Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.24.3
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2024
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 September 30, 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.
September 30, 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 $ 22,719.7  $ 78.0  $ 7.3  $ 85.3  $ 70.7  $ 14.0  $ 84.7 
Futures and forwards 3,876.7  2.0  —  2.0  2.2  —  2.2 
Written options (2)
1,963.2  —  —  —  27.5  —  27.5 
Purchased options (3)
1,928.7  29.0  —  29.0  —  —  — 
Foreign exchange contracts  
Swaps 2,211.1  37.4  —  37.4  35.9  —  35.9 
Spot, futures and forwards 5,403.9  46.8  0.1  46.9  48.3  0.7  49.0 
Written options (2)
613.7  —  —  —  7.2  —  7.2 
Purchased options (3)
564.8  6.8  —  6.8  —  —  — 
Equity contracts  
Swaps 499.5  15.4  —  15.4  21.9  —  21.9 
Futures and forwards 154.9  2.5  —  2.5  1.6  —  1.6 
Written options (2)
1,016.1  —  —  —  76.0  —  76.0 
Purchased options (3)
929.1  65.1  —  65.1  —  —  — 
Commodity contracts    
Swaps 72.6  3.2  —  3.2  4.4  —  4.4 
Futures and forwards 205.3  5.9  —  5.9  5.0  0.1  5.1 
Written options (2)
77.9  —  —  —  3.2  —  3.2 
Purchased options (3)
79.4  2.8  —  2.8  —  —  — 
Credit derivatives (4)
     
Purchased credit derivatives:      
Credit default swaps 538.9  1.5  —  1.5  2.8  —  2.8 
Total return swaps/options 114.8  0.4  —  0.4  1.0  —  1.0 
Written credit derivatives:    
Credit default swaps 514.8  2.2  —  2.2  1.4  —  1.4 
Total return swaps/options 91.4  0.9  —  0.9  0.1  —  0.1 
Gross derivative assets/liabilities $ 299.9  $ 7.4  $ 307.3  $ 309.2  $ 14.8  $ 324.0 
Less: Legally enforceable master netting agreements     (246.7)     (246.7)
Less: Cash collateral received/paid       (26.4)     (34.2)
Total derivative assets/liabilities       $ 34.2      $ 43.1 
(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 $699 million and $484.2 billion at September 30, 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.
(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.
Gains and Losses on Derivatives and Hedged Items Designated in Fair Value Hedges
The following table summarizes information related to fair value hedges for the three and nine months ended September 30, 2024 and 2023.
Gains and Losses on Derivatives and Hedged Items Designated in Fair Value Hedges
Three Months Ended September 30, 2024 Three Months Ended September 30, 2023
(Dollars in millions) Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ 6,091  $ (6,090) $ (4,339) $ 4,299 
Interest rate and foreign currency risk (2)
(576) 581  114  (113)
Interest rate risk on available-for-sale securities (3)
(6,453) 6,446  1,934  (1,927)
Price risk on commodity inventory (4)
(337) 337  410  (410)
Total $ (1,275) $ 1,274  $ (1,881) $ 1,849 

Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023
Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ 2,501  $ (2,519) $ (4,581) $ 4,510 
Interest rate and foreign currency risk (2)
47  (33) 229  (225)
Interest rate risk on available-for-sale securities (3)
(3,648) 3,620  787  (795)
Price risk on commodity inventory (4)
(723) 723  582  (582)
Total $ (1,823) $ 1,791  $ (2,983) $ 2,908 
(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 and nine months ended September 30, 2024, the derivative amount includes gains (losses) of $(6) million and $11 million in interest income, $(577) million and $20 million in market making and similar activities, and $7 million and $16 million in accumulated other comprehensive income (OCI). For the same periods in 2023, the derivative amount includes gains (losses) of $21 million and $22 million in interest income, $2 million and $9 million in interest expense, $90 million and $195 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.
(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 in fair value hedging relationships, along with the cumulative amount of gains and losses on the hedged assets and liabilities that are included in their carrying value. There is no impact to earnings for the cumulative amount of these fair value hedging adjustments as long as the hedging relationships remain open through the
hedged period. Instead, the open hedges have the effect of synthetically converting the hedged assets and liabilities into variable-rate instruments. If an open hedge is de-designated prior to the derivative’s maturity, any cumulative fair value adjustments at the de-designation date are then amortized or accreted into earnings over the remaining life of the hedged assets or liabilities.
Designated Fair Value Hedged Assets and Liabilities
September 30, 2024 December 31, 2023
(Dollars in millions) Carrying Value
Cumulative
Fair Value
Adjustments (1)
Carrying Value
Cumulative
Fair Value
Adjustments (1)
Long-term debt
 $ 122,287  $ (2,195) $ 203,986  $ (5,767)
Available-for-sale debt securities (2, 3)
232,010  1,720  134,077  (1,793)
Trading account assets (4)
3,792  288  7,475  414 
(1)Increase (decrease) to carrying value.
(2)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 September 30, 2024 and December 31, 2023, the amortized cost of the closed portfolios used in these hedging relationships was $36.5 billion and $39.1 billion, of which $23.8 billion and $22.5 billion were designated in a portfolio layer hedging relationship. At September 30, 2024 and December 31, 2023, the cumulative adjustment associated with these hedging relationships was an increase of $387 million and $48 million.
(3)Carrying value represents amortized cost.
(4)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 the three and nine months ended September 30, 2024 and 2023. Of the
$4.9 billion after-tax net loss ($6.6 billion pretax) on derivatives in accumulated OCI at September 30, 2024, losses of $2.4 billion after-tax ($3.1 billion pretax) related to both open and closed 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 six 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
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 September 30, 2024 Nine Months Ended September 30, 2024
Cash flow hedges
Interest rate risk on variable-rate portfolios (1)
$ 2,863  $ (905) $ 1,808  $ (2,301)
Price risk on forecasted MBS purchases (1)
—  (2) —  (6)
Price risk on certain compensation plans (2)
8  8  27  25 
Total $ 2,871  $ (899) $ 1,835  $ (2,282)
Net investment hedges    
Foreign exchange risk (3)
$ (1,100) $ (140) $ 292  $ (140)
Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023
Cash flow hedges
Interest rate risk on variable-rate portfolios (1)
$ (737) $ (263) $ (1,065) $ (612)
Price risk on forecasted MBS purchases (1)
2  —  6  — 
Price risk on certain compensation plans (2)
(8) 7  28  18 
Total $ (743) $ (256) $ (1,031) $ (594)
Net investment hedges
Foreign exchange risk (3)
$ 802  $ 133  $ 334  $ 136 
(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 nine months ended September 30, 2024, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $72 million and $178 million. For the same periods in 2023, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $36 million and $145 million.
Other Risk Management Derivatives The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 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 September 30 Nine Months Ended September 30
(Dollars in millions) 2024 2023 2024 2023
Interest rate risk on mortgage activities (1, 2)
$ 55  $ (54) $ 15  $ (51)
Credit risk on loans (2)
(15) (7) (30) (47)
Interest rate and foreign currency risk on asset and liability management activities (3)
(1,221) 381  (1,048) 1,040 
Price risk on certain compensation plans (4)
152  (199) 447  184 
(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 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 the three and nine months ended September 30, 2024 and 2023. 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 following table 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 September 30, 2024 Nine Months Ended September 30, 2024
Interest rate risk $ 612  $ 364  $ 90  $ 1,066  $ 2,024  $ 839  $ 275  $ 3,138 
Foreign exchange risk 482  36  48  566  1,368  99  87  1,554 
Equity risk 1,839  (342) 498  1,995  5,540  (1,110) 1,375  5,805 
Credit risk 323  618  142  1,083  1,145  1,822  471  3,438 
Other risk (2)
92  25  (159) (42) 318  85  (190) 213 
Total sales and trading revenue
 $ 3,348  $ 701  $ 619  $ 4,668  $ 10,395  $ 1,735  $ 2,018  $ 14,148 
Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023
Interest rate risk $ 815  $ 80  $ 90  $ 985  $ 2,867  $ 218  $ 301  $ 3,386 
Foreign exchange risk 446  32  17  495  1,355  113  55  1,523 
Equity risk 1,458  (218) 426  1,666  5,116  (1,566) 1,345  4,895 
Credit risk 349  590  93  1,032  1,140  1,865  303  3,308 
Other risk (2)
126  (11) 3  118  521  (153) (8) 360 
Total sales and trading revenue
 $ 3,194  $ 473  $ 629  $ 4,296  $ 10,999  $ 477  $ 1,996  $ 13,472 
(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 $562 million and $1.6 billion for the three and nine months ended September 30, 2024 compared to $474 million and $1.5 billion for the same periods in 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 September 30, 2024 and December 31, 2023 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
September 30, 2024
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ —  $ 1  $ 17  $ 26  $ 44 
Non-investment grade 6  147  745  460  1,358 
Total 6  148  762  486  1,402 
Total return swaps/options:          
Investment grade 27  —  —  —  27 
Non-investment grade 105  —  —  —  105 
Total 132  —  —  —  132 
Total credit derivatives $ 138  $ 148  $ 762  $ 486  $ 1,534 
Credit-related notes:          
Investment grade $ —  $ —  $ 4  $ 599  $ 603 
Non-investment grade 4  1  20  1,151  1,176 
Total credit-related notes $ 4  $ 1  $ 24  $ 1,750  $ 1,779 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 40,745  $ 86,391  $ 214,340  $ 53,247  $ 394,723 
Non-investment grade 15,779  32,145  60,171  11,999  120,094 
Total 56,524  118,536  274,511  65,246  514,817 
Total return swaps/options:          
Investment grade 62,281  1,502  1,287  334  65,404 
Non-investment grade 23,181  2,043  643  103  25,970 
Total 85,462  3,545  1,930  437  91,374 
Total credit derivatives $ 141,986  $ 122,081  $ 276,441  $ 65,683  $ 606,191 
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 September 30, 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 September 30, 2024
(Dollars in millions) One
Incremental
 Notch		 Second
Incremental
 Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 116  $ 740 
Bank of America, N.A. and subsidiaries (1)
37  622 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 6  $ 64 
Collateral posted 4  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 September 30, 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 September 30, 2024
(Dollars in millions) One
Incremental
 Notch		 Second
Incremental
 Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 116  $ 740 
Bank of America, N.A. and subsidiaries (1)
37  622 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 6  $ 64 
Collateral posted 4  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 the three and nine months ended September 30, 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 September 30
(Dollars in millions) 2024 2023
Derivative assets (CVA) $ (32) $ 30 
Derivative assets/liabilities (FVA)
 (12) 21 
Derivative liabilities (DVA) 2  18 
Nine Months Ended September 30
(Dollars in millions) 2024 2023
Derivative assets (CVA) $ (1) $ 151 
Derivative assets/liabilities (FVA)
 (27) 4 
Derivative liabilities (DVA) (40) (66)
(1)At September 30, 2024 and December 31, 2023, cumulative CVA reduced the derivative assets balance by $360 million and $359 million, cumulative FVA reduced the net derivative balance by $114 million and $87 million, and cumulative DVA reduced the derivative liabilities balance by $259 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 September 30, 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) September 30, 2024 December 31, 2023
Interest rate contracts        
Over-the-counter $ 113.1  $ 110.5  $ 119.2  $ 117.7 
Exchange-traded 0.2  0.2  0.2  0.2 
Over-the-counter cleared 2.3  2.0  4.4  3.3 
Foreign exchange contracts
Over-the-counter 89.9  90.4  89.7  90.4 
Over-the-counter cleared 0.1  0.1  0.2  0.2 
Equity contracts
Over-the-counter 29.1  42.6  24.7  32.2 
Exchange-traded 53.3  55.5  34.4  33.9 
Commodity contracts
Over-the-counter 8.8  9.6  6.6  8.4 
Exchange-traded 2.0  2.1  2.3  2.1 
Over-the-counter cleared 0.3  0.4  0.4  0.5 
Credit derivatives
Over-the-counter 4.9  5.2  5.7  5.6 
Total gross derivative assets/liabilities, before netting
Over-the-counter 245.8  258.3  245.9  254.3 
Exchange-traded 55.5  57.8  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 (216.6) (224.4) (212.1) (218.9)
Exchange-traded (54.1) (54.1) (35.4) (35.4)
Over-the-counter cleared (2.4) (2.4) (3.5) (3.5)
Derivative assets/liabilities, after netting 30.9  37.7  36.8  36.7 
Other gross derivative assets/liabilities (2)
3.3  5.4  2.5  6.7 
Total derivative assets/liabilities 34.2  43.1  39.3  43.4 
Less: Financial instruments collateral (3)
(15.3) (16.3) (15.5) (13.0)
Total net derivative assets/liabilities $ 18.9  $ 26.8  $ 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
The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 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) September 30, 2024 December 31, 2023
Interest rate contracts        
Over-the-counter $ 113.1  $ 110.5  $ 119.2  $ 117.7 
Exchange-traded 0.2  0.2  0.2  0.2 
Over-the-counter cleared 2.3  2.0  4.4  3.3 
Foreign exchange contracts
Over-the-counter 89.9  90.4  89.7  90.4 
Over-the-counter cleared 0.1  0.1  0.2  0.2 
Equity contracts
Over-the-counter 29.1  42.6  24.7  32.2 
Exchange-traded 53.3  55.5  34.4  33.9 
Commodity contracts
Over-the-counter 8.8  9.6  6.6  8.4 
Exchange-traded 2.0  2.1  2.3  2.1 
Over-the-counter cleared 0.3  0.4  0.4  0.5 
Credit derivatives
Over-the-counter 4.9  5.2  5.7  5.6 
Total gross derivative assets/liabilities, before netting
Over-the-counter 245.8  258.3  245.9  254.3 
Exchange-traded 55.5  57.8  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 (216.6) (224.4) (212.1) (218.9)
Exchange-traded (54.1) (54.1) (35.4) (35.4)
Over-the-counter cleared (2.4) (2.4) (3.5) (3.5)
Derivative assets/liabilities, after netting 30.9  37.7  36.8  36.7 
Other gross derivative assets/liabilities (2)
3.3  5.4  2.5  6.7 
Total derivative assets/liabilities 34.2  43.1  39.3  43.4 
Less: Financial instruments collateral (3)
(15.3) (16.3) (15.5) (13.0)
Total net derivative assets/liabilities $ 18.9  $ 26.8  $ 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.