Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions

Bank terminates costly hedging strategy merely a quarter after upping notional values by a third

Huntington Bancshares unwound its entire swaptions hedging programme in the fourth quarter of last year as it primed its banking book for a US Federal Reserve rate cut in 2024.

As a result of the termination of $15.5 billion in notional value of pay-fixed swaptions, the Ohio-headquartered bank swallowed a $74 million mark-to-market loss that curtailed its pre-tax income by 23.1%.

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