Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

Derivatives (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at September 30, 2017 and December 31, 2016. 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, 2017
			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 ⁽²⁾	$	18,602.5	$	179.5	$	5.1	$	184.6		$	176.7	$	1.3	$	178.0
Futures and forwards ⁽²⁾	5,957.2		0.9		—		0.9			0.8		—		0.8
Written options	1,467.4		—		—		—			36.3		—		36.3
Purchased options	1,390.7		38.5		—		38.5			—		—		—
Foreign exchange contracts
Swaps	2,011.9		36.6		2.5		39.1			37.0		3.1		40.1
Spot, futures and forwards	4,313.6		46.6		0.9		47.5			46.9		0.8		47.7
Written options	367.3		—		—		—			5.7		—		5.7
Purchased options	335.7		5.2		—		5.2			—		—		—
Equity contracts
Swaps	236.2		4.6		—		4.6			4.6		—		4.6
Futures and forwards	100.9		1.9		—		1.9			1.2		—		1.2
Written options	524.9		—		—		—			25.1		—		25.1
Purchased options	467.0		25.2		—		25.2			—		—		—
Commodity contracts
Swaps	47.6		1.7		—		1.7			4.2		—		4.2
Futures and forwards	51.5		3.5		—		3.5			0.6		—		0.6
Written options	25.0		—		—		—			1.2		—		1.2
Purchased options	26.1		1.4		—		1.4			—		—		—
Credit derivatives ⁽³⁾
Purchased credit derivatives:
Credit default swaps ⁽²⁾	522.8		4.8		—		4.8			11.2		—		11.2
Total return swaps/other	57.6		0.1		—		0.1			1.3		—		1.3
Written credit derivatives:
Credit default swaps ⁽²⁾	514.5		10.9		—		10.9			4.2		—		4.2
Total return swaps/other	55.3		0.8		—		0.8			0.2		—		0.2
Gross derivative assets/liabilities			$	362.2	$	8.5	$	370.7		$	357.2	$	5.2	$	362.4
Less: Legally enforceable master netting agreements ⁽²⁾							(296.7		)					(296.7		)
Less: Cash collateral received/paid ⁽²⁾							(35.6		)					(33.9		)
Total derivative assets/liabilities							$	38.4						$	31.8


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

⁽²⁾

Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.


⁽³⁾	The net derivative asset and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $6.2 billion and $494.1 billion at September 30, 2017.




			December 31, 2016
			Gross Derivative Assets							Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional ⁽¹⁾		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total			Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	16,977.7	$	385.0	$	5.9	$	390.9		$	386.9	$	2.0	$	388.9
Futures and forwards	5,609.5		2.2		—		2.2			2.1		—		2.1
Written options	1,146.2		—		—		—			52.2		—		52.2
Purchased options	1,178.7		53.3		—		53.3			—		—		—
Foreign exchange contracts
Swaps	1,828.6		54.6		4.2		58.8			58.8		6.2		65.0
Spot, futures and forwards	3,410.7		58.8		1.7		60.5			56.6		0.8		57.4
Written options	356.6		—		—		—			9.4		—		9.4
Purchased options	342.4		8.9		—		8.9			—		—		—
Equity contracts
Swaps	189.7		3.4		—		3.4			4.0		—		4.0
Futures and forwards	68.7		0.9		—		0.9			0.9		—		0.9
Written options	431.5		—		—		—			21.4		—		21.4
Purchased options	385.5		23.9		—		23.9			—		—		—
Commodity contracts
Swaps	48.2		2.5		—		2.5			5.1		—		5.1
Futures and forwards	49.1		3.6		—		3.6			0.5		—		0.5
Written options	29.3		—		—		—			1.9		—		1.9
Purchased options	28.9		2.0		—		2.0			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	604.0		8.1		—		8.1			10.3		—		10.3
Total return swaps/other	21.2		0.4		—		0.4			1.5		—		1.5
Written credit derivatives:
Credit default swaps	614.4		10.7		—		10.7			7.5		—		7.5
Total return swaps/other	25.4		1.0		—		1.0			0.2		—		0.2
Gross derivative assets/liabilities			$	619.3	$	11.8	$	631.1		$	619.3	$	9.0	$	628.3
Less: Legally enforceable master netting agreements							(545.3		)					(545.3		)
Less: Cash collateral received/paid							(43.3		)					(43.5		)
Total derivative assets/liabilities							$	42.5						$	39.5


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


⁽²⁾	The net derivative asset 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 $548.9 billion at December 31, 2016.

Derivative [Line Items]

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

The following table summarizes information related to fair value hedges for the three and nine months ended September 30, 2017 and 2016, 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, 2017									Nine Months Ended September 30, 2017
(Dollars in millions)	Derivative			Hedged Item			Hedge Ineffectiveness			Derivative			Hedged Item			Hedge Ineffectiveness
Interest rate risk on long-term debt ⁽¹⁾	$	(273	)	$	169		$	(104	)	$	(751	)	$	313		$	(438	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	607			(593		)	14			1,631			(1,603		)	28
Interest rate risk on available-for-sale securities ⁽²⁾	(8		)	7			(1		)	(71		)	40			(31		)
Price risk on commodity inventory ⁽³⁾	—			(1		)	(1		)	8			(8		)	—
Total	$	326		$	(418	)	$	(92	)	$	817		$	(1,258	)	$	(441	)

	Three Months Ended September 30, 2016									Nine Months Ended September 30, 2016
Interest rate risk on long-term debt ⁽¹⁾	$	(758	)	$	580		$	(178	)	$	3,166		$	(3,654	)	$	(488	)
Interest rate and foreign currency risk on long-term debt ⁽¹⁾	16			(10		)	6			360			(369		)	(9		)
Interest rate risk on available-for-sale securities ⁽²⁾	235			(250		)	(15		)	(131		)	80			(51		)
Price risk on commodity inventory ⁽³⁾	6			(6		)	—			—			—			—
Total	$	(501	)	$	314		$	(187	)	$	3,395		$	(3,943	)	$	(548	)


⁽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, 2017 and 2016. Of the $739 million after-tax net loss ($1.2 billion pre-tax) on derivatives in accumulated other comprehensive income (OCI) at September 30, 2017, $102 million after-tax ($164 million pre-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 the majority of the forecasted transactions are hedged is approximately seven years, with a maximum length of time for certain forecasted transactions of 19 years.




Derivatives Designated as Cash Flow and Net Investment Hedges

	Three Months Ended September 30, 2017									Nine Months Ended September 30, 2017
(Dollars in millions, amounts pre-tax)	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	$	11		$	(54	)	$	(1	)	$	38		$	(274	)	$	4
Price risk on restricted stock awards ⁽²⁾	7			32			—			41			103			—
Total	$	18		$	(22	)	$	(1	)	$	79		$	(171	)	$	4
Net investment hedges
Foreign exchange risk ⁽³⁾	$	(427	)	$	(3	)	$	(33	)	$	(1,541	)	$	1,811		$	(82	)

	Three Months Ended September 30, 2016									Nine Months Ended September 30, 2016
Cash flow hedges
Interest rate risk on variable-rate portfolios	$	(8	)	$	(119	)	$	(4	)	$	50		$	(447	)	$	2
Price risk on restricted stock awards⁽²⁾	85			(8		)	—			(114		)	(61		)	—
Total	$	77		$	(127	)	$	(4	)	$	(64	)	$	(508	)	$	2
Net investment hedges
Foreign exchange risk	$	214		$	2		$	(68	)	$	173		$	3		$	(234	)


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


⁽²⁾	Gains (losses) recognized in accumulated OCI are primarily related to the change in the Corporation’s stock price for the period.

⁽³⁾

For the nine months ended September 30, 2017, substantially all of the gains in income reclassified from accumulated OCI were comprised of the gain recognized on derivatives used to hedge the currency risk of the Corporation's net investment in its non-U.S. consumer credit card business, which was sold during the second quarter of 2017. For additional information, see Note 12 – Accumulated Other Comprehensive Income (Loss)

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2017 and 2016. 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)	2017		2016			2017			2016
Interest rate risk on mortgage banking income ⁽¹⁾	$	1	$	57		$	32		$	882
Credit risk on loans ⁽²⁾	—		(7		)	(3		)	(103		)
Interest rate and foreign currency risk on ALM activities ⁽³⁾	26		(262		)	(26		)	(1,970		)
Price risk on restricted stock awards ⁽⁴⁾	33		199			161			(569		)
Other	—		—			5			40

⁽¹⁾

Net gains on these derivatives are recorded in mortgage banking income as they are used to mitigate the interest rate risk related to mortgage servicing rights (MSRs), interest rate lock commitments (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 $76 million and $192 million for the three and nine months ended September 30, 2017 compared to $185 million and $514 million for the same periods in 2016.


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


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


⁽⁴⁾	Gains (losses) on these derivatives are recorded in personnel expense.

Schedule of Derivative Instruments Included in Trading Activities

The following table, which includes both derivatives and non-derivative cash instruments, identifies the amounts in the respective income statement line items attributable to the Corporation’s sales and trading revenue in Global Markets, categorized by primary risk, for the three and nine months ended September 30, 2017 and 2016. The difference between total trading account profits in the following table and in the Consolidated Statement of Income represents trading activities in business segments other than Global Markets. This table includes DVA and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 17 – Business Segment Information are presented on a fully taxable-equivalent (FTE) basis. The following table is not presented on an FTE basis.




Sales and Trading Revenue

	Three Months Ended September 30, 2017										Nine Months Ended September 30, 2017
(Dollars in millions)	Trading Account Profits		Net Interest Income			Other ⁽¹⁾			Total		Trading Account Profits		Net Interest Income			Other ⁽¹⁾			Total
Interest rate risk	$	441	$	224		$	91		$	756	$	1,115	$	763		$	325		$	2,203
Foreign exchange risk	348		2			(40		)	310		1,063		(2		)	(119		)	942
Equity risk	640		(142		)	464			962		2,088		(372		)	1,426			3,142
Credit risk	251		624			104			979		1,200		1,886			450			3,536
Other risk	34		8			17			59		168		18			67			253
Total sales and trading revenue	$	1,714	$	716		$	636		$	3,066	$	5,634	$	2,293		$	2,149		$	10,076

	Three Months Ended September 30, 2016										Nine Months Ended September 30, 2016
Interest rate risk	$	511	$	307		$	83		$	901	$	1,430	$	1,073		$	210		$	2,713
Foreign exchange risk	319		(4		)	(39		)	276		1,003		(7		)	(112		)	884
Equity risk	463		31			467			961		1,481		15			1,573			3,069
Credit risk	598		634			123			1,355		1,224		1,895			380			3,499
Other risk	43		7			8			58		263		(19		)	34			278
Total sales and trading revenue	$	1,934	$	975		$	642		$	3,551	$	5,401	$	2,957		$	2,085		$	10,443


⁽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 $488 million and $1.5 billion for the three and nine months ended September 30, 2017 and $485 million and $1.6 billion for the same periods in 2016.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2017 and December 31, 2016 are summarized in the following table.




Credit Derivative Instruments
	September 30, 2017
	Carrying Value
(Dollars in millions)	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
Credit default swaps:
Investment grade	$	10	$	27	$	175	$	389	$	601
Non-investment grade	237		571		462		2,343		3,613
Total	247		598		637		2,732		4,214
Total return swaps/other:
Investment grade	39		—		—		—		39
Non-investment grade	153		—		—		—		153
Total	192		—		—		—		192
Total credit derivatives	$	439	$	598	$	637	$	2,732	$	4,406
Credit-related notes:
Investment grade	$	—	$	—	$	84	$	702	$	786
Non-investment grade	20		12		31		1,416		1,479
Total credit-related notes	$	20	$	12	$	115	$	2,118	$	2,265
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	76,594	$	117,714	$	109,875	$	38,025	$	342,208
Non-investment grade	62,935		43,775		44,094		21,466		172,270
Total	139,529		161,489		153,969		59,491		514,478
Total return swaps/other:
Investment grade	36,743		—		—		—		36,743
Non-investment grade	13,232		4,792		143		404		18,571
Total	49,975		4,792		143		404		55,314
Total credit derivatives	$	189,504	$	166,281	$	154,112	$	59,895	$	569,792

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

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 September 30, 2017 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, 2017
(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	512	$	668
Bank of America, N.A. and subsidiaries ⁽¹⁾	387		300


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

Derivative Liability Subject to Unilateral Termination Upon Downgrade

The table below presents the derivative liabilities that would be subject to unilateral termination by counterparties and the amounts of collateral that would have been contractually required at September 30, 2017 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, 2017
(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	468	$	1,122
Collateral posted	387		857

Valuation Adjustments on Derivatives

The table below presents credit valuation adjustment (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, 2017 and 2016. For more information on the valuation adjustments on derivatives, see Note 2 – Derivatives to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.




Valuation Adjustments on Derivatives ⁽¹⁾

Gains (Losses)	Three Months Ended September 30
	2017						2016
(Dollars in millions)	Gross			Net			Gross			Net
Derivative assets (CVA)	$	23		$	15		$	280		$	66
Derivative assets/liabilities (FVA)	37			43			42			51
Derivative liabilities (DVA)	29			17			(125		)	(103		)

	Nine Months Ended September 30
	2017						2016
	Gross			Net			Gross			Net
Derivative assets (CVA)	$	281		$	93		$	45		$	151
Derivative assets/liabilities (FVA)	113			140			9			20
Derivative liabilities (DVA)	(249		)	(201		)	106			(60		)


⁽¹⁾	At September 30, 2017 and December 31, 2016, cumulative CVA reduced the derivative assets balance by $726 million and $1.0 billion, cumulative FVA reduced the net derivatives balance by $182 million and $296 million, and cumulative DVA reduced the derivative liabilities balance by $525 million and $774 million, respectively.

Derivative

Derivative [Line Items]

Offsetting Liabilities

The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2017 and December 31, 2016 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 includes reducing the balance for counterparty netting and cash collateral received or paid.

For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives ⁽¹⁾
	September 30, 2017						December 31, 2016
(Dollars in billions)	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Interest rate contracts
Over-the-counter	$	219.1		$	211.3		$	267.3		$	258.2
Over-the-counter cleared ⁽²⁾	2.3			2.3			177.2			182.8
Foreign exchange contracts
Over-the-counter	88.2			90.7			124.3			126.7
Over-the-counter cleared	0.7			0.6			0.3			0.3
Equity contracts
Over-the-counter	18.3			17.3			15.6			13.7
Exchange-traded	9.5			9.7			11.4			10.8
Commodity contracts
Over-the-counter	2.7			4.0			3.7			4.9
Exchange-traded	0.7			0.6			1.1			1.0
Credit derivatives
Over-the-counter	10.1			10.5			15.3			14.7
Over-the-counter cleared ⁽²⁾	6.1			6.0			4.3			4.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	338.4			333.8			426.2			418.2
Exchange-traded	10.2			10.3			12.5			11.8
Over-the-counter cleared ⁽²⁾	9.1			8.9			181.8			187.4
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(314.9		)	(312.8		)	(398.2		)	(392.6		)
Exchange-traded	(9.2		)	(9.2		)	(8.9		)	(8.9		)
Over-the-counter cleared ⁽²⁾	(8.2		)	(8.6		)	(181.5		)	(187.3		)
Derivative assets/liabilities, after netting	25.4			22.4			31.9			28.6
Other gross derivative assets/liabilities ⁽³⁾	13.0			9.4			10.6			10.9
Total derivative assets/liabilities	38.4			31.8			42.5			39.5
Less: Financial instruments collateral ⁽⁴⁾	(11.3		)	(9.6		)	(13.5		)	(10.5		)
Total net derivative assets/liabilities	$	27.1		$	22.2		$	29.0		$	29.0


⁽¹⁾	Over-the-counter (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, and exchange-traded derivatives include listed options transacted on an exchange.

⁽²⁾


⁽³⁾	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.

⁽⁴⁾

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 Assets

For more information on offsetting of securities financing agreements, see Note 9 – Federal Funds Sold or Purchased, Securities Financing Agreements and Short-term Borrowings.




Offsetting of Derivatives ⁽¹⁾
	September 30, 2017						December 31, 2016
(Dollars in billions)	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Interest rate contracts
Over-the-counter	$	219.1		$	211.3		$	267.3		$	258.2
Over-the-counter cleared ⁽²⁾	2.3			2.3			177.2			182.8
Foreign exchange contracts
Over-the-counter	88.2			90.7			124.3			126.7
Over-the-counter cleared	0.7			0.6			0.3			0.3
Equity contracts
Over-the-counter	18.3			17.3			15.6			13.7
Exchange-traded	9.5			9.7			11.4			10.8
Commodity contracts
Over-the-counter	2.7			4.0			3.7			4.9
Exchange-traded	0.7			0.6			1.1			1.0
Credit derivatives
Over-the-counter	10.1			10.5			15.3			14.7
Over-the-counter cleared ⁽²⁾	6.1			6.0			4.3			4.3
Total gross derivative assets/liabilities, before netting
Over-the-counter	338.4			333.8			426.2			418.2
Exchange-traded	10.2			10.3			12.5			11.8
Over-the-counter cleared ⁽²⁾	9.1			8.9			181.8			187.4
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(314.9		)	(312.8		)	(398.2		)	(392.6		)
Exchange-traded	(9.2		)	(9.2		)	(8.9		)	(8.9		)
Over-the-counter cleared ⁽²⁾	(8.2		)	(8.6		)	(181.5		)	(187.3		)
Derivative assets/liabilities, after netting	25.4			22.4			31.9			28.6
Other gross derivative assets/liabilities ⁽³⁾	13.0			9.4			10.6			10.9
Total derivative assets/liabilities	38.4			31.8			42.5			39.5
Less: Financial instruments collateral ⁽⁴⁾	(11.3		)	(9.6		)	(13.5		)	(10.5		)
Total net derivative assets/liabilities	$	27.1		$	22.2		$	29.0		$	29.0


⁽¹⁾	Over-the-counter (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, and exchange-traded derivatives include listed options transacted on an exchange.

⁽²⁾


⁽³⁾	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.

⁽⁴⁾