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)

3 Months Ended

Mar. 31, 2024

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2024 and December 31, 2023. 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, 2024
			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	$	18,724.5	$	75.6	$	8.1	$	83.7	$	61.9	$	19.8	$	81.7
Futures and forwards	3,410.1		1.5		—		1.5		1.5		—		1.5
Written options (2)	1,890.9		—		—		—		31.5		—		31.5
Purchased options (3)	1,813.2		32.4		—		32.4		—		—		—
Foreign exchange contracts
Swaps	1,863.3		37.3		0.3		37.6		35.2		0.2		35.4
Spot, futures and forwards	4,995.8		28.9		6.1		35.0		28.1		6.0		34.1
Written options (2)	513.5		—		—		—		6.0		—		6.0
Purchased options (3)	471.2		5.9		—		5.9		—		—		—
Equity contracts
Swaps	461.9		13.6		—		13.6		17.0		—		17.0
Futures and forwards	148.7		2.7		—		2.7		1.9		—		1.9
Written options (2)	927.7		—		—		—		65.5		—		65.5
Purchased options (3)	806.2		54.8		—		54.8		—		—		—
Commodity contracts
Swaps	61.6		3.1		—		3.1		4.6		—		4.6
Futures and forwards	191.4		4.9		—		4.9		4.1		0.5		4.6
Written options (2)	72.6		—		—		—		3.0		—		3.0
Purchased options (3)	79.1		2.7		—		2.7		—		—		—
Credit derivatives (4)
Purchased credit derivatives:
Credit default swaps	391.3		1.8		—		1.8		2.7		—		2.7
Total return swaps/options	85.1		0.8		—		0.8		0.9		—		0.9
Written credit derivatives:
Credit default swaps	366.4		2.2		—		2.2		1.5		—		1.5
Total return swaps/options	78.6		1.0		—		1.0		0.4		—		0.4
Gross derivative assets/liabilities			$	269.2	$	14.5	$	283.7	$	265.8	$	26.5	$	292.3
Less: Legally enforceable master netting agreements							(219.6)						(219.6)
Less: Cash collateral received/paid							(27.9)						(32.3)
Total derivative assets/liabilities							$	36.2					$	40.4

(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 $571 million and $337.8 billion at March 31, 2024.



			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.

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, 2024 and 2023.



Gains and Losses on Derivatives Designated as Fair Value Hedges

	Three Months Ended March 31
	2024				2023

(Dollars in millions)	Derivative		Hedged Item		Derivative		Hedged Item
Interest rate risk on long-term debt (1)	$	(3,104)	$	3,090	$	3,308	$	(3,305)
Interest rate and foreign currency risk (2)	344		(329)		8		(8)
Interest rate risk on available-for-sale securities (3)	2,490		(2,502)		(3,027)		3,016
Price risk on commodity inventory (4)	(220)		220		(519)		519
Total	$	(490)	$	479	$	(230)	$	222

(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 the three months ended March 31, 2024 and 2023, the derivative amount includes gains (losses) of $9 million and $0 in interest income, $0 and $8 million in interest expense, $324 million and $1 million in market making and similar activities, and $11 million and $(1) million in accumulated other comprehensive income (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.

(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 following table 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

	March 31, 2024				December 31, 2023
(Dollars in millions)	Carrying Value		Cumulative Fair Value Adjustments (1)		Carrying Value		Cumulative Fair Value Adjustments (1)

Long-term debt (2)	$	197,036	$	(8,615)	$	203,986	$	(5,767)
Available-for-sale debt securities (2, 3, 4)	181,553		(4,598)		134,077		(1,793)
Trading account assets (5)	5,303		397		7,475		414

(1)Increase (decrease) to carrying value.

(2)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 in the related liability at both March 31, 2024 and December 31, 2023, and a decrease in the related asset of $5.3 billion and $5.6 billion at March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023, the amortized cost of the closed portfolios used in these hedging relationships was $37.9 billion and $39.1 billion, of which $22.2 billion and $22.5 billion were designated in a portfolio layer hedging relationship. At March 31, 2024 and December 31, 2023, the cumulative adjustment associated with these hedging relationships was a decrease of $339 million and an increase of $48 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 months ended March 31, 2024 and 2023. Of the $8.4 billion after-tax net loss ($11.2 billion pretax) on derivatives in accumulated OCI at March 31, 2024, losses of $3.9 billion after-tax ($5.2 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 nine 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.



Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges

					Three Months Ended March 31
					2024				2023
(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 portfolios (1)					$	(1,090)	$	(514)	$	2,550	$	(160)
Price risk on forecasted MBS purchases (1)					—		(2)		2		—
Price risk on certain compensation plans (2)					14		9		17		5
Total					$	(1,076)	$	(507)	$	2,569	$	(155)
Net investment hedges
Foreign exchange risk (3)					$	797	$	—	$	(377)	$	—

(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, 2024 and 2023, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $66 million and $33 million.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three months ended March 31, 2024 and 2023. 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)	2024		2023
Interest rate risk on mortgage activities (1, 2)	$	(30)	$	26
Credit risk on loans (2)	(19)		(28)
Interest rate and foreign currency risk on asset and liability management activities (3)	91		(122)
Price risk on certain compensation plans (4)	242		195

(1)Includes 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.

(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 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, 2024
Interest rate risk		$	853	$	230	$	77	$	1,160
Foreign exchange risk		437		34		23		494
Equity risk		1,864		(429)		427		1,862
Credit risk		551		604		131		1,286
Other risk (2)		125		29		(13)		141
Total sales and trading revenue		$	3,830	$	468	$	645	$	4,943

	Three Months Ended March 31, 2023
Interest rate risk		$	1,244	$	99	$	86	$	1,429
Foreign exchange risk		402		49		24		475
Equity risk		2,000		(838)		460		1,622
Credit risk		480		666		115		1,261
Other risk (2)		272		(78)		(4)		190
Total sales and trading revenue		$	4,398	$	(102)	$	681	$	4,977

(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 $494 million and $529 million for the three months ended March 31, 2024 and 2023.

(2)Includes commodity risk.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at March 31, 2024 and December 31, 2023 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
	March 31, 2024
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	1	$	7	$	15	$	21	$	44
Non-investment grade	23		237		670		552		1,482
Total	24		244		685		573		1,526
Total return swaps/options:
Investment grade	18		—		—		—		18
Non-investment grade	237		63		70		7		377
Total	255		63		70		7		395
Total credit derivatives	$	279	$	307	$	755	$	580	$	1,921
Credit-related notes:
Investment grade	$	—	$	—	$	10	$	558	$	568
Non-investment grade	—		6		18		1,012		1,036
Total credit-related notes	$	—	$	6	$	28	$	1,570	$	1,604
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	37,594	$	68,197	$	114,691	$	49,572	$	270,054
Non-investment grade	16,093		31,315		36,608		12,291		96,307
Total	53,687		99,512		151,299		61,863		366,361
Total return swaps/options:
Investment grade	49,019		1,770		1,378		894		53,061
Non-investment grade	20,858		1,544		2,205		889		25,496
Total	69,877		3,314		3,583		1,783		78,557
Total credit derivatives	$	123,564	$	102,826	$	154,882	$	63,646	$	444,918

	December 31, 2023
	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

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, 2024 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 March 31, 2024

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	132	$	878
Bank of America, N.A. and subsidiaries (1)	40		708

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	5	$	158
Collateral posted	4		63

(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 March 31, 2024

(Dollars in millions)	One Incremental Notch		Second Incremental Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation	$	132	$	878
Bank of America, N.A. and subsidiaries (1)	40		708

Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities	$	5	$	158
Collateral posted	4		63

(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 months ended March 31, 2024 and 2023. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.



Valuation Adjustments Gains (Losses) on Derivatives (1)

	Three Months Ended March 31
(Dollars in millions)	2024		2023
Derivative assets (CVA)	$	62	$	12
Derivative assets/liabilities (FVA)	14		(43)
Derivative liabilities (DVA)	(69)		2

(1)At March 31, 2024 and December 31, 2023, cumulative CVA reduced the derivative assets balance by $297 million and $359 million, cumulative FVA reduced the net derivative balance by $73 million and $87 million, and cumulative DVA reduced the derivative liabilities balance by $230 million and $299 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 March 31, 2024 and December 31, 2023 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)	March 31, 2024				December 31, 2023
Interest rate contracts
Over-the-counter	$	115.1	$	110.6	$	119.2	$	117.7
Exchange-traded	0.1		0.1		0.2		0.2
Over-the-counter cleared	2.0		1.8		4.4		3.3
Foreign exchange contracts
Over-the-counter	77.4		74.6		89.7		90.4
Over-the-counter cleared	0.2		0.2		0.2		0.2
Equity contracts
Over-the-counter	26.4		36.6		24.7		32.2
Exchange-traded	44.2		46.1		34.4		33.9
Commodity contracts
Over-the-counter	7.6		9.6		6.6		8.4
Exchange-traded	2.0		1.9		2.3		2.1
Over-the-counter cleared	0.5		0.5		0.4		0.5
Credit derivatives
Over-the-counter	5.6		5.4		5.7		5.6

Total gross derivative assets/liabilities, before netting
Over-the-counter	232.1		236.8		245.9		254.3
Exchange-traded	46.3		48.1		36.9		36.2
Over-the-counter cleared	2.7		2.5		5.0		4.0
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(199.9)		(204.3)		(212.1)		(218.9)
Exchange-traded	(45.3)		(45.3)		(35.4)		(35.4)
Over-the-counter cleared	(2.3)		(2.3)		(3.5)		(3.5)
Derivative assets/liabilities, after netting	33.6		35.5		36.8		36.7
Other gross derivative assets/liabilities (2)	2.6		4.9		2.5		6.7
Total derivative assets/liabilities	36.2		40.4		39.3		43.4
Less: Financial instruments collateral (3)	(15.8)		(14.1)		(15.5)		(13.0)
Total net derivative assets/liabilities	$	20.4	$	26.3	$	23.8	$	30.4

(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

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)	March 31, 2024				December 31, 2023
Interest rate contracts
Over-the-counter	$	115.1	$	110.6	$	119.2	$	117.7
Exchange-traded	0.1		0.1		0.2		0.2
Over-the-counter cleared	2.0		1.8		4.4		3.3
Foreign exchange contracts
Over-the-counter	77.4		74.6		89.7		90.4
Over-the-counter cleared	0.2		0.2		0.2		0.2
Equity contracts
Over-the-counter	26.4		36.6		24.7		32.2
Exchange-traded	44.2		46.1		34.4		33.9
Commodity contracts
Over-the-counter	7.6		9.6		6.6		8.4
Exchange-traded	2.0		1.9		2.3		2.1
Over-the-counter cleared	0.5		0.5		0.4		0.5
Credit derivatives
Over-the-counter	5.6		5.4		5.7		5.6

Total gross derivative assets/liabilities, before netting
Over-the-counter	232.1		236.8		245.9		254.3
Exchange-traded	46.3		48.1		36.9		36.2
Over-the-counter cleared	2.7		2.5		5.0		4.0
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(199.9)		(204.3)		(212.1)		(218.9)
Exchange-traded	(45.3)		(45.3)		(35.4)		(35.4)
Over-the-counter cleared	(2.3)		(2.3)		(3.5)		(3.5)
Derivative assets/liabilities, after netting	33.6		35.5		36.8		36.7
Other gross derivative assets/liabilities (2)	2.6		4.9		2.5		6.7
Total derivative assets/liabilities	36.2		40.4		39.3		43.4
Less: Financial instruments collateral (3)	(15.8)		(14.1)		(15.5)		(13.0)
Total net derivative assets/liabilities	$	20.4	$	26.3	$	23.8	$	30.4

(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.