Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

Fair Values of Derivative Contracts


	Assets at September 30, 2022
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	53	$	1	$	—	$	54
Foreign exchange	332		137		—		469
Total	385		138		—		523
Not designated as accounting hedges
Economic hedges of loans
Credit	2		112		—		114
Other derivatives
Interest rate	158,740		31,664		2,074		192,478
Credit	7,627		3,027		—		10,654
Foreign exchange	163,229		4,476		70		167,775
Equity	25,922		—		35,754		61,676
Commodity and other	33,833		—		13,177		47,010
Total	389,353		39,279		51,075		479,707
Total gross derivatives	$	389,738	$	39,417	$	51,075	$	480,230
Amounts offset
Counterparty netting	(270,565)		(37,449)		(48,859)		(356,873)
Cash collateral netting	(55,266)		(1,841)		—		(57,107)
Total in Trading assets	$	63,907	$	127	$	2,216	$	66,250
Amounts not offset1
Financial instruments collateral	(28,876)		—		—		(28,876)
Net amounts	$	35,031	$	127	$	2,216	$	37,374
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	8,565


	Liabilities at September 30, 2022
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	427	$	1	$	—	$	428
Foreign exchange	56		3		—		59
Total	483		4		—		487
Not designated as accounting hedges
Economic hedges of loans
Credit	8		231		—		239
Other derivatives
Interest rate	147,347		34,480		940		182,767
Credit	7,057		3,135		—		10,192
Foreign exchange	155,524		3,971		75		159,570
Equity	31,341		—		38,464		69,805
Commodity and other	25,455		—		14,108		39,563
Total	366,732		41,817		53,587		462,136
Total gross derivatives	$	367,215	$	41,821	$	53,587	$	462,623
Amounts offset
Counterparty netting	(270,565)		(37,449)		(48,859)		(356,873)
Cash collateral netting	(56,300)		(1,188)		—		(57,488)
Total in Trading liabilities	$	40,350	$	3,184	$	4,728	$	48,262
Amounts not offset1
Financial instruments collateral	(2,927)		—		(2,899)		(5,826)
Net amounts	$	37,423	$	3,184	$	1,829	$	42,436
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							8,279


	Assets at December 31, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	594	$	1	$	—	$	595
Foreign exchange	191		6		—		197
Total	785		7		—		792
Not designated as accounting hedges
Economic hedges of loans
Credit	—		15		—		15
Other derivatives
Interest rate	147,585		7,002		383		154,970
Credit	5,749		3,186		—		8,935
Foreign exchange	73,276		1,219		39		74,534
Equity	28,877		—		41,455		70,332
Commodity and other	22,175		—		5,538		27,713
Total	277,662		11,422		47,415		336,499
Total gross derivatives	$	278,447	$	11,429	$	47,415	$	337,291
Amounts offset
Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	(43,495)		(1,212)		—		(44,707)
Total in Trading assets	$	33,223	$	399	$	4,532	$	38,154
Amounts not offset1
Financial instruments collateral	(10,457)		—		—		(10,457)
Net amounts	$	22,766	$	399	$	4,532	$	27,697
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,725


	Liabilities at December 31, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	86	$	1	$	—	$	87
Foreign exchange	57		50		—		107
Total	143		51		—		194
Not designated as accounting hedges
Economic hedges of loans
Credit	17		412		—		429
Other derivatives
Interest rate	140,770		6,112		233		147,115
Credit	5,609		3,463		—		9,072
Foreign exchange	71,851		1,196		41		73,088
Equity	39,597		—		41,081		80,678
Commodity and other	17,188		—		5,740		22,928
Total	275,032		11,183		47,095		333,310
Total gross derivatives	$	275,175	$	11,234	$	47,095	$	333,504
Amounts offset
Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	(43,305)		(1,201)		—		(44,506)
Total in Trading liabilities	$	30,141	$	215	$	4,212	$	34,568
Amounts not offset1
Financial instruments collateral	(5,866)		(8)		(39)		(5,913)
Net amounts	$	24,275	$	207	$	4,173	$	28,655
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,194

1.Amounts relate to master netting agreements and collateral agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.

See Note 4 for information related to the unsettled fair value of futures contracts not designated as accounting hedges, which are excluded from the previous tables.

Notionals of Derivative Contracts


	Assets at September 30, 2022
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	2	$	49	$	—	$	51
Foreign exchange	9		3		—		12
Total	11		52		—		63
Not designated as accounting hedges
Economic hedges of loans
Credit	—		5		—		5
Other derivatives
Interest rate	3,320		7,486		616		11,422
Credit	207		129		—		336
Foreign exchange	3,600		147		9		3,756
Equity	504		—		423		927
Commodity and other	155		—		73		228
Total	7,786		7,767		1,121		16,674
Total gross derivatives	$	7,797	$	7,819	$	1,121	$	16,737


	Liabilities at September 30, 2022
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	3	$	186	$	—	$	189
Foreign exchange	3		—		—		3
Total	6		186		—		192
Not designated as accounting hedges
Economic hedges of loans
Credit	—		11		—		11
Other derivatives
Interest rate	3,430		7,979		532		11,941
Credit	194		131		—		325
Foreign exchange	3,513		141		29		3,683
Equity	503		—		603		1,106
Commodity and other	113		—		93		206
Total	7,753		8,262		1,257		17,272
Total gross derivatives	$	7,759	$	8,448	$	1,257	$	17,464


	Assets at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	4	$	104	$	—	$	108
Foreign exchange	8		1		—		9
Total	12		105		—		117
Not designated as accounting hedges
Economic hedges of loans
Credit	—		—		—		—
Other derivatives
Interest rate	3,488		7,082		570		11,140
Credit	216		105		—		321
Foreign exchange	3,386		95		10		3,491
Equity	495		—		407		902
Commodity and other	139		—		73		212
Total	7,724		7,282		1,060		16,066
Total gross derivatives	$	7,736	$	7,387	$	1,060	$	16,183


	Liabilities at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	99	$	—	$	99
Foreign exchange	5		3		—		8
Total	5		102		—		107
Not designated as accounting hedges
Economic hedges of loans
Credit	1		12		—		13
Other derivatives
Interest rate	3,827		6,965		445		11,237
Credit	225		106		—		331
Foreign exchange	3,360		88		12		3,460
Equity	552		—		735		1,287
Commodity and other	110		—		81		191
Total	8,075		7,171		1,273		16,519
Total gross derivatives	$	8,080	$	7,273	$	1,273	$	16,626

The notional amounts of derivative contracts generally overstate the Firm’s exposure. In most circumstances, notional amounts are used only as a reference point from which to calculate amounts owed between the parties to the contract. Furthermore, notional amounts do not reflect the benefit of legally enforceable netting arrangements or risk mitigating transactions.

For a discussion of the Firm’s derivative instruments and hedging activities, see Note 7 to the financial statements in the 2021 Form 10-K.

Gains (Losses) on Accounting Hedges


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
$ in millions	2022		2021		2022		2021
Fair value hedges—Recognized in Interest income
Interest rate contracts	$	846	$	107	$	2,037	$	607
Investment Securities—AFS	(836)		(82)		(1,960)		(509)
Fair value hedges—Recognized in Interest expense
Interest rate contracts	$	(5,379)	$	(763)	$	(15,629)	$	(3,633)
Deposits	25		15		143		73
Borrowings	5,372		796		15,499		3,547
Net investment hedges—Foreign exchange contracts
Recognized in OCI	$	662	$	225	$	1,436	$	524
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	18		(19)		(59)		(32)

Fair Value Hedges—Hedged Items


$ in millions	At September 30, 2022		At December 31, 2021
Investment Securities—AFS
Amortized cost basis currently or previously hedged	$	26,017	$	17,902
Basis adjustments included in amortized cost1	$	(1,847)	$	(591)
Deposits
Carrying amount currently or previously hedged	$	4,319	$	6,279
Basis adjustments included in carrying amount1	$	(138)	$	5
Borrowings
Carrying amount currently or previously hedged	$	135,864	$	122,919
Basis adjustments included in carrying amount—Outstanding hedges	$	(13,052)	$	2,324
Basis adjustments included in carrying amount—Terminated hedges	$	(722)	$	(743)

1.Hedge accounting basis adjustments are primarily related to outstanding hedges.

Gains (Losses) on Economic Hedges of Loans


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
$ in millions	2022		2021		2022		2021
Recognized in Other revenues
Credit contracts1	$	(44)	$	(21)	$	160	$	(170)

1.Amounts related to hedges of certain held-for-investment and held-for-sale loans.

Net Derivative Liabilities and Collateral Posted


$ in millions	At September 30, 2022		At December 31, 2021
Net derivative liabilities with credit risk-related contingent features	$	23,750	$	20,548
Collateral posted	14,427		14,789

The previous table presents the aggregate fair value of certain derivative contracts that contain credit risk-related contingent features that are in a net liability position for which the Firm has posted collateral in the normal course of business.

Incremental Collateral and Termination Payments upon Potential Future Ratings Downgrade


$ in millions	At September 30, 2022
One-notch downgrade	$	779
Two-notch downgrade	491
Bilateral downgrade agreements included in the amounts above1	$	1,215

1.Amount represents arrangements between the Firm and other parties where upon the downgrade of one party, the downgraded party must deliver collateral to the other party. These bilateral downgrade arrangements are used by the Firm to manage the risk of counterparty downgrades.

The additional collateral or termination payments that may be called in the event of a future credit rating downgrade vary by contract and can be based on ratings by either or both of Moody’s Investors Service, Inc. and S&P Global Ratings. The previous table shows the future potential collateral amounts and termination payments that could be called or required by counterparties or exchange and clearing organizations in the

event of one-notch or two-notch downgrade scenarios based on the relevant contractual downgrade triggers.

Maximum Potential Payout/Notional of Credit Protection Sold1


	Years to Maturity at September 30, 2022
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	11	$	28	$	27	$	13	$	79
Non-investment grade	5		12		16		5		38
Total	$	16	$	40	$	43	$	18	$	117
Index and basket CDS
Investment grade	$	2	$	11	$	70	$	44	$	127
Non-investment grade	8		17		39		20		84
Total	$	10	$	28	$	109	$	64	$	211
Total CDS sold	$	26	$	68	$	152	$	82	$	328
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	26	$	68	$	152	$	82	$	328
CDS protection sold with identical protection purchased									$	273


	Years to Maturity at December 31, 2021
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	10	$	26	$	29	$	9	$	74
Non-investment grade	5		13		17		2		37
Total	$	15	$	39	$	46	$	11	$	111
Index and basket CDS
Investment grade	$	2	$	11	$	106	$	15	$	134
Non-investment grade	9		14		37		12		72
Total	$	11	$	25	$	143	$	27	$	206
Total CDS sold	$	26	$	64	$	189	$	38	$	317
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	26	$	64	$	189	$	38	$	317
CDS protection sold with identical protection purchased									$	278

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	At September 30, 2022		At December 31, 2021
Single-name CDS
Investment grade	$	145	$	1,428
Non-investment grade	(1,886)		(370)
Total	$	(1,741)	$	1,058
Index and basket CDS
Investment grade	$	(194)	$	1,393
Non-investment grade	(4,125)		(650)
Total	$	(4,319)	$	743
Total CDS sold	$	(6,060)	$	1,801
Other credit contracts	(2)		(3)
Total credit protection sold	$	(6,062)	$	1,798

1.Investment grade/non-investment grade determination is based on the internal credit rating of the reference obligation. Internal credit ratings serve as the CRM’s assessment of credit risk and the basis for a comprehensive credit limits framework used to control credit risk. The Firm uses quantitative models and judgment to estimate the various risk parameters related to each obligor.

Protection Purchased with CDS


	Notional
$ in billions	At September 30, 2022		At December 31, 2021
Single name	$	139	$	126
Index and basket	184		204
Tranched index and basket	26		18
Total	$	349	$	348


	Fair Value Asset (Liability)
$ in millions	At September 30, 2022		At December 31, 2021
Single name	$	1,970	$	(1,338)
Index and basket	3,986		(563)
Tranched index and basket	441		(451)
Total	$	6,397	$	(2,352)

The Firm enters into credit derivatives, principally CDS, under which it receives or provides protection against the risk of default on a set of debt obligations issued by a specified reference entity or entities. A majority of the Firm’s counterparties for these derivatives are banks, broker-dealers, and insurance and other financial institutions.

The fair value amounts as shown in the previous tables are prior to cash collateral or counterparty netting. For further information on credit derivatives and other credit contracts, see Note 7 to the financial statements in the 2021 Form 10-K.