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)

6 Months Ended

Jun. 30, 2022

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at June 30, 2022 and December 31, 2021. 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, 2022
			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	$	23,920.0	$	126.3	$	13.8	$	140.1	$	116.2	$	23.5	$	139.7
Futures and forwards	3,740.5		6.5		—		6.5		5.5		—		5.5
Written options	1,701.3		—		—		—		37.1		—		37.1
Purchased options	1,597.6		39.6		—		39.6		—		—		—
Foreign exchange contracts
Swaps	1,449.7		41.3		0.4		41.7		40.4		0.3		40.7
Spot, futures and forwards	4,590.5		65.2		0.7		65.9		66.3		—		66.3
Written options	440.4		—		—		—		8.4		—		8.4
Purchased options	405.4		9.1		—		9.1		—		—		—
Equity contracts
Swaps	381.6		18.5		—		18.5		15.5		—		15.5
Futures and forwards	102.9		4.1		—		4.1		1.1		—		1.1
Written options	774.1		—		—		—		49.0		—		49.0
Purchased options	693.1		53.0		—		53.0		—		—		—
Commodity contracts
Swaps	61.3		8.8		—		8.8		7.9		—		7.9
Futures and forwards	166.7		3.5		—		3.5		3.1		0.3		3.4
Written options	69.6		—		—		—		5.1		—		5.1
Purchased options	57.5		6.2		—		6.2		—		—		—
Credit derivatives (2)
Purchased credit derivatives:
Credit default swaps	354.1		5.8		—		5.8		1.6		—		1.6
Total return swaps/options	101.9		1.0		—		1.0		2.4		—		2.4
Written credit derivatives:
Credit default swaps	340.2		1.3		—		1.3		4.6		—		4.6
Total return swaps/options	112.1		3.6		—		3.6		1.2		—		1.2
Gross derivative assets/liabilities			$	393.8	$	14.9	$	408.7	$	365.4	$	24.1	$	389.5
Less: Legally enforceable master netting agreements							(310.9)						(310.9)
Less: Cash collateral received/paid							(35.8)						(40.2)
Total derivative assets/liabilities							$	62.0					$	38.4

(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 $(3.2) billion and $320.5 billion at June 30, 2022.



			December 31, 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	$	18,068.1	$	150.5	$	8.9	$	159.4	$	156.4	$	4.4	$	160.8
Futures and forwards	2,243.2		1.1		—		1.1		1.0		—		1.0
Written options	1,616.1		—		—		—		28.8		—		28.8
Purchased options	1,673.6		33.1		—		33.1		—		—		—
Foreign exchange contracts
Swaps	1,420.9		28.6		0.2		28.8		30.5		0.2		30.7
Spot, futures and forwards	4,087.2		37.1		0.3		37.4		37.7		0.2		37.9
Written options	287.2		—		—		—		4.1		—		4.1
Purchased options	267.6		4.1		—		4.1		—		—		—
Equity contracts
Swaps	443.8		12.3		—		12.3		14.5		—		14.5
Futures and forwards	113.3		0.5		—		0.5		1.7		—		1.7
Written options	737.7		—		—		—		58.5		—		58.5
Purchased options	657.0		55.9		—		55.9		—		—		—
Commodity contracts
Swaps	47.7		3.1		—		3.1		6.0		—		6.0
Futures and forwards	101.5		2.3		—		2.3		0.3		1.1		1.4
Written options	44.4		—		—		—		2.6		—		2.6
Purchased options	38.3		3.2		—		3.2		—		—		—
Credit derivatives (2)
Purchased credit derivatives:
Credit default swaps	297.0		1.9		—		1.9		4.3		—		4.3
Total return swaps/options	85.3		0.2		—		0.2		1.1		—		1.1
Written credit derivatives:
Credit default swaps	279.8		4.2		—		4.2		1.6		—		1.6
Total return swaps/options	85.3		0.9		—		0.9		0.5		—		0.5
Gross derivative assets/liabilities			$	339.0	$	9.4	$	348.4	$	349.6	$	5.9	$	355.5
Less: Legally enforceable master netting agreements							(282.3)						(282.3)
Less: Cash collateral received/paid							(30.8)						(35.5)
Total derivative assets/liabilities							$	35.3					$	37.7

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

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, 2022 and 2021.



Gains and Losses on Derivatives Designated as Fair Value Hedges



	Three Months Ended June 30, 2022				Three Months Ended June 30, 2021
(Dollars in millions)	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	(7,989)	$	7,974	$	3,484	$	(3,454)
Interest rate and foreign currency risk on long-term debt (2)	(51)		51		5		(5)
Interest rate risk on available-for-sale securities (3)	5,550		(5,600)		(1,863)		1,825

Total	$	(2,490)	$	2,425	$	1,626	$	(1,634)

`	Six Months Ended June 30, 2022				Six Months Ended June 30, 2021
	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	(19,023)	$	19,193	$	(4,579)	$	4,548
Interest rate and foreign currency risk on long-term debt (2)	(60)		59		(23)		21
Interest rate risk on available-for-sale securities (3)	15,135		(15,268)		3,378		(3,325)

Total	$	(3,948)	$	3,984	$	(1,224)	$	1,244

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

(2)For the three and six months ended June 30, 2022, the derivative amount includes gains (losses) of $(13) million and $(34) million in interest expense, $(39) million and $(25) million in market making and similar activities, and $1 million and $(1) million in accumulated other comprehensive income (OCI). For the same periods in 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 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, 2022				December 31, 2021
(Dollars in millions)	Carrying Value		Cumulative Fair Value Adjustments (1)		Carrying Value		Cumulative Fair Value Adjustments (1)

Long-term debt (2)	$	183,885	$	(14,071)	$	181,745	$	3,987
Available-for-sale debt securities (2, 3, 4)	210,017		(12,317)		209,038		(2,294)
Trading account assets (5)	10,326		5		2,067		32

(1)Increase (decrease) to carrying value.

(2)At June 30, 2022 and December 31, 2021, 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 $431 million and $1.5 billion and a decrease in the related asset of $5.6 billion and $1.0 billion, 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, 2022 and December 31, 2021, the amortized cost of the closed portfolios used in these hedging relationships was $25.8 billion and $21.1 billion, of which $10.9 billion and $6.9 billion was designated in the last-of-layer hedging relationship. At June 30, 2022 and December 31, 2021 the cumulative adjustment associated with these hedging relationships was a decrease of $114 million and $172 million.

(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, 2022 and 2021. Of the $9.1 billion after-tax net loss ($12.1 billion pretax) on derivatives in accumulated OCI at June 30, 2022, losses of $2.5 billion after-tax ($3.3 billion pretax) related to both open and terminated cash flow hedges are expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are expected to primarily decrease 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 14 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, 2022				Six Months Ended June 30, 2022
Cash flow hedges
Interest rate risk on variable-rate assets (1)					$	(2,624)	$	(73)	$	(9,398)	$	(81)
Price risk on forecasted MBS purchases (1)					(39)		10		(129)		13
Price risk on certain compensation plans (2)					(67)		7		(94)		19
Total					$	(2,730)	$	(56)	$	(9,621)	$	(49)
Net investment hedges
Foreign exchange risk (3)					$	1,579	$	—	$	1,798	$	—

					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	$	—

(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, 2022, amounts excluded from effectiveness testing and recognized in market making and similar activities were losses of $73 million and $147 million. For the same periods in 2021 amounts excluded from effectiveness testing and recognized in other income were losses of $48 million and $50 million.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three and six months ended June 30, 2022 and 2021. 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)	2022		2021		2022		2021
Interest rate risk on mortgage activities (1, 2)	$	(110)	$	112	$	(257)	$	(59)
Credit risk on loans (2)	16		(14)		13		(31)
Interest rate and foreign currency risk on asset and liability management activities (3)	4,303		(318)		5,613		943
Price risk on certain compensation plans (4)	(756)		318		(1,091)		598

(1)Includes hedges of interest rate risk on mortgage servicing rights and interest rate lock commitments to originate mortgage loans that will be held for sale.

(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

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 six months ended June 30, 2022 and 2021. 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, 2022								Six Months Ended June 30, 2022
Interest rate risk	$	491	$	497	$	82	$	1,070	$	1,080	$	949	$	151	$	2,180
Foreign exchange risk	503		(9)		2		496		1,010		(26)		3		987
Equity risk	1,378		(235)		487		1,630		2,942		(295)		988		3,635
Credit risk	71		539		46		656		310		1,015		60		1,385
Other risk (2)	213		(42)		28		199		504		(75)		61		490
Total sales and trading revenue	$	2,656	$	750	$	645	$	4,051	$	5,846	$	1,568	$	1,263	$	8,677

	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

(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 $504 million and $1.0 billion for the three and six months ended June 30, 2022 compared to $462 million and $1.0 billion for the same periods in 2021.

(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, 2022 and December 31, 2021 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, 2022
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	12	$	117	$	495	$	166	$	790
Non-investment grade	252		924		1,732		902		3,810
Total	264		1,041		2,227		1,068		4,600
Total return swaps/options:
Investment grade	215		354		—		—		569
Non-investment grade	571		3		60		5		639
Total	786		357		60		5		1,208
Total credit derivatives	$	1,050	$	1,398	$	2,287	$	1,073	$	5,808
Credit-related notes:
Investment grade	$	—	$	—	$	—	$	572	$	572
Non-investment grade	—		3		6		1,048		1,057
Total credit-related notes	$	—	$	3	$	6	$	1,620	$	1,629
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	34,468	$	66,032	$	113,893	$	17,731	$	232,124
Non-investment grade	16,213		30,548		53,539		7,776		108,076
Total	50,681		96,580		167,432		25,507		340,200
Total return swaps/options:
Investment grade	62,511		10,007		—		—		72,518
Non-investment grade	36,814		639		1,441		736		39,630
Total	99,325		10,646		1,441		736		112,148
Total credit derivatives	$	150,006	$	107,226	$	168,873	$	26,243	$	452,348

	December 31, 2021
	Carrying Value
Credit default swaps:
Investment grade	$	—	$	5	$	79	$	49	$	133
Non-investment grade	34		250		453		769		1,506
Total	34		255		532		818		1,639
Total return swaps/options:
Investment grade	35		388		—		—		423
Non-investment grade	105		—		16		—		121
Total	140		388		16		—		544
Total credit derivatives	$	174	$	643	$	548	$	818	$	2,183
Credit-related notes:
Investment grade	$	—	$	—	$	36	$	412	$	448
Non-investment grade	5		—		9		1,334		1,348
Total credit-related notes	$	5	$	—	$	45	$	1,746	$	1,796
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	34,503	$	66,334	$	73,444	$	17,844	$	192,125
Non-investment grade	16,119		29,233		34,356		7,961		87,669
Total	50,622		95,567		107,800		25,805		279,794
Total return swaps/options:
Investment grade	49,626		11,494		78		—		61,198
Non-investment grade	22,621		717		642		73		24,053
Total	72,247		12,211		720		73		85,251
Total credit derivatives	$	122,869	$	107,778	$	108,520	$	25,878	$	365,045

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, 2022 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, 2022

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	566	$	1,030
Bank of America, N.A. and subsidiaries (1)	184		754

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	14	$	778
Collateral posted	5		528

(1)Included in Bank of America Corporation collateral requirements in this table.

Derivative Liability Subject to Unilateral Termination Upon Downgrade



Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade at June 30, 2022

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	566	$	1,030
Bank of America, N.A. and subsidiaries (1)	184		754

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	14	$	778
Collateral posted	5		528

(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, 2022 and 2021. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2021 Annual Report on Form 10-K.



Valuation Adjustments Gains (Losses) on Derivatives (1)

	Three Months Ended June 30
(Dollars in millions)	2022		2021
Derivative assets (CVA)	$	(114)	$	3
Derivative assets/liabilities (FVA)	45		(33)
Derivative liabilities (DVA)	220		(31)

	Six Months Ended June 30
(Dollars in millions)	2022		2021
Derivative assets (CVA)	$	(173)	$	158
Derivative assets/liabilities (FVA)	80		15
Derivative liabilities (DVA)	341		(8)

(1)At June 30, 2022 and December 31, 2021, cumulative CVA reduced the derivative assets balance by $611 million and $438 million, cumulative FVA reduced the net derivative balance by $99 million and $179 million, and cumulative DVA reduced the derivative liabilities balance by $653 million and $312 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, 2022 and December 31, 2021 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 – Securities Financing Agreements, Collateral and Restricted Cash.



Offsetting of Derivatives (1)

	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
(Dollars in billions)	June 30, 2022				December 31, 2021
Interest rate contracts
Over-the-counter	$	140.6	$	135.0	$	171.3	$	166.3
Exchange-traded	0.6		0.1		0.2		—
Over-the-counter cleared	45.9		45.5		22.6		22.5
Foreign exchange contracts
Over-the-counter	112.5		112.4		67.9		70.5
Over-the-counter cleared	1.6		1.4		1.1		1.1
Equity contracts
Over-the-counter	31.0		25.8		29.2		32.9
Exchange-traded	43.9		38.4		38.3		38.4
Commodity contracts
Over-the-counter	14.1		12.8		6.1		7.6
Exchange-traded	3.2		2.8		1.4		1.3
Over-the-counter cleared	0.3		0.3		0.1		0.1
Credit derivatives
Over-the-counter	10.7		8.9		5.2		5.3
Over-the-counter cleared	0.8		0.9		1.8		1.8
Total gross derivative assets/liabilities, before netting
Over-the-counter	308.9		294.9		279.7		282.6
Exchange-traded	47.7		41.3		39.9		39.7
Over-the-counter cleared	48.6		48.1		25.6		25.5
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(259.5)		(263.7)		(250.3)		(254.6)
Exchange-traded	(39.7)		(39.7)		(37.8)		(37.8)
Over-the-counter cleared	(47.5)		(47.7)		(25.0)		(25.4)
Derivative assets/liabilities, after netting	58.5		33.2		32.1		30.0
Other gross derivative assets/liabilities (2)	3.5		5.2		3.2		7.7
Total derivative assets/liabilities	62.0		38.4		35.3		37.7
Less: Financial instruments collateral (3)	(22.3)		(6.4)		(11.8)		(10.6)
Total net derivative assets/liabilities	$	39.7	$	32.0	$	23.5	$	27.1

(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

For more information on offsetting of securities financing agreements, see Note 9 – Securities Financing Agreements, Collateral and Restricted Cash.



Offsetting of Derivatives (1)

	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
(Dollars in billions)	June 30, 2022				December 31, 2021
Interest rate contracts
Over-the-counter	$	140.6	$	135.0	$	171.3	$	166.3
Exchange-traded	0.6		0.1		0.2		—
Over-the-counter cleared	45.9		45.5		22.6		22.5
Foreign exchange contracts
Over-the-counter	112.5		112.4		67.9		70.5
Over-the-counter cleared	1.6		1.4		1.1		1.1
Equity contracts
Over-the-counter	31.0		25.8		29.2		32.9
Exchange-traded	43.9		38.4		38.3		38.4
Commodity contracts
Over-the-counter	14.1		12.8		6.1		7.6
Exchange-traded	3.2		2.8		1.4		1.3
Over-the-counter cleared	0.3		0.3		0.1		0.1
Credit derivatives
Over-the-counter	10.7		8.9		5.2		5.3
Over-the-counter cleared	0.8		0.9		1.8		1.8
Total gross derivative assets/liabilities, before netting
Over-the-counter	308.9		294.9		279.7		282.6
Exchange-traded	47.7		41.3		39.9		39.7
Over-the-counter cleared	48.6		48.1		25.6		25.5
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(259.5)		(263.7)		(250.3)		(254.6)
Exchange-traded	(39.7)		(39.7)		(37.8)		(37.8)
Over-the-counter cleared	(47.5)		(47.7)		(25.0)		(25.4)
Derivative assets/liabilities, after netting	58.5		33.2		32.1		30.0
Other gross derivative assets/liabilities (2)	3.5		5.2		3.2		7.7
Total derivative assets/liabilities	62.0		38.4		35.3		37.7
Less: Financial instruments collateral (3)	(22.3)		(6.4)		(11.8)		(10.6)
Total net derivative assets/liabilities	$	39.7	$	32.0	$	23.5	$	27.1

(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.