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Derivatives and hedging activities (Tables) | 6 Months Ended
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Jun. 30, 2022
Fair value of derivative instruments | Fair value of derivative instruments
|  | Trading |  | Hedging | 1
end of 2Q22 |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |
Derivative instruments (CHF billion)
Forwards and forward rate agreements |  | 2,133.5 |  | 4.4 |  | 4.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 8,950.3 |  | 30.9 |  | 28.9 |  | 122.7 |  | 0.1 |  | 1.8 |
Options bought and sold (OTC) |  | 737.8 |  | 8.3 |  | 8.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 172.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 24.5 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Interest rate products |  | 12,018.1 |  | 43.6 |  | 41.5 |  | 122.7 |  | 0.1 |  | 1.8 |
Forwards |  | 1,027.6 |  | 13.5 |  | 14.0 |  | 19.6 |  | 0.4 |  | 0.2 |
Swaps |  | 343.8 |  | 14.3 |  | 14.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 181.8 |  | 3.1 |  | 3.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 2.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 1,565.5 |  | 30.9 |  | 31.0 |  | 19.6 |  | 0.4 |  | 0.2 |
Forwards |  | 0.8 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 57.9 |  | 2.4 |  | 2.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 223.2 |  | 7.0 |  | 8.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 46.9 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 488.7 |  | 21.8 |  | 25.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Equity/index-related products |  | 817.5 |  | 31.2 |  | 35.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Credit derivatives 2 |  | 434.4 |  | 3.4 |  | 4.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Forwards |  | 10.7 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 12.5 |  | 1.0 |  | 0.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 12.0 |  | 0.3 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 8.6 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Other products 3 |  | 54.4 |  | 1.5 |  | 0.8 |  | 0.0 |  | 0.0 |  | 0.0 |
Total derivative instruments |  | 14,889.9 |  | 110.6 |  | 113.5 |  | 142.3 |  | 0.5 |  | 2.0 |
The notional amount, PRV and NRV (trading and hedging) was CHF 15,032.2 billion, CHF 111.1 billion and CHF 115.5 billion, respectively, as of June 30, 2022.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.
Fair value of derivative instruments (continued)
|  | Trading |  | Hedging | 1
end of 4Q21 |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |
Derivative instruments (CHF billion)
Forwards and forward rate agreements |  | 1,736.0 |  | 0.9 |  | 0.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 8,810.0 |  | 36.8 |  | 33.0 |  | 131.4 |  | 0.4 |  | 0.2 |
Options bought and sold (OTC) |  | 779.0 |  | 11.5 |  | 10.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 144.5 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 71.6 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Interest rate products |  | 11,541.1 |  | 49.3 |  | 44.8 |  | 131.4 |  | 0.4 |  | 0.2 |
Forwards |  | 1,052.9 |  | 7.6 |  | 8.2 |  | 21.1 |  | 0.1 |  | 0.1 |
Swaps |  | 345.3 |  | 11.3 |  | 12.4 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 174.9 |  | 2.0 |  | 2.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 1.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 1,585.0 |  | 20.9 |  | 22.8 |  | 21.1 |  | 0.1 |  | 0.1 |
Forwards |  | 0.9 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 94.7 |  | 1.4 |  | 2.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 243.9 |  | 11.1 |  | 12.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 46.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 535.8 |  | 22.9 |  | 21.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Equity/index-related products |  | 921.6 |  | 35.5 |  | 36.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Credit derivatives 2 |  | 506.8 |  | 5.0 |  | 6.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Forwards |  | 9.9 |  | 0.2 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 12.0 |  | 1.1 |  | 0.4 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 11.1 |  | 0.2 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 11.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 9.2 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Other products 3 |  | 53.3 |  | 1.6 |  | 0.7 |  | 0.0 |  | 0.0 |  | 0.0 |
Total derivative instruments |  | 14,607.8 |  | 112.3 |  | 111.2 |  | 152.5 |  | 0.5 |  | 0.3 |
The notional amount, PRV and NRV (trading and hedging) was CHF 14,760.3 billion, CHF 112.8 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.
Fair value hedges | Gains or (losses) on fair value hedges
in |  | 2Q22 |  | 1Q22 |  | 2Q21 |  | 6M22 |  | 6M21 |
Interest rate products (CHF million)
Hedged items 1 |  | 1,115 |  | 1,756 |  | (288) |  | 2,871 |  | 868 |
Derivatives designated as hedging instruments 1 |  | (1,050) |  | (1,679) |  | 264 |  | (2,729) |  | (832) |
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
1 Included in net interest income.
Hedged items in fair value hedges
|  | 2Q22 |  | 4Q21 |
|  | Hedged items |  |  |  | Hedged items |  |  |
end of |  | Carrying amount |  | Hedging adjustments | 1 | Discontinued hedges | 2 | Carrying amount |  | Hedging adjustments | 1 | Discontinued hedges | 2
Assets (CHF billion)
Investment securities |  | 0.7 |  | (0.1) |  | 0.0 |  | 0.8 |  | 0.0 |  | 0.0 |
Net loans |  | 16.5 |  | (1.5) |  | (0.1) |  | 16.6 |  | (0.2) |  | 0.2 |
Liabilities (CHF billion)
Long-term debt |  | 67.1 |  | (2.3) |  | (1.7) |  | 69.4 |  | (0.2) |  | 0.8 |
1 Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.
Cash flow hedges | Cash flow hedges
in |  | 2Q22 |  | 1Q22 |  | 2Q21 |  | 6M22 |  | 6M21 |
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | (171) |  | (650) |  | (23) |  | (821) |  | (119) |
Gains/(losses) reclassified from AOCI into interest and dividend income |  | 173 |  | 4 |  | 7 |  | 177 |  | 10 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | (36) |  | (14) |  | 0 |  | (50) |  | 4 |
Total other operating expenses |  | (16) |  | (6) |  | 15 |  | (22) |  | 25 |
Gains/(losses) reclassified from AOCI into income |  | (16) |  | (6) |  | 15 |  | (22) |  | 25 |
Net investment hedges | Net investment hedges
in |  | 2Q22 |  | 1Q22 |  | 2Q21 |  | 6M22 |  | 6M21 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI |  | 68 |  | (122) |  | 7 |  | (54) |  | (255) |
Credit protection sold/purchased | Credit protection sold/purchased
|  | 2Q22 |  | 4Q21 |
end of |  | Credit protection sold |  | Credit protection purchased | 1 | Net credit protection (sold)/ purchased |  | Other protection purchased |  | Fair value of credit protection sold |  | Credit protection sold |  | Credit protection purchased | 1 | Net credit protection (sold)/ purchased |  | Other protection purchased |  | Fair value of credit protection sold |
Single-name instruments (CHF billion)
Investment grade 2 |  | (55.7) |  | 50.7 |  | (5.0) |  | 9.7 |  | 0.1 |  | (60.2) |  | 55.6 |  | (4.6) |  | 10.1 |  | 0.6 |
Non-investment grade |  | (25.2) |  | 22.3 |  | (2.9) |  | 7.1 |  | (0.4) |  | (31.5) |  | 28.9 |  | (2.6) |  | 7.9 |  | 0.4 |
Total single-name instruments |  | (80.9) |  | 73.0 |  | (7.9) |  | 16.8 |  | (0.3) |  | (91.7) |  | 84.5 |  | (7.2) |  | 18.0 |  | 1.0 |
of which sovereign |  | (14.0) |  | 12.4 |  | (1.6) |  | 3.9 |  | (0.1) |  | (13.5) |  | 12.2 |  | (1.3) |  | 4.0 |  | (0.1) |
of which non-sovereign |  | (66.9) |  | 60.6 |  | (6.3) |  | 12.9 |  | (0.2) |  | (78.2) |  | 72.3 |  | (5.9) |  | 14.0 |  | 1.1 |
Multi-name instruments (CHF billion)
Investment grade 2 |  | (77.4) |  | 73.0 |  | (4.4) |  | 19.9 |  | (0.2) |  | (102.9) |  | 96.0 |  | (6.9) |  | 20.2 |  | 0.7 |
Non-investment grade |  | (33.7) |  | 29.0 |  | (4.7) |  | 10.4 | 3 | (1.1) |  | (35.7) |  | 33.2 |  | (2.5) |  | 12.6 | 3 | (0.5) |
Total multi-name instruments |  | (111.1) |  | 102.0 |  | (9.1) |  | 30.3 |  | (1.3) |  | (138.6) |  | 129.2 |  | (9.4) |  | 32.8 |  | 0.2 |
of which non-sovereign |  | (111.1) |  | 102.0 |  | (9.1) |  | 30.3 |  | (1.3) |  | (138.6) |  | 129.2 |  | (9.4) |  | 32.8 |  | 0.2 |
Total instruments (CHF billion)
Investment grade 2 |  | (133.1) |  | 123.7 |  | (9.4) |  | 29.6 |  | (0.1) |  | (163.1) |  | 151.6 |  | (11.5) |  | 30.3 |  | 1.3 |
Non-investment grade |  | (58.9) |  | 51.3 |  | (7.6) |  | 17.5 |  | (1.5) |  | (67.2) |  | 62.1 |  | (5.1) |  | 20.5 |  | (0.1) |
Total instruments |  | (192.0) |  | 175.0 |  | (17.0) |  | 47.1 |  | (1.6) |  | (230.3) |  | 213.7 |  | (16.6) |  | 50.8 |  | 1.2 |
of which sovereign |  | (14.0) |  | 12.4 |  | (1.6) |  | 3.9 |  | (0.1) |  | (13.5) |  | 12.2 |  | (1.3) |  | 4.0 |  | (0.1) |
of which non-sovereign |  | (178.0) |  | 162.6 |  | (15.4) |  | 43.2 |  | (1.5) |  | (216.8) |  | 201.5 |  | (15.3) |  | 46.8 |  | 1.3 |
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Includes synthetic securitized loan portfolios.
Contingent credit risk | Contingent credit risk
|  | 2Q22 |  | 4Q21 |
end of |  | Bilateral counterparties |  | Special purpose entities |  | Accelerated terminations |  | Total |  | Bilateral counterparties |  | Special purpose entities |  | Accelerated terminations |  | Total |
Contingent credit risk (CHF billion)
Current net exposure |  | 1.6 |  | 0.0 |  | 0.2 |  | 1.8 |  | 2.3 |  | 0.0 |  | 0.3 |  | 2.6 |
Collateral posted |  | 1.3 |  | 0.0 |  | – |  | 1.3 |  | 1.9 |  | 0.0 |  | – |  | 1.9 |
Impact of a one-notch downgrade event |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.1 |
Impact of a two-notch downgrade event |  | 0.5 |  | 0.0 |  | 0.1 |  | 0.6 |  | 0.2 |  | 0.0 |  | 0.0 |  | 0.2 |
Impact of a three-notch downgrade event |  | 0.6 |  | 0.1 |  | 0.1 |  | 0.8 |  | 0.7 |  | 0.0 |  | 0.1 |  | 0.8 |
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.
Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased | Credit derivatives
end of |  | 2Q22 |  | 4Q21 |
Credit derivatives (CHF billion)
Credit protection sold |  | 192.0 |  | 230.3 |
Credit protection purchased |  | 175.0 |  | 213.7 |
Other protection purchased |  | 47.1 |  | 50.8 |
Other instruments 1 |  | 20.3 |  | 12.0 |
Total credit derivatives |  | 434.4 |  | 506.8 |
1 Consists of total return swaps and other derivative instruments.
Maturity of credit protection sold | Maturity of credit protection sold
end of |  | Maturity less than 1 year |  | Maturity between 1 to 5 years |  | Maturity greater than 5 years |  | Total |
2Q22 (CHF billion)
Single-name instruments |  | 11.8 |  | 65.7 |  | 3.4 |  | 80.9 |
Multi-name instruments |  | 18.2 |  | 83.4 |  | 9.5 |  | 111.1 |
Total instruments |  | 30.0 |  | 149.1 |  | 12.9 |  | 192.0 |
4Q21 (CHF billion)
Single-name instruments |  | 14.4 |  | 73.6 |  | 3.7 |  | 91.7 |
Multi-name instruments |  | 39.9 |  | 88.3 |  | 10.4 |  | 138.6 |
Total instruments |  | 54.3 |  | 161.9 |  | 14.1 |  | 230.3 |
Bank |
Fair value of derivative instruments | Fair value of derivative instruments
|  | Trading |  | Hedging | 1
end of 6M22 |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |
Derivative instruments (CHF billion)
Forwards and forward rate agreements |  | 2,133.5 |  | 4.4 |  | 4.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 8,959.2 |  | 31.5 |  | 28.9 |  | 118.7 |  | 0.1 |  | 1.8 |
Options bought and sold (OTC) |  | 737.8 |  | 8.3 |  | 8.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 172.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 24.5 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Interest rate products |  | 12,027.0 |  | 44.2 |  | 41.5 |  | 118.7 |  | 0.1 |  | 1.8 |
Forwards |  | 1,027.6 |  | 13.5 |  | 14.0 |  | 19.6 |  | 0.4 |  | 0.2 |
Swaps |  | 343.8 |  | 14.3 |  | 14.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 181.8 |  | 3.1 |  | 3.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 2.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 1,565.5 |  | 30.9 |  | 31.0 |  | 19.6 |  | 0.4 |  | 0.2 |
Forwards |  | 0.8 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 57.9 |  | 2.4 |  | 2.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 223.2 |  | 7.0 |  | 8.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 46.9 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 488.7 |  | 21.8 |  | 25.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Equity/index-related products |  | 817.5 |  | 31.2 |  | 35.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Credit derivatives 2 |  | 434.4 |  | 3.4 |  | 4.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Forwards |  | 10.7 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 12.5 |  | 1.0 |  | 0.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 12.0 |  | 0.3 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 8.6 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Other products 3 |  | 54.4 |  | 1.5 |  | 0.8 |  | 0.0 |  | 0.0 |  | 0.0 |
Total derivative instruments |  | 14,898.8 |  | 111.2 |  | 113.5 |  | 138.3 |  | 0.5 |  | 2.0 |
The notional amount, PRV and NRV (trading and hedging) was CHF 15,037.1 billion, CHF 111.7 billion and CHF 115.5 billion, respectively, as of June 30, 2022.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Primarily credit default swaps.
3 Primarily precious metals, commodity and energy products.
Fair value of derivative instruments (continued)
|  | Trading |  | Hedging | 1
end of 2021 |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |  | Notional amount |  | Positive replacement value (PRV) |  | Negative replacement value (NRV) |
Derivative instruments (CHF billion)
Forwards and forward rate agreements |  | 1,736.0 |  | 0.9 |  | 0.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 8,818.8 |  | 36.9 |  | 33.0 |  | 127.5 |  | 0.4 |  | 0.2 |
Options bought and sold (OTC) |  | 779.0 |  | 11.5 |  | 10.9 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 144.5 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 71.6 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Interest rate products |  | 11,549.9 |  | 49.4 |  | 44.8 |  | 127.5 |  | 0.4 |  | 0.2 |
Forwards |  | 1,052.9 |  | 7.6 |  | 8.2 |  | 21.1 |  | 0.1 |  | 0.1 |
Swaps |  | 345.3 |  | 11.3 |  | 12.4 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 174.9 |  | 2.0 |  | 2.2 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 10.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 1.6 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Foreign exchange products |  | 1,585.0 |  | 20.9 |  | 22.8 |  | 21.1 |  | 0.1 |  | 0.1 |
Forwards |  | 0.9 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 94.7 |  | 1.4 |  | 2.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 243.9 |  | 11.1 |  | 12.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 46.3 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 535.8 |  | 22.9 |  | 21.5 |  | 0.0 |  | 0.0 |  | 0.0 |
Equity/index-related products |  | 921.6 |  | 35.5 |  | 36.6 |  | 0.0 |  | 0.0 |  | 0.0 |
Credit derivatives 3 |  | 506.8 |  | 5.0 |  | 6.3 |  | 0.0 |  | 0.0 |  | 0.0 |
Forwards |  | 9.9 |  | 0.2 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Swaps |  | 12.0 |  | 1.1 |  | 0.4 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (OTC) |  | 11.1 |  | 0.2 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Futures |  | 11.1 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |  | 0.0 |
Options bought and sold (exchange-traded) |  | 9.2 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.0 |
Other products 4 |  | 53.3 |  | 1.6 |  | 0.7 |  | 0.0 |  | 0.0 |  | 0.0 |
Total derivative instruments |  | 14,616.6 |  | 112.4 |  | 111.2 |  | 148.6 |  | 0.5 |  | 0.3 |
The notional amount, PRV and NRV (trading and hedging) was CHF 14,765.2 billion, CHF 112.9 billion and CHF 111.5 billion, respectively, as of December 31, 2021.
1 Relates to derivative contracts that qualify for hedge accounting under US GAAP.
2 Prior period has been revised.
3 Primarily credit default swaps.
4 Primarily precious metals, commodity and energy products.
Fair value hedges | Gains or losses on fair value hedges
in |  | 6M22 |  | 6M21 |
Interest rate products (CHF million)
Hedged items 1 |  | 2,508 |  | 776 |
Derivatives designated as hedging instruments 1 |  | (2,370) |  | (740) |
The accrued interest on fair value hedges is recorded in net interest income and is excluded from this table.
1 Included in net interest income.
Hedged items in fair value hedges
|  | 6M22 |  | 2021 |
|  | Hedged items |  |  |  | Hedged items |  |  |
end of |  | Carrying amount |  | Hedging adjustments | 1 | Discontinued hedges | 2 | Carrying amount |  | Hedging adjustments | 1 | Discontinued hedges | 2
Assets (CHF billion)
Investment securities |  | 0.7 |  | (0.1) |  | 0.0 |  | 0.8 |  | 0.0 |  | 0.0 |
Net loans |  | 16.5 |  | (1.5) |  | (0.1) |  | 16.6 |  | (0.2) |  | 0.2 |
Liabilities (CHF billion)
Long-term debt |  | 63.4 |  | (2.0) |  | (1.4) |  | 65.6 |  | (0.1) |  | 0.8 |
1 Relates to the cumulative amount of fair value hedging adjustments included in the carrying amount.
2 Relates to the cumulative amount of fair value hedging adjustments remaining for any hedged items for which hedge accounting has been discontinued.
Cash flow hedges | Cash flow hedges
in |  | 6M22 |  | 6M21 |
Interest rate products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | (821) |  | (119) |
Gains/(losses) reclassified from AOCI into interest and dividend income |  | 177 |  | 10 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in AOCI on derivatives |  | (50) |  | 4 |
Total other operating expenses |  | (22) |  | 25 |
Gains/(losses) reclassified from AOCI into income |  | (22) |  | 25 |
1 Related to the forward points of a foreign currency forward.
Net investment hedges | Net investment hedges
in |  | 6M22 |  | 6M21 |
Foreign exchange products (CHF million)
Gains/(losses) recognized in the cumulative translation adjustments section of AOCI |  | (57) |  | (248) |
Credit protection sold/purchased | Credit protection sold/purchased
|  | 6M22 |  | 2021 |
end of |  | Credit protection sold |  | Credit protection purchased | 1 | Net credit protection (sold)/ purchased |  | Other protection purchased |  | Fair value of credit protection sold |  | Credit protection sold |  | Credit protection purchased | 1 | Net credit protection (sold)/ purchased |  | Other protection purchased |  | Fair value of credit protection sold |
Single-name instruments (CHF billion)
Investment grade 2 |  | (55.7) |  | 50.7 |  | (5.0) |  | 9.7 |  | 0.1 |  | (60.2) |  | 55.6 |  | (4.6) |  | 10.1 |  | 0.6 |
Non-investment grade |  | (25.2) |  | 22.3 |  | (2.9) |  | 7.1 |  | (0.4) |  | (31.5) |  | 28.9 |  | (2.6) |  | 7.9 |  | 0.4 |
Total single-name instruments |  | (80.9) |  | 73.0 |  | (7.9) |  | 16.8 |  | (0.3) |  | (91.7) |  | 84.5 |  | (7.2) |  | 18.0 |  | 1.0 |
of which sovereign |  | (14.0) |  | 12.4 |  | (1.6) |  | 3.9 |  | (0.1) |  | (13.5) |  | 12.2 |  | (1.3) |  | 4.0 |  | (0.1) |
of which non-sovereign |  | (66.9) |  | 60.6 |  | (6.3) |  | 12.9 |  | (0.2) |  | (78.2) |  | 72.3 |  | (5.9) |  | 14.0 |  | 1.1 |
Multi-name instruments (CHF billion)
Investment grade 2 |  | (77.4) |  | 73.0 |  | (4.4) |  | 19.9 |  | (0.2) |  | (102.9) |  | 96.0 |  | (6.9) |  | 20.2 |  | 0.7 |
Non-investment grade |  | (33.7) |  | 29.0 |  | (4.7) |  | 10.4 | 3 | (1.1) |  | (35.7) |  | 33.2 |  | (2.5) |  | 12.6 | 3 | (0.5) |
Total multi-name instruments |  | (111.1) |  | 102.0 |  | (9.1) |  | 30.3 |  | (1.3) |  | (138.6) |  | 129.2 |  | (9.4) |  | 32.8 |  | 0.2 |
of which non-sovereign |  | (111.1) |  | 102.0 |  | (9.1) |  | 30.3 |  | (1.3) |  | (138.6) |  | 129.2 |  | (9.4) |  | 32.8 |  | 0.2 |
Total instruments (CHF billion)
Investment grade 2 |  | (133.1) |  | 123.7 |  | (9.4) |  | 29.6 |  | (0.1) |  | (163.1) |  | 151.6 |  | (11.5) |  | 30.3 |  | 1.3 |
Non-investment grade |  | (58.9) |  | 51.3 |  | (7.6) |  | 17.5 |  | (1.5) |  | (67.2) |  | 62.1 |  | (5.1) |  | 20.5 |  | (0.1) |
Total instruments |  | (192.0) |  | 175.0 |  | (17.0) |  | 47.1 |  | (1.6) |  | (230.3) |  | 213.7 |  | (16.6) |  | 50.8 |  | 1.2 |
of which sovereign |  | (14.0) |  | 12.4 |  | (1.6) |  | 3.9 |  | (0.1) |  | (13.5) |  | 12.2 |  | (1.3) |  | 4.0 |  | (0.1) |
of which non-sovereign |  | (178.0) |  | 162.6 |  | (15.4) |  | 43.2 |  | (1.5) |  | (216.8) |  | 201.5 |  | (15.3) |  | 46.8 |  | 1.3 |
1 Represents credit protection purchased with identical underlyings and recoveries.
2 Based on internal ratings of BBB and above.
3 Includes synthetic securitized loan portfolios.
Contingent credit risk | Contingent credit risk
|  | 6M22 |  | 2021 |
end of |  | Bilateral counterparties |  | Special purpose entities |  | Accelerated terminations |  | Total |  | Bilateral counterparties |  | Special purpose entities |  | Accelerated terminations |  | Total |
Contingent credit risk (CHF billion)
Current net exposure |  | 1.6 |  | 0.0 |  | 0.2 |  | 1.8 |  | 2.3 |  | 0.0 |  | 0.3 |  | 2.6 |
Collateral posted |  | 1.3 |  | 0.0 |  | – |  | 1.3 |  | 1.9 |  | 0.0 |  | – |  | 1.9 |
Impact of a one-notch downgrade event |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.1 |  | 0.1 |  | 0.0 |  | 0.0 |  | 0.1 |
Impact of a two-notch downgrade event |  | 0.5 |  | 0.0 |  | 0.1 |  | 0.6 |  | 0.2 |  | 0.0 |  | 0.0 |  | 0.2 |
Impact of a three-notch downgrade event |  | 0.6 |  | 0.1 |  | 0.1 |  | 0.8 |  | 0.7 |  | 0.0 |  | 0.1 |  | 0.8 |
The impact of a downgrade event reflects the amount of additional collateral required for bilateral counterparties and special purpose entities and the amount of additional termination expenses for accelerated terminations, respectively.
Reconciliation of notional amount of credit derivatives included in fair value of derivative instruments to credit protection sold/purchased | Credit derivatives
end of |  | 6M22 |  | 2021 |
Credit derivatives (CHF billion)
Credit protection sold |  | 192.0 |  | 230.3 |
Credit protection purchased |  | 175.0 |  | 213.7 |
Other protection purchased |  | 47.1 |  | 50.8 |
Other instruments 1 |  | 20.3 |  | 12.0 |
Total credit derivatives |  | 434.4 |  | 506.8 |
1 Consists of total return swaps and other derivative instruments.
Maturity of credit protection sold | Maturity of credit protection sold
end of |  | Maturity less than 1 year |  | Maturity between 1 to 5 years |  | Maturity greater than 5 years |  | Total |
6M22 (CHF billion)
Single-name instruments |  | 11.8 |  | 65.7 |  | 3.4 |  | 80.9 |
Multi-name instruments |  | 18.2 |  | 83.4 |  | 9.5 |  | 111.1 |
Total instruments |  | 30.0 |  | 149.1 |  | 12.9 |  | 192.0 |
2021 (CHF billion)
Single-name instruments |  | 14.4 |  | 73.6 |  | 3.7 |  | 91.7 |
Multi-name instruments |  | 39.9 |  | 88.3 |  | 10.4 |  | 138.6 |
Total instruments |  | 54.3 |  | 161.9 |  | 14.1 |  | 230.3 |

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