Bank of America 2015 Annual Report Download - page 156
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154 Bank of America 2015
Credit Derivative Instruments
December 31, 2015
Carrying Value
(Dollars in millions)
Less than
One Year
One to
Three Years
Three to
Five Years
Over Five
Years Total
Credit default swaps:
Investment grade $ 84 $ 481 $ 2,203 $ 680 $ 3,448
Non-investment grade 672 3,035 2,386 3,583 9,676
Total 756 3,516 4,589 4,263 13,124
Total return swaps/other:
Investment grade 5 — — — 5
Non-investment grade 171 236 8 2 417
Total 176 236 8 2 422
Total credit derivatives $ 932 $ 3,752 $ 4,597 $ 4,265 $ 13,546
Credit-related notes:
Investment grade $267 $ 57 $ 444 $ 2,203 $ 2,971
Non-investment grade 61 118 117 1,264 1,560
Total credit-related notes $ 328 $175 $561 $ 3,467 $ 4,531
Maximum Payout/Notional
Credit default swaps:
Investment grade $ 149,177 $ 280,658 $ 178,990 $ 26,352 $ 635,177
Non-investment grade 81,596 135,850 53,299 18,221 288,966
Total 230,773 416,508 232,289 44,573 924,143
Total return swaps/other:
Investment grade 9,758 — — — 9,758
Non-investment grade 20,917 6,989 1,371 623 29,900
Total 30,675 6,989 1,371 623 39,658
Total credit derivatives $ 261,448 $ 423,497 $ 233,660 $ 45,196 $ 963,801
December 31, 2014
Carrying Value
Credit default swaps:
Investment grade $ 100 $ 714 $ 1,455 $ 939 $ 3,208
Non-investment grade 916 2,107 1,338 4,301 8,662
Total 1,016 2,821 2,793 5,240 11,870
Total return swaps/other:
Investment grade 24 — — — 24
Non-investment grade 64 247 2 — 313
Total 88 247 2 — 337
Total credit derivatives $ 1,104 $ 3,068 $ 2,795 $ 5,240 $ 12,207
Credit-related notes:
Investment grade $ 2 $ 365 $ 568 $ 2,634 $ 3,569
Non-investment grade 5 141 85 1,443 1,674
Total credit-related notes $ 7 $ 506 $ 653 $ 4,077 $ 5,243
Maximum Payout/Notional
Credit default swaps:
Investment grade $ 132,974 $342,914 $242,728 $ 28,982 $ 747,598
Non-investment grade 54,326 170,580 80,011 20,586 325,503
Total 187,300 513,494 322,739 49,568 1,073,101
Total return swaps/other:
Investment grade 22,645 — — — 22,645
Non-investment grade 23,839 10,792 3,268 487 38,386
Total 46,484 10,792 3,268 487 61,031
Total credit derivatives $233,784 $524,286 $326,007 $ 50,055 $ 1,134,132