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, 2019

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, 2019 and 2018. 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, 2019
			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	$	15,074.4	$	162.0	$	9.7	$	171.7		$	168.5	$	0.4	$	168.9
Futures and forwards	3,279.8		1.0		—		1.0			1.0		—		1.0
Written options	1,767.7		—		—		—			32.5		—		32.5
Purchased options	1,673.6		37.4		—		37.4			—		—		—
Foreign exchange contracts
Swaps	1,657.7		30.3		0.7		31.0			31.7		0.9		32.6
Spot, futures and forwards	3,792.7		35.9		0.1		36.0			38.7		0.3		39.0
Written options	274.3		—		—		—			3.8		—		3.8
Purchased options	261.6		4.0		—		4.0			—		—		—
Equity contracts
Swaps	315.0		6.5		—		6.5			8.1		—		8.1
Futures and forwards	125.1		0.3		—		0.3			1.1		—		1.1
Written options	731.1		—		—		—			34.6		—		34.6
Purchased options	668.6		42.4		—		42.4			—		—		—
Commodity contracts
Swaps	42.0		2.1		—		2.1			4.4		—		4.4
Futures and forwards	61.3		1.7		—		1.7			0.4		—		0.4
Written options	33.2		—		—		—			1.4		—		1.4
Purchased options	37.9		1.4		—		1.4			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	321.6		2.7		—		2.7			5.6		—		5.6
Total return swaps/options	86.6		0.4		—		0.4			1.3		—		1.3
Written credit derivatives:
Credit default swaps	300.2		5.4		—		5.4			2.0		—		2.0
Total return swaps/options	86.2		0.8		—		0.8			0.4		—		0.4
Gross derivative assets/liabilities			$	334.3	$	10.5	$	344.8		$	335.5	$	1.6	$	337.1
Less: Legally enforceable master netting agreements							(270.4		)					(270.4		)
Less: Cash collateral received/paid							(33.9		)					(28.5		)
Total derivative assets/liabilities							$	40.5						$	38.2


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


⁽²⁾	The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $2.8 billion and $309.7 billion at December 31, 2019.




			December 31, 2018
			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	$	15,977.9	$	141.0	$	3.2	$	144.2		$	138.9	$	2.0	$	140.9
Futures and forwards	3,656.6		4.7		—		4.7			5.0		—		5.0
Written options	1,584.9		—		—		—			28.6		—		28.6
Purchased options	1,614.0		30.8		—		30.8			—		—		—
Foreign exchange contracts
Swaps	1,704.8		38.8		1.4		40.2			42.2		2.3		44.5
Spot, futures and forwards	4,276.0		39.8		0.4		40.2			39.3		0.3		39.6
Written options	256.7		—		—		—			5.0		—		5.0
Purchased options	240.4		4.6		—		4.6			—		—		—
Equity contracts
Swaps	253.6		7.7		—		7.7			8.4		—		8.4
Futures and forwards	100.0		2.1		—		2.1			0.3		—		0.3
Written options	597.1		—		—		—			27.5		—		27.5
Purchased options	549.4		36.0		—		36.0			—		—		—
Commodity contracts
Swaps	43.1		2.7		—		2.7			4.5		—		4.5
Futures and forwards	51.7		3.2		—		3.2			0.5		—		0.5
Written options	27.5		—		—		—			2.2		—		2.2
Purchased options	23.4		1.7		—		1.7			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	408.1		5.3		—		5.3			4.9		—		4.9
Total return swaps/options	84.5		0.4		—		0.4			1.0		—		1.0
Written credit derivatives:
Credit default swaps	371.9		4.4		—		4.4			4.3		—		4.3
Total return swaps/options	87.3		0.6		—		0.6			0.6		—		0.6
Gross derivative assets/liabilities			$	323.8	$	5.0	$	328.8		$	313.2	$	4.6	$	317.8
Less: Legally enforceable master netting agreements							(252.7		)					(252.7		)
Less: Cash collateral received/paid							(32.4		)					(27.2		)
Total derivative assets/liabilities							$	43.7						$	37.9


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

⁽²⁾

The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $(185) million and $342.8 billion at December 31, 2018.

Derivative [Line Items]

Gains and Losses on Derivatives Designated as Fair Value Hedges

The table below summarizes information related to fair value hedges for 2019, 2018 and 2017.




Gains and Losses on Derivatives Designated as Fair Value Hedges

	Derivative									Hedged Item
(Dollars in millions)	2019			2018			2017			2019			2018		2017
Interest rate risk on long-term debt ⁽¹⁾	$	6,113		$	(1,538	)	$	(1,537	)	$	(6,110	)	$	1,429	$	1,045
Interest rate and foreign currency risk on long-term debt ⁽²⁾	119			(1,187		)	1,811			(101		)	1,079		(1,767		)
Interest rate risk on available-for-sale securities ⁽³⁾	(102		)	(52		)	(67		)	98			50		35
Total	$	6,130		$	(2,777	)	$	207		$	(6,113	)	$	2,558	$	(687	)


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


⁽²⁾	In 2019, 2018 and 2017, the derivative amount includes gains (losses) of $73 million, $(116) million and $(365) million in interest expense, $28 million, $(992) million and $2.2 billion in market making and similar activities, and $18 million and $(79) million in accumulated OCI, respectively. Line item totals are in the Consolidated Statement of Income and in the Consolidated Balance Sheet.

⁽³⁾

Amounts are recorded in interest income in the Consolidated Statement of Income.

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

The table below summarizes the carrying value of hedged assets and liabilities that are designated and qualifying in fair value hedging relationships along with the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded in the current hedging relationships. These fair value hedging adjustments are open basis adjustments that are not subject to amortization as long as the hedging relationship remains designated.




Designated Fair Value Hedged Assets (Liabilities)

	Carrying Value			Cumulative Fair Value Adjustments ⁽¹⁾			Carrying Value			Cumulative Fair Value Adjustments⁽¹⁾
(Dollars in millions)	December 31, 2019						December 31, 2018
Long-term debt ⁽²⁾	$	(162,389	)	$	(8,685	)	$	(138,682	)	$	(2,117	)
Available-for-sale debt securities ⁽²⁾	1,654			64			981			(29		)


⁽¹⁾	For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value.

⁽²⁾

At December 31, 2019 and 2018, the cumulative fair value adjustments remaining on long-term debt and AFS debt securities from discontinued hedging relationships resulted in a decrease in the related liability of $1.3 billion and $1.6 billion and an increase (decrease) in the related asset of $8 million and $(29) million, which are being amortized over the remaining contractual life of the de-designated hedged items.

Cash Flow and Net Investment Hedges

The following table summarizes certain information related to cash flow hedges and net investment hedges for 2019, 2018 and 2017. Of the $400 million after-tax net loss ($526 million pretax) on derivatives in accumulated OCI at December 31, 2019, $68 million after-tax ($90 million pretax) 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. For terminated cash flow hedges, the time period over which the majority of the forecasted transactions are hedged is approximately 3 years, with a maximum length of time for certain forecasted transactions of 16 years.




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

	Gains (Losses) in Accumulated OCI on Derivatives								Gains (Losses) in Income Reclassified from Accumulated OCI
(Dollars in millions, amounts pretax)	2019		2018			2017			2019			2018			2017
Cash flow hedges
Interest rate risk on variable-rate assets ⁽¹⁾	$	671	$	(159	)	$	(109	)	$	(104	)	$	(165	)	$	(327	)
Price risk on certain compensation plans ⁽²⁾	34		4			59			(2		)	27			148
Total	$	705	$	(155	)	$	(50	)	$	(106	)	$	(138	)	$	(179	)
Net investment hedges
Foreign exchange risk ⁽³⁾	$	22	$	989		$	(1,588	)	$	366		$	411		$	1,782


⁽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. Amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $154 million, $47 million and $120 million in 2019, 2018 and 2017, respectively.

Other Risk Management Derivatives

The following table presents gains (losses) on these derivatives for 2019, 2018 and 2017. 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)	2019			2018			2017
Interest rate risk on mortgage activities ^{(1, 2)}	$	315		$	(107	)	$	8
Credit risk on loans ⁽²⁾	(58		)	9			(6		)
Interest rate and foreign currency risk on ALM activities ⁽³⁾	1,112			3,278			(1,318		)
Price risk on certain compensation plans ⁽⁴⁾	943			(495		)	704


⁽¹⁾	Primarily related to hedges of interest rate risk on MSRs and IRLCs to originate mortgage loans that will be held for sale. The net gains on IRLCs, which are not included in the table but are considered derivative instruments, were $73 million, $47 million and $220 million in 2019, 2018 and 2017, respectively.


⁽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. Prior-period amounts have been updated to conform to the current-period presentation.

⁽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 2019, 2018 and 2017. This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 24 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The table below is not presented on an FTE basis.




Sales and Trading Revenue

	Market making and similar activities		Net Interest Income			Other ⁽¹⁾		Total
(Dollars in millions)	2019
Interest rate risk	$	916	$	1,831		$	121	$	2,868
Foreign exchange risk	1,300		54			43		1,397
Equity risk	3,565		(638		)	1,574		4,501
Credit risk	1,158		1,800			511		3,469
Other risk	123		75			57		255
Total sales and trading revenue	$	7,062	$	3,122		$	2,306	$	12,490

	2018
Interest rate risk	$	784	$	1,696		$	259	$	2,739
Foreign exchange risk	1,486		11			14		1,511
Equity risk	3,874		(662		)	1,644		4,856
Credit risk	1,063		1,861			588		3,512
Other risk	50		202			53		305
Total sales and trading revenue	$	7,257	$	3,108		$	2,558	$	12,923

	2017
Interest rate risk	$	429	$	1,846		$	248	$	2,523
Foreign exchange risk	1,409		12			9		1,430
Equity risk	2,598		(427		)	1,904		4,075
Credit risk	1,685		1,945			578		4,208
Other risk	79		170			75		324
Total sales and trading revenue	$	6,200	$	3,546		$	2,814	$	12,560

⁽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 $1.7 billion, $1.7 billion and $2.0 billion in 2019, 2018 and 2017, respectively.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2019 and 2018 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, 2019
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	—	$	5	$	60	$	164	$	229
Non-investment grade	70		292		561		808		1,731
Total	70		297		621		972		1,960
Total return swaps/options:
Investment grade	35		—		—		—		35
Non-investment grade	344		—		—		—		344
Total	379		—		—		—		379
Total credit derivatives	$	449	$	297	$	621	$	972	$	2,339
Credit-related notes:
Investment grade	$	—	$	3	$	1	$	639	$	643
Non-investment grade	6		2		1		1,125		1,134
Total credit-related notes	$	6	$	5	$	2	$	1,764	$	1,777
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	55,827	$	67,838	$	71,320	$	17,708	$	212,693
Non-investment grade	19,049		26,521		29,618		12,337		87,525
Total	74,876		94,359		100,938		30,045		300,218
Total return swaps/options:
Investment grade	56,488		—		62		76		56,626
Non-investment grade	28,707		657		104		60		29,528
Total	85,195		657		166		136		86,154
Total credit derivatives	$	160,071	$	95,016	$	101,104	$	30,181	$	386,372

	December 31, 2018
	Carrying Value
Credit default swaps:
Investment grade	$	2	$	44	$	436	$	488	$	970
Non-investment grade	132		636		914		1,691		3,373
Total	134		680		1,350		2,179		4,343
Total return swaps/options:
Investment grade	105		—		—		—		105
Non-investment grade	472		21		—		—		493
Total	577		21		—		—		598
Total credit derivatives	$	711	$	701	$	1,350	$	2,179	$	4,941
Credit-related notes:
Investment grade	$	—	$	—	$	4	$	532	$	536
Non-investment grade	1		1		1		1,500		1,503
Total credit-related notes	$	1	$	1	$	5	$	2,032	$	2,039
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	53,758	$	95,699	$	95,274	$	20,054	$	264,785
Non-investment grade	24,297		33,881		34,530		14,426		107,134
Total	78,055		129,580		129,804		34,480		371,919
Total return swaps/options:
Investment grade	60,042		822		59		72		60,995
Non-investment grade	24,524		1,649		39		70		26,282
Total	84,566		2,471		98		142		87,277
Total credit derivatives	$	162,621	$	132,051	$	129,902	$	34,622	$	459,196

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, 2019 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 at December 31, 2019

(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	480	$	491
Bank of America, N.A. and subsidiaries ⁽¹⁾	222		353

⁽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 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, 2019 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 at December 31, 2019

(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	57	$	783
Collateral posted	42		411

Valuation Adjustments on Derivatives

The table below presents CVA, DVA and FVA gains (losses) on derivatives, which are recorded in market making and similar activities, on a gross and net of hedge basis for 2019, 2018 and 2017. 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⁾

	Gross			Net			Gross			Net			Gross			Net
	2019						2018						2017
Derivative assets (CVA)	$	72		$	45		$	77		$	187		$	330		$	98
Derivative assets/liabilities (FVA)	(2		)	46			(15		)	14			160			178
Derivative liabilities (DVA)	(147		)	(135		)	(19		)	(55		)	(324		)	(281		)

⁽¹⁾

At December 31, 2019, 2018 and 2017, cumulative CVA reduced the derivative assets balance by $528 million, $600 million and $677 million, cumulative FVA reduced the net derivatives balance by $153 million, $151 million and $136 million, and cumulative DVA reduced the derivative liabilities balance by $285 million, $432 million and $450 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, 2019 and 2018 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 11 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash.




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	December 31, 2019						December 31, 2018
Interest rate contracts
Over-the-counter	$	203.1		$	196.6		$	174.2		$	169.4
Exchange-traded	0.1			0.1			—			—
Over-the-counter cleared	6.0			5.3			4.8			4.0
Foreign exchange contracts
Over-the-counter	69.2			73.1			82.5			86.3
Over-the-counter cleared	0.5			0.5			0.9			0.9
Equity contracts
Over-the-counter	21.3			17.8			24.6			14.6
Exchange-traded	26.4			22.8			16.1			15.1
Commodity contracts
Over-the-counter	2.8			4.2			3.5			4.5
Exchange-traded	0.8			0.8			1.0			0.9
Over-the-counter cleared	—			0.1			—			—
Credit derivatives
Over-the-counter	6.4			6.6			7.7			8.2
Over-the-counter cleared	2.5			2.2			2.5			2.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	302.8			298.3			292.5			283.0
Exchange-traded	27.3			23.7			17.1			16.0
Over-the-counter cleared	9.0			8.1			8.2			7.2
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(274.7		)	(269.3		)	(264.4		)	(259.2		)
Exchange-traded	(21.5		)	(21.5		)	(13.5		)	(13.5		)
Over-the-counter cleared	(8.1		)	(8.1		)	(7.2		)	(7.2		)
Derivative assets/liabilities, after netting	34.8			31.2			32.7			26.3
Other gross derivative assets/liabilities ⁽²⁾	5.7			7.0			11.0			11.6
Total derivative assets/liabilities	40.5			38.2			43.7			37.9
Less: Financial instruments collateral ⁽³⁾	(14.6		)	(16.1		)	(16.3		)	(8.6		)
Total net derivative assets/liabilities	$	25.9		$	22.1		$	27.4		$	29.3


⁽¹⁾	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. 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

For more information on offsetting of securities financing agreements, see Note 11 – Federal Funds Sold or Purchased, Securities Financing Agreements, Short-term Borrowings and Restricted Cash.




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	December 31, 2019						December 31, 2018
Interest rate contracts
Over-the-counter	$	203.1		$	196.6		$	174.2		$	169.4
Exchange-traded	0.1			0.1			—			—
Over-the-counter cleared	6.0			5.3			4.8			4.0
Foreign exchange contracts
Over-the-counter	69.2			73.1			82.5			86.3
Over-the-counter cleared	0.5			0.5			0.9			0.9
Equity contracts
Over-the-counter	21.3			17.8			24.6			14.6
Exchange-traded	26.4			22.8			16.1			15.1
Commodity contracts
Over-the-counter	2.8			4.2			3.5			4.5
Exchange-traded	0.8			0.8			1.0			0.9
Over-the-counter cleared	—			0.1			—			—
Credit derivatives
Over-the-counter	6.4			6.6			7.7			8.2
Over-the-counter cleared	2.5			2.2			2.5			2.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	302.8			298.3			292.5			283.0
Exchange-traded	27.3			23.7			17.1			16.0
Over-the-counter cleared	9.0			8.1			8.2			7.2
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(274.7		)	(269.3		)	(264.4		)	(259.2		)
Exchange-traded	(21.5		)	(21.5		)	(13.5		)	(13.5		)
Over-the-counter cleared	(8.1		)	(8.1		)	(7.2		)	(7.2		)
Derivative assets/liabilities, after netting	34.8			31.2			32.7			26.3
Other gross derivative assets/liabilities ⁽²⁾	5.7			7.0			11.0			11.6
Total derivative assets/liabilities	40.5			38.2			43.7			37.9
Less: Financial instruments collateral ⁽³⁾	(14.6		)	(16.1		)	(16.3		)	(8.6		)
Total net derivative assets/liabilities	$	25.9		$	22.1		$	27.4		$	29.3


⁽¹⁾	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. 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⁾