Derivatives (Tables)
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9 Months Ended |
Sep. 30, 2018 |
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, 2018 and December 31, 2017. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by cash collateral received or paid.
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September 30, 2018 |
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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 |
$ |
17,788.7 |
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$ |
138.9 |
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$ |
1.3 |
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$ |
140.2 |
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$ |
132.7 |
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$ |
4.5 |
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$ |
137.2 |
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Futures and forwards |
6,270.1 |
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1.3 |
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— |
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1.3 |
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1.2 |
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— |
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1.2 |
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Written options |
1,433.4 |
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— |
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— |
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— |
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26.7 |
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— |
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26.7 |
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Purchased options |
1,488.2 |
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28.7 |
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— |
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28.7 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
1,904.9 |
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49.6 |
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1.6 |
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51.2 |
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50.4 |
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2.4 |
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52.8 |
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Spot, futures and forwards |
4,568.7 |
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42.1 |
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0.7 |
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42.8 |
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41.7 |
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0.5 |
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42.2 |
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Written options |
300.4 |
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— |
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— |
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— |
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5.1 |
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— |
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5.1 |
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Purchased options |
296.0 |
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4.4 |
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— |
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4.4 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
278.2 |
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4.9 |
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— |
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4.9 |
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4.7 |
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— |
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4.7 |
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Futures and forwards |
104.8 |
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1.0 |
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— |
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1.0 |
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1.3 |
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— |
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1.3 |
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Written options |
651.4 |
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— |
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— |
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— |
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30.0 |
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— |
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30.0 |
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Purchased options |
586.1 |
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40.0 |
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— |
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40.0 |
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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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2.4 |
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— |
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2.4 |
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5.0 |
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— |
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5.0 |
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Futures and forwards |
63.5 |
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3.2 |
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— |
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3.2 |
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0.5 |
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— |
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0.5 |
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Written options |
32.5 |
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— |
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— |
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— |
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2.1 |
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— |
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2.1 |
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Purchased options |
29.5 |
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2.1 |
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— |
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2.1 |
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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 |
430.3 |
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4.9 |
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— |
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4.9 |
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9.8 |
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— |
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9.8 |
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Total return swaps/options |
64.6 |
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0.4 |
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— |
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0.4 |
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0.9 |
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— |
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0.9 |
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Written credit derivatives: |
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Credit default swaps |
398.2 |
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9.3 |
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— |
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9.3 |
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4.3 |
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— |
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4.3 |
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Total return swaps/options |
62.5 |
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0.5 |
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— |
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0.5 |
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0.3 |
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— |
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0.3 |
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Gross derivative assets/liabilities |
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$ |
333.7 |
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$ |
3.6 |
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$ |
337.3 |
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$ |
316.7 |
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$ |
7.4 |
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$ |
324.1 |
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Less: Legally enforceable master netting agreements |
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(259.7 |
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(259.7 |
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Less: Cash collateral received/paid |
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(32.0 |
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(28.2 |
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Total derivative assets/liabilities |
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$ |
45.6 |
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$ |
36.2 |
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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 $4.3 billion and $429.2 billion at September 30, 2018.
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December 31, 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 |
$ |
15,416.4 |
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$ |
175.1 |
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$ |
2.9 |
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$ |
178.0 |
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$ |
172.5 |
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$ |
1.7 |
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$ |
174.2 |
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Futures and forwards |
4,332.4 |
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0.5 |
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— |
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0.5 |
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0.5 |
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— |
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0.5 |
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Written options |
1,170.5 |
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— |
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— |
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— |
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|
35.5 |
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— |
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|
35.5 |
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Purchased options |
1,184.5 |
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|
37.6 |
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— |
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37.6 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
2,011.1 |
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|
35.6 |
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2.2 |
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37.8 |
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36.1 |
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2.7 |
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38.8 |
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Spot, futures and forwards |
3,543.3 |
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39.1 |
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0.7 |
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39.8 |
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39.1 |
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0.8 |
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39.9 |
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Written options |
291.8 |
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— |
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— |
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— |
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|
5.1 |
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— |
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5.1 |
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Purchased options |
271.9 |
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4.6 |
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— |
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4.6 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
265.6 |
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4.8 |
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— |
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4.8 |
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4.4 |
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— |
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4.4 |
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Futures and forwards |
106.9 |
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1.5 |
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— |
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1.5 |
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0.9 |
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— |
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0.9 |
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Written options |
480.8 |
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— |
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— |
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— |
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23.9 |
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— |
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23.9 |
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Purchased options |
428.2 |
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24.7 |
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— |
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24.7 |
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— |
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— |
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— |
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Commodity contracts |
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Swaps |
46.1 |
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1.8 |
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— |
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1.8 |
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4.6 |
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— |
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4.6 |
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Futures and forwards |
47.1 |
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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 |
21.7 |
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— |
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— |
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— |
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1.4 |
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— |
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|
1.4 |
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Purchased options |
22.9 |
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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 (2)
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Purchased credit derivatives: |
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Credit default swaps |
470.9 |
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|
4.1 |
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— |
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4.1 |
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|
11.1 |
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— |
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|
11.1 |
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Total return swaps/options |
54.1 |
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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 |
448.2 |
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|
10.6 |
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— |
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10.6 |
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3.6 |
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— |
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3.6 |
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Total return swaps/options |
55.2 |
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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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$ |
345.8 |
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$ |
5.8 |
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$ |
351.6 |
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$ |
340.8 |
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$ |
5.2 |
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$ |
346.0 |
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Less: Legally enforceable master netting agreements |
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(279.2 |
) |
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(279.2 |
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Less: Cash collateral received/paid |
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(34.6 |
) |
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(32.5 |
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Total derivative assets/liabilities |
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$ |
37.8 |
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$ |
34.3 |
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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 $6.4 billion and $435.1 billion at December 31, 2017.
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Derivative [Line Items] |
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Gains and Losses on Derivatives Designated as Fair Value Hedges |
The table below summarizes information related to fair value hedges for the three and nine months ended September 30, 2018 and 2017.
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Gains and Losses on Derivatives Designated as Fair Value Hedges |
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Three Months Ended September 30, 2018 |
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Three Months Ended September 30, 2017 |
(Dollars in millions) |
Derivative |
|
Hedged Item |
|
Derivative |
|
Hedged Item |
|
Hedge Ineffectiveness |
Interest rate risk on long-term debt (1)
|
$ |
(1,129 |
) |
|
$ |
1,122 |
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|
$ |
(273 |
) |
|
$ |
169 |
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|
$ |
(104 |
) |
Interest rate and foreign currency risk on long-term debt (2, 3)
|
(182 |
) |
|
207 |
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|
607 |
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|
(593 |
) |
|
14 |
|
Interest rate risk on available-for-sale securities (4)
|
12 |
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|
(12 |
) |
|
(8 |
) |
|
7 |
|
|
(1 |
) |
Total |
$ |
(1,299 |
) |
|
$ |
1,317 |
|
|
$ |
326 |
|
|
$ |
(417 |
) |
|
$ |
(91 |
) |
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Nine Months Ended September 30, 2018 |
|
Nine Months Ended September 30, 2017 |
|
Derivative |
|
Hedged Item |
|
Derivative |
|
Hedged Item |
|
Hedge Ineffectiveness |
Interest rate risk on long-term debt (1)
|
$ |
(4,303 |
) |
|
$ |
4,179 |
|
|
$ |
(751 |
) |
|
$ |
313 |
|
|
$ |
(438 |
) |
Interest rate and foreign currency risk on long-term debt (2, 3)
|
(927 |
) |
|
795 |
|
|
1,631 |
|
|
(1,603 |
) |
|
28 |
|
Interest rate risk on available-for-sale securities (4)
|
(20 |
) |
|
19 |
|
|
(71 |
) |
|
40 |
|
|
(31 |
) |
Total |
$ |
(5,250 |
) |
|
$ |
4,993 |
|
|
$ |
809 |
|
|
$ |
(1,250 |
) |
|
$ |
(441 |
) |
|
|
(1) |
Amounts are recorded in interest expense in the Consolidated Statement of Income. |
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(2) |
For the three and nine months ended September 30, 2018, the derivative amount includes losses of $96 million and $672 million in other income and losses of $117 million and $156 million in interest expense. For the same periods in 2017, the derivative amount includes gains of $635 million and $1.9 billion in other income and losses of $29 million and $310 million in interest expense. Line item totals are in the Consolidated Statement of Income.
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(3) |
For the three and nine months ended September 30, 2018, the derivative amount includes gains of $31 million and losses of $99 million related to certain changes in the fair value of derivatives that were excluded from effectiveness testing and recognized in accumulated OCI. None of the excluded amounts have been reclassified into earnings.
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(4) |
Amounts are recorded in interest income in the Consolidated Statement of Income. |
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Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The table below summarizes the carrying value of hedged assets and liabilities that are designated and qualifying in fair value hedging relationships along with the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded in the current hedging relationships. These fair value hedging adjustments are open basis adjustments that are not subject to amortization as long as the hedging relationship remains designated.
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Designated Fair Value Hedged Assets (Liabilities) |
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|
|
September 30, 2018 |
(Dollars in millions) |
Carrying Value |
|
Cumulative Fair Value Adjustments (1)
|
Long-term debt |
$ |
(137,610 |
) |
|
$ |
1,839 |
|
Available-for-sale securities (2)
|
951 |
|
|
(61 |
) |
|
|
(1) |
For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value. |
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|
(2) |
The amortized cost of available-for-sale securities in fair value hedging relationships was $948 million and is included in debt securities carried at fair value on the Consolidated Balance Sheet.
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|
Cash Flow and Net Investment Hedges |
The following table summarizes certain information related to cash flow hedges and net investment hedges for the three and nine months ended September 30, 2018 and 2017. Of the $1.3 billion after-tax net loss ($1.7 billion pretax) on derivatives in accumulated OCI at September 30, 2018, $280 million after-tax ($368 million pretax) 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. For terminated cash flow hedges, the time period over which the majority of the forecasted transactions are hedged is approximately six years, with a maximum length of time for certain forecasted transactions of 18 years.
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Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges |
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Gains (Losses) Recognized in Accumulated OCI on Derivatives |
|
Gains (Losses) in Income Reclassified from Accumulated OCI |
|
Gains (Losses) Recognized in Accumulated OCI on Derivatives |
|
Gains (Losses) in Income Reclassified from Accumulated OCI |
(Dollars in millions, amounts pretax) |
Three Months Ended September 30, 2018 |
Nine Months Ended September 30, 2018 |
Cash flow hedges |
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|
|
|
|
|
Interest rate risk on variable-rate assets (1)
|
$ |
(54 |
) |
|
$ |
(51 |
) |
|
$ |
(553 |
) |
|
$ |
(134 |
) |
Price risk on certain restricted stock awards (2)
|
— |
|
|
— |
|
|
4 |
|
|
27 |
|
Total |
$ |
(54 |
) |
|
$ |
(51 |
) |
|
$ |
(549 |
) |
|
$ |
(107 |
) |
Net investment hedges |
|
|
|
|
|
|
|
|
|
Foreign exchange risk (3)
|
$ |
181 |
|
|
$ |
383 |
|
|
$ |
860 |
|
|
$ |
382 |
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2017 |
|
Nine Months Ended September 30, 2017 |
Cash flow hedges |
|
|
|
|
|
|
|
Interest rate risk on variable-rate assets (1)
|
$ |
11 |
|
|
$ |
(54 |
) |
|
$ |
38 |
|
|
$ |
(274 |
) |
Price risk on certain restricted stock awards (2)
|
7 |
|
|
32 |
|
|
41 |
|
|
103 |
|
Total |
$ |
18 |
|
|
$ |
(22 |
) |
|
$ |
79 |
|
|
$ |
(171 |
) |
Net investment hedges |
|
|
|
|
|
|
|
|
|
Foreign exchange risk (3)
|
$ |
(427 |
) |
|
$ |
(3 |
) |
|
$ |
(1,541 |
) |
|
$ |
1,811 |
|
|
|
(1) |
Amounts reclassified from accumulated OCI are recorded in interest income in the Consolidated Statement of Income. |
|
|
(2) |
Amounts reclassified from accumulated OCI are recorded in personnel expense in the Consolidated Statement of Income. |
|
|
(3) |
Amounts reclassified from accumulated OCI are recorded in other income in the Consolidated Statement of Income. For the three and nine months ended September 30, 2018, amounts excluded from effectiveness testing and recognized in other income were gains of $3 million and $32 million. For the same periods in 2017, amounts excluded from effectiveness testing and recognized in other income were losses of $33 million and $82 million.
|
|
Other Risk Management Derivatives |
The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2018 and 2017. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains and Losses on Other Risk Management Derivatives |
|
|
|
|
|
|
|
|
|
Three Months Ended September 30 |
|
Nine Months Ended September 30 |
(Dollars in millions) |
2018 |
|
2017 |
|
2018 |
|
2017 |
Interest rate risk on mortgage activities (1)
|
$ |
(45 |
) |
|
$ |
1 |
|
|
$ |
(206 |
) |
|
$ |
32 |
|
Credit risk on loans |
(2 |
) |
|
— |
|
|
(7 |
) |
|
(3 |
) |
Interest rate and foreign currency risk on ALM activities (2)
|
487 |
|
|
26 |
|
|
1,050 |
|
|
(26 |
) |
|
|
(1) |
Primarily related to hedges of interest rate risk on mortgage servicing rights (MSRs) and interest rate lock commitments (IRLCs) to originate mortgage loans that will be held for sale. The net gains on IRLCs, which are not included in the table but are considered derivative instruments, were $8 million and $36 million for the three and nine months ended September 30, 2018 compared to $76 million and $192 million for the same periods in 2017.
|
|
|
(2) |
Primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt. |
|
Schedule of Derivative Instruments Included in Trading Activities |
The table below, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue in Global Markets, categorized by primary risk, for the three and nine months ended September 30, 2018 and 2017. 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 debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 17 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on an FTE basis.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sales and Trading Revenue |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Account Profits |
|
Net Interest
Income
|
|
Other (1)
|
|
Total |
|
Trading Account Profits |
|
Net Interest
Income
|
|
Other (1)
|
|
Total |
(Dollars in millions) |
Three Months Ended September 30, 2018 |
|
Nine Months Ended September 30, 2018 |
Interest rate risk |
$ |
182 |
|
|
$ |
307 |
|
|
$ |
134 |
|
|
$ |
623 |
|
|
$ |
1,070 |
|
|
$ |
946 |
|
|
$ |
203 |
|
|
$ |
2,219 |
|
Foreign exchange risk |
379 |
|
|
(2 |
) |
|
2 |
|
|
379 |
|
|
1,175 |
|
|
(15 |
) |
|
5 |
|
|
1,165 |
|
Equity risk |
853 |
|
|
(215 |
) |
|
350 |
|
|
988 |
|
|
3,105 |
|
|
(542 |
) |
|
1,196 |
|
|
3,759 |
|
Credit risk |
266 |
|
|
465 |
|
|
106 |
|
|
837 |
|
|
1,093 |
|
|
1,424 |
|
|
377 |
|
|
2,894 |
|
Other risk |
47 |
|
|
26 |
|
|
19 |
|
|
92 |
|
|
171 |
|
|
39 |
|
|
60 |
|
|
270 |
|
Total sales and trading revenue |
$ |
1,727 |
|
|
$ |
581 |
|
|
$ |
611 |
|
|
$ |
2,919 |
|
|
$ |
6,614 |
|
|
$ |
1,852 |
|
|
$ |
1,841 |
|
|
$ |
10,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2017 |
|
Nine Months Ended September 30, 2017 |
Interest rate risk |
$ |
330 |
|
|
$ |
365 |
|
|
$ |
49 |
|
|
$ |
744 |
|
|
$ |
833 |
|
|
$ |
1,182 |
|
|
$ |
200 |
|
|
$ |
2,215 |
|
Foreign exchange risk |
348 |
|
|
2 |
|
|
2 |
|
|
352 |
|
|
1,063 |
|
|
(2 |
) |
|
5 |
|
|
1,066 |
|
Equity risk |
639 |
|
|
(142 |
) |
|
467 |
|
|
964 |
|
|
2,088 |
|
|
(372 |
) |
|
1,427 |
|
|
3,143 |
|
Credit risk |
362 |
|
|
482 |
|
|
105 |
|
|
949 |
|
|
1,482 |
|
|
1,467 |
|
|
450 |
|
|
3,399 |
|
Other risk |
35 |
|
|
8 |
|
|
16 |
|
|
59 |
|
|
168 |
|
|
18 |
|
|
67 |
|
|
253 |
|
Total sales and trading revenue |
$ |
1,714 |
|
|
$ |
715 |
|
|
$ |
639 |
|
|
$ |
3,068 |
|
|
$ |
5,634 |
|
|
$ |
2,293 |
|
|
$ |
2,149 |
|
|
$ |
10,076 |
|
|
|
(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 $378 million and $1.3 billion for the three and nine months ended September 30, 2018 compared to $488 million and $1.5 billion for the same periods in 2017.
|
|
Disclosure of Credit Derivatives |
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2018 and December 31, 2017 are summarized in the table below.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Derivative Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less than
One Year
|
|
One to
Three Years
|
|
Three to
Five Years
|
|
Over Five
Years
|
|
Total |
|
September 30, 2018 |
(Dollars in millions) |
Carrying Value |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
2 |
|
|
$ |
38 |
|
|
$ |
335 |
|
|
$ |
590 |
|
|
$ |
965 |
|
Non-investment grade |
61 |
|
|
492 |
|
|
1,007 |
|
|
1,802 |
|
|
3,362 |
|
Total |
63 |
|
|
530 |
|
|
1,342 |
|
|
2,392 |
|
|
4,327 |
|
Total return swaps/options: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
22 |
|
|
— |
|
|
— |
|
|
— |
|
|
22 |
|
Non-investment grade |
263 |
|
|
28 |
|
|
— |
|
|
— |
|
|
291 |
|
Total |
285 |
|
|
28 |
|
|
— |
|
|
— |
|
|
313 |
|
Total credit derivatives |
$ |
348 |
|
|
$ |
558 |
|
|
$ |
1,342 |
|
|
$ |
2,392 |
|
|
$ |
4,640 |
|
Credit-related notes: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
— |
|
|
$ |
— |
|
|
$ |
5 |
|
|
$ |
602 |
|
|
$ |
607 |
|
Non-investment grade |
3 |
|
|
1 |
|
|
4 |
|
|
1,455 |
|
|
1,463 |
|
Total credit-related notes |
$ |
3 |
|
|
$ |
1 |
|
|
$ |
9 |
|
|
$ |
2,057 |
|
|
$ |
2,070 |
|
|
Maximum Payout/Notional |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
61,224 |
|
|
$ |
93,646 |
|
|
$ |
82,657 |
|
|
$ |
30,883 |
|
|
$ |
268,410 |
|
Non-investment grade |
22,980 |
|
|
37,907 |
|
|
47,164 |
|
|
21,785 |
|
|
129,836 |
|
Total |
84,204 |
|
|
131,553 |
|
|
129,821 |
|
|
52,668 |
|
|
398,246 |
|
Total return swaps/options: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade |
40,115 |
|
|
1,263 |
|
|
62 |
|
|
76 |
|
|
41,516 |
|
Non-investment grade |
20,648 |
|
|
207 |
|
|
39 |
|
|
72 |
|
|
20,966 |
|
Total |
60,763 |
|
|
1,470 |
|
|
101 |
|
|
148 |
|
|
62,482 |
|
Total credit derivatives |
$ |
144,967 |
|
|
$ |
133,023 |
|
|
$ |
129,922 |
|
|
$ |
52,816 |
|
|
$ |
460,728 |
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2017 |
|
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 |
|
|
Additional Collateral Required to be Posted Upon Downgrade |
The table below presents the amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at September 30, 2018 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 September 30, 2018 |
|
|
|
|
(Dollars in millions) |
One
incremental notch
|
|
Second
incremental notch
|
Bank of America Corporation |
$ |
554 |
|
|
$ |
314 |
|
Bank of America, N.A. and subsidiaries (1)
|
212 |
|
|
264 |
|
|
|
(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, 2018 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 September 30, 2018 |
|
|
|
|
(Dollars in millions) |
One
incremental notch
|
|
Second
incremental notch
|
Derivative liabilities |
$ |
260 |
|
|
$ |
607 |
|
Collateral posted |
201 |
|
|
399 |
|
|
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, 2018 and 2017. For more information on the valuation adjustments on derivatives, see Note 2 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2017 Annual Report on Form 10-K.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation Adjustments on Derivatives (1)
|
|
|
|
|
|
|
Gains (Losses) |
Three Months Ended September 30 |
|
2018 |
|
2017 |
(Dollars in millions) |
Gross |
Net |
|
Gross |
Net |
Derivative assets (CVA) |
$ |
71 |
|
$ |
27 |
|
|
$ |
23 |
|
$ |
15 |
|
Derivative assets/liabilities (FVA) |
45 |
|
35 |
|
|
37 |
|
43 |
|
Derivative liabilities (DVA) |
(69 |
) |
(79 |
) |
|
29 |
|
17 |
|
|
|
|
|
|
|
|
Nine Months Ended September 30 |
|
2018 |
|
2017 |
Derivative assets (CVA) |
$ |
186 |
|
$ |
172 |
|
|
$ |
281 |
|
$ |
93 |
|
Derivative assets/liabilities (FVA) |
36 |
|
16 |
|
|
113 |
|
140 |
|
Derivative liabilities (DVA) |
(112 |
) |
(132 |
) |
|
(249 |
) |
(201 |
) |
|
|
(1) |
At September 30, 2018 and December 31, 2017, cumulative CVA reduced the derivative assets balance by $491 million and $677 million, cumulative FVA reduced the net derivatives balance by $100 million and $136 million, and cumulative DVA reduced the derivative liabilities balance by $338 million and $450 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 September 30, 2018 and December 31, 2017 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements which include reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Derivatives (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative
Assets
|
|
Derivative Liabilities |
|
Derivative
Assets
|
|
Derivative Liabilities |
(Dollars in billions) |
September 30, 2018 |
|
December 31, 2017 |
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
Over-the-counter |
$ |
165.9 |
|
|
$ |
161.0 |
|
|
$ |
211.7 |
|
|
$ |
206.0 |
|
Over-the-counter cleared |
2.7 |
|
|
2.5 |
|
|
1.9 |
|
|
1.8 |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Over-the-counter |
95.2 |
|
|
97.1 |
|
|
78.7 |
|
|
80.8 |
|
Over-the-counter cleared |
1.1 |
|
|
1.0 |
|
|
0.9 |
|
|
0.7 |
|
Equity contracts |
|
|
|
|
|
|
|
Over-the-counter |
27.2 |
|
|
17.3 |
|
|
18.3 |
|
|
16.2 |
|
Exchange-traded |
13.5 |
|
|
12.2 |
|
|
9.1 |
|
|
8.5 |
|
Commodity contracts |
|
|
|
|
|
|
|
Over-the-counter |
3.6 |
|
|
5.1 |
|
|
2.9 |
|
|
4.4 |
|
Exchange-traded |
1.0 |
|
|
1.1 |
|
|
0.7 |
|
|
0.8 |
|
Credit derivatives |
|
|
|
|
|
|
|
Over-the-counter |
7.9 |
|
|
8.4 |
|
|
9.1 |
|
|
9.6 |
|
Over-the-counter cleared |
6.9 |
|
|
6.6 |
|
|
6.1 |
|
|
6.0 |
|
Total gross derivative assets/liabilities, before netting |
|
|
|
|
|
|
|
Over-the-counter |
299.8 |
|
|
288.9 |
|
|
320.7 |
|
|
317.0 |
|
Exchange-traded |
14.5 |
|
|
13.3 |
|
|
9.8 |
|
|
9.3 |
|
Over-the-counter cleared |
10.7 |
|
|
10.1 |
|
|
8.9 |
|
|
8.5 |
|
Less: Legally enforceable master netting agreements and cash collateral received/paid |
|
|
|
|
|
|
|
Over-the-counter |
(270.1 |
) |
|
(266.1 |
) |
|
(296.9 |
) |
|
(294.6 |
) |
Exchange-traded |
(11.9 |
) |
|
(11.9 |
) |
|
(8.6 |
) |
|
(8.6 |
) |
Over-the-counter cleared |
(9.7 |
) |
|
(9.9 |
) |
|
(8.3 |
) |
|
(8.5 |
) |
Derivative assets/liabilities, after netting |
33.3 |
|
|
24.4 |
|
|
25.6 |
|
|
23.1 |
|
Other gross derivative assets/liabilities (2)
|
12.3 |
|
|
11.8 |
|
|
12.2 |
|
|
11.2 |
|
Total derivative assets/liabilities |
45.6 |
|
|
36.2 |
|
|
37.8 |
|
|
34.3 |
|
Less: Financial instruments collateral (3)
|
(18.4 |
) |
|
(9.3 |
) |
|
(11.2 |
) |
|
(10.4 |
) |
Total net derivative assets/liabilities |
$ |
27.2 |
|
|
$ |
26.9 |
|
|
$ |
26.6 |
|
|
$ |
23.9 |
|
|
|
(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. |
|
|
(2) |
Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries. |
|
|
(3) |
Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities. |
|
Offsetting Liabilities |
The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2018 and December 31, 2017 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements which include reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Derivatives (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative
Assets
|
|
Derivative Liabilities |
|
Derivative
Assets
|
|
Derivative Liabilities |
(Dollars in billions) |
September 30, 2018 |
|
December 31, 2017 |
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
Over-the-counter |
$ |
165.9 |
|
|
$ |
161.0 |
|
|
$ |
211.7 |
|
|
$ |
206.0 |
|
Over-the-counter cleared |
2.7 |
|
|
2.5 |
|
|
1.9 |
|
|
1.8 |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Over-the-counter |
95.2 |
|
|
97.1 |
|
|
78.7 |
|
|
80.8 |
|
Over-the-counter cleared |
1.1 |
|
|
1.0 |
|
|
0.9 |
|
|
0.7 |
|
Equity contracts |
|
|
|
|
|
|
|
Over-the-counter |
27.2 |
|
|
17.3 |
|
|
18.3 |
|
|
16.2 |
|
Exchange-traded |
13.5 |
|
|
12.2 |
|
|
9.1 |
|
|
8.5 |
|
Commodity contracts |
|
|
|
|
|
|
|
Over-the-counter |
3.6 |
|
|
| |