Bank of America Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

Derivatives (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2017 and 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.




			December 31, 2017
			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 ⁽²⁾	$	15,416.4	$	175.1	$	2.9	$	178.0		$	172.5	$	1.7	$	174.2
Futures and forwards ⁽²⁾	4,332.4		0.5		—		0.5			0.5		—		0.5
Written options	1,170.5		—		—		—			35.5		—		35.5
Purchased options	1,184.5		37.6		—		37.6			—		—		—
Foreign exchange contracts
Swaps	2,011.1		35.6		2.2		37.8			36.1		2.7		38.8
Spot, futures and forwards	3,543.3		39.1		0.7		39.8			39.1		0.8		39.9
Written options	291.8		—		—		—			5.1		—		5.1
Purchased options	271.9		4.6		—		4.6			—		—		—
Equity contracts
Swaps	265.6		4.8		—		4.8			4.4		—		4.4
Futures and forwards	106.9		1.5		—		1.5			0.9		—		0.9
Written options	480.8		—		—		—			23.9		—		23.9
Purchased options	428.2		24.7		—		24.7			—		—		—
Commodity contracts
Swaps	46.1		1.8		—		1.8			4.6		—		4.6
Futures and forwards	47.1		3.5		—		3.5			0.6		—		0.6
Written options	21.7		—		—		—			1.4		—		1.4
Purchased options	22.9		1.4		—		1.4			—		—		—
Credit derivatives ⁽³⁾
Purchased credit derivatives:
Credit default swaps ⁽²⁾	470.9		4.1		—		4.1			11.1		—		11.1
Total return swaps/options	54.1		0.1		—		0.1			1.3		—		1.3
Written credit derivatives:
Credit default swaps ⁽²⁾	448.2		10.6		—		10.6			3.6		—		3.6
Total return swaps/options	55.2		0.8		—		0.8			0.2		—		0.2
Gross derivative assets/liabilities			$	345.8	$	5.8	$	351.6		$	340.8	$	5.2	$	346.0
Less: Legally enforceable master netting agreements ⁽²⁾							(279.2		)					(279.2		)
Less: Cash collateral received/paid ⁽²⁾							(34.6		)					(32.5		)
Total derivative assets/liabilities							$	37.8						$	34.3


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

⁽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.


⁽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 $6.4 billion and $435.1 billion at December 31, 2017.




			December 31, 2016
			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	$	16,977.7	$	385.0	$	5.9	$	390.9		$	386.9	$	2.0	$	388.9
Futures and forwards	5,609.5		2.2		—		2.2			2.1		—		2.1
Written options	1,146.2		—		—		—			52.2		—		52.2
Purchased options	1,178.7		53.3		—		53.3			—		—		—
Foreign exchange contracts
Swaps	1,828.6		54.6		4.2		58.8			58.8		6.2		65.0
Spot, futures and forwards	3,410.7		58.8		1.7		60.5			56.6		0.8		57.4
Written options	356.6		—		—		—			9.4		—		9.4
Purchased options	342.4		8.9		—		8.9			—		—		—
Equity contracts
Swaps	189.7		3.4		—		3.4			4.0		—		4.0
Futures and forwards	68.7		0.9		—		0.9			0.9		—		0.9
Written options	431.5		—		—		—			21.4		—		21.4
Purchased options	385.5		23.9		—		23.9			—		—		—
Commodity contracts
Swaps	48.2		2.5		—		2.5			5.1		—		5.1
Futures and forwards	49.1		3.6		—		3.6			0.5		—		0.5
Written options	29.3		—		—		—			1.9		—		1.9
Purchased options	28.9		2.0		—		2.0			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	604.0		8.1		—		8.1			10.3		—		10.3
Total return swaps/options	21.2		0.4		—		0.4			1.5		—		1.5
Written credit derivatives:
Credit default swaps	614.4		10.7		—		10.7			7.5		—		7.5
Total return swaps/options	25.4		1.0		—		1.0			0.2		—		0.2
Gross derivative assets/liabilities			$	619.3	$	11.8	$	631.1		$	619.3	$	9.0	$	628.3
Less: Legally enforceable master netting agreements							(545.3		)					(545.3		)
Less: Cash collateral received/paid							(43.3		)					(43.5		)
Total derivative assets/liabilities							$	42.5						$	39.5


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


⁽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.

Derivative [Line Items]

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

The following table summarizes information related to fair value hedges for 2017, 2016 and 2015, 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.




Derivatives Designated as Fair Value Hedges

Gains (Losses)	Derivative									Hedged Item									Hedge Ineffectiveness
(Dollars in millions)	2017			2016			2015			2017			2016			2015			2017			2016			2015
Interest rate risk on long-term debt ⁽¹⁾	$	(1,537	)	$	(1,488	)	$	(718	)	$	1,045		$	646		$	(77	)	$	(492	)	$	(842	)	$	(795	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	1,811			(941		)	(1,898		)	(1,767		)	944			1,812			44			3			(86		)
Interest rate risk on available-for-sale securities ⁽²⁾	(67		)	227			105			35			(286		)	(127		)	(32		)	(59		)	(22		)
Total	$	207		$	(2,202	)	$	(2,511	)	$	(687	)	$	1,304		$	1,608		$	(480	)	$	(898	)	$	(903	)


⁽¹⁾	Amounts are recorded in interest expense on long-term debt and in other income.


⁽²⁾	Amounts are recorded in interest income on debt securities.

Cash Flow and Net Investment Hedges

The table below summarizes certain information related to cash flow hedges and net investment hedges for 2017, 2016, and 2015. Of the $831 million after-tax net loss ($1.3 billion pre-tax) on derivatives in accumulated OCI at December 31, 2017, $130 million after-tax ($208 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.




Derivatives Designated as Cash Flow and Net Investment Hedges

	Gains (Losses) Recognized in Accumulated OCI on Derivatives									Gains (Losses) in Income Reclassified from Accumulated OCI
(Dollars in millions, amounts pre-tax)	2017			2016			2015			2017			2016			2015
Cash flow hedges
Interest rate risk on variable-rate portfolios	$	(109	)	$	(340	)	$	95		$	(327	)	$	(553	)	$	(974	)
Price risk on certain restricted stock awards ⁽¹⁾	59			41			(40		)	148			(32		)	91
Total ⁽²⁾	$	(50	)	$	(299	)	$	55		$	(179	)	$	(585	)	$	(883	)
Net investment hedges
Foreign exchange risk ⁽³⁾	$	(1,588	)	$	1,636		$	3,010		$	1,782		$	3		$	153


⁽¹⁾	Gains (losses) recognized in accumulated OCI are primarily related to the change in the Corporation’s stock price for the period.


⁽²⁾	In 2017, 2016 and 2015, amounts representing hedge ineffectiveness were not significant.

⁽³⁾

In 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 in 2017. For more information, see Note 14 – Accumulated Other Comprehensive Income (Loss). In 2017, 2016 and 2015, amounts excluded from effectiveness testing in total were $120 million, $325 million and $298 million

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for 2017, 2016 and 2015. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.




Other Risk Management Derivatives

Gains (Losses)
(Dollars in millions)	2017			2016			2015
Interest rate risk on mortgage banking income ⁽¹⁾	$	8		$	461		$	254
Credit risk on loans ⁽²⁾	(6		)	(107		)	(22		)
Interest rate and foreign currency risk on ALM activities ⁽³⁾	(36		)	(754		)	(222		)
Price risk on certain restricted stock awards ⁽⁴⁾	301			9			(267		)

⁽¹⁾

Net gains (losses) on these derivatives are recorded in mortgage banking income as they are used to mitigate the interest rate risk related to MSRs, IRLCs and mortgage LHFS, all of which are measured at fair value with changes in fair value recorded in mortgage banking income. The fair value of IRLCs is derived from the fair value of related mortgage loans which is based on observable market data and includes the expected net future cash flows related to servicing of the loans. 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 $220 million, $533 million and $714 million for 2017, 2016 and 2015, respectively.


⁽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 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 2017, 2016 and 2015. 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 23 – 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

	Trading Account Profits		Net Interest Income			Other ⁽¹⁾			Total
(Dollars in millions)	2017
Interest rate risk	$	1,145	$	980		$	417		$	2,542
Foreign exchange risk	1,417		(1		)	(162		)	1,254
Equity risk	2,689		(525		)	1,904			4,068
Credit risk	1,251		2,537			577			4,365
Other risk	204		33			75			312
Total sales and trading revenue	$	6,706	$	3,024		$	2,811		$	12,541

	2016
Interest rate risk	$	1,613	$	1,410		$	304		$	3,327
Foreign exchange risk	1,360		(10		)	(154		)	1,196
Equity risk	1,917		20			2,074			4,011
Credit risk	1,250		2,569			424			4,243
Other risk	407		(20		)	40			427
Total sales and trading revenue	$	6,547	$	3,969		$	2,688		$	13,204

	2015
Interest rate risk	$	1,290	$	1,333		$	(259	)	$	2,364
Foreign exchange risk	1,322		(10		)	(117		)	1,195
Equity risk	2,115		56			2,152			4,323
Credit risk	920		2,333			445			3,698
Other risk	459		(81		)	62			440
Total sales and trading revenue	$	6,106	$	3,631		$	2,283		$	12,020


⁽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 $2.0 billion, $2.1 billion, and $2.2 billion for 2017, 2016, and 2015, respectively

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2017 and 2016 are summarized in the following table.




Credit Derivative Instruments

	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
	December 31, 2017
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	4	$	3	$	61	$	245	$	313
Non-investment grade	203		453		484		2,133		3,273
Total	207		456		545		2,378		3,586
Total return swaps/options:
Investment grade	30		—		—		—		30
Non-investment grade	150		—		—		3		153
Total	180		—		—		3		183
Total credit derivatives	$	387	$	456	$	545	$	2,381	$	3,769
Credit-related notes:
Investment grade	$	—	$	—	$	7	$	689	$	696
Non-investment grade	12		4		34		1,548		1,598
Total credit-related notes	$	12	$	4	$	41	$	2,237	$	2,294
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	61,388	$	115,480	$	107,081	$	21,579	$	305,528
Non-investment grade	39,312		49,843		39,098		14,420		142,673
Total	100,700		165,323		146,179		35,999		448,201
Total return swaps/options:
Investment grade	37,394		2,581		—		143		40,118
Non-investment grade	13,751		514		143		697		15,105
Total	51,145		3,095		143		840		55,223
Total credit derivatives	$	151,845	$	168,418	$	146,322	$	36,839	$	503,424

	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/options:
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/options:
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 December 31, 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 at December 31, 2017

(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	779	$	487
Bank of America, N.A. and subsidiaries ⁽¹⁾	391		230


⁽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 December 31, 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 at December 31, 2017

(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	428	$	1,163
Collateral posted	339		800

Valuation Adjustments on Derivatives

The table below presents CVA, DVA and FVA gains (losses) on derivatives, which are recorded in trading account profits, on a gross and net of hedge basis for 2017, 2016 and 2015. CVA gains reduce the cumulative CVA thereby increasing the derivative assets balance. DVA gains increase the cumulative DVA thereby decreasing the derivative liabilities balance. CVA and DVA losses have the opposite impact. FVA gains related to derivative assets reduce the cumulative FVA thereby increasing the derivative assets balance. FVA gains related to derivative liabilities increase the cumulative FVA thereby decreasing the derivative liabilities balance. FVA losses have the opposite impact.




Valuation Adjustments on Derivatives ⁽¹⁾

Gains (Losses)	Gross			Net			Gross		Net			Gross			Net
(Dollars in millions)	2017						2016					2015
Derivative assets (CVA)	$	330		$	98		$	374	$	214		$	255		$	227
Derivative assets/liabilities (FVA)	160			178			186		102			16			16
Derivative liabilities (DVA)	(324		)	(281		)	24		(141		)	(18		)	(153		)


⁽¹⁾	At December 31, 2017, 2016 and 2015, cumulative CVA reduced the derivative assets balance by $677 million, $1.0 billion and $1.4 billion, cumulative FVA reduced the net derivatives balance by $136 million, $296 million and $481 million, and cumulative DVA reduced the derivative liabilities balance by $450 million, $774 million and $750 million, respectively.

Derivative

Derivative [Line Items]

Offsetting Assets

The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at December 31, 2017 and 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 10 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	December 31, 2017						December 31, 2016
Interest rate contracts
Over-the-counter	$	211.7		$	206.0		$	267.3		$	258.2
Over-the-counter cleared ⁽²⁾	1.9			1.8			177.2			182.8
Foreign exchange contracts
Over-the-counter	78.7			80.8			124.3			126.7
Over-the-counter cleared	0.9			0.7			0.3			0.3
Equity contracts
Over-the-counter	18.3			16.2			15.6			13.7
Exchange-traded	9.1			8.5			11.4			10.8
Commodity contracts
Over-the-counter	2.9			4.4			3.7			4.9
Exchange-traded	0.7			0.8			1.1			1.0
Credit derivatives
Over-the-counter	9.1			9.6			15.3			14.7
Over-the-counter cleared ⁽²⁾	6.1			6.0			4.3			4.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	320.7			317.0			426.2			418.2
Exchange-traded	9.8			9.3			12.5			11.8
Over-the-counter cleared ⁽²⁾	8.9			8.5			181.8			187.4
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(296.9		)	(294.6		)	(398.2		)	(392.6		)
Exchange-traded	(8.6		)	(8.6		)	(8.9		)	(8.9		)
Over-the-counter cleared ⁽²⁾	(8.3		)	(8.5		)	(181.5		)	(187.3		)
Derivative assets/liabilities, after netting	25.6			23.1			31.9			28.6
Other gross derivative assets/liabilities ⁽³⁾	12.2			11.2			10.6			10.9
Total derivative assets/liabilities	37.8			34.3			42.5			39.5
Less: Financial instruments collateral ⁽⁴⁾	(11.2		)	(10.4		)	(13.5		)	(10.5		)
Total net derivative assets/liabilities	$	26.6		$	23.9		$	29.0		$	29.0


⁽¹⁾	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.

⁽²⁾


⁽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.

⁽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.

Offsetting Liabilities

For more information on offsetting of securities financing agreements, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	December 31, 2017						December 31, 2016
Interest rate contracts
Over-the-counter	$	211.7		$	206.0		$	267.3		$	258.2
Over-the-counter cleared ⁽²⁾	1.9			1.8			177.2			182.8
Foreign exchange contracts
Over-the-counter	78.7			80.8			124.3			126.7
Over-the-counter cleared	0.9			0.7			0.3			0.3
Equity contracts
Over-the-counter	18.3			16.2			15.6			13.7
Exchange-traded	9.1			8.5			11.4			10.8
Commodity contracts
Over-the-counter	2.9			4.4			3.7			4.9
Exchange-traded	0.7			0.8			1.1			1.0
Credit derivatives
Over-the-counter	9.1			9.6			15.3			14.7
Over-the-counter cleared ⁽²⁾	6.1			6.0			4.3			4.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	320.7			317.0			426.2			418.2
Exchange-traded	9.8			9.3			12.5			11.8
Over-the-counter cleared ⁽²⁾	8.9			8.5			181.8			187.4
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(296.9		)	(294.6		)	(398.2		)	(392.6		)
Exchange-traded	(8.6		)	(8.6		)	(8.9		)	(8.9		)
Over-the-counter cleared ⁽²⁾	(8.3		)	(8.5		)	(181.5		)	(187.3		)
Derivative assets/liabilities, after netting	25.6			23.1			31.9			28.6
Other gross derivative assets/liabilities ⁽³⁾	12.2			11.2			10.6			10.9
Total derivative assets/liabilities	37.8			34.3			42.5			39.5
Less: Financial instruments collateral ⁽⁴⁾	(11.2		)	(10.4		)	(13.5		)	(10.5		)
Total net derivative assets/liabilities	$	26.6		$	23.9		$	29.0		$	29.0


⁽¹⁾	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.

⁽²⁾


⁽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.

⁽⁴⁾