v3.21.2
Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 2021
            As of December 2020  
           
$ in millions
  
 
Derivative
Assets
 
 
  
 
Derivative
Liabilities
 
 
  
 
     Derivative
Assets		  
 		     Derivative
Liabilities		  
 
Not accounted for as hedges
 
                            
Exchange-traded
  
 
$
    
     424
 
  
 
$       
    
471
 
         $        665       $        660  
OTC-cleared
  
 
14,991
 
  
 
13,594
 
         18,832       16,809  
Bilateral OTC
  
 
257,863
 
  
 
229,507
 
  
 
     337,998       304,370  
Total interest rates
  
 
273,278
 
  
 
243,572
 
  
 
     357,495       321,839  
OTC-cleared
  
 
5,317
 
  
 
5,745
 
         4,137       4,517  
Bilateral OTC
  
 
12,108
 
  
 
11,159
 
  
 
     12,418       11,551  
Total credit
  
 
17,425
 
  
 
16,904
 
  
 
     16,555       16,068  
Exchange-traded
  
 
592
 
  
 
30
 
         133       22  
OTC-cleared
  
 
329
 
  
 
371
 
         401       631  
Bilateral OTC
  
 
79,205
 
  
 
76,417
 
  
 
     101,830       102,676  
Total currencies
  
 
80,126
 
  
 
76,818
 
  
 
     102,364       103,329  
Exchange-traded
  
 
6,554
 
  
 
6,836
 
         4,476       4,177  
OTC-cleared
  
 
367
 
  
 
313
 
         195       187  
Bilateral OTC
  
 
18,084
 
  
 
18,975
 
  
 
     9,320       13,691  
Total commodities
  
 
25,005
 
  
 
26,124
 
  
 
     13,991       18,055  
Exchange-traded
  
 
34,480
 
  
 
35,011
 
         29,006       31,944  
OTC-cleared
  
 
7
 
  
 
5
 
         –       –  
Bilateral OTC
  
 
43,939
 
  
 
47,550
 
  
 
     47,867       49,072  
Total equities
  
 
78,426
 
  
 
82,566
 
  
 
     76,873       81,016  
Subtotal
  
 
474,260
 
  
 
445,984
 
  
 
     567,278       540,307  
Accounted for as hedges
 
                    
OTC-cleared
  
 
–
 
  
 
–
 
         1       –  
Bilateral OTC
  
 
1,098
 
  
 
–
 
  
 
     1,346       –  
Total interest rates
  
 
1,098
 
  
 
–
 
  
 
     1,347       –  
OTC-cleared
  
 
11
 
  
 
21
 
         –       87  
Bilateral OTC
  
 
110
 
  
 
290
 
  
 
     4       372  
Total currencies
  
 
121
 
  
 
311
 
  
 
     4       459  
Subtotal
  
 
1,219
 
  
 
311
 
  
 
     1,351       459  
Total gross fair value
  
 
$
  
475,479
 
  
 
$
  
446,295
 
  
 
     $ 568,629       $ 540,766  
 
Offset in the consolidated balance sheets
 
                    
Exchange-traded
  
 
$  (36,292
) 
  
 
$  (36,292
) 
         $  (29,549 )      $  (29,549 ) 
OTC-cleared
  
 
(19,452
) 
  
 
(19,452
) 
         (21,315 )      (21,315 ) 
Bilateral OTC
  
 
(291,186
) 
  
 
(291,186
) 
  
 
     (372,142 )      (372,142 ) 
Counterparty netting
  
 
(346,930
) 
  
 
(346,930
) 
  
 
     (423,006 )      (423,006 ) 
OTC-cleared
  
 
(1,321
) 
  
 
(486
) 
         (1,926 )      (720 ) 
Bilateral OTC
  
 
(60,876
) 
  
 
(50,185
) 
  
 
     (74,116 )      (58,449 ) 
Cash collateral netting
  
 
(62,197
) 
  
 
(50,671
) 
  
 
     (76,042 )      (59,169 ) 
Total amounts offset
  
 
$(409,127
) 
  
 
$(397,601
) 
  
 
     $(499,048 )      $(482,175 ) 
 
Included in the consolidated balance sheets
                
Exchange-traded
  
 
$     5,758
 
  
 
$     6,056
 
         $     4,731       $     7,254  
OTC-cleared
  
 
249
 
  
 
111
 
         325       196  
Bilateral OTC
  
 
60,345
 
  
 
42,527
 
  
 
     64,525       51,141  
Total
  
 
$   66,352
 
  
 
$   48,694
 
  
 
     $   69,581       $   58,591  
 
Not offset in the consolidated balance sheets
 
        
Cash collateral
  
 
$       (614
) 
  
 
$    (1,501
) 
         $       (979 )      $    (2,427 ) 
Securities collateral
  
 
(16,249
) 
  
 
(7,510
) 
  
 
     (17,297 )      (9,943 ) 
Total
  
 
$   49,489
 
  
 
$   39,683
 
  
 
     $   51,305       $   46,221  
    Notional Amounts as of  
$ in millions
  
 
June
2021
 
 
     
December
2020
  
 
Not accounted for as hedges
                 
Exchange-traded
  
 
$  3,580,979
 
      $  3,722,558  
OTC-cleared
  
 
16,456,302
 
      13,789,571  
Bilateral OTC
  
 
12,395,407
 
      11,076,460  
Total interest rates
  
 
32,432,688
 
      28,588,589  
Exchange-traded
  
 
43
 
      –  
OTC-cleared
  
 
584,383
 
      515,197  
Bilateral OTC
  
 
565,326
 
      558,813  
Total credit
  
 
1,149,752
 
      1,074,010  
Exchange-traded
  
 
17,881
 
      7,413  
OTC-cleared
  
 
177,166
 
      157,687  
Bilateral OTC
  
 
6,538,109
 
      6,041,663  
Total currencies
  
 
6,733,156
 
      6,206,763  
Exchange-traded
  
 
308,636
 
      242,193  
OTC-cleared
  
 
2,010
 
      2,315  
Bilateral OTC
  
 
224,315
 
      206,253  
Total commodities
  
 
534,961
 
      450,761  
Exchange-traded
  
 
1,204,111
 
      948,937  
OTC-cleared
  
 
179
 
      –  
Bilateral OTC
  
 
1,312,771
 
      1,126,572  
Total equities
  
 
2,517,061
 
      2,075,509  
Subtotal
  
 
43,367,618
 
      38,395,632  
Accounted for as hedges
                 
OTC-cleared
  
 
203,427
 
      182,311  
Bilateral OTC
  
 
5,507
 
      6,641  
Total interest rates
  
 
208,934
 
      188,952  
OTC-cleared
  
 
2,164
 
      1,767  
Bilateral OTC
  
 
18,242
 
      14,055  
Total currencies
  
 
20,406
 
      15,822  
Exchange-traded
  
 
2,086
 
      –  
Total commodities
  
 
2,086
 
      –  
Subtotal
  
 
231,426
 
      204,774  
Total notional amounts
  
 
$43,599,044
 
      $38,600,406  
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 $18.04 billion as of June 2021 and $20.60 billion as of December 2020, and derivative liabilities of $17.49 billion as of June 2021 and $22.98 billion as of December 2020, 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.
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 June 2021
                                
Assets
                                
Interest rates
  
 
$
 
177
 
  
 
$ 273,265
 
  
 
$    
  
934
 
  
 
$ 274,376
 
Credit
  
 
1
 
  
 
14,210
 
  
 
3,214
 
  
 
17,425
 
Currencies
  
 
–
 
  
 
80,033
 
  
 
214
 
  
 
80,247
 
Commodities
  
 
–
 
  
 
24,265
 
  
 
740
 
  
 
25,005
 
Equities
  
 
17
 
  
 
76,931
 
  
 
1,478
 
  
 
78,426
 
Gross fair value
  
 
195
 
  
 
468,704
 
  
 
6,580
 
  
 
475,479
 
Counterparty netting in levels
  
 
–
 
  
 
(344,650
 )  
 
(822
 )  
 
(345,472
) 
Subtotal
  
 
$
 
195
 
  
 
$ 124,054
 
  
 
$
 
 
5,758
 
  
 
$ 130,007
 
Cross-level counterparty netting
                          
 
(1,458
 )
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(62,197
) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$   66,352
 
 
Liabilities
                                
Interest rates
  
 
$  
  
(6
) 
  
 
$(242,940
) 
  
 
$  
 
(626
) 
  
 
$(243,572
) 
Credit
  
 
–
 
  
 
(15,440
) 
  
 
(1,464
) 
  
 
(16,904
) 
Currencies
  
 
–
 
  
 
(76,681
) 
  
 
(448
) 
  
 
(77,129
) 
Commodities
  
 
–
 
  
 
(25,650
) 
  
 
(474
) 
  
 
(26,124
) 
Equities
  
 
(65
) 
  
 
(79,500
) 
  
 
(3,001
) 
  
 
(82,566
) 
Gross fair value
  
 
(71
) 
  
 
(440,211
) 
  
 
(6,013
) 
  
 
(446,295
) 
Counterparty netting in levels
  
 
–
 
  
 
344,650
 
  
 
822
 
  
 
345,472
 
Subtotal
  
 
$
  
(71
) 
  
 
$  (95,561
) 
  
 
$(5,191
 )  
 
$(100,823
) 
Cross-level counterparty netting
                          
 
1,458
 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
50,671
 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  (48,694
) 
 
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		 ) 
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 June 2021
         As of December 2020  
$ in millions, except inputs
  
 
Amount or
Range
 
 
  
 
Average/
Median
 
 
  
    
  
 
Amount or
Range
 
 
  
 
Average/
Median
 
 
Interest rates, net
      
 
$308 
 
                 $267          
Correlation
      
 
22% to 81%
 
  
 
62%/60%
 
         (8)% to 81%       56%/60%  
Volatility (bps)
  
 
  
 
31 to 150 
 
  
 
64/54 
 
  
 
     31 to 150       65/53  
Credit, net
      
 
$1,750 
 
                 $1,778          
Credit spreads (bps)
  
 
2 to 568 
 
  
 
100/78 
 
         2 to 699       109/74  
Upfront credit points
  
 
6 to 100 
 
  
 
44/30 
 
         7 to 90       40/30  
Recovery rates
  
 
  
 
20% to 90%
 
  
 
53%/40%
 
  
 
     25% to 90%       46%/40%  
Currencies, net
      
 
$(234)
 
                 $(338)          
Correlation
      
 
20% to 70%
 
  
 
39%/41%
 
         20% to 70%       39%/41%  
Volatility
  
 
  
 
18% to 19%
 
  
 
18%/18%
 
  
 
     18% to 18%       18%/18%  
Commodities, net
      
 
$266 
 
                 $300          
Volatility
      
 
15% to 75%
 
  
 
32%/31%
 
         15% to 87%       32%/30%  
 
Natural gas spread
      
 
 
 
$(1.59) to 
$3.92 
 
 
 
  
 
$(0.12)/
$(0.07)
 
 
        
$(1.00) to
$2.13
  
 
    
$(0.13)/
$(0.09)
  
 
 
Oil spread
      
 
 
 
$7.62 to 
$12.53 
 
 
 
  
 
$9.55/
$9.13
 
 
        
$8.30 to
$11.20
  
 
    
$9.73/
$9.55
  
 
 
Electricity price
  
 
  
 
 
 
$15.37 to 
$67.44 
 
 
 
  
 
$33.55/
$33.16
 
 
  
 
  
 
 
 
N/A
 
 
  
 
 
 
N/A
 
 
Equities, net
      
 
$(1,523)
 
                 $(832)          
Correlation
      
 
(70)% to 100%
 
  
 
54%/58%
 
         (70)% to 100%       52%/55%  
Volatility
  
 
  
 
3% to 154%
 
  
 
18%/16%
 
  
 
     3% to 129%       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.
 
    Three Months
Ended June		               
Six Months
Ended June
  
$ in millions
  
 
2021
 
      2020    
 
  
 
2021
 
      2020  
Total level 3 derivatives, net
                                      
Beginning balance
  
 
$ 645
 
      $1,660        
 
$1,175
 
      $     25  
Net realized gains/(losses)
  
 
119
 
      70        
 
73
 
      136  
Net unrealized gains/(losses)
  
 
(408
) 
      (76 )       
 
(458
) 
      2,110  
Purchases
  
 
29
 
      157        
 
134
 
      326  
Sales
  
 
(294
) 
      (264 )       
 
(756
) 
      (516 ) 
Settlements
  
 
568
 
      1,557        
 
509
 
      945  
Transfers into level 3
  
 
(260
) 
      (17 )       
 
(181
) 
      (36 ) 
Transfers out of level 3
  
 
168
 
      (27 )   
 
  
 
71
 
      70  
Ending balance
  
 
$ 567
 
      $3,060    
 
  
 
$  
 
567
 
      $3,060  
The table below presents information, by product type, for derivatives included in the summary table above.
 
    Three Months
Ended June		               
Six Months
Ended June
  
$ in millions
  
 
2021
 
     2020    
 
  
 
2021
 
     2020  
Interest rates, net
                                    
Beginning balance
  
 
$
  
  319
 
     $    266        
 
$
  
  267
 
     $      89  
Net realized gains/(losses)
  
 
33
 
     1        
 
56
 
     15  
Net unrealized gains/(losses)
  
 
(42
) 
     (12 )       
 
97
 
     170  
Purchases
  
 
–
 
     19        
 
2
 
     21  
Sales
  
 
(33
) 
     (8 )       
 
(55
) 
     (17 ) 
Settlements
  
 
60
 
     26        
 
6
 
     23  
Transfers into level 3
  
 
(1
) 
     6        
 
2
 
     8  
Transfers out of level 3
  
 
(28
) 
     13    
 
  
 
(67
) 
     2  
Ending balance
  
 
$
  
  308
 
     $    311    
 
  
 
$
  
  308
 
     $    311  
 
Credit, net
                                    
Beginning balance
  
 
$ 1,875
 
     $ 2,518        
 
$ 1,778
 
     $ 1,877  
Net realized gains/(losses)
  
 
5
 
     14        
 
(14
) 
     (1 ) 
Net unrealized gains/(losses)
  
 
18
 
     (152 )       
 
29
 
     366  
Purchases
  
 
10
 
     44        
 
8
 
     75  
Sales
  
 
(26
) 
     (47 )       
 
(28
) 
     (52 ) 
Settlements
  
 
6
 
     101        
 
49
 
     41  
Transfers into level 3
  
 
(82
) 
     (94 )       
 
(36
) 
     10  
Transfers out of level 3
  
 
(56
) 
     (57 )   
 
  
 
(36
) 
     11  
Ending balance
  
 
$ 1,750
 
     $ 2,327    
 
  
 
$ 1,750
 
     $ 2,327  
 
Currencies, net
                                    
Beginning balance
  
 
$
  
 (289
) 
     $      61        
 
$
  
 (338
) 
     $   (211 ) 
Net realized gains/(losses)
  
 
28
 
     6        
 
28
 
     (4 ) 
Net unrealized gains/(losses)
  
 
(169
) 
     (53 )       
 
(90
) 
     17  
Purchases
  
 
1
 
     9        
 
4
 
     9  
Sales
  
 
(30
) 
     (5 )       
 
(36
) 
     (5 ) 
Settlements
  
 
272
 
     (106 )       
 
245
 
     105  
Transfers into level 3
  
 
(57
) 
     (1 )       
 
(70
) 
     (3 ) 
Transfers out of level 3
  
 
10
 
     (5 )   
 
  
 
23
 
     (2 ) 
Ending balance
  
 
$
  
 (234
) 
     $     (94 )   
 
  
 
$
  
 (234
) 
     $     (94 ) 
 
Commodities, net
                                    
Beginning balance
  
 
$
  
  212
 
     $    388        
 
$
  
  300
 
     $    247  
Net realized gains/(losses)
  
 
9
 
     5        
 
(59
) 
     7  
Net unrealized gains/(losses)
  
 
135
 
     49        
 
129
 
     154  
Purchases
  
 
4
 
     2        
 
16
 
     32  
Sales
  
 
(2
) 
     (2 )       
 
(8
) 
     (5 ) 
Settlements
  
 
(67
) 
     (84 )       
 
(84
) 
     (57 ) 
Transfers into level 3
  
 
(3
) 
     (18 )       
 
(17
) 
     (30 ) 
Transfers out of level 3
  
 
(22
) 
     (9 )   
 
  
 
(11
) 
     (17 ) 
Ending balance
  
 
$
  
  266
 
     $    331    
 
  
 
$
  
  266
 
     $    331  
 
Equities, net
                                    
Beginning balance
  
 
$(1,472
) 
     $(1,573 )       
 
$
  
 (832
) 
     $(1,977 ) 
Net realized gains/(losses)
  
 
44
 
     44        
 
62
 
     119  
Net unrealized gains/(losses)
  
 
(350
) 
     92        
 
(623
) 
     1,403  
Purchases
  
 
14
 
     83        
 
104
 
     189  
Sales
  
 
(203
) 
     (202 )       
 
(629
) 
     (437 ) 
Settlements
  
 
297
 
     1,620        
 
293
 
     833  
Transfers into level 3
  
 
(117
) 
     90        
 
(60
) 
     (21 ) 
Transfers out of level 3
  
 
264
 
     31    
 
  
 
162
 
     76  
Ending balance
  
 
$(1,523
) 
     $    185    
 
  
 
$(1,523
) 
     $    185  
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 June 2021
                                
Assets
                                
Interest rates
  
 
$  6,045
 
  
 
$14,080
 
  
 
$62,553
 
  
 
$  82,678
 
Credit
  
 
1,645
 
  
 
2,376
 
  
 
3,046
 
  
 
7,067
 
Currencies
  
 
13,930
 
  
 
6,595
 
  
 
6,832
 
  
 
27,357
 
Commodities
  
 
7,222
 
  
 
4,150
 
  
 
459
 
  
 
11,831
 
Equities
  
 
8,111
 
  
 
11,005
 
  
 
2,833
 
  
 
21,949
 
Counterparty netting in tenors
  
 
(3,767
) 
  
 
(3,367
) 
  
 
(2,613
) 
  
 
(9,747
) 
Subtotal
  
 
$33,186
 
  
 
$34,839
 
  
 
$73,110
 
  
 
$141,135
 
Cross-tenor counterparty netting
                          
 
(18,344
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(62,197
) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  60,594
 
 
Liabilities
                                
Interest rates
  
 
$  4,624
 
  
 
$10,615
 
  
 
$36,588
 
  
 
$  51,827
 
Credit
  
 
1,513
 
  
 
3,262
 
  
 
1,771
 
  
 
6,546
 
Currencies
  
 
14,269
 
  
 
5,522
 
  
 
5,010
 
  
 
24,801
 
Commodities
  
 
5,989
 
  
 
3,426
 
  
 
3,253
 
  
 
12,668
 
Equities
  
 
8,384
 
  
 
13,621
 
  
 
3,553
 
  
 
25,558
 
Counterparty netting in tenors
  
 
(3,767
) 
  
 
(3,367
) 
  
 
(2,613
) 
  
 
(9,747
) 
Subtotal
  
 
$31,012
 
  
 
$33,079
 
  
 
$47,562
 
  
 
$111,653
 
Cross-tenor counterparty netting
                          
 
(18,344
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(50,671
) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  42,638
 
 
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  
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 June 2021
 
                                
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
  
 
$105,146
 
  
 
$  9,126
 
  
 
$1,600
 
  
 
$ 4,052
 
  
 
$119,924
 
1 – 5 years
  
 
355,832
 
  
 
20,831
 
  
 
5,693
 
  
 
2,531
 
  
 
384,887
 
Greater than 5 years
  
 
42,588
 
  
 
5,391
 
  
 
234
 
  
 
67
 
  
 
48,280
 
Total
  
 
$503,566
 
  
 
$35,348
 
  
 
$7,527
 
  
 
$ 6,650
 
  
 
$553,091
 
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
Offsetting
  
 
$439,352
 
  
 
$24,603
 
  
 
$6,772
 
  
 
$ 5,637
 
  
 
$476,364
 
Other
  
 
$107,788
 
  
 
$10,195
 
  
 
$2,859
 
  
 
$   
 
628
 
  
 
$121,470
 
Fair Value of Written Credit Derivatives
 
Asset
  
 
$  11,557
 
  
 
$    
 
966
 
  
 
$  
 
262
 
  
 
$     
 
39
 
  
 
$  12,824
 
Liability
  
 
925
 
  
 
1,161
 
  
 
307
 
  
 
1,825
 
  
 
4,218
 
Net asset/(liability)
  
 
$  10,632
 
  
 
$  
  
(195
) 
  
 
$
  
  (45
) 
  
 
$(1,786
) 
  
 
$    8,606
 
 
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  
Summary of information about CVA and FVA
The table below presents information about CVA and FVA.
 
   
Three Months
Ended June
        
Six Months
Ended June
  
           
$ in millions
  
2021
      2020               
2021
      2020  
CVA, net of hedges
  
 
$45
 
      $(322 )       
 
$(63
) 
      $  (51 ) 
FVA, net of hedges
  
 
25
 
      580    
 
  
 
37
 
      (179 ) 
Total
  
 
$70
 
      $ 258    
 
  
 
$(26
) 
      $(230 ) 
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  
$ in millions
  
June
2021
     
December
2020
  
Fair value of assets
  
 
$  1,061
 
      $  1,450  
Fair value of liabilities
  
 
(1,285
) 
      (1,220 ) 
Net asset/(liability)
  
 
$  
 
 (224
) 
      $     230  
 
Notional amount
  
 
$11,856
 
      $12,548  
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  
     
$ in millions
  
 
June
2021
 
 
    
December
2020
  
 
Net derivative liabilities under bilateral agreements
  
 
$33,896
 
     $43,368  
Collateral posted
  
 
$27,986
 
     $35,296  
Additional collateral or termination payments:
                
One-notch
downgrade
  
 
$    
 
283
 
     $     481  
Two-notch
downgrade
  
 
$  1,074
 
     $  1,388  
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.
 
   
Three Months
Ended June
           
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
     2020    
 
  
 
2021
 
     2020  
Interest rate hedges
  
 
$ 1,475
 
     $   353        
 
$(3,930
) 
     $ 6,939  
Hedged borrowings and deposits
  
 
$(1,559
) 
     $  (564 )       
 
$ 3,626
 
     $(7,243 ) 
Interest expense
  
 
$ 1,310
 
     $2,090    
 
  
 
$ 2,882
 
     $ 5,527  
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 June 2021
                 
Deposits
  
 
$  15,707
 
   
 
$    
 
456
 
Unsecured short-term borrowings
  
 
$    2,474
 
   
 
$      
 
21
 
Unsecured long-term borrowings
  
 
$134,135
 
   
 
$  8,217
 
 
As of December 2020
                 
Deposits
     $  17,303        $    
    
649		  
Unsecured short-term borrowings
     $    5,976        $    
    
  53		  
Unsecured long-term borrowings
     $115,242        $11,624  
The table below presents the gains/(losses) from net investment hedging.
 
   
Three Months
Ended June
           
Six Months
Ended June
  
           
$ in millions
  
 
2021
 
      2020    
 
  
 
2021
 
      2020  
Hedges:
                                      
Foreign currency forward contract
  
 
$(233
) 
      $(114 )       
 
$227
 
      $642  
Foreign currency-denominated debt
  
 
$    (6
) 
      $    (9 )   
 
  
 
$259
 
      $
    
(30		 )