Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.3.0.814
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2015
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 September 30, 2015 and December 31, 2014. 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.

 
September 30, 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
$
22,297.6

 
$
503.2

 
$
8.7

 
$
511.9

 
$
502.6

 
$
1.0

 
$
503.6

Futures and forwards
8,949.3

 
2.0

 
0.1

 
2.1

 
2.3

 
—

 
2.3

Written options
1,538.3

 
—

 
—

 
—

 
65.9

 
—

 
65.9

Purchased options
1,524.6

 
67.2

 
—

 
67.2

 
—

 
—

 
—

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 


Swaps
2,145.0

 
50.4

 
0.9

 
51.3

 
52.7

 
2.5

 
55.2

Spot, futures and forwards
4,377.6

 
44.1

 
1.0

 
45.1

 
44.1

 
0.2

 
44.3

Written options
553.8

 
—

 
—

 
—

 
12.4

 
—

 
12.4

Purchased options
537.4

 
12.0

 
—

 
12.0

 
—

 
—

 
—

Equity contracts
 
 
 
 
 
 
 
 
 
 
 
 


Swaps
189.2

 
5.1

 
—

 
5.1

 
5.9

 
—

 
5.9

Futures and forwards
65.8

 
2.8

 
—

 
2.8

 
1.5

 
—

 
1.5

Written options
420.0

 
—

 
—

 
—

 
27.2

 
—

 
27.2

Purchased options
392.7

 
29.5

 
—

 
29.5

 
—

 
—

 
—

Commodity contracts
 
 
 
 
 
 
 
 
 
 
 
 


Swaps
53.7

 
4.4

 
—

 
4.4

 
7.3

 
—

 
7.3

Futures and forwards
402.7

 
4.0

 
—

 
4.0

 
1.0

 
—

 
1.0

Written options
89.5

 
—

 
—

 
—

 
7.8

 
—

 
7.8

Purchased options
102.4

 
7.3

 
—

 
7.3

 
—

 
—

 
—

Credit derivatives
 
 
 
 
 
 
 
 
 
 
 
 


Purchased credit derivatives:
 
 
 
 
 
 
 
 
 
 
 
 


Credit default swaps
1,001.6

 
14.6

 
—

 
14.6

 
15.3

 
—

 
15.3

Total return swaps/other
46.5

 
0.2

 
—

 
0.2

 
1.9

 
—

 
1.9

Written credit derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps
992.0

 
15.6

 
—

 
15.6

 
13.2

 
—

 
13.2

Total return swaps/other
51.0

 
2.4

 
—

 
2.4

 
0.6

 
—

 
0.6

Gross derivative assets/liabilities
 
 
$
764.8

 
$
10.7

 
$
775.5

 
$
761.7

 
$
3.7

 
$
765.4

Less: Legally enforceable master netting agreements
 
 
 
(674.1
)
 
 
 
 
 
(674.1
)
Less: Cash collateral received/paid
 
 
 
 
 
 
(46.2
)
 
 
 
 
 
(45.4
)
Total derivative assets/liabilities
 
 
 
 
 
$
55.2

 
 
 
 
 
$
45.9

(1) 
Represents the total contract/notional amount of derivative assets and liabilities outstanding.
 
December 31, 2014
 
 
 
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
$
29,445.4

 
$
658.5

 
$
8.5

 
$
667.0

 
$
658.2

 
$
0.5

 
$
658.7

Futures and forwards
10,159.4

 
1.7

 
—

 
1.7

 
2.0

 
—

 
2.0

Written options
1,725.2

 
—

 
—

 
—

 
85.4

 
—

 
85.4

Purchased options
1,739.8

 
85.6

 
—

 
85.6

 
—

 
—

 
—

Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
2,159.1

 
51.5

 
0.8

 
52.3

 
54.6

 
1.9

 
56.5

Spot, futures and forwards
4,226.4

 
68.9

 
1.5

 
70.4

 
72.4

 
0.2

 
72.6

Written options
600.7

 
—

 
—

 
—

 
16.0

 
—

 
16.0

Purchased options
584.6

 
15.1

 
—

 
15.1

 
—

 
—

 
—

Equity contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
193.7

 
3.2

 
—

 
3.2

 
4.0

 
—

 
4.0

Futures and forwards
69.5

 
2.1

 
—

 
2.1

 
1.8

 
—

 
1.8

Written options
341.0

 
—

 
—

 
—

 
26.0

 
—

 
26.0

Purchased options
318.4

 
27.9

 
—

 
27.9

 
—

 
—

 
—

Commodity contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
74.3

 
5.8

 
—

 
5.8

 
8.5

 
—

 
8.5

Futures and forwards
376.5

 
4.5

 
—

 
4.5

 
1.8

 
—

 
1.8

Written options
129.5

 
—

 
—

 
—

 
11.5

 
—

 
11.5

Purchased options
141.3

 
10.7

 
—

 
10.7

 
—

 
—

 
—

Credit derivatives
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchased credit derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps
1,094.8

 
13.3

 
—

 
13.3

 
23.4

 
—

 
23.4

Total return swaps/other
44.3

 
0.2

 
—

 
0.2

 
1.4

 
—

 
1.4

Written credit derivatives:
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps
1,073.1

 
24.5

 
—

 
24.5

 
11.9

 
—

 
11.9

Total return swaps/other
61.0

 
0.5

 
—

 
0.5

 
0.3

 
—

 
0.3

Gross derivative assets/liabilities
 
 
$
974.0

 
$
10.8

 
$
984.8

 
$
979.2

 
$
2.6

 
$
981.8

Less: Legally enforceable master netting agreements
 
 
 
(884.8
)
 
 
 
 
 
(884.8
)
Less: Cash collateral received/paid
 
 
 
 
 
 
(47.3
)
 
 
 
 
 
(50.1
)
Total derivative assets/liabilities
 
 
 
 
 
$
52.7

 
 
 
 
 
$
46.9

(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 the three and nine months ended September 30, 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)
Three Months Ended September 30
 
Nine Months Ended September 30
 
2015
 
2015
(Dollars in millions)
Derivative
 
Hedged
Item
 
Hedge
Ineffectiveness
 
Derivative
 
Hedged
Item
 
Hedge
Ineffectiveness
Interest rate risk on long-term debt (1)
$
1,921

 
$
(2,111
)
 
$
(190
)
 
$
724

 
$
(1,362
)
 
$
(638
)
Interest rate and foreign currency risk on long-term debt (1)
(138
)
 
125

 
(13
)
 
(1,394
)
 
1,311

 
(83
)
Interest rate risk on available-for-sale securities (2)
(6
)
 
(1
)
 
(7
)
 
39

 
(49
)
 
(10
)
Price risk on commodity inventory (3)
2

 
(2
)
 
—

 
15

 
(11
)
 
4

Total
$
1,779

 
$
(1,989
)
 
$
(210
)
 
$
(616
)
 
$
(111
)
 
$
(727
)
 
 
 
 
 
 
 
 
 
 
 
 
 
2014
 
2014
Interest rate risk on long-term debt (1)
$
(489
)
 
$
265

 
$
(224
)
 
$
612

 
$
(1,239
)
 
$
(627
)
Interest rate and foreign currency risk on long-term debt (1)
(1,631
)
 
1,620

 
(11
)
 
(1,368
)
 
1,305

 
(63
)
Interest rate risk on available-for-sale securities (2)
1

 
(21
)
 
(20
)
 
(20
)
 
(5
)
 
(25
)
Price risk on commodity inventory (3)
7

 
(7
)
 
—

 
9

 
(4
)
 
5

Total
$
(2,112
)
 
$
1,857

 
$
(255
)
 
$
(767
)
 
$
57

 
$
(710
)
(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 the three and nine months ended September 30, 2015 and 2014. Of the $1.2 billion net loss (after-tax) on derivatives in accumulated other comprehensive income (OCI) at September 30, 2015, $643 million ($402 million after-tax) 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.

Derivatives Designated as Cash Flow and Net Investment Hedges
 
 
 
 
 
 
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2015
 
2015
(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)
 
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
$
94

 
$
(254
)
 
$
4

 
$
99

 
$
(768
)
 
$
3

Price risk on restricted stock awards (2)
(112
)
 
30

 
—

 
(141
)
 
57

 
—

Total
$
(18
)
 
$
(224
)
 
$
4

 
$
(42
)
 
$
(711
)
 
$
3

Net investment hedges
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange risk
$
1,407

 
$
14

 
$
(98
)
 
$
2,397

 
$
98

 
$
(185
)
 
 
 
 
 
 
 
 
 
 
 
 
 
2014
 
2014
Cash flow hedges
 
 
 
 
 
 
 
 
 
 
 
Interest rate risk on variable-rate portfolios
$
(12
)
 
$
(271
)
 
$
(4
)
 
$
33

 
$
(831
)
 
$
(4
)
Price risk on restricted stock awards (2)
137

 
85

 
—

 
73

 
310

 
—

Total
$
125

 
$
(186
)
 
$
(4
)
 
$
106

 
$
(521
)
 
$
(4
)
Net investment hedges
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange risk
$
2,286

 
$
9

 
$
(150
)
 
$
1,308

 
$
7

 
$
(326
)
(1) 
Amounts related to derivatives designated as 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 the three and nine months ended September 30, 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)
Three Months Ended September 30
 
Nine Months Ended September 30
(Dollars in millions)
2015
 
2014
 
2015
 
2014
Interest rate risk on mortgage banking income (1)
$
474

 
$
(7
)
 
$
380

 
$
369

Credit risk on loans (2)
24

 
12

 
(34
)
 
(21
)
Interest rate and foreign currency risk on ALM activities (3)
(527
)
 
(1,359
)
 
(202
)
 
(2,670
)
Price risk on restricted stock awards (4)
(229
)
 
373

 
(473
)
 
399

Other
22

 
(3
)
 
15

 
(7
)
(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, interest rate lock commitments 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 interest rate lock commitments 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 $184 million and $611 million for the three and nine months ended September 30, 2015 compared to $166 million and $564 million for the same periods in 2014.
(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 table below, 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, 2015 and 2014. The difference between total trading account profits in the table below 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 18 – 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended September 30
 
Nine Months Ended September 30
 
2015
 
2015
(Dollars in millions)
Trading
Account
Profits
 
Net Interest Income
 
Other (1)
 
Total
 
Trading
Account
Profits
 
Net Interest Income
 
Other (1)
 
Total
Interest rate risk
$
395

 
$
372

 
$
231

 
$
998

 
$
1,240

 
$
1,035

 
$
464

 
$
2,739

Foreign exchange risk
310

 
(3
)
 
(36
)
 
271

 
1,051

 
(6
)
 
(98
)
 
947

Equity risk
558

 
38

 
590

 
1,186

 
1,795

 
14

 
1,732

 
3,541

Credit risk
84

 
615

 
105

 
804

 
825

 
1,776

 
397

 
2,998

Other risk
115

 
(24
)
 
83

 
174

 
371

 
(62
)
 
158

 
467

Total sales and trading revenue
$
1,462

 
$
998

 
$
973

 
$
3,433

 
$
5,282

 
$
2,757

 
$
2,653

 
$
10,692

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
2014
 
2014
Interest rate risk
$
403

 
$
257

 
$
85

 
$
745

 
$
1,210

 
$
791

 
$
318

 
$
2,319

Foreign exchange risk
372

 
—

 
(32
)
 
340

 
837

 
4

 
(93
)
 
748

Equity risk
502

 
5

 
598

 
1,105

 
1,653

 
(87
)
 
1,768

 
3,334

Credit risk
330

 
637

 
111

 
1,078

 
1,865

 
1,945

 
473

 
4,283

Other risk
179

 
(25
)
 
31

 
185

 
356

 
(85
)
 
113

 
384

Total sales and trading revenue
$
1,786

 
$
874

 
$
793

 
$
3,453

 
$
5,921

 
$
2,568

 
$
2,579

 
$
11,068

(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 $568 million and $1.7 billion for the three and nine months ended September 30, 2015 and $528 million and $1.6 billion for the same periods in 2014.

Disclosure of Credit Derivatives
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration are summarized in the table below. 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
 
 
 
September 30, 2015
 
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
$
59

 
$
526

 
$
2,247

 
$
1,362

 
$
4,194

Non-investment grade
414

 
2,526

 
2,365

 
3,703

 
9,008

Total
473

 
3,052

 
4,612

 
5,065

 
13,202

Total return swaps/other:
 
 
 
 
 
 
 
 
 
Investment grade
44

 
—

 
—

 
—

 
44

Non-investment grade
277

 
263

 
11

 
—

 
551

Total
321

 
263

 
11

 
—

 
595

Total credit derivatives
$
794

 
$
3,315

 
$
4,623

 
$
5,065

 
$
13,797

Credit-related notes:
 
 
 
 
 
 
 
 
 
Investment grade
$
4

 
$
18

 
$
207

 
$
2,742

 
$
2,971

Non-investment grade
49

 
100

 
59

 
1,477

 
1,685

Total credit-related notes
$
53

 
$
118

 
$
266

 
$
4,219

 
$
4,656

 
Maximum Payout/Notional
Credit default swaps:
 
 
 
 
 
 
 
 
 
Investment grade
$
131,368

 
$
304,659

 
$
198,283

 
$
50,319

 
$
684,629

Non-investment grade
64,553

 
159,200

 
59,706

 
23,875

 
307,334

Total
195,921

 
463,859

 
257,989

 
74,194

 
991,963

Total return swaps/other:
 
 
 
 
 
 
 
 
 
Investment grade
26,353

 
—

 
—

 
—

 
26,353

Non-investment grade
14,984

 
8,081

 
1,321

 
232

 
24,618

Total
41,337

 
8,081

 
1,321

 
232

 
50,971

Total credit derivatives
$
237,258

 
$
471,940

 
$
259,310

 
$
74,426

 
$
1,042,934

 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
Carrying Value
Credit default swaps:
 
 
 
 
 
 
 
 
 
Investment grade
$
100

 
$
714

 
$
1,455

 
$
939

 
$
3,208

Non-investment grade
916

 
2,107

 
1,338

 
4,301

 
8,662

Total
1,016

 
2,821

 
2,793

 
5,240

 
11,870

Total return swaps/other:
 
 
 
 
 
 
 
 
 
Investment grade
24

 
—

 
—

 
—

 
24

Non-investment grade
64

 
247

 
2

 
—

 
313

Total
88

 
247

 
2

 
—

 
337

Total credit derivatives
$
1,104

 
$
3,068

 
$
2,795

 
$
5,240

 
$
12,207

Credit-related notes:
 
 
 
 
 
 
 
 
 
Investment grade
$
2

 
$
365

 
$
568

 
$
2,634

 
$
3,569

Non-investment grade
5

 
141

 
85

 
1,443

 
1,674

Total credit-related notes
$
7

 
$
506

 
$
653

 
$
4,077

 
$
5,243

 
Maximum Payout/Notional
Credit default swaps:
 
 
 
 
 
 
 
 
 
Investment grade
$
132,974

 
$
342,914

 
$
242,728

 
$
28,982

 
$
747,598

Non-investment grade
54,326

 
170,580

 
80,011

 
20,586

 
325,503

Total
187,300

 
513,494

 
322,739

 
49,568

 
1,073,101

Total return swaps/other:
 
 
 
 
 
 
 
 
 
Investment grade
22,645

 
—

 
—

 
—

 
22,645

Non-investment grade
23,839

 
10,792

 
3,268

 
487

 
38,386

Total
46,484

 
10,792

 
3,268

 
487

 
61,031

Total credit derivatives
$
233,784

 
$
524,286

 
$
326,007

 
$
50,055

 
$
1,134,132


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 September 30, 2015 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
 
September 30, 2015
(Dollars in millions)
One incremental notch
 
Second incremental notch
Bank of America Corporation
$
1,224

 
$
1,502

Bank of America, N.A. and subsidiaries (1)
940

 
1,043

(1) 
Included in Bank of America Corporation collateral requirements in this table.
Derivative Liabilities 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 September 30, 2015 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
 
September 30, 2015
(Dollars in millions)
One incremental notch
 
Second incremental notch
Derivative liabilities
$
629

 
$
3,495

Collateral posted
585

 
3,042

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 the three and nine months ended September 30, 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)
Three Months Ended September 30
 
Nine Months Ended September 30
 
2015
 
2014
 
2015
 
2014
(Dollars in millions)
Gross
Net
 
Gross
Net
 
Gross
Net
 
Gross
Net
Derivative assets (CVA) (1)
$
(137
)
$
67

 
$
(139
)
$
51

 
$
85

$
174

 
$
179

$
252

Derivative assets (FVA) (2)
(48
)
(48
)
 
—

—

 
(37
)
(37
)
 
—

—

Derivative liabilities (DVA) (3)
132

66

 
113

68

 
141

16

 
29

(16
)
Derivative liabilities (FVA) (2)
—

—

 
—

—

 
54

54

 
—

—

(1) 
At both September 30, 2015 and December 31, 2014, the cumulative CVA reduced the derivative assets balance by $1.6 billion.
(2) 
At September 30, 2015 and December 31, 2014, the cumulative FVA reduced the net derivatives balances by $480 million and $497 million.
(3) 
At September 30, 2015 and December 31, 2014, the cumulative DVA reduced the derivative liabilities balance by $910 million and $769 million.
Derivative  
Derivative [Line Items]  
Offsetting Liabilities
Offsetting of Derivatives
 
 
 
 
 
 
 
 
September 30, 2015
 
December 31, 2014
(Dollars in billions)
Derivative
Assets
 
Derivative
Liabilities
 
Derivative
Assets
 
Derivative
Liabilities
Interest rate contracts
 
 
 
 
 
 
 
Over-the-counter
$
344.0

 
$
328.0

 
$
386.6

 
$
373.2

Exchange-traded
0.1

 
0.1

 
0.1

 
0.1

Over-the-counter cleared
235.4

 
239.4

 
365.7

 
368.7

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
104.6

 
107.6

 
133.0

 
139.9

Over-the-counter cleared
0.1

 
0.1

 
—

 
—

Equity contracts
 

 
 
 
 

 
 
Over-the-counter
20.0

 
16.9

 
19.5

 
16.7

Exchange-traded
12.8

 
12.1

 
8.6

 
7.8

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
7.5

 
9.7

 
10.2

 
11.9

Exchange-traded
4.4

 
4.6

 
7.4

 
7.7

Over-the-counter cleared
0.1

 
0.1

 
0.1

 
0.6

Credit derivatives
 

 
 

 
 

 
 

Over-the-counter
25.4

 
23.9

 
30.8

 
30.2

Over-the-counter cleared
6.2

 
6.2

 
7.0

 
6.8

Total gross derivative assets/liabilities, before netting


 


 
 
 
 
Over-the-counter
501.5

 
486.1

 
580.1

 
571.9

Exchange-traded
17.3

 
16.8

 
16.1

 
15.6

Over-the-counter cleared
241.8

 
245.8

 
372.8

 
376.1

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(465.0
)
 
(459.9
)
 
(545.7
)
 
(545.5
)
Exchange-traded
(13.9
)
 
(13.9
)
 
(13.9
)
 
(13.9
)
Over-the-counter cleared
(241.4
)
 
(245.7
)
 
(372.5
)
 
(375.5
)
Derivative assets/liabilities, after netting
40.3

 
29.2

 
36.9

 
28.7

Other gross derivative assets/liabilities
14.9

 
16.7

 
15.8

 
18.2

Total derivative assets/liabilities
55.2

 
45.9

 
52.7

 
46.9

Less: Financial instruments collateral (1)
(14.5
)
 
(7.0
)
 
(13.3
)
 
(8.9
)
Total net derivative assets/liabilities
$
40.7

 
$
38.9

 
$
39.4

 
$
38.0

(1)
These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged.
Offsetting Assets
Offsetting of Derivatives
 
 
 
 
 
 
 
 
September 30, 2015
 
December 31, 2014
(Dollars in billions)
Derivative
Assets
 
Derivative
Liabilities
 
Derivative
Assets
 
Derivative
Liabilities
Interest rate contracts
 
 
 
 
 
 
 
Over-the-counter
$
344.0

 
$
328.0

 
$
386.6

 
$
373.2

Exchange-traded
0.1

 
0.1

 
0.1

 
0.1

Over-the-counter cleared
235.4

 
239.4

 
365.7

 
368.7

Foreign exchange contracts
 
 
 
 
 
 
 
Over-the-counter
104.6

 
107.6

 
133.0

 
139.9

Over-the-counter cleared
0.1

 
0.1

 
—

 
—

Equity contracts
 

 
 
 
 

 
 
Over-the-counter
20.0

 
16.9

 
19.5

 
16.7

Exchange-traded
12.8

 
12.1

 
8.6

 
7.8

Commodity contracts
 
 
 
 
 
 
 
Over-the-counter
7.5

 
9.7

 
10.2

 
11.9

Exchange-traded
4.4

 
4.6

 
7.4

 
7.7

Over-the-counter cleared
0.1

 
0.1

 
0.1

 
0.6

Credit derivatives
 

 
 

 
 

 
 

Over-the-counter
25.4

 
23.9

 
30.8

 
30.2

Over-the-counter cleared
6.2

 
6.2

 
7.0

 
6.8

Total gross derivative assets/liabilities, before netting


 


 
 
 
 
Over-the-counter
501.5

 
486.1

 
580.1

 
571.9

Exchange-traded
17.3

 
16.8

 
16.1

 
15.6

Over-the-counter cleared
241.8

 
245.8

 
372.8

 
376.1

Less: Legally enforceable master netting agreements and cash collateral received/paid
 
 
 
 
 
 
 
Over-the-counter
(465.0
)
 
(459.9
)
 
(545.7
)
 
(545.5
)
Exchange-traded
(13.9
)
 
(13.9
)
 
(13.9
)
 
(13.9
)
Over-the-counter cleared
(241.4
)
 
(245.7
)
 
(372.5
)
 
(375.5
)
Derivative assets/liabilities, after netting
40.3

 
29.2

 
36.9

 
28.7

Other gross derivative assets/liabilities
14.9

 
16.7

 
15.8

 
18.2

Total derivative assets/liabilities
55.2

 
45.9

 
52.7

 
46.9

Less: Financial instruments collateral (1)
(14.5
)
 
(7.0
)
 
(13.3
)
 
(8.9
)
Total net derivative assets/liabilities
$
40.7

 
$
38.9

 
$
39.4

 
$
38.0

(1)
These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged