
	Notional Amounts as of December

$ in millions	2022		2021
Not accounted for as hedges
Exchange-traded	$	4,241,937	$	2,630,915
OTC-cleared	13,104,682		17,874,504
Bilateral OTC	11,137,127		11,122,871
Total interest rates	28,483,746		31,628,290
Exchange-traded	369		–
OTC-cleared	529,543		463,477
Bilateral OTC	577,542		616,095
Total credit	1,107,454		1,079,572
Exchange-traded	9,012		14,617
OTC-cleared	150,561		194,124
Bilateral OTC	5,304,069		6,606,927
Total currencies	5,463,642		6,815,668
Exchange-traded	341,526		308,917
OTC-cleared	3,188		3,647
Bilateral OTC	255,208		234,322
Total commodities	599,922		546,886
Exchange-traded	1,107,659		1,149,777
OTC-cleared	1,639		198
Bilateral OTC	1,026,736		1,173,103
Total equities	2,136,034		2,323,078
Subtotal	37,790,798		42,393,494
Accounted for as hedges
OTC-cleared	257,739		219,083
Bilateral OTC	3,156		4,499
Total interest rates	260,895		223,582
OTC-cleared	2,048		2,758
Bilateral OTC	7,701		18,658
Total currencies	9,749		21,416
Exchange-traded	–		1,050
Total commodities	–		1,050
Subtotal	270,644		246,048
Total notional amounts	$	38,061,442	$	42,639,542

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 $10.08 billion as of December 2022 and $17.48 billion as of December 2021, and derivative liabilities of $12.71 billion as of December 2022 and $17.29 billion as of December 2021, 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.

OTC Derivatives

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 2022
Assets
Interest rates	$	5,509	$	16,963	$	53,943	$	76,415
Credit	921		2,622		2,142		5,685
Currencies	12,284		7,819		7,085		27,188
Commodities	10,525		7,513		2,574		20,612
Equities	5,346		4,007		1,782		11,135
Counterparty netting in tenors	(2,661)		(3,942)		(4,830)		(11,433)
Subtotal	$	31,924	$	34,982	$	62,696	$	129,602
Cross-tenor counterparty netting							(19,427)
Cash collateral netting							(56,776)
Total OTC derivative assets							$	53,399

Liabilities
Interest rates	$	9,351	$	23,589	$	21,467	$	54,407
Credit	993		2,635		1,071		4,699
Currencies	18,987		8,736		8,712		36,435
Commodities	6,400		6,135		945		13,480
Equities	7,629		7,249		2,174		17,052
Counterparty netting in tenors	(2,661)		(3,942)		(4,830)		(11,433)
Subtotal	$	40,699	$	44,402	$	29,539	$	114,640
Cross-tenor counterparty netting							(19,427)
Cash collateral netting							(46,805)
Total OTC derivative liabilities							$	48,408

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

In the table above:

•Tenor is based on remaining contractual maturity.

•Counterparty netting within the same product type and tenor category is included within such product type and tenor category.

•Counterparty netting across product types within the same tenor category is included in counterparty netting in tenors. Where the counterparty netting is across tenor categories, the netting is included in cross-tenor counterparty netting.

See Note 4 for an overview of the firm’s fair value measurement policies, valuation techniques and significant inputs used to determine the fair value of derivatives, and Note 5 for information about derivatives within the fair value hierarchy.

Credit Derivatives

The firm enters into a broad array of credit derivatives to facilitate client transactions and to manage the credit risk associated with market-making and investing and financing activities. Credit derivatives are actively managed based on the firm’s net risk position. Credit derivatives are generally individually negotiated contracts and can have various settlement and payment conventions. Credit events include failure to pay, bankruptcy, acceleration of indebtedness, restructuring, repudiation and dissolution of the reference entity.

The firm enters into the following types of credit derivatives:

•Credit Default Swaps. Single-name credit default swaps protect the buyer against the loss of principal on one or more bonds, loans or mortgages (reference obligations) in the event the issuer of the reference obligations suffers a credit event. The buyer of protection pays an initial or periodic premium to the seller and receives protection for the period of the contract. If there is no credit event, as defined in the contract, the seller of protection makes no payments to the buyer. If a credit event occurs, the seller of protection is required to make a payment to the buyer, calculated according to the terms of the contract.

•Credit Options. In a credit option, the option writer assumes the obligation to purchase or sell a reference obligation at a specified price or credit spread. The option purchaser buys the right, but does not assume the obligation, to sell the reference obligation to, or purchase it from, the option writer. The payments on credit options depend either on a particular credit spread or the price of the reference obligation.

•Credit Indices, Baskets and Tranches. Credit derivatives may reference a basket of single-name credit default swaps or a broad-based index. If a credit event occurs in one of the underlying reference obligations, the protection seller pays the protection buyer. The payment is typically a pro-rata portion of the transaction’s total notional amount based on the underlying defaulted reference obligation. In certain transactions, the credit risk of a basket or index is separated into various portions (tranches), each having different levels of subordination. The most junior tranches cover initial defaults and once losses exceed the notional amount of these junior tranches, any excess loss is covered by the next most senior tranche.

•Total Return Swaps. A total return swap transfers the risks relating to economic performance of a reference obligation from the protection buyer to the protection seller. Typically, the protection buyer receives a floating rate of interest and protection against any reduction in fair value of the reference obligation, and the protection seller receives the cash flows associated with the reference obligation, plus any increase in the fair value of the reference obligation.

The firm economically hedges its exposure to written credit derivatives primarily by entering into offsetting purchased credit derivatives with identical underliers. Substantially all of the firm’s purchased credit derivative transactions are with financial institutions and are subject to stringent collateral thresholds. In addition, upon the occurrence of a specified trigger event, the firm may take possession of the reference obligations underlying a particular written credit derivative, and consequently may, upon liquidation of the reference obligations, recover amounts on the underlying reference obligations in the event of default.

As of December 2022, written credit derivatives had a total gross notional amount of $528.31 billion and purchased credit derivatives had a total gross notional amount of $579.14 billion, for total net notional purchased protection of $50.83 billion. As of December 2021, written credit derivatives had a total gross notional amount of $510.24 billion and purchased credit derivatives had a total gross notional amount of $569.34 billion, for total net notional purchased protection of $59.10 billion. The firm’s written and purchased credit derivatives primarily consist of credit default swaps.

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 2022
Maximum Payout/Notional Amount of Written Credit Derivatives by Tenor
Less than 1 year	$	108,703	$	12,166	$	1,879	$	4,135	$	126,883
1 - 5 years	306,484		28,188		13,724		9,092		357,488
Greater than 5 years	39,302		2,916		1,416		305		43,939
Total	$	454,489	$	43,270	$	17,019	$	13,532	$	528,310

Maximum Payout/Notional Amount of Purchased Credit Derivatives
Offsetting	$	372,360	$	33,149	$	14,817	$	11,757	$	432,083
Other	128,828		13,211		2,615		2,407		147,061
Fair Value of Written Credit Derivatives
Asset	$	5,405	$	460	$	132	$	84	$	6,081
Liability	681		1,081		1,027		2,673		5,462
Net asset/(liability)	$	4,724	$	(621)	$	(895)	$	(2,589)	$	619
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

In the table above:

•Fair values exclude the effects of both netting of receivable balances with payable balances under enforceable netting agreements, and netting of cash received or posted under enforceable credit support agreements, and therefore are not representative of the firm’s credit exposure.

•Tenor is based on remaining contractual maturity.

•The credit spread on the underlier, together with the tenor of the contract, are indicators of payment/performance risk. The firm is less likely to pay or otherwise be required to perform where the credit spread and the tenor are lower.

•Offsetting purchased credit derivatives represent the notional amount of purchased credit derivatives that economically hedge written credit derivatives with identical underliers.

•Other purchased credit derivatives represent the notional amount of all other purchased credit derivatives not included in offsetting.

Impact of Credit and Funding Spreads on Derivatives

The firm realizes gains or losses on its derivative contracts. These gains or losses include credit valuation adjustments (CVA) relating to uncollateralized derivative assets and liabilities, which represent the gains or losses (including hedges) attributable to the impact of changes in credit exposure, counterparty credit spreads, liability funding spreads (which include the firm’s own credit), probability of default and assumed recovery. These gains or losses also include funding valuation adjustments (FVA) relating to uncollateralized derivative assets, which represent the gains or losses (including hedges) attributable to the impact of changes in expected funding exposures and funding spreads.

The table below presents information about CVA and FVA.


	Year Ended December

$ in millions	2022		2021		2020
CVA, net of hedges	$	320	$	25	$	(143)
FVA, net of hedges	(193)		60		173
Total	$	127	$	85	$	30

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	2022		2021
Fair value of assets	$	288	$	845
Fair value of liabilities	(392)		(124)
Net asset/(liability)	$	(104)	$	721
Notional amount	$	8,892	$	10,743

In the table above, derivatives that have been bifurcated from their related borrowings are recorded at fair value and primarily consist of interest rate, equity and commodity products. These derivatives are included in unsecured short- and long-term borrowings, as well as other secured financings, with the related borrowings.

Derivatives with Credit-Related Contingent Features

Certain of the firm’s derivatives have been transacted under bilateral agreements with counterparties who may require the firm to post collateral or terminate the transactions based on changes in the firm’s credit ratings. The firm assesses the impact of these bilateral agreements by determining the collateral or termination payments that would occur assuming a downgrade by all rating agencies. A downgrade by any one rating agency, depending on the agency’s relative ratings of the firm at the time of the downgrade, may have an impact which is comparable to the impact of a downgrade by all rating agencies.

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	2022		2021
Net derivative liabilities under bilateral agreements	$	33,059	$	34,315
Collateral posted	$	27,657	$	29,214
Additional collateral or termination payments:
One-notch downgrade	$	343	$	345
Two-notch downgrade	$	1,115	$	1,536

Hedge Accounting

The firm applies hedge accounting for (i) interest rate swaps used to manage the interest rate exposure of certain fixed-rate unsecured long- and short-term borrowings, certain fixed-rate certificates of deposit and certain U.S. government securities classified as available-for-sale, (ii) foreign currency forward contracts used to manage the foreign exchange risk of certain available-for-sale, (iii) foreign currency forward contracts and foreign currency-denominated debt used to manage foreign exchange risk on the firm’s net investment in certain non-U.S. operations and (iv) commodity futures contracts used to manage the price risk of certain commodities.

To qualify for hedge accounting, the hedging instrument must be highly effective at reducing the risk from the exposure being hedged. Additionally, the firm must formally document the hedging relationship at inception and assess the hedging relationship at least on a quarterly basis to ensure the hedging instrument continues to be highly effective over the life of the hedging relationship.

Fair Value Hedges

The firm designates interest rate swaps as fair value hedges of certain fixed-rate unsecured long- and short-term debt and fixed-rate certificates of deposit and, beginning in the second quarter of 2022, of certain U.S. government securities classified as available-for-sale. These interest rate swaps hedge changes in fair value attributable to the designated benchmark interest rate (e.g., London Interbank Offered Rate (LIBOR), Secured Overnight Financing Rate (SOFR) or Overnight Index Swap Rate), effectively converting a substantial portion of these fixed-rate financial instruments into floating-rate financial instruments.

The firm applies a statistical method that utilizes regression analysis when assessing the effectiveness of these hedging relationships in achieving offsetting changes in the fair values of the hedging instrument and the risk being hedged (i.e., interest rate risk). An interest rate swap is considered highly effective in offsetting changes in fair value attributable to changes in the hedged risk when the regression analysis results in a coefficient of determination of 80% or greater and a slope between 80% and 125%.

For qualifying interest rate fair value hedges, gains or losses on derivatives are included in interest income/expense. The change in fair value of the hedged items attributable to the risk being hedged is reported as an adjustment to its carrying value (hedging adjustment) and is also included in interest income/expense. When a derivative is no longer designated as a hedge, any remaining difference between the carrying value and par value of the hedged item is amortized in interest income/expense over the remaining life of the hedged item using the effective interest method. See Note 23 for further information about interest income and interest expense.

The table below presents the gains/(losses) from interest rate derivatives accounted for as hedges and the related hedged items.


	Year Ended December

$ in millions	2022		2021		2020
Investments
Interest rate hedges	$	366	$	–	$	–
Hedged investments	(350)		–		–
Gains/(losses)	$	16	$	–	$	–

Borrowings and deposits
Interest rate hedges	$	(22,183)	$	(6,638)	$	3,862
Hedged borrowings and deposits	21,662		6,085		(4,557)
Gains/(losses)	$	(521)	$	(553)	$	(695)

The table below presents the carrying value of investments, deposits and unsecured borrowings that are designated in an interest rate 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 2022
Assets
Investments	$	10,804	$	(350)

Liabilities
Deposits	$	6,311	$	(280)
Unsecured short-term borrowings	$	7,295	$	(47)
Unsecured long-term borrowings	$	151,215	$	(15,134)

As of December 2021
Liabilities
Deposits	$	14,131	$	246
Unsecured short-term borrowings	$	2,167	$	5
Unsecured long-term borrowings	$	144,934	$	6,169

In the table above:

•Cumulative hedging adjustment included $5.09 billion as of December 2022 and $5.91 billion as of December 2021 of hedging adjustments from prior hedging relationships that were de-designated and substantially all were related to unsecured long-term borrowings.

•The amortized cost of investments was $11.49 billion as of December 2022.

In addition, cumulative hedging adjustments for items no longer designated in a hedging relationship were $111 million as of December 2022 and $68 million as of December 2021 and were substantially all related to unsecured long-term borrowings.

The firm designates foreign currency forward contracts as fair value hedges of the foreign exchange risk of non-U.S. government securities classified as available-for-sale. See Note 8 for information about the amortized cost and fair value of such securities. The effectiveness of such hedges is assessed based on changes in spot rates. The gains/(losses) on the hedges (relating to both spot and forward points) and the foreign exchange gains/(losses) on the related available-for-sale securities are included in market making. The net gains/(losses) on hedges and related available-for-sale securities were $(30) million (reflecting a gain of $266 million related to hedges and a loss of $296 million on the related hedged available-for-sale securities) for 2022. The gross and net gains/(losses) were not material for both 2021 and 2020.

The firm designates commodity futures contracts as fair value hedges of the price risk of certain precious metals included in commodities within trading assets. As of December 2022, there were no such hedges outstanding, and as of December 2021, the carrying value of such commodities was $1.05 billion and the amortized cost was $1.02 billion. Changes in spot rates of such commodities are reflected as an adjustment to their carrying value, and the related gains/(losses) on both the commodities and the designated futures contracts are included in market making. The contractual forward points on the designated futures contracts are amortized into earnings ratably over the life of the contract and other gains/(losses) as a result of changes in the forward points are included in other comprehensive income/(loss). The cumulative hedging adjustment was not material as of both December 2022 and December 2021, and the related gains/(losses) were not material for both 2022 and 2021.

Net Investment Hedges

The firm seeks to reduce the impact of fluctuations in foreign exchange rates on its net investments in certain non-U.S. operations through the use of foreign currency forward contracts and foreign currency-denominated debt. For foreign currency forward contracts designated as hedges, the effectiveness of the hedge is assessed based on the overall changes in the fair value of the forward contracts (i.e., based on changes in forward rates). For foreign currency-denominated debt designated as a hedge, the effectiveness of the hedge is assessed based on changes in spot rates. For qualifying net investment hedges, all gains or losses on the hedging instruments are included in currency translation.

The table below presents the gains/(losses) from net investment hedging.


	Year Ended December

$ in millions	2022		2021		2020
Hedges:
Foreign currency forward contract	$	1,713	$	755	$	(126)
Foreign currency-denominated debt	$	(269)	$	386	$	(297)

Gains or losses on individual net investments in non-U.S. operations are reclassified from accumulated other comprehensive income/(loss) to other principal transactions in the consolidated statements of earnings when such net investments are sold or substantially liquidated. The gross and net gains and losses on hedges and the related net investments in non-U.S. operations reclassified to earnings from accumulated other comprehensive income/(loss) were not material for both 2022 and 2021, and $61 million (reflecting a gain of $214 million related to hedges and a loss of $153 million on the related net investments in non-U.S. operations) for 2020.

The firm had designated $21.46 billion as of December 2022 and $3.71 billion as of December 2021 of foreign currency-denominated debt, included in unsecured long- and short-term borrowings, as hedges of net investments in non-U.S. subsidiaries.