DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES (Tables)

3 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Liabilities at Fair Value

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, 2020						September 30, 2020
$ in millions	Derivative assets		Derivative liabilities		Notional amount		Derivative assets		Derivative liabilities		Notional 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
Subtotal	496		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.

Schedule of Derivative Assets at Fair Value

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, 2020						September 30, 2020
$ in millions	Derivative assets		Derivative liabilities		Notional amount		Derivative assets		Derivative liabilities		Notional 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
Subtotal	496		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.

Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)

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 millions	2020		2019
Interest rate (cash flow hedges)	$	5	$	10
Foreign exchange (net investment hedges)	(29)		(13)
Total gains/(losses) in AOCI, net of taxes	$	(24)	$	(3)

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

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 millions	2020		2019
Interest rate (cash flow hedges)	$	5	$	10
Foreign exchange (net investment hedges)	(29)		(13)
Total gains/(losses) in AOCI, net of taxes	$	(24)	$	(3)

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 December 31,
	Location of gain/(loss)	2020		2019
Interest rate	Principal transactions/other revenues	$	4	$	5
Foreign exchange	Other revenues	$	(26)	$	(11)
Other	Principal transactions	$	4	$	—