Derivative Instruments and Hedging Activities (Tables)
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12 Months Ended |
Dec. 31, 2017 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Derivative Asset Fair Values |
Derivative Fair Values | At December 31, 2017 | | Assets | $ in millions | | Bilateral OTC | | Cleared OTC1 | | 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 offset2 | | | | | | | | | Financial instruments collateral | (12,363) | | — | | — | | (12,363) | Other cash collateral | | (4) | | — | | — | | (4) | Net amounts3 | $ | 15,434 | $ | 241 | $ | 2,771 | $ | 18,446 | Derivative assets not subject to legally enforceable master netting | or collateral agreements3 | $ | 3,154 |
At December 31, 2016 | | | | Assets | $ in millions | | Bilateral OTC | | Cleared OTC | | Exchange-Traded | | Total | Designated as accounting hedges | Interest rate contracts | $ | 1,924 | $ | 1,049 | $ | — | $ | 2,973 | Foreign exchange contracts | | 249 | | 18 | | — | | 267 | Total | | 2,173 | | 1,067 | | — | | 3,240 | Not designated as accounting hedges | Interest rate contracts | | 200,336 | | 99,217 | | 384 | | 299,937 | Credit contracts | | 9,837 | | 2,392 | | — | | 12,229 | Foreign exchange contracts | | 73,645 | | 1,022 | | 231 | | 74,898 | Equity contracts | | 20,710 | | — | | 17,919 | | 38,629 | Commodity and other contracts | | 9,792 | | — | | 3,727 | | 13,519 | Total | | 314,320 | | 102,631 | | 22,261 | | 439,212 | Total gross derivatives | $ | 316,493 | $ | 103,698 | $ | 22,261 | $ | 442,452 | Amounts offset | | | | | | | | | Counterparty netting | | (243,488) | | (100,477) | | (19,607) | | (363,572) | Cash collateral netting | | (45,875) | | (1,799) | | — | | (47,674) | Total in Trading assets | $ | 27,130 | $ | 1,422 | $ | 2,654 | $ | 31,206 | Amounts not offset2 | | | | | | | | | Financial instruments collateral | | (10,293) | | — | | — | | (10,293) | Other cash collateral | | (124) | | — | | — | | (124) | Net amounts3 | $ | 16,713 | $ | 1,422 | $ | 2,654 | $ | 20,789 | Derivative assets not subject to legally enforceable master netting | or collateral agreements3 | $ | 3,656 |
- Effective in the first quarter of 2017, the Chicago Mercantile Exchange amended its rulebook for cleared OTC derivatives, resulting in the characterization of variation margin transfers as settlement payments as opposed to cash posted as collateral. In the quarter of adoption, the cleared OTC gross derivative assets and liabilities, and related counterparty and cash collateral netting amounts in total decreased by approximately $13 billion and $20 billion, respectively. Effective in the third quarter of 2017, derivatives cleared through LCH Clearnet Limited became subject to the rulebook under which variation margin transfers are settlement payments. As a result, cleared OTC gross derivative assets and liabilities, and related counterparty and cash collateral netting amounts in total decreased by approximately $62 billion and $59 billion, respectively.
- 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.
3. Net amounts include transactions that are either not subject to master netting agreements or collateral agreements, or are subject to such agreements but the Firm has not determined the agreements to be legally enforceable.
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Derivative Liability Fair Values |
| Liabilities | $ in millions | | Bilateral OTC | | Cleared OTC1 | | 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 offset2 | | | | | | | | | Financial instruments collateral | (5,523) | | — | | (412) | | (5,935) | Other cash collateral | | (18) | | (14) | | — | | (32) | Net amounts3 | $ | 18,987 | $ | 79 | $ | 1,662 | $ | 20,728 | Derivative liabilities not subject to legally enforceable master netting | or collateral agreements3 | $ | 3,751 |
| | Liabilities | $ in millions | | Bilateral OTC | | Cleared OTC | | Exchange-Traded | | Total | Designated as accounting hedges | Interest rate contracts | $ | 77 | $ | 647 | $ | — | $ | 724 | Foreign exchange contracts | | 15 | | 25 | | — | | 40 | Total | | 92 | | 672 | | — | | 764 | Not designated as accounting hedges | Interest rate contracts | | 183,063 | | 103,392 | | 397 | | 286,852 | Credit contracts | | 11,024 | | 2,401 | | — | | 13,425 | Foreign exchange contracts | | 74,575 | | 952 | | 16 | | 75,543 | Equity contracts | | 22,531 | | — | | 17,983 | | 40,514 | Commodity and other contracts | 8,303 | | — | | 3,582 | | 11,885 | Total | | 299,496 | | 106,745 | | 21,978 | | 428,219 | Total gross derivatives | $ | 299,588 | $ | 107,417 | $ | 21,978 | $ | 428,983 | Amounts offset | | | | | | | | | Counterparty netting | | (243,488) | | (100,477) | | (19,607) | | (363,572) | Cash collateral netting | | (30,405) | | (5,691) | | — | | (36,096) | Total in Trading liabilities | $ | 25,695 | $ | 1,249 | $ | 2,371 | $ | 29,315 | Amounts not offset2 | | | | | | | | | Financial instruments collateral | (7,638) | | — | | (585) | | (8,223) | Other cash collateral | | (10) | | (1) | | — | | (11) | Net amounts3 | $ | 18,047 | $ | 1,248 | $ | 1,786 | $ | 21,081 | Derivative liabilities not subject to legally enforceable master netting | or collateral agreements3 | $ | 3,497 |
- Effective in the first quarter of 2017, the Chicago Mercantile Exchange amended its rulebook for cleared OTC derivatives, resulting in the characterization of variation margin transfers as settlement payments as opposed to cash posted as collateral. In the quarter of adoption, the cleared OTC gross derivative assets and liabilities, and related counterparty and cash collateral netting amounts in total decreased by approximately $13 billion and $20 billion, respectively. Effective in the third quarter of 2017, derivatives cleared through LCH Clearnet Limited became subject to the rulebook under which variation margin transfers are settlement payments. As a result, cleared OTC gross derivative assets and liabilities, and related counterparty and cash collateral netting amounts in total decreased by approximately $62 billion and $59 billion, respectively.
- 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.
3. Net amounts include transactions that are either not subject to master netting agreements or collateral agreements, or are subject to such agreements but the Firm has not determined the agreements to be legally enforceable.
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Derivative Notionals |
Derivative Notionals | 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 |
At December 31, 2016 | | Assets | $ in billions | | Bilateral OTC | | Cleared OTC | | Exchange-Traded | | Total | Designated as accounting hedges | Interest rate contracts | $ | 30 | $ | 38 | $ | — | $ | 68 | Foreign exchange contracts | | 6 | | — | | — | | 6 | Total | | 36 | | 38 | | — | | 74 | Not designated as accounting hedges | Interest rate contracts | | 3,586 | | 6,224 | | 2,586 | | 12,396 | Credit contracts | | 333 | | 112 | | — | | 445 | Foreign exchange contracts | | 1,580 | | 52 | | 13 | | 1,645 | Equity contracts | | 338 | | — | | 242 | | 580 | Commodity and other contracts | 67 | | — | | 79 | | 146 | Total | | 5,904 | | 6,388 | | 2,920 | | 15,212 | Total gross derivatives | $ | 5,940 | $ | 6,426 | $ | 2,920 | $ | 15,286 |
| Liabilities | $ in billions | | Bilateral OTC | | Cleared OTC | | Exchange-Traded | | Total | Designated as accounting hedges | Interest rate contracts | $ | 2 | $ | 52 | $ | — | $ | 54 | Foreign exchange contracts | | 1 | | 1 | | — | | 2 | Total | | 3 | | 53 | | — | | 56 | Not designated as accounting hedges | Interest rate contracts | | 3,462 | | 6,087 | | 897 | | 10,446 | Credit contracts | | 359 | | 96 | | — | | 455 | Foreign exchange contracts | | 1,557 | | 48 | | 14 | | 1,619 | Equity contracts | | 321 | | — | | 273 | | 594 | Commodity and other contracts | 78 | | — | | 59 | | 137 | Total | | 5,777 | | 6,231 | | 1,243 | | 13,251 | Total gross derivatives | $ | 5,780 | $ | 6,284 | $ | 1,243 | $ | 13,307 |
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Gains (Losses) on Accounting Hedges |
Gains (Losses) on Accounting Hedges | | | | | | | | | | | $ in millions | | 2017 | | 2016 | | 2015 | Fair Value Hedges - Recognized in Interest Expense | | | Derivatives | $ | (1,591) | $ | (1,738) | $ | (700) | Borrowings | | 1,393 | | 1,541 | | 461 | Total | $ | (198) | $ | (197) | $ | (239) | Net Investment Hedges - Foreign exchange contracts | | | Effective portion—OCI | $ | (365) | $ | (1) | $ | 434 | Forward points excluded from hedge | | | | | | | effectiveness testing—Interest income | $ | (20) | $ | (74) | $ | (149) |
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Trading Revenues by Product Type |
Trading Revenues by Product Type $ in millions | | 2017 | | 2016 | | 2015 | Interest rate contracts | $ | 2,091 | $ | 1,522 | $ | 1,249 | Foreign exchange contracts | | 647 | | 1,156 | | 984 | Equity security and index contracts1 | 6,291 | | 5,690 | | 5,695 | Commodity and other contracts | | 740 | | 56 | | 793 | Credit contracts | | 1,347 | | 1,785 | | 775 | Subtotal | $ | 11,116 | $ | 10,209 | $ | 9,496 | DVA2 | | — | | — | | 618 | Total | $ | 11,116 | $ | 10,209 | $ | 10,114 |
- Dividend income is included within equity security and index contracts.
- In 2017 and 2016, in accordance with the early adoption of a provision of the accounting update Recognition and Measurement of Financial Assets and Financial Liabilities, unrealized DVA gains (losses) are recorded within OCI in the comprehensive income statements. In 2015, the DVA gains (losses) were recorded within Trading revenues in the income statements. See note 15 for further information.
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Credit Risk-Related Contingencies |
Net Derivative Liabilities and Collateral Posted | | At | | At | | | December 31, | | December 31, | $ in millions | | 2017 | | 2016 | Net derivative liabilities with credit | | | | | risk-related contingent features | $ | 20,675 | $ | 22,939 | Collateral posted | | 16,642 | | 17,040 |
Incremental Collateral or Termination Payments upon Potential Future Ratings Downgrade | | | | | | | | | At | | | December 31, | $ in millions | | 2017 | One-notch downgrade | $ | 635 | Two-notch downgrade | | 382 | Bilateral downgrade agreements included | | | in the amounts above1 | $ | 823 |
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 |
Protection Sold and Purchased with CDSs | | | | At December 31, 2017 | | | Protection Sold | | Protection Purchased | $ in millions | | Notional | | Fair Value (Asset)/Liability | | Notional | | Fair Value (Asset)/Liability | Single name | $ | 146,948 | $ | (1,277) | $ | 164,773 | $ | 1,658 | Index and basket | | 131,073 | | (341) | | 120,348 | | 209 | Tranched index and basket | | 11,864 | | (342) | | 24,498 | | 616 | Total | $ | 289,885 | $ | (1,960) | $ | 309,619 | $ | 2,483 | Single name and non-tranched | | | | | | | | | index and basket with | | | | | | | | | identical underlying | | | | | | | | | reference obligations | $ | 274,473 | $ | — | $ | 281,162 | $ | — |
| | At December 31, 2016 | | | Protection Sold | | Protection Purchased | $ in millions | | Notional | | Fair Value (Asset)/Liability | | Notional | | Fair Value (Asset)/Liability | Single name | $ | 266,918 | $ | (753) | $ | 269,623 | $ | 826 | Index and basket | | 130,383 | | 374 | | 122,061 | | (481) | Tranched index and basket | | 32,429 | | (670) | | 78,505 | | 1,900 | Total | $ | 429,730 | $ | (1,049) | $ | 470,189 | $ | 2,245 | Single name and non-tranched | | | | | | | | | index and basket with | | | | | | | | | identical underlying | | | | | | | | | reference obligations | $ | 395,536 | $ | — | $ | 389,221 | $ | — |
Credit Ratings of Reference Obligation and Maturities of Credit Protection Sold | | | 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 CDSs | | | | | | | | | | | | | 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 CDSs | | 53,934 | | 58,884 | | 24,350 | | 9,780 | | 146,948 | | (1,277) | Index and basket CDSs | | | | | | | | | | | | | 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 CDSs | | 34,292 | | 22,789 | | 69,760 | | 16,096 | | 142,937 | | (683) | Total CDSs 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) |
| | | At December 31, 2016 | | | | | 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 CDSs | | | | | | | | | | | | | Investment grade | $ | 79,449 | $ | 70,796 | $ | 34,529 | $ | 10,293 | $ | 195,067 | $ | (1,060) | Non-investment grade | | 34,571 | | 25,820 | | 10,436 | | 1,024 | | 71,851 | | 307 | Total single name CDSs | $ | 114,020 | $ | 96,616 | $ | 44,965 | $ | 11,317 | $ | 266,918 | $ | (753) | Index and basket CDSs | | | | | | | | | | | | | Investment grade | $ | 26,530 | $ | 21,388 | $ | 35,060 | $ | 9,096 | $ | 92,074 | $ | (846) | Non-investment grade | | 26,135 | | 22,983 | | 11,759 | | 9,861 | | 70,738 | | 550 | Total index and basket CDSs | $ | 52,665 | $ | 44,371 | $ | 46,819 | $ | 18,957 | $ | 162,812 | $ | (296) | Total CDSs sold | $ | 166,685 | $ | 140,987 | $ | 91,784 | $ | 30,274 | $ | 429,730 | $ | (1,049) | Other credit contracts | | 49 | | 6 | | — | | 215 | | 270 | | — | Total credit derivatives and other credit contracts | $ | 166,734 | $ | 140,993 | $ | 91,784 | $ | 30,489 | $ | 430,000 | $ | (1,049) |
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