Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

Derivatives (Tables)

6 Months Ended

Jun. 30, 2011

Derivatives [Abstract]

Derivatives Balances

June 30, 2011

Gross Derivative Assets

Gross Derivative Liabilities

Trading

Derivatives

and

Qualifying

and

Qualifying

Contract/

Economic

Accounting

Economic

Accounting

(Dollars in billions)

Notional ⁽¹⁾

Hedges

Total

Hedges

Hedges ⁽²⁾

Total

Interest rate contracts

Swaps

45,518.3

1,114.0

9.8

1,123.8

1,106.3

3.8

1,110.1

Futures and forwards

12,471.9

3.5

4.1

Written options

3,089.1

78.4

Purchased options

3,132.4

84.0

Foreign exchange contracts

Swaps

880.8

32.6

3.6

36.2

32.4

0.7

33.1

Spot, futures and forwards

3,109.3

36.7

0.5

37.2

37.3

0.9

38.2

Written options

545.7

12.4

Purchased options

542.2

11.1

Equity contracts

Swaps

43.4

1.2

1.5

Futures and forwards

105.9

2.5

2.4

Written options

530.7

20.7

Purchased options

254.1

22.6

Commodity contracts

Swaps

87.4

5.9

0.1

6.0

6.5

Futures and forwards

534.5

4.2

3.0

Written options

120.3

8.0

Purchased options

120.0

7.7

Credit derivatives

Purchased credit derivatives:

Credit default swaps

2,065.7

59.8

29.2

Total return swaps/other

41.4

0.4

0.3

Written credit derivatives:

Credit default swaps

1,990.5

28.5

51.9

Total return swaps/other

40.8

0.5

0.6

Gross derivative assets/liabilities

1,415.2

14.0

1,429.2

1,395.0

5.4

1,400.4

Less: Legally enforceable master netting agreements

(1,303.8

)

(1,303.8

)

Less: Cash collateral applied

(58.8

)

(42.2

)

Total derivative assets/liabilities

66.6

54.4


⁽¹⁾		Represents the total contract/notional amount of derivative assets and liabilities outstanding.

⁽²⁾		Excludes $3.3 billion of long-term debt designated as a hedge of foreign currency risk.


	December 31, 2010
			Gross Derivative Assets							Gross Derivative Liabilities
			Trading							Trading
			Derivatives							Derivatives
			and		Qualifying					and		Qualifying
	Contract/		Economic		Accounting					Economic		Accounting
(Dollars in billions)	Notional ⁽¹⁾		Hedges		Hedges		Total			Hedges		Hedges ⁽²⁾		Total

Interest rate contracts
Swaps	$	42,719.2	$	1,193.9	$	14.9	$	1,208.8		$	1,187.9	$	2.2	$	1,190.1
Futures and forwards		9,939.2		6.0		-		6.0			4.7		-		4.7
Written options		2,887.7		-		-		-			82.8		-		82.8
Purchased options		3,026.2		88.0		-		88.0			-		-		-
Foreign exchange contracts
Swaps		630.1		26.5		3.7		30.2			28.5		2.1		30.6
Spot, futures and forwards		2,652.9		41.3		-		41.3			44.2		-		44.2
Written options		439.6		-		-		-			13.2		-		13.2
Purchased options		417.1		13.0		-		13.0			-		-		-
Equity contracts
Swaps		42.4		1.7		-		1.7			2.0		-		2.0
Futures and forwards		78.8		2.9		-		2.9			2.1		-		2.1
Written options		242.7		-		-		-			19.4		-		19.4
Purchased options		193.5		21.5		-		21.5			-		-		-
Commodity contracts
Swaps		90.2		8.8		0.2		9.0			9.3		-		9.3
Futures and forwards		413.7		4.1		-		4.1			2.8		-		2.8
Written options		86.3		-		-		-			6.7		-		6.7
Purchased options		84.6		6.6		-		6.6			-		-		-
Credit derivatives
Purchased credit derivatives:
Credit default swaps		2,184.7		69.8		-		69.8			34.0		-		34.0
Total return swaps/other		26.0		0.9		-		0.9			0.2		-		0.2
Written credit derivatives:
Credit default swaps		2,133.5		33.3		-		33.3			63.2		-		63.2
Total return swaps/other		22.5		0.5		-		0.5			0.5		-		0.5

Gross derivative assets/liabilities			$	1,518.8	$	18.8	$	1,537.6		$	1,501.5	$	4.3	$	1,505.8
Less: Legally enforceable master netting agreements								(1,406.3	)						(1,406.3	)
Less: Cash collateral applied								(58.3	)						(43.6	)

Total derivative assets/liabilities							$	73.0						$	55.9


⁽¹⁾		Represents the total contract/notional amount of derivative assets and liabilities outstanding.

⁽²⁾		Excludes $4.1 billion of long-term debt designated as a hedge of foreign currency risk.

Fair Value Derivative Hedges


	Three Months Ended June 30									Six Months Ended June 30
	2011												2011
				Hedged			Hedge						Hedged			Hedge
(Dollars in millions)	Derivative			Item			Ineffectiveness			Derivative			Item			Ineffectiveness

Derivatives designated as fair value hedges
Interest rate risk on long-term debt ⁽¹⁾	$	1,373		$	(1,494	)	$	(121	)	$	439		$	(705	)	$	(266	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾		1,438			(1,487	)		(49	)		2,188			(2,293	)		(105	)
Interest rate risk on AFS securities ⁽²⁾		(1,873	)		1,630			(243	)		(721	)		546			(175	)
Price risk on commodity inventory ⁽³⁾		20			(20	)		-			16			(16	)		-

Total	$	958		$	(1,371	)	$	(413	)	$	1,922		$	(2,468	)	$	(546	)


	2010									2010

Derivatives designated as fair value hedges
Interest rate risk on long-term debt ⁽¹⁾	$	3,202		$	(3,318	)	$	(116	)	$	4,086		$	(4,330	)	$	(244	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾		(1,907	)		1,704			(203	)		(3,282	)		2,955			(327	)
Interest rate risk on AFS securities ⁽²⁾		(5,240	)		5,165			(75	)		(5,270	)		5,184			(86	)
Price risk on commodity inventory ⁽³⁾		(16	)		15			(1	)		42			(46	)		(4	)

Total	$	(3,961	)	$	3,566		$	(395	)	$	(4,424	)	$	3,763		$	(661	)


⁽¹⁾		Amounts are recorded in interest expense on long-term debt.

⁽²⁾		Amounts are recorded in interest income on AFS securities.

⁽³⁾		Amounts relating to commodity inventory are recorded in trading account profits.

Cash Flow and Net Investment Hedges


	Three Months Ended June 30									Six Months Ended June 30
	2011									2011
							Hedge									Hedge
	Gains (Losses)			Gains (Losses)			Ineffectiveness and			Gains (Losses)			Gains (Losses)			Ineffectiveness and
	Recognized in			in Income			Amounts Excluded			Recognized in			in Income			Amounts Excluded
	Accumulated OCI			Reclassified from			from Effectiveness			Accumulated OCI			Reclassified from			from Effectiveness
(Dollars in millions, amounts pre-tax)	on Derivatives			Accumulated OCI			Testing ⁽¹⁾			on Derivatives			Accumulated OCI			Testing ⁽¹⁾

Derivatives designated as cash flow hedges
Interest rate risk on variable rate portfolios	$	(878	)	$	(444	)	$	(30	)	$	(722	)	$	(748	)	$	(34	)
Commodity price risk on forecasted purchases and sales		(1	)		1			-			(9	)		3			(2	)
Price risk on restricted stock awards		(136	)		(44	)		-			(191	)		(70	)		-

Total	$	(1,015	)	$	(487	)	$	(30	)	$	(922	)	$	(815	)	$	(36	)

Net investment hedges
Foreign exchange risk	$	(653	)	$	-		$	(139	)	$	(1,615	)	$	423		$	(250	)


	2010									2010

Derivatives designated as cash flow hedges
Interest rate risk on variable rate portfolios	$	(856	)	$	(105	)	$	(6	)	$	(1,358	)	$	(186	)	$	(20	)
Commodity price risk on forecasted purchases and sales		(5	)		10			1			27			13			2
Price risk on restricted stock awards		(181	)		6			-			(37	)		17			-
Price risk on equity investments included in AFS securities		180			(226	)		-			186			(226	)		-

Total	$	(862	)	$	(315	)	$	(5	)	$	(1,182	)	$	(382	)	$	(18	)

Net investment hedges
Foreign exchange risk	$	906		$	-		$	(68	)	$	1,885		$	-		$	(132	)


⁽¹⁾		Amounts related to derivatives designated as cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing.

Economic Hedges


	Three Months Ended June 30						Six Months Ended June 30
(Dollars in millions)	2011			2010			2011			2010

Price risk on mortgage banking production income ^{(1, 2)}	$	1,221		$	2,041		$	1,166		$	3,397
Interest rate risk on mortgage banking servicing income ⁽¹⁾		530			2,700			385			3,312
Credit risk on loans ⁽³⁾		-			31			(30	)		(27	)
Interest rate and foreign currency risk on long-term debt and other foreign exchange transactions⁽⁴⁾		1,826			(5,221	)		5,220			(9,209	)
Other ⁽⁵⁾		(166	)		(194	)		(176	)		(98	)

Total	$	3,411		$	(643	)	$	6,565		$	(2,625	)


⁽¹⁾		Gains (losses) on these derivatives are recorded in mortgage banking income.

⁽²⁾		Includes gains on interest rate lock commitments related to the origination of mortgage loans that are held-for-sale, which are considered derivative instruments, of $1.2 billion and $2.2 billion for the three and six months ended June 30, 2011 compared to $2.8 billion and $4.6 billion for the same periods in 2010.

⁽³⁾		Gains (losses) on these derivatives are recorded in other income.

⁽⁴⁾		The majority of the balance is related to the revaluation of economic hedges of foreign currency-denominated debt which is offset with the revaluation of the debt in other income.

⁽⁵⁾		Gains (losses) on these derivatives are recorded in other income or in personnel expense for hedges of certain RSUs.

Sales and Trading Revenue


	Three Months Ended June 30
	2011										2010
	Trading										Trading
	Account		Other			Net Interest					Account			Other			Net Interest
(Dollars in millions)	Profits		Income ^{(1, 2)}			Income ⁽³⁾			Total		Profits			Income ^{(1, 2)}			Income ⁽³⁾			Total

Interest rate risk	$	488	$	16		$	199		$	703	$	434		$	21		$	138		$	593
Foreign exchange risk		261		(16	)		4			249		234			(11	)		1			224
Equity risk		539		564			(22	)		1,081		202			727			(47	)		882
Credit risk		579		218			760			1,557		447			73			959			1,479
Other risk		164		12			(31	)		145		(129	)		30			(43	)		(142	)

Total sales and trading revenue	$	2,031	$	794		$	910		$	3,735	$	1,188		$	840		$	1,008		$	3,036


	Six Months Ended June 30
	2011										2010
Interest rate risk	$	791	$	(7	)	$	415		$	1,199	$	1,493		$	48		$	327		$	1,868
Foreign exchange risk		493		(31	)		7			469		515			(18	)		1			498
Equity risk		1,059		1,241			30			2,330		1,077			1,322			(3	)		2,396
Credit risk		1,983		769			1,552			4,304		3,109			121			1,953			5,183
Other risk		293		45			(65	)		273		50			68			(98	)		20

Total sales and trading revenue	$	4,619	$	2,017		$	1,939		$	8,575	$	6,244		$	1,541		$	2,180		$	9,965


⁽¹⁾		Represents investment and brokerage services and other income recorded in GBAM that the Corporation includes in its definition of sales and trading revenue.

⁽²⁾		Other income includes commissions and brokerage fee revenue of $583 million and $1.3 billion for the three and six months ended June 30, 2011 and $657 million and $1.3 billion for the same periods in 2010.

⁽³⁾		Net interest income excludes FTE adjustments of $43 million and $98 million for the three and six months ended June 30, 2011 compared to $75 million and $148 million for the same periods in 2010.

Credit Derivatives


	June 30, 2011
	Carrying Value
	Less than		One to Three		Three to		Over Five
(Dollars in millions)	One Year		Years		Five Years		Years		Total

Credit default swaps:
Investment grade	$	113	$	1,393	$	5,263	$	5,788	$	12,557
Non-investment grade		758		5,380		8,334		24,864		39,336

Total		871		6,773		13,597		30,652		51,893

Total return swaps/other:
Investment grade		-		35		79		255		369
Non-investment grade		2		8		32		209		251

Total		2		43		111		464		620

Total credit derivatives	$	873	$	6,816	$	13,708	$	31,116	$	52,513

Credit-related notes: ⁽¹⁾
Investment grade		1		17		415		2,952		3,385
Non-investment grade		9		26		208		1,722		1,965

Total credit-related notes	$	10	$	43	$	623	$	4,674	$	5,350

	Maximum Payout/Notional

Credit default swaps:
Investment grade	$	133,694	$	434,130	$	456,682	$	195,869	$	1,220,375
Non-investment grade		97,824		273,164		201,725		197,442		770,155

Total		231,518		707,294		658,407		393,311		1,990,530

Total return swaps/other:
Investment grade		110		2,493		29,026		4,953		36,582
Non-investment grade		83		942		2,272		909		4,206

Total		193		3,435		31,298		5,862		40,788

Total credit derivatives	$	231,711	$	710,729	$	689,705	$	399,173	$	2,031,318


	December 31, 2010
	Carrying Value
	Less than		One to Three		Three to		Over Five
(Dollars in millions)	One Year		Years		Five Years		Years		Total

Credit default swaps:
Investment grade	$	158	$	2,607	$	7,331	$	14,880	$	24,976
Non-investment grade		598		6,630		7,854		23,106		38,188

Total		756		9,237		15,185		37,986		63,164

Total return swaps/other:
Investment grade		-		-		38		60		98
Non-investment grade		1		2		2		415		420

Total		1		2		40		475		518

Total credit derivatives	$	757	$	9,239	$	15,225	$	38,461	$	63,682

Credit-related notes: ^{(1, 2)}
Investment grade		-		136		-		3,525		3,661
Non-investment grade		9		33		174		2,423		2,639

Total credit-related notes	$	9	$	169	$	174	$	5,948	$	6,300

	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	133,691	$	466,565	$	475,715	$	275,434	$	1,351,405
Non-investment grade		84,851		314,422		178,880		203,930		782,083

Total		218,542		780,987		654,595		479,364		2,133,488

Total return swaps/other:
Investment grade		-		10		15,413		4,012		19,435
Non-investment grade		113		78		951		1,897		3,039

Total		113		88		16,364		5,909		22,474

Total credit derivatives	$	218,655	$	781,075	$	670,959	$	485,273	$	2,155,962


⁽¹⁾		For credit-related notes, maximum payout/notional is the same.

⁽²⁾		For December 31, 2010, total credit-related note amounts have been revised from $3.6 billion (as previously reported) to $6.3 billion to reflect collateralized debt obligations and collateralized loan obligations held by certain consolidated VIEs.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References + Details

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5580258-113959

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 25
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624163-113959

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41620-113959

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624171-113959

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
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-Section 50
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-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41641-113959

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5579245-113959

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
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-URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5579240-113959

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(n)(2))
-URI http://asc.fasb.org/extlink&oid=6881521&loc=d3e23780-122690

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41678-113959

Reference 11: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=6935481&loc=d3e41638-113959

+ Details