DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES (Tables)

9 Months Ended

Jun. 30, 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.


	June 30, 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	$	2,182	$	280	$	280	$	2,296
Interest rate - other ⁽¹⁾	254		171		15,443		184		146		10,690
Foreign exchange	—		5		623		—		1		573
Other	—		1		516		—		6		272
Subtotal	605		528		18,764		464		433		13,831
Derivatives designated as hedging instruments
Interest rate	—		—		850		1		—		850
Foreign exchange	—		7		842		—		1		856
Subtotal	—		7		1,692		1		1		1,706
Total gross fair value/notional amount	605		535		$	20,456	465		434		$	15,537
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting	(41)		(41)				(24)		(24)
Cash collateral netting	(112)		(100)				(103)		(97)
Total amounts offset	(153)		(141)				(127)		(121)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition	452		394				338		313
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments ⁽²⁾	(373)		(351)				(297)		(280)
Total	$	79	$	43			$	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


	June 30, 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	$	2,182	$	280	$	280	$	2,296
Interest rate - other ⁽¹⁾	254		171		15,443		184		146		10,690
Foreign exchange	—		5		623		—		1		573
Other	—		1		516		—		6		272
Subtotal	605		528		18,764		464		433		13,831
Derivatives designated as hedging instruments
Interest rate	—		—		850		1		—		850
Foreign exchange	—		7		842		—		1		856
Subtotal	—		7		1,692		1		1		1,706
Total gross fair value/notional amount	605		535		$	20,456	465		434		$	15,537
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting	(41)		(41)				(24)		(24)
Cash collateral netting	(112)		(100)				(103)		(97)
Total amounts offset	(153)		(141)				(127)		(121)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition	452		394				338		313
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments ⁽²⁾	(373)		(351)				(297)		(280)
Total	$	79	$	43			$	41	$	33

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 June 30,						Nine months ended June 30,
$ in millions	2020		2019		2020		2019
Interest rate (cash flow hedges)	$	(4)	$	(19)	$	(37)	$	(49)
Foreign exchange (net investment hedges)	(21)		(12)		18		14
Total gains/(losses) in AOCI, net of taxes	$	(25)	$	(31)	$	(19)	$	(35)

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)


	Three months ended June 30,						Nine months ended June 30,
$ in millions	2020		2019		2020		2019
Interest rate (cash flow hedges)	$	(4)	$	(19)	$	(37)	$	(49)
Foreign exchange (net investment hedges)	(21)		(12)		18		14
Total gains/(losses) in AOCI, net of taxes	$	(25)	$	(31)	$	(19)	$	(35)

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 June 30,									Nine months ended June 30,
		Location of gain/(loss)			2020			2019			2020			2019
Interest rate	Principal transactions/other revenues		$	—		$	2		$	5		$	4
Foreign exchange	Other revenues		$	(19)		$	(8)		$	13		$	14
Other	Compensation, commissions and benefits expense		$	—		$	—		$	(1)		$	5