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, 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 June 30:
Interest rate risk on USD denominated long-term borrowings	$	471		$	(645	)	$	(174	)	$	487	$	(603	)	$	(116	)
Interest rate risk on foreign currency denominated long-term borrowings	(412		)	345			(67		)	407		(464		)	(57		)
Commodity price risk on commodity inventory	(9		)	9			—			20		(20		)	—

For the six months ended June 30:
Interest rate risk on USD denominated long-term borrowings	60			(371		)	(311		)	145		(356		)	(211		)
Interest rate risk on foreign currency denominated long-term borrowings	(324		)	230			(94		)	680		(786		)	(106		)
Commodity price risk on commodity inventory	14			(14		)	—			16		(16		)	—

	2012									2011
	Trading Assets			Trading Liabilities						Trading Assets		Trading Liabilities

As of June 30, 2012 and December 31, 2011:
Carrying value of hedging derivatives:
Long-term borrowings	$	6,088		$	992					$	6,940	$	841
Commodity inventory	57			3						70		5
Notional amount of hedging derivatives:
Long-term borrowings	38,696			10,215						44,180		11,092
Commodity inventory	129			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 ⁽²⁾			Gains (losses) Recognized in Accumulated OCI			Gains (losses) in Income Reclassified from Accumulated OCI ⁽¹⁾			Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing ⁽²⁾
For the three months ended June 30:
Foreign exchange risk	$	555	$	4		$	(100	)	$	(494	)	$	—		$	(87	)

For the six months ended June 30:
Foreign exchange risk	110		(37		)	(98		)	(961		)	(3		)	(157		)

			2012									2011
As of June 30, 2012 and December 31, 2011:
Carrying value of hedging derivatives:
Trading assets			$	477								$	690
Trading liabilities			364									492
Carrying value of non-derivative hedges:
Long-term borrowings			—									61
Notional amount of hedging derivatives:
in an asset position			13,628									20,068
in a liability position			12,740									7,338


(1)	Amounts are recorded in other revenues.


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

Schedule of Economic Hedges

Net gains (losses) on economic hedges



(dollars in millions)
	2012⁽¹⁾			2011⁽¹⁾
For the three months ended June 30:
Interest rate risk	$	17		$	77
Foreign currency risk	(703		)	1,055
Credit risk	18			(2		)

For the six months ended June 30:
Interest rate risk	11			(4		)
Foreign currency risk	(504		)	3,146
Credit risk	(31		)	(17		)


(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 June 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 June 30, 2012
	Contract/ Notional		Trading Assets- Derivative Contracts			Contract/ Notional		Trading Liabilities- Derivative Contracts
Interest rate contracts
Swaps	$	8,161,488	$	526,227		$	7,792,776	$	523,769
Futures and forwards	1,963,757		1,612			2,008,981		1,426
Written options	—		—			1,304,560		66,142
Purchased options	1,263,508		69,876			—		—
Foreign exchange contracts
Swaps	751,288		24,921			816,828		33,328
Spot, futures and forwards	97,855		2,705			91,781		2,667
Written options	—		—			288,912		5,570
Purchased options	224,297		5,331			—		—
Equity contracts
Swaps	23,964		1,215			23,084		1,249
Futures and forwards	28,703		1,327			22,185		1,323
Written options	—		—			274,655		15,341
Purchased options	273,872		13,991			—		—
Commodity contracts
Swaps	45,155		4,637			37,409		6,163
Futures and forwards	322,878		6,228			320,487		3,788
Written options	—		—			175,019		9,182
Purchased options	172,990		8,751			—		—
Credit derivatives
Purchased protection:
Credit default swaps	144,599		14,730			78,340		1,647
Total return swaps	5,766		766			4,252		1,087
Other credit derivatives	273		2			13		—
Written protection:
Credit default swaps	80,471		2,253			144,599		13,900
Total return swaps	5,210		529			4,247		384
Other credit derivatives	—		2			442		2
Gross derivative assets/liabilities	$	13,566,074	$	685,103		$	13,388,570	$	686,968
Less: Legally enforceable master netting			(629,064		)			(629,064		)
Less: Cash collateral received/paid			(27,967		)			(33,645		)
Total derivative assets and liabilities			$	28,072				$	24,259



(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 six months ended June 30, 2012 and June 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 June 30, 2012



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾			Net Interest (Expense) Income			Total
Interest rate risk	$	209		$	19	$	4		$	165		$	397
Foreign exchange risk	35			—		—			—			35
Equity risk	1,356			613		22			(1,019		)	972
Commodity risk	95			—		1			(30		)	66
Credit risk	249			—		(11		)	545			783
Total trading related	1,944			632		16			(339		)	2,253
Non-trading related	(7		)	608		236			(669		)	168
Total	$	1,937		$	1,240	$	252		$	(1,008	)	$	2,421

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

For The Six Months Ended June 30, 2012



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾		Net Interest (Expense) Income			Total
Interest rate risk	$	378		$	37	$	4	$	372		$	791
Foreign exchange risk	60			—		—		—			60
Equity risk	1,776			1,332		42		(969		)	2,181
Commodity risk	355			—		1		(58		)	298
Credit risk	1,399			—		66		1,077			2,542
Total trading related	3,968			1,369		113		422			5,872
Non-trading related	(2,172		)	1,226		909		(1,500		)	(1,537		)
Total	$	1,796		$	2,595	$	1,022	$	(1,078	)	$	4,335


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

For The Three Months Ended June 30, 2011



(dollars in millions)
	Principal Transactions		Commissions		Other Revenues⁽¹⁾		Net Interest (Expense) Income			Total
Interest rate risk	$	230	$	21	$	6	$	197		$	454
Foreign exchange risk	44		—		—		4			48
Equity risk	1,401		765		28		(905		)	1,289
Commodity risk	174		—		—		(28		)	146
Credit risk	165		14		147		717			1,043
Total trading related	2,014		800		181		(15		)	2,980
Non-trading related	159		647		751		(869		)	688
Total	$	2,173	$	1,447	$	932	$	(884	)	$	3,668


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

For The Six Months Ended June 30, 2011



(dollars in millions)
	Principal Transactions			Commissions		Other Revenues⁽¹⁾			Net Interest (Expense) Income			Total
Interest rate risk	$	350		$	43	$	19		$	380		$	792
Foreign exchange risk	48			—		—			5			53
Equity risk	1,888			1,666		58			(819		)	2,793
Commodity risk	307			—		(1		)	(57		)	249
Credit risk	891			28		357			1,394			2,670
Total trading related	3,484			1,737		433			903			6,557
Non-trading related	(140		)	1,300		2,357			(1,740		)	1,777
Total	$	3,344		$	3,037	$	2,790		$	(837	)	$	8,334


(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 June 30, 2012:
Derivative contracts:
Credit derivatives:
Investment grade⁽²⁾	$	157,655	$	27,092	$	53,648	$	60,921	$	15,994	$	4,006
Non-investment grade⁽²⁾	77,314		8,196		17,253		27,830		24,035		10,280
Total credit derivatives	234,969		35,288		70,901		88,751		40,029		14,286
Credit related notes:
Investment grade⁽²⁾	2,920		3		148		726		2,043		2,920
Non-investment grade⁽²⁾	1,501		215		70		150		1,066		1,501
Total credit related notes	4,421		218		218		876		3,109		4,421
Total derivative contracts	$	239,390	$	35,506	$	71,119	$	89,627	$	43,138	$	18,707
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 June 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 June 30, 2012:
Credit derivatives purchased	$	138,545	$	24,617	$	49,689	$	44,043	$	20,196	$	6,692
Credit derivatives sold	149,977		28,088		48,450		46,212		27,227		8,829
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