Derivative Instruments and Hedging Activities

3 Months Ended

Mar. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

4. Derivative Instruments and Hedging Activities

Derivative Fair Values
At March 31, 2018
	Assets
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	804	$	1	$	—	$	805
Foreign exchange contracts		43		7		—		50
Total		847		8		—		855
Not designated as accounting hedges
Interest rate contracts		175,200		1,742		522		177,464
Credit contracts		5,352		1,981		—		7,333
Foreign exchange contracts		52,711		764		53		53,528
Equity contracts		25,320		—		24,222		49,542
Commodity and other contracts		10,295		—		1,572		11,867
Total		268,878		4,487		26,369		299,734
Total gross derivatives	$	269,725	$	4,495	$	26,369	$	300,589
Amounts offset
Counterparty netting		(198,282)		(3,424)		(22,787)		(224,493)
Cash collateral netting		(42,284)		(664)		—		(42,948)
Total in Trading assets	$	29,159	$	407	$	3,582	$	33,148
Amounts not offset1
Financial instruments collateral		(12,646)		—		—		(12,646)
Other cash collateral		(20)		—		—		(20)
Net amounts	$	16,493	$	407	$	3,582	$	20,482
Net amounts for which master netting or collateral agreements
are not in place or may not be legally enforceable							$	3,876

	Liabilities
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	174	$	1	$	—	$	175
Foreign exchange contracts		107		22		—		129
Total		281		23		—		304
Not designated as accounting hedges
Interest rate contracts		159,276		1,267		443		160,986
Credit contracts		5,723		2,125		—		7,848
Foreign exchange contracts		52,493		835		44		53,372
Equity contracts		26,778		—		23,748		50,526
Commodity and other contracts		7,583		—		1,556		9,139
Total		251,853		4,227		25,791		281,871
Total gross derivatives	$	252,134	$	4,250	$	25,791	$	282,175
Amounts offset
Counterparty netting		(198,282)		(3,424)		(22,787)		(224,493)
Cash collateral netting		(31,280)		(416)		—		(31,696)
Total in Trading liabilities	$	22,572	$	410	$	3,004	$	25,986
Amounts not offset1
Financial instruments collateral		(4,966)		—		(374)		(5,340)
Other cash collateral		(38)		(26)		—		(64)
Net amounts	$	17,568	$	384	$	2,630	$	20,582
Net amounts for which master netting or collateral agreements
are not in place or may not be legally enforceable							$	4,366

At December 31, 2017
		Assets
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	1,057	$	—	$	—	$	1,057
Foreign exchange contracts		57		6		—		63
Total		1,114		6		—		1,120
Not designated as accounting hedges
Interest rate contracts		177,948		1,700		234		179,882
Credit contracts		5,740		2,282		—		8,022
Foreign exchange contracts		52,878		798		58		53,734
Equity contracts		24,452		—		20,538		44,990
Commodity and other contracts		8,861		—		1,802		10,663
Total		269,879		4,780		22,632		297,291
Total gross derivatives	$	270,993	$	4,786	$	22,632	$	298,411
Amounts offset
Counterparty netting		(201,051)		(3,856)		(19,861)		(224,768)
Cash collateral netting		(42,141)		(689)		—		(42,830)
Total in Trading assets	$	27,801	$	241	$	2,771	$	30,813
Amounts not offset1
Financial instruments collateral		(12,363)		—		—		(12,363)
Other cash collateral		(4)		—		—		(4)
Net amounts	$	15,434	$	241	$	2,771	$	18,446
Net amounts for which master netting or collateral agreements
are not in place or may not be legally enforceable							$	3,154

		Liabilities
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	67	$	1	$	—	$	68
Foreign exchange contracts		72		57		—		129
Total		139		58		—		197
Not designated as accounting hedges
Interest rate contracts		161,758		1,178		144		163,080
Credit contracts		6,273		2,272		—		8,545
Foreign exchange contracts		54,191		925		23		55,139
Equity contracts		27,993		—		19,996		47,989
Commodity and other contracts		7,117		—		1,772		8,889
Total		257,332		4,375		21,935		283,642
Total gross derivatives	$	257,471	$	4,433	$	21,935	$	283,839
Amounts offset
Counterparty netting		(201,051)		(3,856)		(19,861)		(224,768)
Cash collateral netting		(31,892)		(484)		—		(32,376)
Total in Trading liabilities	$	24,528	$	93	$	2,074	$	26,695
Amounts not offset1
Financial instruments collateral		(5,523)		—		(412)		(5,935)
Other cash collateral		(18)		(14)		—		(32)
Net amounts	$	18,987	$	79	$	1,662	$	20,728
Net amounts for which master netting or collateral agreements
are not in place or may not be legally enforceable							$	3,751

• 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 3 for information related to the unsettled fair value of futures contracts not designated as accounting hedges, which are excluded from the tables above.

Derivative Notionals
At March 31, 2018
	Assets
$ in billions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	20	$	26	$	—	$	46
Foreign exchange contracts		5		—		—		5
Total		25		26		—		51
Not designated as accounting hedges
Interest rate contracts		4,449		7,472		3,477		15,398
Credit contracts		165		90		—		255
Foreign exchange contracts		2,223		89		8		2,320
Equity contracts		402		—		383		785
Commodity and other contracts		94		—		61		155
Total		7,333		7,651		3,929		18,913
Total gross derivatives	$	7,358	$	7,677	$	3,929	$	18,964

	Liabilities
$ in billions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	2	$	133	$	—	$	135
Foreign exchange contracts		4		2		—		6
Total		6		135		—		141
Not designated as accounting hedges
Interest rate contracts		4,614		7,074		1,181		12,869
Credit contracts		188		83		—		271
Foreign exchange contracts		2,184		98		14		2,296
Equity contracts		425		—		474		899
Commodity and other contracts		74		—		53		127
Total		7,485		7,255		1,722		16,462
Total gross derivatives	$	7,491	$	7,390	$	1,722	$	16,603

At December 31, 2017
	Assets
$ in billions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	20	$	46	$	—	$	66
Foreign exchange contracts		4		—		—		4
Total		24		46		—		70
Not designated as accounting hedges
Interest rate contracts		3,999		6,458		2,714		13,171
Credit contracts		194		100		—		294
Foreign exchange contracts		1,960		67		9		2,036
Equity contracts		397		—		334		731
Commodity and other contracts		86		—		72		158
Total		6,636		6,625		3,129		16,390
Total gross derivatives	$	6,660	$	6,671	$	3,129	$	16,460

	Liabilities
$ in billions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	2	$	102	$	—	$	104
Foreign exchange contracts		4		2		—		6
Total		6		104		—		110
Not designated as accounting hedges
Interest rate contracts		4,199		6,325		1,089		11,613
Credit contracts		226		80		—		306
Foreign exchange contracts		2,014		78		51		2,143
Equity contracts		394		—		405		799
Commodity and other contracts		68		—		61		129
Total		6,901		6,483		1,606		14,990
Total gross derivatives	$	6,907	$	6,587	$	1,606	$	15,100

The Firm believes that the notional amounts of the derivative contracts generally overstate its exposure.

For information related to offsetting of certain collateralized transactions, see Note 6. For a discussion of the Firm’s derivative instruments and hedging activities, see Note 4 to the financial statements in the 2017 Form 10-K.

Gains (Losses) on Accounting Hedges
		Three Months Ended
	March 31,
$ in millions		2018		2017
Fair Value Hedges - Recognized in Interest Expense
Interest rate contracts	$	(1,841)	$	(805)
Borrowings		1,852		717
Net Investment Hedges - Foreign exchange contracts
Recognized in OCI	$	(148)	$	(205)
Forward points excluded from hedge
effectiveness testing—Interest income	$	7	$	(9)

Borrowings under Fair Value Hedges
$ in millions		At March 31, 2018
Carrying amount of Borrowings currently or previously hedged	$	107,264
Basis adjustments included in carrying amount—
outstanding hedges	$	2,035

Hedge accounting basis adjustments for Borrowings primarily relate to outstanding hedges.

Trading Revenues by Product Type

	Three Months Ended
	March 31,
$ in millions		2018		2017
Interest rate contracts	$	871	$	594
Foreign exchange contracts		261		235
Equity security and index contracts1		1,877		1,641
Commodity and other contracts		435		189
Credit contracts		326		576
Total	$	3,770	$	3,235

• Dividend income is included within equity security and index contracts.

The previous table summarizes gains and losses included in Trading revenues in the income statements. These activities include revenues related to derivative and non-derivative financial instruments. The Firm generally utilizes financial instruments across a variety of product types in connection with its market-making and related risk management strategies. The trading revenues presented in the table are not representative of the manner in which the Firm manages its business activities and are prepared in a manner similar to the presentation of trading revenues for regulatory reporting purposes.

Credit Risk-Related Contingencies

In connection with certain OTC trading agreements, the Firm may be required to provide additional collateral or immediately settle any outstanding liability balances with certain counterparties in the event of a credit rating downgrade of the Firm.

The following 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.

Net Derivative Liabilities and Collateral Posted

		At		At
		March 31,		December 31,
$ in millions		2018		2017
Net derivative liabilities with credit
risk-related contingent features	$	17,213	$	20,675
Collateral posted		15,244		16,642

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. (“Moody’s”) and S&P Global Ratings.The following 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.

Incremental Collateral or Termination Payments upon Potential Future Ratings Downgrade
		At
		March 31,
$ in millions		2018
One-notch downgrade	$	618
Two-notch downgrade		409
Bilateral downgrade agreements included
in the amounts above1	$	910

1.Amount representsarrangementsbetween 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.

Credit Derivatives and Other Credit Contracts

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.

For further information on credit derivatives and other credit contracts, see Note 4 to the financial statements in the 2017 Form 10-K.

Protection Sold and Purchased with CDS
		At March 31, 2018
	Notional				Fair Value (Asset)/Liability
	Protection		Protection		Protection		Protection
$ in millions	Sold		Purchased		Sold		Purchased
Single name	$	133,209	$	152,446	$	(1,148)	$	1,580
Index and basket		103,531		98,822		(163)		5
Tranched index and basket		12,330		25,506		(276)		517
Total	$	249,070	$	276,774	$	(1,587)	$	2,102
Single name and non-tranched
index and basket
with identical underlying
reference obligations	$	233,572	$	250,376

		At December 31, 2017
		Notional			Fair Value (Asset)/Liability
	Protection		Protection		Protection		Protection
$ in millions	Sold		Purchased		Sold		Purchased
Single name	$	146,948	$	164,773	$	(1,277)	$	1,658
Index and basket		131,073		120,348		(341)		209
Tranched index and basket		11,864		24,498		(342)		616
Total	$	289,885	$	309,619	$	(1,960)	$	2,483
Single name and non-tranched
index and basket
with identical underlying
reference obligations	$	274,473	$	281,162

Fair value amounts as shown in the table below are on a gross basis prior to cash collateral or counterparty netting.In order to provide an indication of the current payment status or performance risk of the CDS, a breakdown of CDS based on the Firm’s internal credit ratings by investment grade and non-investment grade is provided.Internal credit ratings serve as the Credit Risk Management Department’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.

Credit Ratings of Reference Obligation and Maturities of Credit Protection Sold

	At March 31, 2018
		Maximum Potential Payout/Notional										Fair Value
		Years to Maturity										(Asset)/
$ in millions		Less than 1		1-3		3-5		Over 5		Total		Liability
Single name CDS
Investment grade	$	33,332	$	35,927	$	17,621	$	10,658	$	97,538	$	(1,124)
Non-investment grade		12,994		13,871		6,813		1,993		35,671		(24)
Total single name CDS	$	46,326	$	49,798	$	24,434	$	12,651	$	133,209	$	(1,148)
Index and basket CDS
Investment grade	$	29,448	$	14,049	$	16,003	$	10,902	$	70,402	$	(811)
Non-investment grade		5,941		6,139		17,681		15,698		45,459		372
Total index and basket CDS	$	35,389	$	20,188	$	33,684	$	26,600	$	115,861	$	(439)
Total CDS sold	$	81,715	$	69,986	$	58,118	$	39,251	$	249,070	$	(1,587)
Other credit contracts		—		2		—		127		129		20
Total credit derivatives and other credit contracts	$	81,715	$	69,988	$	58,118	$	39,378	$	249,199	$	(1,567)

	At December 31, 2017
		Maximum Potential Payout/Notional										Fair Value
		Years to Maturity										(Asset)/
$ in millions		Less than 1		1-3		3-5		Over 5		Total		Liability
Single name CDS
Investment grade	$	39,721	$	42,591	$	18,157	$	8,872	$	109,341	$	(1,167)
Non-investment grade		14,213		16,293		6,193		908		37,607		(110)
Total single name CDS	$	53,934	$	58,884	$	24,350	$	9,780	$	146,948	$	(1,277)
Index and basket CDS
Investment grade	$	29,046	$	15,418	$	37,343	$	6,807	$	88,614	$	(1,091)
Non-investment grade		5,246		7,371		32,417		9,289		54,323		408
Total index and basket CDS	$	34,292	$	22,789	$	69,760	$	16,096	$	142,937	$	(683)
Total CDS sold	$	88,226	$	81,673	$	94,110	$	25,876	$	289,885	$	(1,960)
Other credit contracts		2		—		—		134		136		16
Total credit derivatives and other credit contracts	$	88,228	$	81,673	$	94,110	$	26,010	$	290,021	$	(1,944)