Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.19.3
Derivatives (Tables)
9 Months Ended
Sep. 30, 2019
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, 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
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.