Bank of America Corporation Quarterly report [Sections 13 or 15(d)]

Quarterly report [Sections 13 or 15(d)]

Derivatives (Tables)

Derivatives (Tables)

3 Months Ended

Mar. 31, 2025

Derivative Instruments and Hedging Activities Disclosures [Line Items]

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2025 and December 31, 2024. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by cash collateral received or paid.



			March 31, 2025
			Gross Derivative Assets						Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional (1)		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	24,353.4	$	71.6	$	6.3	$	77.9	$	64.9	$	10.8	$	75.7
Futures and forwards	4,221.1		2.5		—		2.5		2.2		—		2.2
Written options (2)	1,941.1		—		—		—		26.1		—		26.1
Purchased options (3)	1,815.7		27.7		—		27.7		—		—		—
Foreign exchange contracts
Swaps	2,389.3		36.9		—		36.9		35.6		—		35.6
Spot, futures and forwards	5,310.3		35.3		0.2		35.5		34.2		0.6		34.8
Written options (2)	788.4		—		—		—		7.8		—		7.8
Purchased options (3)	712.0		7.4		—		7.4		—		—		—
Equity contracts
Swaps	556.9		16.5		—		16.5		18.0		—		18.0
Futures and forwards	123.3		2.4		—		2.4		1.5		—		1.5
Written options (2)	919.4		—		—		—		52.8		—		52.8
Purchased options (3)	869.9		48.5		—		48.5		—		—		—
Commodity contracts
Swaps	72.1		2.9		—		2.9		5.2		—		5.2
Futures and forwards	183.2		6.4		—		6.4		4.1		0.8		4.9
Written options (2)	81.3		—		—		—		3.3		—		3.3
Purchased options (3)	84.1		3.6		—		3.6		—		—		—
Credit derivatives (4)
Purchased credit derivatives:
Credit default swaps	477.7		1.9		—		1.9		2.7		—		2.7
Total return swaps/options	94.1		0.7		—		0.7		0.3		—		0.3
Written credit derivatives:
Credit default swaps	457.1		2.0		—		2.0		1.8		—		1.8
Total return swaps/options	100.2		0.6		—		0.6		1.2		—		1.2
Gross derivative assets/liabilities			$	266.9	$	6.5	$	273.4	$	261.7	$	12.2	$	273.9
Less: Legally enforceable master netting agreements							(210.7)						(210.7)
Less: Cash collateral received/paid							(26.5)						(27.8)
Total derivative assets/liabilities							$	36.2					$	35.4

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

(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.

(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.

(4)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $203 million and $427.6 billion, respectively, at March 31, 2025.



			December 31, 2024
			Gross Derivative Assets						Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional (1)		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	20,962.1	$	71.9	$	7.6	$	79.5	$	61.1	$	15.2	$	76.3
Futures and forwards	3,383.0		4.5		—		4.5		4.2		—		4.2
Written options (2)	1,931.2		—		—		—		29.0		—		29.0
Purchased options (3)	1,789.1		29.2		—		29.2		—		—		—
Foreign exchange contracts
Swaps	2,204.0		46.8		0.1		46.9		47.4		—		47.4
Spot, futures and forwards	4,273.5		55.4		2.1		57.5		52.4		0.4		52.8
Written options (2)	652.6		—		—		—		10.7		—		10.7
Purchased options (3)	578.3		10.5		—		10.5		—		—		—
Equity contracts
Swaps	520.4		12.8		—		12.8		14.2		—		14.2
Futures and forwards	129.0		2.3		—		2.3		1.5		—		1.5
Written options (2)	831.6		—		—		—		55.1		—		55.1
Purchased options (3)	770.1		50.1		—		50.1		—		—		—
Commodity contracts
Swaps	64.8		2.1		—		2.1		3.6		—		3.6
Futures and forwards	165.8		4.0		—		4.0		2.3		0.8		3.1
Written options (2)	69.5		—		—		—		2.7		—		2.7
Purchased options (3)	75.2		2.9		—		2.9		—		—		—
Credit derivatives (4)
Purchased credit derivatives:
Credit default swaps	408.3		1.7		—		1.7		2.6		—		2.6
Total return swaps/options	98.0		1.0		—		1.0		0.7		—		0.7
Written credit derivatives:
Credit default swaps	388.2		2.0		—		2.0		1.6		—		1.6
Total return swaps/options	81.4		1.1		—		1.1		0.2		—		0.2
Gross derivative assets/liabilities			$	298.3	$	9.8	$	308.1	$	289.3	$	16.4	$	305.7
Less: Legally enforceable master netting agreements							(237.1)						(237.1)
Less: Cash collateral received/paid							(30.1)						(29.2)
Total derivative assets/liabilities							$	40.9					$	39.4

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

(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.

(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.

(4)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $406 million and $361.2 billion, respectively, at December 31, 2024.

Gains and Losses on Derivatives and Hedged Items Designated in Fair Value Hedges

The table below summarizes information related to fair value hedges for the three months ended March 31, 2025 and 2024.



Gains and Losses on Derivatives and Hedged Items Designated in Fair Value Hedges

	Three Months Ended March 31
	2025				2024

(Dollars in millions)	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	2,476	$	(2,480)	$	(3,104)	$	3,090
Interest rate and foreign currency risk (2)	(202)		202		344		(329)
Interest rate risk on available-for-sale securities (3)	(3,227)		3,178		2,490		(2,502)
Price risk on commodity inventory (4)	(1,097)		1,097		(220)		220
Total	$	(2,050)	$	1,997	$	(490)	$	479

(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.

(2)Represents cross-currency interest rate swaps related to available-for-sale debt securities and long-term debt. For the three months ended March 31, 2025 and 2024, the derivative amount includes gains (losses) of $9 million and $9 million in interest income, $(210) million and $324 million in market making and similar activities, and $(1) million and $11 million in accumulated other comprehensive income (OCI). Line item totals are in the Consolidated Statement of Income and on the Consolidated Balance Sheet.

(3)Amounts are recorded in interest income in the Consolidated Statement of Income.

(4)Amounts are recorded in market making and similar activities in the Consolidated Statement of Income.

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



Designated Fair Value Hedged Assets and Liabilities

	March 31, 2025				December 31, 2024
(Dollars in millions)	Carrying Value		Cumulative Fair Value Adjustments (1)		Carrying Value		Cumulative Fair Value Adjustments (1)

Long-term debt	$	186,956	$	(2,622)	$	188,202	$	(7,263)
Available-for-sale debt securities (2, 3)	264,372		(1,129)		244,664		(4,764)
Trading account assets (4)	9,466		537		3,639		101

(1)Increase (decrease) to carrying value.

(2)These amounts include the amortized cost of the financial assets in closed portfolios used to designate hedging relationships in which the hedged item is a stated layer that is expected to be remaining at the end of the hedging relationship (i.e. portfolio layer hedging relationship). At March 31, 2025 and December 31, 2024, the amortized cost of the closed portfolios used in these hedging relationships was $33.6 billion and $34.8 billion, of which $26.3 billion and $26.1 billion were designated in a portfolio layer hedging relationship. At March 31, 2025 and December 31, 2024, the cumulative adjustment associated with these hedging relationships was a decrease of $88 million and $435 million.

(3)Carrying value represents amortized cost.

(4)Represents hedging activities related to certain commodities inventory.

Cash Flow and Net Investment Hedges

The table below summarizes certain information related to cash flow hedges and net investment hedges for the three months ended March 31, 2025 and 2024. Of the $4.3 billion after-tax

net loss ($5.7 billion pretax) on derivatives in accumulated OCI at March 31, 2025, losses of $2.4 billion after-tax ($3.2 billion pretax) related to both open and closed cash flow hedges are expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are expected to primarily decrease net interest income related to the respective hedged items. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately five years. For terminated cash flow hedges, the time period over which the forecasted transactions will be recognized in interest income is approximately four years, with the aggregated amount beyond this time period being insignificant.



Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges

					Three Months Ended March 31
					2025				2024
	Gains (Losses) Recognized in Accumulated OCI on Derivatives	Gains (Losses) in Income Reclassified from Accumulated OCI	Gains (Losses) Recognized in Accumulated OCI on Derivatives	Gains (Losses) in Income Reclassified from Accumulated OCI
(Dollars in millions, amounts pretax)
Cash flow hedges
Interest rate risk on variable-rate portfolios (1)					$	1,361	$	(393)	$	(1,090)	$	(514)
Price risk on forecasted MBS purchases (1)					—		(2)		—		(2)
Price risk on certain compensation plans (2)					1		7		14		9
Total					$	1,362	$	(388)	$	(1,076)	$	(507)
Net investment hedges
Foreign exchange risk (3)					$	(952)	$	—	$	797	$	—

(1)Amounts reclassified from accumulated OCI are recorded in interest income in the Consolidated Statement of Income.

(2)Amounts reclassified from accumulated OCI are recorded in compensation and benefits expense in the Consolidated Statement of Income.

(3)Amounts reclassified from accumulated OCI are recorded in other income in the Consolidated Statement of Income. For the three months ended March 31, 2025 and 2024, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $2 million and $66 million.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three months ended March 31, 2025 and 2024. These gains (losses) are largely offset by the income or expense recorded on the hedged item.



Gains and Losses on Other Risk Management Derivatives

	Three Months Ended March 31
(Dollars in millions)	2025		2024
Interest rate risk on mortgage activities (1, 2)	$	28	$	(30)
Credit risk on loans (2)	1		(19)
Interest rate and foreign currency risk on asset and liability management activities (3)	(782)		91
Price risk on certain compensation plans (4)	(196)		242

(1)Includes hedges of interest rate risk on mortgage servicing rights (MSRs) and interest rate lock commitments (IRLCs) to originate mortgage loans that will be held for sale.

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

(3)Gains (losses) on these derivatives are recorded in market making and similar activities.

(4)Gains (losses) on these derivatives are recorded in compensation and benefits expense.

Schedule of Derivative Instruments Included in Trading Activities

The table below, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue in Global Markets, categorized by primary risk, for the three months ended March 31, 2025 and 2024. This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 17 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on an FTE basis.



Sales and Trading Revenue

	Market making and similar activities		Net Interest Income		Other (1)		Total
(Dollars in millions)	Three Months Ended March 31, 2025
Interest rate risk	$	500	$	655	$	120	$	1,275
Foreign exchange risk	540		17		11		568
Equity risk	1,977		(342)		549		2,184
Credit risk	431		689		281		1,401
Other risk (2)	174		(23)		8		159
Total sales and trading revenue	$	3,622	$	996	$	969	$	5,587

	Three Months Ended March 31, 2024
Interest rate risk	$	853	$	230	$	77	$	1,160
Foreign exchange risk	437		34		23		494
Equity risk	1,864		(429)		427		1,862
Credit risk	551		604		131		1,286
Other risk (2)	125		29		(13)		141
Total sales and trading revenue	$	3,830	$	468	$	645	$	4,943

(1)Represents amounts in investment and brokerage services and other income that are recorded in Global Markets and included in the definition of sales and trading revenue. Includes investment and brokerage services revenue of $626 million and $494 million for the three months ended March 31, 2025 and 2024.

(2)Includes commodity risk.

Disclosure of Credit Derivatives



Credit Derivative Instruments

	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
	March 31, 2025
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	—	$	2	$	21	$	31	$	54
Non-investment grade	20		311		917		479		1,727
Total	20		313		938		510		1,781
Total return swaps/options:
Investment grade	61		—		—		—		61
Non-investment grade	1,090		15		—		—		1,105
Total	1,151		15		—		—		1,166
Total credit derivatives	$	1,171	$	328	$	938	$	510	$	2,947
Credit-related notes:
Investment grade	$	—	$	—	$	4	$	491	$	495
Non-investment grade	5		2		19		1,283		1,309
Total credit-related notes	$	5	$	2	$	23	$	1,774	$	1,804
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	37,038	$	84,029	$	163,520	$	56,679	$	341,266
Non-investment grade	15,813		33,441		52,938		13,597		115,789
Total	52,851		117,470		216,458		70,276		457,055
Total return swaps/options:
Investment grade	64,286		1,296		1,147		457		67,186
Non-investment grade	31,842		952		110		100		33,004
Total	96,128		2,248		1,257		557		100,190
Total credit derivatives	$	148,979	$	119,718	$	217,715	$	70,833	$	557,245

	December 31, 2024
	Carrying Value
Credit default swaps:
Investment grade	$	—	$	3	$	24	$	16	$	43
Non-investment grade	33		304		752		441		1,530
Total	33		307		776		457		1,573
Total return swaps/options:
Investment grade	93		—		—		—		93
Non-investment grade	145		—		—		—		145
Total	238		—		—		—		238
Total credit derivatives	$	271	$	307	$	776	$	457	$	1,811
Credit-related notes:
Investment grade	$	—	$	—	$	9	$	715	$	724
Non-investment grade	5		5		37		1,119		1,166
Total credit-related notes	$	5	$	5	$	46	$	1,834	$	1,890
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	35,634	$	87,302	$	150,225	$	21,482	$	294,643
Non-investment grade	15,070		30,255		43,969		4,233		93,527
Total	50,704		117,557		194,194		25,715		388,170
Total return swaps/options:
Investment grade	54,041		1,288		1,185		238		56,752
Non-investment grade	22,762		1,452		292		98		24,604
Total	76,803		2,740		1,477		336		81,356
Total credit derivatives	$	127,507	$	120,297	$	195,671	$	26,051	$	469,526

Additional Collateral Required to be Posted Upon Downgrade

The following table presents the amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at March 31, 2025 if the rating agencies had downgraded their long-term senior debt ratings for the Corporation or certain subsidiaries by one incremental notch and by an additional second incremental notch. The table also presents derivative liabilities that would be subject to unilateral termination by counterparties upon downgrade of the Corporation's or certain subsidiaries’ long-term senior debt ratings.



Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade at March 31, 2025

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	164	$	905
Bank of America, N.A. and subsidiaries (1)	43		754

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	20	$	50
Collateral posted	17		32

(1)Included in Bank of America Corporation collateral requirements in this table.

Derivative Liability Subject to Unilateral Termination Upon Downgrade



Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade at March 31, 2025

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	164	$	905
Bank of America, N.A. and subsidiaries (1)	43		754

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	20	$	50
Collateral posted	17		32

(1)Included in Bank of America Corporation collateral requirements in this table.

Valuation Adjustments on Derivatives

The table below presents credit valuation adjustment (CVA), DVA and FVA gains (losses) on derivatives (excluding the effect of any related hedge activities), which are recorded in market making and similar activities, for the three months ended March 31, 2025 and 2024. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2024 Annual Report on Form 10-K.



Valuation Adjustments Gains (Losses) on Derivatives (1)

	Three Months Ended March 31
(Dollars in millions)	2025		2024
Derivative assets (CVA)	$	(25)	$	62
Derivative assets/liabilities (FVA)	(15)		14
Derivative liabilities (DVA)	27		(69)

(1)At March 31, 2025 and December 31, 2024, cumulative CVA reduced the derivative assets balance by $353 million and $328 million, cumulative FVA reduced the net derivative balance by $81 million and $66 million and cumulative DVA reduced the derivative liabilities balance by $299 million and $272 million.

Derivative

Derivative Instruments and Hedging Activities Disclosures [Line Items]

Offsetting Assets

The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at March 31, 2025 and December 31, 2024 by primary risk (e.g., interest rate risk) and the platform, where applicable,

on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements, which include reducing the balance for counterparty netting and cash collateral received or paid.

For more information on offsetting of securities financing agreements, see Note 9 – Securities Financing Agreements, Collateral and Restricted Cash.



Offsetting of Derivatives (1)

	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
(Dollars in billions)	March 31, 2025				December 31, 2024
Interest rate contracts
Over-the-counter	$	103.6	$	99.0	$	108.8	$	103.9
Exchange-traded	0.1		0.1		0.1		0.1
Over-the-counter cleared	3.8		3.2		3.4		3.6
Foreign exchange contracts
Over-the-counter	78.2		76.6		112.7		109.1
Over-the-counter cleared	0.6		0.6		0.5		0.5
Equity contracts
Over-the-counter	27.7		32.7		24.6		31.1
Exchange-traded	38.9		38.7		39.8		38.5
Commodity contracts
Over-the-counter	9.6		9.9		6.2		7.0
Exchange-traded	2.5		2.2		2.0		1.6
Over-the-counter cleared	0.3		0.5		0.3		0.5
Credit derivatives
Over-the-counter	5.1		5.9		5.8		5.0

Total gross derivative assets/liabilities, before netting
Over-the-counter	224.2		224.1		258.1		256.1
Exchange-traded	41.5		41.0		41.9		40.2
Over-the-counter cleared	4.7		4.3		4.2		4.6
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(193.2)		(195.0)		(224.2)		(223.5)
Exchange-traded	(39.6)		(39.6)		(39.0)		(39.0)
Over-the-counter cleared	(4.4)		(3.9)		(4.0)		(3.8)
Derivative assets/liabilities, after netting	33.2		30.9		37.0		34.6
Other gross derivative assets/liabilities (2)	3.0		4.5		3.9		4.8
Total derivative assets/liabilities	36.2		35.4		40.9		39.4
Less: Financial instruments collateral (3)	(17.9)		(13.5)		(18.1)		(14.2)
Total net derivative assets/liabilities	$	18.3	$	21.9	$	22.8	$	25.2

(1)Over-the-counter (OTC) derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse. Exchange-traded derivatives include listed options transacted on an exchange.

(2)Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.

(3)Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities.

Offsetting Liabilities

For more information on offsetting of securities financing agreements, see Note 9 – Securities Financing Agreements, Collateral and Restricted Cash.



Offsetting of Derivatives (1)

	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
(Dollars in billions)	March 31, 2025				December 31, 2024
Interest rate contracts
Over-the-counter	$	103.6	$	99.0	$	108.8	$	103.9
Exchange-traded	0.1		0.1		0.1		0.1
Over-the-counter cleared	3.8		3.2		3.4		3.6
Foreign exchange contracts
Over-the-counter	78.2		76.6		112.7		109.1
Over-the-counter cleared	0.6		0.6		0.5		0.5
Equity contracts
Over-the-counter	27.7		32.7		24.6		31.1
Exchange-traded	38.9		38.7		39.8		38.5
Commodity contracts
Over-the-counter	9.6		9.9		6.2		7.0
Exchange-traded	2.5		2.2		2.0		1.6
Over-the-counter cleared	0.3		0.5		0.3		0.5
Credit derivatives
Over-the-counter	5.1		5.9		5.8		5.0

Total gross derivative assets/liabilities, before netting
Over-the-counter	224.2		224.1		258.1		256.1
Exchange-traded	41.5		41.0		41.9		40.2
Over-the-counter cleared	4.7		4.3		4.2		4.6
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(193.2)		(195.0)		(224.2)		(223.5)
Exchange-traded	(39.6)		(39.6)		(39.0)		(39.0)
Over-the-counter cleared	(4.4)		(3.9)		(4.0)		(3.8)
Derivative assets/liabilities, after netting	33.2		30.9		37.0		34.6
Other gross derivative assets/liabilities (2)	3.0		4.5		3.9		4.8
Total derivative assets/liabilities	36.2		35.4		40.9		39.4
Less: Financial instruments collateral (3)	(17.9)		(13.5)		(18.1)		(14.2)
Total net derivative assets/liabilities	$	18.3	$	21.9	$	22.8	$	25.2

(2)Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.