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Table 31 Asset and Liability Management Interest Rate and Foreign Exchange Contracts
December 31, 2006
Expected Maturity Average
Estimated
Duration
(Dollars in millions, average estimated
duration in years) Fair Value Total 2007 2008 2009 2010 2011 Thereafter
Receive fixed interest rate swaps
(1)
$ (748) 4.42
Notional amount
$ 91,502 $ 2,795 $ 7,844 $48,900 $ 3,252 $ 1,630 $27,081
Weighted average fixed rate
4.90% 4.80% 4.41% 4.90% 4.35% 4.50% 5.14%
Pay fixed interest rate swaps
(1)
261 2.93
Notional amount
$100,217 $ 15,000 $ 2,500 $44,000 $ – $ 250 $38,467
Weighted average fixed rate
4.98% 5.12% 5.11% 4.86% –% 5.43% 5.06%
Foreign exchange basis swaps
(2)
1,992
Notional amount
$ 31,916 $ 174 $ 2,292 $ 3,012 $ 5,351 $ 3,962 $17,125
Option products
(3)
317
Notional amount
243,280 200,000 43,176 – 70 – 34
Foreign exchange contracts
(4)
(319)
Notional amount
(5)
20,319 (753) 1,588 1,901 3,850 1,104 12,629
Futures and forward rate contracts
(6)
(46)
Notional amount
(5)
8,480 8,480 –––– –
Net ALM contracts
$ 1,457
December 31, 2005
Expected Maturity Average
Estimated
Duration
(Dollars in millions, average estimated
duration in years) Fair Value Total 2006 2007 2008 2009 2010 Thereafter
Receive fixed interest rate swaps
(1)
$(1,390) 4.17
Notional amount $108,985 $ 4,337 $13,080 $ 6,144 $39,107 $10,387 $35,930
Weighted average fixed rate 4.62% 4.75% 4.66% 4.02% 4.51% 4.43% 4.77%
Pay fixed interest rate swaps
(1)
(408) 3.85
Notional amount $102,281 $ 5,100 $55,925 $10,152 $ – $ – $31,104
Weighted average fixed rate 4.61% 3.23% 4.46% 4.24% –% –% 5.21%
Foreign exchange basis swaps
(2)
(644)
Notional amount $ 17,806 $ 514 $ 174 $ 884 $ 2,839 $ 3,094 $10,301
Option products
(3)
1,349
Notional amount 57,246 – – 57,246 – – –
Foreign exchange contracts
(4)
909
Notional amount
(5)
16,061 1,335 51 1,436 1,826 3,485 7,928
Futures and forward rate contracts (202)
Notional amount
(5)
34,716 34,716–––– –
Net ALM contracts $ (386)
(1) At December 31, 2006, $4.2 billion of the receive fixed and $52.5 billion of the pay fixed swap notional represented forward starting swaps that will not be effective until their respective contractual start dates. At
December 31, 2005, $46.6 billion of the receive fixed swap notional and $41.9 billion of the pay fixed swap notional represented forward starting swaps that will not be effective until their respective contractual start dates.
(2) Foreign exchange basis swaps consist of cross-currency variable interest rate swaps used separately or in conjunction with receive fixed interest rate swaps.
(3) Option products include $225.1 billion in caps and $18.2 billion in swaptions at December 31, 2006. Amounts at December 31, 2005 totaled $5.0 billion in caps and $52.2 billion in swaptions.
(4) Foreign exchange contracts include foreign-denominated receive fixed interest rate swaps, cross-currency receive fixed interest rate swaps and foreign currency forward rate contracts. Total notional at December 31, 2006 was
comprised of $21.0 billion in foreign-denominated and cross-currency receive fixed swaps and $697 million in foreign currency forward rate contracts. At December 31, 2005, the notional balance consisted entirely of $16.1
billion in foreign-denominated and cross-currency fixed swaps.
(5) Reflects the net of long and short positions.
(6) At December 31, 2006, the position was comprised of $8.5 billion in forward purchase contracts that settled in January 2007.
80
Bank of America 2006