Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.22.2.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2022
Dec. 31, 2021
Carrying Value of Credit Derivatives    
Total $ 459,500 $ 355,500
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 2 0
Three to Five Years 4 45
Over Five Years 1,791 1,746
Total 1,797 1,796
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 1,106 174
One to Three Years 1,161 643
Three to Five Years 2,085 548
Over Five Years 1,294 818
Total 5,646 2,183
Maximum Payout/Notional    
Less than One Year 153,768 122,869
One to Three Years 106,534 107,778
Three to Five Years 137,887 108,520
Over Five Years 55,119 25,878
Total 453,308 365,045
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 58 34
One to Three Years 906 255
Three to Five Years 1,999 532
Over Five Years 1,288 818
Total 4,251 1,639
Maximum Payout/Notional    
Less than One Year 47,123 50,622
One to Three Years 95,354 95,567
Three to Five Years 136,306 107,800
Over Five Years 54,229 25,805
Total 333,012 279,794
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 1,048 140
One to Three Years 255 388
Three to Five Years 86 16
Over Five Years 6 0
Total 1,395 544
Maximum Payout/Notional    
Less than One Year 106,645 72,247
One to Three Years 11,180 12,211
Three to Five Years 1,581 720
Over Five Years 890 73
Total 120,296 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 673 412
Total 673 448
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 1 0
One to Three Years 52 5
Three to Five Years 502 79
Over Five Years 287 49
Total 842 133
Maximum Payout/Notional    
Less than One Year 32,510 34,503
One to Three Years 66,961 66,334
Three to Five Years 96,170 73,444
Over Five Years 42,448 17,844
Total 238,089 192,125
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 146 35
One to Three Years 249 388
Three to Five Years 0 0
Over Five Years 0 0
Total 395 423
Maximum Payout/Notional    
Less than One Year 65,805 49,626
One to Three Years 8,907 11,494
Three to Five Years 0 78
Over Five Years 0 0
Total 74,712 61,198
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 2 0
Three to Five Years 4 9
Over Five Years 1,118 1,334
Total 1,124 1,348
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 57 34
One to Three Years 854 250
Three to Five Years 1,497 453
Over Five Years 1,001 769
Total 3,409 1,506
Maximum Payout/Notional    
Less than One Year 14,613 16,119
One to Three Years 28,393 29,233
Three to Five Years 40,136 34,356
Over Five Years 11,781 7,961
Total 94,923 87,669
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 902 105
One to Three Years 6 0
Three to Five Years 86 16
Over Five Years 6 0
Total 1,000 121
Maximum Payout/Notional    
Less than One Year 40,840 22,621
One to Three Years 2,273 717
Three to Five Years 1,581 642
Over Five Years 890 73
Total $ 45,584 $ 24,053