Huntington National Bank 2010 Annual Report Download - page 94

market interest rates. The table below shows the results of the scenarios as of December 31, 2010, and
December 31, 2009. All of the positions were within the board of directors’ policy limits.
Table 35 — Net Interest Income at Risk
Net Interest Income at Risk (%)
Basis point change scenario ............................. ⫺200 ⫺100 +100 +200
Board policy limits ................................... ⫺4.0% ⫺2.0% ⫺2.0% ⫺4.0%
December 31, 2010................................... ⫺3.2 ⫺1.8 0.3 0.0
December 31, 2009 ................................... ⫺0.3 0.2 ⫺0.1 ⫺0.4
The net interest income at risk reported as of December 31, 2010 for the +200 basis points scenario
shows a change to a neutral near-term interest rate risk position compared with December 31, 2009. The
primary factors contributing to this change are the decline in market interest rates over the course of 2010
along with growth in deposits and net free funds, offset by increases in fixed-rate loans and securities and
updated model assumptions.
The following table shows the income sensitivity of select portfolios to changes in market interest rates.
A portfolio with 100% sensitivity would indicate that interest income and expense will change with the same
magnitude and direction as interest rates. A portfolio with 0% sensitivity is insensitive to changes in interest
rates. For the +200 basis points scenario, total interest sensitive income is 34.6% sensitive to changes in
market interest rates, while total interest sensitive expense is 43.8% sensitive to changes in market interest
rates. However, net interest income at risk for the +200 basis points scenario has a neutral near-term interest
rate risk position because of the larger base of total interest sensitive income relative to total interest sensitive
expense.
Table 36 — Interest Income/Expense Sensitivity
Percent of
Total Earning
Assets(1)
Percent Change in Interest
Income/Expense for a Given Change in
Interest Rates
Over / (Under) Base Case Parallel Ramp
Basis point change scenario................. ⫺200 ⫺100 +100 +200
Total loans ............................. 78% ⫺19.2% ⫺25.8% 35.8% 37.1%
Total investments and other earning assets ...... 22 ⫺24.6 ⫺33.0 41.3 28.9
Total interest sensitive income ............... ⫺19.7 ⫺26.7 36.1 34.6
Total interest-bearing deposits ............... 72 ⫺11.3 ⫺16.5 39.8 39.8
Total borrowings ......................... 12 ⫺20.5 ⫺38.0 65.9 67.8
Total interest-sensitive expense .............. ⫺12.6 ⫺19.6 43.5 43.8
(1) At December 31, 2010
The primary simulations for EVE at risk assume immediate +/-100 and +/-200 basis points parallel shifts
in market interest rates beyond the interest rate change implied by the current yield curve. The table below
outlines the December 31, 2010, results compared with December 31, 2009. All of the positions were within
the board of directors’ policy limits.
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