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DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
 3 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES
Our derivative assets and derivative liabilities are recorded at fair value and are included in “Derivative assets” and “Derivative liabilities” on our Condensed Consolidated Statements of Financial Condition. Cash flows related to our derivatives are included within operating activities on the Condensed Consolidated Statements of Cash Flows. The significant accounting policies governing our derivatives, including our methodologies for determining fair value, are described in Note 2 of our 2020 Form 10-K.

Derivative balances included on our financial statements

The following table presents the gross fair values and notional amounts 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.
December 31, 2020September 30, 2020
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate - matched book$273 $273 $1,985 $333 $333 $2,174 
Interest rate - other (1)
223 161 17,017 240 161 19,206 
Foreign exchange— 4 645 — 2 605 
Other— 3 582 — 6 608 
Subtotal496 441 20,229 573 502 22,593 
Derivatives designated as hedging instruments
Interest rate— — 850 — — 850 
Foreign exchange
— 7 895 — 3 866 
Subtotal
— 7 1,745 — 3 1,716 
Total gross fair value/notional amount
496 448 $21,974 573 505 $24,309 
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting
(41)(41)(40)(40)
Cash collateral netting
(87)(97)(95)(72)
Total amounts offset
(128)(138)(135)(112)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
368 310 438 393 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments (2)
(289)(273)(349)(333)
Total
$79 $37 $89 $60 

(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.

The following table details the gains/(losses) included in 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 15 for additional information.
 Three months ended December 31,
$ in millions20202019
Interest rate (cash flow hedges)$5 $10 
Foreign exchange (net investment hedges)(29)(13)
Total gains/(losses) in AOCI, net of taxes$(24)$(3)

There were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for each of the three months ended December 31, 2020 and 2019. We expect to reclassify $16 million of interest expense out of AOCI and into earnings within the next 12 months. The maximum length of time over which forecasted transactions are or will be hedged is 7 years.
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 millionsThree months ended December 31,
Location of gain/(loss)20202019
Interest rate
Principal transactions/other revenues$4 $5 
Foreign exchangeOther revenues$(26)$(11)
OtherPrincipal transactions$4 $— 

Risks associated with our derivatives and related risk mitigation

Credit risk

We are exposed to credit losses in the event of nonperformance by the counterparties to derivatives that are not cleared through a clearing organization. Where we are subject to credit exposure, we perform a credit evaluation of counterparties prior to entering into derivative transactions and we monitor their credit standings.  We may require initial margin or collateral from counterparties in the form of cash or other marketable securities to support certain of these obligations as established by the credit threshold specified by the agreement and/or as a result of monitoring the credit standing of the counterparties.

Our only exposure to credit risk on matched book derivatives is related to our uncollected derivative transaction fee revenues, which were insignificant as of both December 31, 2020 and September 30, 2020. We are not exposed to market risk on these derivatives due to the pass-through transaction structure described in Note 2 of our 2020 Form 10-K.

Interest rate and foreign exchange risk

We are exposed to interest rate risk related to certain of our interest rate derivatives. We are also exposed to foreign exchange risk related to our forward foreign exchange derivatives.  On a daily basis, we monitor our risk exposure on our derivatives based on established limits with respect to a number of factors, including interest rate, foreign exchange spot and forward rates, spread, ratio, basis and volatility risks, both for the total portfolio and by maturity period.