Huntington National Bank 2010 Annual Report Download - page 202

The following table presents the gross notional values of derivatives used in Huntington’s asset and
liability management activities at December 31, 2010, identified by the underlying interest rate-sensitive
instruments:
Fair Value
Hedges
Cash Flow
Hedges Total
(Dollar amounts in thousands)
Instruments associated with:
Loans..................................... $ — $9,235,000 $ 9,235,000
Deposits ................................... 1,830,264 — 1,830,264
Subordinated notes ........................... 598,000 — 598,000
Other long-term debt ......................... 35,000 — 35,000
Total notional value at December 31, 2010.......... $2,463,264 $9,235,000 $11,698,264
The following table presents additional information about the interest rate swaps and caps used in
Huntington’s asset and liability management activities at December 31, 2010:
Notional
Value
Average
Maturity
(Years)
Fair
Value Receive Pay
Weighted-Average
Rate
(Dollar amounts in thousands)
Asset conversion swaps — receive
fixed — generic .................. $ 9,235,000 1.8 $ 64,596 1.50% 0.62%
Liability conversion swaps — receive
fixed — generic .................. 2,463,264 3.2 62,750 2.02 0.32
Total swap portfolio ................ $11,698,264 2.1 $127,346 1.61% 0.56%
These derivative financial instruments were entered into for the purpose of managing the interest rate risk
of assets and liabilities. Consequently, net amounts receivable or payable on contracts hedging either interest
earning assets or interest bearing liabilities were accrued as an adjustment to either interest income or interest
expense. The net amounts resulted in an increase to net interest income of $192.2 million, $167.9 million, and
$10.5 million for the years ended December 31, 2010, 2009, and 2008, respectively.
In connection with securitization activities, Huntington purchased interest rate caps with a notional value
totaling $1.0 billion. These purchased caps were assigned to the securitization trust for the benefit of the
security holders. Interest rate caps were also sold totaling $1.0 billion outside the securitization structure. Both
the purchased and sold caps are marked to market through income.
In connection with the sale of Huntington’s Class B Visa»shares, Huntington entered into a swap
agreement with the purchaser of the shares. The swap agreement adjusts for dilution in the conversion ratio of
Class B shares resulting from the Visa»litigation. At December 31, the fair value of the swap liability of
$0.4 million is an estimate of the exposure liability based upon Huntington’s assessment of the potential Visa»
litigation losses.
188