Bank of America 2013 Annual Report Download - page 167

Bank of America 2013 165
NOTE 2 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 more 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 Consolidated Balance Sheet in derivative assets
and liabilities at December 31, 2013 and 2012. 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, 2013
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 $ 33,272.0 $ 659.9 $ 7.5 $ 667.4 $ 658.4 $ 0.9 $ 659.3
Futures and forwards 8,217.6 1.6 — 1.6 1.5 —1.5
Written options 2,065.4 — — — 64.4 — 64.4
Purchased options 2,028.3 65.4 — 65.4 — — —
Foreign exchange contracts
Swaps 2,284.1 43.1 1.0 44.1 42.7 1.0 43.7
Spot, futures and forwards 2,922.5 32.5 0.7 33.2 33.5 1.1 34.6
Written options 412.4 — — — 9.2 —9.2
Purchased options 392.4 8.8 — 8.8 ———
Equity contracts
Swaps 162.0 3.6 — 3.6 4.2 —4.2
Futures and forwards 71.4 1.1 — 1.1 1.4 —1.4
Written options 315.6 — — — 29.6 — 29.6
Purchased options 266.7 30.4 — 30.4 — — —
Commodity contracts
Swaps 73.1 3.8 — 3.8 5.7 —5.7
Futures and forwards 454.4 4.7 — 4.7 2.5 —2.5
Written options 157.3 — — — 5.0 —5.0
Purchased options 164.0 5.2 — 5.2 ———
Credit derivatives
Purchased credit derivatives:
Credit default swaps 1,305.1 15.7 — 15.7 28.1 — 28.1
Total return swaps/other 38.1 2.0 — 2.0 3.2 —3.2
Written credit derivatives:
Credit default swaps 1,265.4 29.3 — 29.3 13.8 — 13.8
Total return swaps/other 63.4 4.0 — 4.0 0.2 —0.2
Gross derivative assets/liabilities $ 911.1 $ 9.2 $ 920.3 $ 903.4 $ 3.0 $ 906.4
Less: Legally enforceable master netting agreements
(825.5) (825.5)
Less: Cash collateral received/paid (47.3) (43.5)
Total derivative assets/liabilities $ 47.5 $ 37.4
(1) Represents the total contract/notional amount of derivative assets and liabilities outstanding.