Bank of America 2012 Annual Report Download - page 172

170 Bank of America 2012
NOTE 3 Derivatives
Derivative Balances
Derivatives are entered into on behalf of customers, for trading,
or to support risk management activities. Derivatives used in risk
management activities include derivatives that may or may not be
designated in qualifying hedge accounting relationships.
Derivatives that are not designated in qualifying hedge accounting
relationships are referred to as other risk management derivatives.
For additional information on the Corporation’s derivatives and
hedging activities, see Note 1 – Summary of Significant Accounting
Principles. The following tables present derivative instruments
included on the Corporation’s Consolidated Balance Sheet in
derivative assets and liabilities at December 31, 2012 and 2011.
Balances are presented on a gross basis, prior to the application
of counterparty and cash 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 received
or paid.
December 31, 2012
Gross Derivative Assets Gross Derivative Liabilities
(Dollars in billions)
Contract/
Notional (1)
Trading
Derivatives
and Other Risk
Management
Derivatives
Qualifying
Accounting
Hedges Total
Trading
Derivatives
and Other Risk
Management
Derivatives
Qualifying
Accounting
Hedges Total
Interest rate contracts
Swaps $ 34,667.4 $ 1,075.4 $ 13.8 $ 1,089.2 $ 1,062.6 $ 4.7 $ 1,067.3
Futures and forwards 11,950.5 2.8 — 2.8 2.7 —2.7
Written options 2,343.5 — — — 106.0 —106.0
Purchased options 2,162.6 105.5 — 105.5 ———
Foreign exchange contracts
Swaps 2,489.0 47.4 1.4 48.8 53.2 1.8 55.0
Spot, futures and forwards 3,023.0 31.5 0.4 31.9 30.5 0.8 31.3
Written options 363.3 — — — 7.3 —7.3
Purchased options 321.8 6.5 — 6.5 ———
Equity contracts
Swaps 127.1 1.6 — 1.6 2.0 —2.0
Futures and forwards 58.4 1.0 — 1.0 1.0 —1.0
Written options 295.3 — — — 20.2 — 20.2
Purchased options 271.0 20.4 — 20.4 — — —
Commodity contracts
Swaps 60.5 2.5 0.1 2.6 4.0 —4.0
Futures and forwards 498.9 4.8 — 4.8 2.7 —2.7
Written options 166.4 — — — 7.4 —7.4
Purchased options 168.2 7.1 — 7.1 ———
Credit derivatives
Purchased credit derivatives:
Credit default swaps 1,559.5 35.6 — 35.6 22.1 — 22.1
Total return swaps/other 43.5 2.5 — 2.5 2.9 —2.9
Written credit derivatives:
Credit default swaps 1,531.5 23.0 — 23.0 32.6 — 32.6
Total return swaps/other 68.8 0.2 — 0.2 0.3 —0.3
Gross derivative assets/liabilities $ 1,367.8 $ 15.7 $ 1,383.5 $ 1,357.5 $ 7.3 $ 1,364.8
Less: Legally enforceable master netting agreements (1,271.9) (1,271.9)
Less: Cash collateral received/paid (58.1) (46.9)
Total derivative assets/liabilities $ 53.5 $ 46.0
(1) Represents the total contract/notional amount of derivative assets and liabilities outstanding.