Huntington National Bank 2011 Annual Report Download - page 170

Trust Preferred Securities Data
December 31, 2011
Deal Name Par Value
Amortized
Cost
Fair
Value
Unrealized
Loss
Lowest
Credit
Rating(2)
# of Issuers
Currently
Performing/
Remaining(3)
Actual
Deferrals
and
Defaults
asa%of
Original
Collateral
Expected
Defaults
asa%of
Remaining
Performing
Collateral
Excess
Subordination(4)
(dollar amounts in thousands)
Alesco II(1) ........... $ 41,646 $ 31,327 $ 9,300 $ (22,027) C 31/37 14% 17% —%
Alesco IV(1) .......... 21,065 8,243 362 (7,881) C 32/42 16 24 —
ICONS .............. 20,000 20,000 12,210 (7,790) BB 25/26 3 13 55
I-Pre TSL II ........... 32,957 32,868 22,650 (10,218) A 25/26 3 11 75
MM Comm III ........ 7,425 7,094 4,013 (3,081) CC 5/10 7 14 33
PreTSLIX ........... 5,000 3,955 1,315 (2,640) C 33/48 27 19 2
Pre TSL X(1) ......... 17,860 9,914 3,388 (6,526) C 33/53 42 35 —
Pre TSL XI(1) ......... 25,554 22,667 6,169 (16,498) C 42/63 29 18 —
Pre TSL XIII(1) ....... 28,346 22,703 6,287 (16,416) C 40/63 33 26 —
Reg Diversified(1) ..... 25,500 6,908 265 (6,643) D 23/44 46 23 —
Soloso(1) ............. 12,500 3,906 770 (3,136) C 44/66 23 17 —
Tropic III ............. 31,000 31,000 7,080 (23,920) CC 23/44 42 36 20
Total ................ $268,853 $200,585 $73,809 $(126,776)
(1) Security was determined to have OTTI. 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
the 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
percentage 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.
Security Impairment
Huntington evaluates its available-for-sale securities portfolio on a quarterly basis for indicators of OTTI.
Huntington assesses whether OTTI has occurred when the fair value of a debt security is less than the amortized
cost basis at period-end. Management reviews the amount of unrealized loss, the length of time the security has
been in an unrealized loss position, the credit rating history, market trends of similar security classes, time
remaining to maturity, and the source of both interest and principal payments to identify securities which could
potentially be impaired. OTTI is considered to have occurred; (1) if Huntington intends to sell the security; (2) if
it is more likely than not Huntington will be required to sell the security before recovery of its amortized cost
basis; or (3) the present value of the expected cash flows is not sufficient to recover all contractually required
principal and interest payments.
For securities that Huntington does not expect to sell or it is not more likely than not to be required to sell,
the OTTI is separated into credit and noncredit components. A discounted cash flow analysis, which includes
evaluating the timing of the expected cash flows, is completed for all debt securities subject to credit impairment.
The measurement of the credit loss component is equal to the difference between the debt security’s cost basis
and the present value of its expected future cash flows discounted at the security’s effective yield. The credit-
related OTTI, represented by the expected loss in principal, is recognized in noninterest income. The remaining
difference between the security’s fair value and the present value of future expected cash flows is due to factors
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