Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.20.1
Derivatives (Tables)
3 Months Ended
Mar. 31, 2020
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 March 31, 2020 and December 31, 2019. 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.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
March 31, 2020
 
 
 
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
$
19,058.4

 
$
199.6

 
$
21.0

 
$
220.6

 
$
217.2

 
$
0.5

 
$
217.7

Futures and forwards
6,585.6

 
13.4

 

 
13.4

 
13.0

 

 
13.0

Written options
1,782.9

 

 

 

 
56.3

 

 
56.3

Purchased options
1,768.8

 
60.6

 

 
60.6

 

 

 

Foreign exchange contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
1,617.0

 
47.9

 
1.2

 
49.1

 
53.6

 
1.5

 
55.1

Spot, futures and forwards
4,566.2

 
68.5

 
1.0

 
69.5

 
66.8

 
0.2

 
67.0

Written options
314.1

 

 

 

 
6.8

 

 
6.8

Purchased options
309.6

 
7.5

 

 
7.5

 

 

 

Equity contracts
 
 
 
 
 
 


 
 
 
 

 


Swaps
241.8

 
22.0

 

 
22.0

 
19.8

 

 
19.8

Futures and forwards
95.8

 
1.2

 
0.1

 
1.3

 
0.4

 

 
0.4

Written options
601.7

 

 

 

 
50.0

 

 
50.0

Purchased options
576.1

 
56.4

 

 
56.4

 

 

 

Commodity contracts
 

 
 
 
 
 


 
 
 
 

 


Swaps
41.3

 
5.9

 

 
5.9

 
6.3

 

 
6.3

Futures and forwards
48.2

 
1.9

 

 
1.9

 
0.6

 

 
0.6

Written options
33.0

 

 

 

 
5.6

 

 
5.6

Purchased options
37.0

 
5.2

 

 
5.2

 

 

 

Credit derivatives (2)
 

 
 
 
 

 


 
 
 
 

 


Purchased credit derivatives:
 

 
 
 
 

 


 
 
 
 

 


Credit default swaps
354.2

 
8.1

 

 
8.1

 
2.1

 

 
2.1

Total return swaps/options
98.3

 
2.1

 

 
2.1

 
1.5

 

 
1.5

Written credit derivatives:
 
 
 
 
 

 


 
 
 
 

 


Credit default swaps
332.0

 
1.7

 

 
1.7

 
6.5

 

 
6.5

Total return swaps/options
97.8

 
1.0

 

 
1.0

 
1.9

 

 
1.9

Gross derivative assets/liabilities
 
 
$
503.0

 
$
23.3

 
$
526.3

 
$
508.4

 
$
2.2

 
$
510.6

Less: Legally enforceable master netting agreements
 

 


 
 

 
(415.2
)
 
 

 
 

 
(415.2
)
Less: Cash collateral received/paid
 

 
 

 
 

 
(53.4
)
 
 

 
 

 
(40.7
)
Total derivative assets/liabilities
 

 
 

 
 

 
$
57.7

 
 

 
 

 
$
54.7

(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 $(4.5) billion and $279.4 billion at March 31, 2020.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 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
$
15,074.4

 
$
162.0

 
$
9.7

 
$
171.7

 
$
168.5

 
$
0.4

 
$
168.9

Futures and forwards
3,279.8

 
1.0

 

 
1.0

 
1.0

 

 
1.0

Written options
1,767.7

 

 

 

 
32.5

 

 
32.5

Purchased options
1,673.6

 
37.4

 

 
37.4

 

 

 

Foreign exchange contracts
 
 
 

 
 

 
 

 
 

 
 

 
 

Swaps
1,657.7

 
30.3

 
0.7

 
31.0

 
31.7

 
0.9

 
32.6

Spot, futures and forwards
3,792.7

 
35.9

 
0.1

 
36.0

 
38.7

 
0.3

 
39.0

Written options
274.3

 

 

 

 
3.8

 

 
3.8

Purchased options
261.6

 
4.0

 

 
4.0

 

 

 

Equity contracts
 

 
 

 
 

 
 

 
 

 
 

 
 

Swaps
315.0

 
6.5

 

 
6.5

 
8.1

 

 
8.1

Futures and forwards
125.1

 
0.3

 

 
0.3

 
1.1

 

 
1.1

Written options
731.1

 

 

 

 
34.6

 

 
34.6

Purchased options
668.6

 
42.4

 

 
42.4

 

 

 

Commodity contracts
 

 
 

 
 

 
 

 
 

 
 

 
 

Swaps
42.0

 
2.1

 

 
2.1

 
4.4

 

 
4.4

Futures and forwards
61.3

 
1.7

 

 
1.7

 
0.4

 

 
0.4

Written options
33.2

 

 

 

 
1.4

 

 
1.4

Purchased options
37.9

 
1.4

 

 
1.4

 

 

 

Credit derivatives (2)
 

 
 

 
 

 
 

 
 

 
 

 
 

Purchased credit derivatives:
 

 
 

 
 

 
 

 
 

 
 

 
 

Credit default swaps
321.6

 
2.7

 

 
2.7

 
5.6

 

 
5.6

Total return swaps/options
86.6

 
0.4

 

 
0.4

 
1.3

 

 
1.3

Written credit derivatives:
 

 
 

 
 

 
 

 
 
 
 

 
 

Credit default swaps
300.2

 
5.4

 

 
5.4

 
2.0

 

 
2.0

Total return swaps/options
86.2

 
0.8

 

 
0.8

 
0.4

 

 
0.4

Gross derivative assets/liabilities
 

 
$
334.3

 
$
10.5

 
$
344.8

 
$
335.5

 
$
1.6

 
$
337.1

Less: Legally enforceable master netting agreements
 

 
 

 
 

 
(270.4
)
 
 

 
 

 
(270.4
)
Less: Cash collateral received/paid
 

 
 

 
 

 
(33.9
)
 
 

 
 

 
(28.5
)
Total derivative assets/liabilities
 

 
 

 
 

 
$
40.5

 
 

 
 

 
$
38.2

(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 $2.8 billion and $309.7 billion at December 31, 2019.
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 months ended March 31, 2020 and 2019.
 
 
 
 
 
 
 
 
Gains and Losses on Derivatives Designated as Fair Value Hedges
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2020
 
2020
 
2019
(Dollars in millions)
Derivative
 
Hedged Item
 
Derivative
 
Hedged Item
Interest rate risk on long-term debt (1)
$
10,334

 
$
(10,276
)
 
$
1,913

 
$
(1,929
)
Interest rate and foreign currency risk on long-term debt (2)
505

 
(491
)
 
57

 
(48
)
Interest rate risk on available-for-sale securities (3)
(350
)
 
342

 
(45
)
 
43

Total
$
10,489

 
$
(10,425
)
 
$
1,925


$
(1,934
)

(1) 
Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2) 
For the three months ended March 31, 2020 and 2019, the derivative amount includes gains (losses) of $734 million and $170 million in interest expense, $(241) million and $(121) million in market making and similar activities, and $12 million and $8 million in accumulated OCI. Line item totals are in the Consolidated Statement of Income and on 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)
 
 
 
 
 
 
 
 
 
March 31, 2020
 
December 31, 2019
(Dollars in millions)
Carrying Value
 
Cumulative
Fair Value Adjustments (1)
 
Carrying Value
 
Cumulative
Fair Value Adjustments (1)
Long-term debt (2)
$
(186,490
)
 
$
(19,542
)
 
$
(162,389
)
 
$
(8,685
)
Available-for-sale debt securities (2, 3)
4,157

 
314

 
1,654

 
64


(1) 
For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value.
(2) 
At March 31, 2020 and December 31, 2019, the cumulative fair value adjustments remaining on long-term debt and AFS debt securities from discontinued hedging relationships resulted in a decrease in the related liability of $1.2 billion and $1.3 billion and an increase in the related asset of $22 million and $8 million, which are being amortized over the remaining contractual life of the de-designated hedged items.
(3) 
Carrying value represents amortized cost.
Cash Flow and Net Investment Hedges
The following table summarizes certain information related to cash flow hedges and net investment hedges for the three months ended March 31, 2020 and 2019. Of the $17 million after-tax net gain ($23 million pretax) on derivatives in accumulated OCI at March 31, 2020, gains of $77 million after-tax ($102 million pretax) related to open cash flow hedges are expected to be
reclassified into earnings in the next 12 months. These net gains reclassified into earnings are expected to primarily increase 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 three 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
 
 
 
 
 
 
 
 
 
Three Months Ended March 31
 
2020
 
2019
(Dollars in millions, amounts pretax)
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
Cash flow hedges
 
 
 
 
 
 
 
Interest rate risk on variable-rate assets (1)
$
591

 
$
(26
)
 
$
254

 
$
(23
)
Price risk on certain compensation plans (2)
(82
)
 

 

 

Total
$
509

 
$
(26
)
 
$
254

 
$
(23
)
Net investment hedges
 

 
 

 
 
 
 
Foreign exchange risk (3)
$
1,368

 
$

 
$
6

 
$
1

(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 compensation and benefits 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 months ended March 31, 2020 and 2019, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $30 million and $53 million.
Other Risk Management Derivatives The following table presents gains (losses) on these derivatives for the three months ended March 31, 2020 and 2019. 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 March 31
(Dollars in millions)
2020
 
2019
Interest rate risk on mortgage activities (1, 2)
$
379

 
$
104

Credit risk on loans (2)
88

 
(26
)
Interest rate and foreign currency risk on ALM activities (3)
1,528

 
1,229

Price risk on certain compensation plans (4)
(757
)
 
511

(1) 
Primarily related to hedges of interest rate risk on mortgage servicing rights and interest rate lock commitments to originate mortgage loans that will be held for sale. The net gains on interest rate lock commitments which are not included in the table but are considered derivative instruments, were $48 million and $12 million for the three months ended March 31, 2020 and 2019.
(2) 
Gains (losses) on these derivatives are recorded in other income.
(3) 
Gains (losses) on these derivatives are recorded in market making and similar activities.
(4) 
Gains (losses) on these derivatives are recorded in compensation and benefits expense.
Schedule of Derivative Instruments Included in Trading Activities 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
 
 
 
 
 
 
 
 
 
Market making and similar activities
 
Net Interest
Income
 
Other (1)
 
Total
(Dollars in millions)
Three Months Ended March 31, 2020
Interest rate risk
$
1,568

 
$
619

 
$
68

 
$
2,255

Foreign exchange risk
446

 
5

 
5

 
456

Equity risk
1,261

 
(123
)
 
519

 
1,657

Credit risk
(406
)
 
441

 
39

 
74

Other risk
103

 
21

 
7

 
131

Total sales and trading revenue
$
2,972

 
$
963

 
$
638

 
$
4,573

 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2019
Interest rate risk
$
300

 
$
410

 
$
86

 
$
796

Foreign exchange risk
318

 
19

 
6

 
343

Equity risk
969

 
(175
)
 
396

 
1,190

Credit risk
487

 
430

 
134

 
1,051

Other risk
7

 
18

 
10

 
35

Total sales and trading revenue
$
2,081

 
$
702


$
632

 
$
3,415

(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 $557 million and $433 million for the three months ended March 31, 2020 and 2019.
Disclosure of Credit Derivatives
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at March 31, 2020 and December 31, 2019 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
 
March 31, 2020
(Dollars in millions)
Carrying Value
Credit default swaps:
 

 
 

 
 

 
 

 
 

Investment grade
$
9

 
$
87

 
$
620

 
$
532

 
$
1,248

Non-investment grade
192

 
1,021

 
1,945

 
2,054

 
5,212

Total
201

 
1,108

 
2,565

 
2,586

 
6,460

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
578

 

 

 

 
578

Non-investment grade
1,301

 
10

 

 

 
1,311

Total
1,879

 
10

 

 

 
1,889

Total credit derivatives
$
2,080

 
$
1,118

 
$
2,565

 
$
2,586

 
$
8,349

Credit-related notes:
 

 
 

 
 

 
 

 
 

Investment grade
$

 
$

 
$

 
$
1,156

 
$
1,156

Non-investment grade
6

 
2

 

 
1,075

 
1,083

Total credit-related notes
$
6

 
$
2

 
$

 
$
2,231

 
$
2,239

 
Maximum Payout/Notional
Credit default swaps:
 

 
 

 
 

 
 

 
 

Investment grade
$
48,868

 
$
75,071

 
$
77,467

 
$
26,226

 
$
227,632

Non-investment grade
19,106

 
30,941

 
39,604

 
14,694

 
104,345

Total
67,974

 
106,012

 
117,071

 
40,920

 
331,977

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
65,869

 

 
126

 

 
65,995

Non-investment grade
27,272

 
4,476

 
6

 
5

 
31,759

Total
93,141

 
4,476

 
132

 
5

 
97,754

Total credit derivatives
$
161,115

 
$
110,488

 
$
117,203

 
$
40,925

 
$
429,731

 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
Carrying Value
Credit default swaps:
 
 
 
 
 
 
 
 
 
Investment grade
$

 
$
5

 
$
60

 
$
164

 
$
229

Non-investment grade
70

 
292

 
561

 
808

 
1,731

Total
70

 
297

 
621

 
972

 
1,960

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
35

 

 

 

 
35

Non-investment grade
344

 

 

 

 
344

Total
379

 

 

 

 
379

Total credit derivatives
$
449

 
$
297

 
$
621

 
$
972

 
$
2,339

Credit-related notes:
 

 
 

 
 

 
 

 
 

Investment grade
$

 
$
3

 
$
1

 
$
639

 
$
643

Non-investment grade
6

 
2

 
1

 
1,125

 
1,134

Total credit-related notes
$
6

 
$
5

 
$
2

 
$
1,764

 
$
1,777

 
Maximum Payout/Notional
Credit default swaps:
 
 
 
 
 
 
 
 
 
Investment grade
$
55,827

 
$
67,838

 
$
71,320

 
$
17,708

 
$
212,693

Non-investment grade
19,049

 
26,521

 
29,618

 
12,337

 
87,525

Total
74,876

 
94,359

 
100,938

 
30,045

 
300,218

Total return swaps/options:
 

 
 

 
 

 
 

 
 

Investment grade
56,488

 

 
62

 
76

 
56,626

Non-investment grade
28,707

 
657

 
104

 
60

 
29,528

Total
85,195

 
657

 
166

 
136

 
86,154

Total credit derivatives
$
160,071

 
$
95,016

 
$
101,104

 
$
30,181

 
$
386,372


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 March 31, 2020 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 March 31, 2020
 
 
 
 
(Dollars in millions)
One
incremental notch
 
Second
incremental notch
Bank of America Corporation
$
519

 
$
724

Bank of America, N.A. and subsidiaries (1)
257

 
495

(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 March 31, 2020 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 March 31, 2020
 
 
 
 
(Dollars in millions)
One
incremental notch
 
Second
incremental notch
Derivative liabilities
$
161

 
$
1,498

Collateral posted
144

 
1,098


Valuation Adjustments on Derivatives
The table below presents credit valuation adjustment (CVA), DVA and FVA gains (losses) on derivatives (excluding the effect of any related hedge activities), which are recorded in market making and similar activities, for the three months ended March 31, 2020 and 2019. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2019 Annual Report on Form 10-K.
 
 
 
 
Valuation Adjustments Gains (Losses) on Derivatives (1)
 
 
 
 
 
Three Months Ended March 31
 
2020
 
2019
Derivative assets (CVA)
$
(784
)
 
$
66

Derivative assets/liabilities (FVA)
(156
)
 
7

Derivative liabilities (DVA)
414

 
(81
)
(1) 
At March 31, 2020 and December 31, 2019, cumulative CVA reduced the derivative assets balance by $1.3 billion and $528 million, cumulative FVA reduced the net derivatives balance by $309 million and $153 million, and cumulative DVA reduced the derivative liabilities balance by $699 million and $285 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 March 31, 2020 and December 31, 2019 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)
March 31, 2020
 
December 31, 2019
Interest rate contracts
 

 
 

 
 

 
 

Over-the-counter
$
277.6

 
$
271.1

 
$
203.1

 
$
196.6

Exchange-traded
0.3

 
0.3

 
0.1

 
0.1

Over-the-counter cleared
15.2

 
13.4

 
6.0

 
5.3

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
121.5

 
124.4

 
69.2

 
73.1

Over-the-counter cleared
2.1

 
2.1

 
0.5

 
0.5

Equity contracts
 
 
 
 
 
 
 
Over-the-counter
32.3

 
24.4

 
21.3

 
17.8

Exchange-traded
43.7

 
42.2

 
26.4

 
22.8

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
9.0

 
9.1

 
2.8

 
4.2

Exchange-traded
2.5

 
2.2

 
0.8

 
0.8

Over-the-counter cleared

 
0.1

 

 
0.1

Credit derivatives
 
 
 
 
 
 
 
Over-the-counter
11.5

 
10.6

 
6.4

 
6.6

Over-the-counter cleared
1.2

 
1.2

 
2.5

 
2.2

Total gross derivative assets/liabilities, before netting
 
 
 
 
 
 
 
Over-the-counter
451.9

 
439.6

 
302.8

 
298.3

Exchange-traded
46.5

 
44.7

 
27.3

 
23.7

Over-the-counter cleared
18.5

 
16.8

 
9.0

 
8.1

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(413.4
)
 
(400.7
)
 
(274.7
)
 
(269.3
)
Exchange-traded
(40.5
)
 
(40.5
)
 
(21.5
)
 
(21.5
)
Over-the-counter cleared
(14.7
)
 
(14.7
)
 
(8.1
)
 
(8.1
)
Derivative assets/liabilities, after netting
48.3

 
45.2

 
34.8

 
31.2

Other gross derivative assets/liabilities (2)
9.4

 
9.5

 
5.7

 
7.0

Total derivative assets/liabilities
57.7

 
54.7

 
40.5

 
38.2

Less: Financial instruments collateral (3)
(16.7
)
 
(21.4
)
 
(14.6
)
 
(16.1
)
Total net derivative assets/liabilities
$
41.0

 
$
33.3

 
$
25.9

 
$
22.1

(1) 
Over-the-counter derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter-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 March 31, 2020 and December 31, 2019 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)
March 31, 2020
 
December 31, 2019
Interest rate contracts
 

 
 

 
 

 
 

Over-the-counter
$
277.6

 
$
271.1

 
$
203.1

 
$
196.6

Exchange-traded
0.3

 
0.3

 
0.1

 
0.1

Over-the-counter cleared
15.2

 
13.4

 
6.0

 
5.3

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
121.5

 
124.4

 
69.2

 
73.1

Over-the-counter cleared
2.1

 
2.1

 
0.5

 
0.5

Equity contracts
 
 
 
 
 
 
 
Over-the-counter
32.3

 
24.4

 
21.3

 
17.8

Exchange-traded
43.7

 
42.2

 
26.4

 
22.8

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
9.0

 
9.1

 
2.8

 
4.2

Exchange-traded
2.5

 
2.2

 
0.8

 
0.8

Over-the-counter cleared

 
0.1

 

 
0.1

Credit derivatives
 
 
 
 
 
 
 
Over-the-counter
11.5

 
10.6

 
6.4

 
6.6

Over-the-counter cleared
1.2

 
1.2

 
2.5

 
2.2

Total gross derivative assets/liabilities, before netting
 
 
 
 
 
 
 
Over-the-counter
451.9

 
439.6

 
302.8

 
298.3

Exchange-traded
46.5

 
44.7

 
27.3

 
23.7

Over-the-counter cleared
18.5

 
16.8

 
9.0

 
8.1

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(413.4
)
 
(400.7
)
 
(274.7
)
 
(269.3
)
Exchange-traded
(40.5
)
 
(40.5
)
 
(21.5
)
 
(21.5
)
Over-the-counter cleared
(14.7
)
 
(14.7
)
 
(8.1
)
 
(8.1
)
Derivative assets/liabilities, after netting
48.3

 
45.2

 
34.8

 
31.2

Other gross derivative assets/liabilities (2)
9.4

 
9.5

 
5.7

 
7.0

Total derivative assets/liabilities
57.7

 
54.7

 
40.5

 
38.2

Less: Financial instruments collateral (3)
(16.7
)
 
(21.4
)
 
(14.6
)
 
(16.1
)
Total net derivative assets/liabilities
$
41.0

 
$
33.3

 
$
25.9

 
$
22.1

(1) 
Over-the-counter derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter-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.