Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

v3.8.0.1
Derivatives (Tables)
12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
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) 
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) 
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
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