v3.21.2
Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 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 s
e
curities collateral posted and received under enforceable credit support agreements that do not meet the criteria for netting under U.S. GAAP.
 
As of September 2021
 
 
    
 
As of December 2020
 
           
$ in millions
 
 
Derivative
Assets
 
 
 
 
Derivative
Liabilities
 
 
 
 
 
 
Derivative
Assets
 
 
 
 
Derivative
Liabilities
 
 
Not accounted for as hedges
 
 
      
 
  
 
      
 
      
       
Exchange-traded
  
 
$       
 
295
 
  
 
$       
 
460
 
         $        665       $        660  
OTC-cleared
  
 
14,960
 
  
 
13,847
 
         18,832       16,809  
Bilateral OTC
  
 
239,708
 
  
 
213,612
 
  
 
     337,998       304,370  
Total interest rates
  
 
254,963
 
  
 
227,919
 
  
 
     357,495       321,839  
OTC-cleared
  
 
4,789
 
  
 
5,200
 
         4,137       4,517  
Bilateral OTC
  
 
12,287
 
  
 
11,180
 
  
 
     12,418       11,551  
Total credit
  
 
17,076
 
  
 
16,380
 
  
 
     16,555       16,068  
Exchange-traded
  
 
208
 
  
 
18
 
         133       22  
OTC-cleared
  
 
446
 
  
 
325
 
         401       631  
Bilateral OTC
  
 
77,690
 
  
 
74,705
 
  
 
     101,830       102,676  
Total currencies
  
 
78,344
 
  
 
75,048
 
  
 
     102,364       103,329  
Exchange-traded
  
 
10,803
 
  
 
11,538
 
         4,476       4,177  
OTC-cleared
  
 
489
 
  
 
456
 
         195       187  
Bilateral OTC
  
 
36,707
 
  
 
30,745
 
  
 
     9,320       13,691  
Total commodities
  
 
47,999
 
  
 
42,739
 
  
 
     13,991       18,055  
Exchange-traded
  
 
42,055
 
  
 
41,626
 
         29,006       31,944  
OTC-cleared
  
 
8
 
  
 
7
 
         –       –  
Bilateral OTC
  
 
41,624
 
  
 
49,790
 
  
 
     47,867       49,072  
Total equities
  
 
83,687
 
  
 
91,423
 
  
 
     76,873       81,016  
Subtotal
  
 
482,069
 
  
 
453,509
 
  
 
     567,278       540,307  
Accounted for as hedges
 
                    
OTC-cleared
  
 
5
 
  
 
–
 
         1       –  
Bilateral OTC
  
 
1,000
 
  
 
–
 
  
 
     1,346       –  
Total interest rates
  
 
1,005
 
  
 
–
 
  
 
     1,347       –  
OTC-cleared
  
 
66
 
  
 
17
 
         –       87  
Bilateral OTC
  
 
195
 
  
 
122
 
  
 
     4       372  
Total currencies
  
 
261
 
  
 
139
 
  
 
     4       459  
Subtotal
  
 
1,266
 
  
 
139
 
  
 
     1,351       459  
Total gross fair value
  
 
$ 483,335
 
  
 
$ 453,648
 
  
 
     $ 568,629       $ 540,766  
 
Offset in the consolidated balance sheets
 
 
                    
Exchange-traded
  
 
$  (46,978
) 
  
 
$  (46,978
) 
         $  (29,549 )      $  (29,549 ) 
OTC-cleared
  
 
(19,180
) 
  
 
(19,180
) 
         (21,315 )      (21,315 ) 
Bilateral OTC
  
 
(281,429
) 
  
 
(281,429
) 
  
 
     (372,142 )      (372,142 ) 
Counterparty netting
  
 
(347,587
) 
  
 
(347,587
) 
  
 
     (423,006 )      (423,006 ) 
OTC-cleared
  
 
(1,151
) 
  
 
(430
) 
         (1,926 )      (720 ) 
Bilateral OTC
  
 
(63,014
) 
  
 
(52,125
) 
  
 
     (74,116 )      (58,449 ) 
Cash collateral netting
  
 
(64,165
) 
  
 
(52,555
) 
  
 
     (76,042 )      (59,169 ) 
Total amounts offset
  
 
$(411,752
) 
  
 
$(400,142
) 
  
 
     $(499,048 )      $(482,175 ) 
 
Included in the consolidated balance sheets
                
Exchange-traded
  
 
$     6,383
 
  
 
$     6,664
 
         $     4,731       $     7,254  
OTC-cleared
  
 
432
 
  
 
242
 
         325       196  
Bilateral OTC
  
 
64,768
 
  
 
46,600
 
  
 
     64,525       51,141  
Total
  
 
$   71,583
 
  
 
$   53,506
 
  
 
     $   69,581       $   58,591  
 
Not offset in the consolidated balance sheets
 
 
        
Cash collateral
  
 
$    (1,092
) 
  
 
$    (1,857
) 
         $       (979 )      $    (2,427 ) 
Securities collateral
  
 
(15,932
) 
  
 
(7,606
) 
  
 
     (17,297 )      (9,943 ) 
Total
  
 
$   54,559
 
  
 
$   44,043
 
  
 
     $   51,305       $   46,221  
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 September 2021
                                
Assets
                                
Interest rates
  
 
$
    
96
 
  
 
$ 254,940
 
  
 
$
    
   932
 
  
 
$
    
255,968
 
Credit
  
 
–
 
  
 
13,868
 
  
 
3,208
 
  
 
17,076
 
Currencies
  
 
–
 
  
 
78,350
 
  
 
255
 
  
 
78,605
 
Commodities
  
 
–
 
  
 
46,708
 
  
 
1,291
 
  
 
47,999
 
Equities
  
 
90
 
  
 
82,363
 
  
 
1,234
 
  
 
83,687
 
Gross fair value
  
 
186
 
  
 
476,229
 
  
 
6,920
 
  
 
483,335
 
Counterparty netting in levels
  
 
–
 
  
 
(344,083
) 
  
 
(877
) 
  
 
(344,960
) 
Subtotal
  
 
$
    
186
 
  
 
$ 132,146
 
  
 
$ 6,043
 
  
 
$
    
138,375
 
Cross-level counterparty netting
                          
 
(2,627
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(64,165
) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$
    
  
71,583
 
 
Liabilities
                                
Interest rates
  
 
$
    
  (3
) 
  
 
$(227,231
) 
  
 
$
    
  (685
) 
  
 
$(227,919
) 
Credit
  
 
–
 
  
 
(14,891
) 
  
 
(1,489
) 
  
 
(16,380
) 
Currencies
  
 
–
 
  
 
(74,813
) 
  
 
(374
) 
  
 
(75,187
) 
Commodities
  
 
–
 
  
 
(41,961
) 
  
 
(778
) 
  
 
(42,739
) 
Equities
  
 
(82
) 
  
 
(88,396
) 
  
 
(2,945
) 
  
 
(91,423
) 
Gross fair value
  
 
(85
) 
  
 
(447,292
) 
  
 
(6,271
) 
  
 
(453,648
) 
Counterparty netting in levels
  
 
–
 
  
 
344,083
 
  
 
877
 
  
 
344,960
 
Subtotal
  
 
$
    
(85
) 
  
 
$(103,209
) 
  
 
$(5,394
) 
  
 
$(108,688
)
 
Cross-level counterparty netting
                          
 
2,627
 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
52,555
 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  (53,506
) 
 
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 September 2021
         As of December 2020  
           
$ in millions, except inputs
  
 
 
Amount or
Range
 
 
  
 
 
Average/
Median
 
 
  
    
 
  
 
 
Amount or
Range
 
 
  
 
 
Average/
Median
 
 
Interest rates, net
  
 
$247
 
                 $267          
Correlation
  
 
25% to 81%
 
  
 
63%/62%
 
         (8)% to 81%       56%/60%  
Volatility (bps)
  
 
31 to 150
 
  
 
65/54
 
  
 
     31 to 150       65/53  
Credit, net
  
 
$1,719
 
                 $1,778          
Credit spreads (bps)
  
 
1 to 576
 
  
 
113/87
 
         2 to 699       109/74  
Upfront credit points
  
 
2 to 100
 
  
 
40/30
 
         7 to 90       40/30  
Recovery rates
  
 
20% to 90%
 
  
 
47%/40%
 
  
 
     25% to 90%       46%/40%  
Currencies, net
  
 
$(119)
 
                 $(338)          
Correlation
  
 
20% to 70%
 
  
 
39%/41%
 
         20% to 70%       39%/41%  
Volatility
  
 
20% to 20%
 
  
 
20%/20%
 
  
 
     18% to 18%       18%/18%  
Commodities, net
  
 
$513
 
                 $300          
Volatility
  
 
15% to 152%
 
  
 
37%/33%
 
         15% to 87%       32%/30%  
 
Natural gas spread
  
 
 
 
 
$(1.39) to
$4.36
 
 
 
  
 
 
 
 
$(0.07)/
$(0.03)
 
 
 
      
 
 
 
 
$(1.00) to
$2.13
 
 
 
  
 
 
 
 
$(0.13)/
$(0.09)
 
 
 
 
Oil spread
  
 
 
 
 
$(0.93) to
$(0.74)
 
 
 
  
 
 
 
 
$(0.84)/
$(0.84)
 
 
 
      
 
 
 
 
$8.30 to
$11.20
 
 
 
  
 
 
 
 
$9.73/
$9.55
 
 
 
 
Electricity price
  
 
 
 
 
$9.95 to
$55.76
 
 
 
  
 
 
 
 
$34.19/
$35.69
 
 
 
  
 
  
 
 
 
N/A
 
 
  
 
 
 
N/A
 
 
Equities, net
  
 
$(1,711)
 
                 $(832)          
Correlation
  
 
(70)% to 99%
 
  
 
62%/71%
 
         (70)% to 100%       52%/55%  
Volatility
  
 
4% to 153%
 
  
 
18%/19%
 
  
 
     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 September
          
Nine Months
Ended September
  
           
$ in millions
  
 
2021
 
      2020                   
 
2021
 
      2020  
Total level 3 derivatives, net
                                          
Beginning balance
  
 
$ 567
 
      $3,060            
 
$ 1,175
 
      $     25  
Net realized gains/(losses)
  
 
(33
) 
      (8 )           
 
73
 
      142  
Net unrealized gains/(losses)
  
 
453
 
      (315 )           
 
34
 
      1,465  
Purchases
  
 
92
 
      93            
 
439
 
      345  
Sales
  
 
(366
) 
      (288 )           
 
(1,058
) 
      181  
Settlements
  
 
(264
) 
      (189 )           
 
99
 
      182  
Transfers into level 3
  
 
(112
) 
      –            
 
(79
) 
      (74 ) 
Transfers out of level 3
  
 
312
 
      (199 )   
 
 
 
  
 
(34
) 
      (112 ) 
Ending balance
  
 
$ 649
 
      $2,154    
 
 
 
  
 
$   
    
649
 
      $2,154  
The table below presents information, by product type, for derivatives included in the summary table above.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       
   
Three Months
Ended September
          
Nine Months
Ended September
  
           
$ in millions
  
 
2021
 
     2020                   
 
2021
 
     2020  
Interest rates, net
                                        
Beginning balance
  
 
$   
    
308
 
     $   311            
 
$   
    
267
 
     $      89  
Net realized gains/(losses)
  
 
(60
) 
     3            
 
(11
) 
     12  
Net unrealized gains/(losses)
  
 
(56
) 
     54            
 
38
 
     201  
Purchases
  
 
–
 
     11            
 
67
 
     18  
Sales
  
 
(24
) 
     1            
 
(72
) 
     (15 ) 
Settlements
  
 
101
 
     (59 )           
 
23
 
     (40 ) 
Transfers into level 3
  
 
(20
) 
     (53 )           
 
(1
) 
     (14 ) 
Transfers out of level 3
  
 
(2
) 
     (13 )   
 
 
 
  
 
(64
) 
     4  
Ending balance
  
 
$   
    
247
 
     $   255    
 
 
 
  
 
$   
   
247
 
     $    255  
 
Credit, net
                                        
Beginning balance
  
 
$ 1,750
 
     $2,327            
 
$ 1,778
 
     $ 1,877  
Net realized gains/(losses)
  
 
(22
) 
     (1 )           
 
(33
) 
     6  
Net unrealized gains/(losses)
  
 
11
 
     (124 )           
 
129
 
     175  
Purchases
  
 
18
 
     16            
 
62
 
     35  
Sales
  
 
(35
) 
     (8 )           
 
(62
) 
     (23 ) 
Settlements
  
 
(22
) 
     (189 )           
 
(9
) 
     (38 ) 
Transfers into level 3
  
 
15
 
     26            
 
(60
) 
     4  
Transfers out of level 3
  
 
4
 
     (61 )   
 
 
 
  
 
(86
) 
     (50 ) 
Ending balance
  
 
$ 1,719
 
     $1,986    
 
 
 
  
 
$ 1,719
 
     $ 1,986  
 
Currencies, net
                                        
Beginning balance
  
 
$ 
 
 
 
(234
) 
     $    (94 )           
 
$  
   
 
(338
) 
     $   (211 ) 
Net realized gains/(losses)
  
 
9
 
     18            
 
(29
) 
     8  
Net unrealized gains/(losses)
  
 
43
 
     (143 )           
 
(7
) 
     (118 ) 
Purchases
  
 
1
 
     5            
 
41
 
     5  
Sales
  
 
(5
) 
     (12 )           
 
(12
) 
     (7 ) 
Settlements
  
 
36
 
     (34 )           
 
235
 
     77  
Transfers into level 3
  
 
(4
) 
     (1 )           
 
(20
) 
     (2 ) 
Transfers out of level 3
  
 
35
 
     6    
 
 
 
  
 
11
 
     (7 ) 
Ending balance
  
 
$  
   
(119
) 
     $  (255 )   
 
 
 
  
 
$ 
 
 
  
(119
) 
     $   (255 ) 
 
Commodities, net
                                        
Beginning balance
  
 
$   
    
266
 
     $   331            
 
$   
    
300
 
     $    247  
Net realized gains/(losses)
  
 
(23
) 
     16            
 
(76
) 
     65  
Net unrealized gains/(losses)
  
 
196
 
     (84 )           
 
348
 
     38  
Purchases
  
 
16
 
     1            
 
38
 
     2  
Sales
  
 
(4
) 
     (7 )           
 
(34
) 
     (20 ) 
Settlements
  
 
6
 
     (20 )           
 
(56
) 
     (64 ) 
Transfers into level 3
  
 
25
 
     (12 )           
 
16
 
     (24 ) 
Transfers out of level 3
  
 
31
 
     (30 )   
 
 
 
  
 
(23
) 
     (49 ) 
Ending balance
  
 
$   
    
513
 
     $   195    
 
 
 
  
 
$   
    
513
 
     $    195  
 
Equities, net
                                        
Beginning balance
  
 
$(1,523
) 
     $   185            
 
$  
    
(832
) 
     $(1,977 ) 
Net realized gains/(losses)
  
 
63
 
     (44 )           
 
222
 
     51  
Net unrealized gains/(losses)
  
 
259
 
     (18 )           
 
(474
) 
     1,169  
Purchases
  
 
57
 
     60            
 
231
 
     285  
Sales
  
 
(298
) 
     (262 )           
 
(878
) 
     246  
Settlements
  
 
(385
) 
     113            
 
(94
) 
     247  
Transfers into level 3
  
 
(128
) 
     40            
 
(14
) 
     (38 ) 
Transfers out of level 3
  
 
244
 
     (101 )   
 
 
 
  
 
128
 
     (10 ) 
Ending balance
  
 
$(1,711
) 
     $    (27 )   
 
 
 
  
 
$(1,711
) 
     $     (27 ) 
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 September 2021
                                
Assets
                                
Interest rates
  
 
$  6,226
 
  
 
$12,817
 
  
 
$60,548
 
  
 
$  79,591
 
Credit
  
 
1,779
 
  
 
2,253
 
  
 
3,298
 
  
 
7,330
 
Currencies
  
 
13,252
 
  
 
6,038
 
  
 
6,822
 
  
 
26,112
 
Commodities
  
 
12,428
 
  
 
9,757
 
  
 
1,107
 
  
 
23,292
 
Equities
  
 
10,156
 
  
 
6,449
 
  
 
2,790
 
  
 
19,395
 
Counterparty netting in tenors
  
 
(2,824
) 
  
 
(2,854
) 
  
 
(2,789
) 
  
 
(8,467
) 
Subtotal
  
 
$41,017
 
  
 
$34,460
 
  
 
$71,776
 
  
 
$147,253
 
Cross-tenor counterparty netting
 
                  
 
(17,888
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(64,165
) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  65,200
 
 
Liabilities
                                
Interest rates
  
 
$  4,705
 
  
 
$10,129
 
  
 
$36,542
 
  
 
$  51,376
 
Credit
  
 
1,758
 
  
 
2,573
 
  
 
2,303
 
  
 
6,634
 
Currencies
  
 
11,988
 
  
 
5,898
 
  
 
4,999
 
  
 
22,885
 
Commodities
  
 
7,996
 
  
 
6,465
 
  
 
2,835
 
  
 
17,296
 
Equities
  
 
10,555
 
  
 
13,658
 
  
 
3,348
 
  
 
27,561
 
Counterparty netting in tenors
  
 
(2,824
) 
  
 
(2,854
) 
  
 
(2,789
) 
  
 
(8,467
) 
Subtotal
  
 
$34,178
 
  
 
$35,869
 
  
 
$47,238
 
  
 
$117,285
 
Cross-tenor counterparty netting
 
                  
 
(17,888
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(52,555
) 
Total OTC derivative liabilities
 
  
 
 
 
  
 
 
 
  
 
$  46,842
 
 
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 September 2021
                                        
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
  
 
$105,584
 
  
 
$10,289
 
  
 
$  
 
807
 
  
 
$ 4,042
 
  
 
$120,722
 
1 – 5 years
  
 
332,858
 
  
 
24,819
 
  
 
4,838
 
  
 
3,563
 
  
 
366,078
 
Greater than 5 years
  
 
68,202
 
  
 
6,816
 
  
 
2,504
 
  
 
613
 
  
 
78,135
 
Total
  
 
$506,644
 
  
 
$41,924
 
  
 
$8,149
 
  
 
$ 8,218
 
  
 
$564,935
 
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
 
Offsetting
  
 
$440,512
 
  
 
$28,582
 
  
 
$6,350
 
  
 
$ 6,376
 
  
 
$481,820
 
Other
  
 
$108,898
 
  
 
$19,072
 
  
 
$2,218
 
  
 
$   
 
870
 
  
 
$131,058
 
Fair Value of Written Credit Derivatives
 
Asset
  
 
$  10,165
 
  
 
$  1,430
 
  
 
$  
 
295
 
  
 
$
 
   228
 
  
 
$  12,118
 
Liability
  
 
894
 
  
 
991
 
  
 
597
 
  
 
1,608
 
  
 
4,090
 
Net asset/(liability)
  
 
$    
9,271
 
  
 
$    
 
439
 
  
 
$  (302
) 
  
 
$(1,380
) 
  
 
$
    8,028
 
 
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 September		         Nine Months
Ended September		  
           
$ in millions
  
 
2021
 
        2020           
 
2021
 
        2020  
CVA, net of hedges
  
 
$49
 
        $103        
 
$(14
) 
        $ 52  
FVA, net of hedges
  
 
17
 
        101    
 
  
 
54
 
        (78 ) 
Total
  
 
$66
 
        $204    
 
  
 
$ 40
 
        $(26 ) 
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
  
 
September
2021
 
 
      December
2020		  
 
Fair value of assets
  
 
$    
 
881
 
      $  1,450  
Fair value of liabilities
  
 
(1,389
) 
      (1,220 ) 
Net asset/(liability)
  
 
$  
  
(508
) 
      $     230  
 
Notional amount
  
 
$11,765
 
      $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
  
 
September
2021
 
 
      December
2020		  
 
Net derivative liabilities under bilateral agreements
  
 
$36,431
 
      $43,368  
Collateral posted
  
 
$30,647
 
      $35,296  
Additional collateral or termination payments:
                 
One-notch
downgrade
  
 
$    
 
331
 
      $     481  
Two-notch
downgrade
  
 
$  1,353
 
      $  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 September		          Nine Months
Ended September		  
           
$ in millions
  
 
2021
 
     2020            
 
2021
 
     2020  
Interest rate hedges
  
 
$(1,528
) 
     $(1,111 )        
 
$(5,459
) 
     $ 5,829  
Hedged borrowings and deposits
  
 
$ 1,365
 
     $    916         
 
$ 4,991
 
     $(6,327 ) 
Interest expense
  
 
$ 1,553
 
     $ 1,848     
 
  
 
$ 4,435
 
     $ 7,375  
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 September 2021
                 
Deposits
  
 
$  15,266
 
   
 
$    
 
387
 
Unsecured short-term borrowings
  
 
$    3,221
 
   
 
$      
 
10
 
Unsecured long-term borrowings
  
 
$136,905
 
   
 
$  7,062
 
 
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 September		    
    
   Nine Months
Ended September		  
           
$ in millions
  
 
2021
 
        2020    
 
  
 
2021
 
        2020  
Hedges:
                                          
Foreign currency forward contract
  
 
$373
 
        $(255 )       
 
$600
 
        $ 387  
Foreign currency-denominated debt
  
 
$  31
 
        $(102 )   
 
  
 
$290
 
        $(132 )