Annual report pursuant to Section 13 and 15(d)

Derivatives - Credit Derivatives (Details)

v3.22.4
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Dec. 31, 2022
Dec. 31, 2021
Carrying Value of Credit Derivatives    
Total $ 398,500 $ 355,500
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 7 0
Three to Five Years 25 45
Over Five Years 2,052 1,746
Total 2,084 1,796
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 509 174
One to Three Years 886 643
Three to Five Years 1,135 548
Over Five Years 741 818
Total 3,271 2,183
Maximum Payout/Notional    
Less than One Year 121,385 122,869
One to Three Years 106,706 107,778
Three to Five Years 126,182 108,520
Over Five Years 26,236 25,878
Total 380,509 365,045
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 122 34
One to Three Years 541 255
Three to Five Years 1,003 532
Over Five Years 731 818
Total 2,397 1,639
Maximum Payout/Notional    
Less than One Year 49,899 50,622
One to Three Years 95,799 95,567
Three to Five Years 124,128 107,800
Over Five Years 25,339 25,805
Total 295,165 279,794
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 387 140
One to Three Years 345 388
Three to Five Years 132 16
Over Five Years 10 0
Total 874 544
Maximum Payout/Notional    
Less than One Year 71,486 72,247
One to Three Years 10,907 12,211
Three to Five Years 2,054 720
Over Five Years 897 73
Total 85,344 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 19 36
Over Five Years 1,017 412
Total 1,036 448
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 2 0
One to Three Years 25 5
Three to Five Years 133 79
Over Five Years 34 49
Total 194 133
Maximum Payout/Notional    
Less than One Year 34,670 34,503
One to Three Years 66,170 66,334
Three to Five Years 93,237 73,444
Over Five Years 18,677 17,844
Total 212,754 192,125
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 55 35
One to Three Years 336 388
Three to Five Years 0 0
Over Five Years 0 0
Total 391 423
Maximum Payout/Notional    
Less than One Year 38,722 49,626
One to Three Years 10,407 11,494
Three to Five Years 0 78
Over Five Years 0 0
Total 49,129 61,198
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 5
One to Three Years 7 0
Three to Five Years 6 9
Over Five Years 1,035 1,334
Total 1,048 1,348
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 120 34
One to Three Years 516 250
Three to Five Years 870 453
Over Five Years 697 769
Total 2,203 1,506
Maximum Payout/Notional    
Less than One Year 15,229 16,119
One to Three Years 29,629 29,233
Three to Five Years 30,891 34,356
Over Five Years 6,662 7,961
Total 82,411 87,669
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 332 105
One to Three Years 9 0
Three to Five Years 132 16
Over Five Years 10 0
Total 483 121
Maximum Payout/Notional    
Less than One Year 32,764 22,621
One to Three Years 500 717
Three to Five Years 2,054 642
Over Five Years 897 73
Total $ 36,215 $ 24,053