Huntington National Bank 2011 Annual Report Download - page 83

Table 23 — 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 ............................... 81% –20.5% –30.9% 42.1% 43.5%
Total investments and other earning assets ...... 19 –19.2 –23.0 30.7 28.2
Total interest sensitive income ............... –19.7 –28.6 38.9 39.6
Total interest-bearing deposits ................ 67 –10.4 –17.5 34.9 36.3
Total borrowings .......................... 9 –22.4 –38.1 61.6 65.6
Total interest-sensitive expense ............... –11.9 –20.0 38.2 39.9
(1) At December 31, 2011
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, 2011 results compared with December 31, 2010. All of the positions were within the board of
directors’ policy limits.
Table 24 — Economic Value of Equity at Risk
Economic Value of Equity at Risk (%)
Basis point change scenario ............................... –200 –100 +100 +200
Board policy limits ...................................... –12.0% –5.0% –5.0% –12.0%
December 31, 2011 ..................................... –1.5 0.8 –1.7 –4.6
December 31, 2010 ...................................... –0.5 1.3 –4.0 –8.9
The EVE at risk reported as of December 31, 2011 for the +200 basis points scenario shows a change to a
lower long-term liability sensitive position compared with December 31, 2010. The primary factors contributing
to this change are the impact of lower interest rates on mortgage asset prepayments, the growth in low-cost
deposits, and the 2011 first quarter termination of $4.5 billion of interest rate swaps maturing through June 2012,
offset slightly by $1.8 billion of interest rate swaps executed in the 2011 second and third quarters and higher
levels of fixed rate loans.
69