Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.23.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Mar. 31, 2023
Dec. 31, 2022
Carrying Value of Credit Derivatives    
Total $ 363,900 $ 398,500
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 3 7
Three to Five Years 6 25
Over Five Years 1,856 2,052
Total 1,865 2,084
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 414 509
One to Three Years 717 886
Three to Five Years 1,133 1,135
Over Five Years 915 741
Total 3,179 3,271
Maximum Payout/Notional    
Less than One Year 159,579 121,385
One to Three Years 109,390 106,706
Three to Five Years 162,096 126,182
Over Five Years 52,092 26,236
Total 483,157 380,509
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 60 122
One to Three Years 427 541
Three to Five Years 1,024 1,003
Over Five Years 905 731
Total 2,416 2,397
Maximum Payout/Notional    
Less than One Year 50,184 49,899
One to Three Years 97,367 95,799
Three to Five Years 160,008 124,128
Over Five Years 51,186 25,339
Total 358,745 295,165
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 354 387
One to Three Years 290 345
Three to Five Years 109 132
Over Five Years 10 10
Total 763 874
Maximum Payout/Notional    
Less than One Year 109,395 71,486
One to Three Years 12,023 10,907
Three to Five Years 2,088 2,054
Over Five Years 906 897
Total 124,412 85,344
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 0
Three to Five Years 2 19
Over Five Years 824 1,017
Total 826 1,036
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 6 2
One to Three Years 32 25
Three to Five Years 105 133
Over Five Years 42 34
Total 185 194
Maximum Payout/Notional    
Less than One Year 32,823 34,670
One to Three Years 67,196 66,170
Three to Five Years 123,896 93,237
Over Five Years 37,078 18,677
Total 260,993 212,754
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 85 55
One to Three Years 282 336
Three to Five Years 0 0
Over Five Years 0 0
Total 367 391
Maximum Payout/Notional    
Less than One Year 73,449 38,722
One to Three Years 11,240 10,407
Three to Five Years 0 0
Over Five Years 0 0
Total 84,689 49,129
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 3 7
Three to Five Years 4 6
Over Five Years 1,032 1,035
Total 1,039 1,048
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 54 120
One to Three Years 395 516
Three to Five Years 919 870
Over Five Years 863 697
Total 2,231 2,203
Maximum Payout/Notional    
Less than One Year 17,361 15,229
One to Three Years 30,171 29,629
Three to Five Years 36,112 30,891
Over Five Years 14,108 6,662
Total 97,752 82,411
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 269 332
One to Three Years 8 9
Three to Five Years 109 132
Over Five Years 10 10
Total 396 483
Maximum Payout/Notional    
Less than One Year 35,946 32,764
One to Three Years 783 500
Three to Five Years 2,088 2,054
Over Five Years 906 897
Total $ 39,723 $ 36,215