Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

Derivatives (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at September 30, 2019 and December 31, 2018. 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, 2019
			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	$	19,994.7	$	184.3	$	12.6	$	196.9		$	194.3	$	0.3	$	194.6
Futures and forwards	5,564.1		1.4		—		1.4			1.3		—		1.3
Written options	1,777.5		—		—		—			42.1		—		42.1
Purchased options	1,841.9		47.9		—		47.9			—		—		—
Foreign exchange contracts
Swaps	1,821.8		34.8		1.3		36.1			38.5		1.8		40.3
Spot, futures and forwards	5,037.1		41.8		0.6		42.4			42.0		0.2		42.2
Written options	305.5		—		—		—			4.4		—		4.4
Purchased options	322.0		4.8		—		4.8			—		—		—
Equity contracts
Swaps	282.4		5.4		—		5.4			6.0		—		6.0
Futures and forwards	122.2		0.3		—		0.3			0.9		—		0.9
Written options	784.4		—		—		—			32.1		—		32.1
Purchased options	734.5		39.1		—		39.1			—		—		—
Commodity contracts
Swaps	41.2		2.1		—		2.1			4.0		—		4.0
Futures and forwards	63.3		3.3		—		3.3			0.6		—		0.6
Written options	36.2		—		—		—			1.9		—		1.9
Purchased options	36.8		1.8		—		1.8			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	403.4		3.5		—		3.5			5.5		—		5.5
Total return swaps/options	64.2		0.2		—		0.2			1.7		—		1.7
Written credit derivatives:
Credit default swaps	363.0		5.3		—		5.3			2.5		—		2.5
Total return swaps/options	58.3		0.9		—		0.9			0.4		—		0.4
Gross derivative assets/liabilities			$	376.9	$	14.5	$	391.4		$	378.2	$	2.3	$	380.5
Less: Legally enforceable master netting agreements							(305.6		)					(305.6		)
Less: Cash collateral received/paid							(40.7		)					(36.9		)
Total derivative assets/liabilities							$	45.1						$	38.0


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


⁽²⁾	The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $2.3 billion and $342.9 billion at September 30, 2019.




			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⁾
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 asset (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.

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, 2019 and 2018.




Gains and Losses on Derivatives Designated as Fair Value Hedges

	Three Months Ended September 30, 2019						Three Months Ended September 30, 2018
(Dollars in millions)	Derivative			Hedged Item			Derivative			Hedged Item
Interest rate risk on long-term debt ⁽¹⁾	$	3,328		$	(3,342	)	$	(1,129	)	$	1,122
Interest rate and foreign currency risk on long-term debt ⁽²⁾	(110		)	111			(182		)	207
Interest rate risk on available-for-sale securities ⁽³⁾	(33		)	30			12			(12		)
Total	$	3,185		$	(3,201	)	$	(1,299	)	$	1,317

	Nine Months Ended September 30, 2019						Nine Months Ended September 30, 2018
	Derivative			Hedged Item			Derivative			Hedged Item
Interest rate risk on long-term debt ⁽¹⁾	$	9,373		$	(9,392	)	$	(4,303	)	$	4,179
Interest rate and foreign currency risk on long-term debt ⁽²⁾	(12		)	31			(927		)	795
Interest rate risk on available-for-sale securities ⁽³⁾	(133		)	128			(20		)	19
Total	$	9,228		$	(9,233	)	$	(5,250	)	$	4,993


⁽¹⁾	Amounts are recorded in interest expense in the Consolidated Statement of Income.

⁽²⁾

For the three and nine months ended September 30, 2019, the derivative amount includes gains (losses) of $(59) million and $108 million in interest expense, $(53) million and $(142) million in other income and $2 million and $22 million in accumulated other comprehensive income (OCI). For the same periods in 2018, the derivative amount includes gains (losses) of $(117) million and $(156) million in interest expense, $(96) million and $(672) million in other income, and $31 million and $(99) million in accumulated OCI. Line item totals are in the Consolidated Statement of Income and in the Consolidated Balance Sheet.

⁽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)

	September 30, 2019						December 31, 2018
(Dollars in millions)	Carrying Value			Cumulative Fair Value Adjustments ⁽¹⁾			Carrying Value			Cumulative Fair Value Adjustments⁽¹⁾
Long-term debt ⁽²⁾	$	(165,021	)	$	(11,932	)	$	(138,682	)	$	(2,117	)
Available-for-sale debt securities ⁽²⁾	1,684			92			981			(29		)


⁽¹⁾	For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value.

⁽²⁾

At September 30, 2019 and December 31, 2018, the cumulative fair value adjustments remaining on long-term debt and available-for-sale (AFS) debt securities from discontinued hedging relationships resulted in a decrease in the related liability of $1.4 billion and $1.6 billion and an increase (decrease) in the related asset of $5 million and $(29) million, which are being amortized over the remaining contractual life of the de-designated hedged items.

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, 2019 and 2018. Of the $365 million after-tax net loss ($479 million pretax) on derivatives in accumulated OCI at September 30, 2019, $78 million after-tax ($103 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 3 years, with a maximum length of time for certain forecasted transactions of 16 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, 2019						Nine Months Ended September 30, 2019
Cash flow hedges
Interest rate risk on variable-rate assets ⁽¹⁾	$	125		$	(27	)	$	743		$	(78	)
Net investment hedges
Foreign exchange risk ⁽²⁾	$	786		$	362		$	590		$	363

	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 ⁽³⁾	—			—			4			27
Total	$	(54	)	$	(51	)	$	(549	)	$	(107	)
Net investment hedges
Foreign exchange risk ⁽²⁾	$	181		$	383		$	860		$	382


⁽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 other income in the Consolidated Statement of Income. For the three and nine months ended September 30, 2019, amounts excluded from effectiveness testing and recognized in other income were gains of $32 million and $109 million. For the same periods in 2018, amounts excluded from effectiveness testing and recognized in other income were gains of $3 million and $32 million.

⁽³⁾

Amounts reclassified from accumulated OCI are recorded in compensation and benefits expense in the Consolidated Statement of Income.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2019 and 2018. These gains (losses) are largely offset by the income or expense 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)	2019			2018			2019			2018
Interest rate risk on mortgage activities ⁽¹⁾	$	110		$	(45	)	$	361		$	(206	)
Credit risk on loans	(8		)	(2		)	(48		)	(7		)
Interest rate and foreign currency risk on ALM activities ⁽²⁾	2,517			487			3,337			1,050

⁽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 $20 million and $56 million for the three and nine months ended September 30, 2019 compared to $8 million and $36 million for the same periods in 2018.

⁽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, 2019 and 2018. The difference between total trading account income 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 18 – 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 Income		Net Interest Income			Other ⁽¹⁾		Total		Trading Account Income		Net Interest Income			Other ⁽¹⁾		Total
(Dollars in millions)	Three Months Ended September 30, 2019									Nine Months Ended September 30, 2019
Interest rate risk	$	5	$	480		$	217	$	702	$	595	$	1,289		$	362	$	2,246
Foreign exchange risk	325		14			9		348		965		42			19		1,026
Equity risk	907		(122		)	364		1,149		2,886		(563		)	1,159		3,482
Credit risk	286		451			136		873		1,092		1,341			400		2,833
Other risk	57		11			12		80		83		61			43		187
Total sales and trading revenue	$	1,580	$	834		$	738	$	3,152	$	5,621	$	2,170		$	1,983	$	9,774

	Three Months Ended September 30, 2018									Nine Months Ended September 30, 2018
Interest rate risk	$	76	$	418		$	141	$	635	$	789	$	1,242		$	228	$	2,259
Foreign exchange risk	373		3			3		379		1,163		(2		)	10		1,171
Equity risk	823		(183		)	356		996		3,015		(449		)	1,218		3,784
Credit risk	268		458			113		839		1,091		1,407			408		2,906
Other risk	10		64			10		84		68		152			43		263
Total sales and trading revenue	$	1,550	$	760		$	623	$	2,933	$	6,126	$	2,350		$	1,907	$	10,383

⁽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 $410 million and $1.3 billion for the three and nine months ended September 30, 2019 compared to $378 million and $1.3 billion for the same periods in 2018.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2019 and December 31, 2018 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
	September 30, 2019
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	—	$	10	$	90	$	249	$	349
Non-investment grade	69		264		738		1,086		2,157
Total	69		274		828		1,335		2,506
Total return swaps/options:
Investment grade	20		—		—		—		20
Non-investment grade	365		12		—		—		377
Total	385		12		—		—		397
Total credit derivatives	$	454	$	286	$	828	$	1,335	$	2,903
Credit-related notes:
Investment grade	$	—	$	3	$	—	$	646	$	649
Non-investment grade	12		2		1		1,402		1,417
Total credit-related notes	$	12	$	5	$	1	$	2,048	$	2,066
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	48,416	$	82,184	$	102,206	$	30,639	$	263,445
Non-investment grade	17,211		27,707		36,737		17,887		99,542
Total	65,627		109,891		138,943		48,526		362,987
Total return swaps/options:
Investment grade	29,218		—		61		74		29,353
Non-investment grade	28,306		511		51		61		28,929
Total	57,524		511		112		135		58,282
Total credit derivatives	$	123,151	$	110,402	$	139,055	$	48,661	$	421,269

	December 31, 2018
	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

Additional Collateral Required to be Posted Upon Downgrade

The following table presents the amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at September 30, 2019 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, 2019

(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	571	$	510
Bank of America, N.A. and subsidiaries ⁽¹⁾	240		422

⁽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 September 30, 2019 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, 2019

(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	12	$	1,127
Collateral posted	4		785

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 income, on a gross and net of hedge basis for the three and nine months ended September 30, 2019 and 2018. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2018 Annual Report on Form 10-K.




Valuation Adjustments Gains (Losses) on Derivatives ⁽¹⁾

	Three Months Ended September 30
	2019						2018
(Dollars in millions)	Gross			Net			Gross			Net
Derivative assets (CVA)	$	(41	)	$	16		$	71		$	27
Derivative assets/liabilities (FVA)	(60		)	(4		)	45			35
Derivative liabilities (DVA)	17			8			(69		)	(79		)

	Nine Months Ended September 30
	2019						2018
Derivative assets (CVA)	$	(39	)	$	38		$	186		$	172
Derivative assets/liabilities (FVA)	(27		)	35			36			16
Derivative liabilities (DVA)	(56		)	(64		)	(112		)	(132		)

⁽¹⁾

At September 30, 2019 and December 31, 2018, cumulative CVA reduced the derivative assets balance by $639 million and $600 million, cumulative FVA reduced the net derivatives balance by $178 million and $151 million, and cumulative DVA reduced the derivative liabilities balance by $376 million and $432 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, 2019 and December 31, 2018 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)	September 30, 2019						December 31, 2018
Interest rate contracts
Over-the-counter	$	237.1		$	229.7		$	174.2		$	169.4
Exchange-traded	—			0.1			—			—
Over-the-counter cleared	7.0			6.5			4.8			4.0
Foreign exchange contracts
Over-the-counter	80.8			84.3			82.5			86.3
Over-the-counter cleared	0.6			0.6			0.9			0.9
Equity contracts
Over-the-counter	19.8			14.6			24.6			14.6
Exchange-traded	16.8			16.7			16.1			15.1
Commodity contracts
Over-the-counter	3.2			4.4			3.5			4.5
Exchange-traded	0.9			0.8			1.0			0.9
Over-the-counter cleared	0.1			0.1			—			—
Credit derivatives
Over-the-counter	6.7			7.3			7.7			8.2
Over-the-counter cleared	2.7			2.3			2.5			2.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	347.6			340.3			292.5			283.0
Exchange-traded	17.7			17.6			17.1			16.0
Over-the-counter cleared	10.4			9.5			8.2			7.2
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(323.8		)	(320.3		)	(264.4		)	(259.2		)
Exchange-traded	(12.7		)	(12.7		)	(13.5		)	(13.5		)
Over-the-counter cleared	(9.8		)	(9.5		)	(7.2		)	(7.2		)
Derivative assets/liabilities, after netting	29.4			24.9			32.7			26.3
Other gross derivative assets/liabilities ⁽²⁾	15.7			13.1			11.0			11.6
Total derivative assets/liabilities	45.1			38.0			43.7			37.9
Less: Financial instruments collateral ⁽³⁾	(15.0		)	(12.7		)	(16.3		)	(8.6		)
Total net derivative assets/liabilities	$	30.1		$	25.3		$	27.4		$	29.3


⁽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. 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

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)	September 30, 2019						December 31, 2018
Interest rate contracts
Over-the-counter	$	237.1		$	229.7		$	174.2		$	169.4
Exchange-traded	—			0.1			—			—
Over-the-counter cleared	7.0			6.5			4.8			4.0
Foreign exchange contracts
Over-the-counter	80.8			84.3			82.5			86.3
Over-the-counter cleared	0.6			0.6			0.9			0.9
Equity contracts
Over-the-counter	19.8			14.6			24.6			14.6
Exchange-traded	16.8			16.7			16.1			15.1
Commodity contracts
Over-the-counter	3.2			4.4			3.5			4.5
Exchange-traded	0.9			0.8			1.0			0.9
Over-the-counter cleared	0.1			0.1			—			—
Credit derivatives
Over-the-counter	6.7			7.3			7.7			8.2
Over-the-counter cleared	2.7			2.3			2.5			2.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	347.6			340.3			292.5			283.0
Exchange-traded	17.7			17.6			17.1			16.0
Over-the-counter cleared	10.4			9.5			8.2			7.2
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(323.8		)	(320.3		)	(264.4		)	(259.2		)
Exchange-traded	(12.7		)	(12.7		)	(13.5		)	(13.5		)
Over-the-counter cleared	(9.8		)	(9.5		)	(7.2		)	(7.2		)
Derivative assets/liabilities, after netting	29.4			24.9			32.7			26.3
Other gross derivative assets/liabilities ⁽²⁾	15.7			13.1			11.0			11.6
Total derivative assets/liabilities	45.1			38.0			43.7			37.9
Less: Financial instruments collateral ⁽³⁾	(15.0		)	(12.7		)	(16.3		)	(8.6		)
Total net derivative assets/liabilities	$	30.1		$	25.3		$	27.4		$	29.3


⁽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. 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⁾