
	Assets at December 31, 2020
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	946	$	2	$	—	$	948
Foreign exchange	5		2		—		7
Total	951		4		—		955
Not designated as accounting hedges
Economic hedges of loans
Credit2	2		51		—		53
Other derivatives
Interest rate	221,895		10,343		300		232,538
Credit2	5,341		2,147		—		7,488
Foreign exchange	92,334		1,639		79		94,052
Equity	34,278		—		34,166		68,444
Commodity and other	11,095		—		3,554		14,649
Total	364,945		14,180		38,099		417,224
Total gross derivatives	$	365,896	$	14,184	$	38,099	$	418,179
Amounts offset
Counterparty netting	(276,682)		(11,601)		(35,260)		(323,543)
Cash collateral netting	(54,921)		(1,865)		—		(56,786)
Total in Trading assets	$	34,293	$	718	$	2,839	$	37,850
Amounts not offset1
Financial instruments collateral	(13,319)		—		—		(13,319)
Other cash collateral	(391)		—		—		(391)
Net amounts	$	20,583	$	718	$	2,839	$	24,140
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	3,743


	Liabilities at December 31, 2020
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	19	$	—	$	19
Foreign exchange	291		99		—		390
Total	291		118		—		409
Not designated as accounting hedges
Economic hedges of loans
Credit2	18		177		—		195
Other derivatives
Interest rate	210,015		7,965		639		218,619
Credit2	5,275		2,682		—		7,957
Foreign exchange	92,975		1,500		43		94,518
Equity	49,943		—		36,585		86,528
Commodity and other	8,831		—		3,359		12,190
Total	367,057		12,324		40,626		420,007
Total gross derivatives	$	367,348	$	12,442	$	40,626	$	420,416
Amounts offset
Counterparty netting	(276,682)		(11,601)		(35,260)		(323,543)
Cash collateral netting	(51,112)		(823)		—		(51,935)
Total in Trading liabilities	$	39,554	$	18	$	5,366	$	44,938
Amounts not offset1
Financial instruments collateral	(10,598)		—		(1,520)		(12,118)
Other cash collateral	(62)		(3)		—		(65)
Net amounts	$	28,894	$	15	$	3,846	$	32,755
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,746

1.Amounts relate to master netting agreements and collateral agreements that have been determined by the Firm to be legally enforceable in the event of default but where certain other criteria are not met in accordance with applicable offsetting accounting guidance.

2.Certain prior period amounts have been reclassified to conform to the current presentation.

See Note 5 for information related to the unsettled fair value of futures contracts not designated as accounting hedges, which are excluded from the previous tables.

Notionals of Derivative Contracts


	Assets at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	4	$	104	$	—	$	108
Foreign exchange	8		1		—		9
Total	12		105		—		117
Not designated as accounting hedges
Economic hedges of loans
Credit	—		—		—		—
Other derivatives
Interest rate	3,488		7,082		570		11,140
Credit	216		105		—		321
Foreign exchange	3,386		95		10		3,491
Equity	495		—		407		902
Commodity and other	139		—		73		212
Total	7,724		7,282		1,060		16,066
Total gross derivatives	$	7,736	$	7,387	$	1,060	$	16,183


	Liabilities at December 31, 2021
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	99	$	—	$	99
Foreign exchange	5		3		—		8
Total	5		102		—		107
Not designated as accounting hedges
Economic hedges of loans
Credit	1		12		—		13
Other derivatives
Interest rate	3,827		6,965		445		11,237
Credit	225		106		—		331
Foreign exchange	3,360		88		12		3,460
Equity	552		—		735		1,287
Commodity and other	110		—		81		191
Total	8,075		7,171		1,273		16,519
Total gross derivatives	$	8,080	$	7,273	$	1,273	$	16,626


	Assets at December 31, 2020
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	6	$	123	$	—	$	129
Foreign exchange	2		—		—		2
Total	8		123		—		131
Not designated as accounting hedges
Economic hedges of loans
Credit1	—		1		—		1
Other derivatives
Interest rate	3,847		6,946		409		11,202
Credit1	140		87		—		227
Foreign exchange	3,046		103		10		3,159
Equity	444		—		367		811
Commodity and other	107		—		68		175
Total	7,584		7,137		854		15,575
Total gross derivatives	$	7,592	$	7,260	$	854	$	15,706


	Liabilities at December 31, 2020
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	80	$	—	$	80
Foreign exchange	11		3		—		14
Total	11		83		—		94
Not designated as accounting hedges
Economic hedges of loans
Credit1	1		5		—		6
Other derivatives
Interest rate	4,000		6,915		511		11,426
Credit1	142		93		—		235
Foreign exchange	3,180		102		11		3,293
Equity	474		—		591		1,065
Commodity and other	93		—		68		161
Total	7,890		7,115		1,181		16,186
Total gross derivatives	$	7,901	$	7,198	$	1,181	$	16,280

1.Certain prior period amounts have been reclassified to conform to the current presentation.

The notional amounts of derivative contracts generally overstate the Firm’s exposure. In most circumstances, notional amounts are used only as a reference point from which to calculate amounts owed between the parties to the contract. Furthermore, notional amounts do not reflect the benefit of legally enforceable netting arrangements or risk mitigating transactions.

Gains (Losses) on Accounting Hedges


$ in millions	2021		2020		2019
Fair value hedges—Recognized in Interest income
Interest rate contracts	$	742	$	75	$	(10)
Investment Securities—AFS	(629)		(33)		10
Fair value hedges—Recognized in Interest expense
Interest rate contracts	$	(4,306)	$	4,678	$	4,212
Deposits	88		(100)		7
Borrowings	4,214		(4,692)		(4,288)
Net investment hedges—Foreign exchange contracts
Recognized in OCI	$	664	$	(366)	$	14
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	(53)		16		136

Fair Value Hedges—Hedged Items


$ in millions	At December 31, 2021		At December 31, 2020
Investment securities—AFS
Amortized cost basis currently or previously hedged	$	17,902	$	16,288
Basis adjustments included in amortized cost1	$	(591)	$	(39)
Deposits
Carrying amount currently or previously hedged	$	6,279	$	15,059
Basis adjustments included in carrying amount1	$	5	$	93
Borrowings
Carrying amount currently or previously hedged	$	122,919	$	114,349
Basis adjustments included in carrying amount—Outstanding hedges	$	2,324	$	6,575
Basis adjustments included in carrying amount—Terminated hedges	$	(743)	$	(756)

1.Hedge accounting basis adjustments are primarily related to outstanding hedges.

Gains (Losses) on Economic Hedges of Loans


$ in millions	2021	2020	2019
Recognized in Other revenues
Credit contracts1	(285)	9	(179)

1.Amounts related to hedges of certain held-for-investment and held-for-sale loans.

Derivatives with Credit Risk-Related Contingencies

Net Derivative Liabilities and Collateral Posted


$ in millions	At December 31, 2021		At December 31, 2020
Net derivative liabilities with credit risk-related contingent features	$	20,548	$	30,421
Collateral posted	14,789		23,842

The previous table presents the aggregate fair value of certain derivative contracts that contain credit risk-related contingent features that are in a net liability position for which the Firm has posted collateral in the normal course of business.

Incremental Collateral and Termination Payments upon Potential Future Ratings Downgrade


$ in millions	At December 31, 2021
One-notch downgrade	$	234
Two-notch downgrade	357
Bilateral downgrade agreements included in the amounts above1	$	477

1.Amount represents arrangements between the Firm and other parties where upon the downgrade of one party, the downgraded party must deliver collateral to the other party. These bilateral downgrade arrangements are used by the Firm to manage the risk of counterparty downgrades.

The additional collateral or termination payments that may be called in the event of a future credit rating downgrade vary by contract and can be based on ratings by either or both of Moody’s Investors Service, Inc. and S&P Global Ratings. The previous table shows the future potential collateral amounts and termination payments that could be called or required by counterparties or exchange and clearing organizations in the event of one-notch or two-notch downgrade scenarios based on the relevant contractual downgrade triggers.

Maximum Potential Payout/Notional of Credit Protection Sold1


	Years to Maturity at December 31, 2021
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	10	$	26	$	29	$	9	$	74
Non-investment grade	5		13		17		2		37
Total	$	15	$	39	$	46	$	11	$	111
Index and basket CDS
Investment grade	$	2	$	11	$	106	$	15	$	134
Non-investment grade	9		14		37		12		72
Total	$	11	$	25	$	143	$	27	$	206
Total CDS sold	$	26	$	64	$	189	$	38	$	317
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	26	$	64	$	189	$	38	$	317
CDS protection sold with identical protection purchased									$	278


	Years to Maturity at December 31, 2020
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	9	$	19	$	32	$	9	$	69
Non-investment grade	7		10		17		2		36
Total	$	16	$	29	$	49	$	11	$	105
Index and basket CDS
Investment grade	$	2	$	5	$	39	$	14	$	60
Non-investment grade	6		9		29		14		58
Total	$	8	$	14	$	68	$	28	$	118
Total CDS sold	$	24	$	43	$	117	$	39	$	223
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	24	$	43	$	117	$	39	$	223
CDS protection sold with identical protection purchased									$	196

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	At December 31, 2021		At December 31, 2020
Single-name CDS
Investment grade	$	1,428	$	1,230
Non-investment grade	(370)		(22)
Total	$	1,058	$	1,208
Index and basket CDS
Investment grade	$	1,393	$	843
Non-investment grade	(650)		(824)
Total	$	743	$	19
Total CDS sold	$	1,801	$	1,227
Other credit contracts	(3)		(4)
Total credit protection sold	$	1,798	$	1,223

1.Investment grade/non-investment grade determination is based on the internal credit rating of the reference obligation. Internal credit ratings serve as the CRM’s assessment of credit risk and the basis for a comprehensive credit limits framework used to control credit risk. The Firm uses quantitative models and judgment to estimate the various risk parameters related to each obligor.

Protection Purchased with CDS


	Notional
$ in billions	At December 31, 2021		At December 31, 2020
Single name	$	126	$	116
Index and basket	204		116
Tranched index and basket	18		14
Total	$	348	$	246


	Fair Value Asset (Liability)
$ in millions	At December 31, 2021		At December 31, 2020
Single name	$	(1,338)	$	(1,452)
Index and basket	(563)		(57)
Tranched index and basket	(451)		(329)
Total	$	(2,352)	$	(1,838)

The Firm enters into credit derivatives, principally CDS, under which it receives or provides protection against the risk of default on a set of debt obligations issued by a specified reference entity or entities. A majority of the Firm’s counterparties for these derivatives are banks, broker-dealers, and insurance and other financial institutions.

The fair value amounts as shown in the previous tables are prior to cash collateral or counterparty netting.

The purchase of credit protection does not represent the sole manner in which the Firm risk manages its exposure to credit derivatives. The Firm manages its exposure to these derivative contracts through a variety of risk mitigation strategies, which include managing the credit and correlation risk across single-name, non-tranched indices and baskets, tranched indices and baskets, and cash positions. Aggregate market risk limits have been established for credit derivatives, and market risk measures are routinely monitored against these limits. The Firm may also recover amounts on the underlying reference obligation delivered to the Firm under CDS where credit protection was sold.

Single-Name CDS. A CDS protects the buyer against the loss of principal on a bond or loan in case of a default by the issuer. The protection buyer pays a periodic premium (generally quarterly) over the life of the contract and is protected for the period. The Firm, in turn, performs under a CDS if a credit event as defined under the contract occurs. Typical credit events include bankruptcy, dissolution or insolvency of the referenced entity, failure to pay and restructuring of the obligations of the referenced entity.

Index and Basket CDS. Index and basket CDS are products where credit protection is provided on a portfolio of single-name CDS. Generally, in the event of a default on one of the underlying names, the Firm pays a pro rata portion of the total notional amount of the CDS.

The Firm also enters into tranched index and basket CDS where credit protection is provided on a particular portion of the portfolio loss distribution. The most junior tranches cover initial defaults, and once losses exceed the notional of the tranche, they are passed on to the next most senior tranche in the capital structure.

Other Credit Contracts. The Firm has invested in CLNs and CDOs, which are hybrid instruments containing embedded derivatives, in which credit protection has been sold to the issuer of the note. If there is a credit event of a reference entity underlying the instrument, the principal balance of the note may not be repaid in full to the Firm.