Bank of America 2015 Annual Report Download - page 98

96 Bank of America 2015
environments, balance sheet composition and trends, and the
relative mix of our cash and derivative positions.
Table 60 presents derivatives utilized in our ALM activities
including those designated as accounting and economic hedging
instruments and shows the notional amount, fair value, weighted-
average receive-fixed and pay-fixed rates, expected maturity and
average estimated durations of our open ALM derivatives at
December 31, 2015 and 2014. These amounts do not include
derivative hedges on our MSRs.
Table 60 Asset and Liability Management Interest Rate and Foreign Exchange Contracts
December 31, 2015
Expected Maturity
(Dollars in millions, average estimated duration in
years)
Fair
Value Total 2016 2017 2018 2019 2020 Thereafter
Average
Estimated
Duration
Receive-fixed interest rate swaps (1) $ 6,291 4.98
Notional amount $ 114,354 $ 15,339 $ 21,453 $ 21,850 $ 9,783 $ 7,015 $ 38,914
Weighted-average fixed-rate 3.12% 3.12% 3.64%3.20%2.37%2.13%3.16%
Pay-fixed interest rate swaps (1) (81) 3.98
Notional amount $ 12,131 $ 1,025 $ 1,527 $ 5,668 $ 600 $51 $ 3,260
Weighted-average fixed-rate 1.70% 1.65% 1.84%1.41%1.59%3.64%2.15%
Same-currency basis swaps (2) (70)
Notional amount $ 75,224 $ 15,692 $ 20,833 $ 11,026 $ 6,786 $ 1,180 $ 19,707
Foreign exchange basis swaps (1, 3, 4) (3,968)
Notional amount 144,446 25,762 27,441 19,319 12,226 10,572 49,126
Option products (5) 57
Notional amount (6) 752 737 — — — — 15
Foreign exchange contracts (1, 4, 7) 2,345
Notional amount (6) (25,405) (36,504) 5,380 (2,228) 2,123 52 5,772
Futures and forward rate contracts (5)
Notional amount (6) 200 200 — — — — —
Net ALM contracts $ 4,569
December 31, 2014
Expected Maturity
(Dollars in millions, average estimated duration in
years)
Fair
Value Total 2015 2016 2017 2018 2019 Thereafter
Average
Estimated
Duration
Receive-fixed interest rate swaps (1) $ 7,626 4.34
Notional amount $ 113,766 $ 11,785 $ 15,339 $ 21,453 $ 15,299 $ 10,233 $ 39,657
Weighted-average fixed-rate 2.98% 3.56% 3.12% 3.64% 4.07% 0.49% 2.63%
Pay-fixed interest rate swaps (1) (829) 8.05
Notional amount $ 14,668 $ 520 $ 1,025 $ 1,527 $ 2,908 $ 425 $ 8,263
Weighted-average fixed-rate 2.27% 2.30% 1.65% 1.84% 1.62% 0.09% 2.77%
Same-currency basis swaps (2) (74)
Notional amount $ 94,413 $ 18,881 $ 15,691 $ 21,068 $ 11,026 $ 6,787 $ 20,960
Foreign exchange basis swaps (1, 3, 4) (2,352)
Notional amount 161,196 27,629 26,118 27,026 14,255 12,359 53,809
Option products (5) 11
Notional amount (6) 980 964 — — — — 16
Foreign exchange contracts (1, 4, 7) 3,700
Notional amount (6) (22,572) (29,931) (2,036) 6,134 (2,335) 2,359 3,237
Futures and forward rate contracts (129)
Notional amount (6) (14,949) (14,949) — — — — —
Net ALM contracts $ 7,953
(1) Does not include basis adjustments on either fixed-rate debt issued by the Corporation or AFS debt securities, which are hedged using derivatives designated as fair value hedging instruments, that
substantially offset the fair values of these derivatives.
(2) At December 31, 2015 and 2014, the notional amount of same-currency basis swaps included $75.2 billion and $94.4 billion in both foreign currency and U.S. Dollar-denominated basis swaps in
which both sides of the swap are in the same currency.
(3) Foreign exchange basis swaps consisted of cross-currency variable interest rate swaps used separately or in conjunction with receive-fixed interest rate swaps.
(4) Does not include foreign currency translation adjustments on certain non-U.S. debt issued by the Corporation that substantially offset the fair values of these derivatives.
(5) The notional amount of option products of $752 million at December 31, 2015 was comprised of $737 million in foreign exchange options and $15 million in purchased caps/floors. Option products
of $980 million at December 31, 2014 were comprised of $974 million in foreign exchange options, $16 million in purchased caps/floors and $(10) million in swaptions.
(6) Reflects the net of long and short positions. Amounts shown as negative reflect a net short position.
(7) The notional amount of foreign exchange contracts of $(25.4) billion at December 31, 2015 was comprised of $21.3 billion in foreign currency-denominated and cross-currency receive-fixed swaps,
$(40.3) billion in net foreign currency forward rate contracts, $(7.6) billion in foreign currency-denominated pay-fixed swaps and $1.2 billion in net foreign currency futures contracts. Foreign exchange
contracts of $(22.6) billion at December 31, 2014 were comprised of $21.0 billion in foreign currency-denominated and cross-currency receive-fixed swaps, $(36.4) billion in net foreign currency
forward rate contracts, $(8.3) billion in foreign currency-denominated pay-fixed swaps and $1.1 billion in foreign currency futures contracts.