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Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

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

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.

Derivative Liability Fair Values

	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

		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.

Derivative Notionals

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

Gains (Losses) on Accounting Hedges

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

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

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.

Credit Risk-Related Contingencies

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

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 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.

Credit Derivatives and Other Credit Contracts

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

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)

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details