Derivative Instruments and Hedging Activities

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

Fair Values of Derivative Contracts


	Assets at March 31, 2024
$ in millions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	4	$	—	$	—	$	4
Foreign exchange	83		20		—		103
Total	87		20		—		107
Not designated as accounting hedges
Economic hedges of loans
Credit	3		30		—		33
Other derivatives
Interest rate	120,182		16,370		311		136,863
Credit	5,522		4,896		—		10,418
Foreign exchange	70,243		1,968		38		72,249
Equity	24,722		—		51,738		76,460
Commodity and other	14,511		—		2,254		16,765
Total	235,183		23,264		54,341		312,788
Total gross derivatives	$	235,270	$	23,284	$	54,341	$	312,895
Amounts offset
Counterparty netting	(163,903)		(20,569)		(51,634)		(236,106)
Cash collateral netting	(37,516)		(1,841)		—		(39,357)
Total in Trading assets	$	33,851	$	874	$	2,707	$	37,432
Amounts not offset1
Financial instruments collateral	(17,375)		—		—		(17,375)
Net amounts	$	16,476	$	874	$	2,707	$	20,057
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	2,798


	Liabilities at March 31, 2024
$ in millions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	482	$	—	$	—	$	482
Foreign exchange	16		12		—		28
Total	498		12		—		510
Not designated as accounting hedges
Economic hedges of loans
Credit	44		779		—		823
Other derivatives
Interest rate	112,206		14,460		297		126,963
Credit	5,550		4,524		—		10,074
Foreign exchange	64,588		2,149		157		66,894
Equity	38,982		—		51,847		90,829
Commodity and other	11,770		—		2,639		14,409
Total	233,140		21,912		54,940		309,992
Total gross derivatives	$	233,638	$	21,924	$	54,940	$	310,502
Amounts offset
Counterparty netting	(163,903)		(20,569)		(51,634)		(236,106)
Cash collateral netting	(41,077)		(1,309)		—		(42,386)
Total in Trading liabilities	$	28,658	$	46	$	3,306	$	32,010
Amounts not offset1
Financial instruments collateral	(4,092)		—		(341)		(4,433)
Net amounts	$	24,566	$	46	$	2,965	$	27,577
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							4,950


	Assets at December 31, 2023
$ in millions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	25	$	—	$	—	$	25
Foreign exchange	5		5		—		10
Total	30		5		—		35
Not designated as accounting hedges
Economic hedges of loans
Credit	2		27		—		29
Other derivatives
Interest rate	127,414		19,914		854		148,182
Credit	5,712		4,896		—		10,608
Foreign exchange	90,654		2,570		16		93,240
Equity	20,338		—		37,737		58,075
Commodity and other	13,928		—		2,353		16,281
Total	258,048		27,407		40,960		326,415
Total gross derivatives	$	258,078	$	27,412	$	40,960	$	326,450
Amounts offset
Counterparty netting	(184,553)		(23,851)		(38,510)		(246,914)
Cash collateral netting	(39,493)		(2,730)		—		(42,223)
Total in Trading assets	$	34,032	$	831	$	2,450	$	37,313
Amounts not offset1
Financial instruments collateral	(15,690)		—		—		(15,690)
Net amounts	$	18,342	$	831	$	2,450	$	21,623
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	2,641


	Liabilities at December 31, 2023
$ in millions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	467	$	—	$	—	$	467
Foreign exchange	414		43		—		457
Total	881		43		—		924
Not designated as accounting hedges
Economic hedges of loans
Credit	43		702		—		745
Other derivatives
Interest rate	120,604		17,179		590		138,373
Credit	5,920		4,427		—		10,347
Foreign exchange	87,104		2,694		106		89,904
Equity	31,545		—		37,349		68,894
Commodity and other	12,237		—		2,830		15,067
Total	257,453		25,002		40,875		323,330
Total gross derivatives	$	258,334	$	25,045	$	40,875	$	324,254
Amounts offset
Counterparty netting	(184,553)		(23,851)		(38,510)		(246,914)
Cash collateral netting	(41,082)		(983)		—		(42,065)
Total in Trading liabilities	$	32,699	$	211	$	2,365	$	35,275
Amounts not offset1
Financial instruments collateral	(6,864)		(8)		(37)		(6,909)
Net amounts	$	25,835	$	203	$	2,328	$	28,366
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	5,911

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 netting 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 March 31, 2024
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	88	$	—	$	88
Foreign exchange	14		2		—		16
Total	14		90		—		104
Not designated as accounting hedges
Economic hedges of loans
Credit	—		—		—		—
Other derivatives
Interest rate	4,324		7,845		570		12,739
Credit	203		161		—		364
Foreign exchange	3,692		193		14		3,899
Equity	583		—		509		1,092
Commodity and other	137		—		70		207
Total	8,939		8,199		1,163		18,301
Total gross derivatives	$	8,953	$	8,289	$	1,163	$	18,405


	Liabilities at March 31, 2024
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	2	$	195	$	—	$	197
Foreign exchange	1		2		—		3
Total	3		197		—		200
Not designated as accounting hedges
Economic hedges of loans
Credit	2		21		—		23
Other derivatives
Interest rate	4,639		7,457		427		12,523
Credit	217		143		—		360
Foreign exchange	3,742		196		43		3,981
Equity	666		—		788		1,454
Commodity and other	103		—		83		186
Total	9,369		7,817		1,341		18,527
Total gross derivatives	$	9,372	$	8,014	$	1,341	$	18,727


	Assets at December 31, 2023
$ in billions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	92	$	—	$	92
Foreign exchange	1		1		—		2
Total	1		93		—		94
Not designated as accounting hedges
Economic hedges of loans
Credit	—		1		—		1
Other derivatives
Interest rate	4,153		8,357		560		13,070
Credit	214		176		—		390
Foreign exchange	3,378		165		7		3,550
Equity	528		—		440		968
Commodity and other	142		—		65		207
Total	8,415		8,699		1,072		18,186
Total gross derivatives	$	8,416	$	8,792	$	1,072	$	18,280


	Liabilities at December 31, 2023
$ in billions	Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate	$	3	$	183	$	—	$	186
Foreign exchange	14		3		—		17
Total	17		186		—		203
Not designated as accounting hedges
Economic hedges of loans
Credit	2		22		—		24
Other derivatives
Interest rate	4,631		8,197		455		13,283
Credit	229		155		—		384
Foreign exchange	3,496		167		33		3,696
Equity	587		—		712		1,299
Commodity and other	101		—		79		180
Total	9,046		8,541		1,279		18,866
Total gross derivatives	$	9,063	$	8,727	$	1,279	$	19,069

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 6 to the financial statements in the 2023 Form 10-K.

Gains (Losses) on Accounting Hedges


	Three Months Ended
	March 31,
$ in millions	2024		2023
Fair value hedges—Recognized in Interest income
Interest rate contracts	$	572	$	(372)
Investment Securities—AFS	(552)		381
Fair value hedges—Recognized in Interest expense
Interest rate contracts	$	(2,127)	$	2,284
Deposits	10		(54)
Borrowings	2,109		(2,240)
Net investment hedges—Foreign exchange contracts
Recognized in OCI	$	371	$	(89)
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	48		43
Cash flow hedges—Interest rate contracts1
Recognized in OCI	$	(47)	$	7
Less: Realized gains (losses) (pre-tax) reclassified from AOCI to interest income	(11)		(1)
Net change in cash flow hedges included within AOCI	(36)		8

1.For the current quarter ended March 31, 2024, there were no forecasted transactions that failed to occur. The net gains (losses) associated with cash flow hedges expected to be reclassified from AOCI within 12 months as of March 31, 2024, is approximately $(46) million. The maximum length of time over which forecasted cash flows are hedged is 15 months.

Fair Value Hedges—Hedged Items


$ in millions	At March 31, 2024		At December 31, 2023
Investment Securities—AFS
Amortized cost basis currently or previously hedged	$	46,737	$	47,179
Basis adjustments included in amortized cost1	$	(1,120)	$	(732)
Deposits
Carrying amount currently or previously hedged	$	12,216	$	10,569
Basis adjustments included in carrying amount1	$	(41)	$	(31)
Borrowings
Carrying amount currently or previously hedged	$	163,127	$	158,659
Basis adjustments included in carrying amount—Outstanding hedges	$	(11,305)	$	(9,219)
Basis adjustments included in carrying amount—Terminated hedges	$	(666)	$	(671)

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

Gains (Losses) on Economic Hedges of Loans


	Three Months Ended
	March 31,
$ in millions	2024		2023
Recognized in Other revenues
Credit contracts1	$	(123)	$	(161)

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

Net Derivative Liabilities and Collateral Posted


$ in millions	At March 31, 2024		At December 31, 2023
Net derivative liabilities with credit risk-related contingent features	$	18,862	$	21,957
Collateral posted	12,746		16,389

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 March 31, 2024
One-notch downgrade	$	359
Two-notch downgrade	411
Bilateral downgrade agreements included in the amounts above1	$	624

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 Moody’s Investors Service, Inc., S&P Global Ratings and/or other rating agencies. 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 March 31, 2024
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	19	$	29	$	40	$	14	$	102
Non-investment grade	7		14		17		4		42
Total	$	26	$	43	$	57	$	18	$	144
Index and basket CDS
Investment grade	$	8	$	19	$	46	$	7	$	80
Non-investment grade	9		14		77		34		134
Total	$	17	$	33	$	123	$	41	$	214
Total CDS sold	$	43	$	76	$	180	$	59	$	358
Other credit contracts	—		—		—		3		3
Total credit protection sold	$	43	$	76	$	180	$	62	$	361
CDS protection sold with identical protection purchased									$	306


	Years to Maturity at December 31, 2023
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	19	$	29	$	39	$	10	$	97
Non-investment grade	7		14		17		1		39
Total	$	26	$	43	$	56	$	11	$	136
Index and basket CDS
Investment grade	$	8	$	19	$	85	$	4	$	116
Non-investment grade	8		14		95		17		134
Total	$	16	$	33	$	180	$	21	$	250
Total CDS sold	$	42	$	76	$	236	$	32	$	386
Other credit contracts	—		—		—		3		3
Total credit protection sold	$	42	$	76	$	236	$	35	$	389
CDS protection sold with identical protection purchased									$	330

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	At March 31, 2024		At December 31, 2023
Single-name CDS
Investment grade	$	2,167	$	1,904
Non-investment grade	444		399
Total	$	2,611	$	2,303
Index and basket CDS
Investment grade	$	1,829	$	1,929
Non-investment grade	464		45
Total	$	2,293	$	1,974
Total CDS sold	$	4,904	$	4,277
Other credit contracts	276		314
Total credit protection sold	$	5,180	$	4,591

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 March 31, 2024		At December 31, 2023
Single name	$	174	$	166
Index and basket	182		213
Tranched index and basket	32		30
Total	$	388	$	409


	Fair Value Asset (Liability)
$ in millions	At March 31, 2024		At December 31, 2023
Single name	$	(3,114)	$	(2,799)
Index and basket	(1,249)		(1,208)
Tranched index and basket	(1,256)		(1,012)
Total	$	(5,619)	$	(5,019)

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 6 to the financial statements in the 2023 Form 10-K.