Bank of America 2010 Annual Report Download - page 159

NOTE 3 Trading Account Assets and Liabilities
The table below presents the components of trading account assets and liabilities at December 31, 2010 and 2009.
(Dollars in millions) 2010 2009
December 31
Trading account assets
U.S. government and agency securities
(1)
$60,811 $ 44,585
Corporate securities, trading loans and other
49,352 57,009
Equity securities
32,129 33,562
Non-U.S. sovereign debt
33,523 28,143
Mortgage trading loans and asset-backed securities
18,856 18,907
Total trading account assets $194,671 $182,206
Trading account liabilities
U.S. government and agency securities $29,340 $ 26,519
Equity securities
15,482 18,407
Non-U.S. sovereign debt
15,813 12,897
Corporate securities and other
11,350 7,609
Total trading account liabilities $71,985 $ 65,432
(1)
Includes $29.7 billion and $23.5 billion at December 31, 2010 and 2009 of GSE obligations.
NOTE 4 Derivatives
Derivative Balances
Derivatives are entered into on behalf of customers, for trading, as economic
hedges or as qualifying accounting hedges. The Corporation enters into
derivatives to facilitate client transactions, for principal trading purposes
and to manage risk exposures. For additional information on the Corporation’s
derivatives and hedging activities, see Note 1 – Summary of Significant
Accounting Principles. The table below identifies derivative instruments in-
cluded on the Corporation’s Consolidated Balance Sheet in derivative assets
and liabilities at December 31, 2010 and 2009. Balances are presented on a
gross basis, prior to the application of counterparty and collateral netting.
Total derivative assets and liabilities are adjusted on an aggregate basis to
take into consideration the effects of legally enforceable master netting
agreements and have been reduced by the cash collateral applied.
(Dollars in billions)
Contract/
Notional
(1)
Trading
Derivatives
and
Economic
Hedges
Qualifying
Accounting
Hedges
(2)
Total
Trading
Derivatives
and
Economic
Hedges
Qualifying
Accounting
Hedges
(2)
Total
Gross Derivative Assets Gross Derivative Liabilities
December 31, 2010
Interest rate contracts
Swaps $42,719.2 $1,193.9 $14.9 $ 1,208.8 $1,187.9 $2.2 $ 1,190.1
Futures and forwards 9.939.2 6.0 – 6.0 4.7 – 4.7
Written options 2,887.7 – – – 82.8 – 82.8
Purchased options 3,026.2 88.0 – 88.0 – – –
Foreign exchange contracts
Swaps 630.1 26.5 3.7 30.2 28.5 2.1 30.6
Spot, futures and forwards 2,652.9 41.3 – 41.3 44.2 – 44.2
Written options 439.6 – – – 13.2 – 13.2
Purchased options 417.1 13.0 – 13.0 – – –
Equity contracts
Swaps 42.4 1.7 – 1.7 2.0 – 2.0
Futures and forwards 78.8 2.9 – 2.9 2.1 – 2.1
Written options 242.7 – – – 19.4 – 19.4
Purchased options 193.5 21.5 – 21.5 – – –
Commodity contracts
Swaps 90.2 8.8 0.2 9.0 9.3 – 9.3
Futures and forwards 413.7 4.1 – 4.1 2.8 – 2.8
Written options 86.3 – – – 6.7 – 6.7
Purchased options 84.6 6.6 – 6.6 – – –
Credit derivatives
Purchased credit derivatives:
Credit default swaps
2,184.7 69.8 – 69.8 34.0 – 34.0
Total return swaps/other 26.0 0.9 – 0.9 0.2 – 0.2
Written credit derivatives:
Credit default swaps
2,133.5 33.3 – 33.3 63.2 – 63.2
Total return swaps/other 22.5 0.5 – 0.5 0.5 – 0.5
Gross derivative assets/liabilities $1,518.8 $18.8 $ 1,537.6 $1,501.5 $4.3 $ 1,505.8
Less: Legally enforceable master netting agreements (1,406.3) (1,406.3)
Less: Cash collateral applied (58.3) (43.6)
Total derivative assets/liabilities $ 73.0 $ 55.9
(1)
Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)
Excludes $4.1 billion of long-term debt designated as a hedge of foreign currency risk.
Bank of America 2010 157