Derivative Instruments and Hedging Activities

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments and Hedging Activities

Derivative Instruments and Hedging Activities

Fair Values of Derivative Contracts

At June 30, 2019

	Assets
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	604		$	2		$	—		$	606
Foreign exchange	1			5			—			6
Total	605			7			—			612
Not designated as accounting hedges
Interest rate	187,449			5,417			1,405			194,271
Credit	4,438			1,888			—			6,326
Foreign exchange	54,977			1,369			45			56,391
Equity	23,127			—			20,946			44,073
Commodity and other	10,902			—			2,421			13,323
Total	280,893			8,674			24,817			314,384
Total gross derivatives	$	281,498		$	8,681		$	24,817		$	314,996
Amounts offset
Counterparty netting	(208,559		)	(6,936		)	(23,321		)	(238,816		)
Cash collateral netting	(42,075		)	(1,341		)	—			(43,416		)
Total in Trading assets	$	30,864		$	404		$	1,496		$	32,764
Amounts not offset1
Financial instruments collateral	(13,536		)	—			—			(13,536		)
Other cash collateral	(41		)	—			—			(41		)
Net amounts	$	17,287		$	404		$	1,496		$	19,187
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	2,083

	Liabilities
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	—		$	—		$	—		$	—
Foreign exchange	130			43			—			173
Total	130			43			—			173
Not designated as accounting hedges
Interest rate	178,461			3,724			1,129			183,314
Credit	4,491			2,400			—			6,891
Foreign exchange	57,499			1,490			42			59,031
Equity	25,358			—			20,919			46,277
Commodity and other	6,742			—			2,464			9,206
Total	272,551			7,614			24,554			304,719
Total gross derivatives	$	272,681		$	7,657		$	24,554		$	304,892
Amounts offset
Counterparty netting	(208,559		)	(6,936		)	(23,321		)	(238,816		)
Cash collateral netting	(33,408		)	(648		)	—			(34,056		)
Total in Trading liabilities	$	30,714		$	73		$	1,233		$	32,020
Amounts not offset1
Financial instruments collateral	(11,291		)	—			(488		)	(11,779		)
Other cash collateral	(39		)	(10		)	—			(49		)
Net amounts	$	19,384		$	63		$	745		$	20,192
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	3,247

At December 31, 2018

	Assets
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	512		$	1		$	—		$	513
Foreign exchange	27			8			—			35
Total	539			9			—			548
Not designated as accounting hedges
Interest rate	153,768			3,887			697			158,352
Credit	4,630			1,498			—			6,128
Foreign exchange	61,846			1,310			55			63,211
Equity	24,590			—			23,284			47,874
Commodity and other	10,538			—			1,934			12,472
Total	255,372			6,695			25,970			288,037
Total gross derivatives	$	255,911		$	6,704		$	25,970		$	288,585
Amounts offset
Counterparty netting	(190,220		)	(5,260		)	(24,548		)	(220,028		)
Cash collateral netting	(38,204		)	(1,180		)	—			(39,384		)
Total in Trading assets	$	27,487		$	264		$	1,422		$	29,173
Amounts not offset1
Financial instruments collateral	(12,467		)	—			—			(12,467		)
Other cash collateral	(31		)	—			—			(31		)
Net amounts	$	14,989		$	264		$	1,422		$	16,675
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	2,206

	Liabilities
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	176		$	—		$	—		$	176
Foreign exchange	62			24			—			86
Total	238			24			—			262
Not designated as accounting hedges
Interest rate	142,592			2,669			663			145,924
Credit	4,545			1,608			—			6,153
Foreign exchange	62,099			1,302			19			63,420
Equity	27,119			—			23,521			50,640
Commodity and other	6,983			—			2,057			9,040
Total	243,338			5,579			26,260			275,177
Total gross derivatives	$	243,576		$	5,603		$	26,260		$	275,439
Amounts offset
Counterparty netting	(190,220		)	(5,260		)	(24,548		)	(220,028		)
Cash collateral netting	(27,860		)	(293		)	—			(28,153		)
Total in Trading liabilities	$	25,496		$	50		$	1,712		$	27,258
Amounts not offset1
Financial instruments collateral	(4,709		)	—			(766		)	(5,475		)
Other cash collateral	(53		)	(1		)	—			(54		)
Net amounts	$	20,734		$	49		$	946		$	21,729
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	4,773

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 3 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

At June 30, 2019

	Assets
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	14	$	132	$	—	$	146
Foreign exchange	—		1		—		1
Total	14		133		—		147
Not designated as accounting hedges
Interest rate	4,899		8,622		1,059		14,580
Credit	121		71		—		192
Foreign exchange	2,781		106		12		2,899
Equity	402		—		404		806
Commodity and other	100		—		70		170
Total	8,303		8,799		1,545		18,647
Total gross derivatives	$	8,317	$	8,932	$	1,545	$	18,794

	Liabilities
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	29	$	—	$	29
Foreign exchange	10		1		—		11
Total	10		30		—		40
Not designated as accounting hedges
Interest rate	4,876		8,583		957		14,416
Credit	139		79		—		218
Foreign exchange	2,885		109		13		3,007
Equity	407		—		460		867
Commodity and other	90		—		66		156
Total	8,397		8,771		1,496		18,664
Total gross derivatives	$	8,407	$	8,801	$	1,496	$	18,704

At December 31, 2018 

	Assets
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	15	$	52	$	—	$	67
Foreign exchange	5		1		—		6
Total	20		53		—		73
Not designated as accounting hedges
Interest rate	4,807		6,708		1,157		12,672
Credit	162		74		—		236
Foreign exchange	2,436		118		14		2,568
Equity	373		—		371		744
Commodity and other	97		—		67		164
Total	7,875		6,900		1,609		16,384
Total gross derivatives	$	7,895	$	6,953	$	1,609	$	16,457

	Liabilities
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	2	$	107	$	—	$	109
Foreign exchange	5		1		—		6
Total	7		108		—		115
Not designated as accounting hedges
Interest rate	4,946		5,735		781		11,462
Credit	162		73		—		235
Foreign exchange	2,451		114		17		2,582
Equity	389		—		602		991
Commodity and other	72		—		65		137
Total	8,020		5,922		1,465		15,407
Total gross derivatives	$	8,027	$	6,030	$	1,465	$	15,522

The Firm believes that the notional amounts of derivative contracts generally overstate its exposure. In most circumstances notional amounts are only used 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 4 to the financial statements in the 2018 Form 10-K.

Gains (Losses) on Accounting Hedges

	Three Months Ended June 30,						Six Months Ended June 30,
$ in millions	2019			2018			2019			2018
Fair Value Hedges—Recognized in Interest Income1
Interest rate contracts	$	(14	)	$	—		$	(19	)	$	—
Investment Securities—AFS	14			—			19			—
Fair Value Hedges—Recognized in Interest Expense
Interest rate contracts	$	2,470		$	(619	)	$	4,047		$	(2,460	)
Borrowings	(2,494		)	587			(4,115		)	2,439
Net Investment Hedges—Foreign exchange contracts
Recognized in OCI, net of tax	$	(114	)	$	395		$	(50	)	$	247
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	42			24			77			31

Fair Value Hedges—Hedged Items 

$ in millions	At June 30, 2019		At December 31, 2018
Investment Securities—AFS
Carrying amount2 currently or previously hedged	$	532	$	201
Basis adjustments included in carrying amount3	$	23	$	4
Borrowings
Carrying amount2 currently or previously hedged	$	104,752	$	102,899
Basis adjustments included in carrying amount3	$	2,428	$	(1,689	)

1. The Firm began designating interest rate swaps as fair value hedges of certain AFS securities in the third quarter of 2018.

2. Carrying amount represents amortized cost basis.

3. Hedge accounting basis adjustments for AFS securities and Borrowings are primarily related to outstanding hedges.

Net Derivative Liabilities and Collateral Posted

$ in millions	At June 30, 2019		At December 31, 2018
Net derivative liabilities with credit risk-related contingent features	$	22,589	$	16,403
Collateral posted	17,556		11,981

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 June 30, 2019
One-notch downgrade	$	492
Two-notch downgrade	339
Bilateral downgrade agreements included in the amounts above1	$	755

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. (“Moody’s”) 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 June 30, 2019
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	17	$	20	$	24	$	9	$	70
Non-investment grade	9		11		10		2		32
Total	$	26	$	31	$	34	$	11	$	102
Index and basket CDS
Investment grade	$	3	$	7	$	34	$	10	$	54
Non-investment grade	7		6		13		11		37
Total	$	10	$	13	$	47	$	21	$	91
Total CDS sold	$	36	$	44	$	81	$	32	$	193
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	36	$	44	$	81	$	32	$	193
CDS protection sold with identical protection purchased									$	181

	Years to Maturity at December 31, 2018
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	22	$	24	$	19	$	8	$	73
Non-investment grade	10		11		9		1		31
Total	$	32	$	35	$	28	$	9	$	104
Index and basket CDS
Investment grade	$	5	$	10	$	61	$	7	$	83
Non-investment grade	5		6		13		13		37
Total	$	10	$	16	$	74	$	20	$	120
Total CDS sold	$	42	$	51	$	102	$	29	$	224
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	42	$	51	$	102	$	29	$	224
CDS protection sold with identical protection purchased									$	210

Fair Value Asset (Liability) of Credit Protection Sold¹ 

$ in millions	At June 30, 2019			At December 31, 2018
Single-name CDS
Investment grade	$	446		$	118
Non-investment grade	(487		)	(403		)
Total	$	(41	)	$	(285	)
Index and basket CDS
Investment grade	$	906		$	314
Non-investment grade	(381		)	(1,413		)
Total	$	525		$	(1,099	)
Total CDS sold	$	484		$	(1,384	)
Other credit contracts	(11		)	(14		)
Total credit protection sold	$	473		$	(1,398	)

1. Investment grade/non-investment grade determination is based on the internal credit rating of the reference obligation. 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.

Protection Purchased with CDS

	Fair Value Asset (Liability)
$ in millions	At June 30, 2019			At December 31, 2018
Single name	$	(226	)	$	277
Index and basket	(396		)	1,333
Tranched index and basket	(427		)	(251		)
Total	$	(1,049	)	$	1,359

	Notional
$ in billions	At June 30, 2019		At December 31, 2018
Single name	$	111	$	116
Index and basket	89		117
Tranched index and basket	17		14
Total	$	217	$	247

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 contracts, see Note 4 to the financial statements in the 2018 Form 10-K.