Fourth Quarter Investor Presentation
Balance Sheet Management Strategy
Hedging Program Overview
Weighted
Program
Notional
($)
Avg Rate
WAL
(Years)
(%)
Capital Protection:
Designed to protect
capital against
higher rate scenarios
PF Swaps
$11.7
1.48
3.76
PF Swaptions
$15.5
5.03
0.70
NIM Protection:
Reduces volatility &
supports a narrow
corridor of NIM in
lower rate scenarios
$ in billions
$17.5
Total PF Swaps
$27.2
2.02
Description
3Q23 Actions
Protects capital if rates increase
Economic Hedges: 6-month/1-year swaptions on
5-year swaps to protect capital from tail risk
from significant rate moves
No material actions
Added $5.9 billion, out of the money
payor swaptions which offered relatively
low premium cost vs. potential benefit
RF Swaps
$18.2
2.85
3.54
Provides down rate NIM protection
Floor Spreads
$5.0
2.97/
3.97
2.54
Cost efficient structure to provide down rate
NIM protection and reduce near term negative
carry
Collars
$2.0
3.20/
4.50
0.41
Short term swaptions on 5yr swaps to protect
against down rate scenarios
Total RF Swaps
$25.2
3.09
Hedging Balance Update (EOP)
$27.2
$24.1
$22.8
$20.9
$18.2
$5.0
$4.0
$4.8
$2.8
$2.0
$5.0
$5.0
$2.0
$(1.5)
$(9.8)
$(10.3)
$(10.4)
$(12.0)
$(11.7) $(9.6)
$(11.7)
$(15.5)
2Q22
3Q22
4Q22
1Q23
2Q23
3Q23
Note: $ in billions unless otherwise noted
Terminated $2.6 billion
No actions; will continue to monitor
opportunities for additional hedging
Added $2 billion
Receive fixed swaps
Floor spreads
Collars
Pay fixed swaps
Pay fixed swaptions
2023 Fourth Quarter Investor Presentation | 34
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