Annual report pursuant to Section 13 and 15(d)

Derivatives (Tables)

v3.20.4
Derivatives (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at December 31, 2020 and 2019. 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, 2020
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 $ 13,242.8  $ 199.9  $ 10.9  $ 210.8  $ 209.3  $ 1.3  $ 210.6 
Futures and forwards 3,222.2  3.5  0.1  3.6  3.6  —  3.6 
Written options 1,530.5  —  —  —  40.5  —  40.5 
Purchased options 1,545.8  45.3  —  45.3  —  —  — 
Foreign exchange contracts  
Swaps 1,475.8  37.1  0.3  37.4  39.7  0.6  40.3 
Spot, futures and forwards 3,710.7  53.4  —  53.4  54.5  0.5  55.0 
Written options 289.6  —  —  —  4.8  —  4.8 
Purchased options 279.3  5.0  —  5.0  —  —  — 
Equity contracts  
Swaps 320.2  13.3  —  13.3  14.5  —  14.5 
Futures and forwards 106.2  0.3  —  0.3  1.4  —  1.4 
Written options 599.1  —  —  —  48.8  —  48.8 
Purchased options 541.2  52.6  —  52.6  —  —  — 
Commodity contracts    
Swaps 36.4  1.9  —  1.9  4.4  —  4.4 
Futures and forwards 63.6  2.0  —  2.0  1.0  —  1.0 
Written options 24.6  —  —  —  1.4  —  1.4 
Purchased options 24.7  1.5  —  1.5  —  —  — 
Credit derivatives (2)
     
Purchased credit derivatives:      
Credit default swaps 322.7  2.3  —  2.3  4.4  —  4.4 
Total return swaps/options 63.6  0.2  —  0.2  1.0  —  1.0 
Written credit derivatives:    
Credit default swaps 301.5  4.4  —  4.4  1.9  —  1.9 
Total return swaps/options 68.6  0.6  —  0.6  0.4  —  0.4 
Gross derivative assets/liabilities $ 423.3  $ 11.3  $ 434.6  $ 431.6  $ 2.4  $ 434.0 
Less: Legally enforceable master netting agreements     (344.9)     (344.9)
Less: Cash collateral received/paid       (42.5)     (43.6)
Total derivative assets/liabilities       $ 47.2      $ 45.5 
(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 $2.2 billion and $269.8 billion at December 31, 2020.
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.
Derivative [Line Items]  
Gains and Losses on Derivatives Designated as Fair Value Hedges
The following table summarizes information related to fair value hedges for 2020, 2019 and 2018.
Gains and Losses on Derivatives Designated as Fair Value Hedges
Derivative Hedged Item
(Dollars in millions) 2020 2019 2018 2020 2019 2018
Interest rate risk on long-term debt (1)
$ 7,091  $ 6,113  $ (1,538) $ (7,220) $ (6,110) $ 1,429 
Interest rate and foreign currency risk on long-term debt (2)
783  119  (1,187) (783) (101) 1,079 
Interest rate risk on available-for-sale securities (3)
(44) (102) (52) 49  98  50 
Total $ 7,830  $ 6,130  $ (2,777) $ (7,954) $ (6,113) $ 2,558 
(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2)In 2020, 2019 and 2018, the derivative amount includes gains (losses) of $701 million, $73 million and $(116) million in interest expense, $73 million, $28 million and $(992) million in market making and similar activities, and $9 million, $18 million and $(79) million in accumulated OCI, respectively. Line item totals are in the Consolidated Statement of Income and on the Consolidated Balance Sheet.
(3)Amounts are recorded in interest income in the Consolidated Statement of Income.
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, 2020 December 31, 2019
Long-term debt (2)
$ (150,556) $ (8,910) $ (162,389) $ (8,685)
Available-for-sale debt securities (2, 3, 4)
116,252  114  1,654  64 
Trading account assets (5)
427  15  —  — 
(1)For assets, increase (decrease) to carrying value and for liabilities, (increase) decrease to carrying value.
(2)At December 31, 2020 and 2019, the cumulative fair value adjustments remaining on long-term debt and AFS debt securities from discontinued hedging relationships resulted in an (increase) decrease in the related liability of $(3.7) billion and $1.3 billion and an increase (decrease) in the related asset of $(69) million and $8 million, which are being amortized over the remaining contractual life of the de-designated hedged items.
(3)These amounts include the amortized cost basis of the prepayable financial assets used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship (i.e. last-of-layer hedging relationship). At December 31, 2020, the amortized cost of the closed portfolios used in these hedging relationships was $34.6 billion, of which $7.0 billion was designated in the last-of-layer hedging relationship. The cumulative basis adjustments associated with these hedging relationships were not significant.
(4)Carrying value represents amortized cost.
(5)Represents hedging activities related to precious metals inventory.
Cash Flow and Net Investment Hedges The following table summarizes certain information related to cash flow hedges and net investment hedges for 2020, 2019 and 2018. Of the $426 million after-tax net gain ($566 million pretax) on derivatives in accumulated OCI at December 31, 2020, gains of $190 million after-tax ($254 million pretax) related to both open and terminated hedges are expected to be reclassified into earnings in the next 12 months. These net gains reclassified into earnings are expected to primarily increase 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) Recognized in
Accumulated OCI on Derivatives		 Gains (Losses) in Income
Reclassified from Accumulated OCI
(Dollars in millions, amounts pretax) 2020 2019 2018 2020 2019 2018
Cash flow hedges
Interest rate risk on variable-rate assets (1)
$ 763  $ 671  $ (159) $ (7) $ (104) $ (165)
Price risk on forecasted MBS purchases (1)
241  —  —  9  —  — 
Price risk on certain compensation plans (2)
85  34  4  12  (2) 27 
Total $ 1,089  $ 705  $ (155) $ 14  $ (106) $ (138)
Net investment hedges
Foreign exchange risk (3)
$ (834) $ 22  $ 989  $ 4  $ 366  $ 411 
(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 (losses) of $(11) million, $154 million and $47 million in 2020, 2019 and 2018, respectively.
Other Risk Management Derivatives The following table presents gains (losses) on these derivatives for 2020, 2019 and 2018. 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) 2020 2019 2018
Interest rate risk on mortgage activities (1, 2)
$ 446  $ 315  $ (107)
Credit risk on loans (2)
(68) (58) 9 
Interest rate and foreign currency risk on ALM activities (3)
(2,971) 1,112  3,278 
Price risk on certain compensation plans (4)
700  943  (495)
(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 $165 million, $73 million and $47 million in 2020, 2019 and 2018.
(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 This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 23 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The 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) 2020
Interest rate risk $ 2,211  $ 2,400  $ 231  $ 4,842 
Foreign exchange risk 1,482  (20) 3  1,465 
Equity risk 3,656  (77) 1,801  5,380 
Credit risk 812  1,638  328  2,778 
Other risk 308  4  44  356 
Total sales and trading revenue
 $ 8,469  $ 3,945  $ 2,407  $ 14,821 
2019
Interest rate risk $ 1,000  $ 1,817  $ 113  $ 2,930 
Foreign exchange risk 1,288  62  57  1,407 
Equity risk 3,563  (634) 1,569  4,498 
Credit risk 1,091  1,807  519  3,417 
Other risk 120  70  53  243 
Total sales and trading revenue
 $ 7,062  $ 3,122  $ 2,311  $ 12,495 
2018
Interest rate risk $ 810  $ 1,651  $ 245  $ 2,706 
Foreign exchange risk 1,504  31  22  1,557 
Equity risk 3,870  (657) 1,643  4,856 
Credit risk 1,034  1,886  600  3,520 
Other risk 40  197  49  286 
Total sales and trading revenue $ 7,258  $ 3,108  $ 2,559  $ 12,925 
(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 $1.9 billion, $1.7 billion and $1.7 billion in 2020, 2019 and 2018, respectively.
Disclosure of Credit Derivatives Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at December 31, 2020 and 2019 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, 2020
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ —  $ 1  $ 35  $ 94  $ 130 
Non-investment grade 26  233  364  1,163  1,786 
Total 26  234  399  1,257  1,916 
Total return swaps/options:          
Investment grade 21  4  —  —  25 
Non-investment grade 345  —  —  —  345 
Total 366  4  —  —  370 
Total credit derivatives $ 392  $ 238  $ 399  $ 1,257  $ 2,286 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 572  $ 572 
Non-investment grade 64  2  10  947  1,023 
Total credit-related notes $ 64  $ 2  $ 10  $ 1,519  $ 1,595 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 33,474  $ 75,731  $ 87,218  $ 16,822  $ 213,245 
Non-investment grade 13,664  28,770  35,978  9,852  88,264 
Total 47,138  104,501  123,196  26,674  301,509 
Total return swaps/options:          
Investment grade 30,961  1,061  77  —  32,099 
Non-investment grade 36,128  364  27  5  36,524 
Total 67,089  1,425  104  5  68,623 
Total credit derivatives $ 114,227  $ 105,926  $ 123,300  $ 26,679  $ 370,132 
December 31, 2019
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 
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, 2020 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, 2020
(Dollars in millions) One
incremental notch		 Second
incremental notch
Bank of America Corporation $ 300  $ 735 
Bank of America, N.A. and subsidiaries (1)
61  570 
(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, 2020 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, 2020
(Dollars in millions) One
incremental notch		 Second
incremental notch
Derivative liabilities $ 45  $ 1,035 
Collateral posted 23  544 
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 2020, 2019 and 2018. CVA gains reduce the cumulative CVA thereby increasing the derivative assets balance. DVA gains increase the cumulative DVA thereby decreasing the derivative liabilities balance. CVA and DVA losses have the opposite impact. FVA gains related to derivative assets reduce the cumulative FVA thereby increasing the derivative assets balance. FVA gains related to derivative liabilities increase the cumulative FVA thereby decreasing the derivative liabilities balance. FVA losses have the opposite impact.
Valuation Adjustments Gains (Losses) on Derivatives (1)
(Dollars in millions) 2020 2019 2018
Derivative assets (CVA) $ (118) $ 72  $ 77 
Derivative assets/liabilities (FVA)
 (24) (2) (15)
Derivative liabilities (DVA) 24  (147) (19)
(1)At December 31, 2020, 2019 and 2018, cumulative CVA reduced the derivative assets balance by $646 million, $528 million and $600 million, cumulative FVA reduced the net derivatives balance by $177 million, $153 million and $151 million, and cumulative DVA reduced the derivative liabilities balance by $309 million, $285 million and $432 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, 2020 and 2019 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements which include reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 10 – 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, 2020 December 31, 2019
Interest rate contracts        
Over-the-counter $ 247.7  $ 243.5  $ 203.1  $ 196.6 
Exchange-traded —  —  0.1  0.1 
Over-the-counter cleared 10.2  9.1  6.0  5.3 
Foreign exchange contracts
Over-the-counter 92.2  96.5  69.2  73.1 
Over-the-counter cleared 1.4  1.3  0.5  0.5 
Equity contracts
Over-the-counter 31.3  28.3  21.3  17.8 
Exchange-traded 32.3  31.0  26.4  22.8 
Commodity contracts
Over-the-counter 3.5  5.0  2.8  4.2 
Exchange-traded 0.7  0.7  0.8  0.8 
Over-the-counter cleared —  —  —  0.1 
Credit derivatives
Over-the-counter 5.2  5.6  6.4  6.6 
Over-the-counter cleared 2.2  1.9  2.5  2.2 
Total gross derivative assets/liabilities, before netting
Over-the-counter 379.9  378.9  302.8  298.3 
Exchange-traded 33.0  31.7  27.3  23.7 
Over-the-counter cleared 13.8  12.3  9.0  8.1 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (345.7) (347.2) (274.7) (269.3)
Exchange-traded (29.5) (29.5) (21.5) (21.5)
Over-the-counter cleared (12.2) (11.8) (8.1) (8.1)
Derivative assets/liabilities, after netting 39.3  34.4  34.8  31.2 
Other gross derivative assets/liabilities (2)
7.9  11.1  5.7  7.0 
Total derivative assets/liabilities 47.2  45.5  40.5  38.2 
Less: Financial instruments collateral (3)
(16.1) (16.6) (14.6) (16.1)
Total net derivative assets/liabilities $ 31.1  $ 28.9  $ 25.9  $ 22.1 
(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
Sheet at December 31, 2020 and 2019 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements which include reducing the balance for counterparty netting and cash collateral received or paid.
For more information on offsetting of securities financing agreements, see Note 10 – 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, 2020 December 31, 2019
Interest rate contracts        
Over-the-counter $ 247.7  $ 243.5  $ 203.1  $ 196.6 
Exchange-traded —  —  0.1  0.1 
Over-the-counter cleared 10.2  9.1  6.0  5.3 
Foreign exchange contracts
Over-the-counter 92.2  96.5  69.2  73.1 
Over-the-counter cleared 1.4  1.3  0.5  0.5 
Equity contracts
Over-the-counter 31.3  28.3  21.3  17.8 
Exchange-traded 32.3  31.0  26.4  22.8 
Commodity contracts
Over-the-counter 3.5  5.0  2.8  4.2 
Exchange-traded 0.7  0.7  0.8  0.8 
Over-the-counter cleared —  —  —  0.1 
Credit derivatives
Over-the-counter 5.2  5.6  6.4  6.6 
Over-the-counter cleared 2.2  1.9  2.5  2.2 
Total gross derivative assets/liabilities, before netting
Over-the-counter 379.9  378.9  302.8  298.3 
Exchange-traded 33.0  31.7  27.3  23.7 
Over-the-counter cleared 13.8  12.3  9.0  8.1 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (345.7) (347.2) (274.7) (269.3)
Exchange-traded (29.5) (29.5) (21.5) (21.5)
Over-the-counter cleared (12.2) (11.8) (8.1) (8.1)
Derivative assets/liabilities, after netting 39.3  34.4  34.8  31.2 
Other gross derivative assets/liabilities (2)
7.9  11.1  5.7  7.0 
Total derivative assets/liabilities 47.2  45.5  40.5  38.2 
Less: Financial instruments collateral (3)
(16.1) (16.6) (14.6) (16.1)
Total net derivative assets/liabilities $ 31.1  $ 28.9  $ 25.9  $ 22.1 
(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.