Quarterly report pursuant to Section 13 or 15(d)

Derivatives (Tables)

v3.21.1
Derivatives (Tables)
 3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2021 and December 31, 2020. 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.
March 31, 2021
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 $ 17,024.6  $ 153.6  $ 11.0  $ 164.6  $ 159.1  $ 4.1  $ 163.2 
Futures and forwards 5,241.6  4.9  —  4.9  4.8  —  4.8 
Written options 1,690.7  —  —  —  34.4  —  34.4 
Purchased options 1,728.2  37.5  —  37.5  —  —  — 
Foreign exchange contracts  
Swaps 1,457.9  33.6  0.5  34.1  35.0  0.6  35.6 
Spot, futures and forwards 4,861.4  45.5  0.5  46.0  44.9  0.1  45.0 
Written options 335.0  —  —  —  4.2  —  4.2 
Purchased options 326.1  4.4  —  4.4  —  —  — 
Equity contracts  
Swaps 339.4  13.0  —  13.0  13.7  —  13.7 
Futures and forwards 136.3  0.2  —  0.2  1.8  —  1.8 
Written options 620.2  —  —  —  52.2  —  52.2 
Purchased options 550.1  55.8  —  55.8  —  —  — 
Commodity contracts    
Swaps 40.3  2.0  —  2.0  4.1  —  4.1 
Futures and forwards 68.8  2.0  —  2.0  1.0  0.1  1.1 
Written options 33.9  —  —  —  1.7  —  1.7 
Purchased options 29.5  1.8  —  1.8  —  —  — 
Credit derivatives (2)
     
Purchased credit derivatives:      
Credit default swaps 362.2  2.1  —  2.1  5.4  —  5.4 
Total return swaps/options 79.2  0.4  —  0.4  1.3  —  1.3 
Written credit derivatives:    
Credit default swaps 340.6  5.3  —  5.3  1.9  —  1.9 
Total return swaps/options 79.5  1.6  —  1.6  0.4  —  0.4 
Gross derivative assets/liabilities $ 363.7  $ 12.0  $ 375.7  $ 365.9  $ 4.9  $ 370.8 
Less: Legally enforceable master netting agreements     (294.5)     (294.5)
Less: Cash collateral received/paid       (35.3)     (34.0)
Total derivative assets/liabilities       $ 45.9      $ 42.3 
(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 $3.1 billion and $313.1 billion at March 31, 2021.
December 31, 2020
Gross Derivative Assets Gross Derivative Liabilities
(Dollars in billions)
Contract/
Notional (1)
Trading and Other Risk Management Derivatives Qualifying
Accounting
Hedges		 Total Trading and Other Risk Management Derivatives Qualifying
Accounting
Hedges		 Total
Interest rate contracts              
Swaps $ 13,242.8  $ 199.9  $ 10.9  $ 210.8  $ 209.3  $ 1.3  $ 210.6 
Futures and forwards 3,222.2  3.5  0.1  3.6  3.6  —  3.6 
Written options 1,530.5  —  —  —  40.5  —  40.5 
Purchased options 1,545.8  45.3  —  45.3  —  —  — 
Foreign exchange contracts            
Swaps 1,475.8  37.1  0.3  37.4  39.7  0.6  40.3 
Spot, futures and forwards 3,710.7  53.4  —  53.4  54.5  0.5  55.0 
Written options 289.6  —  —  —  4.8  —  4.8 
Purchased options 279.3  5.0  —  5.0  —  —  — 
Equity contracts              
Swaps 320.2  13.3  —  13.3  14.5  —  14.5 
Futures and forwards 106.2  0.3  —  0.3  1.4  —  1.4 
Written options 599.1  —  —  —  48.8  —  48.8 
Purchased options 541.2  52.6  —  52.6  —  —  — 
Commodity contracts              
Swaps 36.4  1.9  —  1.9  4.4  —  4.4 
Futures and forwards 63.6  2.0  —  2.0  1.0  —  1.0 
Written options 24.6  —  —  —  1.4  —  1.4 
Purchased options 24.7  1.5  —  1.5  —  —  — 
Credit derivatives (2)
             
Purchased credit derivatives:              
Credit default swaps 322.7  2.3  —  2.3  4.4  —  4.4 
Total return swaps/options 63.6  0.2  —  0.2  1.0  —  1.0 
Written credit derivatives:            
Credit default swaps 301.5  4.4  —  4.4  1.9  —  1.9 
Total return swaps/options 68.6  0.6  —  0.6  0.4  —  0.4 
Gross derivative assets/liabilities   $ 423.3  $ 11.3  $ 434.6  $ 431.6  $ 2.4  $ 434.0 
Less: Legally enforceable master netting agreements       (344.9)     (344.9)
Less: Cash collateral received/paid       (42.5)     (43.6)
Total derivative assets/liabilities       $ 47.2      $ 45.5 
(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)The net derivative asset and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $2.2 billion and $269.8 billion at December 31, 2020.
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 months ended March 31, 2021 and 2020.
Gains and Losses on Derivatives Designated as Fair Value Hedges
Three Months Ended March 31
2021 2020
(Dollars in millions) Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ (8,063) $ 8,002  $ 10,334  $ (10,276)
Interest rate and foreign currency risk on long-term debt (2)
(28) 26  505  (491)
Interest rate risk on available-for-sale securities (3)
5,241  (5,150) (350) 342 
Total $ (2,850) $ 2,878  $ 10,489  $ (10,425)
(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2)For the three months ended March 31, 2021 and 2020, the derivative amount includes gains (losses) of $(34) million and $734 million in interest expense, $8 million and $(241) million in market making and similar activities, and $(2) million and $12 million in accumulated other comprehensive income (OCI), respectively. Line item totals are in the Consolidated Statement of Income and on the Consolidated Balance Sheet.
(3)Amounts are recorded in interest income in the Consolidated Statement of Income.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The table below summarizes the carrying value of hedged assets and liabilities that are designated and qualifying in fair value hedging relationships along with the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded in the current hedging relationships. These fair value hedging adjustments are open basis adjustments that are not subject to amortization as long as the hedging relationship remains designated.
Designated Fair Value Hedged Assets and Liabilities
March 31, 2021 December 31, 2020
(Dollars in millions) Carrying Value
Cumulative
Fair Value Adjustments (1)
Carrying Value
Cumulative
Fair Value Adjustments (1)
Long-term debt (2)
$ 143,897  $ 2,304  $ 150,556  $ 8,910 
Available-for-sale debt securities (2, 3, 4)
152,388  (4,881) 116,252  114 
Trading account assets (5)
660  —  427  15 
(1)Increase (decrease) to carrying value.
(2)At March 31, 2021 and December 31, 2020, the cumulative fair value adjustments remaining on long-term debt and available-for-sale debt securities from discontinued hedging relationships resulted in an increase in the related liability of $2.1 billion and $3.7 billion and a decrease in the related asset of $71 million and $69 million, which are being amortized over the remaining contractual life of the de-designated hedged items.
(3)These amounts include the amortized cost of the prepayable financial assets used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship (i.e. last-of-layer hedging relationship). At March 31, 2021 and December 31, 2020, the amortized cost of the closed portfolios used in these hedging relationships was $30.5 billion and $34.6 billion, of which $7.0 billion was designated in the last-of-layer hedging relationship at both dates. At March 31, 2021, the cumulative adjustment associated with these hedging relationships was a decrease of $115 million. At December 31, 2020, the cumulative adjustment was insignificant.
(4)Carrying value represents amortized cost.
(5)Represents hedging activities related to precious metals inventory.
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, 2021 and 2020. Of the $688 million after-tax net loss ($917 million pretax) on derivatives in accumulated OCI at March 31, 2021, gains of $220 million after-tax ($294 million pretax) related to both open and terminated cash flow hedges are expected to be reclassified into earnings in the next 12 months. These net gains reclassified into earnings are expected to primarily increase net interest income related to the respective hedged items. For terminated cash flow hedges, the time period over which the majority of the forecasted transactions are hedged is approximately 3 years, with a maximum length of time for certain forecasted transactions of 15 years.
Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges
Three Months Ended March 31
2021 2020
(Dollars in millions, amounts pretax) 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
Cash flow hedges
Interest rate risk on variable-rate assets (1)
$ (1,057) $ 37  $ 591  $ (26)
Price risk on forecasted MBS purchases (1)
(393) 9  —  — 
Price risk on certain compensation plans (2)
24  12  (82) — 
Total $ (1,426) $ 58  $ 509  $ (26)
Net investment hedges    
Foreign exchange risk (3)
$ 727  $ —  $ 1,368  $ — 
(1)Amounts reclassified from accumulated OCI are recorded in interest income in the Consolidated Statement of Income.
(2)Amounts reclassified from accumulated OCI are recorded in compensation and benefits expense in the Consolidated Statement of Income.
(3)Amounts reclassified from accumulated OCI are recorded in other income in the Consolidated Statement of Income. For the three months ended March 31, 2021 and 2020, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains (losses) of $(2) million and $30 million.
Other Risk Management Derivatives The table below presents gains (losses) on these derivatives for the three months ended March 31, 2021 and 2020. These gains (losses) are largely offset by the income or expense recorded on the hedged item.
Gains and Losses on Other Risk Management Derivatives
Three Months Ended March 31
(Dollars in millions) 2021 2020
Interest rate risk on mortgage activities (1, 2)
$ (190) $ 379 
Credit risk on loans (2)
(17) 88 
Interest rate and foreign currency risk on asset and liability management activities (3)
1,261  1,528 
Price risk on certain compensation plans (4)
280  (757)
(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 $19 million and $48 million for the three months ended March 31, 2021 and 2020.
(2)Gains (losses) on these derivatives are recorded in other income.
(3)Gains (losses) on these derivatives are recorded in market making and similar activities.
(4)Gains (losses) on these derivatives are recorded in compensation and benefits expense.
Schedule of Derivative Instruments Included in Trading Activities This table includes debit valuation adjustment (DVA) and funding valuation adjustment (FVA) gains (losses). Global Markets results in Note 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
Market making and similar activities Net Interest
Income
Other (1)
Total
(Dollars in millions) Three Months Ended March 31, 2021
Interest rate risk $ 372  $ 463  $ 57  $ 892 
Foreign exchange risk 407  (18) 2  391 
Equity risk 1,282  36  516  1,834 
Credit risk 802  363  114  1,279 
Other risk (2)
607  (18) 20  609 
Total sales and trading revenue
 $ 3,470  $ 826  $ 709  $ 5,005 
Three Months Ended March 31, 2020
Interest rate risk $ 1,495  $ 617  $ 73  $ 2,185 
Foreign exchange risk 465  5  5  475 
Equity risk 1,259  (123) 519  1,655 
Credit risk (379) 443  34  98 
Other risk (2)
133  21  6  160 
Total sales and trading revenue
 $ 2,973  $ 963  $ 637  $ 4,573 
(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 $548 million and $557 million for the three months ended March 31, 2021 and 2020.
(2)Includes commodity risk.
Disclosure of Credit Derivatives
Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at March 31, 2021 and December 31, 2020 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
March 31, 2021
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ —  $ 3  $ 52  $ 47  $ 102 
Non-investment grade 43  153  474  1,084  1,754 
Total 43  156  526  1,131  1,856 
Total return swaps/options:          
Investment grade 32  —  —  —  32 
Non-investment grade 129  266  —  —  395 
Total 161  266  —  —  427 
Total credit derivatives $ 204  $ 422  $ 526  $ 1,131  $ 2,283 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 341  $ 341 
Non-investment grade 7  1  10  1,329  1,347 
Total credit-related notes $ 7  $ 1  $ 10  $ 1,670  $ 1,688 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 33,138  $ 74,361  $ 99,302  $ 27,974  $ 234,775 
Non-investment grade 13,206  29,761  47,496  15,366  105,829 
Total 46,344  104,122  146,798  43,340  340,604 
Total return swaps/options:          
Investment grade 48,002  64  128  —  48,194 
Non-investment grade 16,047  15,217  28  5  31,297 
Total 64,049  15,281  156  5  79,491 
Total credit derivatives $ 110,393  $ 119,403  $ 146,954  $ 43,345  $ 420,095 
December 31, 2020
Carrying Value
Credit default swaps:
Investment grade $ —  $ 1  $ 35  $ 94  $ 130 
Non-investment grade 26  233  364  1,163  1,786 
Total 26  234  399  1,257  1,916 
Total return swaps/options:          
Investment grade 21  4  —  —  25 
Non-investment grade 345  —  —  —  345 
Total 366  4  —  —  370 
Total credit derivatives $ 392  $ 238  $ 399  $ 1,257  $ 2,286 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 572  $ 572 
Non-investment grade 64  2  10  947  1,023 
Total credit-related notes $ 64  $ 2  $ 10  $ 1,519  $ 1,595 
  Maximum Payout/Notional
Credit default swaps:
Investment grade $ 33,474  $ 75,731  $ 87,218  $ 16,822  $ 213,245 
Non-investment grade 13,664  28,770  35,978  9,852  88,264 
Total 47,138  104,501  123,196  26,674  301,509 
Total return swaps/options:          
Investment grade 30,961  1,061  77  —  32,099 
Non-investment grade 36,128  364  27  5  36,524 
Total 67,089  1,425  104  5  68,623 
Total credit derivatives $ 114,227  $ 105,926  $ 123,300  $ 26,679  $ 370,132 
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 March 31, 2021 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 March 31, 2021
(Dollars in millions) One
incremental notch		 Second
incremental notch
Bank of America Corporation $ 241  $ 724 
Bank of America, N.A. and subsidiaries (1)
66  584 
(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 March 31, 2021 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 March 31, 2021
(Dollars in millions) One
incremental notch		 Second
incremental notch
Derivative liabilities $ 32  $ 585 
Collateral posted 19  339 
Valuation Adjustments on Derivatives
The table below presents credit valuation adjustment (CVA), DVA and FVA gains (losses) on derivatives (excluding the effect of any related hedge activities), which are recorded in market making and similar activities, for the three months ended March 31, 2021 and 2020. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2020 Annual Report on Form 10-K.
Valuation Adjustments Gains (Losses) on Derivatives (1)
Three Months Ended March 31
(Dollars in millions) 2021 2020
Derivative assets (CVA) $ 155  $ (784)
Derivative assets/liabilities (FVA)
 48  (156)
Derivative liabilities (DVA) 23  414 
(1)At March 31, 2021 and December 31, 2020, cumulative CVA reduced the derivative assets balance by $491 million and $646 million, cumulative FVA reduced the net derivatives balance by $129 million and $177 million, and cumulative DVA reduced the derivative liabilities balance by $332 million and $309 million.
Derivative  
Derivative [Line Items]  
Offsetting Assets The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at March 31, 2021 and December 31, 2020 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) March 31, 2021 December 31, 2020
Interest rate contracts        
Over-the-counter $ 196.7  $ 190.4  $ 247.7  $ 243.5 
Exchange-traded 0.1  0.1  —  — 
Over-the-counter cleared 9.1  9.8  10.2  9.1 
Foreign exchange contracts
Over-the-counter 80.7  81.7  92.2  96.5 
Over-the-counter cleared 1.2  1.2  1.4  1.3 
Equity contracts
Over-the-counter 33.1  29.4  31.3  28.3 
Exchange-traded 33.2  32.2  32.3  31.0 
Commodity contracts
Over-the-counter 3.9  4.9  3.5  5.0 
Exchange-traded 0.8  1.0  0.7  0.7 
Over-the-counter cleared 0.1  0.1  —  — 
Credit derivatives
Over-the-counter 6.4  6.0  5.2  5.6 
Over-the-counter cleared 2.8  2.7  2.2  1.9 
Total gross derivative assets/liabilities, before netting
Over-the-counter 320.8  312.4  379.9  378.9 
Exchange-traded 34.1  33.3  33.0  31.7 
Over-the-counter cleared 13.2  13.8  13.8  12.3 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (285.9) (284.6) (345.7) (347.2)
Exchange-traded (32.1) (32.1) (29.5) (29.5)
Over-the-counter cleared (11.8) (11.8) (12.2) (11.8)
Derivative assets/liabilities, after netting 38.3  31.0  39.3  34.4 
Other gross derivative assets/liabilities (2)
7.6  11.3  7.9  11.1 
Total derivative assets/liabilities 45.9  42.3  47.2  45.5 
Less: Financial instruments collateral (3)
(17.0) (14.5) (16.1) (16.6)
Total net derivative assets/liabilities $ 28.9  $ 27.8  $ 31.1  $ 28.9 
(1)Over-the-counter derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse. Exchange-traded derivatives include listed options transacted on an exchange.
(2)Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.
(3)Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities.
Offsetting Liabilities The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at March 31, 2021 and December 31, 2020 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) March 31, 2021 December 31, 2020
Interest rate contracts        
Over-the-counter $ 196.7  $ 190.4  $ 247.7  $ 243.5 
Exchange-traded 0.1  0.1  —  — 
Over-the-counter cleared 9.1  9.8  10.2  9.1 
Foreign exchange contracts
Over-the-counter 80.7  81.7  92.2  96.5 
Over-the-counter cleared 1.2  1.2  1.4  1.3 
Equity contracts
Over-the-counter 33.1  29.4  31.3  28.3 
Exchange-traded 33.2  32.2  32.3  31.0 
Commodity contracts
Over-the-counter 3.9  4.9  3.5  5.0 
Exchange-traded 0.8  1.0  0.7  0.7 
Over-the-counter cleared 0.1  0.1  —  — 
Credit derivatives
Over-the-counter 6.4  6.0  5.2  5.6 
Over-the-counter cleared 2.8  2.7  2.2  1.9 
Total gross derivative assets/liabilities, before netting
Over-the-counter 320.8  312.4  379.9  378.9 
Exchange-traded 34.1  33.3  33.0  31.7 
Over-the-counter cleared 13.2  13.8  13.8  12.3 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (285.9) (284.6) (345.7) (347.2)
Exchange-traded (32.1) (32.1) (29.5) (29.5)
Over-the-counter cleared (11.8) (11.8) (12.2) (11.8)
Derivative assets/liabilities, after netting 38.3  31.0  39.3  34.4 
Other gross derivative assets/liabilities (2)
7.6  11.3  7.9  11.1 
Total derivative assets/liabilities 45.9  42.3  47.2  45.5 
Less: Financial instruments collateral (3)
(17.0) (14.5) (16.1) (16.6)
Total net derivative assets/liabilities $ 28.9  $ 27.8  $ 31.1  $ 28.9 
(1)Over-the-counter derivatives include bilateral transactions between the Corporation and a particular counterparty. Over-the-counter cleared derivatives include bilateral transactions between the Corporation and a counterparty where the transaction is cleared through a clearinghouse. Exchange-traded derivatives include listed options transacted on an exchange.
(2)Consists of derivatives entered into under master netting agreements where the enforceability of these agreements is uncertain under bankruptcy laws in some countries or industries.
(3)Amounts are limited to the derivative asset/liability balance and, accordingly, do not include excess collateral received/pledged. Financial instruments collateral includes securities collateral received or pledged and cash securities held and posted at third-party custodians that are not offset on the Consolidated Balance Sheet but shown as a reduction to derive net derivative assets and liabilities.