Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.22.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Jun. 30, 2022
Dec. 31, 2021
Carrying Value of Credit Derivatives    
Total $ 389,500 $ 355,500
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 3 0
Three to Five Years 6 45
Over Five Years 1,620 1,746
Total 1,629 1,796
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 1,050 174
One to Three Years 1,398 643
Three to Five Years 2,287 548
Over Five Years 1,073 818
Total 5,808 2,183
Maximum Payout/Notional    
Less than One Year 150,006 122,869
One to Three Years 107,226 107,778
Three to Five Years 168,873 108,520
Over Five Years 26,243 25,878
Total 452,348 365,045
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 264 34
One to Three Years 1,041 255
Three to Five Years 2,227 532
Over Five Years 1,068 818
Total 4,600 1,639
Maximum Payout/Notional    
Less than One Year 50,681 50,622
One to Three Years 96,580 95,567
Three to Five Years 167,432 107,800
Over Five Years 25,507 25,805
Total 340,200 279,794
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 786 140
One to Three Years 357 388
Three to Five Years 60 16
Over Five Years 5 0
Total 1,208 544
Maximum Payout/Notional    
Less than One Year 99,325 72,247
One to Three Years 10,646 12,211
Three to Five Years 1,441 720
Over Five Years 736 73
Total 112,148 85,251
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 0
Three to Five Years 0 36
Over Five Years 572 412
Total 572 448
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 12 0
One to Three Years 117 5
Three to Five Years 495 79
Over Five Years 166 49
Total 790 133
Maximum Payout/Notional    
Less than One Year 34,468 34,503
One to Three Years 66,032 66,334
Three to Five Years 113,893 73,444
Over Five Years 17,731 17,844
Total 232,124 192,125
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 215 35
One to Three Years 354 388
Three to Five Years 0 0
Over Five Years 0 0
Total 569 423
Maximum Payout/Notional    
Less than One Year 62,511 49,626
One to Three Years 10,007 11,494
Three to Five Years 0 78
Over Five Years 0 0
Total 72,518 61,198
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 3 0
Three to Five Years 6 9
Over Five Years 1,048 1,334
Total 1,057 1,348
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 252 34
One to Three Years 924 250
Three to Five Years 1,732 453
Over Five Years 902 769
Total 3,810 1,506
Maximum Payout/Notional    
Less than One Year 16,213 16,119
One to Three Years 30,548 29,233
Three to Five Years 53,539 34,356
Over Five Years 7,776 7,961
Total 108,076 87,669
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 571 105
One to Three Years 3 0
Three to Five Years 60 16
Over Five Years 5 0
Total 639 121
Maximum Payout/Notional    
Less than One Year 36,814 22,621
One to Three Years 639 717
Three to Five Years 1,441 642
Over Five Years 736 73
Total $ 39,630 $ 24,053