Bank of America 2011 Annual Report Download - page 166

164 Bank of America 2011
NOTE 4 Derivatives
Derivative Balances
Derivatives are entered into on behalf of customers, for trading,
as economic hedges or as qualifying accounting hedges. For
additional information on the Corporation’s derivatives and
hedging activities, see Note 1 – Summary of Significant Accounting
Principles. The following tables identify derivative instruments
included on the Corporation’s Consolidated Balance Sheet in
derivative assets and liabilities at December 31, 2011 and 2010.
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)
Interest rate contracts
Swaps
Futures and forwards
Written options
Purchased options
Foreign exchange contracts
Swaps
Spot, futures and forwards
Written options
Purchased options
Equity contracts
Swaps
Futures and forwards
Written options
Purchased options
Commodity contracts
Swaps
Futures and forwards
Written options
Purchased options
Credit derivatives
Purchased credit derivatives:
Credit default swaps
Total return swaps/other
Written credit derivatives:
Credit default swaps
Total return swaps/other
Gross derivative assets/liabilities
Less: Legally enforceable master netting agreements
Less: Cash collateral applied
Total derivative assets/liabilities
Contract/
Notional (1)
$ 40,473.7
12,105.8
2,534.0
2,467.2
2,381.6
2,548.8
368.5
341.0
75.5
52.1
367.1
360.2
73.8
470.5
142.3
141.3
1,944.8
17.5
1,885.9
17.8
December 31, 2011
Gross Derivative Assets
Trading
Derivatives
and
Economic
Hedges
$ 1,490.7
2.9
—
120.0
48.3
37.2
—
9.0
1.5
1.8
—
19.6
4.9
5.3
—
9.5
95.8
0.6
14.1
0.5
$ 1,861.7
Qualifying
Accounting
Hedges
$15.9
0.2
—
—
2.6
1.3
—
—
—
—
—
—
0.1
—
—
—
—
—
—
—
$20.1
Total
$ 1,506.6
3.1
—
120.0
50.9
38.5
—
9.0
1.5
1.8
—
19.6
5.0
5.3
—
9.5
95.8
0.6
14.1
0.5
$1,881.8
(1,749.9)
(58.9)
$73.0
Gross Derivative Liabilities
Trading
Derivatives
and
Economic
Hedges
$ 1,473.0
3.4
117.8
—
58.9
39.2
9.4
—
1.7
1.5
17.7
—
5.9
3.2
9.5
—
13.8
0.3
90.5
0.7
$ 1,846.5
Qualifying
Accounting
Hedges (2)
$12.3
—
—
—
2.2
0.3
—
—
—
—
—
—
—
—
—
—
—
—
—
—
$14.8
Total
$ 1,485.3
3.4
117.8
—
61.1
39.5
9.4
—
1.7
1.5
17.7
—
5.9
3.2
9.5
—
13.8
0.3
90.5
0.7
$ 1,861.3
(1,749.9)
(51.9)
$ 59.5
(1) Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2) Excludes $191 million of long-term debt designated as a hedge of foreign currency risk.