v3.22.0.1
Derivatives and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 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 December 2021
           As of December 2020  
           
$ in millions
  
 
Derivative
Assets
 
 
  
 
Derivative
Liabilities
 
 
  
 
 
 
    
Derivative
Assets
  
 
    
Derivative
Liabilities
  
 
Not accounted for as hedges
 
Exchange-traded
  
 
$       
 
256
 
  
 
$       
 
557
 
                $
  
      665		       $
  
      660		  
OTC-cleared
  
 
13,795
 
  
 
12,692
 
             18,832       16,809  
Bilateral OTC
  
 
232,595
 
  
 
205,073
 
  
 
 
 
     337,998       304,370  
Total interest rates
  
 
246,646
 
  
 
218,322
 
  
 
 
 
     357,495       321,839  
OTC-cleared
  
 
3,665
 
  
 
4,053
 
             4,137       4,517  
Bilateral OTC
  
 
12,591
 
  
 
11,702
 
  
 
 
 
     12,418       11,551  
Total credit
  
 
16,256
 
  
 
15,755
 
  
 
 
 
     16,555       16,068  
Exchange-traded
  
 
417
 
  
 
10
 
             133       22  
OTC-cleared
  
 
423
 
  
 
338
 
             401       631  
Bilateral OTC
  
 
86,076
 
  
 
85,795
 
  
 
 
 
     101,830       102,676  
Total currencies
  
 
86,916
 
  
 
86,143
 
  
 
 
 
     102,364       103,329  
Exchange-traded
  
 
6,534
 
  
 
6,189
 
             4,476       4,177  
OTC-cleared
  
 
652
 
  
 
373
 
             195       187  
Bilateral OTC
  
 
28,359
 
  
 
25,969
 
  
 
 
 
     9,320       13,691  
Total commodities
  
 
35,545
 
  
 
32,531
 
  
 
 
 
     13,991       18,055  
Exchange-traded
  
 
33,840
 
  
 
35,518
 
             29,006       31,944  
OTC-cleared
  
 
8
 
  
 
5
 
             –       –  
Bilateral OTC
  
 
39,718
 
  
 
44,750
 
  
 
 
 
     47,867       49,072  
Total equities
  
 
73,566
 
  
 
80,273
 
  
 
 
 
     76,873       81,016  
Subtotal
  
 
458,929
 
  
 
433,024
 
  
 
 
 
     567,278       540,307  
Accounted for as hedges
 
                        
OTC-cleared
  
 
1
 
  
 
–
 
             1       –  
Bilateral OTC
  
 
945
 
  
 
–
 
  
 
 
 
     1,346       –  
Total interest rates
  
 
946
 
  
 
–
 
  
 
 
 
     1,347       –  
OTC-cleared
  
 
34
 
  
 
27
 
             –       87  
Bilateral OTC
  
 
60
 
  
 
139
 
  
 
 
 
     4       372  
Total currencies
  
 
94
 
  
 
166
 
  
 
 
 
     4       459  
Subtotal
  
 
1,040
 
  
 
166
 
  
 
 
 
     1,351       459  
Total gross fair value
  
 
$ 459,969
 
  
 
$ 433,190
 
  
 
 
 
     $
  
568,629		       $
  
540,766		  
 
Offset in the consolidated balance sheets
 
Exchange-traded
  
 
$  (35,724
) 
  
 
$  (35,724
) 
             $  (29,549 )      $  (29,549 ) 
OTC-cleared
  
 
(16,979
) 
  
 
(16,979
) 
             (21,315 )      (21,315 ) 
Bilateral OTC
  
 
(279,189
) 
  
 
(279,189
) 
  
 
 
 
     (372,142 )      (372,142 ) 
Counterparty netting
  
 
(331,892
) 
  
 
(331,892
) 
  
 
 
 
     (423,006 )      (423,006 ) 
OTC-cleared
  
 
(1,033
) 
  
 
(361
) 
             (1,926 )      (720 ) 
Bilateral OTC
  
 
(63,084
) 
  
 
(48,984
) 
  
 
 
 
     (74,116 )      (58,449 ) 
Cash collateral netting
  
 
(64,117
) 
  
 
(49,345
) 
  
 
 
 
     (76,042 )      (59,169 ) 
Total amounts offset
  
 
$(396,009
) 
  
 
$(381,237
) 
  
 
 
 
     $(499,048 )      $(482,175 ) 
Included in the consolidated balance sheets
 
Exchange-traded
  
 
$     5,323
 
  
 
$     6,550
 
             $
  
    4,731		       $
  
    7,254		  
OTC-cleared
  
 
566
 
  
 
148
 
             325       196  
Bilateral OTC
  
 
58,071
 
  
 
45,255
 
  
 
 
 
     64,525       51,141  
Total
  
 
$   63,960
 
  
 
$   51,953
 
  
 
 
 
     $
  
  69,581		       $
  
  58,591		  
 
Not offset in the consolidated balance sheets
 
Cash collateral
  
 
$    (1,008
) 
  
 
$    (1,939
) 
             $
  
      (979		 )      $    (2,427 ) 
Securities collateral
  
 
(15,751
) 
  
 
(7,349
) 
  
 
 
 
     (17,297 )      (9,943 ) 
Total
  
 
$   47,201
 
  
 
$   42,665
 
  
 
 
 
     $
  
  51,305		       $
  
  46,221		  
    Notional Amounts as of December  
     
$ in millions
  
 
2021
 
        2020  
Not accounted for as hedges
                   
Exchange-traded
  
 
$  2,630,915
 
        $  3,722,558  
OTC-cleared
  
 
17,874,504
 
        13,789,571  
Bilateral OTC
  
 
11,122,871
 
        11,076,460  
Total interest rates
  
 
31,628,290
 
        28,588,589  
OTC-cleared
  
 
463,477
 
        515,197  
Bilateral OTC
  
 
616,095
 
        558,813  
Total credit
  
 
1,079,572
 
        1,074,010  
Exchange-traded
  
 
14,617
 
        7,413  
OTC-cleared
  
 
194,124
 
        157,687  
Bilateral OTC
  
 
6,606,927
 
        6,041,663  
Total currencies
  
 
6,815,668
 
        6,206,763  
Exchange-traded
  
 
308,917
 
        242,193  
OTC-cleared
  
 
3,647
 
        2,315  
Bilateral OTC
  
 
234,322
 
        206,253  
Total commodities
  
 
546,886
 
        450,761  
Exchange-traded
  
 
1,149,777
 
        948,937  
OTC-cleared
  
 
198
 
        –  
Bilateral OTC
  
 
1,173,103
 
        1,126,572  
Total equities
  
 
2,323,078
 
        2,075,509  
Subtotal
  
 
42,393,494
 
        38,395,632  
Accounted for as hedges
                   
OTC-cleared
  
 
219,083
 
        182,311  
Bilateral OTC
  
 
4,499
 
        6,641  
Total interest rates
  
 
223,582
 
        188,952  
OTC-cleared
  
 
2,758
 
        1,767  
Bilateral OTC
  
 
18,658
 
        14,055  
Total currencies
  
 
21,416
 
        15,822  
Exchange-traded
  
 
1,050
 
        –  
Total commodities
  
 
1,050
 
        –  
Subtotal
  
 
246,048
 
        204,774  
Total notional amounts
  
 
$42,639,542
 
        $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 $17.48 billion as of December 2021 and $20.60 billion as of December 2020, and derivative liabilities of $17.29 billion as of December 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 December 2021
                                
Assets
                                
Interest rates
  
 
$    
 
2
 
  
 
$ 246,525
 
  
 
$ 1,065
 
  
 
$ 247,592
 
Credit
  
 
–
 
  
 
12,823
 
  
 
3,433
 
  
 
16,256
 
Currencies
  
 
–
 
  
 
86,773
 
  
 
237
 
  
 
87,010
 
Commodities
  
 
–
 
  
 
34,501
 
  
 
1,044
 
  
 
35,545
 
Equities
  
 
33
 
  
 
72,570
 
  
 
963
 
  
 
73,566
 
Gross fair value
  
 
35
 
  
 
453,192
 
  
 
6,742
 
  
 
459,969
 
Counterparty netting in levels
  
 
–
 
  
 
(329,164
) 
  
 
(804
) 
  
 
(329,968
) 
Subtotal
  
 
$  
 
35
 
  
 
$ 124,028
 
  
 
$ 5,938
 
  
 
$ 130,001
 
Cross-level counterparty netting
                          
 
(1,924
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(64,117
) 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$   63,960
 
 
Liabilities
                                
Interest rates
  
 
$  
 
 (2
) 
  
 
$(217,438
) 
  
 
$
 
  (882
) 
  
 
$(218,322
) 
Credit
  
 
–
 
  
 
(14,176
) 
  
 
(1,579
) 
  
 
(15,755
) 
Currencies
  
 
–
 
  
 
(85,925
) 
  
 
(384
) 
  
 
(86,309
) 
Commodities
  
 
–
 
  
 
(31,925
) 
  
 
(606
) 
  
 
(32,531
) 
Equities
  
 
(29
) 
  
 
(77,393
) 
  
 
(2,851
) 
  
 
(80,273
) 
Gross fair value
  
 
(31
) 
  
 
(426,857
) 
  
 
(6,302
) 
  
 
(433,190
) 
Counterparty netting in levels
  
 
–
 
  
 
329,164
 
  
 
804
 
  
 
329,968
 
Subtotal
  
 
$
  
(31
) 
  
 
$  (97,693
) 
  
 
$(5,498
) 
  
 
$(103,222
) 
Cross-level counterparty netting
                          
 
1,924
 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
49,345
 
Net fair value
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  (51,953
) 
 
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 December 2021
    
    
   As of December 2020  
           
$ in millions, except inputs
  
 
Amount or
Range
 
 
  
 
Average/
Median
 
 
  
 
    
Amount or
Range
  
 
    
Average/
Median
  
 
Interest rates, net
  
 
$183 
 
                 $267           
Correlation
  
 
25% to 81%
 
  
 
63%/62%
 
         (8)% to 81%       56%/60%  
Volatility (bps)
  
 
31 to 100 
 
  
 
59/54 
 
  
 
     31 to 150        65/53   
Credit, net
  
 
$1,854 
 
                 $1,778           
Credit spreads (bps)
  
 
1 to 568 
 
  
 
136/107 
 
         2 to 699        109/74   
Upfront credit points
  
 
2 to 100 
 
  
 
34/26 
 
         7 to 90        40/30   
Recovery rates
  
 
20% to 50%
 
  
 
37%/40%
 
  
 
     25% to 90%       46%/40%  
Currencies, net
  
 
$(147)
 
                 $(338)          
Correlation
  
 
20% to 71%
 
  
 
40%/41%
 
         20% to 70%       39%/41%  
Volatility
  
 
19% to 19%
 
  
 
19%/19%
 
  
 
     18% to 18%       18%/18%  
Commodities, net
  
 
$438 
 
                 $300           
Volatility
  
 
15% to 93%
 
  
 
32%/29%
 
         15% to 87%       32%/30%  
Natural gas spread
  
 
 
 
$(1.33) to 
$2.60 
 
 
 
  
 
 
 
$(0.11)/
$(0.07)
 
 
 
      
 
 
 
$(1.00) to 
$2.13 
 
 
 
  
 
 
 
$(0.13)/
$(0.09)
 
 
Oil spread
  
 
 
 
$8.64 to 
$22.68 
 
 
 
  
 
 
 
$13.36/
$12.69 
 
 
 
      
 
 
 
$8.30 to 
$11.20 
 
 
 
  
 
 
 
$9.73/
$9.55
 
 
 
Electricity price
  
 
 
 

$1.50 to 
$289.96 
 
 
 
  
 
 
 
 
$37.42/
$32.20 
 
 
 
  
 
  
 
 
 
 
N/A 
 
 
 
  
 
 
 
 
N/A 
 
 
 
Equities, net
  
 
$(1,888)
 
                 $(832)          
Correlation
  
 
(70)% to 99%
 
  
 
59%/62%
 
         (70)% to 100%       52%/55%  
Volatility
  
 
3% to 150%
 
  
 
17%/17%
 
  
 
     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.
 
    Year Ended December  
     
$ in millions
  
 
2021
 
        2020  
Total level 3 derivatives, net
                   
Beginning balance
  
 
$ 1,175
 
        $     25  
Net realized gains/(losses)
  
 
265
 
        226  
Net unrealized gains/(losses)
  
 
452
 
        612  
Purchases
  
 
501
 
        319  
Sales
  
 
(1,541
) 
        (724 ) 
Settlements
  
 
(59
) 
        750  
Transfers into level 3
  
 
(131
) 
        (40 ) 
Transfers out of level 3
  
 
(222
) 
        7  
Ending balance
  
 
$
 
  
 
440
 
        $1,175  
The table below presents information, by product type, for derivatives included in the summary table above.
 
    Year Ended December  
     
$ in millions
  
 
2021
 
        2020  
Interest rates, net
                   
Beginning balance
  
 
$ 
   
267
 
        $      89  
Net realized gains/(losses)
  
 
72
 
        12  
Net unrealized gains/(losses)
  
 
316
 
        226  
Purchases
  
 
124
 
        12  
Sales
  
 
(341
) 
        (28 ) 
Settlements
  
 
18
 
        (34 ) 
Transfers into level 3
  
 
2
 
        (13 ) 
Transfers out of level 3
  
 
(275
) 
        3  
Ending balance
  
 
$ 
   
183
 
        $    267  
 
Credit, net
                   
Beginning balance
  
 
$ 1,778
 
        $ 1,877  
Net realized gains/(losses)
  
 
(21
) 
        28  
Net unrealized gains/(losses)
  
 
409
 
        110  
Purchases
  
 
53
 
        39  
Sales
  
 
(217
) 
        (50 ) 
Settlements
  
 
(77
) 
        (229 ) 
Transfers into level 3
  
 
(70
) 
        47  
Transfers out of level 3
  
 
(1
) 
        (44 ) 
Ending balance
  
 
$ 1,854
 
        $ 1,778  
 
Currencies, net
                   
Beginning balance
  
 
$
   
(338
) 
        $   (211 ) 
Net realized gains/(losses)
  
 
9
 
        (8 ) 
Net unrealized gains/(losses)
  
 
155
 
        (210 ) 
Purchases
  
 
7
 
        1  
Sales
  
 
(10
) 
        (20 ) 
Settlements
  
 
32
 
        117  
Transfers into level 3
  
 
(17
) 
        (2 ) 
Transfers out of level 3
  
 
15
 
        (5 ) 
Ending balance
  
 
$
   
(147
) 
        $   (338 ) 
 
Commodities, net
                   
Beginning balance
  
 
$ 
   
300
 
        $    247  
Net realized gains/(losses)
  
 
(80
) 
        (12 ) 
Net unrealized gains/(losses)
  
 
355
 
        159  
Purchases
  
 
42
 
        37  
Sales
  
 
(15
) 
        (22 ) 
Settlements
  
 
(149
) 
        (60 ) 
Transfers into level 3
  
 
(3
) 
        (27 ) 
Transfers out of level 3
  
 
(12
) 
        (22 ) 
Ending balance
  
 
$ 
   
438
 
        $    300  
 
Equities, net
                   
Beginning balance
  
 
$
   
(832
) 
        $(1,977 ) 
Net realized gains/(losses)
  
 
285
 
        206  
Net unrealized gains/(losses)
  
 
(783
) 
        327  
Purchases
  
 
275
 
        230  
Sales
  
 
(958
) 
        (604 ) 
Settlements
  
 
117
 
        956  
Transfers into level 3
  
 
(43
) 
        (45 ) 
Transfers out of level 3
  
 
51
 
        75  
Ending balance
  
 
$(1,888
) 
        $   (832 ) 
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 2021
                                
Assets
                                
Interest rates
  
 
$  6,076
 
  
 
$11,655
 
  
 
$61,380
 
  
 
$  79,111
 
Credit
  
 
1,800
 
  
 
2,381
 
  
 
3,113
 
  
 
7,294
 
Currencies
  
 
13,366
 
  
 
6,642
 
  
 
6,570
 
  
 
26,578
 
Commodities
  
 
10,178
 
  
 
7,348
 
  
 
770
 
  
 
18,296
 
Equities
  
 
11,075
 
  
 
6,592
 
  
 
2,100
 
  
 
19,767
 
Counterparty netting in tenors
  
 
(3,624
) 
  
 
(3,357
) 
  
 
(2,673
) 
  
 
(9,654
) 
Subtotal
  
 
$38,871
 
  
 
$31,261
 
  
 
$71,260
 
  
 
$141,392
 
Cross-tenor counterparty netting
                          
 
(18,638
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(64,117
) 
Total OTC derivative assets
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  58,637
 
 
Liabilities
                                
Interest rates
  
 
$  3,929
 
  
 
$10,932
 
  
 
$34,676
 
  
 
$  49,537
 
Credit
  
 
1,695
 
  
 
3,257
 
  
 
1,841
 
  
 
6,793
 
Currencies
  
 
14,122
 
  
 
6,581
 
  
 
5,580
 
  
 
26,283
 
Commodities
  
 
7,591
 
  
 
6,274
 
  
 
1,763
 
  
 
15,628
 
Equities
  
 
8,268
 
  
 
12,944
 
  
 
3,587
 
  
 
24,799
 
Counterparty netting in tenors
  
 
(3,624
) 
  
 
(3,357
) 
  
 
(2,673
) 
  
 
(9,654
) 
Subtotal
  
 
$31,981
 
  
 
$36,631
 
  
 
$44,774
 
  
 
$113,386
 
Cross-tenor counterparty netting
                          
 
(18,638
) 
Cash collateral netting
  
 
 
 
  
 
 
 
  
 
 
 
  
 
(49,345
) 
Total OTC derivative liabilities
  
 
 
 
  
 
 
 
  
 
 
 
  
 
$  45,403
 
 
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 December 2021
 
                        
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
 
Less than 1 year
  
 
$120,456
 
  
 
$  6,173
 
  
 
$  1,656
 
  
 
$ 4,314
 
  
 
$132,599
 
1 - 5 years
  
 
305,255
 
  
 
14,328
 
  
 
12,754
 
  
 
3,814
 
  
 
336,151
 
Greater than 5 years
  
 
35,558
 
  
 
3,087
 
  
 
2,529
 
  
 
311
 
  
 
41,485
 
Total
  
 
$461,269
 
  
 
$23,588
 
  
 
$16,939
 
  
 
$ 8,439
 
  
 
$510,235
 
 
Maximum Payout/Notional Amount of Purchased Credit Derivatives
 
Offsetting
  
 
$381,715
 
  
 
$17,210
 
  
 
$12,806
 
  
 
$ 6,714
 
  
 
$418,445
 
Other
  
 
$138,214
 
  
 
$  7,780
 
  
 
$  3,576
 
  
 
$ 1,322
 
  
 
$150,892
 
Fair Value of Written Credit Derivatives
 
Asset
  
 
$    9,803
 
  
 
$    
 
924
 
  
 
$    
 
318
 
  
 
$   
 
137
 
  
 
$  11,182
 
Liability
  
 
941
 
  
 
123
 
  
 
1,666
 
  
 
1,933
 
  
 
4,663
 
Net asset/(liability)
  
 
$    8,862
 
  
 
$    
 
801
 
  
 
$
 
(1,348
) 
  
 
$(1,796
) 
  
 
$    6,519
 
 
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.
 
    Year Ended December  
       
$ in millions
  
 
2021
 
      2020        2019  
CVA, net of hedges
  
 
$25
 
      $(143 )       $(289 ) 
FVA, net of hedges
  
 
60
 
      173        485  
Total
  
 
$85
 
      $   30        $ 196  
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
  
 
2021
 
      2020  
Fair value of assets
  
 
$     845
 
      $  1,450  
Fair value of liabilities
  
 
(124
) 
      (1,220 ) 
Net asset/(liability)
  
 
$     721
 
      $     230  
 
Notional amount
  
 
$10,743
 
      $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 December  
     
$ in millions
  
 
2021
 
     2020  
Net derivative liabilities under bilateral agreements
  
 
$34,315
 
     $43,368  
Collateral posted
  
 
$29,214
 
     $35,296  
Additional collateral or termination payments:
                
One-notch
downgrade
  
 
$     345
 
     $     481  
Two-notch
downgrade
  
 
$  1,536
 
     $  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.
 
    Year Ended December  
       
$ in millions
  
 
2021
 
      2020        2019  
Interest rate hedges
  
 
$(6,638
) 
      $ 3,862        $  3,196  
Hedged borrowings and deposits
  
 
$ 6,085
 
      $(4,557 )       $
 
(3,657		 ) 
Interest expense
  
 
$ 5,650
 
      $ 8,938        $17,376  
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 2021
                 
Deposits
  
 
$  14,131
 
   
 
$
 
    246
 
Unsecured short-term borrowings
  
 
$    2,167
 
   
 
$
 
        5
 
Unsecured long-term borrowings
  
 
$144,934
 
   
 
$
  6,169
 
     
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.
 
    Year Ended December  
       
$ in millions
  
 
2021
 
      2020        2019  
Hedges:
                          
Foreign currency forward contract
  
 
$755
 
      $(126 )       $   6  
Foreign currency-denominated debt
  
 
$386
 
      $(297 )       $(19 )