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)

9 Months Ended

Sep. 30, 2012

Derivative [Line Items]

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

Hedge accounting activity for 2012 and 2011 included the following:

Fair value hedges



(dollars in millions)
	2012									2011
	Derivative⁽¹⁾			Hedged Item ⁽¹⁾⁽²⁾			Hedge Ineffectiveness ⁽¹⁾			Derivative ⁽¹⁾			Hedged Item ⁽¹⁾⁽²⁾			Hedge Ineffectiveness ⁽¹⁾
For the three months ended September 30:
Interest rate risk on USD denominated long-term borrowings	$	(49	)	$	(125	)	$	(174	)	$	1,555		$	(1,744	)	$	(189	)
Interest rate risk on foreign currency denominated long-term borrowings	(207		)	153			(54		)	(345		)	287			(58		)
Commodity price risk on commodity inventory	(24		)	24			—			16			(16		)	—

For the nine months ended September 30:
Interest rate risk on USD denominated long-term borrowings	11			(496		)	(485		)	1,700			(2,100		)	(400		)
Interest rate risk on foreign currency denominated long-term borrowings	(531		)	383			(148		)	335			(499		)	(164		)
Commodity price risk on commodity inventory	(10		)	10			—			—			—			—

	2012									2011
	Trading Assets			Trading Liabilities						Trading Assets			Trading Liabilities

As of September 30, 2012 and December 31, 2011:
Carrying value of hedging derivatives:
Long-term borrowings	$	6,177		$	887					$	6,940		$	841
Commodity inventory	28			2						70			5
Notional amount of hedging derivatives:
Long-term borrowings	37,019			9,813						44,180			11,092
Commodity inventory	115			6						152			6


(1)	Amounts are recorded in interest expense and other revenues for long-term borrowings and principal transactions for commodity inventory.


(2)	Excludes the impact of the accretion of purchase accounting adjustments made to certain long-term borrowings in connection with the acquisition of Merrill Lynch by Bank of America.

Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location

Net investment hedges of foreign operations



(dollars in millions)
				2012								2011
	Gains (losses) Recognized in Accumulated OCI			Gains (losses) in Income Reclassified from Accumulated OCI ⁽¹⁾			Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing ⁽¹⁾			Gains (losses) Recognized in Accumulated OCI		Gains (losses) in Income Reclassified from Accumulated OCI ⁽¹⁾			Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing ⁽¹⁾
For the three months ended September 30:
Foreign exchange risk	$	(567	)	$	(12	)	$	12		$	1,215	$	(18	)	$	(110	)

For the nine months ended September 30:
Foreign exchange risk	(457		)	(49		)	(86		)	254		(21		)	(267		)

				2012								2011
As of September 30, 2012 and December 31, 2011:
Carrying value of hedging derivatives:
Trading assets				$	175							$	690
Trading liabilities				794								492
Carrying value of non-derivative hedges:
Long-term borrowings				—								61
Notional amount of hedging derivatives:
in an asset position				3,328								20,068
in a liability position				19,560								7,338


(1)	Amounts are recorded in other revenues.

Schedule of Economic Hedges

Net gains (losses) on economic hedges



(dollars in millions)
	2012⁽¹⁾			2011⁽¹⁾
For the three months ended September 30:
Interest rate risk	$	6		$	182
Foreign currency risk	48			(2,350		)
Credit risk	(22		)	65

For the nine months ended September 30:
Interest rate risk	17			178
Foreign currency risk	(456		)	796
Credit risk	(53		)	48


(1)	Amounts are recorded in other revenues and interest expense.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables identify the primary risk for derivative instruments, which includes trading, non-trading and bifurcated embedded derivatives, at September 30, 2012 and December 31, 2011. The primary risk is provided on a gross basis, prior to the application of the impact of counterparty and cash collateral netting.



(dollars in millions)
	As of September 30, 2012
	Contract/ Notional		Trading Assets- Derivative Contracts			Contract/ Notional		Trading Liabilities- Derivative Contracts
Interest rate contracts
Swaps	$	8,374,191	$	536,237		$	8,113,852	$	532,035
Futures and forwards	2,378,341		2,325			2,380,931		2,053
Written options	—		—			1,279,262		64,754
Purchased options	1,272,147		68,817			—		—
Foreign exchange contracts
Swaps	787,495		32,344			807,193		38,830
Spot, futures and forwards	93,990		2,259			88,490		2,359
Written options	—		—			274,860		5,289
Purchased options	213,044		4,932			—		—
Equity contracts
Swaps	27,768		1,266			24,397		1,399
Futures and forwards	27,468		1,464			24,307		1,423
Written options	—		—			327,939		15,777
Purchased options	314,432		14,405			—		—
Commodity contracts
Swaps	32,484		3,188			33,159		4,581
Futures and forwards	299,124		4,881			282,453		2,696
Written options	—		—			191,816		3,001
Purchased options	194,053		2,450			—		—
Credit derivatives
Purchased protection:
Credit default swaps	120,185		11,510			101,695		2,065
Total return swaps	5,812		619			3,508		1,175
Other credit derivatives	1,705		3			242		—
Written protection:
Credit default swaps	103,658		2,766			115,520		10,428
Total return swaps	1,556		340			14,361		452
Other credit derivatives	—		1			1,279		4
Gross derivative assets/liabilities	$	14,247,453	$	689,807		$	14,065,264	$	688,321
Less: Legally enforceable master netting			(633,047		)			(633,047		)
Less: Cash collateral received/paid			(30,139		)			(32,703		)
Total derivative assets and liabilities			$	26,621				$	22,571



(dollars in millions)
	As of December 31, 2011
	Contract/ Notional		Trading Assets- Derivative Contracts			Contract/ Notional		Trading Liabilities- Derivative Contracts
Interest rate contracts
Swaps	$	8,196,809	$	564,696		$	7,978,404	$	560,638
Futures and forwards	2,117,971		1,510			2,003,741		1,339
Written options	—		—			1,419,278		66,733
Purchased options	1,336,149		69,812			—		—
Foreign exchange contracts
Swaps	766,899		27,312			798,173		35,299
Spot, futures and forwards	104,356		3,887			98,411		3,791
Written options	—		—			249,575		7,437
Purchased options	236,465		7,220			—		—
Equity contracts
Swaps	23,233		1,028			22,887		1,141
Futures and forwards	30,791		1,747			20,988		1,450
Written options	—		—			345,947		14,596
Purchased options	341,731		14,816			—		—
Commodity contracts
Swaps	35,681		4,823			36,391		5,799
Futures and forwards	233,567		5,254			236,919		3,183
Written options	—		—			140,600		9,443
Purchased options	139,312		9,426			—		—
Credit derivatives
Purchased protection:
Credit default swaps	174,857		20,124			67,664		1,416
Total return swaps	2,771		407			3,493		291
Other credit derivatives	274		3			25		—
Written protection:
Credit default swaps	66,841		1,737			179,907		19,061
Total return swaps	4,350		226			1,239		129
Other credit derivatives	—		—			25		1
Gross derivative assets/liabilities	$	13,812,057	$	734,028		$	13,603,667	$	731,747
Less: Legally enforceable master netting			(672,524		)			(672,524		)
Less: Cash collateral received/paid			(26,491		)			(32,984		)
Total derivative assets and liabilities			$	35,013				$	26,239

Schedule of Derivative Instruments Included in Trading Activities

The following tables identify the amounts in the income statement line items attributable to trading and non-trading activities, including both derivatives and non-derivative cash instruments categorized by primary risk for the three and nine months ended September 30, 2012 and September 30, 2011.

Non-trading related amounts include activities in connection with principal investment, wealth management, and certain lending activities; economic hedging activity discussed in the Non-trading derivatives section above; and the impact of changes in Merrill Lynch's own creditworthiness on borrowings accounted for at fair value.

For The Three Months Ended September 30, 2012



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾			Net Interest (Expense) Income			Total
Interest rate risk	$	246		$	18	$	3		$	171		$	438
Foreign exchange risk	(5		)	—		1			—			(4		)
Equity risk	173			594		14			96			877
Commodity risk	132			—		(1		)	(29		)	102
Credit risk	515			—		77			477			1,069
Total trading related	1,061			612		94			715			2,482
Non-trading related	(868		)	597		149			(753		)	(875		)
Total	$	193		$	1,209	$	243		$	(38	)	$	1,607

(1) Includes other income and other-than-temporary impairment losses on available-for-sale debt securities.

For The Nine Months Ended September 30, 2012



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾		Net Interest (Expense) Income			Total
Interest rate risk	$	624		$	55	$	7	$	543		$	1,229
Foreign exchange risk	55			—		1		—			56
Equity risk	1,949			1,926		56		(873		)	3,058
Commodity risk	487			—		—		(87		)	400
Credit risk	1,914			—		143		1,554			3,611
Total trading related	5,029			1,981		207		1,137			8,354
Non-trading related	(3,040		)	1,823		1,058		(2,253		)	(2,412		)
Total	$	1,989		$	3,804	$	1,265	$	(1,116	)	$	5,942


(1)	Includes other income and other-than-temporary impairment losses on available-for-sale debt securities.

For The Three Months Ended September 30, 2011



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾			Net Interest (Expense) Income			Total
Interest rate risk	$	396		$	21	$	—		$	205		$	622
Foreign exchange risk	24			—		—			1			25
Equity risk	132			792		36			104			1,064
Commodity risk	216			—		1			(29		)	188
Credit risk	(829		)	16		33			634			(146		)
Total trading related	(61		)	829		70			915			1,753
Non-trading related	2,842			612		(1,127		)	(803		)	1,524
Total	$	2,781		$	1,441	$	(1,057	)	$	112		$	3,277


(1)	Includes other income and other-than-temporary impairment losses on available-for-sale debt securities.

For The Nine Months Ended September 30, 2011



(dollars in millions)
	Principal Transactions		Commissions		Other Revenues⁽¹⁾		Net Interest (Expense) Income			Total
Interest rate risk	$	746	$	64	$	19	$	585		$	1,414
Foreign exchange risk	72		—		—		6			78
Equity risk	2,020		2,458		94		(715		)	3,857
Commodity risk	523		—		—		(86		)	437
Credit risk	62		44		390		2,028			2,524
Total trading related	3,423		2,566		503		1,818			8,310
Non-trading related	2,702		1,912		1,230		(2,543		)	3,301
Total	$	6,125	$	4,478	$	1,733	$	(725	)	$	11,611


(1)	Includes other income and other-than-temporary impairment losses on available-for-sale debt securities.

Guarantees

Derivative [Line Items]

Disclosure of Credit Derivatives

Credit derivatives where Merrill Lynch is the seller of credit protection are summarized below:



(dollars in millions)
	Maximum Payout/ Notional		Less than 1 year		1 − 3 years		3 − 5 years		Over 5 years		Carrying Value⁽¹⁾
At September 30, 2012:
Derivative contracts:
Credit derivatives:
Investment grade⁽²⁾	$	151,359	$	27,011	$	50,121	$	60,538	$	13,689	$	2,356
Non-investment grade⁽²⁾	85,015		11,456		20,514		29,518		23,527		8,528
Total credit derivatives	236,374		38,467		70,635		90,056		37,216		10,884
Credit related notes:
Investment grade⁽²⁾	2,978		4		6		214		2,754		2,978
Non-investment grade⁽²⁾	1,600		158		90		143		1,209		1,600
Total credit related notes	4,578		162		96		357		3,963		4,578
Total derivative contracts	$	240,952	$	38,629	$	70,731	$	90,413	$	41,179	$	15,462
At December 31, 2011:
Derivative contracts:
Credit derivatives:
Investment grade⁽²⁾	$	130,770	$	22,021	$	47,593	$	46,918	$	14,238	$	4,189
Non-investment grade⁽²⁾	121,592		13,263		26,428		38,301		43,600		15,002
Total credit derivatives	252,362		35,284		74,021		85,219		57,838		19,191
Credit related notes:
Investment grade⁽²⁾	2,956		—		7		203		2,746		2,956
Non-investment grade⁽²⁾	1,511		127		77		82		1,225		1,511
Total credit related notes	4,467		127		84		285		3,971		4,467
Total derivative contracts	$	256,829	$	35,411	$	74,105	$	85,504	$	61,809	$	23,658


(1)	Derivative contracts are shown on a gross basis prior to counterparty or cash collateral netting.


(2)	Refers to the creditworthiness of the underlying reference obligations.

Credit Protection

Derivative [Line Items]

Disclosure of Credit Derivatives

At September 30, 2012 and December 31, 2011, the notional value and carrying value of credit protection purchased and credit protection sold by Merrill Lynch with identical underlying referenced names was:



(dollars in millions)
	Maximum Payout/ Notional		Less than 1 year		1 − 3 years		3 − 5 years		Over 5 years		Carrying Value⁽¹⁾
At September 30, 2012:
Credit derivatives purchased	$	135,788	$	26,208	$	44,829	$	44,914	$	19,837	$	4,431
Credit derivatives sold	144,488		28,110		43,678		47,088		25,612		6,186
At December 31, 2011:
Credit derivatives purchased	219,358		31,335		63,284		77,485		47,254		15,563
Credit derivatives sold	219,669		33,852		61,797		77,527		46,493		15,502


(1)	Derivative contracts are shown on a gross basis prior to counterparty or cash collateral netting.

- 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 gains and losses on derivative instruments included in an entity's trading activities.

+ 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