XML 44 R34.htm IDEA: XBRL DOCUMENT v3.22.0.1
DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES (Tables)
 3 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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, 2021September 30, 2021
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate - matched book$171 $171 $1,559 $193 $193 $1,736 
Interest rate - other (1)
114 103 12,356 144 122 15,087 
Foreign exchange— 14 867 3 — 826 
Other1 — 570 — 1 551 
Subtotal286 288 15,352 340 316 18,200 
Derivatives designated as hedging instruments
Interest rate— — 850 — — 850 
Foreign exchange
— 18 936 2 — 939 
Subtotal
— 18 1,786 2 — 1,789 
Total gross fair value/notional amount
286 306 $17,138 342 316 $19,989 
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting
(38)(38)(46)(46)
Cash collateral netting
(34)(36)(41)(42)
Total amounts offset
(72)(74)(87)(88)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
214 232 255 228 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments (2)
(181)(171)(205)(193)
Total
$33 $61 $50 $35 

(1)    Substantially all relates to interest rate derivatives entered into as part of our fixed income business operations, including to-be-announced security contracts (“TBAs”) 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 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, 2021September 30, 2021
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate - matched book$171 $171 $1,559 $193 $193 $1,736 
Interest rate - other (1)
114 103 12,356 144 122 15,087 
Foreign exchange— 14 867 3 — 826 
Other1 — 570 — 1 551 
Subtotal286 288 15,352 340 316 18,200 
Derivatives designated as hedging instruments
Interest rate— — 850 — — 850 
Foreign exchange
— 18 936 2 — 939 
Subtotal
— 18 1,786 2 — 1,789 
Total gross fair value/notional amount
286 306 $17,138 342 316 $19,989 
Offset on the Condensed Consolidated Statements of Financial Condition
Counterparty netting
(38)(38)(46)(46)
Cash collateral netting
(34)(36)(41)(42)
Total amounts offset
(72)(74)(87)(88)
Net amounts presented on the Condensed Consolidated Statements of Financial Condition
214 232 255 228 
Gross amounts not offset on the Condensed Consolidated Statements of Financial Condition
Financial instruments (2)
(181)(171)(205)(193)
Total
$33 $61 $50 $35 

(1)    Substantially all relates to interest rate derivatives entered into as part of our fixed income business operations, including to-be-announced security contracts (“TBAs”) 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/(loss) (“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 December 31,
$ in millions20212020
Interest rate (cash flow hedges)$9 $5 
Foreign exchange (net investment hedges)(1)(29)
Total gains/(losses) in AOCI, net of taxes$8 $(24)
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/(loss) (“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 December 31,
$ in millions20212020
Interest rate (cash flow hedges)$9 $5 
Foreign exchange (net investment hedges)(1)(29)
Total gains/(losses) in AOCI, net of taxes$8 $(24)
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 millionsThree months ended December 31,
Location of gain/(loss)20212020
Interest rate
Principal transactions/other revenues$3 $4 
Foreign exchangeOther revenues$(1)$(26)
OtherPrincipal transactions$3 $4