v3.20.4
Derivatives and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Derivatives on a Gross Basis
The tables below present the gross fair value and the notional amounts of derivative contracts by major product type, the amounts of counterparty and cash collateral netting in the consolidated balance sheets, as well as cash and securities collateral posted and received under enforceable credit support agreements that do not meet the criteria for netting under U.S. GAAP.
 
   
As of December 2020
         As of December 2019  
           
$ in millions
  
 
Derivative
Assets
 
 
  
 
Derivative
Liabilities
 
 
            Derivative
Assets		  
 		     Derivative
Liabilities		  
 
Not accounted for as hedges
 
Exchange-traded
  
 
$
 
       665
 
  
 
$
 
       660
 
         $        476       $        856  
OTC-cleared
  
 
18,832
 
  
 
16,809
 
         9,958       8,618  
Bilateral OTC
  
 
337,998
 
  
 
304,370
 
  
 
     266,387       242,046  
Total interest rates
  
 
357,495
 
  
 
321,839
 
  
 
     276,821       251,520  
OTC-cleared
  
 
4,137
 
  
 
4,517
 
         6,551       6,929  
Bilateral OTC
  
 
12,418
 
  
 
11,551
 
  
 
     14,178       13,860  
Total credit
  
 
16,555
 
  
 
16,068
 
  
 
     20,729       20,789  
Exchange-traded
  
 
133
 
  
 
22
 
         35       10  
OTC-cleared
  
 
401
 
  
 
631
 
         411       391  
Bilateral OTC
  
 
101,830
 
  
 
102,676
 
  
 
     79,887       81,613  
Total currencies
  
 
102,364
 
  
 
103,329
 
  
 
     80,333       82,014  
Exchange-traded
  
 
4,476
 
  
 
4,177
 
         2,390       2,272  
OTC-cleared
  
 
195
 
  
 
187
 
         180       243  
Bilateral OTC
  
 
9,320
 
  
 
13,691
 
  
 
     8,568       13,034  
Total commodities
  
 
13,991
 
  
 
18,055
 
  
 
     11,138       15,549  
Exchange-traded
  
 
29,006
 
  
 
31,944
 
         13,499       16,976  
Bilateral OTC
  
 
47,867
 
  
 
49,072
 
  
 
     36,162       39,531  
Total equities
  
 
76,873
 
  
 
81,016
 
  
 
     49,661       56,507  
Subtotal
  
 
567,278
 
  
 
540,307
 
  
 
     438,682       426,379  
Accounted for as hedges
 
OTC-cleared
  
 
1
 
  
 
–
 
         –       –  
Bilateral OTC
  
 
1,346
 
  
 
–
 
  
 
     3,182       1  
Total interest rates
  
 
1,347
 
  
 
–
 
  
 
     3,182       1  
OTC-cleared
  
 
–
 
  
 
87
 
         16       57  
Bilateral OTC
  
 
4
 
  
 
372
 
  
 
     16       153  
Total currencies
  
 
4
 
  
 
459
 
  
 
     32       210  
Subtotal
  
 
1,351
 
  
 
459
 
  
 
     3,214       211  
Total gross fair value
  
 
$ 568,629
 
  
 
$ 540,766
 
  
 
     $ 441,896       $ 426,590  
 
Offset in the consolidated balance sheets
 
Exchange-traded
  
 
$  (29,549
) 
  
 
$  (29,549
) 
         $  (14,159 )      $  (14,159 ) 
OTC-cleared
  
 
(21,315
) 
  
 
(21,315
) 
         (15,565 )      (15,565 ) 
Bilateral OTC
  
 
(372,142
) 
  
 
(372,142
) 
  
 
     (310,920 )      (310,920 ) 
Counterparty netting
  
 
(423,006
) 
  
 
(423,006
) 
  
 
     (340,644 )      (340,644 ) 
OTC-cleared
  
 
(1,926
) 
  
 
(720
) 
         (1,302 )      (526 ) 
Bilateral OTC
  
 
(74,116
) 
  
 
(58,449
) 
  
 
     (54,698 )      (41,618 ) 
Cash collateral netting
  
 
(76,042
) 
  
 
(59,169
) 
  
 
     (56,000 )      (42,144 ) 
Total amounts offset
  
 
$(499,048
) 
  
 
$(482,175
) 
  
 
     $(396,644 )      $(382,788 ) 
Included in the consolidated balance sheets
 
Exchange-traded
  
 
$     4,731
 
  
 
$     7,254
 
         $     2,241       $     5,955  
OTC-cleared
  
 
325
 
  
 
196
 
         249       147  
Bilateral OTC
  
 
64,525
 
  
 
51,141
 
  
 
     42,762       37,700  
Total
  
 
$   69,581
 
  
 
$   58,591
 
  
 
     $   45,252       $   43,802  
 
Not offset in the consolidated balance sheets
 
Cash collateral
  
 
$
  
     (979
) 
  
 
$    (2,427
) 
         $       (604 )      $    (1,603 ) 
Securities collateral
  
 
(17,297
) 
  
 
(9,943
) 
  
 
     (14,196 )      (9,252 ) 
Total
  
 
$   51,305
 
  
 
$   46,221
 
  
 
     $   30,452       $   32,947  
    Notional Amounts as of December  
     
$ in millions
  
 
2020
 
        2019  
Not accounted for as hedges
                   
Exchange-traded
  
 
$  3,722,558
 
        $  4,757,300  
OTC-cleared
  
 
13,789,571
 
        13,440,376  
Bilateral OTC
  
 
11,076,460
 
        11,668,171  
Total interest rates
  
 
28,588,589
 
        29,865,847  
OTC-cleared
  
 
515,197
 
        396,342  
Bilateral OTC
  
 
558,813
 
        707,935  
Total credit
  
 
1,074,010
 
        1,104,277  
Exchange-traded
  
 
7,413
 
        4,566  
OTC-cleared
  
 
157,687
 
        134,060  
Bilateral OTC
  
 
6,041,663
 
        5,926,602  
Total currencies
  
 
6,206,763
 
        6,065,228  
Exchange-traded
  
 
242,193
 
        230,018  
OTC-cleared
  
 
2,315
 
        2,639  
Bilateral OTC
  
 
206,253
 
        243,228  
Total commodities
  
 
450,761
 
        475,885  
Exchange-traded
  
 
948,937
 
        910,099  
Bilateral OTC
  
 
1,126,572
 
        1,182,335  
Total equities
  
 
2,075,509
 
        2,092,434  
Subtotal
  
 
38,395,632
 
        39,603,671  
Accounted for as hedges
                   
OTC-cleared
  
 
182,311
 
        123,531  
Bilateral OTC
  
 
6,641
 
        9,714  
Total interest rates
  
 
188,952
 
        133,245  
OTC-cleared
  
 
1,767
 
        4,152  
Bilateral OTC
  
 
14,055
 
        9,247  
Total currencies
  
 
15,822
 
        13,399  
Subtotal
  
 
204,774
 
        146,644  
Total notional amounts
  
 
$38,600,406
 
        $39,750,315  
In the tables above:
 
•  
Gross fair values exclude the effects of both counterparty netting and collateral, and therefore are not representative of the firm’s exposure.
 
•  
Where the firm has received or posted collateral under credit support agreements, but has not yet determined such agreements are enforceable, the related collateral has not been netted.
 
•  
Notional amounts, which represent the sum of gross long and short derivative contracts, provide an indication of the volume of the firm’s derivative activity and do not represent anticipated losses.
 
•  
Total gross fair value of derivatives included derivative assets of $20.60 billion as of December 2020 and $9.15 billion as of December 2019, and derivative liabilities of $22.98 billion as of December 2020 and $14.88 billion as of December 2019, which are not subject to an enforceable netting agreement or are subject to a netting agreement that the firm has not yet determined to be enforceable.
 
•  
During the first quarter of 2020, consistent with the rules of a clearing organization, the firm elected to consider its transactions with that clearing organization as settled each day. The impact of this change would have been a reduction in gross credit derivative assets of $3.97 billion and liabilities of $4.15 billion as of December 2019, and a corresponding decrease in counterparty and cash collateral netting, with no impact to the consolidated balance sheets.
Fair Value of Derivatives by Level
The table below presents derivatives on a gross basis by level and product type, as well as the impact of netting.
 
$ in millions
     Level 1       Level 2       Level 3       Total  
As of December 2020
                                
Assets
                                
Interest rates
  
 
$ 297
 
  
 
$ 357,568
 
  
 
$  
  
977
 
  
 
$ 358,842
 
Credit
  
 
–
 
  
 
13,104
 
  
 
3,451
 
  
 
16,555
 
Currencies
  
 
–
 
  
 
102,221
 
  
 
147
 
  
 
102,368
 
Commodities
  
 
–
 
  
 
13,285
 
  
 
706
 
  
 
13,991
 
Equities
  
 
75
 
  
 
75,054
 
  
 
1,744
 
  
 
76,873
 
Gross fair value
  
 
372
 
  
 
561,232
 
  
 
7,025
 
  
 
568,629
 
Counterparty netting in levels
  
 
(135
) 
  
 
(420,685
) 
  
 
(1,058
) 
  
 
(421,878
) 
Subtotal
  
 
$ 237
 
  
 
$ 140,547
 
  
 
$
 
 5,967
 
  
 
$ 146,751
 
Cross-level counterparty netting
                          
 
(1,128
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(76,042
) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$   69,581
 
Liabilities
                                
Interest rates
  
 
$(229
) 
  
 
$(320,900
) 
  
 
$   (710
) 
  
 
$(321,839
) 
Credit
  
 
–
 
  
 
(14,395
) 
  
 
(1,673
) 
  
 
(16,068
) 
Currencies
  
 
–
 
  
 
(103,303
) 
  
 
(485
) 
  
 
(103,788
) 
Commodities
  
 
–
 
  
 
(17,649
) 
  
 
(406
) 
  
 
(18,055
) 
Equities
  
 
(318
) 
  
 
(78,122
) 
  
 
(2,576
) 
  
 
(81,016
) 
Gross fair value
  
 
(547
) 
  
 
(534,369
) 
  
 
(5,850
) 
  
 
(540,766
) 
Counterparty netting in levels
  
 
135
 
  
 
420,685
 
  
 
1,058
 
  
 
421,878
 
Subtotal
  
 
$(412
) 
  
 
$(113,684
) 
  
 
$(4,792
) 
  
 
$(118,888
) 
Cross-level counterparty netting
                          
 
1,128
 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
59,169
 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  (58,591
) 
 
As of December 2019
                                
Assets
                                
Interest rates
     $
     
3		       $
 
279,443		       $
  
   557		       $
  
280,003		  
Credit
     –       17,204       3,525       20,729  
Currencies
     –       80,178       187       80,365  
Commodities
     –       10,648       490       11,138  
Equities
     21       48,953       687       49,661  
Gross fair value
     24       436,426       5,446       441,896  
Counterparty netting in levels
     –       (340,325 )      (792 )      (341,117 ) 
Subtotal
     $
   
24		       $
  
  96,101		       $
  
4,654		       $
  
100,779		  
Cross-level counterparty netting
                             473  
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (56,000 ) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
     $
  
  45,252		  
Liabilities
                                
Interest rates
     $
 
    (3		 )      $
 
(251,050		 )      $
  
  (468		 )      $
 
(251,521		 ) 
Credit
     –       (19,141 )      (1,648 )      (20,789 ) 
Currencies
     –       (81,826 )      (398 )      (82,224 ) 
Commodities
     –       (15,306 )      (243 )      (15,549 ) 
Equities
     (26 )      (53,817 )      (2,664 )      (56,507 ) 
Gross fair value
     (29 )      (421,140 )      (5,421 )      (426,590 ) 
Counterparty netting in levels
     –       340,325       792       341,117  
Subtotal
     $
 
  (29		 )      $
 
  (80,815		 )      $
 
(4,629		 )      $
 
  (85,473		 ) 
Cross-level counterparty netting
                             (473 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     42,144  
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
     $
 
  (43,802		 ) 
Fair Value, Derivatives, Measurement Inputs, Disclosure
The table below presents the amount of level 3 derivative assets (liabilities), and ranges, averages and medians of significant unobservable inputs used to value level 3 derivatives.
 
       
As of December 2020
         As of December 2019  
           
$ in millions, except inputs
  
 
Amount or
Range
 
 
  
 
Average/
Median
 
 
  
  
    
Amount or
Range
  
 
    
Average/
Median
  
 
Interest rates, net
  
$267 
 
                 $89           
Correlation
  
(8)% to 81%
    
 
56%/60%
 
         (42)% to 81%       52%/60%  
Volatility (bps)
  
31 to 150
 
  
 
65/53
 
  
 
     31 to 150        70/61   
Credit, net
  
$1,778 
 
                 $1,877           
Credit spreads (bps)
  
2 to 699
 
  
 
109/74
 
         1 to 559        96/53   
Upfront credit points
  
7 to 90
 
  
 
40/30
 
         2 to 90        38/32   
Recovery rates
  
25% to 90%
 
  
 
46%/40%
 
  
 
     10% to 60%       31%/25%  
Currencies, net
  
$(338)
 
                 $(211)          
Correlation
  
20% to 70%
 
  
 
39%/41%
 
         20% to 70%       37%/36%  
Volatility
  
18% to 18%
 
  
 
18%/18%
 
  
 
     N/A       N/A  
Commodities, net
  
$300 
 
                 $247           
Volatility
  
15% to 87%
 
  
 
32%/30%
 
         9% to 57%       26%/25%  
Natural gas spread
  
 
$(1.00) to 
$2.13 
 
  
 
 
 
$(0.13)/
$(0.09)
 
 
 
      
 
 
 
$(1.93) to 
$1.69 
 
 
 
  
 
 
 
$(0.16)/
$(0.17)
 
 
 
Oil spread
  
 
$8.30 to 
$11.20 
 
 
 
  
 
 
 
$9.73/
$9.55
 
 
 
  
 
  
 
 
 
$(4.86) to 
$19.77 
 
 
 
  
 
 
 
$9.82/
$11.15
 
 
 
Equities, net
  
$(832)
 
                 $(1,977)          
Correlation
  
(70)% to 100%
 
  
 
52%/55%
 
         (70)% to 99%       42%/45%  
Volatility
  
3% to 129%
 
  
 
14%/7%
 
  
 
     2% to 72%       14%/7%  
Fair Value of Derivatives, Level 3 Rollforward
The table below presents a summary of the changes in fair value for level 3 derivatives.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
        2019  
Total level 3 derivatives, net
                   
Beginning balance
  
 
$
  
   25
 
        $ 590  
Net realized gains/(losses)
  
 
226
 
        118  
Net unrealized gains/(losses)
  
 
612
 
        (454 ) 
Purchases
  
 
319
 
        444  
Sales
  
 
(724
) 
        (668 ) 
Settlements
  
 
750
 
        236  
Transfers into level 3
  
 
(40
) 
        7  
Transfers out of level 3
  
 
7
 
        (248 ) 
Ending balance
  
 
$1,175
 
        $   25  
The table below presents information, by product type, for derivatives included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2020
 
      2019  
Interest rates, net
                 
Beginning balance
  
 
$
 
     89
 
      $   (109 ) 
Net realized gains/(losses)
  
 
12
 
      (24 ) 
Net unrealized gains/(losses)
  
 
226
 
      199  
Purchases
  
 
12
 
      8  
Sales
  
 
(28
) 
      (13 ) 
Settlements
  
 
(34
) 
      40  
Transfers into level 3
  
 
(13
) 
      –  
Transfers out of level 3
  
 
3
 
      (12 ) 
Ending balance
  
 
$   
 
267
 
      $      89  
 
Credit, net
     
Beginning balance
  
 
$ 1,877
 
      $ 1,672  
Net realized gains/(losses)
  
 
28
 
      42  
Net unrealized gains/(losses)
  
 
110
 
      273  
Purchases
  
 
39
 
      146  
Sales
  
 
(50
) 
      (114 ) 
Settlements
  
 
(229
) 
      (251 ) 
Transfers into level 3
  
 
47
 
      108  
Transfers out of level 3
  
 
(44
) 
      1  
Ending balance
  
 
$ 1,778
 
      $ 1,877  
 
Currencies, net
     
Beginning balance
  
 
$  
 
(211
) 
      $    461  
Net realized gains/(losses)
  
 
(8
) 
      (32 ) 
Net unrealized gains/(losses)
  
 
(210
) 
      (327 ) 
Purchases
  
 
1
 
      11  
Sales
  
 
(20
) 
      (1 ) 
Settlements
  
 
117
 
      (306 ) 
Transfers into level 3
  
 
(2
) 
      (14 ) 
Transfers out of level 3
  
 
(5
) 
      (3 ) 
Ending balance
  
 
$  
 
(338
) 
      $   (211 ) 
 
Commodities, net
     
Beginning balance
  
 
$   
 
247
 
      $    112  
Net realized gains/(losses)
  
 
(12
) 
      (34 ) 
Net unrealized gains/(losses)
  
 
159
 
      219  
Purchases
  
 
37
 
      25  
Sales
  
 
(22
) 
      (81 ) 
Settlements
  
 
(60
) 
      (6 ) 
Transfers into level 3
  
 
(27
) 
      8  
Transfers out of level 3
  
 
(22
) 
      4  
Ending balance
  
 
$   
 
300
 
      $    247  
 
Equities, net
     
Beginning balance
  
 
$(1,977
) 
      $(1,546 ) 
Net realized gains/(losses)
  
 
206
 
      166  
Net unrealized gains/(losses)
  
 
327
 
      (818 ) 
Purchases
  
 
230
 
      254  
Sales
  
 
(604
) 
      (459 ) 
Settlements
  
 
956
 
      759  
Transfers into level 3
  
 
(45
) 
      (95 ) 
Transfers out of level 3
  
 
75
 
      (238 ) 
Ending balance
  
 
$  
 
(832
) 
      $(1,977 ) 
OTC Derivatives by Product Type and Tenor
The table below presents OTC derivative assets and liabilities by tenor and major product type.
 
$ in millions
     Less than
1 Year		  
 		     1 - 5
Years		  
 		     Greater than
5 Years		  
 		     Total  
As of December 2020
                                
Assets
                                
Interest rates
  
 
$  8,913
 
  
 
$20,145
 
  
 
$74,893
 
  
 
$103,951
 
Credit
  
 
822
 
  
 
3,270
 
  
 
3,302
 
  
 
7,394
 
Currencies
  
 
13,887
 
  
 
7,400
 
  
 
9,303
 
  
 
30,590
 
Commodities
  
 
2,998
 
  
 
1,466
 
  
 
488
 
  
 
4,952
 
Equities
  
 
12,182
 
  
 
12,590
 
  
 
1,807
 
  
 
26,579
 
Counterparty netting in tenors
  
 
(3,963
) 
  
 
(4,458
) 
  
 
(3,182
) 
  
 
(11,603
) 
Subtotal
  
 
$34,839
 
  
 
$40,413
 
  
 
$86,611
 
  
 
$161,863
 
Cross-tenor counterparty netting
                          
 
(20,971
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(76,042
) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  64,850
 
 
Liabilities
        
Interest rates
  
 
$  5,687
 
  
 
$11,967
 
  
 
$49,301
 
  
 
$  66,955
 
Credit
  
 
1,268
 
  
 
3,462
 
  
 
2,177
 
  
 
6,907
 
Currencies
  
 
18,770
 
  
 
7,575
 
  
 
5,775
 
  
 
32,120
 
Commodities
  
 
3,455
 
  
 
1,545
 
  
 
4,315
 
  
 
9,315
 
Equities
  
 
9,702
 
  
 
14,095
 
  
 
3,986
 
  
 
27,783
 
Counterparty netting in tenors
  
 
(3,963
) 
  
 
(4,458
) 
  
 
(3,182
) 
  
 
(11,603
) 
Subtotal
  
 
$34,919
 
  
 
$34,186
 
  
 
$62,372
 
  
 
$131,477
 
Cross-tenor counterparty netting
                          
 
(20,971
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(59,169
) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  51,337
 
 
As of December 2019
        
Assets
                                
Interest rates
     $  5,521       $15,183       $57,394       $  78,098  
Credit
     678       3,259       3,183       7,120  
Currencies
     10,236       5,063       6,245       21,544  
Commodities
     2,507       1,212       302       4,021  
Equities
     7,332       4,509       1,294       13,135  
Counterparty netting in tenors
     (3,263 )      (3,673 )      (2,332 )      (9,268 ) 
Subtotal
     $23,011       $25,553       $66,086       $114,650  
Cross-tenor counterparty netting
 
                     (15,639 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (56,000 ) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
     $  43,011  
 
Liabilities
        
Interest rates
     $  3,654       $  9,113       $36,470       $  49,237  
Credit
     1,368       4,052       1,760       7,180  
Currencies
     12,486       6,906       4,036       23,428  
Commodities
     2,796       1,950       3,804       8,550  
Equities
     5,755       7,381       3,367       16,503  
Counterparty netting in tenors
     (3,263 )      (3,673 )      (2,332 )      (9,268 ) 
Subtotal
     $22,796       $25,729       $47,105       $  95,630  
Cross-tenor counterparty netting
 
                     (15,639 ) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
     (42,144 ) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
     $  37,847  
Credit Derivatives
The table below presents information about credit derivatives.
 
    Credit Spread on Underlier (basis points)  
           
$ in millions
     0 - 250       251 -
500		  
 		     501 -
1,000		  
 		    
 		 Greater
than
1,000		  
 
 		     Total  
As of December 2020
 
                                
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
  
 
$  96,049
 
  
 
$  5,826
 
  
 
$  
 
450
 
  
 
$  2,403
 
  
 
$104,728
 
1 – 5 years
  
 
331,145
 
  
 
17,913
 
  
 
8,801
 
  
 
4,932
 
  
 
362,791
 
Greater than 5 years
  
 
44,132
 
  
 
3,839
 
  
 
272
 
  
 
88
 
  
 
48,331
 
Total
  
 
$471,326
 
  
 
$27,578
 
  
 
$9,523
 
  
 
$  7,423
 
  
 
$515,850
 
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
Offsetting
  
 
$407,315
 
  
 
$19,822
 
  
 
$8,679
 
  
 
$  7,091
 
  
 
$442,907
 
Other
  
 
$103,604
 
  
 
$  7,272
 
  
 
$3,619
 
  
 
$
  
   776
 
  
 
$115,271
 
Fair Value of Written Credit Derivatives
 
Asset
  
 
$  10,302
 
  
 
$
 
    638
 
  
 
$  
 
256
 
  
 
$
  
   118
 
  
 
$  11,314
 
Liability
  
 
1,112
 
  
 
1,119
 
  
 
387
 
  
 
2,001
 
  
 
4,619
 
Net asset/(liability)
  
 
$    9,190
 
  
 
$
  
  (481
) 
  
 
$
  
(131
) 
  
 
$
 
(1,883
) 
  
 
$    6,695
 
 
As of December 2019
 
        
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
     $143,566       $  7,155       $   759       $  2,953       $154,433  
1 – 5 years
     292,444       10,125       5,482       8,735       316,786  
Greater than 5 years
     48,109       2,260       427       554       51,350  
Total
     $484,119       $19,540       $6,668       $12,242       $522,569  
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
Offsetting
     $395,127       $14,492       $5,938       $10,543       $426,100  
Other
     $149,092       $  2,617       $1,599       $  2,354       $155,662  
Fair Value of Written Credit Derivatives
 
Asset
     $  13,103       $     446       $   160       $     202       $  13,911  
Liability
     1,239       448       372       3,490       5,549  
Net asset/(liability)
     $  11,864       $        (2 )      $  (212 )      $
 
(3,288		 )      $    8,362  
Summary of information about CVA and FVA
The table below presents information about CVA and FVA.
 
    Year Ended December  
       
$ in millions
  
 
2020
 
      2019        2018  
CVA, net of hedges
  
 
$(143
) 
      $(289 )       $ 371  
FVA, net of hedges
  
 
173
 
      485        (194 ) 
Total
  
 
$   30
 
      $ 196        $ 177  
Bifurcated Embedded Derivatives
The table below presents the fair value and the notional amount of derivatives that have been bifurcated from their related borrowings.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Fair value of assets
  
 
$  1,450
 
      $  1,148  
Fair value of liabilities
  
 
(1,220
) 
      (1,717 ) 
Net asset/(liability)
  
 
$    
 
230
 
      $    (569 ) 
 
Notional amount
  
 
$12,548
 
      $11,003  
Derivatives with Credit-Related Contingent Features
The table below presents information about net derivative liabilities under bilateral agreements (excluding collateral posted), the fair value of collateral posted and additional collateral or termination payments that could have been called by counterparties in the event of a
one-
or
two-notch
downgrade in the firm’s credit ratings.
 
    As of December  
     
$ in millions
  
 
2020
 
      2019  
Net derivative liabilities under bilateral agreements
  
 
$43,368
 
      $32,800  
Collateral posted
  
 
$35,296
 
      $28,510  
Additional collateral or termination payments:
                 
One-notch
downgrade
  
 
$    
 
481
 
      $     358  
Two-notch
downgrade
  
 
$  1,388
 
      $  1,268  
Gain (Loss) from Interest Rate Hedges and Related Hedged Borrowings and Deposits
The table below presents the gains/(losses) from interest rate derivatives accounted for as hedges and the related hedged borrowings and deposits, and total interest expense.
 
    Year Ended December  
       
$ in millions
  
 
2020
 
      2019        2018  
Interest rate hedges
  
 
$ 3,862
 
      $  3,196        $ (1,854 ) 
Hedged borrowings and deposits
  
 
$(4,557
) 
      $ (3,657 )       $  1,295  
Interest expense
  
 
$ 8,938
 
      $17,376        $15,912  
Summary of Carrying Amount of Hedged Items
The table below presents the carrying value of deposits and unsecured borrowings that are designated in a hedging relationship and the related cumulative hedging adjustment (increase/(decrease)) from current and prior hedging relationships included in such carrying values.
 
$ in millions
     Carrying
Value		  
 		     
 		 Cumulative
Hedging
Adjustment		  
 
 
As of December 2020
                 
Deposits
  
 
$  17,303
 
   
 
$    
 
649
 
Unsecured short-term borrowings
  
 
$    5,976
 
   
 
$    
 
  53
 
Unsecured long-term borrowings
  
 
$115,242
 
   
 
$11,624
 
 
As of December 2019
                 
Deposits
     $  19,634        $     200  
Unsecured short-term borrowings
     $    6,008        $       28  
Unsecured long-term borrowings
     $  87,874        $  7,292  
The table below presents the gains/(losses) from net investment hedging.
 
    Year Ended December  
       
$ in millions
  
 
2020
 
      2019        2018  
Hedges:
                          
Foreign currency forward contract
  
 
$(126
) 
      $   6        $577  
Foreign currency-denominated debt
  
 
$(297
) 
      $(19 )       $ (50 )