Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Fair Values
At December 31, 2018
	Assets
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	512	$	1	$	—	$	513
Foreign exchange contracts		27		8		—		35
Total		539		9		—		548
Not designated as accounting hedges
Interest rate contracts		153,768		3,887		697		158,352
Credit contracts		4,630		1,498		—		6,128
Foreign exchange contracts		61,846		1,310		55		63,211
Equity contracts		24,590		—		23,284		47,874
Commodity and other contracts		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

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

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.

Derivative Liability Fair Values

	Liabilities
$ in millions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	176	$	—	$	—	$	176
Foreign exchange contracts		62		24		—		86
Total		238		24		—		262
Not designated as accounting hedges
Interest rate contracts		142,592		2,669		663		145,924
Credit contracts		4,545		1,608		—		6,153
Foreign exchange contracts		62,099		1,302		19		63,420
Equity contracts		27,119		—		23,521		50,640
Commodity and other contracts		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

		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

Derivative Notionals

Derivative Notionals
At December 31, 2018
	Assets
$ in billions		Bilateral OTC		Cleared OTC		Exchange-Traded		Total
Designated as accounting hedges
Interest rate contracts	$	15	$	52	$	—	$	67
Foreign exchange contracts		5		1		—		6
Total		20		53		—		73
Not designated as accounting hedges
Interest rate contracts		4,807		6,708		1,157		12,672
Credit contracts		162		74		—		236
Foreign exchange contracts		2,436		118		14		2,568
Equity contracts		373		—		371		744
Commodity and other contracts		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 contracts	$	2	$	107	$	—	$	109
Foreign exchange contracts		5		1		—		6
Total		7		108		—		115
Not designated as accounting hedges
Interest rate contracts		4,946		5,735		781		11,462
Credit contracts		162		73		—		235
Foreign exchange contracts		2,451		114		17		2,582
Equity contracts		389		—		602		991
Commodity and other contracts		72		—		65		137
Total		8,020		5,922		1,465		15,407
Total gross derivatives	$	8,027	$	6,030	$	1,465	$	15,522

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



$ in millions		2018	2017		2016
Fair Value Hedges—Recognized in Interest Expense
Interest rate contracts	$	(1,529)	$	(1,591)	$	(1,738)
Borrowings		1,511		1,393		1,541
Net Investment Hedges—Foreign exchange contracts
Recognized in OCI	$	295	$	(365)	$	(1)
Forward points excluded from hedge effectiveness
testing—Recognized in Interest income		68		(20)		(74)

Fair Value Hedges - Hedged Items

Fair Value Hedges—Hedged Items

$ in millions		At December 31, 2018
Investment Securities—AFS¹
Carrying amount²currently or previously hedged	$	201
Borrowings
Carrying amount² currently or previously hedged	$	102,899
Basis adjustments included in carrying amount³	$	(1,689)

1. In the third quarter of 2018, the Firm began designating interest rate swaps as fair value hedges of certain AFS securities. Amounts recognized in interest income and basis adjustments related to AFS securities were not material.

2. Carrying amount represents amortized cost basis.

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

Credit Risk-Related Contingencies

Net Derivative Liabilities and Collateral Posted

		At		At
		December 31,		December 31,
$ in millions		2018		2017
Net derivative liabilities with credit
risk-related contingent features	$	16,403	$	20,675
Collateral posted		11,981		16,642

Incremental Collateral and Termination Payments upon Potential Future Ratings Downgrade

		At
		December 31,
$ in millions		2018
One-notch downgrade	$	460
Two-notch downgrade		321
Bilateral downgrade agreements included
in the amounts above¹	$	707

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

Maximum Potential Payout/Notional of Credit Protection Sold¹

	Years to Maturity at December 31, 2018
$ in millions		< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	22,297	$	23,876	$	19,469	$	7,844	$	73,486
Non-investment grade		10,135		11,061		9,020		861		31,077
Total	$	32,432	$	34,937	$	28,489	$	8,705	$	104,563
Index and basket CDS
Investment grade	$	5,341	$	9,901	$	60,887	$	6,816	$	82,945
Non-investment grade		4,574		5,820		12,855		13,272		36,521
Total	$	9,915	$	15,721	$	73,742	$	20,088	$	119,466
Total CDS sold	$	42,347	$	50,658	$	102,231	$	28,793	$	224,029
Other credit contracts		—		—		—		116		116
Total credit protection
sold	$	42,347	$	50,658	$	102,231	$	28,909	$	224,145
CDS protection sold with identical protection purchased									$	209,972

	Years to Maturity at December 31, 2017
$ in millions		< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	39,721	$	42,591	$	18,157	$	8,872	$	109,341
Non-investment grade		14,213		16,293		6,193		908		37,607
Total	$	53,934	$	58,884	$	24,350	$	9,780	$	146,948
Index and basket CDS
Investment grade	$	29,046	$	15,418	$	37,343	$	6,807	$	88,614
Non-investment grade		5,246		7,371		32,417		9,289		54,323
Total	$	34,292	$	22,789	$	69,760	$	16,096	$	142,937
Total CDS sold	$	88,226	$	81,673	$	94,110	$	25,876	$	289,885
Other credit contracts		2		—		—		134		136
Total credit protection
sold	$	88,228	$	81,673	$	94,110	$	26,010	$	290,021
CDS protection sold with identical protection purchased									$	274,473

Fair Value (Asset)/Liability of Credit Protection Sold¹


		At		At
$ in millions		December 31, 2018		December 31, 2017
Single-name CDS
Investment grade	$	(118)	$	(1,167)
Non-investment grade		403		(110)
Total	$	285	$	(1,277)
Index and basket CDS
Investment grade	$	(314)	$	(1,091)
Non-investment grade		1,413		408
Total	$	1,099	$	(683)
Total CDS sold	$	1,384	$	(1,960)
Other credit contracts		14		16
Total credit protection sold	$	1,398	$	(1,944)

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

Protection Purchased with CDS

	At December 31, 2018
$ in millions	Fair Value (Asset)/Liability		Notional
Single name	$	(277)	$	116,333
Index and basket		(1,333)		117,022
Tranched index and basket		251		13,524
Total	$	(1,359)	$	246,879

	At December 31, 2017
$ in millions		Fair Value (Asset)/Liability	Notional
Single name	$	1,658	$	164,773
Index and basket		209		120,348
Tranched index and basket		616		24,498
Total	$	2,483	$	309,619

- 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