Bank of America 2002 Annual Report Download - page 54

Download and view the complete annual report

Please find page 54 of the 2002 Bank of America annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 116

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116

52 BANK OF AMERICA 2002
TABLE 20 Asset and Liability Management Interest Rate and Foreign Exchange Contracts
December 31, 2002
Expected Maturity Average
(Dollars in millions, average
Fair Estimated
estimated duration in years)
Value Total 2003 2004 2005 2006 2007 Thereafter Duration
Open interest rate contracts
Total receive fixed swaps $ 4,449 4.89
Notional amount $116,520 $ 3,132 $ 3,157 $ 5,719 $ 14,078 $ 16,213 $ 74,221
Weighted average receive rate 4.29% 1.76% 3.17% 4.66% 4.50% 3.90% 4.46%
Total pay fixed swaps (1,825) 4.07
Notional amount $ 61,680 $ 10,083 $ 5,694 $ 7,993 $ 15,068 $ 6,735 $ 16,107
Weighted average pay rate 3.60% 1.64% 2.46% 3.90% 3.17% 3.62% 5.48%
Basis swaps (3)
Notional amount $ 15,700 $ – $ 9,000 $ 500 $ 4,400 $ – $ 1,800
Total swaps 2,621
Option products 650
Net notional amount(1) $ 48,374 $ 1,000 $ 6,767 $ 40,000 $ – $ – $ 607
Futures and forward rate contracts (88)
Net notional amount(1) $ 8,850 $ (6,150) $ 15,000
Total open interest rate contracts 3,183
Closed interest rate contracts(2,3) 955
Net interest rate contract position 4,138
Open foreign exchange contracts 313
Notional amount $ 4,672 $ 78 $ 648 $ 102 $ 1,581 $ 96 $ 2,167
Total ALM contracts $ 4,451
December 31, 2001
Expected Maturity Average
(Dollars in millions, average
Fair Estimated
estimated duration in years)
Value Total 2002 2003 2004 2005 2006 Thereafter Duration
Open interest rate contracts
Total receive fixed swaps $ 784 4.68
Notional amount $ 64,472 $ 1,510 $ 266 $ 10,746 $ 8,341 $ 9,608 $ 34,001
Weighted average receive rate 5.74% 7.04% 8.27% 5.31% 5.79% 5.37% 5.89%
Total pay fixed swaps (322) 2.26
Notional amount $ 21,445 $ 11,422 $ 4,319 $ 122 $ 2,664 $ 60 $ 2,858
Weighted average pay rate 3.97% 2.61% 4.21% 6.09% 6.77% 5.83% 6.34%
Basis swaps –
Notional amount $ 15,700 $ – $ – $ 9,000 $ 500 $ 4,400 $ 1,800
Total swaps 462
Option products 907
Net notional amount(1) $ 7,000 $ – $ 7,000
Total open interest rate contracts 1,369
Closed interest rate contracts(2,3) 1,071
Net interest rate contract position 2,440
Open foreign exchange contracts (285)
Notional amount $ 6,968 $ 465 $ 283 $ 576 $ 1,180 $ 2,335 $ 2,129
Total ALM contracts $ 2,155
(1) Reflects the net of long and short positions.
(2) Represents the unamortized net realized deferred gains associated with closed contracts. As a result, no notional amount is reflected for expected maturity.
(3) The amount of unamortized net realized deferred gains associated with closed ALM swaps was $923 and $966 at December 31, 2002 and 2001, respectively. The amount of unamortized
net realized deferred gains associated with closed ALM options was $21 and $114 at December 31, 2002 and 2001, respectively. The amount of unamortized net realized deferred gains
(losses) associated with closed ALM futures and forward contracts was $11 and $(9) at December 31, 2002 and 2001, respectively. There were no unamortized net realized deferred gains
or losses associated with closed foreign exchange contracts at December 31, 2002 and 2001. Of these unamortized net realized deferred gains, $234 was included in accumulated other
comprehensive income and the remainder is primarily included as a basis adjustment of long-term senior debt at December 31, 2002.