Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.21.2
Derivatives (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020. 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.
June 30, 2021
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 $ 18,092.6  $ 150.2  $ 11.7  $ 161.9  $ 157.9  $ 2.0  $ 159.9 
Futures and forwards 4,488.2  1.5  —  1.5  1.4  —  1.4 
Written options 1,687.0  —  —  —  31.1  —  31.1 
Purchased options 1,725.1  35.0  —  35.0  —  —  — 
Foreign exchange contracts  
Swaps 1,459.6  27.7  0.4  28.1  30.5  0.5  31.0 
Spot, futures and forwards 4,548.5  36.7  0.6  37.3  35.0  0.1  35.1 
Written options 331.4  —  —  —  3.7  —  3.7 
Purchased options 312.9  3.8  —  3.8  —  —  — 
Equity contracts  
Swaps 388.6  12.0  —  12.0  14.6  —  14.6 
Futures and forwards 160.0  0.4  —  0.4  1.9  —  1.9 
Written options 624.3  —  —  —  56.3  —  56.3 
Purchased options 562.5  55.8  —  55.8  —  —  — 
Commodity contracts    
Swaps 45.2  2.9  —  2.9  5.8  —  5.8 
Futures and forwards 78.9  2.3  —  2.3  1.4  —  1.4 
Written options 36.6  —  —  —  2.7  —  2.7 
Purchased options 30.7  3.0  —  3.0  —  —  — 
Credit derivatives (2)
     
Purchased credit derivatives:      
Credit default swaps 356.4  1.7  —  1.7  5.2  —  5.2 
Total return swaps/options 71.1  0.2  —  0.2  1.1  —  1.1 
Written credit derivatives:    
Credit default swaps 333.4  5.0  —  5.0  1.5  —  1.5 
Total return swaps/options 79.0  1.2  —  1.2  0.5  —  0.5 
Gross derivative assets/liabilities $ 339.4  $ 12.7  $ 352.1  $ 350.6  $ 2.6  $ 353.2 
Less: Legally enforceable master netting agreements     (278.3)     (278.3)
Less: Cash collateral received/paid       (32.3)     (36.0)
Total derivative assets/liabilities       $ 41.5      $ 38.9 
(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 $3.2 billion and $304.9 billion at June 30, 2021.
December 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 $ 13,242.8  $ 199.9  $ 10.9  $ 210.8  $ 209.3  $ 1.3  $ 210.6 
Futures and forwards 3,222.2  3.5  0.1  3.6  3.6  —  3.6 
Written options 1,530.5  —  —  —  40.5  —  40.5 
Purchased options 1,545.8  45.3  —  45.3  —  —  — 
Foreign exchange contracts            
Swaps 1,475.8  37.1  0.3  37.4  39.7  0.6  40.3 
Spot, futures and forwards 3,710.7  53.4  —  53.4  54.5  0.5  55.0 
Written options 289.6  —  —  —  4.8  —  4.8 
Purchased options 279.3  5.0  —  5.0  —  —  — 
Equity contracts              
Swaps 320.2  13.3  —  13.3  14.5  —  14.5 
Futures and forwards 106.2  0.3  —  0.3  1.4  —  1.4 
Written options 599.1  —  —  —  48.8  —  48.8 
Purchased options 541.2  52.6  —  52.6  —  —  — 
Commodity contracts              
Swaps 36.4  1.9  —  1.9  4.4  —  4.4 
Futures and forwards 63.6  2.0  —  2.0  1.0  —  1.0 
Written options 24.6  —  —  —  1.4  —  1.4 
Purchased options 24.7  1.5  —  1.5  —  —  — 
Credit derivatives (2)
             
Purchased credit derivatives:              
Credit default swaps 322.7  2.3  —  2.3  4.4  —  4.4 
Total return swaps/options 63.6  0.2  —  0.2  1.0  —  1.0 
Written credit derivatives:            
Credit default swaps 301.5  4.4  —  4.4  1.9  —  1.9 
Total return swaps/options 68.6  0.6  —  0.6  0.4  —  0.4 
Gross derivative assets/liabilities   $ 423.3  $ 11.3  $ 434.6  $ 431.6  $ 2.4  $ 434.0 
Less: Legally enforceable master netting agreements       (344.9)     (344.9)
Less: Cash collateral received/paid       (42.5)     (43.6)
Total derivative assets/liabilities       $ 47.2      $ 45.5 
(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 $2.2 billion and $269.8 billion at December 31, 2020.
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 six months ended June 30, 2021 and 2020.
Gains and Losses on Derivatives Designated as Fair Value Hedges
Three Months Ended June 30, 2021 Three Months Ended June 30, 2020
(Dollars in millions) Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ 3,484  $ (3,454) $ 475  $ (600)
Interest rate and foreign currency risk on long-term debt (2)
5  (5) 60  (60)
Interest rate risk on available-for-sale securities (3)
(1,863) 1,825  (361) 356 
Total $ 1,626  $ (1,634) $ 174  $ (304)
` Six Months Ended June 30, 2021 Six Months Ended June 30, 2020
Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ (4,579) $ 4,548  $ 10,809  $ (10,876)
Interest rate and foreign currency risk on long-term debt (2)
(23) 21  565  (551)
Interest rate risk on available-for-sale securities (3)
3,378  (3,325) (711) 698 
Total $ (1,224) $ 1,244  $ 10,663  $ (10,729)
(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2)For the three and six months ended June 30, 2021, the derivative amount includes gains (losses) of $(17) million and $(51) million in interest expense, $23 million and $31 million in market making and similar activities, and $(1) million and $(3) million in accumulated other comprehensive income (OCI). For the same periods in 2020, the derivative amount includes gains (losses) of $(3) million and $731 million in interest expense, $63 million and $(178) million in market making and similar activities, and $0 and $12 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 and Liabilities
June 30, 2021 December 31, 2020
(Dollars in millions) Carrying Value
Cumulative
Fair Value
 Adjustments (1)
Carrying Value
Cumulative
Fair Value
 Adjustments (1)
Long-term debt (2)
$ 171,872  $ 6,742  $ 150,556  $ 8,910 
Available-for-sale debt securities (2, 3, 4)
152,348  (2,876) 116,252  114 
Trading account assets (5)
366  —  427  15 
(1)Increase (decrease) to carrying value.
(2)At June 30, 2021 and December 31, 2020, the cumulative fair value adjustments remaining on long-term debt and available-for-sale debt securities from discontinued hedging relationships resulted in an increase in the related liability of $1.0 billion and $3.7 billion and a decrease in the related asset of $68 million and $69 million, which are being amortized over the remaining contractual life of the de-designated hedged items.
(3)These amounts include the amortized cost of the prepayable financial assets used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship (i.e. last-of-layer hedging relationship). At June 30, 2021 and December 31, 2020, the amortized cost of the closed portfolios used in these hedging relationships was $26.8 billion and $34.6 billion, of which $7.0 billion was designated in the last-of-layer hedging relationship at both dates. At June 30, 2021, the cumulative adjustment associated with these hedging relationships was a decrease of $99 million. At December 31, 2020, the cumulative adjustment was insignificant.
(4)Carrying value represents amortized cost.
(5)Represents hedging activities related to certain commodities inventory.
Cash Flow and Net Investment Hedges The table below summarizes certain information related to cash flow hedges and net investment hedges for the three and six months ended June 30, 2021 and 2020. Of the $273 million after-tax net loss ($365 million pretax) on derivatives in accumulated OCI at June 30, 2021, gains of $244 million after-tax ($330 million pretax) related to both open and terminated 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 3 years, with a maximum length of time for certain forecasted transactions of 15 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 June 30, 2021 Six Months Ended June 30, 2021
Cash flow hedges
Interest rate risk on variable-rate assets (1)
$ 481  $ 36  $ (576) $ 73 
Price risk on forecasted MBS purchases (1)
92  6  (301) 15 
Price risk on certain compensation plans (2)
35  14  59  26 
Total $ 608  $ 56  $ (818) $ 114 
Net investment hedges    
Foreign exchange risk (3)
$ (224) $ —  $ 503  $ — 
Three Months Ended June 30, 2020 Six Months Ended June 30, 2020
Cash flow hedges
Interest rate risk on variable-rate assets (1)
$ 320  $ (23) $ 911  $ (49)
Price risk on certain compensation plans (2)
73  —  (9) — 
Total $ 393  $ (23) $ 902  $ (49)
Net investment hedges
Foreign exchange risk (3)
$ (400) $ 1  $ 968  $ 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 and six months ended June 30, 2021, amounts excluded from effectiveness testing and recognized in market making and similar activities were losses of $48 million and $50 million. For the same periods in 2020 amounts excluded from effectiveness testing and recognized in other income were gains of $75 million and $105 million.
Other Risk Management Derivatives The table below presents gains (losses) on these derivatives for the three and six months ended June 30, 2021 and 2020. 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 June 30 Six Months Ended June 30
(Dollars in millions) 2021 2020 2021 2020
Interest rate risk on mortgage activities (1, 2)
$ 85  $ 62  $ (105) $ 441 
Credit risk on loans (2)
(14) (66) (31) 22 
Interest rate and foreign currency risk on asset and liability management activities (3)
(318) (1,017) 943  511 
Price risk on certain compensation plans (4)
318  603  598  (154)
(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 $27 million and $46 million for the three and six months ended June 30, 2021 compared to $39 million and $87 million for the same periods in 2020.
(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 Market making and similar activities Net Interest
Income
Other (1)
Total
(Dollars in millions) Three Months Ended June 30, 2021 Six Months Ended June 30, 2021
Interest rate risk $ 44  $ 463  $ 40  $ 547  $ 416  $ 926  $ 97  $ 1,439 
Foreign exchange risk 330  (22) 2  310  736  (40) 6  702 
Equity risk 1,178  (1) 442  1,619  2,460  35  957  3,452 
Credit risk 435  424  175  1,034  1,237  787  289  2,313 
Other risk (2)
(24) (10) 26  (8) 584  (28) 45  601 
Total sales and trading revenue
 $ 1,963  $ 854  $ 685  $ 3,502  $ 5,433  $ 1,680  $ 1,394  $ 8,507 
Three Months Ended June 30, 2020 Six Months Ended June 30, 2020
Interest rate risk $ 670  $ 658  $ 48  $ 1,376  $ 2,164  $ 1,276  $ 120  $ 3,560 
Foreign exchange risk 351  (3) (12) 336  815  1  (5) 811 
Equity risk 730  31  451  1,212  1,989  (91) 969  2,867 
Credit risk 536  426  142  1,104  157  869  176  1,202 
Other risk (2)
73  8  4  85  207  28  11  246 
Total sales and trading revenue
 $ 2,360  $ 1,120  $ 633  $ 4,113  $ 5,332  $ 2,083  $ 1,271  $ 8,686 
(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 $462 million and $1.0 billion for the three and six months ended June 30, 2021 compared to $470 million and $1.0 billion for the same periods in 2020.
(2)Includes commodity risk.
Disclosure of Credit Derivatives Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at June 30, 2021 and December 31, 2020 are summarized in the table below.
Credit Derivative Instruments
Less than
One Year		 One to
Three Years		 Three to
Five Years		 Over Five
Years		 Total
June 30, 2021
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ —  $ —  $ 44  $ 42  $ 86 
Non-investment grade 11  130  406  894  1,441 
Total 11  130  450  936  1,527 
Total return swaps/options:          
Investment grade 31  —  —  —  31 
Non-investment grade 134  333  —  —  467 
Total 165  333  —  —  498 
Total credit derivatives $ 176  $ 463  $ 450  $ 936  $ 2,025 
Credit-related notes:          
Investment grade $ —  $ —  $ 1  $ 519  $ 520 
Non-investment grade 5  1  23  1,153  1,182 
Total credit-related notes $ 5  $ 1  $ 24  $ 1,672  $ 1,702 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 32,739  $ 75,590  $ 107,799  $ 16,141  $ 232,269 
Non-investment grade 11,961  31,595  48,833  8,750  101,139 
Total 44,700  107,185  156,632  24,891  333,408 
Total return swaps/options:          
Investment grade 46,566  65  79  —  46,710 
Non-investment grade 20,032  12,268  10  16  32,326 
Total 66,598  12,333  89  16  79,036 
Total credit derivatives $ 111,298  $ 119,518  $ 156,721  $ 24,907  $ 412,444 
December 31, 2020
Carrying Value
Credit default swaps:
Investment grade $ —  $ 1  $ 35  $ 94  $ 130 
Non-investment grade 26  233  364  1,163  1,786 
Total 26  234  399  1,257  1,916 
Total return swaps/options:          
Investment grade 21  4  —  —  25 
Non-investment grade 345  —  —  —  345 
Total 366  4  —  —  370 
Total credit derivatives $ 392  $ 238  $ 399  $ 1,257  $ 2,286 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 572  $ 572 
Non-investment grade 64  2  10  947  1,023 
Total credit-related notes $ 64  $ 2  $ 10  $ 1,519  $ 1,595 
  Maximum Payout/Notional
Credit default swaps:
Investment grade $ 33,474  $ 75,731  $ 87,218  $ 16,822  $ 213,245 
Non-investment grade 13,664  28,770  35,978  9,852  88,264 
Total 47,138  104,501  123,196  26,674  301,509 
Total return swaps/options:          
Investment grade 30,961  1,061  77  —  32,099 
Non-investment grade 36,128  364  27  5  36,524 
Total 67,089  1,425  104  5  68,623 
Total credit derivatives $ 114,227  $ 105,926  $ 123,300  $ 26,679  $ 370,132 
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 June 30, 2021 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. The table also presents derivative liabilities that would be subject to unilateral termination by counterparties upon downgrade of the Corporation's or certain subsidiaries' long-term senior debt ratings.
Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade
at June 30, 2021
(Dollars in millions) One
incremental
 notch		 Second
incremental
 notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 318  $ 786 
Bank of America, N.A. and subsidiaries (1)
69  589 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 26  $ 480 
Collateral posted 11  313 
(1)Included in Bank of America Corporation collateral requirements in this table.
Derivative Liability Subject to Unilateral Termination Upon Downgrade
The table below presents the amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at June 30, 2021 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. The table also presents derivative liabilities that would be subject to unilateral termination by counterparties upon downgrade of the Corporation's or certain subsidiaries' long-term senior debt ratings.
Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade
at June 30, 2021
(Dollars in millions) One
incremental
 notch		 Second
incremental
 notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 318  $ 786 
Bank of America, N.A. and subsidiaries (1)
69  589 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 26  $ 480 
Collateral posted 11  313 
(1)Included in Bank of America Corporation collateral requirements in this table.
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 and six months ended June 30, 2021 and 2020. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2020 Annual Report on Form 10-K.
Valuation Adjustments Gains (Losses) on Derivatives (1)
Three Months Ended June 30
(Dollars in millions) 2021 2020
Derivative assets (CVA) $ 3  $ 276 
Derivative assets/liabilities (FVA)
 (33) 69 
Derivative liabilities (DVA) (31) (256)
Six Months Ended June 30
(Dollars in millions) 2021 2020
Derivative assets (CVA) $ 158  $ (508)
Derivative assets/liabilities (FVA)
 15  (87)
Derivative liabilities (DVA) (8) 158 
(1)At June 30, 2021 and December 31, 2020, cumulative CVA reduced the derivative assets balance by $488 million and $646 million, cumulative FVA reduced the net derivatives balance by $162 million and $177 million, and cumulative DVA reduced the derivative liabilities balance by $301 million and $309 million.
Derivative  
Derivative [Line Items]  
Offsetting Assets The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at June 30, 2021 and December 31, 2020 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) June 30, 2021 December 31, 2020
Interest rate contracts        
Over-the-counter $ 189.4  $ 182.8  $ 247.7  $ 243.5 
Exchange-traded 0.1  —  —  — 
Over-the-counter cleared 7.3  6.9  10.2  9.1 
Foreign exchange contracts
Over-the-counter 66.6  67.4  92.2  96.5 
Over-the-counter cleared 1.0  0.9  1.4  1.3 
Equity contracts
Over-the-counter 29.9  31.0  31.3  28.3 
Exchange-traded 35.6  35.0  32.3  31.0 
Commodity contracts
Over-the-counter 5.6  7.1  3.5  5.0 
Exchange-traded 1.3  1.6  0.7  0.7 
Over-the-counter cleared 0.1  0.1  —  — 
Credit derivatives
Over-the-counter 5.6  5.5  5.2  5.6 
Over-the-counter cleared 2.4  2.4  2.2  1.9 
Total gross derivative assets/liabilities, before netting
Over-the-counter 297.1  293.8  379.9  378.9 
Exchange-traded 37.0  36.6  33.0  31.7 
Over-the-counter cleared 10.8  10.3  13.8  12.3 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (265.1) (268.8) (345.7) (347.2)
Exchange-traded (35.4) (35.4) (29.5) (29.5)
Over-the-counter cleared (10.1) (10.1) (12.2) (11.8)
Derivative assets/liabilities, after netting 34.3  26.4  39.3  34.4 
Other gross derivative assets/liabilities (2)
7.2  12.5  7.9  11.1 
Total derivative assets/liabilities 41.5  38.9  47.2  45.5 
Less: Financial instruments collateral (3)
(14.2) (13.3) (16.1) (16.6)
Total net derivative assets/liabilities $ 27.3  $ 25.6  $ 31.1  $ 28.9 
(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 June 30, 2021 and December 31, 2020 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) June 30, 2021 December 31, 2020
Interest rate contracts        
Over-the-counter $ 189.4  $ 182.8  $ 247.7  $ 243.5 
Exchange-traded 0.1  —  —  — 
Over-the-counter cleared 7.3  6.9  10.2  9.1 
Foreign exchange contracts
Over-the-counter 66.6  67.4  92.2  96.5 
Over-the-counter cleared 1.0  0.9  1.4  1.3 
Equity contracts
Over-the-counter 29.9  31.0  31.3  28.3 
Exchange-traded 35.6  35.0  32.3  31.0 
Commodity contracts
Over-the-counter 5.6  7.1  3.5  5.0 
Exchange-traded 1.3  1.6  0.7  0.7 
Over-the-counter cleared 0.1  0.1  —  — 
Credit derivatives
Over-the-counter 5.6  5.5  5.2  5.6 
Over-the-counter cleared 2.4  2.4  2.2  1.9 
Total gross derivative assets/liabilities, before netting
Over-the-counter 297.1  293.8  379.9  378.9 
Exchange-traded 37.0  36.6  33.0  31.7 
Over-the-counter cleared 10.8  10.3  13.8  12.3 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (265.1) (268.8) (345.7) (347.2)
Exchange-traded (35.4) (35.4) (29.5) (29.5)
Over-the-counter cleared (10.1) (10.1) (12.2) (11.8)
Derivative assets/liabilities, after netting 34.3  26.4  39.3  34.4 
Other gross derivative assets/liabilities (2)
7.2  12.5  7.9  11.1 
Total derivative assets/liabilities 41.5  38.9  47.2  45.5 
Less: Financial instruments collateral (3)
(14.2) (13.3) (16.1) (16.6)
Total net derivative assets/liabilities $ 27.3  $ 25.6  $ 31.1  $ 28.9 
(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.