v3.10.0.1
Derivative Instruments and Hedging Activities (Tables)
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12 Months Ended |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Derivative Asset Fair Values |
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.
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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 |
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.
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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 |
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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) |
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Fair Value Hedges - Hedged Items |
Fair Value Hedges—Hedged Items | | | | | | | | | $ in millions | | | | | | At December 31, 2018 | Investment Securities—AFS1 | | | Carrying amount2 currently 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.
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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.
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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 |
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- DefinitionTabular disclosure for accounting hedges of the location and amount of gains and losses reported in the statement of financial performance.
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- DefinitionTabular disclosure of carrying amount of heged liabilities recognized in the statement of financial position, including the cumulative amount of fair value hedging adjustments to hedged liabilities included in the carrying amount of the hedged liabilities.
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- DefinitionTabular 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).
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- DefinitionTabular disclosure of derivative assets at fair value.
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- DefinitionTabular disclosure of derivative liabilities at fair value.
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- DefinitionTabular disclosure of the notional amounts of outstanding derivative positions.
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