Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.10.0.1
Derivatives (Tables)
9 Months Ended
Sep. 30, 2018
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 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
September 30, 2018
 
 
 
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
$
17,788.7

 
$
138.9

 
$
1.3

 
$
140.2

 
$
132.7

 
$
4.5

 
$
137.2

Futures and forwards
6,270.1

 
1.3

 

 
1.3

 
1.2

 

 
1.2

Written options
1,433.4

 

 

 

 
26.7

 

 
26.7

Purchased options
1,488.2

 
28.7

 

 
28.7

 

 

 

Foreign exchange contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
1,904.9

 
49.6

 
1.6

 
51.2

 
50.4

 
2.4

 
52.8

Spot, futures and forwards
4,568.7

 
42.1

 
0.7

 
42.8

 
41.7

 
0.5

 
42.2

Written options
300.4

 

 

 

 
5.1

 

 
5.1

Purchased options
296.0

 
4.4

 

 
4.4

 

 

 

Equity contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
278.2

 
4.9

 

 
4.9

 
4.7

 

 
4.7

Futures and forwards
104.8

 
1.0

 

 
1.0

 
1.3

 

 
1.3

Written options
651.4

 

 

 

 
30.0

 

 
30.0

Purchased options
586.1

 
40.0

 

 
40.0

 

 

 

Commodity contracts
 

 
 
 
 
 


 
 
 
 

 


Swaps
48.2

 
2.4

 

 
2.4

 
5.0

 

 
5.0

Futures and forwards
63.5

 
3.2

 

 
3.2

 
0.5

 

 
0.5

Written options
32.5

 

 

 

 
2.1

 

 
2.1

Purchased options
29.5

 
2.1

 

 
2.1

 

 

 

Credit derivatives (2)
 

 
 
 
 

 


 
 
 
 

 


Purchased credit derivatives:
 

 
 
 
 

 


 
 
 
 

 


Credit default swaps
430.3

 
4.9

 

 
4.9

 
9.8

 

 
9.8

Total return swaps/options
64.6

 
0.4

 

 
0.4

 
0.9

 

 
0.9

Written credit derivatives:
 
 
 
 
 

 


 
 
 
 

 


Credit default swaps
398.2

 
9.3

 

 
9.3

 
4.3

 

 
4.3

Total return swaps/options
62.5

 
0.5

 

 
0.5

 
0.3

 

 
0.3

Gross derivative assets/liabilities
 
 
$
333.7

 
$
3.6

 
$
337.3

 
$
316.7

 
$
7.4

 
$
324.1

Less: Legally enforceable master netting agreements
 

 


 
 

 
(259.7
)
 
 

 
 

 
(259.7
)
Less: Cash collateral received/paid
 

 
 

 
 

 
(32.0
)
 
 

 
 

 
(28.2
)
Total derivative assets/liabilities
 

 
 

 
 

 
$
45.6

 
 

 
 

 
$
36.2

(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 $4.3 billion and $429.2 billion at September 30, 2018.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
$
15,416.4

 
$
175.1

 
$
2.9

 
$
178.0

 
$
172.5

 
$
1.7

 
$
174.2

Futures and forwards
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 (2)
 

 
 

 
 

 
 

 
 

 
 

 
 

Purchased credit derivatives:
 

 
 

 
 

 
 

 
 

 
 

 
 

Credit default swaps
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
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
 

 
 

 
 

 
(279.2
)
 
 

 
 

 
(279.2
)
Less: Cash collateral received/paid
 

 
 

 
 

 
(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) 
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.
Derivative [Line Items]  
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.
 
 
 
 
 
 
 
 
 
 
Gains and Losses on Derivatives Designated as Fair Value Hedges
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended September 30, 2018
 
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

 
$
(273
)
 
$
169

 
$
(104
)
Interest rate and foreign currency risk on long-term debt (2, 3)
(182
)
 
207

 
607

 
(593
)
 
14

Interest rate risk on available-for-sale securities (4)
12

 
(12
)
 
(8
)
 
7

 
(1
)
Total
$
(1,299
)
 
$
1,317

 
$
326


$
(417
)

$
(91
)
 
 
 
 
 
 
 
 
 
 
 
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.
(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.
(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.
(4) 
Amounts are recorded in interest income in the Consolidated Statement of Income.
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. 
 
 
 
 
Designated Fair Value Hedged Assets (Liabilities)
 
 
 
 
 
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.
(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.
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.
 
 
 
 
 
 
 
 
Gains and Losses on 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
 
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
 
 
 
 
 
 
 
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

 
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.