XML 59 R41.htm IDEA: XBRL DOCUMENT v3.22.2.2
DERIVATIVE ASSETS AND DERIVATIVE LIABILITIES (Tables)
 12 Months Ended
Sep. 30, 2022
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 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.
September 30, 2022September 30, 2021
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate - matched book$52 $52 $1,340 $193 $193 $1,736 
Interest rate - other (1)
462 535 14,647 144 122 15,087 
Foreign exchange4 5 958 3 — 826 
Other— 3 531 — 1 551 
Subtotal518 595 17,476 340 316 18,200 
Derivatives designated as hedging instruments
Interest rate - other12 — 1,050 — — 850 
Foreign exchange
6 — 1,092 2 — 939 
Subtotal
18 — 2,142 2 — 1,789 
Total gross fair value/notional amount
536 595 $19,618 342 316 $19,989 
Offset on the Consolidated Statements of Financial Condition
Counterparty netting
(35)(35)(46)(46)
Cash collateral netting
(313)(30)(41)(42)
Total amounts offset
(348)(65)(87)(88)
Net amounts presented on the Consolidated Statements of Financial Condition188 530 255 228 
Gross amounts not offset on the Consolidated Statements of Financial Condition
Financial instruments (2)
(60)(52)(205)(193)
Total
$128 $478 $50 $35 

(1)    Relates to interest rate derivatives entered into as part of our fixed income business operations, including TBA security contracts that are accounted for as derivatives, as well as our banking operations, including those of TriState Capital Bank which was acquired on June 1, 2022.
(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 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.
September 30, 2022September 30, 2021
$ in millionsDerivative assetsDerivative liabilitiesNotional amountDerivative assetsDerivative liabilitiesNotional amount
Derivatives not designated as hedging instruments
Interest rate - matched book$52 $52 $1,340 $193 $193 $1,736 
Interest rate - other (1)
462 535 14,647 144 122 15,087 
Foreign exchange4 5 958 3 — 826 
Other— 3 531 — 1 551 
Subtotal518 595 17,476 340 316 18,200 
Derivatives designated as hedging instruments
Interest rate - other12 — 1,050 — — 850 
Foreign exchange
6 — 1,092 2 — 939 
Subtotal
18 — 2,142 2 — 1,789 
Total gross fair value/notional amount
536 595 $19,618 342 316 $19,989 
Offset on the Consolidated Statements of Financial Condition
Counterparty netting
(35)(35)(46)(46)
Cash collateral netting
(313)(30)(41)(42)
Total amounts offset
(348)(65)(87)(88)
Net amounts presented on the Consolidated Statements of Financial Condition188 530 255 228 
Gross amounts not offset on the Consolidated Statements of Financial Condition
Financial instruments (2)
(60)(52)(205)(193)
Total
$128 $478 $50 $35 

(1)    Relates to interest rate derivatives entered into as part of our fixed income business operations, including TBA security contracts that are accounted for as derivatives, as well as our banking operations, including those of TriState Capital Bank which was acquired on June 1, 2022.
(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 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 year. See Note 20 for additional information.
 Year ended September 30,
$ in millions202220212020
Interest rate (cash flow hedges)$70 $26 $(34)
Foreign exchange (net investment hedges)72 (34)5 
Total gains/(losses) included in AOCI, net of taxes$142 $(8)$(29)
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 year. See Note 20 for additional information.
 Year ended September 30,
$ in millions202220212020
Interest rate (cash flow hedges)$70 $26 $(34)
Foreign exchange (net investment hedges)72 (34)5 
Total gains/(losses) included in AOCI, net of taxes$142 $(8)$(29)
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 Consolidated Statements of Income and Comprehensive Income. These amounts do not include any offsetting gains/(losses) on the related hedged item.
 Year ended September 30,
$ in millionsLocation of gain/(loss)202220212020
Interest rate
Principal transactions/other revenues$22 $13 $7 
Foreign exchange
Other revenues$102 $(21)$— 
OtherPrincipal transactions$(1)$4 $(5)