Huntington National Bank 2014 Annual Report Download - page 182
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The following table presents additional information about the interest rate swaps used in Huntington’s asset and liability
management activities at December 31, 2014:
Average Weighted-Average
Notional Maturity Fair Rate
(dollar amounts in thousands ) Value (years) Value Receive Pay
Asset conversion swaps
Receive fixed - generic $ 9,300,000 2.0 $ (17,078) 0.80 % 0.24 %
Liability conversion swaps
Receive fixed - generic 2,829,100 3.1 57,544 1.73 0.25
Total swap portfolio $ 12,129,100 2.2 $ 40,466 1.02 % 0.25 %
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 $97.6 million, $95.4 million, and $107.5 million for the years ended December 31, 2014, 2013, and 2012, respectively.
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, 2014, the fair value of the swap liability of $0.4 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, 2014 and 2013 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) 2014 2013
Interest rate contracts designated as hedging instruments $ 53,114 $ 49,998
Interest rate contracts not designated as hedging instruments 183,610 169,047
Foreign exchange contracts not designated as hedging instruments 32,798 28,499
Commodity contracts not designated as hedging instruments 180,218 4,278
Total contracts $ 449,740 $ 251,822
Liability derivatives included in accrued expenses and other liabilities
December 31,
(dollar amounts in thousands) 2014 2013
Interest rate contracts designated as hedging instruments $ 12,648 $ 25,321
Interest rate contracts not designated as hedging instruments 110,627 99,247
Foreign exchange contracts not designated as hedging instruments 29,754 18,909
Commodity contracts not designated as hedging instruments 179,180 3,838
Total contracts $ 332,209 $ 147,315
The changes in fair value of the fair value hedges are, to the extent that the hedging relationship is effective, recorded through
earnings and offset against changes in the fair value of the hedged item.