Bank of America 2004 Annual Report Download - page 90

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BANK OF AMERICA 2004 89
Table IV
Asset and Liability Management Interest Rate and Foreign Exchange Contracts
December 31, 2003
Average
Fair Expected Maturity Estimated
(Dollars in millions, average estimated duration in years) Value Total 2004 2005 2006 2007 2008 Thereafter Duration
Cash flow hedges
Receive fixed interest rate swaps(1) $(2,184) 5.22
Notional amount $122,547 $ – $ 2,000 $ – $ 33,848 $ 33,561 $53,138
Weighted average fixed rate 3.46% –% 2.10% –% 3.08% 2.97% 4.06%
Pay fixed interest rate swaps(1) (2,101) 5.51
Notional amount $134,654 $ – $ 3,641 $ 14,501 $ 39,142 $ 13,501 $63,869
Weighted average fixed rate 4.00% –% 2.09% 2.92% 3.33% 3.77% 4.81%
Basis swaps 38
Notional amount $ 16,356 $ 9,000 $ 500 $ 4,400 $ 45 $ 590 $ 1,821
Option products(2) 1,582
Notional amount(3) 84,965 1,267 50,000 3,000 – 30,000 698
Futures and forward rate contracts(4) 1,911
Notional amount(3) 106,760 86,760 20,000 – – – –
Total net cash flow positions $ (754)
Fair value hedges
Receive fixed interest rate swaps(1) $ 980 6.12
Notional amount $ 34,225 $ – $ 2,580 $ 4,363 $ 2,500 $ 2,638 $22,144
Weighted average fixed rate 4.96% –% 4.78% 5.22% 4.53% 3.46% 5.16%
Pay fixed interest rate swaps(1) (2) 3.70
Notional amount $ 924 $ 81 $ 47 $ 80 $ 112 $ 149 $ 455
Weighted average fixed rate 6.00% 6.04% 4.84% 4.54% 7.61% 4.77% 6.38%
Foreign exchange contracts 1,129
Notional amount $ 7,364 $ 100 $ 488 $ 468 $ (379) $ 1,560 $ 5,127
Futures and forward rate contracts(4) (3)
Notional amount(3) (604) (604) – – – – –
Total net fair value positions $ 2,104
Closed interest rate contracts(5) 839
Total ALM contracts $ 2,189
See footnotes on page 88.