Huntington National Bank 2010 Annual Report Download - page 92

The following table summarizes the relevant characteristics of our pooled-trust-preferred securities
portfolio at December 31, 2010. Each security is part of a pool of issuers and supports a more senior tranche
of securities except for the I-Pre TSL II, MM Comm II and MM Comm III securities which are the most
senior class.
Table 34 — Trust-preferred Securities Data
December 31, 2010
Deal Name Par Value
Amortized
Cost
Fair
Value
Unrealized
Loss
Lowest
Credit
Rating(2)
# of Issuers
Currently
Performing/
Remaining(3)
Actual
Deferrals
and
Defaults
as a % of
Original
Collateral
Expected
Defaults
as a % of
Remaining
Performing
Collateral
Excess
Subordination(4)
(Dollar amounts in thousands)
Alesco II(1) . . ..... $ 41,040 $ 31,540 $ 9,870 $ (21,670) C 32/43 25% 17% —%
Alesco IV(1) . ..... 20,659 10,571 2,370 (8,201) C 35/53 34 21 —
ICONS .......... 20,000 20,000 12,846 (7,154) BB 28/29 3 14 54
I-Pre TSL II . . ..... 36,916 36,814 24,681 (12,133) A 29/29 — 15 71
MM Comm II. ..... 21,085 20,150 18,675 (1,475) BB 4/7 5 3 —
MM Comm III(1) . . . 11,150 10,653 5,450 (5,203) CC 5/11 12 15 —
Pre TSL IX(1) ..... 5,000 4,035 1,428 (2,607) C 34/49 27 21 —
Pre TSL X(1) . ..... 17,506 9,915 3,254 (6,661) C 35/55 40 30 —
Pre TSL XI(1) ..... 25,119 23,038 7,609 (15,429) C 47/65 27 21 —
Pre TSL XIII(1) .... 27,809 23,269 6,265 (17,004) C 47/65 30 25 —
Reg Diversified(1) . . . 25,500 7,499 472 (7,027) D 24/45 46 37 —
Soloso(1) ......... 12,500 3,906 393 (3,513) C 42/69 31 28 —
Tropic III......... 31,000 31,000 8,983 (22,017) CC 26/45 36 25 18
Total . . .......... $295,284 $232,390 $102,296 $(130,094)
(1) Security was determined to have other-than-temporary impairment. As such, the book value is net of
recorded credit impairment.
(2) For purposes of comparability, the lowest credit rating expressed is equivalent to Fitch ratings even where
lowest rating is based on another nationally recognized credit rating agency.
(3) Includes both banks and/or insurance companies.
(4) Excess subordination percentage represents the additional defaults in excess of both current and projected
defaults that the CDO can absorb before the bond experiences credit impairment. Excess subordinated per-
centage is calculated by (a) determining what percentage of defaults a deal can experience before the bond
has credit impairment, and (b) subtracting from this default breakage percentage both total current and
expected future default percentages.
Market Risk
Market risk represents the risk of loss due to changes in market values of assets and liabilities. We incur
market risk in the normal course of business through exposures to market interest rates, foreign exchange
rates, equity prices, credit spreads, and expected lease residual values. We have identified two primary sources
of market risk: interest rate risk and price risk.
Interest Rate Risk
OVERVIEW
Interest rate risk is the risk to earnings and value arising from changes in market interest rates. Interest
rate risk arises from timing differences in the repricings and maturities of interest-earning assets and interest-
bearing liabilities (reprice risk), changes in the expected maturities of assets and liabilities arising from
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