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, 2018

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, 2018 and December 31, 2017. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and have been reduced by cash collateral received or paid.




			September 30, 2018
			Gross Derivative Assets							Gross Derivative Liabilities
(Dollars in billions)	Contract/ Notional ⁽¹⁾		Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total			Trading and Other Risk Management Derivatives		Qualifying Accounting Hedges		Total
Interest rate contracts
Swaps	$	17,788.7	$	138.9	$	1.3	$	140.2		$	132.7	$	4.5	$	137.2
Futures and forwards	6,270.1		1.3		—		1.3			1.2		—		1.2
Written options	1,433.4		—		—		—			26.7		—		26.7
Purchased options	1,488.2		28.7		—		28.7			—		—		—
Foreign exchange contracts
Swaps	1,904.9		49.6		1.6		51.2			50.4		2.4		52.8
Spot, futures and forwards	4,568.7		42.1		0.7		42.8			41.7		0.5		42.2
Written options	300.4		—		—		—			5.1		—		5.1
Purchased options	296.0		4.4		—		4.4			—		—		—
Equity contracts
Swaps	278.2		4.9		—		4.9			4.7		—		4.7
Futures and forwards	104.8		1.0		—		1.0			1.3		—		1.3
Written options	651.4		—		—		—			30.0		—		30.0
Purchased options	586.1		40.0		—		40.0			—		—		—
Commodity contracts
Swaps	48.2		2.4		—		2.4			5.0		—		5.0
Futures and forwards	63.5		3.2		—		3.2			0.5		—		0.5
Written options	32.5		—		—		—			2.1		—		2.1
Purchased options	29.5		2.1		—		2.1			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	430.3		4.9		—		4.9			9.8		—		9.8
Total return swaps/options	64.6		0.4		—		0.4			0.9		—		0.9
Written credit derivatives:
Credit default swaps	398.2		9.3		—		9.3			4.3		—		4.3
Total return swaps/options	62.5		0.5		—		0.5			0.3		—		0.3
Gross derivative assets/liabilities			$	333.7	$	3.6	$	337.3		$	316.7	$	7.4	$	324.1
Less: Legally enforceable master netting agreements							(259.7		)					(259.7		)
Less: Cash collateral received/paid							(32.0		)					(28.2		)
Total derivative assets/liabilities							$	45.6						$	36.2


⁽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 $4.3 billion and $429.2 billion at September 30, 2018.




			December 31, 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	$	15,416.4	$	175.1	$	2.9	$	178.0		$	172.5	$	1.7	$	174.2
Futures and forwards	4,332.4		0.5		—		0.5			0.5		—		0.5
Written options	1,170.5		—		—		—			35.5		—		35.5
Purchased options	1,184.5		37.6		—		37.6			—		—		—
Foreign exchange contracts
Swaps	2,011.1		35.6		2.2		37.8			36.1		2.7		38.8
Spot, futures and forwards	3,543.3		39.1		0.7		39.8			39.1		0.8		39.9
Written options	291.8		—		—		—			5.1		—		5.1
Purchased options	271.9		4.6		—		4.6			—		—		—
Equity contracts
Swaps	265.6		4.8		—		4.8			4.4		—		4.4
Futures and forwards	106.9		1.5		—		1.5			0.9		—		0.9
Written options	480.8		—		—		—			23.9		—		23.9
Purchased options	428.2		24.7		—		24.7			—		—		—
Commodity contracts
Swaps	46.1		1.8		—		1.8			4.6		—		4.6
Futures and forwards	47.1		3.5		—		3.5			0.6		—		0.6
Written options	21.7		—		—		—			1.4		—		1.4
Purchased options	22.9		1.4		—		1.4			—		—		—
Credit derivatives ⁽²⁾
Purchased credit derivatives:
Credit default swaps	470.9		4.1		—		4.1			11.1		—		11.1
Total return swaps/options	54.1		0.1		—		0.1			1.3		—		1.3
Written credit derivatives:
Credit default swaps	448.2		10.6		—		10.6			3.6		—		3.6
Total return swaps/options	55.2		0.8		—		0.8			0.2		—		0.2
Gross derivative assets/liabilities			$	345.8	$	5.8	$	351.6		$	340.8	$	5.2	$	346.0
Less: Legally enforceable master netting agreements							(279.2		)					(279.2		)
Less: Cash collateral received/paid							(34.6		)					(32.5		)
Total derivative assets/liabilities							$	37.8						$	34.3


⁽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 $6.4 billion and $435.1 billion at December 31, 2017.

Derivative [Line Items]

Gains and Losses on Derivatives Designated as Fair Value Hedges

The table below summarizes information related to fair value hedges for the three and nine months ended September 30, 2018 and 2017.




Gains and Losses on Derivatives Designated as Fair Value Hedges

	Three Months Ended September 30, 2018						Three Months Ended September 30, 2017
(Dollars in millions)	Derivative			Hedged Item			Derivative			Hedged Item			Hedge Ineffectiveness
Interest rate risk on long-term debt ⁽¹⁾	$	(1,129	)	$	1,122		$	(273	)	$	169		$	(104	)
Interest rate and foreign currency risk on long-term debt ^{(2, 3)}	(182		)	207			607			(593		)	14
Interest rate risk on available-for-sale securities ⁽⁴⁾	12			(12		)	(8		)	7			(1		)
Total	$	(1,299	)	$	1,317		$	326		$	(417	)	$	(91	)

	Nine Months Ended September 30, 2018						Nine Months Ended September 30, 2017
	Derivative			Hedged Item			Derivative			Hedged Item			Hedge Ineffectiveness
Interest rate risk on long-term debt ⁽¹⁾	$	(4,303	)	$	4,179		$	(751	)	$	313		$	(438	)
Interest rate and foreign currency risk on long-term debt ^{(2, 3)}	(927		)	795			1,631			(1,603		)	28
Interest rate risk on available-for-sale securities ⁽⁴⁾	(20		)	19			(71		)	40			(31		)
Total	$	(5,250	)	$	4,993		$	809		$	(1,250	)	$	(441	)


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

⁽²⁾

For the three and nine months ended September 30, 2018, the derivative amount includes losses of $96 million and $672 million in other income and losses of $117 million and $156 million in interest expense. For the same periods in 2017, the derivative amount includes gains of $635 million and $1.9 billion in other income and losses of $29 million and $310 million in interest expense. Line item totals are in the Consolidated Statement of Income.


⁽³⁾	For the three and nine months ended September 30, 2018, the derivative amount includes gains of $31 million and losses of $99 million related to certain changes in the fair value of derivatives that were excluded from effectiveness testing and recognized in accumulated OCI. None of the excluded amounts have been reclassified into earnings.


⁽⁴⁾	Amounts are recorded in interest income in the Consolidated Statement of Income.

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

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




Designated Fair Value Hedged Assets (Liabilities)

	September 30, 2018
(Dollars in millions)	Carrying Value			Cumulative Fair Value Adjustments ⁽¹⁾
Long-term debt	$	(137,610	)	$	1,839
Available-for-sale securities ⁽²⁾	951			(61		)


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


⁽²⁾	The amortized cost of available-for-sale securities in fair value hedging relationships was $948 million and is included in debt securities carried at fair value on the Consolidated Balance Sheet.

Cash Flow and Net Investment Hedges

The following table summarizes certain information related to cash flow hedges and net investment hedges for the three and nine months ended September 30, 2018 and 2017. Of the $1.3 billion after-tax net loss ($1.7 billion pretax) on derivatives in accumulated OCI at September 30, 2018, $280 million after-tax ($368 million pretax) is expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are expected to primarily reduce net interest income related to the respective hedged items. For terminated cash flow hedges, the time period over which the majority of the forecasted transactions are hedged is approximately six years, with a maximum length of time for certain forecasted transactions of 18 years.




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

	Gains (Losses) Recognized in Accumulated OCI on Derivatives			Gains (Losses) in Income Reclassified from Accumulated OCI			Gains (Losses) Recognized in Accumulated OCI on Derivatives			Gains (Losses) in Income Reclassified from Accumulated OCI
(Dollars in millions, amounts pretax)	Three Months Ended September 30, 2018						Nine Months Ended September 30, 2018
Cash flow hedges
Interest rate risk on variable-rate assets ⁽¹⁾	$	(54	)	$	(51	)	$	(553	)	$	(134	)
Price risk on certain restricted stock awards ⁽²⁾	—			—			4			27
Total	$	(54	)	$	(51	)	$	(549	)	$	(107	)
Net investment hedges
Foreign exchange risk ⁽³⁾	$	181		$	383		$	860		$	382

	Three Months Ended September 30, 2017						Nine Months Ended September 30, 2017
Cash flow hedges
Interest rate risk on variable-rate assets ⁽¹⁾	$	11		$	(54	)	$	38		$	(274	)
Price risk on certain restricted stock awards ⁽²⁾	7			32			41			103
Total	$	18		$	(22	)	$	79		$	(171	)
Net investment hedges
Foreign exchange risk ⁽³⁾	$	(427	)	$	(3	)	$	(1,541	)	$	1,811


⁽¹⁾	Amounts reclassified from accumulated OCI are recorded in interest income in the Consolidated Statement of Income.


⁽²⁾	Amounts reclassified from accumulated OCI are recorded in personnel expense in the Consolidated Statement of Income.

⁽³⁾

Amounts reclassified from accumulated OCI are recorded in other income in the Consolidated Statement of Income. For the three and nine months ended September 30, 2018, amounts excluded from effectiveness testing and recognized in other income were gains of $3 million and $32 million. For the same periods in 2017, amounts excluded from effectiveness testing and recognized in other income were losses of $33 million and $82 million.

Other Risk Management Derivatives

The table below presents gains (losses) on these derivatives for the three and nine months ended September 30, 2018 and 2017. These gains (losses) are largely offset by the income or expense that is recorded on the hedged item.




Gains and Losses on Other Risk Management Derivatives

	Three Months Ended September 30					Nine Months Ended September 30
(Dollars in millions)	2018			2017		2018			2017
Interest rate risk on mortgage activities ⁽¹⁾	$	(45	)	$	1	$	(206	)	$	32
Credit risk on loans	(2		)	—		(7		)	(3		)
Interest rate and foreign currency risk on ALM activities ⁽²⁾	487			26		1,050			(26		)

⁽¹⁾

Primarily related to hedges of interest rate risk on mortgage servicing rights (MSRs) and interest rate lock commitments (IRLCs) to originate mortgage loans that will be held for sale. The net gains on IRLCs, which are not included in the table but are considered derivative instruments, were $8 million and $36 million for the three and nine months ended September 30, 2018 compared to $76 million and $192 million for the same periods in 2017.


⁽²⁾	Primarily related to hedges of debt securities carried at fair value and hedges of foreign currency-denominated debt.

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, 2018 and 2017. 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 debit valuation adjustment (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 table below is not presented on an FTE basis.




Sales and Trading Revenue

	Trading Account Profits		Net Interest Income			Other ⁽¹⁾		Total		Trading Account Profits		Net Interest Income			Other ⁽¹⁾		Total
(Dollars in millions)	Three Months Ended September 30, 2018									Nine Months Ended September 30, 2018
Interest rate risk	$	182	$	307		$	134	$	623	$	1,070	$	946		$	203	$	2,219
Foreign exchange risk	379		(2		)	2		379		1,175		(15		)	5		1,165
Equity risk	853		(215		)	350		988		3,105		(542		)	1,196		3,759
Credit risk	266		465			106		837		1,093		1,424			377		2,894
Other risk	47		26			19		92		171		39			60		270
Total sales and trading revenue	$	1,727	$	581		$	611	$	2,919	$	6,614	$	1,852		$	1,841	$	10,307

	Three Months Ended September 30, 2017									Nine Months Ended September 30, 2017
Interest rate risk	$	330	$	365		$	49	$	744	$	833	$	1,182		$	200	$	2,215
Foreign exchange risk	348		2			2		352		1,063		(2		)	5		1,066
Equity risk	639		(142		)	467		964		2,088		(372		)	1,427		3,143
Credit risk	362		482			105		949		1,482		1,467			450		3,399
Other risk	35		8			16		59		168		18			67		253
Total sales and trading revenue	$	1,714	$	715		$	639	$	3,068	$	5,634	$	2,293		$	2,149	$	10,076


⁽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 $378 million and $1.3 billion for the three and nine months ended September 30, 2018 compared to $488 million and $1.5 billion for the same periods in 2017.

Disclosure of Credit Derivatives

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at September 30, 2018 and December 31, 2017 are summarized in the table below.




Credit Derivative Instruments

	Less than One Year		One to Three Years		Three to Five Years		Over Five Years		Total
	September 30, 2018
(Dollars in millions)	Carrying Value
Credit default swaps:
Investment grade	$	2	$	38	$	335	$	590	$	965
Non-investment grade	61		492		1,007		1,802		3,362
Total	63		530		1,342		2,392		4,327
Total return swaps/options:
Investment grade	22		—		—		—		22
Non-investment grade	263		28		—		—		291
Total	285		28		—		—		313
Total credit derivatives	$	348	$	558	$	1,342	$	2,392	$	4,640
Credit-related notes:
Investment grade	$	—	$	—	$	5	$	602	$	607
Non-investment grade	3		1		4		1,455		1,463
Total credit-related notes	$	3	$	1	$	9	$	2,057	$	2,070
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	61,224	$	93,646	$	82,657	$	30,883	$	268,410
Non-investment grade	22,980		37,907		47,164		21,785		129,836
Total	84,204		131,553		129,821		52,668		398,246
Total return swaps/options:
Investment grade	40,115		1,263		62		76		41,516
Non-investment grade	20,648		207		39		72		20,966
Total	60,763		1,470		101		148		62,482
Total credit derivatives	$	144,967	$	133,023	$	129,922	$	52,816	$	460,728

	December 31, 2017
	Carrying Value
Credit default swaps:
Investment grade	$	4	$	3	$	61	$	245	$	313
Non-investment grade	203		453		484		2,133		3,273
Total	207		456		545		2,378		3,586
Total return swaps/options:
Investment grade	30		—		—		—		30
Non-investment grade	150		—		—		3		153
Total	180		—		—		3		183
Total credit derivatives	$	387	$	456	$	545	$	2,381	$	3,769
Credit-related notes:
Investment grade	$	—	$	—	$	7	$	689	$	696
Non-investment grade	12		4		34		1,548		1,598
Total credit-related notes	$	12	$	4	$	41	$	2,237	$	2,294
	Maximum Payout/Notional
Credit default swaps:
Investment grade	$	61,388	$	115,480	$	107,081	$	21,579	$	305,528
Non-investment grade	39,312		49,843		39,098		14,420		142,673
Total	100,700		165,323		146,179		35,999		448,201
Total return swaps/options:
Investment grade	37,394		2,581		—		143		40,118
Non-investment grade	13,751		514		143		697		15,105
Total	51,145		3,095		143		840		55,223
Total credit derivatives	$	151,845	$	168,418	$	146,322	$	36,839	$	503,424

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, 2018 if the rating agencies had downgraded their long-term senior debt ratings for the Corporation or certain subsidiaries by one incremental notch and by an additional second incremental notch.




Additional Collateral Required to be Posted Upon Downgrade at September 30, 2018

(Dollars in millions)	One incremental notch		Second incremental notch
Bank of America Corporation	$	554	$	314
Bank of America, N.A. and subsidiaries ⁽¹⁾	212		264


⁽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, 2018 if the long-term senior debt ratings for the Corporation or certain subsidiaries had been lower by one incremental notch and by an additional second incremental notch.




Derivative Liabilities Subject to Unilateral Termination Upon Downgrade at September 30, 2018

(Dollars in millions)	One incremental notch		Second incremental notch
Derivative liabilities	$	260	$	607
Collateral posted	201		399

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, 2018 and 2017. For more information on the valuation adjustments on derivatives, see Note 2 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2017 Annual Report on Form 10-K.




Valuation Adjustments on Derivatives ⁽¹⁾

Gains (Losses)	Three Months Ended September 30
	2018						2017
(Dollars in millions)	Gross			Net			Gross			Net
Derivative assets (CVA)	$	71		$	27		$	23		$	15
Derivative assets/liabilities (FVA)	45			35			37			43
Derivative liabilities (DVA)	(69		)	(79		)	29			17

	Nine Months Ended September 30
	2018						2017
Derivative assets (CVA)	$	186		$	172		$	281		$	93
Derivative assets/liabilities (FVA)	36			16			113			140
Derivative liabilities (DVA)	(112		)	(132		)	(249		)	(201		)


⁽¹⁾	At September 30, 2018 and December 31, 2017, cumulative CVA reduced the derivative assets balance by $491 million and $677 million, cumulative FVA reduced the net derivatives balance by $100 million and $136 million, and cumulative DVA reduced the derivative liabilities balance by $338 million and $450 million, respectively.

Derivative

Derivative [Line Items]

Offsetting Assets

The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at September 30, 2018 and December 31, 2017 by primary risk (e.g., interest rate risk) and the platform, where applicable, on which these derivatives are transacted. Balances are presented on a gross basis, prior to the application of counterparty and cash collateral netting. Total gross derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements which include reducing the balance for counterparty netting and cash collateral received or paid.

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




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	September 30, 2018						December 31, 2017
Interest rate contracts
Over-the-counter	$	165.9		$	161.0		$	211.7		$	206.0
Over-the-counter cleared	2.7			2.5			1.9			1.8
Foreign exchange contracts
Over-the-counter	95.2			97.1			78.7			80.8
Over-the-counter cleared	1.1			1.0			0.9			0.7
Equity contracts
Over-the-counter	27.2			17.3			18.3			16.2
Exchange-traded	13.5			12.2			9.1			8.5
Commodity contracts
Over-the-counter	3.6			5.1			2.9			4.4
Exchange-traded	1.0			1.1			0.7			0.8
Credit derivatives
Over-the-counter	7.9			8.4			9.1			9.6
Over-the-counter cleared	6.9			6.6			6.1			6.0
Total gross derivative assets/liabilities, before netting
Over-the-counter	299.8			288.9			320.7			317.0
Exchange-traded	14.5			13.3			9.8			9.3
Over-the-counter cleared	10.7			10.1			8.9			8.5
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(270.1		)	(266.1		)	(296.9		)	(294.6		)
Exchange-traded	(11.9		)	(11.9		)	(8.6		)	(8.6		)
Over-the-counter cleared	(9.7		)	(9.9		)	(8.3		)	(8.5		)
Derivative assets/liabilities, after netting	33.3			24.4			25.6			23.1
Other gross derivative assets/liabilities ⁽²⁾	12.3			11.8			12.2			11.2
Total derivative assets/liabilities	45.6			36.2			37.8			34.3
Less: Financial instruments collateral ⁽³⁾	(18.4		)	(9.3		)	(11.2		)	(10.4		)
Total net derivative assets/liabilities	$	27.2		$	26.9		$	26.6		$	23.9


⁽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⁾	Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.

⁽³⁾

Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities.

Offsetting Liabilities

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




Offsetting of Derivatives ⁽¹⁾

	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
(Dollars in billions)	September 30, 2018						December 31, 2017
Interest rate contracts
Over-the-counter	$	165.9		$	161.0		$	211.7		$	206.0
Over-the-counter cleared	2.7			2.5			1.9			1.8
Foreign exchange contracts
Over-the-counter	95.2			97.1			78.7			80.8
Over-the-counter cleared	1.1			1.0			0.9			0.7
Equity contracts
Over-the-counter	27.2			17.3			18.3			16.2
Exchange-traded	13.5			12.2			9.1			8.5
Commodity contracts
Over-the-counter	3.6			5.1			2.9			4.4
Exchange-traded	1.0			1.1			0.7			0.8
Credit derivatives
Over-the-counter	7.9			8.4			9.1			9.6
Over-the-counter cleared	6.9			6.6			6.1			6.0
Total gross derivative assets/liabilities, before netting
Over-the-counter	299.8			288.9			320.7			317.0
Exchange-traded	14.5			13.3			9.8			9.3
Over-the-counter cleared	10.7			10.1			8.9			8.5
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter	(270.1		)	(266.1		)	(296.9		)	(294.6		)
Exchange-traded	(11.9		)	(11.9		)	(8.6		)	(8.6		)
Over-the-counter cleared	(9.7		)	(9.9		)	(8.3		)	(8.5		)
Derivative assets/liabilities, after netting	33.3			24.4			25.6			23.1
Other gross derivative assets/liabilities ⁽²⁾	12.3			11.8			12.2			11.2
Total derivative assets/liabilities	45.6			36.2			37.8			34.3
Less: Financial instruments collateral ⁽³⁾	(18.4		)	(9.3		)	(11.2		)	(10.4		)
Total net derivative assets/liabilities	$	27.2		$	26.9		$	26.6		$	23.9


⁽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⁾	Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.

⁽³⁾