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Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2020
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 consolidated balance sheets, 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 September 2020
            As of December 2019  
$ in millions
  
 
Derivative
Assets
 
 
  
 
Derivative
Liabilities
 
 
  
 
    
Derivative
Assets
  
 
    
Derivative
Liabilities
  
 
Not accounted for as hedges
 
        
Exchange-traded
  
 
$
 
        664
 
  
 
$
 
        883
 
       $        476       $        856  
OTC-cleared
  
 
17,102
 
  
 
15,395
 
       9,958       8,618  
Bilateral OTC
  
 
346,474
 
  
 
312,065
 
  
 
     266,387       242,046  
Total interest rates
  
 
364,240
 
  
 
328,343
 
  
 
     276,821       251,520  
OTC-cleared
  
 
2,633
 
  
 
2,792
 
       6,551       6,929  
Bilateral OTC
  
 
14,446
 
  
 
13,080
 
  
 
     14,178       13,860  
Total credit
  
 
17,079
 
  
 
15,872
 
  
 
     20,729       20,789  
Exchange-traded
  
 
71
 
  
 
10
 
       35       10  
OTC-cleared
  
 
329
 
  
 
457
 
       411       391  
Bilateral OTC
  
 
86,034
 
  
 
84,153
 
  
 
     79,887       81,613  
Total currencies
  
 
86,434
 
  
 
84,620
 
  
 
     80,333       82,014  
Exchange-traded
  
 
3,814
 
  
 
3,368
 
       2,390       2,272  
OTC-cleared
  
 
243
 
  
 
227
 
       180       243  
Bilateral OTC
  
 
10,498
 
  
 
14,002
 
  
 
     8,568       13,034  
Total commodities
  
 
14,555
 
  
 
17,597
 
  
 
     11,138       15,549  
Exchange-traded
  
 
28,592
 
  
 
32,863
 
       13,499       16,976  
Bilateral OTC
  
 
42,649
 
  
 
46,668
 
  
 
     36,162       39,531  
Total equities
  
 
71,241
 
  
 
79,531
 
  
 
     49,661       56,507  
Subtotal
  
 
553,549
 
  
 
525,963
 
  
 
     438,682       426,379  
Accounted for as hedges
 
        
OTC-cleared
  
 
3
 
  
 
–
 
       –       –  
Bilateral OTC
  
 
1,421
 
  
 
–
 
  
 
     3,182       1  
Total interest rates
  
 
1,424
 
  
 
–
 
  
 
     3,182       1  
OTC-cleared
  
 
10
 
  
 
19
 
       16       57  
Bilateral OTC
  
 
18
 
  
 
96
 
  
 
     16       153  
Total currencies
  
 
28
 
  
 
115
 
  
 
     32       210  
Subtotal
  
 
1,452
 
  
 
115
 
  
 
     3,214       211  
Total gross fair value
  
 
$ 555,001
 
  
 
$ 526,078
 
  
 
     $ 441,896       $ 426,590  
 
Offset in the consolidated balance sheets
    
Exchange-traded
  
 
$  (29,075
) 
  
 
$  (29,075
) 
       $  (14,159 )      $  (14,159 ) 
OTC-cleared
  
 
(18,420
) 
  
 
(18,420
) 
       (15,565 )      (15,565 ) 
Bilateral OTC
  
 
(369,760
) 
  
 
(369,760
) 
  
 
     (310,920 )      (310,920 ) 
Counterparty netting
  
 
(417,255
) 
  
 
(417,255
) 
  
 
     (340,644 )      (340,644 ) 
OTC-cleared
  
 
(1,573
) 
  
 
(336
) 
       (1,302 )      (526 ) 
Bilateral OTC
  
 
(71,653
) 
  
 
(51,789
) 
  
 
     (54,698 )      (41,618 ) 
Cash collateral netting
  
 
(73,226
) 
  
 
(52,125
) 
  
 
     (56,000 )      (42,144 ) 
Total amounts offset
  
 
$(490,481
) 
  
 
$(469,380
) 
  
 
     $(396,644 )      $(382,788 ) 
 
Included in the consolidated balance sheets
    
Exchange-traded
  
 
$
 
 
 
 
 
4,066
 
  
 
$
 
 
 
 
 
8,049
 
       $     2,241       $     5,955  
OTC-cleared
  
 
327
 
  
 
134
 
       249       147  
Bilateral OTC
  
 
60,127
 
  
 
48,515
 
  
 
     42,762       37,700  
Total
  
 
$   64,520
 
  
 
$   56,698
 
  
 
     $   45,252       $   43,802  
 
Not offset in the consolidated balance sheets
    
Cash collateral
  
 
$    (1,140
) 
  
 
$    (1,700
) 
       $       (604 )      $    (1,603 ) 
Securities collateral
  
 
(17,096
) 
  
 
(11,515
) 
  
 
     (14,196 )      (9,252 ) 
Total
  
 
$   46,284
 
  
 
$  
  
43,483
 
  
 
     $   30,452       $   32,947  
    Notional Amounts as of  
$ in millions
  
 
September
2020
 
 
     
December
2019
  
 
Not accounted for as hedges
     
Exchange-traded
  
 
$  3,897,833
 
      $  4,757,300  
OTC-cleared
  
 
16,266,950
 
      13,440,376  
Bilateral OTC
  
 
13,299,418
 
      11,668,171  
Total interest rates
  
 
33,464,201
 
      29,865,847  
OTC-cleared
  
 
547,677
 
      396,342  
Bilateral OTC
  
 
618,220
 
      707,935  
Total credit
  
 
1,165,897
 
      1,104,277  
Exchange-traded
  
 
2,647
 
      4,566  
OTC-cleared
  
 
177,785
 
      134,060  
Bilateral OTC
  
 
6,250,229
 
      5,926,602  
Total currencies
  
 
6,430,661
 
      6,065,228  
Exchange-traded
  
 
223,284
 
      230,018  
OTC-cleared
  
 
2,354
 
      2,639  
Bilateral OTC
  
 
208,868
 
      243,228  
Total commodities
  
 
434,506
 
      475,885  
Exchange-traded
  
 
1,102,199
 
      910,099  
Bilateral OTC
  
 
1,238,886
 
      1,182,335  
Total equities
  
 
2,341,085
 
      2,092,434  
Subtotal
  
 
43,836,350
 
      39,603,671  
Accounted for as hedges
     
OTC-cleared
  
 
181,135
 
      123,531  
Bilateral OTC
  
 
6,559
 
      9,714  
Total interest rates
  
 
187,694
 
      133,245  
OTC-cleared
  
 
3,274
 
      4,152  
Bilateral OTC
  
 
9,274
 
      9,247  
Total currencies
  
 
12,548
 
      13,399  
Subtotal
  
 
200,242
 
      146,644  
Total notional amounts
  
 
$44,036,592
 
      $39,750,315  
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 included derivative assets of $19.33 billion as of September 2020 and $9.15 billion as of December 2019, and derivative liabilities of $20.99 billion as of September 2020 and $14.88 billion as of December 2019, 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.
 
•  
During the first quarter of 2020, consistent with the rules of a clearing organization, the firm elected to consider its transactions with that clearing organization as settled each day. The impact of this change would have been a reduction in gross credit derivative assets of $3.97 billion and liabilities of $4.15 billion as of December 2019, and a corresponding decrease in counterparty and cash collateral netting, with no impact to the consolidated balance sheets.
Fair Value of Derivatives by Level
The table below presents derivatives on a gross basis by level and product type, as well as the impact of netting.
 
$ in millions
     Level 1       Level 2       Level 3       Total  
As of September 2020
        
Assets
        
Interest rates
  
 
$ 184
 
  
 
$ 364,601
 
  
 
$   
 
879
 
  
 
$ 365,664
 
Credit
  
 
–
 
  
 
13,315
 
  
 
3,764
 
  
 
17,079
 
Currencies
  
 
–
 
  
 
86,292
 
  
 
170
 
  
 
86,462
 
Commodities
  
 
–
 
  
 
14,010
 
  
 
545
 
  
 
14,555
 
Equities
  
 
23
 
  
 
69,109
 
  
 
2,109
 
  
 
71,241
 
Gross fair value
  
 
207
 
  
 
547,327
 
  
 
7,467
 
  
 
555,001
 
Counterparty netting in levels
  
 
(68
) 
  
 
(414,710
) 
  
 
(1,156
) 
  
 
(415,934
) 
Subtotal
  
 
$ 139
 
  
 
$ 132,617
 
  
 
$ 6,311
 
  
 
$ 139,067
 
Cross-level counterparty netting
        
 
(1,321
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(73,226
) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$   64,520
 
 
Liabilities
        
Interest rates
  
 
$(109
) 
  
 
$(327,610
) 
  
 
$  
 
(624
) 
  
 
$(328,343
) 
Credit
  
 
–
 
  
 
(14,094
) 
  
 
(1,778
) 
  
 
(15,872
) 
Currencies
  
 
–
 
  
 
(84,310
) 
  
 
(425
) 
  
 
(84,735
) 
Commodities
  
 
–
 
  
 
(17,247
) 
  
 
(350
) 
  
 
(17,597
) 
Equities
  
 
(15
) 
  
 
(77,380
) 
  
 
(2,136
) 
  
 
(79,531
) 
Gross fair value
  
 
(124
) 
  
 
(520,641
) 
  
 
(5,313
) 
  
 
(526,078
) 
Counterparty netting in levels
  
 
68
 
  
 
414,710
 
  
 
1,156
 
  
 
415,934
 
Subtotal
  
 
$  (56
) 
  
 
$(105,931
) 
  
 
$(4,157
) 
  
 
$(110,144
) 
Cross-level counterparty netting
        
 
1,321
 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
52,125
 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  (56,698
) 
 
As of December 2019
        
Assets
        
Interest rates
     $    
 
3		       $
 
 279,443		       $
 
    557		       $
 
 280,003		  
Credit
     –       17,204       3,525       20,729  
Currencies
     –       80,178       187       80,365  
Commodities
     –       10,648       490       11,138  
Equities
     21       48,953       687       49,661  
Gross fair value
     24       436,426       5,446       441,896  
Counterparty netting in levels
     –       (340,325 )      (792 )      (341,117 ) 
Subtotal
     $  
 
24		       $   
 
96,101		       $
 
 4,654		       $
 
 100,779		  
Cross-level counterparty netting
           473  
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (56,000 ) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
     $
 
   45,252		  
 
Liabilities
        
Interest rates
     $  
  
(3		 )      $
 
(251,050		 )      $   
 
(468		 )      $
 
(251,521		 ) 
Credit
     –       (19,141 )      (1,648 )      (20,789 ) 
Currencies
     –       (81,826 )      (398 )      (82,224 ) 
Commodities
     –       (15,306 )      (243 )      (15,549 ) 
Equities
     (26 )      (53,817 )      (2,664 )      (56,507 ) 
Gross fair value
     (29 )      (421,140 )      (5,421 )      (426,590 ) 
Counterparty netting in levels
     –       340,325       792       341,117  
Subtotal
     $
  
(29		 )      $
 
  (80,815		 )      $
 
(4,629		 )      $
 
  (85,473		 ) 
Cross-level counterparty netting
           (473 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     42,144  
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
     $
 
  (43,802		 ) 
Fair Value, Derivatives, Measurement Inputs, Disclosure
The table below presents the amount of level 3 derivative assets (liabilities), and ranges, averages and medians of significant unobservable inputs used to value level 3 derivatives.
 
         
Level 3 Assets (Liabilities) and Range of Significant
Unobservable Inputs (Average/Median) as of
  
$ in millions, except inputs
 
  
 
September
2020
 
 
    
December
2019
  
 
Interest rates, net
    
 
$255 
 
     $89   
 
Correlation
    
 
(38)% to 81% (52%/60%)
 
     (42)% to 81% (52%/60%)  
 
Volatility (bps)
  
 
 
 
  
 
31 to 150 (65/53)
 
     31 to 150 (70/61)  
Credit, net
    
 
$1,986 
 
     $1,877   
 
Credit spreads (bps)
    
 
2 to 748 (124/90)
 
     1 to 559 (96/53)  
 
Upfront credit points
    
 
7 to 90 (47/50)
 
     2 to 90 (38/32)  
 
Recovery rates
  
 
 
 
  
 
25% to 90% (48%/40%)
 
     10% to 60% (31%/25%)  
Currencies, net
    
 
$(255)
 
     $(211)  
 
Correlation
    
 
20% to 70% (39%/41%)
 
     20% to 70% (37%/36%)  
 
Volatility
  
 
 
 
  
 
19% to 20% (20%/20%)
 
     N/A  
Commodities, net
    
 
$195 
 
     $247   
 
Volatility
    
 
14% to 105% (39%/33%)
 
     9% to 57% (26%/25%)  
 
Natural gas spread
    
 
 
 
$(1.44) to $1.89 
($(0.12)/$(0.09))
 
 
 
    
$(1.93) to $1.69 
($(0.16)/$(0.17))
  
 
 
Oil spread
  
 
 
 
  
 
 
 
$4.73 to $9.98 
($8.15/$8.33)
 
 
 
    
$(4.86) to $19.77 
($9.82/$11.15)
  
 
Equities, net
    
 
$(27)
 
     $(1,977)  
 
Correlation
    
 
(70)% to 99% (50%/55%)
 
     (70)% to 99% (42%/45%)  
 
Volatility
  
 
 
 
  
 
3% to 128% (24%/22%)
 
     2% to 72% (14%/7%)  
Fair Value of Derivatives, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 derivatives.
 
    Three Months
Ended September		                Nine Months
Ended September		  
$ in millions
  
 
2020
 
      2019    
 
  
 
2020
 
      2019  
Total level 3 derivatives, net
            
Beginning balance
  
 
$3,060
 
      $ 598      
 
$     25
 
      $ 590  
Net realized gains/(losses)
  
 
(8
) 
      75      
 
142
 
      89  
Net unrealized gains/(losses)
  
 
(315
) 
      162      
 
1,465
 
      (49 ) 
Purchases
  
 
93
 
      133      
 
345
 
      420  
Sales
  
 
(288
) 
      (222 )     
 
181
 
      (607 ) 
Settlements
  
 
(189
) 
      (44 )     
 
182
 
      220  
Transfers into level 3
  
 
–
 
      (33 )     
 
(74
) 
      60  
Transfers out of level 3
  
 
(199
) 
      (6 )   
 
  
 
(112
) 
      (60 ) 
Ending balance
  
 
$2,154
 
      $ 663    
 
  
 
$2,154
 
      $ 663  
The table below presents information, by product type, for derivatives included in the summary table above.
 
    Three Months
Ended September		                Nine Months
Ended September		  
$ in millions
  
 
2020
 
     2019    
 
  
 
2020
 
     2019  
Interest rates, net
          
Beginning balance
  
 
$   311
 
     $      30      
 
$
 
      89
 
     $   (109 ) 
Net realized gains/(losses)
  
 
3
 
     (21 )     
 
12
 
     (28 ) 
Net unrealized gains/(losses)
  
 
54
 
     103      
 
201
 
     163  
Purchases
  
 
11
 
     2      
 
18
 
     10  
Sales
  
 
1
 
     –      
 
(15
) 
     (12 ) 
Settlements
  
 
(59
) 
     (51 )     
 
(40
) 
     41  
Transfers into level 3
  
 
(53
) 
     6      
 
(14
) 
     (15 ) 
Transfers out of level 3
  
 
(13
) 
     (19 )   
 
  
 
4
 
     –  
Ending balance
  
 
$   255
 
     $      50    
 
  
 
$    255
 
     $      50  
 
Credit, net
 
      
Beginning balance
  
 
$2,327
 
     $ 1,676      
 
$ 1,877
 
     $ 1,672  
Net realized gains/(losses)
  
 
(1
) 
     21      
 
6
 
     30  
Net unrealized gains/(losses)
  
 
(124
) 
     245      
 
175
 
     264  
Purchases
  
 
16
 
     23      
 
35
 
     102  
Sales
  
 
(8
) 
     (31 )     
 
(23
) 
     (63 ) 
Settlements
  
 
(189
) 
     (56 )     
 
(38
) 
     (207 ) 
Transfers into level 3
  
 
26
 
     37      
 
4
 
     110  
Transfers out of level 3
  
 
(61
) 
     (15 )   
 
  
 
(50
) 
     (8 ) 
Ending balance
  
 
$1,986
 
     $ 1,900    
 
  
 
$ 1,986
 
     $ 1,900  
 
Currencies, net
          
Beginning balance
  
 
$    (94
) 
     $     (31 )     
 
$   (211
) 
     $    461  
Net realized gains/(losses)
  
 
18
 
     (2 )     
 
8
 
     (23 ) 
Net unrealized gains/(losses)
  
 
(143
) 
     (147 )     
 
(118
) 
     (311 ) 
Purchases
  
 
5
 
     6      
 
5
 
     9  
Sales
  
 
(12
) 
     (8 )     
 
(7
) 
     (12 ) 
Settlements
  
 
(34
) 
     17      
 
77
 
     (293 ) 
Transfers into level 3
  
 
(1
) 
     (18 )     
 
(2
) 
     (13 ) 
Transfers out of level 3
  
 
6
 
     (3 )   
 
  
 
(7
) 
     (4 ) 
Ending balance
  
 
$  (255
) 
     $   (186 )   
 
  
 
$   (255
) 
     $   (186 ) 
 
Commodities, net
          
Beginning balance
  
 
$   331
 
     $    134      
 
$    247
 
     $    112  
Net realized gains/(losses)
  
 
16
 
     1      
 
65
 
     (18 ) 
Net unrealized gains/(losses)
  
 
(84
) 
     84      
 
38
 
     151  
Purchases
  
 
1
 
     7      
 
2
 
     27  
Sales
  
 
(7
) 
     (16 )     
 
(20
) 
     (124 ) 
Settlements
  
 
(20
) 
     (46 )     
 
(64
) 
     2  
Transfers into level 3
  
 
(12
) 
     6      
 
(24
) 
     –  
Transfers out of level 3
  
 
(30
) 
     (9 )   
 
  
 
(49
) 
     11  
Ending balance
  
 
$   195
 
     $    161    
 
  
 
$    195
 
     $    161  
 
Equities, net
          
Beginning balance
  
 
$   185
 
     $(1,211 )     
 
$(1,977
) 
     $(1,546 ) 
Net realized gains/(losses)
  
 
(44
) 
     76      
 
51
 
     128  
Net unrealized gains/(losses)
  
 
(18
) 
     (123 )     
 
1,169
 
     (316 ) 
Purchases
  
 
60
 
     95      
 
285
 
     272  
Sales
  
 
(262
) 
     (167 )     
 
246
 
     (396 ) 
Settlements
  
 
113
 
     92      
 
247
 
     677  
Transfers into level 3
  
 
40
 
     (64 )     
 
(38
) 
     (22 ) 
Transfers out of level 3
  
 
(101
) 
     40    
 
  
 
(10
) 
     (59 ) 
Ending balance
  
 
$    (27
) 
     $(1,262 )   
 
  
 
$     (27
) 
     $(1,262 ) 
OTC Derivatives by Product Type and Tenor
The table below presents 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 2020
        
Assets
        
Interest rates
  
 
$  8,579
 
  
 
$21,362
 
  
 
$73,807
 
  
 
$103,748
 
Credit
  
 
685
 
  
 
3,532
 
  
 
3,989
 
  
 
8,206
 
Currencies
  
 
11,128
 
  
 
6,001
 
  
 
9,069
 
  
 
26,198
 
Commodities
  
 
3,244
 
  
 
1,916
 
  
 
542
 
  
 
5,702
 
Equities
  
 
8,406
 
  
 
10,223
 
  
 
2,204
 
  
 
20,833
 
Counterparty netting in tenors
  
 
(3,506
) 
  
 
(4,047
) 
  
 
(3,365
) 
  
 
(10,918
) 
Subtotal
  
 
$
28,536
 
  
 
$38,987
 
  
 
$86,246
 
  
 
$153,769
 
Cross-tenor counterparty netting
        
 
(20,089
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(73,226
) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  60,454
 
 
Liabilities
        
Interest rates
  
 
$  5,192
 
  
 
$12,242
 
  
 
$48,777
 
  
 
$  66,211
 
Credit
  
 
845
 
  
 
3,577
 
  
 
2,577
 
  
 
6,999
 
Currencies
  
 
11,282
 
  
 
7,237
 
  
 
6,013
 
  
 
24,532
 
Commodities
  
 
2,962
 
  
 
1,862
 
  
 
4,365
 
  
 
9,189
 
Equities
  
 
9,165
 
  
 
12,627
 
  
 
3,058
 
  
 
24,850
 
Counterparty netting in tenors
  
 
(3,506
) 
  
 
(4,047
) 
  
 
(3,365
) 
  
 
(10,918
) 
Subtotal
  
 
$25,940
 
  
 
$33,498
 
  
 
$61,425
 
  
 
$120,863
 
Cross-tenor counterparty netting
        
 
(20,089
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(52,125
) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  48,649
 
 
As of December 2019
        
Assets
        
Interest rates
     $  5,521       $15,183       $57,394       $  78,098  
Credit
     678       3,259       3,183       7,120  
Currencies
     10,236       5,063       6,245       21,544  
Commodities
     2,507       1,212       302       4,021  
Equities
     7,332       4,509       1,294       13,135  
Counterparty netting in tenors
     (3,263 )      (3,673 )      (2,332 )      (9,268 ) 
Subtotal
     $23,011       $25,553       $66,086       $114,650  
Cross-tenor counterparty netting
           (15,639 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (56,000 ) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
     $  43,011  
 
Liabilities
        
Interest rates
     $  3,654       $  9,113       $36,470       $  49,237  
Credit
     1,368       4,052       1,760       7,180  
Currencies
     12,486       6,906       4,036       23,428  
Commodities
     2,796       1,950       3,804       8,550  
Equities
     5,755       7,381       3,367       16,503  
Counterparty netting in tenors
     (3,263 )      (3,673 )      (2,332 )      (9,268 ) 
Subtotal
     $22,796       $25,729       $47,105       $  95,630  
Cross-tenor counterparty netting
           (15,639 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (42,144 ) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
     $  37,847  
Credit Derivatives
The table below presents 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 2020
          
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
  
 
$  98,080
 
  
 
$11,545
 
  
 
$  1,550
 
  
 
$  2,408
 
  
 
$113,583
 
1 – 5 years
  
 
296,222
 
  
 
25,444
 
  
 
16,824
 
  
 
12,623
 
  
 
351,113
 
Greater than 5 years
  
 
80,575
 
  
 
6,704
 
  
 
5,313
 
  
 
898
 
  
 
93,490
 
Total
  
 
$474,877
 
  
 
$43,693
 
  
 
$23,687
 
  
 
$15,929
 
  
 
$558,186
 
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
 
Offsetting
  
 
$421,367
 
  
 
$33,354
 
  
 
$20,018
 
  
 
$15,043
 
  
 
$489,782
 
Other
  
 
$100,867
 
  
 
$11,085
 
  
 
$  3,932
 
  
 
$  2,062
 
  
 
$117,946
 
Fair Value of Written Credit Derivatives
 
Asset
  
 
$    7,598
 
  
 
$    
 
428
 
  
 
$    
 
243
 
  
 
$    
 
171
 
  
 
$    8,440
 
Liability
  
 
1,116
 
  
 
774
 
  
 
1,942
 
  
 
3,357
 
  
 
7,189
 
Net asset/(liability)
  
 
$    6,482
 
  
 
$   
 
(346
) 
  
 
$
 
(1,699
) 
  
 
$
 
(3,186
) 
  
 
$    1,251
 
 
As of December 2019
 
        
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
     $143,566       $  7,155       $     759       $  2,953       $154,433  
1 – 5 years
     292,444       10,125       5,482       8,735       316,786  
Greater than 5 years
     48,109       2,260       427       554       51,350  
Total
     $484,119       $19,540       $  6,668       $12,242       $522,569  
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
 
Offsetting
     $395,127       $14,492       $  5,938       $10,543       $426,100  
Other
     $149,092       $  2,617       $  1,599       $  2,354       $155,662  
Fair Value of Written Credit Derivatives
 
Asset
     $  13,103       $     446       $     160       $     202       $  13,911  
Liability
     1,239       448       372       3,490       5,549  
Net asset/(liability)
     $  11,864       $        (2 )      $    (212 )      $ (3,288 )      $    8,362  
Summary of information about CVA and FVA
The table below presents information about CVA and FVA.
 
    Three Months
Ended September		                Nine Months
Ended September		  
$ in millions
  
 
2020
 
        2019    
 
  
 
2020
 
        2019  
CVA, net of hedges
  
 
$103
 
        $ 40      
 
$ 52
 
        $(158 ) 
FVA, net of hedges
  
 
101
 
        (11 )   
 
  
 
(78
) 
        261  
Total
  
 
$204
 
        $ 29    
 
  
 
$(26
) 
        $ 103  
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
  
 
September
2020
 
 
      December
2019		  
 
Fair value of assets
  
 
$  1,475
 
      $  1,148  
Fair value of liabilities
  
 
(1,094
) 
      (1,717 ) 
Net asset/(liability)
  
 
$    
 
381
 
      $    (569 ) 
 
Notional amount
  
 
$12,670
 
      $11,003  
Derivatives with Credit-Related Contingent Features
The table below presents information about net derivative liabilities under bilateral agreements (excluding collateral posted), the fair value of collateral posted and additional collateral or termination payments that could have been called by counterparties in the event of a
one-
or
two-notch
downgrade in the firm’s credit ratings.
 
    As of  
$ in millions
  
 
September
2020
 
 
      December
2019		  
 
Net derivative liabilities under bilateral agreements
  
 
$38,819
 
      $32,800  
Collateral posted
  
 
$34,104
 
      $28,510  
Additional collateral or termination payments:
     
One-notch
downgrade
  
 
$    
 
406
 
      $     358  
Two-notch
downgrade
  
 
$    
 
912
 
      $  1,268  
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 and the related hedged borrowings and deposits, and total interest expense.
 
    Three Months
Ended September		         Nine Months
Ended September		  
$ in millions
  
 
2020
 
     2019           
 
2020
 
     2019  
Interest rate hedges
  
 
$(1,111
) 
     $ 2,465      
 
$ 5,829
 
     $  6,054  
Hedged borrowings and deposits
  
 
$    916
 
     $(2,548 )     
 
$(6,327
) 
     $
  
(6,366		 ) 
Interest expense
  
 
$ 1,848
 
     $ 4,451    
 
  
 
$ 7,375
 
     $13,519  
Summary of Carrying Amount of Hedged Items
The table below presents the carrying value of deposits and unsecured borrowings that are designated in a hedging relationship and the related cumulative hedging adjustment (increase/(decrease)) from current and prior hedging relationships included in such carrying values.
 
$ in millions
     Carrying
Value		  
 		     
 		 Cumulative
Hedging
Adjustment		  
 
 
As of September 2020
     
Deposits
  
 
$  17,963
 
   
 
$     806
 
Unsecured short-term borrowings
  
 
$    6,685
 
   
 
$       45
 
Unsecured long-term borrowings
  
 
$116,349
 
   
 
$12,799
 
 
As of December 2019
     
Deposits
     $  19,634        $     200  
Unsecured short-term borrowings
     $    6,008        $       28  
Unsecured long-term borrowings
     $  87,874        $  7,292  
The table below presents the gains/(losses) from net investment hedging.
 
    Three Months
Ended September		              Nine Months
Ended September		  
$ in millions
  
 
2020
 
      2019    
 
 
 
  
 
2020
 
      2019  
Hedges:
            
Foreign currency forward contract
  
 
$(255
) 
      $367      
 
$ 387
 
      $351  
Foreign currency-denominated debt
  
 
$(102
) 
      $  26    
 
 
 
  
 
$(132
) 
      $ (18 )