Bank of America 2013 Annual Report Download - page 168

166 Bank of America 2013
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.
Offsetting of Derivatives
The Corporation enters into International Swaps and Derivatives
Association, Inc. (ISDA) master netting agreements or similar
agreements with substantially all of the Corporation’s derivative
counterparties. Where legally enforceable, these master netting
agreements give the Corporation, in the event of default by the
counterparty, the right to liquidate securities held as collateral and
to offset receivables and payables with the same counterparty.
For purposes of the Consolidated Balance Sheet, the Corporation
offsets derivative assets and liabilities, and cash collateral held
with the same counterparty where it has such a legally enforceable
master netting agreement.
The Offsetting of Derivatives table below presents derivative
instruments included in derivative assets and liabilities on the
Consolidated Balance Sheet at December 31, 2013 and 2012 by
primary risk (e.g., interest rate risk) and the platform, where
applicable, on which these derivatives are transacted. Exchange-
traded derivatives include listed options transacted on an
exchange. Over-the-counter (OTC) derivatives include bilateral
transactions between the Corporation and a particular
counterparty. OTC cleared derivatives include bilateral
transactions between the Corporation and a counterparty where
the transaction is cleared through a clearinghouse. Balances are
presented on a gross basis, prior to the application of counterparty
and cash collateral netting. Total gross 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.
Other gross derivative assets and liabilities in the table
represent derivatives entered into under master netting
agreements where uncertainty exists as to the enforceability of
these agreements under bankruptcy laws in some countries or
industries and, accordingly, receivables and payables with
counterparties in these countries or industries are reported on a
gross basis.
Also included in the table is financial instrument collateral
related to legally enforceable master netting agreements that
represents securities collateral received or pledged and customer
cash collateral held at third-party custodians. These amounts are
not offset on the Consolidated Balance Sheet but are shown as
a reduction to total derivative assets and liabilities in the table to
derive net derivative assets and liabilities.
For more information on offsetting of securities financing
agreements, see Note 10 – Federal Funds Sold or Purchased,
Securities Financing Agreements and Short-term Borrowings.