Huntington National Bank 2011 Annual Report Download - page 208

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, 2011:
Notional
Value
Average
Maturity
(years)
Fair
Value
Weighted-Average
Rate
Receive Pay
(dollar amounts in thousands)
Asset conversion swaps — receive
fixed — generic .................... $7,085,000 1.6 $ 64,408 1.49% 0.64%
Total asset conversion swaps ........... 7,085,000 1.6 64,408 1.49 0.64
Liability conversion swaps
Liability conversion swaps — receive
fixed — generic .................... 1,591,912 3.6 111,205 2.53 0.55
Liability conversion swaps — receive
fixed — callable .................... 30,000 8.8 319 2.98 0.18
Total liability conversion swaps ......... 1,621,912 3.7 111,524 2.54 0.54
Total swap portfolio .................. $8,706,912 2.0 $175,932 1.68% 0.62%
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 $113.9 million, $192.2 million, and
$167.9 million for the years ended December 31, 2011, 2010, and 2009, respectively.
In connection with securitization activities, Huntington purchased interest rate caps with a notional value
totaling $0.8 billion. These purchased caps were assigned to the securitization trust for the benefit of the security
holders. Interest rate caps were also sold totaling $0.8 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 $6.8
million is an estimate of the exposure liability based upon Huntington’s assessment of the potential Visa®
litigation losses.
The following table presents the fair values at December 31, 2011 and 2010 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
December 31,
(dollar amounts in thousands) 2011 2010
Interest rate contracts designated as hedging instruments ................ $175,932 $127,346
Interest rate contracts not designated as hedging instruments ............. 309,496 263,015
Foreign exchange contracts not designated as hedging instruments ......... 4,885 2,845
Total contracts ................................................. $490,313 $393,206
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