Bank of America Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

Derivatives (Tables)

12 Months Ended

Dec. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2016 and 2015. 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 the cash collateral received or paid.




			December 31, 2016
			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	$	16,977.7	$	385.0	$	5.9	$	390.9		$	386.9	$	2.0	$	388.9
Futures and forwards	5,609.5		2.2		—		2.2			2.1		—		2.1
Written options	1,146.2		—		—		—			52.2		—		52.2
Purchased options	1,178.7		53.3		—		53.3			—		—		—
Foreign exchange contracts
Swaps	1,828.6		54.6		4.2		58.8			58.8		6.2		65.0
Spot, futures and forwards	3,410.7		58.8		1.7		60.5			56.6		0.8		57.4
Written options	356.6		—		—		—			9.4		—		9.4
Purchased options	342.4		8.9		—		8.9			—		—		—
Equity contracts
Swaps	189.7		3.4		—		3.4			4.0		—		4.0
Futures and forwards	68.7		0.9		—		0.9			0.9		—		0.9
Written options	431.5		—		—		—			21.4		—		21.4
Purchased options	385.5		23.9		—		23.9			—		—		—
Commodity contracts
Swaps	48.2		2.5		—		2.5			5.1		—		5.1
Futures and forwards	49.1		3.6		—		3.6			0.5		—		0.5
Written options	29.3		—		—		—			1.9		—		1.9
Purchased options	28.9		2.0		—		2.0			—		—		—
Credit derivatives
Purchased credit derivatives:
Credit default swaps	604.0		8.1		—		8.1			10.3		—		10.3
Total return swaps/other	21.2		0.4		—		0.4			1.5		—		1.5
Written credit derivatives:
Credit default swaps	614.4		10.7		—		10.7			7.5		—		7.5
Total return swaps/other	25.4		1.0		—		1.0			0.2		—		0.2
Gross derivative assets/liabilities			$	619.3	$	11.8	$	631.1		$	619.3	$	9.0	$	628.3
Less: Legally enforceable master netting agreements							(545.3		)					(545.3		)
Less: Cash collateral received/paid							(43.3		)					(43.5		)
Total derivative assets/liabilities							$	42.5						$	39.5


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




			December 31, 2015
			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	$	21,706.8	$	439.6	$	7.4	$	447.0		$	440.8	$	1.2	$	442.0
Futures and forwards	6,237.6		1.1		—		1.1			1.3		—		1.3
Written options	1,313.8		—		—		—			57.6		—		57.6
Purchased options	1,393.3		58.9		—		58.9			—		—		—
Foreign exchange contracts
Swaps	2,149.9		49.2		0.9		50.1			52.2		2.8		55.0
Spot, futures and forwards	4,104.3		46.0		1.2		47.2			45.8		0.3		46.1
Written options	467.2		—		—		—			10.6		—		10.6
Purchased options	439.9		10.2		—		10.2			—		—		—
Equity contracts
Swaps	201.2		3.3		—		3.3			3.8		—		3.8
Futures and forwards	72.8		2.1		—		2.1			1.2		—		1.2
Written options	347.6		—		—		—			21.1		—		21.1
Purchased options	320.3		23.8		—		23.8			—		—		—
Commodity contracts
Swaps	47.0		4.7		—		4.7			7.1		—		7.1
Futures and forwards	45.6		3.8		—		3.8			0.7		—		0.7
Written options	36.6		—		—		—			4.4		—		4.4
Purchased options	37.4		4.2		—		4.2			—		—		—
Credit derivatives
Purchased credit derivatives:
Credit default swaps	928.3		14.4		—		14.4			14.8		—		14.8
Total return swaps/other	26.4		0.2		—		0.2			1.9		—		1.9
Written credit derivatives:
Credit default swaps	924.1		15.3		—		15.3			13.1		—		13.1
Total return swaps/other	39.7		2.3		—		2.3			0.4		—		0.4
Gross derivative assets/liabilities			$	679.1	$	9.5	$	688.6		$	676.8	$	4.3	$	681.1
Less: Legally enforceable master netting agreements							(596.7		)					(596.7		)
Less: Cash collateral received/paid							(41.9		)					(45.9		)
Total derivative assets/liabilities							$	50.0						$	38.5


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

Derivative [Line Items]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below summarizes information related to fair value hedges for 2016, 2015 and 2014, including hedges of interest rate risk on long-term debt that were acquired as part of a business combination and redesignated at that time. At redesignation, the fair value of the derivatives was positive. As the derivatives mature, the fair value will approach zero. As a result, ineffectiveness will occur and the fair value changes in the derivatives and the long-term debt being hedged may be directionally the same in certain scenarios. Based on a regression analysis, the derivatives continue to be highly effective at offsetting changes in the fair value of the long-term debt attributable to interest rate risk.




Derivatives Designated as Fair Value Hedges

Gains (Losses)	2016
(Dollars in millions)	Derivative			Hedged Item			Hedge Ineffectiveness
Interest rate risk on long-term debt ⁽¹⁾	$	(1,488	)	$	646		$	(842	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	(941		)	944			3
Interest rate risk on available-for-sale securities ⁽²⁾	227			(286		)	(59		)
Price risk on commodity inventory ⁽³⁾	(17		)	17			—
Total	$	(2,219	)	$	1,321		$	(898	)

	2015
Interest rate risk on long-term debt ⁽¹⁾	$	(718	)	$	(77	)	$	(795	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	(1,898		)	1,812			(86		)
Interest rate risk on available-for-sale securities ⁽²⁾	105			(127		)	(22		)
Price risk on commodity inventory ⁽³⁾	15			(11		)	4
Total	$	(2,496	)	$	1,597		$	(899	)

	2014
Interest rate risk on long-term debt ⁽¹⁾	$	2,144		$	(2,935	)	$	(791	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	(2,212		)	2,120			(92		)
Interest rate risk on available-for-sale securities ⁽²⁾	(35		)	3			(32		)
Price risk on commodity inventory ⁽³⁾	21			(15		)	6
Total	$	(82	)	$	(827	)	$	(909	)


⁽¹⁾	Amounts are recorded in interest expense on long-term debt and in other income.


⁽²⁾	Amounts are recorded in interest income on debt securities.


⁽³⁾	Amounts relating to commodity inventory are recorded in trading account profits.

Cash Flow and Net Investment Hedges

The table below summarizes certain information related to cash flow hedges and net investment hedges for 2016, 2015 and 2014. Of the $895 million after-tax net loss ($1.4 billion on a pretax basis) on derivatives in accumulated OCI for 2016, $128 million after-tax ($206 million on a pretax basis) is expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are expected to primarily reduce net interest income related to the respective hedged items. Amounts related to price risk on restricted stock awards reclassified from accumulated OCI are recorded in personnel expense. For terminated cash flow hedges, the time period over which substantially all of the forecasted transactions are hedged is approximately seven years, with a maximum length of time for certain forecasted transactions of 20 years.




Derivatives Designated as Cash Flow and Net Investment Hedges

	2016
(Dollars in millions, amounts pretax)	Gains (Losses) Recognized in Accumulated OCI on Derivatives			Gains (Losses) in Income Reclassified from Accumulated OCI			Hedge Ineffectiveness and Amounts Excluded from Effectiveness Testing ⁽¹⁾
Cash flow hedges
Interest rate risk on variable-rate portfolios	$	(340	)	$	(553	)	$	1
Price risk on restricted stock awards ⁽²⁾	41			(32		)	—
Total	$	(299	)	$	(585	)	$	1
Net investment hedges
Foreign exchange risk	$	1,636		$	3		$	(325	)

	2015
Cash flow hedges
Interest rate risk on variable-rate portfolios	$	95		$	(974	)	$	(2	)
Price risk on restricted stock awards⁽²⁾	(40		)	91			—
Total	$	55		$	(883	)	$	(2	)
Net investment hedges
Foreign exchange risk	$	3,010		$	153		$	(298	)

	2014
Cash flow hedges
Interest rate risk on variable-rate portfolios	$	68		$	(1,119	)	$	(4	)
Price risk on restricted stock awards ⁽²⁾	127			359			—
Total	$	195		$	(760	)	$	(4	)
Net investment hedges
Foreign exchange risk	$	3,021		$	21		$	(503	)


⁽¹⁾	Amounts related to cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing.


⁽²⁾	The hedge gain (loss) recognized in accumulated OCI is primarily related to the change in the Corporation’s stock price for the period.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for 2016, 2015 and 2014. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.




Other Risk Management Derivatives

Gains (Losses)

(Dollars in millions)	2016			2015			2014
Interest rate risk on mortgage banking income ⁽¹⁾	$	461		$	254		$	1,017
Credit risk on loans ⁽²⁾	(107		)	(22		)	16
Interest rate and foreign currency risk on ALM activities ⁽³⁾	(754		)	(222		)	(3,683		)
Price risk on restricted stock awards ⁽⁴⁾	9			(267		)	600
Other	5			11			(9		)

⁽¹⁾

Net gains (losses) on these derivatives are recorded in mortgage banking income as they are used to mitigate the interest rate risk related to MSRs, IRLCs and mortgage loans held-for-sale, all of which are measured at fair value with changes in fair value recorded in mortgage banking income. The net gains on IRLCs related to the origination of mortgage loans that are held-for-sale, which are not included in the table but are considered derivative instruments, were $533 million, $714 million and $776 million for 2016, 2015 and 2014, respectively.


⁽²⁾	Primarily related to derivatives that are economic hedges of credit risk on loans. Net gains (losses) on these derivatives are recorded in other income.


⁽³⁾	Primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt. Gains (losses) on these derivatives and the related hedged items are recorded in other income.


⁽⁴⁾	Gains (losses) on these derivatives are recorded in personnel 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 2016, 2015 and 2014. The difference between total trading account profits in the following table and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. This table includes debit valuation and funding valuation adjustment (DVA/FVA) gains (losses). Global Markets results in Note 24 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The following table is not presented on an FTE basis.

The results for 2016 and 2015 were impacted by the adoption of new accounting guidance in 2015 on recognition and measurement of financial instruments. As such, amounts in the "Other" column for 2016 and 2015 exclude unrealized DVA resulting from changes in the Corporation’s own credit spreads on liabilities accounted for under the fair value option. Amounts for 2014 include such amounts. For more information on the implementation of new accounting guidance, see Note 1 – Summary of Significant Accounting Principles.




Sales and Trading Revenue

	2016
(Dollars in millions)	Trading Account Profits		Net Interest Income			Other ⁽¹⁾			Total
Interest rate risk	$	1,608	$	1,397		$	304		$	3,309
Foreign exchange risk	1,360		(10		)	(154		)	1,196
Equity risk	1,915		15			2,072			4,002
Credit risk	1,258		2,587			425			4,270
Other risk	409		(20		)	40			429
Total sales and trading revenue	$	6,550	$	3,969		$	2,687		$	13,206

	2015
Interest rate risk	$	1,300	$	1,307		$	(263	)	$	2,344
Foreign exchange risk	1,322		(10		)	(117		)	1,195
Equity risk	2,115		56			2,146			4,317
Credit risk	910		2,361			452			3,723
Other risk	462		(81		)	62			443
Total sales and trading revenue	$	6,109	$	3,633		$	2,280		$	12,022

	2014
Interest rate risk	$	983	$	946		$	466		$	2,395
Foreign exchange risk	1,177		7			(128		)	1,056
Equity risk	1,954		(79		)	2,307			4,182
Credit risk	1,404		2,563			617			4,584
Other risk	508		(123		)	108			493
Total sales and trading revenue	$	6,026	$	3,314		$	3,370		$	12,710


⁽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 $2.1 billion, $2.2 billion and $2.2 billion for 2016, 2015 and 2014, respectively.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2016 and 2015 are summarized in the following table. These instruments are classified as investment and non-investment grade based on the credit quality of the underlying referenced obligation. The Corporation considers ratings of BBB- or higher as investment grade. Non-investment grade includes non-rated credit derivative instruments. The Corporation discloses internal categorizations of investment grade and non-investment grade consistent with how risk is managed for these instruments.




Credit Derivative Instruments

	December 31, 2016
	Carrying Value
(Dollars in millions)	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
Credit default swaps:
Investment grade	$	10	$	64	$	535	$	783	$	1,392
Non-investment grade	771		1,053		908		3,339		6,071
Total	781		1,117		1,443		4,122		7,463
Total return swaps/other:
Investment grade	16		—		—		—		16
Non-investment grade	127		10		2		1		140
Total	143		10		2		1		156
Total credit derivatives	$	924	$	1,127	$	1,445	$	4,123	$	7,619
Credit-related notes:
Investment grade	$	—	$	12	$	542	$	1,423	$	1,977
Non-investment grade	70		22		60		1,318		1,470
Total credit-related notes	$	70	$	34	$	602	$	2,741	$	3,447
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	121,083	$	143,200	$	116,540	$	21,905	$	402,728
Non-investment grade	84,755		67,160		41,001		18,711		211,627
Total	205,838		210,360		157,541		40,616		614,355
Total return swaps/other:
Investment grade	12,792		—		—		—		12,792
Non-investment grade	6,638		5,127		589		208		12,562
Total	19,430		5,127		589		208		25,354
Total credit derivatives	$	225,268	$	215,487	$	158,130	$	40,824	$	639,709



	December 31, 2015
	Carrying Value
Credit default swaps:
Investment grade	$	84	$	481	$	2,203	$	680	$	3,448
Non-investment grade	672		3,035		2,386		3,583		9,676
Total	756		3,516		4,589		4,263		13,124
Total return swaps/other:
Investment grade	5		—		—		—		5
Non-investment grade	171		236		8		2		417
Total	176		236		8		2		422
Total credit derivatives	$	932	$	3,752	$	4,597	$	4,265	$	13,546
Credit-related notes:
Investment grade	$	267	$	57	$	444	$	2,203	$	2,971
Non-investment grade	61		118		117		1,264		1,560
Total credit-related notes	$	328	$	175	$	561	$	3,467	$	4,531
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	149,177	$	280,658	$	178,990	$	26,352	$	635,177
Non-investment grade	81,596		135,850		53,299		18,221		288,966
Total	230,773		416,508		232,289		44,573		924,143
Total return swaps/other:
Investment grade	9,758		—		—		—		9,758
Non-investment grade	20,917		6,989		1,371		623		29,900
Total	30,675		6,989		1,371		623		39,658
Total credit derivatives	$	261,448	$	423,497	$	233,660	$	45,196	$	963,801

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 December 31, 2016 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.




Additional Collateral Required to be Posted Upon Downgrade

	December 31, 2016
(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	498	$	866
Bank of America, N.A. and subsidiaries ⁽¹⁾	310		492


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

Derivative Liability subject to unilateral termination upon downgrade

The table below presents the derivative liabilities that would be subject to unilateral termination by counterparties and the amounts of collateral that would have been contractually required at December 31, 2016 if the long-term senior debt ratings for the Corporation or certain subsidiaries had been lower by one incremental notch and by an additional second incremental notch.




Derivative Liabilities Subject to Unilateral Termination Upon Downgrade

	December 31, 2016
(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	691	$	1,324
Collateral posted	459		1,026

Valuation Adjustments on Derivatives

The table below presents CVA, DVA and FVA gains (losses) on derivatives, which are recorded in trading account profits, on a gross and net of hedge basis for 2016, 2015 and 2014. 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.




Valuation Adjustments on Derivatives

Gains (Losses)
	2016					2015						2014
(Dollars in millions)	Gross		Net			Gross			Net			Gross			Net
Derivative assets (CVA) ⁽¹⁾	$	374	$	214		$	255		$	227		$	(22	)	$	191
Derivative assets/liabilities (FVA) ⁽¹⁾	186		102			16			16			(497		)	(497		)
Derivative liabilities (DVA) ⁽¹⁾	24		(141		)	(18		)	(153		)	(28		)	(150		)


⁽¹⁾	At December 31, 2016, 2015 and 2014, cumulative CVA reduced the derivative assets balance by $1.0 billion, $1.4 billion and $1.6 billion, cumulative FVA reduced the net derivatives balance by $296 million, $481 million and $497 million, and cumulative DVA reduced the derivative liabilities balance by $774 million, $750 million and $769 million, respectively.

Derivative

Derivative [Line Items]

Offsetting Liabilities

The Offsetting of Derivatives table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at December 31, 2016 and 2015 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Exchange-traded derivatives include listed options transacted on an exchange. OTC derivatives include bilateral transactions between the Corporation and a particular counterparty. OTC-cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse. 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 includes reducing the balance for counterparty netting and cash collateral received or paid.

Other gross derivative assets and liabilities in the table represent derivatives entered into under master netting agreements where uncertainty exists as to the enforceability of these agreements under bankruptcy laws in some countries or industries and, accordingly, receivables and payables with counterparties in these countries or industries are reported on a gross basis.

Also included in the table is financial instruments collateral related to legally enforceable master netting agreements that represents securities collateral received or pledged and cash and securities collateral held and posted at third-party custodians. These amounts are not offset on the Consolidated Balance Sheet but are shown as a reduction to total derivative assets and liabilities in the table to derive net derivative assets and liabilities.

For more information on offsetting of securities financing agreements, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives

	December 31, 2016						December 31, 2015
(Dollars in billions)	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Interest rate contracts
Over-the-counter	$	267.3		$	258.2		$	309.3		$	297.2
Over-the-counter cleared	177.2			182.8			197.0			201.7
Foreign exchange contracts
Over-the-counter	124.3			126.7			103.2			107.5
Over-the-counter cleared	0.3			0.3			0.1			0.1
Equity contracts
Over-the-counter	15.6			13.7			16.6			14.0
Exchange-traded	11.4			10.8			10.0			9.2
Commodity contracts
Over-the-counter	3.7			4.9			7.3			8.9
Exchange-traded	1.1			1.0			1.8			1.8
Over-the-counter cleared	—			—			0.1			0.1
Credit derivatives
Over-the-counter	15.3			14.7			24.6			22.9
Over-the-counter cleared	4.3			4.3			6.5			6.4
Total gross derivative assets/liabilities, before netting
Over-the-counter	426.2			418.2			461.0			450.5
Exchange-traded	12.5			11.8			11.8			11.0
Over-the-counter cleared	181.8			187.4			203.7			208.3
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(398.2		)	(392.6		)	(426.6		)	(425.7		)
Exchange-traded	(8.9		)	(8.9		)	(8.7		)	(8.7		)
Over-the-counter cleared	(181.5		)	(187.3		)	(203.3		)	(208.2		)
Derivative assets/liabilities, after netting	31.9			28.6			37.9			27.2
Other gross derivative assets/liabilities ⁽¹⁾	10.6			10.9			12.1			11.3
Total derivative assets/liabilities	42.5			39.5			50.0			38.5
Less: Financial instruments collateral ⁽²⁾	(13.5		)	(10.5		)	(13.9		)	(6.5		)
Total net derivative assets/liabilities	$	29.0		$	29.0		$	36.1		$	32.0


⁽¹⁾	Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain.


⁽²⁾	These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged.

Offsetting Assets

For more information on offsetting of securities financing agreements, see Note 10 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives

	December 31, 2016						December 31, 2015
(Dollars in billions)	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Interest rate contracts
Over-the-counter	$	267.3		$	258.2		$	309.3		$	297.2
Over-the-counter cleared	177.2			182.8			197.0			201.7
Foreign exchange contracts
Over-the-counter	124.3			126.7			103.2			107.5
Over-the-counter cleared	0.3			0.3			0.1			0.1
Equity contracts
Over-the-counter	15.6			13.7			16.6			14.0
Exchange-traded	11.4			10.8			10.0			9.2
Commodity contracts
Over-the-counter	3.7			4.9			7.3			8.9
Exchange-traded	1.1			1.0			1.8			1.8
Over-the-counter cleared	—			—			0.1			0.1
Credit derivatives
Over-the-counter	15.3			14.7			24.6			22.9
Over-the-counter cleared	4.3			4.3			6.5			6.4
Total gross derivative assets/liabilities, before netting
Over-the-counter	426.2			418.2			461.0			450.5
Exchange-traded	12.5			11.8			11.8			11.0
Over-the-counter cleared	181.8			187.4			203.7			208.3
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(398.2		)	(392.6		)	(426.6		)	(425.7		)
Exchange-traded	(8.9		)	(8.9		)	(8.7		)	(8.7		)
Over-the-counter cleared	(181.5		)	(187.3		)	(203.3		)	(208.2		)
Derivative assets/liabilities, after netting	31.9			28.6			37.9			27.2
Other gross derivative assets/liabilities ⁽¹⁾	10.6			10.9			12.1			11.3
Total derivative assets/liabilities	42.5			39.5			50.0			38.5
Less: Financial instruments collateral ⁽²⁾	(13.5		)	(10.5		)	(13.9		)	(6.5		)
Total net derivative assets/liabilities	$	29.0		$	29.0		$	36.1		$	32.0


⁽¹⁾	Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain.


⁽²⁾	These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged.