Quarterly report pursuant to Section 13 or 15(d)

Derivatives

v3.24.1.u1
Derivatives
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives Derivatives
Derivative Balances
Derivatives are entered into on behalf of customers, for trading or to support risk management activities. Derivatives used in risk management activities include derivatives that may or may not be designated in qualifying hedge accounting relationships. Derivatives that are not designated in qualifying hedge accounting relationships are referred to as other risk management derivatives. For more information on the Corporation’s derivatives and hedging activities, see Note 1 – Summary of Significant Accounting Principles and Note 3 –
Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K. The following tables present derivative instruments included on the Consolidated Balance Sheet in derivative assets and liabilities at March 31, 2024 and December 31, 2023. 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, 2024
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 $ 18,724.5  $ 75.6  $ 8.1  $ 83.7  $ 61.9  $ 19.8  $ 81.7 
Futures and forwards 3,410.1  1.5  —  1.5  1.5  —  1.5 
Written options (2)
1,890.9  —  —  —  31.5  —  31.5 
Purchased options (3)
1,813.2  32.4  —  32.4  —  —  — 
Foreign exchange contracts  
Swaps 1,863.3  37.3  0.3  37.6  35.2  0.2  35.4 
Spot, futures and forwards 4,995.8  28.9  6.1  35.0  28.1  6.0  34.1 
Written options (2)
513.5  —  —  —  6.0  —  6.0 
Purchased options (3)
471.2  5.9  —  5.9  —  —  — 
Equity contracts  
Swaps 461.9  13.6  —  13.6  17.0  —  17.0 
Futures and forwards 148.7  2.7  —  2.7  1.9  —  1.9 
Written options (2)
927.7  —  —  —  65.5  —  65.5 
Purchased options (3)
806.2  54.8  —  54.8  —  —  — 
Commodity contracts    
Swaps 61.6  3.1  —  3.1  4.6  —  4.6 
Futures and forwards 191.4  4.9  —  4.9  4.1  0.5  4.6 
Written options (2)
72.6  —  —  —  3.0  —  3.0 
Purchased options (3)
79.1  2.7  —  2.7  —  —  — 
Credit derivatives (4)
     
Purchased credit derivatives:      
Credit default swaps 391.3  1.8  —  1.8  2.7  —  2.7 
Total return swaps/options 85.1  0.8  —  0.8  0.9  —  0.9 
Written credit derivatives:    
Credit default swaps 366.4  2.2  —  2.2  1.5  —  1.5 
Total return swaps/options 78.6  1.0  —  1.0  0.4  —  0.4 
Gross derivative assets/liabilities $ 269.2  $ 14.5  $ 283.7  $ 265.8  $ 26.5  $ 292.3 
Less: Legally enforceable master netting agreements     (219.6)     (219.6)
Less: Cash collateral received/paid       (27.9)     (32.3)
Total derivative assets/liabilities       $ 36.2      $ 40.4 
(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.
(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.
(4)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $571 million and $337.8 billion at March 31, 2024.
December 31, 2023
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 $ 15,715.2  $ 78.4  $ 7.9  $ 86.3  $ 66.6  $ 18.5  $ 85.1 
Futures and forwards 2,803.8  5.1  —  5.1  7.0  —  7.0 
Written options (2)
1,807.7  —  —  —  31.7  —  31.7 
Purchased options (3)
1,714.9  32.9  —  32.9  —  —  — 
Foreign exchange contracts            
Swaps 1,814.7  41.1  0.2  41.3  38.2  0.5  38.7 
Spot, futures and forwards 3,561.7  37.2  6.1  43.3  40.3  6.2  46.5 
Written options (2)
462.8  —  —  —  6.8  —  6.8 
Purchased options (3)
405.3  6.2  —  6.2  —  —  — 
Equity contracts              
Swaps 427.0  13.3  —  13.3  16.7  —  16.7 
Futures and forwards 136.9  2.1  —  2.1  1.6  —  1.6 
Written options (2)
854.9  —  —  —  50.1  —  50.1 
Purchased options (3)
716.2  44.1  —  44.1  —  —  — 
Commodity contracts              
Swaps 59.0  3.1  —  3.1  4.5  —  4.5 
Futures and forwards 187.8  3.8  —  3.8  3.1  0.4  3.5 
Written options (2)
67.1  —  —  —  3.3  —  3.3 
Purchased options (3)
70.9  3.0  —  3.0  —  —  — 
Credit derivatives (4)
             
Purchased credit derivatives:              
Credit default swaps 312.8  1.7  —  1.7  2.5  —  2.5 
Total return swaps/options 69.4  0.8  —  0.8  1.3  —  1.3 
Written credit derivatives:            
Credit default swaps 289.1  2.2  —  2.2  1.6  —  1.6 
Total return swaps/options 68.6  1.1  —  1.1  0.3  —  0.3 
Gross derivative assets/liabilities   $ 276.1  $ 14.2  $ 290.3  $ 275.6  $ 25.6  $ 301.2 
Less: Legally enforceable master netting agreements       (221.6)     (221.6)
Less: Cash collateral received/paid       (29.4)     (36.2)
Total derivative assets/liabilities       $ 39.3      $ 43.4 
(1)Represents the total contract/notional amount of derivative assets and liabilities outstanding.
(2)Includes certain out-of-the-money purchased options that have a liability amount primarily due to the deferral of option premiums to the end of the contract.
(3)Includes certain out-of-the-money written options that have an asset amount primarily due to the deferral of option premiums to the end of the contract.
(4)The net derivative asset (liability) and notional amount of written credit derivatives for which the Corporation held purchased credit derivatives with identical underlying referenced names were $520 million and $266.5 billion at December 31, 2023.
Offsetting of Derivatives
The Corporation enters into International Swaps and Derivatives Association, Inc. (ISDA) master netting agreements or similar agreements with substantially all of the Corporation’s derivative counterparties. For more information, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.
The following table presents derivative instruments included in derivative assets and liabilities on the Consolidated Balance Sheet at March 31, 2024 and December 31, 2023 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 – Securities Financing Agreements, Collateral and Restricted Cash.
Offsetting of Derivatives (1)
Derivative
Assets		 Derivative
 Liabilities		 Derivative
Assets		 Derivative
 Liabilities
(Dollars in billions) March 31, 2024 December 31, 2023
Interest rate contracts        
Over-the-counter $ 115.1  $ 110.6  $ 119.2  $ 117.7 
Exchange-traded 0.1  0.1  0.2  0.2 
Over-the-counter cleared 2.0  1.8  4.4  3.3 
Foreign exchange contracts
Over-the-counter 77.4  74.6  89.7  90.4 
Over-the-counter cleared 0.2  0.2  0.2  0.2 
Equity contracts
Over-the-counter 26.4  36.6  24.7  32.2 
Exchange-traded 44.2  46.1  34.4  33.9 
Commodity contracts
Over-the-counter 7.6  9.6  6.6  8.4 
Exchange-traded 2.0  1.9  2.3  2.1 
Over-the-counter cleared 0.5  0.5  0.4  0.5 
Credit derivatives
Over-the-counter 5.6  5.4  5.7  5.6 
Total gross derivative assets/liabilities, before netting
Over-the-counter 232.1  236.8  245.9  254.3 
Exchange-traded 46.3  48.1  36.9  36.2 
Over-the-counter cleared 2.7  2.5  5.0  4.0 
Less: Legally enforceable master netting agreements and cash collateral received/paid
Over-the-counter (199.9) (204.3) (212.1) (218.9)
Exchange-traded (45.3) (45.3) (35.4) (35.4)
Over-the-counter cleared (2.3) (2.3) (3.5) (3.5)
Derivative assets/liabilities, after netting 33.6  35.5  36.8  36.7 
Other gross derivative assets/liabilities (2)
2.6  4.9  2.5  6.7 
Total derivative assets/liabilities 36.2  40.4  39.3  43.4 
Less: Financial instruments collateral (3)
(15.8) (14.1) (15.5) (13.0)
Total net derivative assets/liabilities $ 20.4  $ 26.3  $ 23.8  $ 30.4 
(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.
Derivatives Designated as Accounting Hedges
The Corporation uses various types of interest rate and foreign exchange derivative contracts to protect against changes in the fair value of its assets and liabilities due to fluctuations in interest rates and foreign exchange rates (fair value hedges). The Corporation also uses these types of contracts to protect against changes in the cash flows of its assets and liabilities, and other forecasted transactions (cash flow hedges). The Corporation hedges its net investment in consolidated non-U.S.
operations determined to have functional currencies other than the U.S. dollar using forward exchange contracts and cross-currency basis swaps, and by issuing foreign currency- denominated debt (net investment hedges).
Fair Value Hedges
The table below summarizes information related to fair value hedges for the three months ended March 31, 2024 and 2023.
Gains and Losses on Derivatives Designated as Fair Value Hedges
Three Months Ended March 31
2024 2023
(Dollars in millions) Derivative Hedged Item Derivative Hedged Item
Interest rate risk on long-term debt (1)
$ (3,104) $ 3,090  $ 3,308  $ (3,305)
Interest rate and foreign currency risk (2)
344  (329) 8  (8)
Interest rate risk on available-for-sale securities (3)
2,490  (2,502) (3,027) 3,016 
Price risk on commodity inventory (4)
(220) 220  (519) 519 
Total $ (490) $ 479  $ (230) $ 222 
(1)Amounts are recorded in interest expense in the Consolidated Statement of Income.
(2)Represents cross-currency interest rate swaps related to available-for-sale debt securities and long-term debt. For the three months ended March 31, 2024 and 2023, the derivative amount includes gains (losses) of $9 million and $0 in interest income, $0 and $8 million in interest expense, $324 million and $1 million in market making and similar activities, and $11 million and $(1) million in accumulated other comprehensive income (OCI). 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.
(4)Amounts are recorded in market making and similar activities in the Consolidated Statement of Income.
The following table 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, 2024 December 31, 2023
(Dollars in millions) Carrying Value
Cumulative
Fair Value
Adjustments (1)
Carrying Value
Cumulative
Fair Value
Adjustments (1)
Long-term debt (2)
 $ 197,036  $ (8,615) $ 203,986  $ (5,767)
Available-for-sale debt securities (2, 3, 4)
181,553  (4,598) 134,077  (1,793)
Trading account assets (5)
5,303  397  7,475  414 
(1)Increase (decrease) to carrying value.
(2)The cumulative fair value adjustments remaining on long-term debt and available-for-sale debt securities from discontinued hedging relationships resulted in a decrease of $10.5 billion in the related liability at both March 31, 2024 and December 31, 2023, and a decrease in the related asset of $5.3 billion and $5.6 billion at March 31, 2024 and December 31, 2023, which are being amortized over the remaining contractual life of the de-designated hedged items.
(3)These amounts include the amortized cost of the financial assets in closed portfolios used to designate hedging relationships in which the hedged item is a stated layer that is expected to be remaining at the end of the hedging relationship (i.e. portfolio layer hedging relationship). At March 31, 2024 and December 31, 2023, the amortized cost of the closed portfolios used in these hedging relationships was $37.9 billion and $39.1 billion, of which $22.2 billion and $22.5 billion were designated in a portfolio layer hedging relationship. At March 31, 2024 and December 31, 2023, the cumulative adjustment associated with these hedging relationships was a decrease of $339 million and an increase of $48 million.
(4)Carrying value represents amortized cost.
(5)Represents hedging activities related to certain commodities 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, 2024 and 2023. Of the $8.4 billion after-tax net loss ($11.2 billion pretax) on derivatives in accumulated OCI at March 31, 2024, losses of $3.9 billion after-tax ($5.2 billion pretax) related to both open and terminated cash flow hedges are expected to be reclassified into earnings in the next 12 months. These net losses reclassified into earnings are
expected to primarily decrease net interest income related to the respective hedged items. For open cash flow hedges, the maximum length of time over which forecasted transactions are hedged is approximately nine years. For terminated cash flow hedges, the time period over which the forecasted transactions will be recognized in interest income is approximately five years, with the aggregated amount beyond this time period being insignificant.
Gains and Losses on Derivatives Designated as Cash Flow and Net Investment Hedges
Three Months Ended March 31
2024 2023
(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 portfolios (1)
$ (1,090) $ (514) $ 2,550  $ (160)
Price risk on forecasted MBS purchases (1)
—  (2) 2  — 
Price risk on certain compensation plans (2)
14  9  17  5 
Total $ (1,076) $ (507) $ 2,569  $ (155)
Net investment hedges    
Foreign exchange risk (3)
$ 797  $ —  $ (377) $ — 
(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, 2024 and 2023, amounts excluded from effectiveness testing and recognized in market making and similar activities were gains of $66 million and $33 million.
Other Risk Management Derivatives
Other risk management derivatives are used by the Corporation to reduce certain risk exposures by economically hedging various assets and liabilities. The table below presents gains (losses) on these derivatives for the three months ended March 31, 2024 and 2023. 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) 2024 2023
Interest rate risk on mortgage activities (1, 2)
$ (30) $ 26 
Credit risk on loans (2)
(19) (28)
Interest rate and foreign currency risk on asset and liability management activities (3)
91  (122)
Price risk on certain compensation plans (4)
242  195 
(1)Includes 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.
(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.
Transfers of Financial Assets with Risk Retained through Derivatives
The Corporation enters into certain transactions involving the transfer of financial assets that are accounted for as sales where substantially all of the economic exposure to the transferred financial assets is retained through derivatives (e.g., interest rate and/or credit), but the Corporation does not retain control over the assets transferred. At March 31, 2024 and December 31, 2023, the Corporation had transferred $4.2 billion and $4.1 billion of non-U.S. government-guaranteed mortgage-backed securities to a third-party trust and retained economic exposure to the transferred assets through derivative contracts. In connection with these transfers, the Corporation received gross cash proceeds of $4.2 billion at the transfer dates. At both March 31, 2024 and December 31, 2023, the fair value of the transferred securities was $4.1 billion.
Sales and Trading Revenue
The Corporation enters into trading derivatives to facilitate client transactions and to manage risk exposures arising from trading account assets and liabilities. It is the Corporation’s policy to include these derivative instruments in its trading activities, which include derivatives and non-derivative cash instruments. The resulting risk from these derivatives is managed on a portfolio basis as part of the Corporation’s Global Markets business segment. For more information on sales and trading revenue, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.

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, 2024 and 2023. 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, 2024
Interest rate risk $ 853  $ 230  $ 77  $ 1,160 
Foreign exchange risk 437  34  23  494 
Equity risk 1,864  (429) 427  1,862 
Credit risk 551  604  131  1,286 
Other risk (2)
125  29  (13) 141 
Total sales and trading revenue
 $ 3,830  $ 468  $ 645  $ 4,943 
Three Months Ended March 31, 2023
Interest rate risk $ 1,244  $ 99  $ 86  $ 1,429 
Foreign exchange risk 402  49  24  475 
Equity risk 2,000  (838) 460  1,622 
Credit risk 480  666  115  1,261 
Other risk (2)
272  (78) (4) 190 
Total sales and trading revenue
 $ 4,398  $ (102) $ 681  $ 4,977 
(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 $494 million and $529 million for the three months ended March 31, 2024 and 2023.
(2)Includes commodity risk.
Credit Derivatives
The Corporation enters into credit derivatives primarily to facilitate client transactions and to manage credit risk exposures. Credit derivatives 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. For more information on credit derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.

Credit derivative instruments where the Corporation is the seller of credit protection and their expiration at March 31, 2024 and December 31, 2023 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, 2024
(Dollars in millions) Carrying Value
Credit default swaps:          
Investment grade $ 1  $ 7  $ 15  $ 21  $ 44 
Non-investment grade 23  237  670  552  1,482 
Total 24  244  685  573  1,526 
Total return swaps/options:          
Investment grade 18  —  —  —  18 
Non-investment grade 237  63  70  7  377 
Total 255  63  70  7  395 
Total credit derivatives $ 279  $ 307  $ 755  $ 580  $ 1,921 
Credit-related notes:          
Investment grade $ —  $ —  $ 10  $ 558  $ 568 
Non-investment grade —  6  18  1,012  1,036 
Total credit-related notes $ —  $ 6  $ 28  $ 1,570  $ 1,604 
  Maximum Payout/Notional
Credit default swaps:          
Investment grade $ 37,594  $ 68,197  $ 114,691  $ 49,572  $ 270,054 
Non-investment grade 16,093  31,315  36,608  12,291  96,307 
Total 53,687  99,512  151,299  61,863  366,361 
Total return swaps/options:          
Investment grade 49,019  1,770  1,378  894  53,061 
Non-investment grade 20,858  1,544  2,205  889  25,496 
Total 69,877  3,314  3,583  1,783  78,557 
Total credit derivatives $ 123,564  $ 102,826  $ 154,882  $ 63,646  $ 444,918 
December 31, 2023
Carrying Value
Credit default swaps:
Investment grade $ —  $ 11  $ 26  $ 20  $ 57 
Non-investment grade 38  277  601  595  1,511 
Total 38  288  627  615  1,568 
Total return swaps/options:          
Investment grade 59  —  —  —  59 
Non-investment grade 149  69  56  5  279 
Total 208  69  56  5  338 
Total credit derivatives $ 246  $ 357  $ 683  $ 620  $ 1,906 
Credit-related notes:          
Investment grade $ —  $ —  $ —  $ 859  $ 859 
Non-investment grade —  5  16  1,103  1,124 
Total credit-related notes $ —  $ 5  $ 16  $ 1,962  $ 1,983 
  Maximum Payout/Notional
Credit default swaps:
Investment grade $ 33,750  $ 65,015  $ 83,313  $ 17,023  $ 199,101 
Non-investment grade 18,061  32,155  33,934  5,827  89,977 
Total 51,811  97,170  117,247  22,850  289,078 
Total return swaps/options:          
Investment grade 40,515  1,503  1,561  23  43,602 
Non-investment grade 20,694  1,414  1,907  988  25,003 
Total 61,209  2,917  3,468  1,011  68,605 
Total credit derivatives $ 113,020  $ 100,087  $ 120,715  $ 23,861  $ 357,683 
The notional amount represents the maximum amount payable by the Corporation for most credit derivatives. However, the Corporation does not monitor its exposure to credit derivatives based solely on the notional amount because this measure does not take into consideration the probability of occurrence. As such, the notional amount is not a reliable indicator of the Corporation’s exposure to these contracts. Instead, a risk framework is used to define risk tolerances and establish limits so that certain credit risk-related losses occur within acceptable, predefined limits.

Credit-related notes in the table above include investments in securities issued by collateralized debt obligation (CDO), collateralized loan obligation (CLO) and credit-linked note vehicles. These instruments are primarily classified as trading securities. The carrying value of these instruments equals the Corporation’s maximum exposure to loss. The Corporation is not obligated to make any payments to the entities under the terms of the securities owned.

Credit-related Contingent Features and Collateral
Certain of the Corporation’s derivative contracts contain credit risk-related contingent features, primarily in the form of ISDA master netting agreements and credit support documentation that enhance the creditworthiness of these instruments compared to other obligations of the respective counterparty with whom the Corporation has transacted. These contingent features may be for the benefit of the Corporation as well as its counterparties with respect to changes in the Corporation’s creditworthiness and the mark-to-market exposure under the derivative transactions. At March 31, 2024 and December 31, 2023, the Corporation held cash and securities collateral of $105.1 billion and $104.1 billion and posted cash and securities collateral of $89.7 billion and $93.4 billion in the normal course of business under derivative agreements, excluding cross-product margining agreements where clients are permitted to margin on a net basis for both derivative and secured financing arrangements.
In connection with certain OTC derivative contracts and other trading agreements, the Corporation can be required to provide additional collateral or to terminate transactions with certain counterparties in the event of a downgrade of the senior debt ratings of the Corporation or certain subsidiaries. The amount of additional collateral required depends on the contract and is usually a fixed incremental amount and/or the market value of the exposure. For more information on credit-related contingent features and collateral, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.
At March 31, 2024, the amount of collateral, calculated based on the terms of the contracts, that the Corporation and certain subsidiaries could be required to post to counterparties but had not yet posted to counterparties was $3.1 billion, including $1.6 billion for Bank of America, National Association.
Some counterparties are currently able to unilaterally terminate certain contracts, or the Corporation or certain subsidiaries may be required to take other action such as find a suitable replacement or obtain a guarantee. At March 31, 2024 and December 31, 2023, the liability recorded for these derivative contracts was not significant.
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, 2024 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. The table also presents derivative liabilities that would be subject to unilateral termination by counterparties upon downgrade of the Corporation's or certain subsidiaries’ long-term senior debt ratings.
Additional Collateral Required to be Posted and Derivative Liabilities Subject to Unilateral Termination Upon Downgrade
at March 31, 2024
(Dollars in millions) One
Incremental
 Notch		 Second
Incremental
 Notch
Additional collateral required to be posted upon downgrade
Bank of America Corporation $ 132  $ 878 
Bank of America, N.A. and subsidiaries (1)
40  708 
Derivative liabilities subject to unilateral termination upon downgrade
Derivative liabilities $ 5  $ 158 
Collateral posted 4  63 
(1)Included in Bank of America Corporation collateral requirements in this table.
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, 2024 and 2023. For more information on the valuation adjustments on derivatives, see Note 3 – Derivatives to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K.
Valuation Adjustments Gains (Losses) on Derivatives (1)
Three Months Ended March 31
(Dollars in millions) 2024 2023
Derivative assets (CVA) $ 62  $ 12 
Derivative assets/liabilities (FVA)
 14  (43)
Derivative liabilities (DVA) (69) 2 
(1)At March 31, 2024 and December 31, 2023, cumulative CVA reduced the derivative assets balance by $297 million and $359 million, cumulative FVA reduced the net derivative balance by $73 million and $87 million, and cumulative DVA reduced the derivative liabilities balance by $230 million and $299 million.