Derivatives (Tables)
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3 Months Ended |
Mar. 31, 2016 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Derivative Instruments |
The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2016 and December 31, 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.
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March 31, 2016 |
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Gross Derivative Assets |
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Gross Derivative Liabilities |
(Dollars in billions) |
Contract/
Notional (1)
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Trading and Other Risk Management Derivatives |
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Qualifying
Accounting
Hedges
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Total |
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Trading and Other Risk Management Derivatives |
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Qualifying
Accounting
Hedges
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Total |
Interest rate contracts |
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Swaps |
$ |
21,540.3 |
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$ |
573.5 |
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$ |
9.8 |
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$ |
583.3 |
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$ |
572.1 |
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$ |
0.7 |
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$ |
572.8 |
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Futures and forwards |
8,148.6 |
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2.0 |
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— |
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2.0 |
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2.1 |
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— |
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2.1 |
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Written options |
1,364.0 |
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— |
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— |
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— |
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73.5 |
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— |
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73.5 |
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Purchased options |
1,433.7 |
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75.4 |
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— |
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75.4 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
2,116.2 |
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57.0 |
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0.8 |
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57.8 |
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57.7 |
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2.8 |
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60.5 |
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Spot, futures and forwards |
4,496.6 |
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56.9 |
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0.8 |
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57.7 |
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60.9 |
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0.9 |
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61.8 |
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Written options |
500.4 |
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— |
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— |
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— |
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10.1 |
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— |
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10.1 |
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Purchased options |
464.1 |
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9.9 |
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— |
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9.9 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
186.5 |
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4.0 |
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— |
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4.0 |
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4.5 |
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— |
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4.5 |
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Futures and forwards |
71.4 |
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2.2 |
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— |
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2.2 |
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1.1 |
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— |
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1.1 |
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Written options |
406.1 |
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— |
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— |
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— |
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23.2 |
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— |
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23.2 |
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Purchased options |
375.1 |
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25.4 |
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— |
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25.4 |
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— |
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— |
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— |
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Commodity contracts |
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Swaps |
47.2 |
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3.9 |
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— |
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3.9 |
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6.4 |
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— |
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6.4 |
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Futures and forwards |
285.3 |
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3.9 |
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— |
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3.9 |
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0.7 |
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— |
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0.7 |
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Written options |
56.9 |
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— |
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— |
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— |
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4.6 |
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— |
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4.6 |
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Purchased options |
63.0 |
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4.7 |
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— |
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4.7 |
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— |
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— |
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— |
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Credit derivatives |
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Purchased credit derivatives: |
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Credit default swaps |
944.1 |
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12.7 |
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— |
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12.7 |
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14.1 |
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— |
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14.1 |
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Total return swaps/other |
35.0 |
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0.3 |
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— |
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0.3 |
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2.0 |
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— |
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2.0 |
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Written credit derivatives: |
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Credit default swaps |
931.7 |
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14.4 |
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— |
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14.4 |
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11.5 |
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— |
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11.5 |
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Total return swaps/other |
54.1 |
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2.7 |
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— |
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2.7 |
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1.8 |
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— |
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1.8 |
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Gross derivative assets/liabilities |
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$ |
848.9 |
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$ |
11.4 |
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$ |
860.3 |
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$ |
846.3 |
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$ |
4.4 |
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$ |
850.7 |
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Less: Legally enforceable master netting agreements |
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(764.0 |
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(764.0 |
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Less: Cash collateral received/paid |
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(44.0 |
) |
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(45.6 |
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Total derivative assets/liabilities |
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$ |
52.3 |
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$ |
41.1 |
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(1) |
Represents the total contract/notional amount of derivative assets and liabilities outstanding. |
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December 31, 2015 |
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Gross Derivative Assets |
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Gross Derivative Liabilities |
(Dollars in billions) |
Contract/
Notional (1)
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Trading and Other Risk Management Derivatives |
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Qualifying
Accounting
Hedges
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Total |
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Trading and Other Risk Management Derivatives |
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Qualifying
Accounting
Hedges
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Total |
Interest rate contracts |
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Swaps |
$ |
21,706.8 |
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$ |
439.6 |
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$ |
7.4 |
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$ |
447.0 |
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$ |
440.7 |
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$ |
1.2 |
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$ |
441.9 |
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Futures and forwards |
7,259.7 |
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1.1 |
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— |
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1.1 |
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1.3 |
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— |
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1.3 |
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Written options |
1,322.4 |
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— |
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— |
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— |
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57.7 |
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— |
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57.7 |
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Purchased options |
1,403.3 |
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58.9 |
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— |
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58.9 |
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— |
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— |
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— |
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Foreign exchange contracts |
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Swaps |
2,149.9 |
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49.2 |
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0.9 |
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50.1 |
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52.2 |
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2.8 |
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55.0 |
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Spot, futures and forwards |
4,104.4 |
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46.0 |
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1.2 |
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47.2 |
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45.8 |
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0.3 |
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46.1 |
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Written options |
467.2 |
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— |
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— |
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— |
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|
10.6 |
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— |
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10.6 |
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Purchased options |
439.9 |
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10.2 |
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— |
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10.2 |
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— |
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— |
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— |
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Equity contracts |
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Swaps |
201.2 |
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3.3 |
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— |
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3.3 |
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3.8 |
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— |
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3.8 |
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Futures and forwards |
74.0 |
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2.1 |
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— |
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2.1 |
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1.2 |
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— |
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1.2 |
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Written options |
352.8 |
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— |
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— |
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— |
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21.1 |
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— |
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21.1 |
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Purchased options |
325.4 |
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23.8 |
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— |
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23.8 |
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— |
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— |
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— |
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Commodity contracts |
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Swaps |
47.0 |
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4.7 |
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— |
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4.7 |
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7.1 |
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— |
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7.1 |
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Futures and forwards |
268.7 |
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3.8 |
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— |
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3.8 |
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0.7 |
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— |
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0.7 |
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Written options |
58.7 |
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— |
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— |
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— |
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5.5 |
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— |
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5.5 |
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Purchased options |
65.7 |
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5.3 |
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— |
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5.3 |
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— |
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— |
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— |
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Credit derivatives |
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Purchased credit derivatives: |
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Credit default swaps |
928.3 |
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14.4 |
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— |
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14.4 |
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14.8 |
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— |
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14.8 |
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Total return swaps/other |
26.4 |
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0.2 |
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— |
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0.2 |
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1.9 |
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— |
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1.9 |
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Written credit derivatives: |
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Credit default swaps |
924.1 |
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|
15.3 |
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— |
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15.3 |
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|
13.1 |
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— |
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|
13.1 |
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Total return swaps/other |
39.7 |
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2.3 |
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— |
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2.3 |
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0.4 |
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— |
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|
0.4 |
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Gross derivative assets/liabilities |
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|
$ |
680.2 |
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$ |
9.5 |
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$ |
689.7 |
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$ |
677.9 |
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$ |
4.3 |
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$ |
682.2 |
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Less: Legally enforceable master netting agreements |
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(597.8 |
) |
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(597.8 |
) |
Less: Cash collateral received/paid |
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(41.9 |
) |
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(45.9 |
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Total derivative assets/liabilities |
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$ |
50.0 |
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$ |
38.5 |
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(1) |
Represents the total contract/notional amount of derivative assets and liabilities outstanding. |
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| Derivative [Line Items] |
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| Schedule of Derivative Instruments in Statement of Financial Position, Fair Value |
The table below summarizes information related to fair value hedges for the three months ended March 31, 2016 and 2015, 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.
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Derivatives Designated as Fair Value Hedges |
Gains (Losses) |
Three Months Ended March 31 |
|
2016 |
(Dollars in millions) |
Derivative |
|
Hedged
Item
|
|
Hedge
Ineffectiveness
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Interest rate risk on long-term debt (1)
|
$ |
2,661 |
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|
$ |
(2,854 |
) |
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$ |
(193 |
) |
Interest rate and foreign currency risk on long-term debt (1)
|
839 |
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|
(846 |
) |
|
(7 |
) |
Interest rate risk on available-for-sale securities (2)
|
(151 |
) |
|
132 |
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|
(19 |
) |
Price risk on commodity inventory (3)
|
2 |
|
|
(2 |
) |
|
— |
|
Total |
$ |
3,351 |
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|
$ |
(3,570 |
) |
|
$ |
(219 |
) |
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|
2015 |
Interest rate risk on long-term debt (1)
|
$ |
1,096 |
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|
$ |
(1,292 |
) |
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$ |
(196 |
) |
Interest rate and foreign currency risk on long-term debt (1)
|
(1,644 |
) |
|
1,588 |
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|
(56 |
) |
Interest rate risk on available-for-sale securities (2)
|
43 |
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|
(45 |
) |
|
(2 |
) |
Price risk on commodity inventory (3)
|
11 |
|
|
(7 |
) |
|
4 |
|
Total |
$ |
(494 |
) |
|
$ |
244 |
|
|
$ |
(250 |
) |
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(1) |
Amounts are recorded in interest expense on long-term debt and in other income. |
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(2) |
Amounts are recorded in interest income on debt securities. |
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(3) |
Amounts relating to commodity inventory are recorded in trading account profits. |
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| Cash Flow and Net Investment Hedges |
The table below summarizes certain information related to cash flow hedges and net investment hedges for the three months ended March 31, 2016 and 2015. Of the $1.1 billion net loss (after-tax) on derivatives in accumulated other comprehensive income (OCI) at March 31, 2016, $366 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. 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.
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Derivatives Designated as Cash Flow and Net Investment Hedges |
|
Three Months Ended March 31 |
|
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 |
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|
Interest rate risk on variable-rate portfolios |
$ |
39 |
|
|
$ |
(164 |
) |
|
$ |
6 |
|
Price risk on restricted stock awards (2)
|
(198 |
) |
|
(34 |
) |
|
— |
|
Total |
$ |
(159 |
) |
|
$ |
(198 |
) |
|
$ |
6 |
|
Net investment hedges |
|
|
|
|
|
Foreign exchange risk |
$ |
(633 |
) |
|
$ |
1 |
|
|
$ |
(143 |
) |
|
|
|
|
|
|
|
2015 |
Cash flow hedges |
|
|
|
|
|
Interest rate risk on variable-rate portfolios |
$ |
24 |
|
|
$ |
(255 |
) |
|
$ |
(1 |
) |
Price risk on restricted stock awards (2)
|
(210 |
) |
|
(1 |
) |
|
— |
|
Total |
$ |
(186 |
) |
|
$ |
(256 |
) |
|
$ |
(1 |
) |
Net investment hedges |
|
|
|
|
|
Foreign exchange risk |
$ |
1,982 |
|
|
$ |
— |
|
|
$ |
(98 |
) |
|
|
(1) |
Amounts related to cash flow hedges represent hedge ineffectiveness and amounts related to net investment hedges represent amounts excluded from effectiveness testing. |
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|
(2) |
The hedge gain (loss) recognized in accumulated OCI is primarily related to the change in the Corporation's stock price for the period. |
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| Other Risk Management Derivatives |
The table below presents gains (losses) on these derivatives for the three months ended March 31, 2016 and 2015. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.
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Other Risk Management Derivatives |
Gains (Losses) |
Three Months Ended March 31 |
(Dollars in millions) |
2016 |
|
2015 |
Interest rate risk on mortgage banking income (1)
|
$ |
546 |
|
|
$ |
296 |
|
Credit risk on loans (2)
|
(65 |
) |
|
(27 |
) |
Interest rate and foreign currency risk on ALM activities (3)
|
(884 |
) |
|
(319 |
) |
Price risk on restricted stock awards (4)
|
(741 |
) |
|
(470 |
) |
Other |
26 |
|
|
13 |
|
|
|
(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 $151 million and $260 million for the three months ended March 31, 2016 and 2015.
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|
(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. |
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|
(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. |
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|
(4) |
Gains (losses) on these derivatives are recorded in personnel expense. |
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| 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 months ended March 31, 2016 and 2015. 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.
The results for the three months ended March 31, 2015 were impacted by the early adoption of new accounting guidance on recognition and measurement of financial instruments. As such, amounts in the "Other" column exclude unrealized DVA resulting from changes in the Corporation's own credit spreads on liabilities accounted for under the fair value option. For more information on the new accounting guidance, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2015 Annual Report on Form 10-K.
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Sales and Trading Revenue |
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|
Three Months Ended March 31 |
|
2016 |
(Dollars in millions) |
Trading
Account
Profits
|
|
Net Interest Income |
|
Other (1)
|
|
Total |
Interest rate risk |
$ |
496 |
|
|
$ |
429 |
|
|
$ |
52 |
|
|
$ |
977 |
|
Foreign exchange risk |
340 |
|
|
(1 |
) |
|
(36 |
) |
|
303 |
|
Equity risk |
433 |
|
|
1 |
|
|
597 |
|
|
1,031 |
|
Credit risk |
202 |
|
|
625 |
|
|
139 |
|
|
966 |
|
Other risk |
121 |
|
|
(16 |
) |
|
15 |
|
|
120 |
|
Total sales and trading revenue |
$ |
1,592 |
|
|
$ |
1,038 |
|
|
$ |
767 |
|
|
$ |
3,397 |
|
|
|
|
|
|
|
|
|
|
2015 |
Interest rate risk |
$ |
515 |
|
|
$ |
291 |
|
|
$ |
(270 |
) |
|
$ |
536 |
|
Foreign exchange risk |
446 |
|
|
(2 |
) |
|
(31 |
) |
|
413 |
|
Equity risk |
570 |
|
|
13 |
|
|
549 |
|
|
1,132 |
|
Credit risk |
444 |
|
|
571 |
|
|
184 |
|
|
1,199 |
|
Other risk |
156 |
|
|
(21 |
) |
|
26 |
|
|
161 |
|
Total sales and trading revenue |
$ |
2,131 |
|
|
$ |
852 |
|
|
$ |
458 |
|
|
$ |
3,441 |
|
|
|
(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 $559 million and $567 million for the three months ended March 31, 2016 and 2015.
|
|
| 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 |
|
|
|
March 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 |
$ |
27 |
|
|
$ |
204 |
|
|
$ |
1,012 |
|
|
$ |
843 |
|
|
$ |
2,086 |
|
Non-investment grade |
545 |
|
|
2,586 |
|
|
2,382 |
|
|
3,889 |
|
|
9,402 |
|
Total |
572 |
|
|
2,790 |
|
|
3,394 |
|
|
4,732 |
|
|
11,488 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
Investment grade |
12 |
|
|
— |
|
|
— |
|
|
— |
|
|
12 |
|
Non-investment grade |
1,644 |
|
|
75 |
|
|
25 |
|
|
3 |
|
|
1,747 |
|
Total |
1,656 |
|
|
75 |
|
|
25 |
|
|
3 |
|
|
1,759 |
|
Total credit derivatives |
$ |
2,228 |
|
|
$ |
2,865 |
|
|
$ |
3,419 |
|
|
$ |
4,735 |
|
|
$ |
13,247 |
|
Credit-related notes: |
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
324 |
|
|
$ |
27 |
|
|
$ |
577 |
|
|
$ |
1,975 |
|
|
$ |
2,903 |
|
Non-investment grade |
93 |
|
|
75 |
|
|
106 |
|
|
1,169 |
|
|
1,443 |
|
Total credit-related notes |
$ |
417 |
|
|
$ |
102 |
|
|
$ |
683 |
|
|
$ |
3,144 |
|
|
$ |
4,346 |
|
|
Maximum Payout/Notional |
Credit default swaps: |
|
|
|
|
|
|
|
|
|
Investment grade |
$ |
153,421 |
|
|
$ |
258,645 |
|
|
$ |
171,041 |
|
|
$ |
37,517 |
|
|
$ |
620,624 |
|
Non-investment grade |
86,272 |
|
|
137,244 |
|
|
63,801 |
|
|
23,711 |
|
|
311,028 |
|
Total |
239,693 |
|
|
395,889 |
|
|
234,842 |
|
|
61,228 |
|
|
931,652 |
|
Total return swaps/other: |
|
|
|
|
|
|
|
|
|
Investment grade |
18,090 |
|
|
— |
|
|
— |
|
|
— |
|
|
18,090 |
|
Non-investment grade |
28,101 |
|
|
6,502 |
|
|
1,182 |
|
|
254 |
|
|
36,039 |
|
Total |
46,191 |
|
|
6,502 |
|
|
1,182 |
|
|
254 |
|
|
54,129 |
|
Total credit derivatives |
$ |
285,884 |
|
|
$ |
402,391 |
|
|
$ |
236,024 |
|
|
$ |
61,482 |
|
|
$ |
985,781 |
|
|
|
|
|
|
|
|
|
|
|
|
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 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 March 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 |
|
March 31, 2016 |
(Dollars in millions) |
One incremental notch |
|
Second incremental notch |
Bank of America Corporation |
$ |
893 |
|
|
$ |
1,981 |
|
Bank of America, N.A. and subsidiaries (1)
|
678 |
|
|
1,516 |
|
|
|
(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 March 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 |
|
March 31, 2016 |
(Dollars in millions) |
One incremental notch |
|
Second incremental notch |
Derivative liabilities |
$ |
1,177 |
|
|
$ |
3,554 |
|
Collateral posted |
856 |
|
|
3,095 |
|
|
| 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 months ended March 31, 2016 and 2015. 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 March 31 |
|
2016 |
|
2015 |
(Dollars in millions) |
Gross |
Net |
|
Gross |
Net |
Derivative assets (CVA) (1)
|
$ |
(209 |
) |
$ |
52 |
|
|
$ |
8 |
|
$ |
124 |
|
Derivative assets (FVA) (2)
|
(55 |
) |
(55 |
) |
|
34 |
|
34 |
|
Derivative liabilities (DVA) (3)
|
306 |
|
184 |
|
|
23 |
|
(46 |
) |
Derivative liabilities (FVA) (2)
|
(1 |
) |
(1 |
) |
|
(28 |
) |
(28 |
) |
|
|
(1) |
At March 31, 2016 and December 31, 2015, the cumulative CVA changed the derivative assets balance to $1.6 billion and $1.4 billion.
|
|
|
(2) |
At March 31, 2016 and December 31, 2015, the cumulative FVA changed the net derivatives balances to $537 million and $481 million.
|
|
|
(3) |
At March 31, 2016 and December 31, 2015, the cumulative DVA changed the derivative liabilities balance to $1.1 billion and $750 million.
|
|
| Derivative |
|
| Derivative [Line Items] |
|
| Offsetting Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offsetting of Derivatives |
|
|
|
|
|
|
|
|
March 31, 2016 |
|
December 31, 2015 |
(Dollars in billions) |
Derivative
Assets
|
|
Derivative
Liabilities
|
|
Derivative
Assets
|
|
Derivative
Liabilities
|
Interest rate contracts |
|
|
|
|
|
|
|
Over-the-counter |
$ |
371.3 |
|
|
$ |
357.8 |
|
|
$ |
309.3 |
|
|
$ |
297.2 |
|
Exchange-traded |
0.1 |
|
|
— |
|
|
— |
|
|
— |
|
Over-the-counter cleared |
287.3 |
|
|
288.3 |
|
|
197.0 |
|
|
201.7 |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Over-the-counter |
120.6 |
|
|
127.3 |
|
|
103.2 |
|
|
107.5 |
|
Over-the-counter cleared |
0.2 |
|
|
0.2 |
|
|
0.1 |
|
|
0.1 |
|
Equity contracts |
|
|
|
|
|
|
|
|
|
Over-the-counter |
17.3 |
|
|
14.3 |
|
|
16.6 |
|
|
14.0 |
|
Exchange-traded |
11.7 |
|
|
10.6 |
|
|
10.0 |
|
|
9.2 |
|
Commodity contracts |
|
|
|
|
|
|
|
Over-the-counter |
6.1 |
|
|
7.5 |
|
|
7.3 |
|
|
8.9 |
|
Exchange-traded |
2.7 |
|
|
2.6 |
|
|
2.9 |
|
|
2.9 |
|
Over-the-counter cleared |
0.1 |
|
|
0.1 |
|
|
0.1 |
|
|
0.1 |
|
Credit derivatives |
|
|
|
|
|
|
|
|
|
|
|
Over-the-counter |
23.0 |
|
|
22.3 |
|
|
24.6 |
|
|
22.9 |
|
Over-the-counter cleared |
6.1 |
|
|
6.2 |
|
|
6.5 |
|
|
6.4 |
|
Total gross derivative assets/liabilities, before netting |
|
|
|
|
|
|
|
|
|
Over-the-counter |
538.3 |
|
|
529.2 |
|
|
461.0 |
|
|
450.5 |
|
Exchange-traded |
14.5 |
|
|
13.2 |
|
|
12.9 |
|
|
12.1 |
|
Over-the-counter cleared |
293.7 |
|
|
294.8 |
|
|
203.7 |
|
|
208.3 |
|
Less: Legally enforceable master netting agreements and cash collateral received/paid |
|
|
|
|
|
|
|
Over-the-counter |
(503.4 |
) |
|
(503.7 |
) |
|
(426.6 |
) |
|
(425.7 |
) |
Exchange-traded |
(11.2 |
) |
|
(11.2 |
) |
|
(9.8 |
) |
|
(9.8 |
) |
Over-the-counter cleared |
(293.4 |
) |
|
(294.7 |
) |
|
(203.3 |
) |
|
(208.2 |
) |
Derivative assets/liabilities, after netting |
38.5 |
|
|
27.6 |
|
|
37.9 |
|
|
27.2 |
|
Other gross derivative assets/liabilities |
13.8 |
|
|
13.5 |
|
|
12.1 |
|
|
11.3 |
|
Total derivative assets/liabilities |
52.3 |
|
|
41.1 |
|
|
50.0 |
|
|
38.5 |
|
Less: Financial instruments collateral (1)
|
(14.3 |
) |
|
(8.5 |
) |
|
(13.9 |
) |
|
(6.5 |
) |
Total net derivative assets/liabilities |
$ |
38.0 |
|
|
$ |
32.6 |
|
|
$ |
36.1 |
|
|
$ |
32.0 |
|
|
|
(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 |
|
|
|
|
|
|
|
|
March 31, 2016 |
|
December 31, 2015 |
(Dollars in billions) |
Derivative
Assets
|
|
Derivative
Liabilities
|
|
Derivative
Assets
|
|
Derivative
Liabilities
|
Interest rate contracts |
|
|
|
|
|
|
|
Over-the-counter |
$ |
371.3 |
|
|
$ |
357.8 |
|
|
$ |
309.3 |
|
|
$ |
297.2 |
|
Exchange-traded |
0.1 |
|
|
— |
|
|
— |
|
|
— |
|
Over-the-counter cleared |
287.3 |
|
|
288.3 |
|
|
197.0 |
|
|
201.7 |
|
Foreign exchange contracts |
|
|
|
|
|
|
|
Over-the-counter |
120.6 |
|
|
127.3 |
|
|
103.2 |
|
|
107.5 |
|
Over-the-counter cleared |
0.2 |
|
|
0.2 |
|
|
0.1 |
|
|
0.1 |
|
Equity contracts |
|
|
|
|
|
|
|
|
|
Over-the-counter |
17.3 |
|
|
14.3 |
|
|
16.6 |
|
|
14.0 |
|
Exchange-traded |
11.7 |
|
|
10.6 |
|
|
10.0 |
|
|
9.2 |
|
Commodity contracts |
|
|
|
|
|
|
|
Over-the-counter |
6.1 |
|
|
7.5 |
|
|
7.3 |
|
|
8.9 |
|
Exchange-traded |
2.7 |
|
|
2.6 |
|
|
2.9 |
|
|
2.9 |
|
Over-the-counter cleared |
0.1 |
|
|
0.1 |
|
|
0.1 |
|
|
0.1 |
|
Credit derivatives |
|
|
|
|
|
|
|
|
|
|
|
Over-the-counter |
23.0 |
|
|
22.3 |
|
|
24.6 |
|
|
22.9 |
|
Over-the-counter cleared |
6.1 |
|
|
6.2 |
|
|
6.5 |
|
|
6.4 |
|
Total gross derivative assets/liabilities, before netting |
|
|
|
|
|
|
|
|
|
Over-the-counter |
538.3 |
|
|
529.2 |
|
|
461.0 |
|
|
450.5 |
|
Exchange-traded |
14.5 |
|
|
13.2 |
|
|
12.9 |
|
|
12.1 |
|
Over-the-counter cleared |
293.7 |
|
|
294.8 |
|
|
203.7 |
|
|
208.3 |
|
Less: Legally enforceable master netting agreements and cash collateral received/paid |
|
|
|
|
|
|
|
Over-the-counter |
(503.4 |
) |
|
(503.7 |
) |
|
(426.6 |
) |
|
(425.7 |
) |
Exchange-traded |
(11.2 |
) |
|
(11.2 |
) |
|
(9.8 |
) |
|
(9.8 |
) |
Over-the-counter cleared |
(293.4 |
) |
|
(294.7 |
) |
|
(203.3 |
) |
|
(208.2 |
) |
Derivative assets/liabilities, after netting |
38.5 |
|
|
27.6 |
|
|
37.9 |
|
|
27.2 |
|
Other gross derivative assets/liabilities |
13.8 |
|
|
13.5 |
|
|
12.1 |
|
|
11.3 |
|
Total derivative assets/liabilities |
52.3 |
|
|
41.1 |
|
|
50.0 |
|
|
38.5 |
|
Less: Financial instruments collateral (1)
|
(14.3 |
) |
|
(8.5 |
) |
|
(13.9 |
) |
|
(6.5 |
) |
Total net derivative assets/liabilities |
$ |
38.0 |
|
|
$ |
32.6 |
|
|
$ |
36.1 |
|
|
$ |
32.0 |
|
|
|
(1)
|
These amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged |
|