Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

v3.24.0.1
Derivatives (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative [Line Items]  
Schedule of Derivative Instruments The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2023 and 2022. 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.
December 31, 2023
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 $ 15,715.2  $ 78.4  $ 7.9  $ 86.3  $ 66.6  $ 18.5  $ 85.1 
Futures and forwards 2,803.8  5.1  —  5.1  7.0  —  7.0 
Written options (2)
1,807.7  —  —  —  31.7  —  31.7 
Purchased options (3)
1,714.9  32.9  —  32.9  —  —  — 
Foreign exchange contracts  
Swaps 1,814.7  41.1  0.2  41.3  38.2  0.5  38.7 
Spot, futures and forwards 3,561.7  37.2  6.1  43.3  40.3  6.2  46.5 
Written options (2)
462.8  —  —  —  6.8  —  6.8 
Purchased options (3)
405.3  6.2  —  6.2  —  —  — 
Equity contracts  
Swaps 427.0  13.3  —  13.3  16.7  —  16.7 
Futures and forwards 136.9  2.1  —  2.1  1.6  —  1.6 
Written options (2)
854.9  —  —  —  50.1  —  50.1 
Purchased options (3)
716.2  44.1  —  44.1  —  —  — 
Commodity contracts    
Swaps 59.0  3.1  —  3.1  4.5  —  4.5 
Futures and forwards 187.8  3.8  —  3.8  3.1  0.4  3.5 
Written options (2)
67.1  —  —  —  3.3  —  3.3 
Purchased options (3)
70.9  3.0  —  3.0  —  —  — 
Credit derivatives (4)
     
Purchased credit derivatives:      
Credit default swaps 312.8  1.7  —  1.7  2.5  —  2.5 
Total return swaps/options 69.4  0.8  —  0.8  1.3  —  1.3 
Written credit derivatives:    
Credit default swaps 289.1  2.2  —  2.2  1.6  —  1.6 
Total return swaps/options 68.6  1.1  —  1.1  0.3  —  0.3 
Gross derivative assets/liabilities $ 276.1  $ 14.2  $ 290.3  $ 275.6  $ 25.6  $ 301.2 
Less: Legally enforceable master netting agreements     (221.6)     (221.6)
Less: Cash collateral received/paid       (29.4)     (36.2)
Total derivative assets/liabilities       $ 39.3      $ 43.4 
(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.
(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.
(4)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 $520 million and $266.5 billion at December 31, 2023.
December 31, 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 $ 18,285.9  $ 138.2  $ 20.7  $ 158.9  $ 120.3  $ 36.7  $ 157.0 
Futures and forwards 2,796.3  8.6  —  8.6  7.8  —  7.8 
Written options (2)
1,657.9  —  —  —  41.4  —  41.4 
Purchased options (3)
1,594.7  42.4  —  42.4  —  —  — 
Foreign exchange contracts            
Swaps 1,509.0  44.0  0.3  44.3  43.3  0.4  43.7 
Spot, futures and forwards 4,159.3  59.9  0.1  60.0  62.1  0.6  62.7 
Written options (2)
392.2  —  —  —  8.1  —  8.1 
Purchased options (3)
362.6  8.3  —  8.3  —  —  — 
Equity contracts              
Swaps 394.0  10.8  —  10.8  12.2  —  12.2 
Futures and forwards 114.6  3.3  —  3.3  1.0  —  1.0 
Written options (2)
746.8  —  —  —  45.0  —  45.0 
Purchased options (3)
671.6  40.9  —  40.9  —  —  — 
Commodity contracts              
Swaps 56.0  5.1  —  5.1  5.3  —  5.3 
Futures and forwards 157.3  3.0  —  3.0  2.3  0.8  3.1 
Written options (2)
59.5  —  —  —  3.3  —  3.3 
Purchased options (3)
61.8  3.6  —  3.6  —  —  — 
Credit derivatives (4)
             
Purchased credit derivatives:              
Credit default swaps 319.9  2.8  —  2.8  1.6  —  1.6 
Total return swaps/options 71.5  0.7  —  0.7  3.0  —  3.0 
Written credit derivatives:            
Credit default swaps 295.2  1.2  —  1.2  2.4  —  2.4 
Total return swaps/options 85.3  4.4  —  4.4  0.9  —  0.9 
Gross derivative assets/liabilities   $ 377.2  $ 21.1  $ 398.3  $ 360.0  $ 38.5  $ 398.5 
Less: Legally enforceable master netting agreements       (315.9)     (315.9)
Less: Cash collateral received/paid       (33.8)     (37.8)
Total derivative assets/liabilities       $ 48.6      $ 44.8 
(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.
(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.
(4)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 $(1.2) billion and $276.9 billion at December 31, 2022.
Gains and Losses on Derivatives Designated as Fair Value Hedges
The table below summarizes information related to fair value hedges for 2023, 2022 and 2021.
Gains and Losses on Derivatives Designated as Fair Value Hedges
Derivative Hedged Item
(Dollars in millions) 2023 2022 2021 2023 2022 2021
Interest rate risk on long-term debt (1)
$ 3,594  $ (26,654) $ (7,018) $ (3,652) $ 26,825  $ 6,838 
Interest rate and foreign currency risk (2)
(17) (120) (90) 27  119  79 
Interest rate risk on available-for-sale securities (3)
(3,518) 21,991  5,203  3,417  (22,280) (5,167)
Price risk on commodity inventory (4)
2  674  —  (2) (674) — 
Total $ 61  $ (4,109) $ (1,905) $ (210) $ 3,990  $ 1,750 
(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2)Represents cross-currency interest rate swaps related to available-for-sale debt securities and long-term debt. For 2023, 2022 and 2021, the derivative amount includes gains (losses) of $6 million, $0 and $0 in interest income, $13 million, $(37) million and $(73) million in interest expense, $(51) million, $(81) million and $0 in market making and similar activities, and $15 million, $(2) million and $(17) million in accumulated OCI, respectively. 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.
(4)Amounts are recorded in market making and similar activities 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
December 31, 2023 December 31, 2022
(Dollars in millions) Carrying Value
Cumulative
Fair Value
Adjustments (1)
Carrying Value
Cumulative
Fair Value
Adjustments (1)
Long-term debt (2)
 $ 203,986  $ (5,767) $ 187,402  $ (21,372)
Available-for-sale debt securities (2, 3, 4)
134,077  (1,793) 167,518  (18,190)
Trading account assets (5)
7,475  414  16,119  146 
(1)Increase (decrease) to carrying value.
(2)At December 31, 2023 and 2022, the cumulative fair value adjustments remaining on long-term debt and available-for-sale debt securities from discontinued hedging relationships resulted in a decrease of $10.5 billion and an increase of $137 million in the related liability and a decrease in the related asset of $5.6 billion and $4.9 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 financial assets in closed portfolios used to designate hedging relationships in which the hedged item is a stated layer that is expected to be remaining at the end of the hedging relationship (i.e. portfolio layer hedging relationship). At December 31, 2023 and 2022, the amortized cost of the closed portfolios used in these hedging relationships was $39.1 billion and $21.4 billion, of which $22.5 billion and $9.2 billion were designated in a portfolio layer hedging relationship. At December 31, 2023 and 2022, the cumulative adjustment associated with these hedging relationships was an increase of $48 million and a decrease of $451 million.
(4)Carrying value represents amortized cost.
(5)Represents hedging activities related to certain commodities inventory.
Cash Flow and Net Investment Hedges
The following table summarizes certain information related to cash flow hedges and net investment hedges for 2023, 2022 and 2021. Of the $8.0 billion after-tax net loss ($10.7 billion pretax) on derivatives in accumulated OCI at December 31, 2023, losses of $3.4 billion after-tax ($4.6 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 open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately ten years. For terminated cash flow hedges, the time period over which the forecasted transactions will be
recognized in interest income is approximately five years, with the aggregated amount beyond this time period being insignificant.
On November 15, 2023, Bloomberg Index Services Limited announced the permanent cessation of the Bloomberg Short-Term Bank Yield Index (BSBY) and all its tenors effective after final publication on November 15, 2024. The Corporation determined that certain forecasted BSBY-indexed interest payments, which had been designated in cash flow hedges, were no longer expected to occur beyond November 15, 2024 as they will transition to a new reference rate. Accordingly, during the fourth quarter of 2023, the Corporation reclassified $2.0 billion of pretax loss from accumulated OCI into market making and similar activities for the amount related to these forecasted transactions.
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
(Dollars in millions, amounts pretax) 2023 2022 2021 2023 2022 2021
Cash flow hedges
Interest rate risk on variable-rate portfolios (1)
$ 1,995  $ (13,492) $ (2,686) $ (3,176) $ (338) $ 148 
Price risk on forecasted MBS purchases (1)
6  (129) (249) (2) 11  26 
Price risk on certain compensation plans (2)
48  (88) 93  25  29  55 
Total $ 2,049  $ (13,709) $ (2,842) $ (3,153) $ (298) $ 229 
Net investment hedges
Foreign exchange risk (3)
$ (808) $ 1,710  $ 1,451  $ 143  $ 3  $ 23 
(1)Amounts reclassified from accumulated OCI are recorded in interest income and market making and similar activities 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. Amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $195 million and losses of $38 million and $123 million in 2023, 2022 and 2021, respectively.
Other Risk Management Derivatives The table below presents gains (losses) on these derivatives for 2023, 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
(Dollars in millions) 2023 2022 2021
Interest rate risk on mortgage activities (1, 2)
$ 16  $ (326) $ (18)
Credit risk on loans (2)
(70) (37) (25)
Interest rate and foreign currency risk on asset and liability management activities (3)
777  4,713  1,757 
Price risk on certain compensation plans (4)
584  (1,073) 917 
(1)Includes hedges of interest rate risk on MSRs and IRLCs 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. For 2023, includes $447 million of positive fair value adjustments related to the interest rate swaps that occurred after de-designation of BSBY hedges and prior to re-designation of the interest rate swaps into new hedges.
(4)Gains (losses) on these derivatives are recorded in compensation and benefits expense.
Schedule of Derivative Instruments Included in Trading Activities
The following table, 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 2023, 2022 and 2021. This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 23 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The following table 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) 2023
Interest rate risk $ 3,192  $ 366  $ 402  $ 3,960 
Foreign exchange risk 1,800  149  87  2,036 
Equity risk 6,628  (1,955) 1,774  6,447 
Credit risk 1,205  2,462  340  4,007 
Other risk (2)
602  (155) (67) 380 
Total sales and trading revenue
 $ 13,427  $ 867  $ 2,536  $ 16,830 
2022
Interest rate risk $ 1,919  $ 1,619  $ 392  $ 3,930 
Foreign exchange risk 1,981  46  (44) 1,983 
Equity risk 6,077  (1,288) 1,757  6,546 
Credit risk 592  2,228  177  2,997 
Other risk (2)
835  (171) 15  679 
Total sales and trading revenue
 $ 11,404  $ 2,434  $ 2,297  $ 16,135 
2021
Interest rate risk $ 523  $ 1,794  $ 217  $ 2,534 
Foreign exchange risk 1,505  (80) 14  1,439 
Equity risk 4,581  (5) 1,834  6,410 
Credit risk 1,390  1,684  556  3,630 
Other risk (2)
759  (128) 124  755 
Total sales and trading revenue $ 8,758  $ 3,265  $ 2,745  $ 14,768 
(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 $2.0 billion, $2.0 billion and $1.9 billion in 2023, 2022 and 2021, respectively.
(2)Includes commodity risk.
Disclosure of Credit Derivatives
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2023 and 2022 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
December 31, 2023
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ —  $ 11  $ 26  $ 20  $ 57 
Non-investment grade 38  277  601  595  1,511 
Total 38  288  627  615  1,568 
Total return swaps/options:          
Investment grade 59  —  —  —  59 
Non-investment grade 149  69  56  5  279 
Total 208  69  56  5  338 
Total credit derivatives $ 246  $ 357  $ 683  $ 620  $ 1,906 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 859  $ 859 
Non-investment grade —  5  16  1,103  1,124 
Total credit-related notes $ —  $ 5  $ 16  $ 1,962  $ 1,983 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 33,750  $ 65,015  $ 83,313  $ 17,023  $ 199,101 
Non-investment grade 18,061  32,155  33,934  5,827  89,977 
Total 51,811  97,170  117,247  22,850  289,078 
Total return swaps/options:          
Investment grade 40,515  1,503  1,561  23  43,602 
Non-investment grade 20,694  1,414  1,907  988  25,003 
Total 61,209  2,917  3,468  1,011  68,605 
Total credit derivatives $ 113,020  $ 100,087  $ 120,715  $ 23,861  $ 357,683 
December 31, 2022
Carrying Value
Credit default swaps:
Investment grade $ 2  $ 25  $ 133  $ 34  $ 194 
Non-investment grade 120  516  870  697  2,203 
Total 122  541  1,003  731  2,397 
Total return swaps/options:          
Investment grade 55  336  —  —  391 
Non-investment grade 332  9  132  10  483 
Total 387  345  132  10  874 
Total credit derivatives $ 509  $ 886  $ 1,135  $ 741  $ 3,271 
Credit-related notes:          
Investment grade $ —  $ —  $ 19  $ 1,017  $ 1,036 
Non-investment grade —  7  6  1,035  1,048 
Total credit-related notes $ —  $ 7  $ 25  $ 2,052  $ 2,084 
  Maximum Payout/Notional
Credit default swaps:
Investment grade $ 34,670  $ 66,170  $ 93,237  $ 18,677  $ 212,754 
Non-investment grade 15,229  29,629  30,891  6,662  82,411 
Total 49,899  95,799  124,128  25,339  295,165 
Total return swaps/options:          
Investment grade 38,722  10,407  —  —  49,129 
Non-investment grade 32,764  500  2,054  897  36,215 
Total 71,486  10,907  2,054  897  85,344 
Total credit derivatives $ 121,385  $ 106,706  $ 126,182  $ 26,236  $ 380,509 
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 December 31, 2023 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 December 31, 2023
(Dollars in millions) One
Incremental
 Notch		 Second
Incremental
 Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 134  $ 902 
Bank of America, N.A. and subsidiaries (1)
45  729 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 7  $ 36 
Collateral posted 6  23 
(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 amount of additional collateral that would have been contractually required by derivative contracts and other trading agreements at December 31, 2023 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 December 31, 2023
(Dollars in millions) One
Incremental
 Notch		 Second
Incremental
 Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 134  $ 902 
Bank of America, N.A. and subsidiaries (1)
45  729 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 7  $ 36 
Collateral posted 6  23 
(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 2023, 2022 and 2021. CVA gains reduce the cumulative CVA thereby increasing the derivative assets balance. DVA gains increase the cumulative DVA thereby decreasing the derivative liabilities balance. CVA and DVA losses have the opposite impact. FVA gains related to derivative assets reduce the cumulative FVA thereby increasing the derivative assets balance. FVA gains related to derivative liabilities increase the cumulative FVA thereby decreasing the derivative liabilities balance. FVA losses have the opposite impact.
Valuation Adjustments Gains (Losses) on Derivatives (1)
(Dollars in millions) 2023 2022 2021
Derivative assets (CVA) $ 159  $ (80) $ 208 
Derivative assets/liabilities (FVA)
 (33) 125  (2)
Derivative liabilities (DVA) (207) 194  3 
(1)At December 31, 2023, 2022 and 2021, cumulative CVA reduced the derivative assets balance by $359 million, $518 million and $438 million, cumulative FVA reduced the net derivative balance by $87 million, $54 million and $179 million, and cumulative DVA reduced the derivative liabilities balance by $299 million, $506 million and $312 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 December 31, 2023 and 2022 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 – Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash.
Offsetting of Derivatives (1)
Derivative
Assets		 Derivative
 Liabilities		 Derivative
Assets		 Derivative
 Liabilities
(Dollars in billions) December 31, 2023 December 31, 2022
Interest rate contracts        
Over-the-counter $ 119.2  $ 117.7  $ 138.4  $ 132.3 
Exchange-traded 0.2  0.2  0.4  0.1 
Over-the-counter cleared 4.4  3.3  71.4  71.1 
Foreign exchange contracts
Over-the-counter 89.7  90.4  109.7  110.6 
Over-the-counter cleared 0.2  0.2  1.3  1.2 
Equity contracts
Over-the-counter 24.7  32.2  21.5  22.6 
Exchange-traded 34.4  33.9  33.0  33.8 
Commodity contracts
Over-the-counter 6.6  8.4  8.3  9.3 
Exchange-traded 2.3  2.1  2.4  1.9 
Over-the-counter cleared 0.4  0.5  0.3  0.3 
Credit derivatives
Over-the-counter 5.7  5.6  8.9  7.5 
Total gross derivative assets/liabilities, before netting
Over-the-counter 245.9  254.3  286.8  282.3 
Exchange-traded 36.9  36.2  35.8  35.8 
Over-the-counter cleared 5.0  4.0  73.0  72.6 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (212.1) (218.9) (243.8) (248.2)
Exchange-traded (35.4) (35.4) (33.5) (33.5)
Over-the-counter cleared (3.5) (3.5) (72.4) (72.0)
Derivative assets/liabilities, after netting 36.8  36.7  45.9  37.0 
Other gross derivative assets/liabilities (2)
2.5  6.7  2.7  7.8 
Total derivative assets/liabilities 39.3  43.4  48.6  44.8 
Less: Financial instruments collateral (3)
(15.5) (13.0) (18.5) (7.4)
Total net derivative assets/liabilities $ 23.8  $ 30.4  $ 30.1  $ 37.4 
(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 December 31, 2023 and 2022 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 – Securities Financing Agreements, Short-term Borrowings, Collateral and Restricted Cash.
Offsetting of Derivatives (1)
Derivative
Assets		 Derivative
 Liabilities		 Derivative
Assets		 Derivative
 Liabilities
(Dollars in billions) December 31, 2023 December 31, 2022
Interest rate contracts        
Over-the-counter $ 119.2  $ 117.7  $ 138.4  $ 132.3 
Exchange-traded 0.2  0.2  0.4  0.1 
Over-the-counter cleared 4.4  3.3  71.4  71.1 
Foreign exchange contracts
Over-the-counter 89.7  90.4  109.7  110.6 
Over-the-counter cleared 0.2  0.2  1.3  1.2 
Equity contracts
Over-the-counter 24.7  32.2  21.5  22.6 
Exchange-traded 34.4  33.9  33.0  33.8 
Commodity contracts
Over-the-counter 6.6  8.4  8.3  9.3 
Exchange-traded 2.3  2.1  2.4  1.9 
Over-the-counter cleared 0.4  0.5  0.3  0.3 
Credit derivatives
Over-the-counter 5.7  5.6  8.9  7.5 
Total gross derivative assets/liabilities, before netting
Over-the-counter 245.9  254.3  286.8  282.3 
Exchange-traded 36.9  36.2  35.8  35.8 
Over-the-counter cleared 5.0  4.0  73.0  72.6 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (212.1) (218.9) (243.8) (248.2)
Exchange-traded (35.4) (35.4) (33.5) (33.5)
Over-the-counter cleared (3.5) (3.5) (72.4) (72.0)
Derivative assets/liabilities, after netting 36.8  36.7  45.9  37.0 
Other gross derivative assets/liabilities (2)
2.5  6.7  2.7  7.8 
Total derivative assets/liabilities 39.3  43.4  48.6  44.8 
Less: Financial instruments collateral (3)
(15.5) (13.0) (18.5) (7.4)
Total net derivative assets/liabilities $ 23.8  $ 30.4  $ 30.1  $ 37.4 
(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.