Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivatives on a Gross Basis

In the table below:

•

Gross fair values exclude the effects of both counterparty netting and collateral, and therefore are not representative of the firm’s exposure.

•

Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted.

•

Notional amounts, which represent the sum of gross long and short derivative contracts, provide an indication of the volume of the firm’s derivative activity and do not represent anticipated losses.

•

Total gross fair value of derivatives includes derivative assets and derivative liabilities of $17.91 billion and $16.78 billion, respectively, as of September 2016, and derivative assets and derivative liabilities of $17.09 billion and $18.16 billion, respectively, as of December 2015, which are not subject to an enforceable netting agreement or are subject to a netting agreement that the firm has not yet determined to be enforceable.


	As of September 2016						As of December 2015
$ in millions		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount
Derivatives not accounted for as hedges
Exchange-traded		$ 376		$ 425		$ 5,007,835		$ 310		$ 280		$ 4,402,843

OTC-cleared		299,669		281,538		19,319,515		211,272		192,401		20,738,687

Bilateral OTC		441,056		415,105		11,870,373		345,516		321,458		12,953,830
Total interest rates		741,101		697,068		36,197,723		557,098		514,139		38,095,360
OTC-cleared		5,187		5,071		412,498		5,203		5,596		339,244

Bilateral OTC		25,464		22,235		1,225,769		35,679		31,179		1,552,806
Total credit		30,651		27,306		1,638,267		40,882		36,775		1,892,050
Exchange-traded		13		134		9,709		183		204		13,073

OTC-cleared		228		297		43,677		165		128		14,617

Bilateral OTC		82,437		79,377		5,674,447		96,660		99,235		5,461,940
Total currencies		82,678		79,808		5,727,833		97,008		99,567		5,489,630
Exchange-traded		4,674		4,190		283,543		2,997		3,623		203,465

OTC-cleared		176		214		2,846		232		233		2,839

Bilateral OTC		9,021		10,579		198,855		17,445		17,215		230,750
Total commodities		13,871		14,983		485,244		20,674		21,071		437,054
Exchange-traded		8,088		8,391		624,544		9,372		7,908		528,419

Bilateral OTC		39,169		39,984		970,472		37,788		38,290		927,078
Total equities		47,257		48,375		1,595,016		47,160		46,198		1,455,497
Subtotal		915,558		867,540		45,644,083		762,822		717,750		47,369,591
Derivatives accounted for as hedges
OTC-cleared		6,462		30		57,947		4,567		85		51,446

Bilateral OTC		5,494		1		42,065		6,660		20		62,022
Total interest rates		11,956		31		100,012		11,227		105		113,468
OTC-cleared		2		46		1,538		24		6		1,333

Bilateral OTC		27		60		8,947		116		27		8,615
Total currencies		29		106		10,485		140		33		9,948
Subtotal		11,985		137		110,497		11,367		138		123,416
Total gross fair value/notional amount of derivatives		$ 927,543		$ 867,677		$45,754,580		$ 774,189		$ 717,888		$47,493,007
Amounts offset in the condensed consolidated statements of financial condition
Exchange-traded		$ (11,276	)	$ (11,276	)			$ (9,398	)	$ (9,398	)

OTC-cleared		(284,021	)	(284,021	)			(194,928	)	(194,928	)

Bilateral OTC		(478,894	)	(478,894	)			(426,841	)	(426,841	)
Total counterparty netting		(774,191	)	(774,191	)			(631,167	)	(631,167	)
OTC-cleared		(27,059	)	(2,542	)			(26,151	)	(3,305	)

Bilateral OTC		(71,549	)	(46,505	)			(62,981	)	(36,645	)
Total cash collateral netting		(98,608	)	(49,047	)			(89,132	)	(39,950	)
Total counterparty and cash collateral netting		$(872,799	)	$(823,238	)			$(720,299	)	$(671,117	)
Included in the condensed consolidated statements of financial condition
Exchange-traded		$ 1,875		$ 1,864				$ 3,464		$ 2,617

OTC-cleared		644		633				384		216

Bilateral OTC		52,225		41,942				50,042		43,938
Total included in the condensed consolidated statements of financial condition		$ 54,744		$ 44,439				$ 53,890		$ 46,771
Amounts not offset in the condensed consolidated statements of financial condition
Cash collateral received/posted		$ (522	)	$ (2,016	)			$ (498	)	$ (1,935	)

Securities collateral received/posted		(17,910	)	(14,193	)			(14,008	)	(10,044	)
Total		$ 36,312		$ 28,230				$ 39,384		$ 34,792

Fair Value of Derivatives by Level

The tables below present the fair value of derivatives on a gross basis by level and major product type as well as the impact of netting, included in the condensed consolidated statements of financial condition.

As of September 2016

$ in millions

Level 1

Level 2

Level 3

Total

Assets

Interest rates

$ 9

$ 752,087

$ 961

$ 753,057

Credit

—

24,863

5,788

30,651

Currencies

—

82,474

233

82,707

Commodities

—

13,469

402

13,871

Equities

46,612

634

47,257

Gross fair value

919,505

8,018

927,543

Counterparty netting within levels

)

(770,662

)

(1,925

)

(772,588

)

Subtotal

$ 19

$ 148,843

$ 6,093

$ 154,955

Cross-level counterparty netting

(1,603

)

Cash collateral netting

(98,608

)

Net fair value

$ 54,744

Liabilities

Interest rates

$ (22

)

$(696,170

)

$ (907

)

$(697,099

)

Credit

—

(24,429

)

(2,877

)

(27,306

)

Currencies

—

(79,713

)

(201

)

(79,914

)

Commodities

—

(14,579

)

(404

)

(14,983

)

Equities

(554

)

(46,484

)

(1,337

)

(48,375

)

Gross fair value

(576

)

(861,375

)

(5,726

)

(867,677

)

Counterparty netting within levels

770,662

1,925

772,588

Subtotal

$(575

)

$ (90,713

)

$(3,801

)

$ (95,089

)

Cross-level counterparty netting

1,603

Cash collateral netting

49,047

Net fair value

$ (44,439

)


	As of December 2015
$ in millions		Level 1		Level 2		Level 3		Total
Assets
Interest rates		$ 4		$ 567,761		$ 560		$ 568,325

Credit		—		34,832		6,050		40,882

Currencies		—		96,959		189		97,148

Commodities		—		20,087		587		20,674

Equities		46		46,491		623		47,160
Gross fair value		50		766,130		8,009		774,189

Counterparty netting within levels		—		(627,548	)	(2,139	)	(629,687	)
Subtotal		$ 50		$ 138,582		$ 5,870		$ 144,502

Cross-level counterparty netting								(1,480	)

Cash collateral netting								(89,132	)
Net fair value								$ 53,890
Liabilities
Interest rates		$ (11	)	$(513,275	)	$ (958	)	$(514,244	)

Credit		—		(33,518	)	(3,257	)	(36,775	)

Currencies		—		(99,377	)	(223	)	(99,600	)

Commodities		—		(20,222	)	(849	)	(21,071	)

Equities		(18	)	(43,953	)	(2,227	)	(46,198	)
Gross fair value		(29	)	(710,345	)	(7,514	)	(717,888	)

Counterparty netting within levels		—		627,548		2,139		629,687
Subtotal		$ (29	)	$ (82,797	)	$(5,375	)	$ (88,201	)

Cross-level counterparty netting								1,480

Cash collateral netting								39,950
Net fair value								$ (46,771	)

Fair Value, Derivatives, Measurement Inputs, Disclosure

The table below presents the amount of level 3 assets (liabilities), and ranges, averages and medians of significant unobservable inputs used to value the firm’s level 3 derivatives.


	Level 3 Assets (Liabilities) and Range of Significant Unobservable Inputs (Average / Median) as of
$ in millions		September 2016		December 2015
Interest rates — net		$54		$(398	)

Correlation		(10)% to 86% (56% / 60%	)	(25)% to 92% (53% / 55%	)

Volatility (bps per annum)		31 to 151 (84 / 57	)	31 to 152 (84 / 57	)
Credit — net		$2,911		$2,793

Correlation		29% to 92% (60% / 59%	)	46% to 99% (68% / 66%	)

Credit spreads (bps)		1 to 960 (113 / 68	)	1 to 1,019 (129 / 86	)

Upfront credit points		0 to 100 (42 / 37	)	0 to 100 (41 / 40	)

Recovery rates		1% to 97% (61% / 70%	)	2% to 97% (58% / 70%	)
Currencies — net		$32		$(34	)

Correlation		25% to 70% (51% / 55%	)	25% to 70% (50% / 51%	)
Commodities — net		$(2	)	$(262	)

Volatility		10% to 67% (34% / 34%	)	11% to 77% (35% / 34%	)

Natural gas spread		$(2.20) to $4.01 ($(0.06) / $(0.02)	)	$(1.32) to $4.15 ($(0.05) / $(0.01)	)

Oil spread		$(11.15) to $64.66 ($10.95 / $6.92	)	$(10.64) to $65.29 ($3.34 / $(3.31)	)
Equities — net		$(703	)	$(1,604	)

Correlation		(49)% to 87% (44% / 45%	)	(65)% to 94% (42% / 48%	)

Volatility		5% to 107% (25% / 24%	)	5% to 76% (24% / 23%	)

Fair Value of Derivatives, Level 3 Rollforward

The table below presents changes in fair value for all derivatives categorized as level 3 as of the end of the period. In the table below:


	Level 3 Derivative Assets and Liabilities at Fair Value
$ in millions		Asset/ (liability) balance, beginning of period		Net realized gains/ (losses)		Net unrealized gains/ (losses)		Purchases	Sales		Settlements		Transfers into level 3		Transfers out of level 3		Asset/ (liability) balance, end of period
Three Months Ended September 2016
Interest rates — net		$ 56		$ (23	)	$ (48	)	$ —	$ (2	)	$ 61		$ 9		$ 1		$ 54

Credit — net		2,942		7		(31	)	12	(6	)	(110	)	101		(4	)	2,911

Currencies — net		17		(12	)	(14	)	1	—		39		—		1		32

Commodities — net		(222	)	(2	)	(25	)	1	(4	)	34		6		210		(2	)

Equities — net		(363	)	47		(53	)	29	(26	)	(218	)	3		(122	)	(703	)
Total derivatives — net		$ 2,430		$ 17		$(171	)	$ 43	$ (38	)	$ (194	)	$ 119		$ 86		$2,292
Nine Months Ended September 2016
Interest rates — net		$ (398	)	$ (43	)	$ 129		$ 3	$ (5	)	$ 95		$ 304		$ (31	)	$ 54

Credit — net		2,793		(50	)	359		68	(38	)	(393	)	191		(19	)	2,911

Currencies — net		(34	)	(39	)	2		15	(4	)	84		1		7		32

Commodities — net		(262	)	22		34		27	(118	)	12		10		273		(2	)

Equities — net		(1,604	)	—		96		78	(114	)	824		(6	)	23		(703	)
Total derivatives — net		$ 495		$(110	)	$ 620		$191	$(279	)	$ 622		$ 500		$ 253		$2,292
Three Months Ended September 2015
Interest rates — net		$ (78	)	$ (27	)	$ 1		$ 2	$ (1	)	$ 10		$(112	)	$ 5		$ (200	)

Credit — net		2,968		39		416		32	(46	)	109		(5	)	(219	)	3,294

Currencies — net		(149	)	(18	)	183		4	—		37		(4	)	107		160

Commodities — net		(54	)	1		(27	)	2	(56	)	(4	)	7		154		23

Equities — net		(2,349	)	(17	)	318		39	(407	)	1,513		(88	)	107		(884	)
Total derivatives — net		$ 338		$ (22	)	$ 891		$ 79	$(510	)	$1,665		$(202	)	$ 154		$2,393
Nine Months Ended September 2015
Interest rates — net		$ (40	)	$ (10	)	$ (4	)	$ 5	$ (32	)	$ 31		$(105	)	$ (45	)	$ (200	)

Credit — net		3,530		147		553		56	(151	)	(700	)	127		(268	)	3,294

Currencies — net		(267	)	(71	)	301		31	(8	)	108		(19	)	85		160

Commodities — net		(1,142	)	9		(68	)	—	(87	)	(95	)	(20	)	1,426		23

Equities — net		(1,375	)	83		185		105	(694	)	942		(148	)	18		(884	)
Total derivatives — net		$ 706		$ 158		$ 967		$197	$(972	)	$ 286		$(165	)	$1,216		$2,393

OTC Derivatives by Product Type and Tenor

The table below presents the fair values of OTC derivative assets and liabilities by tenor and major product type.


$ in millions	Less than 1 Year		1 - 5 Years		Greater than 5 Years		Total
As of September 2016
Assets
Interest rates	$ 6,008		$22,669		$100,614		$129,291

Credit	1,646		3,264		6,587		11,497

Currencies	11,981		6,832		9,093		27,906

Commodities	3,094		2,024		222		5,340

Equities	3,551		8,478		1,645		13,674

Counterparty netting within tenors	(3,787	)	(5,350	)	(5,114	)	(14,251	)
Subtotal	$22,493		$37,917		$113,047		$173,457

Cross-tenor counterparty netting							(21,980	)

Cash collateral netting							(98,608	)
Total							$52,869
Liabilities
Interest rates	$ 7,662		$12,921		$ 52,702		$ 73,285

Credit	2,513		3,548		2,091		8,152

Currencies	10,623		7,262		7,107		24,992

Commodities	2,922		1,351		2,663		6,936

Equities	4,707		7,070		2,711		14,488

Counterparty netting within tenors	(3,787	)	(5,350	)	(5,114	)	(14,251	)
Subtotal	$24,640		$26,802		$ 62,160		$113,602

Cross-tenor counterparty netting							(21,980	)

Cash collateral netting							(49,047	)
Total							$ 42,575
As of December 2015
Assets
Interest rates	$ 4,231		$23,278		$ 81,401		$108,910

Credit	1,664		4,547		5,842		12,053

Currencies	14,646		8,936		6,353		29,935

Commodities	6,228		3,897		231		10,356

Equities	4,806		7,091		1,550		13,447

Counterparty netting within tenors	(3,660	)	(5,751	)	(5,270	)	(14,681	)
Subtotal	$27,915		$41,998		$ 90,107		$160,020

Cross-tenor counterparty netting							(20,462	)

Cash collateral netting							(89,132	)
Total							$ 50,426
Liabilities
Interest rates	$ 5,323		$13,945		$ 35,592		$ 54,860

Credit	1,804		4,704		1,437		7,945

Currencies	12,378		9,940		10,048		32,366

Commodities	4,464		3,136		2,526		10,126

Equities	5,154		5,802		2,994		13,950

Counterparty netting within tenors	(3,660	)	(5,751	)	(5,270	)	(14,681	)
Subtotal	$25,463		$31,776		$ 47,327		$104,566

Cross-tenor counterparty netting							(20,462	)

Cash collateral netting							(39,950	)
Total							$ 44,154

Credit Derivatives

The table below presents certain information about credit derivatives.


	Credit Spread on Underlier (basis points)
$ in millions		0 - 250	251 - 500		501 - 1,000		Greater than 1,000		Total
As of September 2016
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year		$228,332	$ 6,064		$ 2,188		$ 8,167		$244,751

1 – 5 years		407,671	19,029		10,016		12,324		449,040

Greater than 5 years		90,292	9,836		2,831		1,444		104,403
Total		$726,295	$34,929		$15,035		$ 21,935		$798,194
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting		$631,589	$26,543		$14,590		$ 19,321		$692,043

Other		134,755	9,281		1,635		2,468		148,139
Fair Value of Written Credit Derivatives
Asset		$ 15,280	$ 947		$ 269		$ 197		$ 16,693

Liability		2,978	1,037		1,048		6,597		11,660
Net asset/(liability)		$ 12,302	$ (90	)	$ (779	)	$ (6,400	)	$ 5,033
As of December 2015
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year		$240,468	$ 2,859		$ 2,881		$ 10,533		$256,741

1 – 5 years		514,986	42,399		16,327		26,271		599,983

Greater than 5 years		57,054	6,481		1,567		1,651		66,753
Total		$812,508	$51,739		$20,775		$ 38,455		$923,477
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting		$722,436	$46,313		$19,556		$ 33,266		$821,571

Other		132,757	6,383		3,372		4,598		147,110
Fair Value of Written Credit Derivatives
Asset		$ 17,110	$ 924		$ 108		$ 190		$ 18,332

Liability		2,756	2,596		1,942		12,485		19,779
Net asset/(liability)		$ 14,354	$ (1,672	)	$ (1,834	)	$(12,295	)	$ (1,447	)

Bifurcated Embedded Derivatives

The table below presents the fair value and the notional amount of derivatives that have been bifurcated from their related borrowings. These derivatives, which are recorded at fair value, primarily consist of interest rate, equity and commodity products and are included in “Unsecured short-term borrowings” and “Unsecured long-term borrowings” with the related borrowings. See Note 8 for further information.


	As of
$ in millions		September 2016	December 2015
Fair value of assets		$ 697	$ 466

Fair value of liabilities		702	794
Net liability		$ 5	$ 328
Notional amount		$8,849	$7,869

Derivatives with Credit-Related Contingent Features

The table below presents the aggregate fair value of net derivative liabilities under such agreements (excluding application of collateral posted to reduce these liabilities), the related aggregate fair value of the assets posted as collateral and the additional collateral or termination payments that could have been called at the reporting date by counterparties in the event of a one-notch and two-notch downgrade in the firm’s credit ratings.


	As of
$ in millions		September 2016	December 2015
Net derivative liabilities under bilateral agreements		$35,906	$29,836

Collateral posted		33,847	26,075

Additional collateral or termination payments:
One-notch downgrade		774	1,061

Two-notch downgrade		2,076	2,689

Gain (Loss) from Interest Rate Hedges and Related Hedged Borrowings and Deposits

The table below presents the gains/(losses) from interest rate derivatives accounted for as hedges, the related hedged borrowings and deposits, and the hedge ineffectiveness on these derivatives, which primarily consists of amortization of prepaid credit spreads resulting from the passage of time.


	Three Months Ended September					Nine Months Ended September
$ in millions		2016		2015			2016		2015
Interest rate hedges		$(984	)	$ 1,277			$ 1,865		$(246	)

Hedged borrowings and deposits		823		(1,363	)		(2,169	)	(273	)
Hedge ineffectiveness		$(161	)	$ (86	)		$ (304	)	$(519	)

Gains and Losses on Net Investment Hedges

The table below presents the gains/(losses) from net investment hedging.


	Three Months Ended September					Nine Months Ended September
$ in millions		2016		2015			2016		2015
Foreign currency forward contract hedges		$(74	)	$380			$(382	)	$627

Foreign currency-denominated debt hedges		(47	)	(45	)		(408	)	(14	)