Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 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 September 30, 2019

	Assets
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	761		$	2		$	—		$	763
Foreign exchange	114			8			—			122
Total	875			10			—			885
Not designated as accounting hedges
Interest rate	216,358			6,090			965			223,413
Credit	4,932			2,787			—			7,719
Foreign exchange	63,326			1,069			115			64,510
Equity	26,395			—			22,505			48,900
Commodity and other	8,797			—			2,473			11,270
Total	319,808			9,946			26,058			355,812
Total gross derivatives	$	320,683		$	9,956		$	26,058		$	356,697
Amounts offset
Counterparty netting	(242,002		)	(8,580		)	(24,298		)	(274,880		)
Cash collateral netting	(47,994		)	(1,199		)	—			(49,193		)
Total in Trading assets	$	30,687		$	177		$	1,760		$	32,624
Amounts not offset1
Financial instruments collateral	(14,340		)	—			—			(14,340		)
Other cash collateral	(35		)	—			—			(35		)
Net amounts	$	16,312		$	177		$	1,760		$	18,249
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	2,132

	Liabilities
$ in millions	Bilateral OTC			Cleared OTC			Exchange- Traded			Total
Designated as accounting hedges
Interest rate	$	—		$	1		$	—		$	1
Foreign exchange	26			19			—			45
Total	26			20			—			46
Not designated as accounting hedges
Interest rate	208,515			4,956			832			214,303
Credit	4,649			3,456			—			8,105
Foreign exchange	65,081			1,092			66			66,239
Equity	27,820			—			22,114			49,934
Commodity and other	6,690			—			2,215			8,905
Total	312,755			9,504			25,227			347,486
Total gross derivatives	$	312,781		$	9,524		$	25,227		$	347,532
Amounts offset
Counterparty netting	(242,002		)	(8,580		)	(24,298		)	(274,880		)
Cash collateral netting	(36,520		)	(730		)	—			(37,250		)
Total in Trading liabilities	$	34,259		$	214		$	929		$	35,402
Amounts not offset1
Financial instruments collateral	(15,526		)	—			(323		)	(15,849		)
Other cash collateral	(26		)	(27		)	—			(53		)
Net amounts	$	18,707		$	187		$	606		$	19,500
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable										$	3,054

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 September 30, 2019

	Assets
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	11	$	142	$	—	$	153
Foreign exchange	5		1		—		6
Total	16		143		—		159
Not designated as accounting hedges
Interest rate	4,465		8,357		858		13,680
Credit	138		92		—		230
Foreign exchange	3,030		119		17		3,166
Equity	404		—		432		836
Commodity and other	105		—		69		174
Total	8,142		8,568		1,376		18,086
Total gross derivatives	$	8,158	$	8,711	$	1,376	$	18,245

	Liabilities
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	17	$	—	$	17
Foreign exchange	5		2		—		7
Total	5		19		—		24
Not designated as accounting hedges
Interest rate	4,462		8,189		794		13,445
Credit	149		105		—		254
Foreign exchange	2,985		119		15		3,119
Equity	525		—		493		1,018
Commodity and other	84		—		66		150
Total	8,205		8,413		1,368		17,986
Total gross derivatives	$	8,210	$	8,432	$	1,368	$	18,010

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 September 30,						Nine Months Ended September 30,
$ in millions	2019			2018			2019			2018
Fair Value Hedges—Recognized in Interest Income1
Interest rate contracts	$	(7	)	$	—		$	(26	)	$	—
Investment Securities—AFS	8			—			27			—
Fair Value Hedges—Recognized in Interest Expense
Interest rate contracts	$	1,999		$	(1,124	)	$	6,046		$	(3,584	)
Borrowings	(1,996		)	1,124			(6,111		)	3,563
Net Investment Hedges—Foreign exchange contracts
Recognized in OCI, net of tax	$	251		$	107		$	201		$	354
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	30			13			107			44

Fair Value Hedges—Hedged Items 

$ in millions	At September 30, 2019		At December 31, 2018
Investment Securities—AFS
Carrying amount2 currently or previously hedged	$	689	$	201
Basis adjustments included in carrying amount3	$	30	$	4
Borrowings
Carrying amount2 currently or previously hedged	$	103,659	$	102,899
Basis adjustments included in carrying amount3	$	4,393	$	(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 September 30, 2019		At December 31, 2018
Net derivative liabilities with credit risk-related contingent features	$	27,319	$	16,403
Collateral posted	22,154		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 September 30, 2019
One-notch downgrade	$	468
Two-notch downgrade	308
Bilateral downgrade agreements included in the amounts above1	$	699

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 September 30, 2019
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	16	$	18	$	26	$	16	$	76
Non-investment grade	8		9		12		5		34
Total	$	24	$	27	$	38	$	21	$	110
Index and basket CDS
Investment grade	$	5	$	10	$	40	$	22	$	77
Non-investment grade	5		3		17		17		42
Total	$	10	$	13	$	57	$	39	$	119
Total CDS sold	$	34	$	40	$	95	$	60	$	229
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	34	$	40	$	95	$	60	$	229
CDS protection sold with identical protection purchased									$	219

	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 September 30, 2019			At December 31, 2018
Single-name CDS
Investment grade	$	663		$	118
Non-investment grade	(959		)	(403		)
Total	$	(296	)	$	(285	)
Index and basket CDS
Investment grade	$	1,040		$	314
Non-investment grade	45			(1,413		)
Total	$	1,085		$	(1,099	)
Total CDS sold	$	789		$	(1,384	)
Other credit contracts	(18		)	(14		)
Total credit protection sold	$	771		$	(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 September 30, 2019			At December 31, 2018
Single name	$	147		$	277
Index and basket	(977		)	1,333
Tranched index and basket	(345		)	(251		)
Total	$	(1,175	)	$	1,359

	Notional
$ in billions	At September 30, 2019		At December 31, 2018
Single name	$	119	$	116
Index and basket	120		117
Tranched index and basket	16		14
Total	$	255	$	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.