Bank of America 2015 Annual Report Download - page 149

Bank of America 2015 147
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, 2015 and 2014. 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, 2015
Gross Derivative Assets Gross Derivative Liabilities
(Dollars in billions)
Contract/
Notional (1)
Trading and
Other Risk
Management
Derivatives
Qualifying
Accounting
Hedges Total
Trading and
Other Risk
Management
Derivatives
Qualifying
Accounting
Hedges Total
Interest rate contracts
Swaps $ 21,706.8 $ 439.6 $ 7.4 $ 447.0 $ 440.7 $ 1.2 $ 441.9
Futures and forwards 7,259.7 1.1 — 1.1 1.3 —1.3
Written options 1,322.4 — — — 57.7 — 57.7
Purchased options 1,403.3 58.9 — 58.9 — — —
Foreign exchange contracts
Swaps 2,149.9 49.2 0.9 50.1 52.2 2.8 55.0
Spot, futures and forwards 4,104.4 46.0 1.2 47.2 45.8 0.3 46.1
Written options 467.2 — — — 10.6 — 10.6
Purchased options 439.9 10.2 — 10.2 — — —
Equity contracts
Swaps 201.2 3.3 — 3.3 3.8 —3.8
Futures and forwards 74.0 2.1 — 2.1 1.2 —1.2
Written options 352.8 — — — 21.1 — 21.1
Purchased options 325.4 23.8 — 23.8 — — —
Commodity contracts
Swaps 47.0 4.7 — 4.7 7.1 —7.1
Futures and forwards 268.7 3.8 — 3.8 0.7 —0.7
Written options 58.7 — — — 5.5 —5.5
Purchased options 65.7 5.3 — 5.3 ———
Credit derivatives
Purchased credit derivatives:
Credit default swaps 928.3 14.4 — 14.4 14.8 — 14.8
Total return swaps/other 26.4 0.2 — 0.2 1.9 —1.9
Written credit derivatives:
Credit default swaps 924.1 15.3 — 15.3 13.1 — 13.1
Total return swaps/other 39.7 2.3 — 2.3 0.4 —0.4
Gross derivative assets/liabilities $ 680.2 $ 9.5 $ 689.7 $ 677.9 $ 4.3 $ 682.2
Less: Legally enforceable master netting agreements (597.8) (597.8)
Less: Cash collateral received/paid (41.9) (45.9)
Total derivative assets/liabilities $ 50.0 $ 38.5
(1) Represents the total contract/notional amount of derivative assets and liabilities outstanding.