Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.23.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Jun. 30, 2023
Dec. 31, 2022
Carrying Value of Credit Derivatives    
Total $ 381,500 $ 398,500
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 4 7
Three to Five Years 6 25
Over Five Years 1,800 2,052
Total 1,810 2,084
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 94 509
One to Three Years 586 886
Three to Five Years 1,045 1,135
Over Five Years 837 741
Total 2,562 3,271
Maximum Payout/Notional    
Less than One Year 116,733 121,385
One to Three Years 116,770 106,706
Three to Five Years 216,496 126,182
Over Five Years 27,696 26,236
Total 477,695 380,509
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 33 122
One to Three Years 361 541
Three to Five Years 938 1,003
Over Five Years 832 731
Total 2,164 2,397
Maximum Payout/Notional    
Less than One Year 52,821 49,899
One to Three Years 101,915 95,799
Three to Five Years 212,733 124,128
Over Five Years 26,772 25,339
Total 394,241 295,165
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 61 387
One to Three Years 225 345
Three to Five Years 107 132
Over Five Years 5 10
Total 398 874
Maximum Payout/Notional    
Less than One Year 63,912 71,486
One to Three Years 14,855 10,907
Three to Five Years 3,763 2,054
Over Five Years 924 897
Total 83,454 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 743 1,017
Total 745 1,036
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 1 2
One to Three Years 14 25
Three to Five Years 76 133
Over Five Years 25 34
Total 116 194
Maximum Payout/Notional    
Less than One Year 36,119 34,670
One to Three Years 70,422 66,170
Three to Five Years 165,944 93,237
Over Five Years 20,253 18,677
Total 292,738 212,754
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 18 55
One to Three Years 207 336
Three to Five Years 1 0
Over Five Years 0 0
Total 226 391
Maximum Payout/Notional    
Less than One Year 39,429 38,722
One to Three Years 13,323 10,407
Three to Five Years 1,608 0
Over Five Years 66 0
Total 54,426 49,129
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 4 7
Three to Five Years 4 6
Over Five Years 1,057 1,035
Total 1,065 1,048
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 32 120
One to Three Years 347 516
Three to Five Years 862 870
Over Five Years 807 697
Total 2,048 2,203
Maximum Payout/Notional    
Less than One Year 16,702 15,229
One to Three Years 31,493 29,629
Three to Five Years 46,789 30,891
Over Five Years 6,519 6,662
Total 101,503 82,411
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 43 332
One to Three Years 18 9
Three to Five Years 106 132
Over Five Years 5 10
Total 172 483
Maximum Payout/Notional    
Less than One Year 24,483 32,764
One to Three Years 1,532 500
Three to Five Years 2,155 2,054
Over Five Years 858 897
Total $ 29,028 $ 36,215