Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Fair Value of Derivatives on a Gross Basis

The tables below present the gross fair value and the notional amounts of derivative contracts by major product type, the amounts of counterparty and cash collateral netting in the condensed consolidated statements of financial condition, as well as cash and securities collateral posted and received under enforceable credit support agreements that do not meet the criteria for netting under U.S. GAAP.

	As of March 2017					As of December 2016
$ in millions		Derivative Assets		Derivative Liabilities			Derivative Assets		Derivative Liabilities
Not accounted for as hedges
Exchange-traded		$        461		$        495			$        443		$        382
OTC-cleared		145,594		122,472			189,471		168,946
Bilateral OTC		292,542		271,992			309,037		289,491
Total interest rates		438,597		394,959			498,951		458,819
OTC-cleared		4,901		4,984			4,837		4,811
Bilateral OTC		19,850		16,746			21,530		18,770
Total credit		24,751		21,730			26,367		23,581
Exchange-traded		10		16			36		176
OTC-cleared		736		729			796		798
Bilateral OTC		80,074		81,025			111,032		106,318
Total currencies		80,820		81,770			111,864		107,292
Exchange-traded		3,018		3,100			3,219		3,187
OTC-cleared		189		236			189		197
Bilateral OTC		7,670		8,984			8,945		10,487
Total commodities		10,877		12,320			12,353		13,871
Exchange-traded		8,953		8,634			8,576		8,064
Bilateral OTC		37,790		43,259			39,516		45,826
Total equities		46,743		51,893			48,092		53,890
Subtotal		601,788		562,672			697,627		657,453
Accounted for as hedges
OTC-cleared		4,216		185			4,347		156
Bilateral OTC		3,858		10			4,180		10
Total interest rates		8,074		195			8,527		166
OTC-cleared		22		31			30		40
Bilateral OTC		22		83			55		64
Total currencies		44		114			85		104
Subtotal		8,118		309			8,612		270
Total gross fair value		$ 609,906		$ 562,981			$ 706,239		$ 657,723
Offset in condensed consolidated statements of financial condition
Exchange-traded		$  (10,406	)	$  (10,406	)		$    (9,727	)	$    (9,727	)
OTC-cleared		(128,189	)	(128,189	)		(171,864	)	(171,864	)
Bilateral OTC		(349,176	)	(349,176	)		(385,647	)	(385,647	)
Total counterparty netting		(487,771	)	(487,771	)		(567,238	)	(567,238	)
OTC-cleared		(26,963	)	(233	)		(27,560	)	(2,940	)
Bilateral OTC		(49,978	)	(35,970	)		(57,769	)	(40,046	)
Total cash collateral netting		(76,941	)	(36,203	)		(85,329	)	(42,986	)
Total amounts offset		$(564,712	)	$(523,974	)		$(652,567	)	$(610,224	)
Included in condensed consolidated statements of financial condition
Exchange-traded		$     2,036		$     1,839			$     2,547		$     2,082
OTC-cleared		506		215			246		144
Bilateral OTC		42,652		36,953			50,879		45,273
Total		$   45,194		$   39,007			$   53,672		$   47,499
Not offset in condensed consolidated statements of financial condition
Cash collateral		$       (338	)	$    (1,306	)		$       (535	)	$    (2,085	)
Securities collateral		(13,403	)	(9,032	)		(15,518	)	(10,224	)
Total		$   31,453		$   28,669			$   37,619		$   35,190

	Notional Amounts as of
$ in millions		March 2017	December 2016
Not accounted for as hedges
Exchange-traded		$  7,103,874	$  4,425,532
OTC-cleared		16,790,485	16,646,145
Bilateral OTC		11,633,305	11,131,442
Total interest rates		35,527,664	32,203,119
OTC-cleared		382,658	378,432
Bilateral OTC		1,009,141	1,045,913
Total credit		1,391,799	1,424,345
Exchange-traded		16,912	13,800
OTC-cleared		77,380	62,799
Bilateral OTC		6,552,532	5,576,748
Total currencies		6,646,824	5,653,347
Exchange-traded		291,840	227,707
OTC-cleared		3,961	3,506
Bilateral OTC		206,679	196,899
Total commodities		502,480	428,112
Exchange-traded		701,664	605,335
Bilateral OTC		1,024,526	959,112
Total equities		1,726,190	1,564,447
Subtotal		45,794,957	41,273,370
Accounted for as hedges
OTC-cleared		55,009	55,328
Bilateral OTC		32,754	36,607
Total interest rates		87,763	91,935
OTC-cleared		2,266	1,703
Bilateral OTC		9,674	8,544
Total currencies		11,940	10,247
Subtotal		99,703	102,182
Total notional amounts		$45,894,660	$41,375,552

In the tables above:

• 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 $11.91 billion and $15.46 billion, respectively, as of March 2017, and derivative assets and derivative liabilities of $19.92 billion and $20.79 billion, respectively, as of December 2016, 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.

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 March 2017
$ in millions		Level 1		Level 2		Level 3		Total
Assets
Interest rates		$   65		$ 446,015		$    591		$ 446,671
Credit		—		20,152		4,599		24,751
Currencies		—		80,673		191		80,864
Commodities		—		10,531		346		10,877
Equities		—		46,321		422		46,743
Gross fair value		65		603,692		6,149		609,906
Counterparty netting in levels		(6	)	(484,967	)	(1,199	)	(486,172	)
Subtotal		$   59		$ 118,725		$ 4,950		$ 123,734
Cross-level counterparty netting								(1,599	)
Cash collateral netting								(76,941	)
Net fair value								$   45,194
Liabilities
Interest rates		$  (52	)	$(394,229	)	$   (873	)	$(395,154	)
Credit		—		(19,370	)	(2,360	)	(21,730	)
Currencies		—		(81,717	)	(167	)	(81,884	)
Commodities		—		(12,052	)	(268	)	(12,320	)
Equities		(419	)	(49,090	)	(2,384	)	(51,893	)
Gross fair value		(471	)	(556,458	)	(6,052	)	(562,981	)
Counterparty netting in levels		6		484,967		1,199		486,172
Subtotal		$(465	)	$  (71,491	)	$(4,853	)	$  (76,809	)
Cross-level counterparty netting								1,599
Cash collateral netting								36,203
Net fair value								$  (39,007	)

	As of December 2016
$ in millions		Level 1		Level 2		Level 3		Total
Assets
Interest rates		$   46		$ 506,818		$    614		$ 507,478
Credit		—		21,388		4,979		26,367
Currencies		—		111,762		187		111,949
Commodities		—		11,950		403		12,353
Equities		1		47,667		424		48,092
Gross fair value		47		699,585		6,607		706,239
Counterparty netting in levels		(12	)	(564,100	)	(1,417	)	(565,529	)
Subtotal		$   35		$ 135,485		$ 5,190		$ 140,710
Cross-level counterparty netting								(1,709	)
Cash collateral netting								(85,329	)
Net fair value								$   53,672
Liabilities
Interest rates		$  (27	)	$(457,963	)	$   (995	)	$(458,985	)
Credit		—		(21,106	)	(2,475	)	(23,581	)
Currencies		—		(107,212	)	(184	)	(107,396	)
Commodities		—		(13,541	)	(330	)	(13,871	)
Equities		(967	)	(49,083	)	(3,840	)	(53,890	)
Gross fair value		(994	)	(648,905	)	(7,824	)	(657,723	)
Counterparty netting in levels		12		564,100		1,417		565,529
Subtotal		$(982	)	$  (84,805	)	$(6,407	)	$  (92,194	)
Cross-level counterparty netting								1,709
Cash collateral netting								42,986
Net fair value								$  (47,499	)

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		March 2017	December 2016
Interest rates, net		$(282)	$(381)
Correlation		(10)% to 86% (56%/60%)	(10)% to 86% (56%/60%)
Volatility (bps)		31 to 151 (84/57)	31 to 151 (84/57)
Credit, net		$2,239	$2,504
Correlation		36% to 90% (67%/70%)	35% to 91% (65%/68%)
Credit spreads (bps)		1 to 962 (88/49)	1 to 993 (122/73)
Upfront credit points		0 to 99 (41/35)	0 to 100 (43/35)
Recovery rates		20% to 97% (59%/65%)	1% to 97% (58%/70%)
Currencies, net		$24	$3
Correlation		25% to 70% (50%/55%)	25% to 70% (50%/55%)
Commodities, net		$78	$73
Volatility		10% to 59% (29%/28%)	13% to 68% (33%/33%)
Natural gas spread		$(1.68) to $3.47 ($(0.22)/$(0.13))	$(1.81) to $4.33 ($(0.14)/$(0.05))
Oil spread		$(9.31) to $63.63 ($7.62/$(0.41))	$(19.72) to $64.92 ($25.30/$16.43)
Equities, net		$(1,962)	$(3,416)
Correlation		(30)% to 89% (42%/41%)	(39)% to 88% (41%/41%)
Volatility		5% to 80% (23%/22%)	5% to 72% (24%/23%)

Fair Value of Derivatives, Level 3 Rollforward

The table below presents a summary of the changes in fair value for all level 3 derivatives.

	Three Months Ended March
$ in millions		2017		2016
Total level 3 derivatives
Beginning balance		$(1,217	)	$    495
Net realized gains/(losses)		(15	)	(79	)
Net unrealized gains/(losses)		769		461
Purchases		79		115
Sales		(458	)	(1,825	)
Settlements		871		106
Transfers into level 3		(10	)	(16	)
Transfers out of level 3		78		798
Ending balance		$      97		$      55

The table below disaggregates, by major product type, the information for level 3 derivatives included in the summary table above.

	Three Months Ended March
$ in millions		2017		2016
Interest rates, net
Beginning balance		$   (381	)	$   (398	)
Net realized gains/(losses)		(22	)	(11	)
Net unrealized gains/(losses)		103		28
Purchases		4		3
Sales		(9	)	(10	)
Settlements		46		17
Transfers into level 3		(10	)	—
Transfers out of level 3		(13	)	(12	)
Ending balance		$   (282	)	$   (383	)
Credit, net
Beginning balance		$ 2,504		$ 2,793
Net realized gains/(losses)		43		(26	)
Net unrealized gains/(losses)		(174	)	210
Purchases		16		33
Sales		(20	)	(57	)
Settlements		(135	)	(75	)
Transfers into level 3		13		8
Transfers out of level 3		(8	)	(65	)
Ending balance		$ 2,239		$ 2,821
Currencies, net
Beginning balance		$        3		$     (34	)
Net realized gains/(losses)		(22	)	(21	)
Net unrealized gains/(losses)		(13	)	(5	)
Purchases		2		6
Sales		—		(1	)
Settlements		51		61
Transfers into level 3		(2	)	—
Transfers out of level 3		5		3
Ending balance		$      24		$        9
Commodities, net
Beginning balance		$      73		$   (262	)
Net realized gains/(losses)		—		(5	)
Net unrealized gains/(losses)		20		41
Purchases		13		47
Sales		(13	)	(18	)
Settlements		(21	)	(37	)
Transfers into level 3		(9	)	(26	)
Transfers out of level 3		15		(31	)
Ending balance		$      78		$   (291	)
Equities, net
Beginning balance		$(3,416	)	$(1,604	)
Net realized gains/(losses)		(14	)	(16	)
Net unrealized gains/(losses)		833		187
Purchases		44		26
Sales		(416	)	(1,739	)
Settlements		930		140
Transfers into level 3		(2	)	2
Transfers out of level 3		79		903
Ending balance		$(1,962	)	$(2,101	)

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 March 2017
Assets
Interest rates	$  5,419		$17,823		$77,258		$100,500
Credit	1,295		3,476		4,161		8,932
Currencies	9,715		6,246		8,154		24,115
Commodities	3,103		1,252		175		4,530
Equities	3,299		6,955		1,294		11,548
Counterparty netting in tenors	(2,965	)	(5,174	)	(3,966	)	(12,105	)
Subtotal	$19,866		$30,578		$87,076		$137,520
Cross-tenor counterparty netting							(17,421	)
Cash collateral netting							(76,941	)
Total							$  43,158
Liabilities
Interest rates	$  5,086		$  9,749		$34,116		$  48,951
Credit	1,298		3,082		1,531		5,911
Currencies	11,591		8,502		5,035		25,128
Commodities	2,387		1,067		2,437		5,891
Equities	7,859		6,298		2,859		17,016
Counterparty netting in tenors	(2,965	)	(5,174	)	(3,966	)	(12,105	)
Subtotal	$25,256		$23,524		$42,012		$  90,792
Cross-tenor counterparty netting							(17,421	)
Cash collateral netting							(36,203	)
Total							$  37,168
As of December 2016
Assets
Interest rates	$  5,845		$18,376		$79,507		$103,728
Credit	1,763		2,695		4,889		9,347
Currencies	18,344		8,292		8,428		35,064
Commodities	3,273		1,415		179		4,867
Equities	3,141		9,249		1,341		13,731
Counterparty netting in tenors	(3,543	)	(5,550	)	(3,794	)	(12,887	)
Subtotal	$28,823		$34,477		$90,550		$153,850
Cross-tenor counterparty netting							(17,396	)
Cash collateral netting							(85,329	)
Total							$  51,125
Liabilities
Interest rates	$  5,679		$10,814		$38,812		$  55,305
Credit	2,060		3,328		1,167		6,555
Currencies	14,720		9,771		5,879		30,370
Commodities	2,546		1,555		2,315		6,416
Equities	7,000		10,426		2,614		20,040
Counterparty netting in tenors	(3,543	)	(5,550	)	(3,794	)	(12,887	)
Subtotal	$28,462		$30,344		$46,993		$105,799
Cross-tenor counterparty netting							(17,396	)
Cash collateral netting							(42,986	)
Total							$  45,417

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 March 2017
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year		$207,898	$  8,016		$  1,629		$  5,065		$222,608
1 - 5 years		337,949	10,995		8,711		7,428		365,083
Greater than 5 years		73,908	5,972		1,564		528		81,972
Total		$619,755	$24,983		$11,904		$13,021		$669,663
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting		$531,632	$16,116		$10,521		$10,873		$569,142
Other		138,756	9,863		2,082		2,380		153,081
Fair Value of Written Credit Derivatives
Asset		$  14,252	$     650		$     192		$       59		$  15,153
Liability		1,844	538		904		4,271		7,557
Net asset/(liability)		$  12,408	$     112		$    (712	)	$ (4,212	)	$    7,596
As of December 2016
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year		$207,727	$  5,819		$  1,016		$  8,629		$223,191
1 - 5 years		375,208	17,255		8,643		7,986		409,092
Greater than 5 years		52,977	3,928		1,045		233		58,183
Total		$635,912	$27,002		$10,704		$16,848		$690,466
Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting		$558,305	$20,588		$10,133		$15,186		$604,212
Other		119,509	7,712		1,098		1,446		129,765
Fair Value of Written Credit Derivatives
Asset		$  13,919	$     606		$     187		$       45		$  14,757
Liability		2,436	902		809		5,686		9,833
Net asset/(liability)		$  11,483	$    (296	)	$    (622	)	$ (5,641	)	$    4,924

Bifurcated Embedded Derivatives

The table below presents the fair value and the notional amount of derivatives that have been bifurcated from their related borrowings.

	As of
$ in millions		March 2017	December 2016
Fair value of assets		$   734	$   676
Fair value of liabilities		981	864
Net liability		$   247	$   188
Notional amount		$8,495	$8,726

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		March 2017	December 2016
Net derivative liabilities under bilateral agreements		$28,517	$32,927
Collateral posted		$24,530	$27,840
Additional collateral or termination payments:
One-notch downgrade		$     367	$     677
Two-notch downgrade		$  1,880	$  2,216

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 March
$ in millions		2017		2016
Interest rate hedges		$(754	)	$ 1,990
Hedged borrowings and deposits		554		(2,028	)
Hedge ineffectiveness		$(200	)	$     (38	)

Gains and Losses on Net Investment Hedges

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

	Three Months Ended March
$ in millions		2017		2016
Hedges:
Foreign currency forward contract		$(349	)	$(356	)
Foreign currency-denominated debt		$  (82	)	$(150	)