Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

v3.10.0.1
Derivatives (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2018 and 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 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
$
15,977.9

 
$
141.0

 
$
3.2

 
$
144.2

 
$
138.9

 
$
2.0

 
$
140.9

Futures and forwards
3,656.6

 
4.7

 

 
4.7

 
5.0

 

 
5.0

Written options
1,584.9

 

 

 

 
28.6

 

 
28.6

Purchased options
1,614.0

 
30.8

 

 
30.8

 

 

 

Foreign exchange contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
1,704.8

 
38.8

 
1.4

 
40.2

 
42.2

 
2.3

 
44.5

Spot, futures and forwards
4,276.0

 
39.8

 
0.4

 
40.2

 
39.3

 
0.3

 
39.6

Written options
256.7

 

 

 

 
5.0

 

 
5.0

Purchased options
240.4

 
4.6

 

 
4.6

 

 

 

Equity contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
253.6

 
7.7

 

 
7.7

 
8.4

 

 
8.4

Futures and forwards
100.0

 
2.1

 

 
2.1

 
0.3

 

 
0.3

Written options
597.1

 

 

 

 
27.5

 

 
27.5

Purchased options
549.4

 
36.0

 

 
36.0

 

 

 

Commodity contracts
 

 
 
 
 
 


 
 
 
 

 


Swaps
43.1

 
2.7

 

 
2.7

 
4.5

 

 
4.5

Futures and forwards
51.7

 
3.2

 

 
3.2

 
0.5

 

 
0.5

Written options
27.5

 

 

 

 
2.2

 

 
2.2

Purchased options
23.4

 
1.7

 

 
1.7

 

 

 

Credit derivatives (2, 3)
 

 
 
 
 

 


 
 
 
 

 


Purchased credit derivatives:
 

 
 
 
 

 


 
 
 
 

 


Credit default swaps
408.1

 
5.3

 

 
5.3

 
4.9

 

 
4.9

Total return swaps/options
84.5

 
0.4

 

 
0.4

 
1.0

 

 
1.0

Written credit derivatives:
 
 
 
 
 

 


 
 
 
 

 


Credit default swaps
371.9

 
4.4

 

 
4.4

 
4.3

 

 
4.3

Total return swaps/options
87.3

 
0.6

 

 
0.6

 
0.6

 

 
0.6

Gross derivative assets/liabilities
 
 
$
323.8

 
$
5.0

 
$
328.8

 
$
313.2

 
$
4.6

 
$
317.8

Less: Legally enforceable master netting agreements
 

 


 
 

 
(252.7
)
 
 

 
 

 
(252.7
)
Less: Cash collateral received/paid
 

 
 

 
 

 
(32.4
)
 
 

 
 

 
(27.2
)
Total derivative assets/liabilities
 

 
 

 
 

 
$
43.7

 
 

 
 

 
$
37.9

(1) 
Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2) 
The net derivative liability and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $185 million and $342.8 billion at December 31, 2018.
(3) 
Derivative assets and liabilities for credit default swaps (CDS) reflect a central clearing counterparty’s amendments to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure, effective in 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 2018, 2017 and 2016.
 
 
 
 
 
 
 
 
 
 
 
 
Gains and Losses on Derivatives Designated as Fair Value Hedges
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative
 
Hedged Item
(Dollars in millions)
2018
 
2017
 
2016
 
2018
 
2017
 
2016
Interest rate risk on long-term debt (1)
$
(1,538
)
 
$
(1,537
)
 
$
(1,488
)
 
$
1,429

 
$
1,045

 
$
646

Interest rate and foreign currency risk on long-term debt (2)
(1,187
)
 
1,811

 
(941
)
 
1,079

 
(1,767
)
 
944

Interest rate risk on available-for-sale securities (3)
(52
)
 
(67
)
 
227

 
50

 
35

 
(286
)
Total
$
(2,777
)

$
207


$
(2,202
)

$
2,558


$
(687
)

$
1,304


(1) 
Amounts are recorded in interest expense in the Consolidated Statement of Income. In 2017 and 2016, amounts representing hedge ineffectiveness were losses of $492 million and $842 million.
(2) 
In 2018, 2017 and 2016, the derivative amount includes losses of $992 million, gains of $2.2 billion and losses of $910 million, respectively, in other income and losses of $116 million, $365 million and $30 million, respectively, in interest expense. Line item totals are in the Consolidated Statement of Income.
(3) 
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)
 
 
 
 
 
December 31, 2018
(Dollars in millions)
Carrying Value
 
Cumulative Fair Value Adjustments (1)
Long-term debt
$
(138,682
)
 
$
(2,117
)
Available-for-sale debt securities
981

 
(29
)
(1) 
For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value.
Cash Flow and Net Investment Hedges The following table summarizes certain information related to cash flow hedges and net investment hedges for 2018, 2017 and 2016.
Of the $1.0 billion after-tax net loss ($1.3 billion pretax) on derivatives in accumulated OCI at December 31, 2018, $253 million after-tax ($332 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 4 years, with a maximum length of time for certain forecasted transactions of 17 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
(Dollars in millions, amounts pretax)
2018
 
2017
 
2016
 
2018
 
2017
 
2016
Cash flow hedges
 
 
 
 
 
 
 
 
 
 
 
Interest rate risk on variable-rate assets (1)
$
(159
)
 
$
(109
)
 
$
(340
)
 
$
(165
)
 
$
(327
)
 
$
(553
)
Price risk on certain restricted stock awards (2)
4

 
59

 
41

 
27

 
148

 
(32
)
Total
$
(155
)
 
$
(50
)
 
$
(299
)
 
$
(138
)
 
$
(179
)
 
$
(585
)
Net investment hedges
 
 
 
 
 

 
 

 
 
 
 
Foreign exchange risk (3)
$
989

 
$
(1,588
)
 
$
1,636

 
$
411

 
$
1,782

 
$
3


(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. Amounts excluded from effectiveness testing and recognized in other income were gains of $47 million, $120 million and $325 million in 2018, 2017 and 2016, respectively.
Other Risk Management Derivatives The table below presents gains (losses) on these derivatives for 2018, 2017 and 2016. 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
 
 
 
 
 
 
(Dollars in millions)
2018
 
2017
 
2016
Interest rate risk on mortgage activities (1)
$
(107
)
 
$
8

 
$
461

Credit risk on loans
9

 
(6
)
 
(107
)
Interest rate and foreign currency risk on ALM activities (2)
1,010

 
(36
)
 
(754
)

(1) 
Primarily related to hedges of interest rate risk on MSRs and 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 $47 million, $220 million and $533 million for 2018, 2017 and 2016, respectively.
(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 2018, 2017 and 2016. The difference between total trading account profits in the following table and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. This table includes debit valuation adjustment (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 table below is not presented on an FTE basis.
 
 
 
 
 
 
 
 
Sales and Trading Revenue
 
 
 
 
 
 
 
 
 
Trading Account Profits
 
Net Interest
Income
 
Other (1)
 
Total
(Dollars in millions)
2018
Interest rate risk
$
1,180

 
$
1,292

 
$
220

 
$
2,692

Foreign exchange risk
1,503

 
(7
)
 
6

 
1,502

Equity risk
3,994

 
(781
)
 
1,619

 
4,832

Credit risk
1,063

 
1,853

 
552

 
3,468

Other risk
189

 
64

 
66

 
319

Total sales and trading revenue
$
7,929

 
$
2,421

 
$
2,463

 
$
12,813

 
2017
Interest rate risk
$
712

 
$
1,560

 
$
249

 
$
2,521

Foreign exchange risk
1,417

 
(1
)
 
7

 
1,423

Equity risk
2,689

 
(517
)
 
1,903

 
4,075

Credit risk
1,685

 
1,937

 
576

 
4,198

Other risk
203

 
45

 
76

 
324

Total sales and trading revenue
$
6,706

 
$
3,024

 
$
2,811

 
$
12,541

 
2016
Interest rate risk
$
1,189

 
$
2,002

 
$
145

 
$
3,336

Foreign exchange risk
1,360

 
(10
)
 
5

 
1,355

Equity risk
1,917

 
28

 
2,074

 
4,019

Credit risk
1,674

 
1,956

 
424

 
4,054

Other risk
407

 
(7
)
 
39

 
439

Total sales and trading revenue
$
6,547

 
$
3,969

 
$
2,687

 
$
13,203

(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 $1.7 billion, $2.0 billion and $2.1 billion for 2018, 2017 and 2016, respectively.
Disclosure of Credit Derivatives Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2018 and 2017 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, 2018
(Dollars in millions)
Carrying Value
Credit default swaps:
 

 
 

 
 

 
 

 
 

Investment grade
$
2

 
$
44

 
$
436

 
$
488

 
$
970

Non-investment grade
132

 
636

 
914

 
1,691

 
3,373

Total
134

 
680

 
1,350

 
2,179

 
4,343

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
105

 

 

 

 
105

Non-investment grade
472

 
21

 

 

 
493

Total
577

 
21

 

 

 
598

Total credit derivatives
$
711

 
$
701

 
$
1,350

 
$
2,179

 
$
4,941

Credit-related notes:
 

 
 

 
 

 
 

 
 

Investment grade
$

 
$

 
$
4

 
$
532

 
$
536

Non-investment grade
1

 
1

 
1

 
1,500

 
1,503

Total credit-related notes
$
1

 
$
1

 
$
5

 
$
2,032

 
$
2,039

 
Maximum Payout/Notional
Credit default swaps:
 

 
 

 
 

 
 

 
 

Investment grade
$
53,758

 
$
95,699

 
$
95,274

 
$
20,054

 
$
264,785

Non-investment grade
24,297

 
33,881

 
34,530

 
14,426

 
107,134

Total
78,055

 
129,580

 
129,804

 
34,480

 
371,919

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
60,042

 
822

 
59

 
72

 
60,995

Non-investment grade
24,524

 
1,649

 
39

 
70

 
26,282

Total
84,566

 
2,471

 
98

 
142

 
87,277

Total credit derivatives
$
162,621

 
$
132,051

 
$
129,902

 
$
34,622

 
$
459,196

 
 
 
 
 
 
 
 
 
 
 
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 December 31, 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 December 31, 2018
 
 
 
 
(Dollars in millions)
One
incremental notch
 
Second
incremental notch
Bank of America Corporation
$
619

 
$
347

Bank of America, N.A. and subsidiaries (1)
209

 
268

(1) 
Included in Bank of America Corporation collateral requirements in this table.
Derivative Liability Subject to Unilateral Termination Upon Downgrade The following table 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, 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 December 31, 2018
 
 
 
 
(Dollars in millions)
One
incremental notch
 
Second
incremental notch
Derivative liabilities
$
13

 
$
581

Collateral posted
1

 
305

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 2018, 2017 and 2016. 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)
2018
 
2017
 
2016
Derivative assets (CVA)
$
77

$
187

 
$
330

$
98

 
$
374

 
$
214

Derivative assets/liabilities (FVA)
(15
)
14

 
160

178

 
186

 
102

Derivative liabilities (DVA)
(19
)
(55
)
 
(324
)
(281
)
 
24

 
(141
)
(1) 
At December 31, 2018, 2017 and 2016, cumulative CVA reduced the derivative assets balance by $600 million, $677 million and $1.0 billion, cumulative FVA reduced the net derivatives balance by $151 million, $136 million and $296 million, and cumulative DVA reduced the derivative liabilities balance by $432 million, $450 million and $774 million, respectively.
Derivative  
Derivative [Line Items]  
Offsetting Assets The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Ba
lance Sheet at December 31, 2018 and 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 10 – 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)
December 31, 2018
 
December 31, 2017
Interest rate contracts
 

 
 

 
 

 
 

Over-the-counter
$
174.2

 
$
169.4

 
$
211.7

 
$
206.0

Over-the-counter cleared
4.8

 
4.0

 
1.9

 
1.8

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
82.5

 
86.3

 
78.7

 
80.8

Over-the-counter cleared
0.9

 
0.9

 
0.9

 
0.7

Equity contracts
 
 
 
 
 
 
 
Over-the-counter
24.6

 
14.6

 
18.3

 
16.2

Exchange-traded
16.1

 
15.1

 
9.1

 
8.5

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
3.5

 
4.5

 
2.9

 
4.4

Exchange-traded
1.0

 
0.9

 
0.7

 
0.8

Credit derivatives
 
 
 
 
 
 
 
Over-the-counter
7.7

 
8.2

 
9.1

 
9.6

Over-the-counter cleared
2.5

 
2.3

 
6.1

 
6.0

Total gross derivative assets/liabilities, before netting
 
 
 
 
 
 
 
Over-the-counter
292.5

 
283.0

 
320.7

 
317.0

Exchange-traded
17.1

 
16.0

 
9.8

 
9.3

Over-the-counter cleared
8.2

 
7.2

 
8.9

 
8.5

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(264.4
)
 
(259.2
)
 
(296.9
)
 
(294.6
)
Exchange-traded
(13.5
)
 
(13.5
)
 
(8.6
)
 
(8.6
)
Over-the-counter cleared
(7.2
)
 
(7.2
)
 
(8.3
)
 
(8.5
)
Derivative assets/liabilities, after netting
32.7

 
26.3

 
25.6

 
23.1

Other gross derivative assets/liabilities (2)
11.0

 
11.6

 
12.2

 
11.2

Total derivative assets/liabilities
43.7

 
37.9

 
37.8

 
34.3

Less: Financial instruments collateral (3)
(16.3
)
 
(8.6
)
 
(11.2
)
 
(10.4
)
Total net derivative assets/liabilities
$
27.4

 
$
29.3

 
$
26.6

 
$
23.9

(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. 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 Ba
lance Sheet at December 31, 2018 and 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 10 – 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)
December 31, 2018
 
December 31, 2017
Interest rate contracts
 

 
 

 
 

 
 

Over-the-counter
$
174.2

 
$
169.4

 
$
211.7

 
$
206.0

Over-the-counter cleared
4.8

 
4.0

 
1.9

 
1.8

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
82.5

 
86.3

 
78.7

 
80.8

Over-the-counter cleared
0.9

 
0.9

 
0.9

 
0.7

Equity contracts
 
 
 
 
 
 
 
Over-the-counter
24.6

 
14.6

 
18.3

 
16.2

Exchange-traded
16.1

 
15.1

 
9.1

 
8.5

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
3.5

 
4.5

 
2.9

 
4.4

Exchange-traded
1.0

 
0.9

 
0.7

 
0.8

Credit derivatives
 
 
 
 
 
 
 
Over-the-counter
7.7

 
8.2

 
9.1

 
9.6

Over-the-counter cleared
2.5

 
2.3

 
6.1

 
6.0

Total gross derivative assets/liabilities, before netting
 
 
 
 
 
 
 
Over-the-counter
292.5

 
283.0

 
320.7

 
317.0

Exchange-traded
17.1

 
16.0

 
9.8

 
9.3

Over-the-counter cleared
8.2

 
7.2

 
8.9

 
8.5

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(264.4
)
 
(259.2
)
 
(296.9
)
 
(294.6
)
Exchange-traded
(13.5
)
 
(13.5
)
 
(8.6
)
 
(8.6
)
Over-the-counter cleared
(7.2
)
 
(7.2
)
 
(8.3
)
 
(8.5
)
Derivative assets/liabilities, after netting
32.7

 
26.3

 
25.6

 
23.1

Other gross derivative assets/liabilities (2)
11.0

 
11.6

 
12.2

 
11.2

Total derivative assets/liabilities
43.7

 
37.9

 
37.8

 
34.3

Less: Financial instruments collateral (3)
(16.3
)
 
(8.6
)
 
(11.2
)
 
(10.4
)
Total net derivative assets/liabilities
$
27.4

 
$
29.3

 
$
26.6

 
$
23.9

(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. 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.