Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments (Tables)

v2.4.1.9
Derivative Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2015
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 March 31, 2015, identified by the underlying interest rate-sensitive instruments:

Fair Value Cash Flow
(dollar amounts in thousands ) Hedges Hedges Total
Instruments associated with:
Loans $ --- $ 10,034,750 $ 10,034,750
Deposits 69,100 --- 69,100
Long-term debt 3,760,000 --- 3,760,000
Total notional value at March 31, 2015 $ 3,829,100 $ 10,034,750 $ 13,863,850
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 March 31, 2015:

Average Weighted-Average
Notional Maturity Fair Rate
(dollar amounts in thousands ) Value (years) Value Receive Pay
Asset conversion swaps
Receive fixed - generic $ 9,289,000 1.7 $ 12,412 0.80 % 0.26 %
Pay fixed - generic 745,750 1.6 (1,422) - 0.79
Total asset conversion swaps 10,034,750 1.7 10,990 0.74 0.30
Liability conversion swaps
Receive fixed - generic 3,829,100 3.2 80,587 1.67 0.27
Total liability conversion swaps 3,829,100 3.2 80,587 1.67 0.27
Total swap portfolio $ 13,863,850 2.1 $ 91,577 1.00 % 0.29 %
Asset and liability derivatives included in accrued income and other assets

The following table presents the fair values at March 31, 2015 and December 31, 2014 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:
March 31, December 31,
(dollar amounts in thousands) 2015 2014
Interest rate contracts designated as hedging instruments $ 92,019 $ 53,114
Interest rate contracts not designated as hedging instruments 223,830 183,610
Foreign exchange contracts not designated as hedging instruments 59,029 32,798
Commodities contracts not designated as hedging instruments 194,859 180,218
Total contracts $ 569,737 $ 449,740
Liability derivatives included in accrued expenses and other liabilities:
March 31, December 31,
(dollar amounts in thousands) 2015 2014
Interest rate contracts designated as hedging instruments $ 442 $ 12,648
Interest rate contracts not designated as hedging instruments 149,186 110,627
Foreign exchange contracts not designated as hedging instruments 50,228 29,754
Commodities contracts not designated as hedging instruments 192,572 179,180
Total contracts $ 392,428 $ 332,209
Increase or (decrease) to interest expense for derivatives designated as fair value hedges
Three Months Ended
March 31,
(dollar amounts in thousands) 2015 2014
Interest rate contracts
Change in fair value of interest rate swaps hedging deposits (1) $ (213) $ (267)
Change in fair value of hedged deposits (1) 214 266
Change in fair value of interest rate swaps hedging subordinated notes (2) 3,231 1,066
Change in fair value of hedged subordinated notes (2) (3,231) (1,066)
Change in fair value of interest rate swaps hedging other long-term debt (2) 20,025 (4,051)
Change in fair value of hedged other long-term debt (2) (19,645) 6,474
(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 periods ended March 31, 2015 and 2014 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
March 31, March 31,
(dollar amounts in thousands) 2015 2014 2015 2014
Interest rate contracts
Loans $ 18,294 $ 1,823 Interest and fee income - loans and leases $ (133) $ (2,892)
Investment Securities --- --- Noninterest income - other income 10 ---
Subordinated notes --- --- Interest expense - subordinated notes and other long-term debt --- ---
Total $ 18,294 $ 1,823 $ (123) $ (2,892)
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 periods ended March 31, 2015 and 2014:

Three Months Ended
March 31,
(dollar amounts in thousands) 2015 2014
Derivatives in cash flow hedging relationships
Interest rate contracts:
Loans $ (163) $ 132
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
March 31, 2015 Derivatives $ 590,994 $ (145,650) $ 445,344 $ (41,303) $ (2,086) $ 401,955
December 31, 2014 Derivatives 480,803 (128,161) 352,642 (27,744) (1,095) 323,803
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 delivered Net amount
Offsetting of Financial Liabilities and Derivative Liabilities
March 31, 2015 Derivatives $ 409,003 $ (59,262) $ 349,741 $ (73,305) $ (461) $ 275,975
December 31, 2014 Derivatives 363,192 (78,937) 284,255 (78,654) (111) 205,490

March 31, December 31,
(dollar amounts in thousands) 2015 2014
Derivative assets:
Interest rate lock agreements $ 8,472 $ 4,064
Forward trades and options 366 35
Total derivative assets 8,838 4,099
Derivative liabilities:
Interest rate lock agreements (202) (259)
Forward trades and options (3,954) (3,760)
Total derivative liabilities (4,156) (4,019)
Net derivative asset (liability) $ 4,682 $ 80