Derivatives (Tables)
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9 Months Ended |
Sep. 30, 2017 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Schedule of Derivative Instruments |
The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at September 30, 2017 and December 31, 2016. 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 the cash collateral received or paid.
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September 30, 2017 |
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Gross Derivative Assets |
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Gross Derivative Liabilities |
(Dollars in billions) |
Contract/
Notional (1)
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|
Trading and Other Risk Management Derivatives |
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Qualifying Accounting
Hedges
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Total |
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Trading and Other Risk Management Derivatives |
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Qualifying Accounting
Hedges
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Total |
Interest rate contracts |
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Swaps (2)
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$ |
18,602.5 |
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$ |
179.5 |
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$ |
5.1 |
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$ |
184.6 |
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$ |
176.7 |
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$ |
1.3 |
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$ |
178.0 |
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Futures and forwards (2)
|
5,957.2 |
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0.9 |
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— |
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0.9 |
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0.8 |
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— |
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0.8 |
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Written options |
1,467.4 |
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— |
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— |
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— |
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36.3 |
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— |
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36.3 |
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Purchased options |
1,390.7 |
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38.5 |
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— |
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38.5 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
2,011.9 |
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36.6 |
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2.5 |
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39.1 |
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37.0 |
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3.1 |
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40.1 |
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Spot, futures and forwards |
4,313.6 |
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46.6 |
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0.9 |
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47.5 |
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46.9 |
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0.8 |
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47.7 |
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Written options |
367.3 |
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— |
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— |
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— |
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5.7 |
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— |
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5.7 |
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Purchased options |
335.7 |
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5.2 |
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— |
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5.2 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
236.2 |
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4.6 |
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— |
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4.6 |
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4.6 |
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— |
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4.6 |
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Futures and forwards |
100.9 |
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1.9 |
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— |
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1.9 |
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1.2 |
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— |
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1.2 |
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Written options |
524.9 |
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— |
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— |
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— |
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25.1 |
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— |
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25.1 |
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Purchased options |
467.0 |
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25.2 |
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— |
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25.2 |
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— |
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— |
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— |
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Commodity contracts |
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Swaps |
47.6 |
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1.7 |
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— |
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1.7 |
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4.2 |
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— |
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4.2 |
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Futures and forwards |
51.5 |
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3.5 |
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— |
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3.5 |
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0.6 |
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— |
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0.6 |
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Written options |
25.0 |
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— |
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— |
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— |
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1.2 |
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— |
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1.2 |
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Purchased options |
26.1 |
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1.4 |
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— |
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1.4 |
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— |
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— |
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— |
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Credit derivatives (3)
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Purchased credit derivatives: |
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Credit default swaps (2)
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522.8 |
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4.8 |
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— |
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4.8 |
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11.2 |
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— |
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11.2 |
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Total return swaps/other |
57.6 |
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0.1 |
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— |
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0.1 |
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1.3 |
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— |
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1.3 |
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Written credit derivatives: |
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Credit default swaps (2)
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514.5 |
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10.9 |
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— |
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10.9 |
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4.2 |
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— |
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4.2 |
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Total return swaps/other |
55.3 |
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0.8 |
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— |
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0.8 |
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0.2 |
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— |
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0.2 |
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Gross derivative assets/liabilities |
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$ |
362.2 |
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$ |
8.5 |
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$ |
370.7 |
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$ |
357.2 |
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$ |
5.2 |
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$ |
362.4 |
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Less: Legally enforceable master netting agreements (2)
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(296.7 |
) |
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(296.7 |
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Less: Cash collateral received/paid (2)
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(35.6 |
) |
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(33.9 |
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Total derivative assets/liabilities |
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$ |
38.4 |
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$ |
31.8 |
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(1) |
Represents the total contract/notional amount of derivative assets and liabilities outstanding. |
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(2) |
Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.
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(3) |
The net derivative asset and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $6.2 billion and $494.1 billion at September 30, 2017.
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December 31, 2016 |
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Gross Derivative Assets |
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Gross Derivative Liabilities |
(Dollars in billions) |
Contract/
Notional (1)
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|
Trading and Other Risk Management Derivatives |
|
Qualifying Accounting
Hedges
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Total |
|
Trading and Other Risk Management Derivatives |
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Qualifying Accounting
Hedges
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Total |
Interest rate contracts |
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Swaps |
$ |
16,977.7 |
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$ |
385.0 |
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$ |
5.9 |
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$ |
390.9 |
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$ |
386.9 |
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$ |
2.0 |
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$ |
388.9 |
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Futures and forwards |
5,609.5 |
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2.2 |
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— |
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2.2 |
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2.1 |
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— |
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2.1 |
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Written options |
1,146.2 |
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— |
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— |
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— |
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52.2 |
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— |
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52.2 |
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Purchased options |
1,178.7 |
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53.3 |
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— |
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53.3 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
1,828.6 |
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54.6 |
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4.2 |
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58.8 |
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58.8 |
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6.2 |
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65.0 |
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Spot, futures and forwards |
3,410.7 |
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58.8 |
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1.7 |
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60.5 |
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56.6 |
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0.8 |
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57.4 |
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Written options |
356.6 |
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— |
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— |
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— |
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9.4 |
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— |
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9.4 |
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Purchased options |
342.4 |
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8.9 |
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— |
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8.9 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
189.7 |
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3.4 |
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— |
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3.4 |
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4.0 |
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— |
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4.0 |
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Futures and forwards |
68.7 |
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0.9 |
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— |
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0.9 |
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0.9 |
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— |
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0.9 |
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Written options |
431.5 |
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— |
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— |
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— |
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21.4 |
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— |
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21.4 |
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Purchased options |
385.5 |
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23.9 |
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— |
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23.9 |
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— |
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— |
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— |
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Commodity contracts |
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Swaps |
48.2 |
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2.5 |
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— |
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2.5 |
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5.1 |
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— |
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5.1 |
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Futures and forwards |
49.1 |
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3.6 |
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— |
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3.6 |
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0.5 |
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— |
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0.5 |
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Written options |
29.3 |
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— |
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— |
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— |
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1.9 |
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— |
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|
1.9 |
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Purchased options |
28.9 |
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2.0 |
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— |
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2.0 |
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— |
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— |
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— |
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Credit derivatives (2)
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Purchased credit derivatives: |
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Credit default swaps |
604.0 |
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8.1 |
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— |
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8.1 |
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10.3 |
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— |
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10.3 |
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Total return swaps/other |
21.2 |
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0.4 |
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— |
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0.4 |
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1.5 |
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— |
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1.5 |
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Written credit derivatives: |
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Credit default swaps |
614.4 |
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10.7 |
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— |
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10.7 |
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7.5 |
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— |
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7.5 |
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Total return swaps/other |
25.4 |
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1.0 |
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— |
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1.0 |
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0.2 |
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— |
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0.2 |
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Gross derivative assets/liabilities |
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$ |
619.3 |
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$ |
11.8 |
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$ |
631.1 |
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$ |
619.3 |
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$ |
9.0 |
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$ |
628.3 |
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Less: Legally enforceable master netting agreements |
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(545.3 |
) |
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(545.3 |
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Less: Cash collateral received/paid |
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(43.3 |
) |
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(43.5 |
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Total derivative assets/liabilities |
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$ |
42.5 |
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$ |
39.5 |
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(1) |
Represents the total contract/notional amount of derivative assets and liabilities outstanding. |
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(2) |
The net derivative asset and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $2.2 billion and $548.9 billion at December 31, 2016.
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Derivative [Line Items] |
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Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The following table summarizes information related to fair value hedges for the three and nine months ended September 30, 2017 and 2016, including hedges of interest rate risk on long-term debt that were acquired as part of a business combination and redesignated at that time. At redesignation, the fair value of the derivatives was positive. As the derivatives mature, the fair value will approach zero. As a result, ineffectiveness will occur and the fair value changes in the derivatives and the long-term debt being hedged may be directionally the same in certain scenarios. Based on a regression analysis, the derivatives continue to be highly effective at offsetting changes in the fair value of the long-term debt attributable to interest rate risk.
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Derivatives Designated as Fair Value Hedges |
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Gains (Losses) |
Three Months Ended September 30, 2017 |
|
Nine Months Ended September 30, 2017 |
(Dollars in millions) |
Derivative |
|
Hedged Item |
|
Hedge Ineffectiveness |
|
Derivative |
|
Hedged Item |
|
Hedge Ineffectiveness |
Interest rate risk on long-term debt (1)
|
$ |
(273 |
) |
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$ |
169 |
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$ |
(104 |
) |
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$ |
(751 |
) |
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$ |
313 |
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|
$ |
(438 |
) |
Interest rate and foreign currency risk on long-term debt (1)
|
607 |
|
|
(593 |
) |
|
14 |
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|
1,631 |
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|
(1,603 |
) |
|
28 |
|
Interest rate risk on available-for-sale securities (2)
|
(8 |
) |
|
7 |
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|
(1 |
) |
|
(71 |
) |
|
40 |
|
|
(31 |
) |
Price risk on commodity inventory (3)
|
— |
|
|
(1 |
) |
|
(1 |
) |
|
8 |
|
|
(8 |
) |
|
— |
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Total |
$ |
326 |
|
|
$ |
(418 |
) |
|
$ |
(92 |
) |
|
$ |
817 |
|
|
$ |
(1,258 |
) |
|
$ |
(441 |
) |
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Three Months Ended September 30, 2016 |
|
Nine Months Ended September 30, 2016 |
Interest rate risk on long-term debt (1)
|
$ |
(758 |
) |
|
$ |
580 |
|
|
$ |
(178 |
) |
|
$ |
3,166 |
|
|
$ |
(3,654 |
) |
|
$ |
(488 |
) |
Interest rate and foreign currency risk on long-term debt (1)
|
16 |
|
|
(10 |
) |
|
6 |
|
|
360 |
|
|
(369 |
) |
|
(9 |
) |
Interest rate risk on available-for-sale securities (2)
|
235 |
|
|
(250 |
) |
|
(15 |
) |
|
(131 |
) |
|
80 |
|
|
(51 |
) |
Price risk on commodity inventory (3)
|
6 |
|
|
(6 |
) |
|
— |
|
|
— |
|
|
— |
|
|
— |
|
Total |
$ |
(501 |
) |
|
$ |
314 |
|
|
$ |
(187 |
) |
|
$ |
3,395 |
|
|
$ |
(3,943 |
) |
|
$ |
(548 |
) |
|
|
(1) |
Amounts are recorded in interest expense on long-term debt and in other income. |
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|
(2) |
Amounts are recorded in interest income on debt securities. |
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|
(3) |
Amounts relating to commodity inventory are recorded in trading account profits. |
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Cash Flow and Net Investment Hedges |
The table below summarizes certain information related to cash flow hedges and net investment hedges for the three and nine months ended September 30, 2017 and 2016. Of the $739 million after-tax net loss ($1.2 billion pre-tax) on derivatives in accumulated other comprehensive income (OCI) at September 30, 2017, $102 million after-tax ($164 million pre-tax) is expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are expected to primarily reduce net interest income related to the respective hedged items. Amounts related to price risk on restricted stock awards reclassified from accumulated OCI are recorded in personnel expense. For terminated cash flow hedges, the time period over which the majority of the forecasted transactions are hedged is approximately seven years, with a maximum length of time for certain forecasted transactions of 19 years.
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Derivatives Designated as Cash Flow and Net Investment Hedges |
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Three Months Ended September 30, 2017 |
|
Nine Months Ended September 30, 2017 |
(Dollars in millions, amounts pre-tax)
|
Gains (Losses) Recognized in Accumulated OCI on Derivatives |
|
Gains (Losses) in Income Reclassified from Accumulated OCI |
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
|
Gains (Losses) Recognized in Accumulated OCI on Derivatives |
|
Gains (Losses) in Income Reclassified from Accumulated OCI |
|
Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing (1)
|
Cash flow hedges |
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Interest rate risk on variable-rate portfolios |
$ |
11 |
|
|
$ |
(54 |
) |
|
$ |
(1 |
) |
|
$ |
38 |
|
|
$ |
(274 |
) |
|
$ |
4 |
|
Price risk on restricted stock awards (2)
|
7 |
|
|
32 |
|
|
— |
|
|
41 |
|
|
103 |
|
|
— |
|
Total |
$ |
18 |
|
|
$ |
(22 |
) |
|
$ |
(1 |
) |
|
$ |
79 |
|
|
$ |
(171 |
) |
|
$ |
4 |
|
Net investment hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign exchange risk (3)
|
$ |
(427 |
) |
|
$ |
(3 |
) |
|
$ |
(33 |
) |
|
$ |
(1,541 |
) |
|
$ |
1,811 |
|
|
$ |
(82 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2016 |
|
Nine Months Ended September 30, 2016 |
Cash flow hedges |
|
|
|
|
|
|
|
|
|
|
|
Interest rate risk on variable-rate portfolios |
$ |
(8 |
) |
|
$ |
(119 |
) |
|
$ |
(4 |
) |
|
$ |
50 |
|
|
$ |
(447 |
) |
|
$ |
2 |
|
Price risk on restricted stock awards (2)
|
85 |
|
|
(8 |
) |
|
— |
|
|
(114 |
) |
|
(61 |
) |
|
— |
|
Total |
$ |
77 |
|
|
$ |
(127 |
) |
|
$ |
(4 |
) |
|
$ |
(64 |
) |
|
$ |
(508 |
) |
|
$ |
2 |
|
Net investment hedges |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign exchange risk |
$ |
214 |
|
|
$ |
2 |
|
|
$ |
(68 |
) |
|
$ |
173 |
|
|
$ |
3 |
|
|
$ |
(234 |
) |
|
|
(1) |
Amounts related to cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing. |
|
|
(2) |
Gains (losses) recognized in accumulated OCI are primarily related to the change in the Corporation’s stock price for the period. |
|
|
(3) |
For the nine months ended September 30, 2017, substantially all of the gains in income reclassified from accumulated OCI were comprised of the gain recognized on derivatives used to hedge the currency risk of the Corporation's net investment in its non-U.S. consumer credit card business, which was sold during the second quarter of 2017. For additional information, see Note 12 – Accumulated Other Comprehensive Income (Loss)
|
|
Other Risk Management Derivatives |
The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2017 and 2016. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Risk Management Derivatives |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (Losses) |
Three Months Ended September 30 |
|
Nine Months Ended September 30 |
(Dollars in millions) |
2017 |
|
2016 |
|
2017 |
|
2016 |
Interest rate risk on mortgage banking income (1)
|
$ |
1 |
|
|
$ |
57 |
|
|
$ |
32 |
|
|
$ |
882 |
|
Credit risk on loans (2)
|
— |
|
|
(7 |
) |
|
(3 |
) |
|
(103 |
) |
Interest rate and foreign currency risk on ALM activities (3)
|
26 |
|
|
(262 |
) |
|
(26 |
) |
|
(1,970 |
) |
Price risk on restricted stock awards (4)
|
33 |
|
|
199 |
|
|
161 |
|
|
(569 |
) |
Other |
— |
|
|
— |
|
|
5 |
|
|
40 |
|
|
|
(1) |
Net gains on these derivatives are recorded in mortgage banking income as they are used to mitigate the interest rate risk related to mortgage servicing rights (MSRs), interest rate lock commitments (IRLCs) and mortgage loans held-for-sale, all of which are measured at fair value with changes in fair value recorded in mortgage banking income. The net gains on IRLCs related to the origination of mortgage loans that are held-for-sale, which are not included in the table but are considered derivative instruments, were $76 million and $192 million for the three and nine months ended September 30, 2017 compared to $185 million and $514 million for the same periods in 2016.
|
|
|
(2) |
Primarily related to derivatives that are economic hedges of credit risk on loans. Net gains (losses) on these derivatives are recorded in other income. |
|
|
(3) |
Primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt. Gains (losses) on these derivatives and the related hedged items are recorded in other income. |
|
|
(4) |
Gains (losses) on these derivatives are recorded in personnel expense. |
|
Schedule of Derivative Instruments Included in Trading Activities |
The following table, 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 and nine months ended September 30, 2017 and 2016. The difference between total trading account profits in the following table and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. This table includes 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 following table is not presented on an FTE basis.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sales and Trading Revenue |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2017 |
|
Nine Months Ended September 30, 2017 |
(Dollars in millions) |
Trading Account Profits |
|
Net Interest Income |
|
Other (1)
|
|
Total |
|
Trading Account Profits |
|
Net Interest Income |
|
Other (1)
|
|
Total |
Interest rate risk |
$ |
441 |
|
|
$ |
224 |
|
|
$ |
91 |
|
|
$ |
756 |
|
|
$ |
1,115 |
|
|
$ |
763 |
|
|
$ |
325 |
|
|
$ |
2,203 |
|
Foreign exchange risk |
348 |
|
|
2 |
|
|
(40 |
) |
|
310 |
|
|
1,063 |
|
|
(2 |
) |
|
(119 |
) |
|
942 |
|
Equity risk |
640 |
|
|
(142 |
) |
|
464 |
|
|
962 |
|
|
2,088 |
|
|
(372 |
) |
|
1,426 |
|
|
3,142 |
|
Credit risk |
251 |
|
|
624 |
|
|
104 |
|
|
979 |
|
|
1,200 |
|
|
1,886 |
|
|
450 |
|
|
3,536 |
|
Other risk |
34 |
|
|
8 |
|
|
17 |
|
|
59 |
|
|
168 |
|
|
18 |
|
|
67 |
|
|
253 |
|
Total sales and trading revenue |
$ |
1,714 |
|
|
$ |
716 |
|
|
$ |
636 |
|
|
$ |
3,066 |
|
|
$ |
5,634 |
|
|
$ |
2,293 |
|
|
$ |
2,149 |
|
|
$ |
10,076 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2016 |
|
Nine Months Ended September 30, 2016 |
Interest rate risk |
$ |
511 |
|
|
$ |
307 |
|
|
$ |
83 |
|
|
$ |
901 |
|
|
$ |
1,430 |
|
|
$ |
1,073 |
|
|
$ |
210 |
|
|
$ |
2,713 |
|
Foreign exchange risk |
319 |
|
|
(4 |
) |
|
(39 |
) |
|
276 |
|
|
1,003 |
|
|
(7 |
) |
|
(112 |
) |
|
884 |
|
Equity risk |
463 |
|
|
31 |
|
|
467 |
|
|
961 |
|
|
1,481 |
|
|
15 |
|
|
1,573 |
|
|
3,069 |
|
Credit risk |
598 |
|
|
634 |
|
|
123 |
|
|
1,355 |
|
|
1,224 |
|
|
1,895 |
|
|
380 |
|
|
3,499 |
|
Other risk |
43 |
|
|
7 |
|
|
8 |
|
|
58 |
|
|
263 |
|
|
(19 |
) |
|
34 |
|
|
278 |
|
Total sales and trading revenue |
$ |
1,934 |
|
|
$ |
975 |
|
|
$ |
642 |
|
|
$ |
3,551 |
|
|
$ |
5,401 |
|
|
$ |
2,957 |
|
|
$ |
2,085 |
|
|
$ |
10,443 |
|
|
|
(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 $488 million and $1.5 billion for the three and nine months ended September 30, 2017 and $485 million and $1.6 billion for the same periods in 2016.
|
|
Disclosure of Credit Derivatives |
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2017 and December 31, 2016 are summarized in the following table.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Derivative Instruments |
|
|
September 30, 2017 |
|
Carrying Value |
(Dollars in millions) |
Less than
One Year
|
|
One to
Three Years
|
|
Three to
Five Years
|
|
Over Five
Years
|
|
Total |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
10 |
|
|
$ |
27 |
|
|
$ |
175 |
|
|
$ |
389 |
|
|
$ |
601 |
|
Non-investment grade |
237 |
|
|
571 |
|
|
462 |
|
|
2,343 |
|
|
3,613 |
|
Total |
247 |
|
|
598 |
|
|
637 |
|
|
2,732 |
|
|
4,214 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
39 |
|
|
— |
|
|
— |
|
|
— |
|
|
39 |
|
Non-investment grade |
153 |
|
|
— |
|
|
— |
|
|
— |
|
|
153 |
|
Total |
192 |
|
|
— |
|
|
— |
|
|
— |
|
|
192 |
|
Total credit derivatives |
$ |
439 |
|
|
$ |
598 |
|
|
$ |
637 |
|
|
$ |
2,732 |
|
|
$ |
4,406 |
|
Credit-related notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
— |
|
|
$ |
— |
|
|
$ |
84 |
|
|
$ |
702 |
|
|
$ |
786 |
|
Non-investment grade |
20 |
|
|
12 |
|
|
31 |
|
|
1,416 |
|
|
1,479 |
|
Total credit-related notes |
$ |
20 |
|
|
$ |
12 |
|
|
$ |
115 |
|
|
$ |
2,118 |
|
|
$ |
2,265 |
|
|
Maximum Payout/Notional |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
76,594 |
|
|
$ |
117,714 |
|
|
$ |
109,875 |
|
|
$ |
38,025 |
|
|
$ |
342,208 |
|
Non-investment grade |
62,935 |
|
|
43,775 |
|
|
44,094 |
|
|
21,466 |
|
|
172,270 |
|
Total |
139,529 |
|
|
161,489 |
|
|
153,969 |
|
|
59,491 |
|
|
514,478 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
36,743 |
|
|
— |
|
|
— |
|
|
— |
|
|
36,743 |
|
Non-investment grade |
13,232 |
|
|
4,792 |
|
|
143 |
|
|
404 |
|
|
18,571 |
|
Total |
49,975 |
|
|
4,792 |
|
|
143 |
|
|
404 |
|
|
55,314 |
|
Total credit derivatives |
$ |
189,504 |
|
|
$ |
166,281 |
|
|
$ |
154,112 |
|
|
$ |
59,895 |
|
|
$ |
569,792 |
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
|
Carrying Value |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
10 |
|
|
$ |
64 |
|
|
$ |
535 |
|
|
$ |
783 |
|
|
$ |
1,392 |
|
Non-investment grade |
771 |
|
|
1,053 |
|
|
908 |
|
|
3,339 |
|
|
6,071 |
|
Total |
781 |
|
|
1,117 |
|
|
1,443 |
|
|
4,122 |
|
|
7,463 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
16 |
|
|
— |
|
|
— |
|
|
— |
|
|
16 |
|
Non-investment grade |
127 |
|
|
10 |
|
|
2 |
|
|
1 |
|
|
140 |
|
Total |
143 |
|
|
10 |
|
|
2 |
|
|
1 |
|
|
156 |
|
Total credit derivatives |
$ |
924 |
|
|
$ |
1,127 |
|
|
$ |
1,445 |
|
|
$ |
4,123 |
|
|
$ |
7,619 |
|
Credit-related notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
— |
|
|
$ |
12 |
|
|
$ |
542 |
|
|
$ |
1,423 |
|
|
$ |
1,977 |
|
Non-investment grade |
70 |
|
|
22 |
|
|
60 |
|
|
1,318 |
|
|
1,470 |
|
Total credit-related notes |
$ |
70 |
|
|
$ |
34 |
|
|
$ |
602 |
|
|
$ |
2,741 |
|
|
$ |
3,447 |
|
|
Maximum Payout/Notional |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
121,083 |
|
|
$ |
143,200 |
|
|
$ |
116,540 |
|
|
$ |
21,905 |
|
|
$ |
402,728 |
|
Non-investment grade |
84,755 |
|
|
67,160 |
|
|
41,001 |
|
|
18,711 |
|
|
211,627 |
|
Total |
205,838 |
|
|
210,360 |
|
|
157,541 |
|
|
40,616 |
|
|
614,355 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
12,792 |
|
|
— |
|
|
— |
|
|
— |
|
|
12,792 |
|
Non-investment grade |
6,638 |
|
|
5,127 |
|
|
589 |
|
|
208 |
|
|
12,562 |
|
Total |
19,430 |
|
|
5,127 |
|
|
589 |
|
|
208 |
|
|
25,354 |
|
Total credit derivatives |
$ |
225,268 |
|
|
$ |
215,487 |
|
|
$ |
158,130 |
|
|
$ |
40,824 |
|
|
$ |
639,709 |
|
|
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 September 30, 2017 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.
|
|
|
|
|
|
|
|
|
|
|
Additional Collateral Required to be Posted Upon Downgrade |
|
September 30, 2017 |
(Dollars in millions) |
One
incremental notch
|
Second
incremental notch
|
Bank of America Corporation |
$ |
512 |
|
$ |
668 |
|
Bank of America, N.A. and subsidiaries (1)
|
387 |
|
300 |
|
|
|
(1) |
Included in Bank of America Corporation collateral requirements in this table. |
|
Derivative Liability Subject to Unilateral Termination Upon Downgrade |
The table below presents the derivative liabilities that would be subject to unilateral termination by counterparties and the amounts of collateral that would have been contractually required at September 30, 2017 if the long-term senior debt ratings for the Corporation or certain subsidiaries had been lower by one incremental notch and by an additional second incremental notch.
|
|
|
|
|
|
|
|
|
|
|
Derivative Liabilities Subject to Unilateral Termination Upon Downgrade |
|
September 30, 2017 |
(Dollars in millions) |
One
incremental notch
|
Second
incremental notch
|
Derivative liabilities |
$ |
468 |
|
$ |
1,122 |
|
Collateral posted |
387 |
|
857 |
|
|
Valuation Adjustments on Derivatives |
The table below presents credit valuation adjustment (CVA), DVA and FVA gains (losses) on derivatives, which are recorded in trading account profits, on a gross and net of hedge basis for the three and nine months ended September 30, 2017 and 2016. For more information on the valuation adjustments on derivatives, see Note 2 – Derivatives to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Adjustments on Derivatives (1)
|
|
|
|
|
|
|
Gains (Losses) |
Three Months Ended September 30 |
|
2017 |
|
2016 |
(Dollars in millions) |
Gross |
Net |
|
Gross |
Net |
Derivative assets (CVA) |
$ |
23 |
|
$ |
15 |
|
|
$ |
280 |
|
$ |
66 |
|
Derivative assets/liabilities (FVA) |
37 |
|
43 |
|
|
42 |
|
51 |
|
Derivative liabilities (DVA) |
29 |
|
17 |
|
|
(125 |
) |
(103 |
) |
|
|
|
|
|
|
|
Nine Months Ended September 30 |
|
2017 |
|
2016 |
|
Gross |
Net |
|
Gross |
Net |
Derivative assets (CVA) |
$ |
281 |
|
$ |
93 |
|
|
$ |
45 |
|
$ |
151 |
|
Derivative assets/liabilities (FVA) |
113 |
|
140 |
|
|
9 |
|
20 |
|
Derivative liabilities (DVA) |
(249 |
) |
(201 |
) |
|
106 |
|
(60 |
) |
|
|
(1) |
At September 30, 2017 and December 31, 2016, cumulative CVA reduced the derivative assets balance by $726 million and $1.0 billion, cumulative FVA reduced the net derivatives balance by $182 million and $296 million, and cumulative DVA reduced the derivative liabilities balance by $525 million and $774 million, respectively.
|
|
Derivative |
|
Derivative [Line Items] |
|
Offsetting Liabilities |
The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2017 and December 31, 2016 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 includes reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.
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Offsetting of Derivatives (1)
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September 30, 2017 |
|
December 31, 2016 |
(Dollars in billions) |
Derivative
Assets
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|
Derivative Liabilities |
|
Derivative
Assets
|
|
Derivative Liabilities |
Interest rate contracts |
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Over-the-counter |
$ |
219.1 |
|
|
$ |
211.3 |
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|
$ |
267.3 |
|
|
$ |
258.2 |
|
Over-the-counter cleared (2)
|
2.3 |
|
|
2.3 |
|
|
177.2 |
|
|
182.8 |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Over-the-counter |
88.2 |
|
|
90.7 |
|
|
124.3 |
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|
126.7 |
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Over-the-counter cleared |
0.7 |
|
|
0.6 |
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0.3 |
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|
0.3 |
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Equity contracts |
|
|
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Over-the-counter |
18.3 |
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17.3 |
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15.6 |
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|
13.7 |
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Exchange-traded |
9.5 |
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9.7 |
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11.4 |
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10.8 |
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Commodity contracts |
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Over-the-counter |
2.7 |
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4.0 |
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3.7 |
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4.9 |
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Exchange-traded |
0.7 |
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0.6 |
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1.1 |
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1.0 |
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Credit derivatives |
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Over-the-counter |
10.1 |
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10.5 |
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15.3 |
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14.7 |
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Over-the-counter cleared (2)
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6.1 |
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6.0 |
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4.3 |
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4.3 |
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Total gross derivative assets/liabilities, before netting |
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Over-the-counter |
338.4 |
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333.8 |
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426.2 |
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418.2 |
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Exchange-traded |
10.2 |
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10.3 |
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12.5 |
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11.8 |
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Over-the-counter cleared (2)
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9.1 |
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8.9 |
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181.8 |
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187.4 |
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Less: Legally enforceable master netting agreements and cash collateral received/paid |
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Over-the-counter |
(314.9 |
) |
|
(312.8 |
) |
|
(398.2 |
) |
|
(392.6 |
) |
Exchange-traded |
(9.2 |
) |
|
(9.2 |
) |
|
(8.9 |
) |
|
(8.9 |
) |
Over-the-counter cleared (2)
|
(8.2 |
) |
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(8.6 |
) |
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(181.5 |
) |
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(187.3 |
) |
Derivative assets/liabilities, after netting |
25.4 |
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22.4 |
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31.9 |
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28.6 |
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Other gross derivative assets/liabilities (3)
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13.0 |
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9.4 |
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10.6 |
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10.9 |
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Total derivative assets/liabilities |
38.4 |
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31.8 |
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42.5 |
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39.5 |
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Less: Financial instruments collateral (4)
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(11.3 |
) |
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(9.6 |
) |
|
(13.5 |
) |
|
(10.5 |
) |
Total net derivative assets/liabilities |
$ |
27.1 |
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$ |
22.2 |
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$ |
29.0 |
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$ |
29.0 |
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(1) |
Over-the-counter (OTC) derivatives include bilateral transactions between the Corporation and a particular counterparty. OTC-cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse, and exchange-traded derivatives include listed options transacted on an exchange. |
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(2) |
Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.
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(3) |
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. |
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(4) |
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. |
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Offsetting Assets |
The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2017 and December 31, 2016 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 includes reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.
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Offsetting of Derivatives (1)
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