
	Liabilities at March 31, 2022
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	51	$	—	$	—	$	51
Foreign exchange	59		36		—		95
Total	110		36		—		146
Not designated as accounting hedges
Economic hedges of loans
Credit	15		308		—		323
Other derivatives
Interest rate	142,935		21,368		988		165,291
Credit	7,029		4,150		—		11,179
Foreign exchange	90,134		2,970		96		93,200
Equity	34,116		—		39,782		73,898
Commodity and other	27,290		—		15,548		42,838
Total	301,519		28,796		56,414		386,729
Total gross derivatives	$	301,629	$	28,832	$	56,414	$	386,875
Amounts offset
Counterparty netting	(222,597)		(25,328)		(50,605)		(298,530)
Cash collateral netting	(44,557)		(1,431)		—		(45,988)
Total in Trading liabilities	$	34,475	$	2,073	$	5,809	$	42,357
Amounts not offset1
Financial instruments collateral	(3,641)		—		(1,543)		(5,184)
Net amounts	$	30,834	$	2,073	$	4,266	$	37,173
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							8,824


	Assets at December 31, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	594	$	1	$	—	$	595
Foreign exchange	191		6		—		197
Total	785		7		—		792
Not designated as accounting hedges
Economic hedges of loans
Credit	—		15		—		15
Other derivatives
Interest rate	147,585		7,002		383		154,970
Credit	5,749		3,186		—		8,935
Foreign exchange	73,276		1,219		39		74,534
Equity	28,877		—		41,455		70,332
Commodity and other	22,175		—		5,538		27,713
Total	277,662		11,422		47,415		336,499
Total gross derivatives	$	278,447	$	11,429	$	47,415	$	337,291
Amounts offset
Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	(43,495)		(1,212)		—		(44,707)
Total in Trading assets	$	33,223	$	399	$	4,532	$	38,154
Amounts not offset1
Financial instruments collateral	(10,457)		—		—		(10,457)
Net amounts	$	22,766	$	399	$	4,532	$	27,697
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,725


	Liabilities at December 31, 2021
$ in millions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	86	$	1	$	—	$	87
Foreign exchange	57		50		—		107
Total	143		51		—		194
Not designated as accounting hedges
Economic hedges of loans
Credit	17		412		—		429
Other derivatives
Interest rate	140,770		6,112		233		147,115
Credit	5,609		3,463		—		9,072
Foreign exchange	71,851		1,196		41		73,088
Equity	39,597		—		41,081		80,678
Commodity and other	17,188		—		5,740		22,928
Total	275,032		11,183		47,095		333,310
Total gross derivatives	$	275,175	$	11,234	$	47,095	$	333,504
Amounts offset
Counterparty netting	(201,729)		(9,818)		(42,883)		(254,430)
Cash collateral netting	(43,305)		(1,201)		—		(44,506)
Total in Trading liabilities	$	30,141	$	215	$	4,212	$	34,568
Amounts not offset1
Financial instruments collateral	(5,866)		(8)		(39)		(5,913)
Net amounts	$	24,275	$	207	$	4,173	$	28,655
Net amounts for which master netting or collateral agreements are not in place or may not be legally enforceable							$	6,194

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.

See Note 4 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 March 31, 2022
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	4	$	73	$	—	$	77
Foreign exchange	9		1		—		10
Total	13		74		—		87
Not designated as accounting hedges
Economic hedges of loans
Credit	—		1		—		1
Other derivatives
Interest rate	3,626		9,434		758		13,818
Credit	231		150		—		381
Foreign exchange	3,806		146		10		3,962
Equity	516		—		419		935
Commodity and other	171		—		75		246
Total	8,350		9,731		1,262		19,343
Total gross derivatives	$	8,363	$	9,805	$	1,262	$	19,430


	Liabilities at March 31, 2022
$ in billions	Bilateral OTC		Cleared OTC		Exchange- Traded		Total
Designated as accounting hedges
Interest rate	$	—	$	128	$	—	$	128
Foreign exchange	4		3		—		7
Total	4		131		—		135
Not designated as accounting hedges
Economic hedges of loans
Credit	1		10		—		11
Other derivatives
Interest rate	3,577		9,060		629		13,266
Credit	231		146		—		377
Foreign exchange	3,690		139		19		3,848
Equity	547		—		770		1,317
Commodity and other	129		—		91		220
Total	8,175		9,355		1,509		19,039
Total gross derivatives	$	8,179	$	9,486	$	1,509	$	19,174


	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

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.

For a discussion of the Firm’s derivative instruments and hedging activities, see Note 7 to the financial statements in the 2021 Form 10-K.

Gains (Losses) on Accounting Hedges


	Three Months Ended
	March 31,
$ in millions	2022		2021
Fair value hedges—Recognized in Interest income
Interest rate contracts	$	795	$	831
Investment Securities—AFS	(751)		(772)
Fair value hedges—Recognized in Interest expense
Interest rate contracts	$	(6,233)	$	(4,108)
Deposits	88		36
Borrowings	6,155		4,021
Net investment hedges—Foreign exchange contracts
Recognized in OCI	$	139	$	405
Forward points excluded from hedge effectiveness testing—Recognized in Interest income	(41)		1

Fair Value Hedges—Hedged Items


$ in millions	At March 31, 2022		At December 31, 2021
Investment Securities—AFS
Amortized cost basis currently or previously hedged	$	11,039	$	17,902
Basis adjustments included in amortized cost1	$	(840)	$	(591)
Deposits
Carrying amount currently or previously hedged	$	4,807	$	6,279
Basis adjustments included in carrying amount1	$	(83)	$	5
Borrowings
Carrying amount currently or previously hedged	$	122,770	$	122,919
Basis adjustments included in carrying amount—Outstanding hedges	$	(3,831)	$	2,324
Basis adjustments included in carrying amount—Terminated hedges	$	(736)	$	(743)

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

Gains (Losses) on Economic Hedges of Loans


	Three Months Ended
	March 31,
$ in millions	2022		2021
Recognized in Other revenues
Credit contracts1	$	51	$	(105)

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

Net Derivative Liabilities and Collateral Posted


$ in millions	At March 31, 2022		At December 31, 2021
Net derivative liabilities with credit risk-related contingent features	$	22,090	$	20,548
Collateral posted	14,470		14,789

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 March 31, 2022
One-notch downgrade	$	310
Two-notch downgrade	550
Bilateral downgrade agreements included in the amounts above1	$	637

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 March 31, 2022
$ in billions	< 1		1-3		3-5		Over 5		Total
Single-name CDS
Investment grade	$	11	$	27	$	30	$	13	$	81
Non-investment grade	5		13		17		5		40
Total	$	16	$	40	$	47	$	18	$	121
Index and basket CDS
Investment grade	$	2	$	11	$	107	$	48	$	168
Non-investment grade	9		16		37		24		86
Total	$	11	$	27	$	144	$	72	$	254
Total CDS sold	$	27	$	67	$	191	$	90	$	375
Other credit contracts	—		—		—		—		—
Total credit protection sold	$	27	$	67	$	191	$	90	$	375
CDS protection sold with identical protection purchased									$	331


	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

Fair Value Asset (Liability) of Credit Protection Sold1


$ in millions	At March 31, 2022		At December 31, 2021
Single-name CDS
Investment grade	$	1,309	$	1,428
Non-investment grade	(1,805)		(370)
Total	$	(496)	$	1,058
Index and basket CDS
Investment grade	$	1,422	$	1,393
Non-investment grade	(1,243)		(650)
Total	$	179	$	743
Total CDS sold	$	(317)	$	1,801
Other credit contracts	(3)		(3)
Total credit protection sold	$	(320)	$	1,798

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 March 31, 2022		At December 31, 2021
Single name	$	138	$	126
Index and basket	235		204
Tranched index and basket	22		18
Total	$	395	$	348


	Fair Value Asset (Liability)
$ in millions	At March 31, 2022		At December 31, 2021
Single name	$	433	$	(1,338)
Index and basket	228		(563)
Tranched index and basket	(340)		(451)
Total	$	321	$	(2,352)

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. For further information on credit derivatives and other credit contracts, see Note 7 to the financial statements in the 2021 Form 10-K.