Bank of America 2008 Annual Report Download - page 135

Note 3 – Trading Account Assets and Liabilities
The following table presents the fair values of the components of trading account assets and liabilities at December 31, 2008 and 2007.
December 31
(Dollars in millions) 2008 2007
Trading account assets
U.S. government and agency securities
(1)
$ 84,660 $ 48,240
Corporate securities, trading loans and other
34,056 55,360
Equity securities
20,258 22,910
Foreign sovereign debt
13,614 17,161
Mortgage trading loans and asset-backed securities
6,934 18,393
Total trading account assets $159,522 $162,064
Trading account liabilities
U.S. government and agency securities $ 32,850 $ 35,375
Equity securities
12,128 25,926
Foreign sovereign debt
7,252 9,292
Corporate securities and other
5,057 6,749
Total trading account liabilities $ 57,287 $ 77,342
(1) Includes $52.6 billion and $21.5 billion at December 31, 2008 and 2007 of government-sponsored enterprise obligations.
Note 4 – Derivatives
The Corporation designates derivatives as trading derivatives, economic
hedges, or as derivatives used for SFAS 133 accounting purposes. For
additional information on the Corporation’s derivatives and hedging activ-
ities, see Note 1 – Summary of Significant Accounting Principles to the
Consolidated Financial Statements.
The following table presents the contract/notional amounts and credit
risk amounts at December 31, 2008 and 2007 of all the Corporation’s
derivative positions.
The credit risk amounts take into consideration the effects of legally
enforceable master netting agreements, and on an aggregate basis have
been reduced by the cash collateral applied against derivative assets. At
December 31, 2008 and 2007, the cash collateral applied against
derivative assets was $34.8 billion and $12.8 billion. In addition, at
December 31, 2008 and 2007, the cash collateral applied against
derivative liabilities was $30.3 billion and $10.0 billion. The average fair
value of derivative assets, less cash collateral, for 2008 and 2007 was
$48.1 billion and $29.7 billion. The average fair value of derivative
liabilities, less cash collateral, for 2008 and 2007 was $27.0 billion and
$20.6 billion. The Corporation held $48.8 billion of collateral on
derivative positions, of which $42.5 billion could be applied against credit
risk at December 31, 2008.
December 31, 2008 December 31, 2007
(Dollars in millions)
Contract/
Notional
(1)
Credit
Risk
Contract/
Notional
(1)
Credit
Risk
Interest rate contracts
Swaps
$26,577,385 $48,225 $22,472,949 $15,368
Futures and forwards
4,432,102 1,008 2,596,146 10
Written options
1,731,055 – 1,402,626 –
Purchased options
1,656,641 5,188 1,479,985 2,508
Foreign exchange contracts
Swaps 438,932 6,040 505,878 7,350
Spot, futures and forwards
1,376,483 10,888 1,600,683 4,124
Written options
199,846 – 341,148 –
Purchased options
175,678 2,002 339,101 1,033
Equity contracts
Swaps 34,685 1,338 56,300 2,026
Futures and forwards
14,145 198 12,174 10
Written options
214,125 – 166,736 –
Purchased options
217,461 7,284 195,240 6,337
Commodity contracts
Swaps 2,110 1,000 13,627 770
Futures and forwards
9,633 222 14,391 12
Written options
17,574 – 14,206 –
Purchased options
15,570 249 13,093 372
Credit derivatives
Purchased protection:
Credit default swaps
1,025,876 11,772 1,490,641 6,822
Total return swaps
6,575 1,678 13,551 671
Written protection:
Credit default swaps
1,000,034 – 1,517,305 –
Total return swaps
6,203 – 24,884 –
Credit risk before cash collateral
97,092 47,413
Less: Cash collateral applied
34,840 12,751
Total derivative assets
$62,252 $34,662
(1) Represents the total contract/notional amount of the derivatives outstanding and includes both written and purchased protection.
Bank of America 2008 133