XML 55 R33.htm IDEA: XBRL DOCUMENT v3.20.1
DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES (Tables)
 6 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Liabilities at Fair Value
The following table presents the gross fair value and notional amount of derivatives by product type, the amounts of counterparty and cash collateral netting on our Condensed Consolidated Statements of Financial Condition, as well as collateral posted and received under credit support agreements that do not meet the criteria for netting under GAAP.
 
 
March 31, 2020
 
September 30, 2019
$ in millions
 
Derivative assets
 
Derivative liabilities
 
Notional amount
 
Derivative assets
 
Derivative liabilities
 
Notional amount
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate - matched book
 
$
351

 
$
351

 
$
2,265

 
$
280

 
$
280

 
$
2,296

Interest rate - other (1)
 
359

 
286

 
16,686

 
184

 
146

 
10,690

Foreign exchange
 
—

 
3

 
576

 
—

 
1

 
573

Equity
 
—

 
1

 
1

 
—

 
6

 
6

Subtotal
 
710


641


19,528


464


433


13,565

Derivatives designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
 
—

 
1

 
850

 
1

 
—

 
850

Foreign exchange
 
—

 
3

 
816

 
—

 
1

 
856

Subtotal
 
—


4


1,666


1


1


1,706

Total gross fair value/notional amount
 
710


645


$
21,194


465


434


$
15,271

Offset on the Condensed Consolidated Statements of Financial Condition
 
 
 
 
 
 
 
 
 
 
 
 
Counterparty netting
 
(93
)
 
(93
)
 
 
 
(24
)
 
(24
)
 
 
Cash collateral netting
 
(170
)
 
(125
)
 
 
 
(103
)
 
(97
)
 
 
Total amounts offset
 
(263
)
 
(218
)
 
 
 
(127
)
 
(121
)
 
 
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
 
447


427

 
 
 
338

 
313

 
 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments (2)
 
(372
)
 
(351
)
 
 
 
(297
)
 
(280
)
 
 
Total
 
$
75

 
$
76

 
 
 
$
41

 
$
33

 
 


(1)
Substantially all relates to interest rate derivatives entered into as part of our fixed income business operations, including to be announced (“TBA”) security contracts that are accounted for as derivatives.

(2)
Although the matched book derivative arrangements do not meet the definition of a master netting arrangement as specified by GAAP, the agreement with the third-party intermediary includes terms that are similar to a master netting agreement. As a result, we present the matched book amounts net in the preceding table.
Schedule of Derivative Assets at Fair Value
The following table presents the gross fair value and notional amount of derivatives by product type, the amounts of counterparty and cash collateral netting on our Condensed Consolidated Statements of Financial Condition, as well as collateral posted and received under credit support agreements that do not meet the criteria for netting under GAAP.
 
 
March 31, 2020
 
September 30, 2019
$ in millions
 
Derivative assets
 
Derivative liabilities
 
Notional amount
 
Derivative assets
 
Derivative liabilities
 
Notional amount
Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate - matched book
 
$
351

 
$
351

 
$
2,265

 
$
280

 
$
280

 
$
2,296

Interest rate - other (1)
 
359

 
286

 
16,686

 
184

 
146

 
10,690

Foreign exchange
 
—

 
3

 
576

 
—

 
1

 
573

Equity
 
—

 
1

 
1

 
—

 
6

 
6

Subtotal
 
710


641


19,528


464


433


13,565

Derivatives designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate
 
—

 
1

 
850

 
1

 
—

 
850

Foreign exchange
 
—

 
3

 
816

 
—

 
1

 
856

Subtotal
 
—


4


1,666


1


1


1,706

Total gross fair value/notional amount
 
710


645


$
21,194


465


434


$
15,271

Offset on the Condensed Consolidated Statements of Financial Condition
 
 
 
 
 
 
 
 
 
 
 
 
Counterparty netting
 
(93
)
 
(93
)
 
 
 
(24
)
 
(24
)
 
 
Cash collateral netting
 
(170
)
 
(125
)
 
 
 
(103
)
 
(97
)
 
 
Total amounts offset
 
(263
)
 
(218
)
 
 
 
(127
)
 
(121
)
 
 
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
 
447


427

 
 
 
338

 
313

 
 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
 
 
 
 
 
 
 
 
 
 
 
 
Financial instruments (2)
 
(372
)
 
(351
)
 
 
 
(297
)
 
(280
)
 
 
Total
 
$
75

 
$
76

 
 
 
$
41

 
$
33

 
 


(1)
Substantially all relates to interest rate derivatives entered into as part of our fixed income business operations, including to be announced (“TBA”) security contracts that are accounted for as derivatives.

(2)
Although the matched book derivative arrangements do not meet the definition of a master netting arrangement as specified by GAAP, the agreement with the third-party intermediary includes terms that are similar to a master netting agreement. As a result, we present the matched book amounts net in the preceding table.
Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)
The following table details the gains/(losses) included in accumulated other comprehensive income (“AOCI”), net of income taxes, on derivatives designated as hedging instruments. These gains/(losses) included any amounts reclassified from AOCI to net income during the period. See Note 16 for additional information.
 
 
Three months ended March 31,
 
Six months ended March 31,
$ in millions
 
2020
 
2019
 
2020
 
2019
Interest rate (cash flow hedges)
 
$
(43
)
 
$
(13
)
 
$
(33
)
 
$
(30
)
Foreign exchange (net investment hedges)
 
52

 
(11
)
 
39

 
26

Total gains/(losses) in AOCI, net of taxes
 
$
9

 
$
(24
)
 
$
6

 
$
(4
)
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table details the gains/(losses) included in accumulated other comprehensive income (“AOCI”), net of income taxes, on derivatives designated as hedging instruments. These gains/(losses) included any amounts reclassified from AOCI to net income during the period. See Note 16 for additional information.
 
 
Three months ended March 31,
 
Six months ended March 31,
$ in millions
 
2020
 
2019
 
2020
 
2019
Interest rate (cash flow hedges)
 
$
(43
)
 
$
(13
)
 
$
(33
)
 
$
(30
)
Foreign exchange (net investment hedges)
 
52

 
(11
)
 
39

 
26

Total gains/(losses) in AOCI, net of taxes
 
$
9

 
$
(24
)
 
$
6

 
$
(4
)
Amount of Gain (Loss) on Derivatives Recognized in Income
The following table details the gains/(losses) on derivatives not designated as hedging instruments recognized on the Condensed Consolidated Statements of Income and Comprehensive Income.
$ in millions
 
 
 
Three months ended March 31,
 
Six months ended March 31,
 
Location of gain/(loss)
 
2020
 
2019
 
2020
 
2019
Interest rate
 
Principal transactions/other revenues
 
$
—

 
$
—

 
$
5

 
$
2

Foreign exchange
 
Other revenues
 
$
43

 
$
(4
)
 
$
32

 
$
22

Equity
 
Compensation, commissions and benefits expense
 
$
(1
)
 
$
—

 
$
(1
)
 
$
5