Bank of America 2015 Annual Report Download - page 150

148 Bank of America 2015
December 31, 2014
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 $ 29,445.4 $ 658.5 $ 8.5 $ 667.0 $ 658.2 $ 0.5 $ 658.7
Futures and forwards 10,159.4 1.7 — 1.7 2.0 — 2.0
Written options 1,725.2 — — — 85.4 — 85.4
Purchased options 1,739.8 85.6 — 85.6 — — —
Foreign exchange contracts
Swaps 2,159.1 51.5 0.8 52.3 54.6 1.9 56.5
Spot, futures and forwards 4,226.4 68.9 1.5 70.4 72.4 0.2 72.6
Written options 600.7 — — — 16.0 — 16.0
Purchased options 584.6 15.1 — 15.1 — — —
Equity contracts
Swaps 193.7 3.2 — 3.2 4.0 — 4.0
Futures and forwards 69.5 2.1 — 2.1 1.8 — 1.8
Written options 341.0 — — — 26.0 — 26.0
Purchased options 318.4 27.9 — 27.9 — — —
Commodity contracts
Swaps 74.3 5.8 — 5.8 8.5 — 8.5
Futures and forwards 376.5 4.5 — 4.5 1.8 — 1.8
Written options 129.5 — — — 11.5 — 11.5
Purchased options 141.3 10.7 — 10.7 — — —
Credit derivatives
Purchased credit derivatives:
Credit default swaps 1,094.8 13.3 — 13.3 23.4 — 23.4
Total return swaps/other 44.3 0.2 — 0.2 1.4 — 1.4
Written credit derivatives:
Credit default swaps 1,073.1 24.5 — 24.5 11.9 — 11.9
Total return swaps/other 61.0 0.5 — 0.5 0.3 — 0.3
Gross derivative assets/liabilities $ 974.0 $ 10.8 $ 984.8 $ 979.2 $ 2.6 $ 981.8
Less: Legally enforceable master netting agreements (884.8) (884.8)
Less: Cash collateral received/paid (47.3) (50.1)
Total derivative assets/liabilities $ 52.7 $ 46.9
(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 presents derivative
instruments included in derivative assets and liabilities on the
Consolidated Balance Sheet at December 31, 2015 and 2014 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. 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 which includes reducing the balance
for counterparty netting and 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 instruments 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.