Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments (Tables)

v2.4.0.6
Derivative Financial Instruments (Tables)
3 Months Ended
Sep. 30, 2012
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, 2012, identified by the underlying interest rate-sensitive instruments:

      Fair Value     Cash Flow      
(dollar amounts in thousands )   Hedges     Hedges     Total
Instruments associated with:                
  Loans $ ---   $ 8,411,800   $ 8,411,800
  Deposits   691,875     ---     691,875
  Subordinated notes   598,000     ---     598,000
  Other long-term debt   35,000     ---     35,000
Total notional value at September 30, 2012 $ 1,324,875   $ 8,411,800   $ 9,736,675
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, 2012:

          Average         Weighted-Average
      Notional   Maturity     Fair   Rate
(dollar amounts in thousands )   Value   (years)     Value   Receive Pay
Asset conversion swaps                        
  Receive fixed - generic $ 7,961,000   2.5   $ 72,841   1.11 % 0.53 %
  Pay fixed - generic   450,800   2.8     (3,413)   0.38   0.70  
Total asset conversion swaps   8,411,800   2.5     69,428   1.07   0.53  
Liability conversion swaps                        
  Receive fixed - generic   1,324,875   3.4     119,368   2.88   0.50  
Total liability conversion swaps   1,324,875   3.4     119,368   2.88   0.50  
Total swap portfolio $ 9,736,675   2.6   $ 188,796   1.31 % 0.53 %
Asset and liability derivatives included in accrued income and other assets

The following table presents the fair values at September 30, 2012 and December 31, 2011 of Huntington's financial 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,
(dollar amounts in thousands)   2012     2011
Interest rate contracts designated as hedging instruments $ 188,796   $ 175,932
Interest rate contracts not designated as hedging instruments   337,092     309,496
Foreign exchange contracts not designated as hedging instruments   6,316     4,885
Total contracts $ 532,204   $ 490,313
             
Liability derivatives included in accrued expenses and other liabilities
      September 30,     December 31,
(dollar amounts in thousands)   2012     2011
Interest rate contracts designated as hedging instruments $ ---   $ ---
Interest rate contracts not designated as hedging instruments   256,306     252,962
Foreign exchange contracts not designated as hedging instruments   4,888     4,318
Total contracts $ 261,194   $ 257,280
Increase or (decrease) to interest expense for derivatives designated as fair value hedges
      Three Months Ended     Nine Months Ended
      September 30,     September 30,
(dollar amounts in thousands)   2012     2011     2012     2011
Interest rate contracts                      
  Change in fair value of interest rate swaps hedging deposits (1) $ (417)   $ 2,922   $ (852)   $ 3,831
  Change in fair value of hedged deposits (1)   428     (2,870)     840     (3,949)
  Change in fair value of interest rate swaps hedging subordinated notes (2)   2,448     41,170     8,207     46,407
  Change in fair value of hedged subordinated notes (2)   (2,448)     (41,170)     (8,207)     (46,407)
  Change in fair value of interest rate swaps hedging other long-term debt (2)   205     2,138     489     2,527
  Change in fair value of hedged other long-term debt (2)   (205)     (2,138)     (489)     (2,527)
(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, 2012 and 2011 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) (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       Three Months Ended  
      September 30,       September 30,  
(dollar amounts in thousands) 2012   2011       2012   2011  
Interest rate contracts                      
  Loans $ 14,027 $ 16,091   Interest and fee income - loans and leases $ (13,428) $ (3,851)  
  Investment Securities   ---   379   Interest and fee income - investment securities   ---   ---  
  FHLB Advances   ---   ---   Interest expense - federal home loan bank advances   ---   ---  
  Deposits   ---   ---   Interest expense - deposits   ---   ---  
  Subordinated notes   ---   ---   Interest expense - subordinated notes and other long-term debt   130   7  
  Other long term debt   ---   ---   Interest expense - subordinated notes and other long-term debt   ---   ---  
Total $ 14,027 $ 16,470     $ (13,298) $ (3,844)  
                         
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)
      Nine Months Ended       Nine Months Ended  
      September 30,       September 30,  
(dollar amounts in thousands) 2012   2011       2012   2011  
Interest rate contracts                      
  Loans $ 4,031 $ 12,880   Interest and fee income - loans and leases $ 13,285 $ 3,776  
  Investment Securities   (702)   847   Interest and fee income - investment securities   ---   ---  
  FHLB Advances   ---   ---   Interest expense - federal home loan bank advances   ---   ---  
  Deposits   ---   ---   Interest expense - deposits   ---   ---  
  Subordinated notes   ---   ---   Interest expense - subordinated notes and other long-term debt   143   20  
  Other long term debt   ---   ---   Interest expense - subordinated notes and other long-term debt   ---   ---  
Total $ 3,329 $ 13,727     $ 13,428 $ 3,796  
                         
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, 2012 and 2011.

 

      Three Months Ended     Nine Months Ended
      September 30,     September 30,
(dollar amounts in thousands)   2012     2011     2012     2011
                         
Derivatives in cash flow hedging relationships                      
Interest rate contracts                      
  Loans $ (215)   $ (261)   $ (146)   $ (147)
  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,
(dollar amounts in thousands)   2012     2011
             
Derivative assets:          
  Interest rate lock agreements $ 18,418   $ 6,770
  Forward trades and options   199     1
Total derivative assets   18,617     6,771
             
Derivative liabilities:          
  Interest rate lock agreements   (5)     (109)
  Forward trades and options   (15,472)     (7,927)
Total derivative liabilities   (15,477)     (8,036)
Net derivative asset (liability) $ 3,140   $ (1,265)