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Derivative Instruments and Hedging Activities (Tables)
12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Asset Fair Values
Derivative Fair Values
At December 31, 2017
Assets
$ in millionsBilateral OTCCleared OTC1Exchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $1,057$$$1,057
Foreign exchange contracts 57663
Total1,11461,120
Not designated as accounting hedges
Interest rate contracts 177,9481,700234179,882
Credit contracts 5,7402,2828,022
Foreign exchange contracts 52,8787985853,734
Equity contracts 24,45220,53844,990
Commodity and other contracts8,8611,80210,663
Total269,8794,78022,632297,291
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 millionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $1,924$1,049$$2,973
Foreign exchange contracts 24918267
Total2,1731,0673,240
Not designated as accounting hedges
Interest rate contracts 200,33699,217384299,937
Credit contracts 9,8372,39212,229
Foreign exchange contracts 73,6451,02223174,898
Equity contracts 20,71017,91938,629
Commodity and other contracts9,7923,72713,519
Total314,320102,63122,261439,212
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.

Derivative Liability Fair Values
Liabilities
$ in millionsBilateral OTCCleared OTC1Exchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $67$1$$68
Foreign exchange contracts 7257129
Total13958197
Not designated as accounting hedges
Interest rate contracts 161,7581,178144163,080
Credit contracts 6,2732,2728,545
Foreign exchange contracts 54,1919252355,139
Equity contracts 27,99319,99647,989
Commodity and other contracts7,1171,7728,889
Total257,3324,37521,935283,642
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 millionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $77$647$$724
Foreign exchange contracts 152540
Total92672764
Not designated as accounting hedges
Interest rate contracts 183,063103,392397286,852
Credit contracts 11,0242,40113,425
Foreign exchange contracts 74,5759521675,543
Equity contracts 22,53117,98340,514
Commodity and other contracts8,3033,58211,885
Total299,496106,74521,978428,219
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.

Derivative Notionals
Derivative Notionals
At December 31, 2017
Assets
$ in billionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $20$46$$66
Foreign exchange contracts 44
Total244670
Not designated as accounting hedges
Interest rate contracts 3,9996,4582,71413,171
Credit contracts 194100294
Foreign exchange contracts 1,9606792,036
Equity contracts 397334731
Commodity and other contracts8672158
Total6,6366,6253,12916,390
Total gross derivatives$6,660$6,671$3,129$16,460

Liabilities
$ in billionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $2$102$$104
Foreign exchange contracts 426
Total6104110
Not designated as accounting hedges
Interest rate contracts 4,1996,3251,08911,613
Credit contracts 22680306
Foreign exchange contracts 2,01478512,143
Equity contracts 394405799
Commodity and other contracts6861129
Total6,9016,4831,60614,990
Total gross derivatives$6,907$6,587$1,606$15,100

At December 31, 2016
Assets
$ in billionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $30$38$$68
Foreign exchange contracts 66
Total363874
Not designated as accounting hedges
Interest rate contracts 3,5866,2242,58612,396
Credit contracts 333112445
Foreign exchange contracts 1,58052131,645
Equity contracts 338242580
Commodity and other contracts6779146
Total5,9046,3882,92015,212
Total gross derivatives$5,940$6,426$2,920$15,286

Liabilities
$ in billionsBilateral OTCCleared OTCExchange-TradedTotal
Designated as accounting hedges
Interest rate contracts $2$52$$54
Foreign exchange contracts 112
Total35356
Not designated as accounting hedges
Interest rate contracts 3,4626,08789710,446
Credit contracts 35996455
Foreign exchange contracts 1,55748141,619
Equity contracts 321273594
Commodity and other contracts7859137
Total5,7776,2311,24313,251
Total gross derivatives$5,780$6,284$1,243$13,307
Gains (Losses) on Accounting Hedges
Gains (Losses) on Accounting Hedges
$ in millions201720162015
Fair Value Hedges - Recognized in Interest Expense
Derivatives$(1,591)$(1,738)$(700)
Borrowings1,3931,541461
Total$(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)
Trading Revenues by Product Type

Trading Revenues by Product Type

$ in millions201720162015
Interest rate contracts$2,091$1,522$1,249
Foreign exchange contracts6471,156984
Equity security and index contracts16,2915,6905,695
Commodity and other contracts74056793
Credit contracts1,3471,785775
Subtotal$11,116$10,209$9,496
DVA2618
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.
Credit Risk-Related Contingencies

Net Derivative Liabilities and Collateral Posted

AtAt
December 31,December 31,
$ in millions20172016
Net derivative liabilities with credit
risk-related contingent features$20,675$22,939
Collateral posted16,64217,040

Incremental Collateral or Termination Payments upon Potential Future Ratings Downgrade
At
December 31,
$ in millions2017
One-notch downgrade$635
Two-notch downgrade382
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.

Credit Derivatives and Other Credit Contracts
Protection Sold and Purchased with CDSs
At December 31, 2017
Protection SoldProtection Purchased
$ in millionsNotionalFair Value (Asset)/LiabilityNotionalFair Value (Asset)/Liability
Single name $146,948$(1,277)$164,773$1,658
Index and basket 131,073(341)120,348209
Tranched index and basket11,864(342)24,498616
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 SoldProtection Purchased
$ in millionsNotionalFair Value (Asset)/LiabilityNotionalFair Value (Asset)/Liability
Single name $266,918$(753)$269,623$826
Index and basket 130,383374122,061(481)
Tranched index and basket32,429(670)78,5051,900
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/NotionalFair Value
Years to Maturity(Asset)/
$ in millionsLess than 11-33-5Over 5TotalLiability
Single name CDSs
Investment grade$39,721$42,591$18,157$8,872$109,341$(1,167)
Non-investment grade 14,21316,2936,19390837,607(110)
Total single name CDSs53,93458,88424,3509,780146,948(1,277)
Index and basket CDSs
Investment grade 29,04615,41837,3436,80788,614(1,091)
Non-investment grade 5,2467,37132,4179,28954,323408
Total index and basket CDSs34,29222,78969,76016,096142,937(683)
Total CDSs sold $88,226$81,673$94,110$25,876$289,885$(1,960)
Other credit contracts213413616
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/NotionalFair Value
Years to Maturity(Asset)/
$ in millionsLess than 11-33-5Over 5TotalLiability
Single name CDSs
Investment grade$79,449$70,796$34,529$10,293$195,067$(1,060)
Non-investment grade34,57125,82010,4361,02471,851307
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 grade26,13522,98311,7599,86170,738550
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 contracts496215270
Total credit derivatives and other credit contracts$166,734$140,993$91,784$30,489$430,000$(1,049)