Bank of America 2009 Annual Report Download - page 99

$104.4 billion in pay fixed swaps, $83.4 billion in U.S. dollar-
denominated receive fixed swaps and the net addition of $22.9 billion in
foreign currency-denominated receive fixed swaps. The notional amount of
our foreign exchange basis swaps was $122.8 billion and $54.6 billion at
December 31, 2009 and 2008. The $42.9 billion increase in same-
currency basis swap positions was primarily due to the acquisition of
Merrill Lynch. Our futures and forwards net notional position, which
reflects the net of long and short positions, was a long position of $10.6
billion compared to a short position of $8.8 billion at December 31,
2008.
The following table includes derivatives utilized in our ALM activities
including those designated as accounting and economic hedging instru-
ments. The fair value of net ALM contracts increased $5.8 billion to a
gain of $12.3 billion at December 31, 2009 from a gain of $6.4 billion at
December 31, 2008. The increase was primarily attributable to changes
in the value of U.S. dollar-denominated receive fixed interest rate swaps
of $1.9 billion, foreign exchange basis swaps of $1.4 billion, pay fixed
interest rate swaps of $1.2 billion, foreign exchange contracts of $1.1
billion, option products of $174 million and same-currency basis swaps of
$107 million. The increase was partially offset by a loss from changes in
the value of futures and forward rate contracts of $66 million.
Table 46 Asset and Liability Management Interest Rate and Foreign Exchange Contracts
December 31, 2009
Fair
Value
Expected Maturity
(Dollars in millions, average estimated duration in years) Total 2010 2011 2012 2013 2014 Thereafter
Average Estimated
Duration
Receive fixed interest rate swaps
(1, 2)
$ 4,047 4.34
Notional amount $110,597 $15,212 $ 8 $35,454 $ 7,333 $ 8,247 $ 44,343
Weighted-average fixed-rate 3.65% 1.61% –% 2.42% 4.06% 3.48% 5.29%
Pay fixed interest rate swaps
(1)
1,175 4.18
Notional amount $104,445 $ 2,500 $50,810 $14,688 $ 806 $ 3,729 $ 31,912
Weighted-average fixed-rate 2.83% 1.82% 2.37% 2.24% 3.77% 2.61% 3.92%
Same-currency basis swaps
(3)
107
Notional amount $ 42,881 $ 4,549 $ 8,593 $11,934 $ 5,591 $ 5,546 $ 6,668
Foreign exchange basis swaps
(2, 4, 5)
4,633
Notional amount 122,807 7,958 10,968 19,862 18,322 31,853 33,844
Option products
(6)
174
Notional amount 6,540 656 2,031 1,742 244 603 1,264
Foreign exchange contracts
(2, 5, 7)
2,144
Notional amount
(8)
103,726 63,158 3,491 3,977 6,795 10,585 15,720
Futures and forward rate contracts (8)
Notional amount
(8)
10,559 10,559 – – – – –
Net ALM contracts $12,272
December 31, 2008
Expected Maturity
(Dollars in millions, average estimated duration in years)
Fair
Value Total 2009 2010 2011 2012 2013 Thereafter
Average Estimated
Duration
Receive fixed interest rate swaps
(1, 2)
$ 2,103 4.93
Notional amount $ 27,166 $ 17 $ 4,002 $ – $ 9,258 $ 773 $13,116
Weighted-average fixed-rate 4.08% 7.35% 1.89% –% 3.31% 4.53% 5.27%
Foreign exchange basis swaps
(2, 4, 5)
3,196
Notional amount $ 54,569 $ 4,578 $ 6,192 $ 3,986 $ 8,916 $4,819 $26,078
Option products
(6)
–
Notional amount 5,025 5,000 22 – – – 3
Foreign exchange contracts
(2, 5, 7)
1,070
Notional amount
(8)
23,063 2,313 4,021 1,116 1,535 486 13,592
Futures and forward rate contracts 58
Notional amount
(8)
(8,793) (8,793) – – – – –
Net ALM contracts $ 6,427
(1) At December 31, 2009, the receive fixed interest rate swap notional that represented forward starting swaps and will not be effective until their respective contractual start dates was $2.5 billion and the forward
starting pay fixed swap positions was $76.8 billion. At December 31, 2008, there were no forward starting pay or receive fixed swap positions.
(2) Does not include basis adjustments on fixed-rate debt issued by the Corporation and hedged under fair value hedges pursuant to derivatives designated as hedging instruments that substantially offset the fair values
of these derivatives.
(3) At December 31, 2009, same-currency basis swaps consist of $42.9 billion in both foreign currency and U.S. dollar-denominated basis swaps in which both sides of the swap are in the same currency. There were no
same-currency basis swaps at December 31, 2008.
(4) Foreign exchange basis swaps consist of cross-currency variable interest rate swaps used separately or in conjunction with receive fixed interest rate swaps.
(5) Does not include foreign currency translation adjustments on certain foreign debt issued by the Corporation which substantially offset the fair values of these derivatives.
(6) Option products of $6.5 billion at December 31, 2009 were comprised of $177 million in purchased caps and $6.3 billion in swaptions. Option products of $5.0 billion at December 31, 2008 are comprised completely
of purchased caps.
(7) Foreign exchange contracts include foreign currency-denominated and cross-currency receive fixed interest rate swaps as well as foreign currency forward rate contracts. Total notional was comprised of $46.0 billion in
foreign currency-denominated and cross-currency receive fixed swaps and $57.7 billion in foreign currency forward rate contracts at December 31, 2009, and $23.1 billion in foreign currency-denominated and cross-
currency receive fixed swaps and $78 million in foreign currency forward rate contracts at December 31, 2008.
(8) Reflects the net of long and short positions.
Bank of America 2009 97