Amounts in the table below are presented gross without the impact of any net collateral arrangements.
| Asset derivatives included in accrued income and other assets: |
| |
|
|
September 30, |
|
|
December 31, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2010 |
| Interest rate contracts designated as hedging instruments |
$ |
195,962 |
|
$ |
127,346 |
|
$ |
190,045 |
| Interest rate contracts not designated as hedging instruments |
|
330,929 |
|
|
263,015 |
|
|
357,739 |
| Foreign exchange contracts not designated as hedging instruments |
|
20,447 |
|
|
2,845 |
|
|
--- |
| Total contracts |
$ |
547,338 |
|
$ |
393,206 |
|
$ |
547,784 |
| |
|
|
|
|
|
|
|
|
|
| Liability derivatives included in accrued expenses and other liabilities |
| |
|
|
September 30, |
|
|
December 31, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2010 |
| Interest rate contracts designated as hedging instruments |
$ |
--- |
|
$ |
--- |
|
$ |
--- |
| Interest rate contracts not designated as hedging instruments |
|
265,928 |
|
|
233,805 |
|
|
297,380 |
| Foreign exchange contracts not designated as hedging instruments |
|
17,977 |
|
|
3,107 |
|
|
2,440 |
| Total contracts |
$ |
283,905 |
|
$ |
236,912 |
|
$ |
299,820 |
|
| 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, 2011 and 2010:
| |
|
|
Three Months Ended |
|
|
Nine Months Ended |
| |
|
|
September 30, |
|
|
September 30, |
|
(dollar amounts in thousands)
|
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
|
Interest rate contracts
|
|
|
|
|
|
|
|
|
|
|
|
| |
Change in fair value of interest rate swaps hedging deposits (1)
|
$ |
2,922 |
|
$ |
9,083 |
|
$ |
3,831 |
|
$ |
14,664 |
| |
Change in fair value of hedged deposits (1)
|
|
(2,870) |
|
|
(9,958) |
|
|
(3,949) |
|
|
(14,970) |
| |
Change in fair value of interest rate swaps hedging subordinated notes (2)
|
|
41,170 |
|
|
7,817 |
|
|
46,407 |
|
|
24,178 |
| |
Change in fair value of hedged subordinated notes (2)
|
|
(41,170) |
|
|
(7,817) |
|
|
(46,407) |
|
|
(24,178) |
| |
Change in fair value of interest rate swaps hedging other long-term debt (2)
|
|
2,138 |
|
|
1,267 |
|
|
2,527 |
|
|
3,820 |
| |
Change in fair value of hedged other long-term debt (2)
|
|
(2,138) |
|
|
(1,267) |
|
|
(2,527) |
|
|
(3,820) |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| (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 the three-month and nine-month periods ended September 30, 2011 and 2010 for derivatives designated as effective cash flow hedges
| Derivatives in cash flow hedging relationships |
|
Amount of gain or (loss) recognized in OCI on derivatives (effective portion) |
|
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) |
| |
|
|
Nine Months Ended |
|
|
|
Nine Months Ended |
|
| |
|
|
September 30, |
|
|
|
September 30, |
|
| (dollar amounts in thousands) |
2011 |
|
2010 |
|
|
|
2011 |
|
2010 |
|
| Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
| |
Loans |
$ |
12,880 |
$ |
81,517 |
|
Interest and fee income - loans and leases |
$ |
3,776 |
$ |
(100,623) |
|
| |
Investment Securities |
|
847 |
|
--- |
|
Interest and fee income - investment securities |
|
--- |
|
--- |
|
| |
FHLB Advances |
|
--- |
|
--- |
|
Interest expense - subordinated notes and other long-term debt |
|
--- |
|
2,580 |
|
| |
Deposits |
|
--- |
|
--- |
|
Interest expense - deposits |
|
--- |
|
--- |
|
| |
Subordinated notes |
|
--- |
|
--- |
|
Interest expense - subordinated notes and other long-term debt |
|
20 |
|
(1,264) |
|
| |
Other long term debt |
|
--- |
|
--- |
|
Interest expense - subordinated notes and other long-term debt |
|
--- |
|
--- |
|
| Total |
$ |
13,727 |
$ |
81,517 |
|
|
$ |
3,796 |
$ |
(99,307) |
|
|
| 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 nine-month periods ended September 30, 2011 and 2010.
| |
|
|
Three Months Ended |
|
|
Nine Months Ended |
| |
|
|
September 30, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2011 |
|
|
2010 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Derivatives in cash flow hedging relationships |
|
|
|
|
|
|
|
|
|
|
|
| Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
| |
Loans |
|
(261) |
|
|
89 |
|
|
(147) |
|
|
663 |
| |
FHLB Advances |
|
--- |
|
|
--- |
|
|
--- |
|
|
--- |
|
| Derivative assets and liabilities used in mortgage banking activities |
The following table summarizes the derivative assets and liabilities used in mortgage banking activities:
| |
|
|
September 30, |
|
|
December 31, |
|
|
September 30, |
| (dollar amounts in thousands) |
|
2011 |
|
|
2010 |
|
|
2010 |
| |
|
|
|
|
|
|
|
|
|
| Derivative assets: |
|
|
|
|
|
|
|
|
| |
Interest rate lock agreements |
$ |
8,963 |
|
$ |
2,817 |
|
$ |
11,745 |
| |
Forward trades and options |
|
134 |
|
|
20,669 |
|
|
980 |
| Total derivative assets |
|
9,097 |
|
|
23,486 |
|
|
12,725 |
| |
|
|
|
|
|
|
|
|
|
| Derivative liabilities: |
|
|
|
|
|
|
|
|
| |
Interest rate lock agreements |
|
(124) |
|
|
(1,445) |
|
|
(379) |
| |
Forward trades and options |
|
(11,843) |
|
|
(883) |
|
|
(6,604) |
| Total derivative liabilities |
|
(11,967) |
|
|
(2,328) |
|
|
(6,983) |
| Net derivative asset (liability) |
$ |
(2,870) |
|
$ |
21,158 |
|
$ |
5,742 |
|