Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments (Tables)

v2.4.0.8
Derivative Financial Instruments (Tables)
3 Months Ended
Sep. 30, 2014
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, 2014, identified by the underlying interest rate-sensitive instruments:

Fair Value Cash Flow
(dollar amounts in thousands ) Hedges Hedges Total
Instruments associated with:
Loans $ --- $ 9,315,000 $ 9,315,000
Deposits 69,100 --- 69,100
Subordinated notes 475,000 --- 475,000
Other long-term debt 2,285,000 --- 2,285,000
Total notional value at September 30, 2014 $ 2,829,100 $ 9,315,000 $ 12,144,100
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, 2014:

Average Weighted-Average
Notional Maturity Fair Rate
(dollar amounts in thousands ) Value (years) Value Receive Pay
Asset conversion swaps
Receive fixed - generic $ 9,315,000 2.2 $ (33,609) 0.80 % 0.24 %
Total asset conversion swaps 9,315,000 2.2 (33,609) 0.80 0.24
Liability conversion swaps
Receive fixed - generic 2,829,100 3.4 45,832 1.73 0.25
Total liability conversion swaps 2,829,100 3.4 45,832 1.73 0.25
Total swap portfolio $ 12,144,100 2.5 $ 12,223 1.01 % 0.24 %
Asset and liability derivatives included in accrued income and other assets

The following table presents the fair values at September 30, 2014 and December 31, 2013 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,
(dollar amounts in thousands) 2014 2013
Interest rate contracts designated as hedging instruments $ 45,712 $ 49,998
Interest rate contracts not designated as hedging instruments 171,736 169,047
Foreign exchange contracts not designated as hedging instruments 28,110 28,499
Commodities contracts not designated as hedging instruments 15,617 4,278
Total contracts $ 261,175 $ 251,822
Liability derivatives included in accrued expenses and other liabilities:
September 30, December 31,
(dollar amounts in thousands) 2014 2013
Interest rate contracts designated as hedging instruments $ 33,489 $ 25,321
Interest rate contracts not designated as hedging instruments 101,666 99,247
Foreign exchange contracts not designated as hedging instruments 23,020 18,909
Commodities contracts not designated as hedging instruments 15,112 3,838
Total contracts $ 173,287 $ 147,315
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) 2014 2013 2014 2013
Interest rate contracts
Change in fair value of interest rate swaps hedging deposits (1) $ (323) $ (336) $ (829) $ (3,650)
Change in fair value of hedged deposits (1) 315 340 809 3,645
Change in fair value of interest rate swaps hedging subordinated notes (2) (6,601) (2,358) (2,520) (34,378)
Change in fair value of hedged subordinated notes (2) 6,601 2,358 2,520 34,378
Change in fair value of interest rate swaps hedging other long-term debt (2) (13,196) 466 (6,943) (1,106)
Change in fair value of hedged other long-term debt (2) 12,924 (316) 9,450 1,255
(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, 2014 and 2013 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) 2014 2013 2014 2013
Interest rate contracts
Loans $ (21,133) $ 17,337 Interest and fee income - loans and leases $ (148) $ (3,078)
Investment Securities --- --- Noninterest income - other income --- (7)
Subordinated notes --- --- Interest expense - subordinated notes and other long-term debt --- ---
Total $ (21,133) $ 17,337 $ (148) $ (3,085)
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) 2014 2013 2014 2013
Interest rate contracts
Loans $ (1,596) $ (46,526) Interest and fee income - loans and leases $ (3,853) $ (11,369)
Investment Securities --- --- Interest and fee income - investment securities --- (202)
Subordinated notes --- --- Interest expense - subordinated notes and other long-term debt --- ---
Total $ (1,596) $ (46,526) $ (3,853) $ (11,571)
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 three-month and nine-month periods ended September 30, 2014 and 2013:

Three Months Ended Nine Months Ended
September 30, September 30,
(dollar amounts in thousands) 2014 2013 2014 2013
Derivatives in cash flow hedging relationships
Interest rate contracts
Loans $ 224 $ (13) $ 195 $ 895
Offsetting of financial assets and derivatives assets
Offsetting of Financial Assets and Derivative Assets
Gross amounts not offset in the condensed consolidated balance sheets
(dollar amounts in thousands) Gross amounts of recognized assets Gross amounts offset in the condensed consolidated balance sheets Net amounts of assets presented in the condensed consolidated balance sheets Financial instruments cash collateral received Net amount
Offsetting of Financial Assets and Derivative Assets
September 30, 2014 Derivatives $ 280,690 $ (78,131) $ 202,559 $ (23,061) $ (370) $ 179,128
December 31, 2013 Derivatives 300,903 (111,458) 189,445 (35,205) (360) 153,880
Offsetting of financial liabilities and derivative liabilities
Offsetting of Financial Liabilities and Derivative Liabilities
Gross amounts not offset in the condensed consolidated balance sheets
(dollar amounts in thousands) Gross amounts of recognized liabilities Gross amounts offset in the condensed consolidated balance sheets Net amounts of liabilities presented in the condensed consolidated balance sheets Financial instruments cash collateral received Net amount
Offsetting of Financial Liabilities and Derivative Liabilities
September 30, 2014 Derivatives $ 192,802 $ (55,703) $ 137,099 $ (79,343) $ (518) $ 57,238
December 31, 2013 Derivatives 196,397 (76,539) 119,858 (86,204) 290 33,944

September 30, December 31,
(dollar amounts in thousands) 2014 2013
Derivative assets:
Interest rate lock agreements $ 4,260 $ 3,066
Forward trades and options 517 3,997
Total derivative assets 4,777 7,063
Derivative liabilities:
Interest rate lock agreements (282) (231)
Forward trades and options (1,095) (40)
Total derivative liabilities (1,377) (271)
Net derivative asset (liability) $ 3,400 $ 6,792