Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.23.3
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2023
Dec. 31, 2022
Carrying Value of Credit Derivatives    
Total $ 380,400 $ 398,500
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 4 7
Three to Five Years 7 25
Over Five Years 1,873 2,052
Total 1,884 2,084
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 146 509
One to Three Years 611 886
Three to Five Years 940 1,135
Over Five Years 847 741
Total 2,544 3,271
Maximum Payout/Notional    
Less than One Year 88,563 121,385
One to Three Years 112,245 106,706
Three to Five Years 184,227 126,182
Over Five Years 62,894 26,236
Total 447,929 380,509
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 19 122
One to Three Years 294 541
Three to Five Years 847 1,003
Over Five Years 837 731
Total 1,997 2,397
Maximum Payout/Notional    
Less than One Year 47,866 49,899
One to Three Years 96,281 95,799
Three to Five Years 180,242 124,128
Over Five Years 61,850 25,339
Total 386,239 295,165
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 127 387
One to Three Years 317 345
Three to Five Years 93 132
Over Five Years 10 10
Total 547 874
Maximum Payout/Notional    
Less than One Year 40,697 71,486
One to Three Years 15,964 10,907
Three to Five Years 3,985 2,054
Over Five Years 1,044 897
Total 61,690 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 1 19
Over Five Years 745 1,017
Total 746 1,036
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 2
One to Three Years 8 25
Three to Five Years 69 133
Over Five Years 44 34
Total 121 194
Maximum Payout/Notional    
Less than One Year 32,425 34,670
One to Three Years 63,851 66,170
Three to Five Years 139,008 93,237
Over Five Years 47,781 18,677
Total 283,065 212,754
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 21 55
One to Three Years 118 336
Three to Five Years 0 0
Over Five Years 0 0
Total 139 391
Maximum Payout/Notional    
Less than One Year 25,097 38,722
One to Three Years 12,709 10,407
Three to Five Years 1,598 0
Over Five Years 105 0
Total 39,509 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 6 6
Over Five Years 1,128 1,035
Total 1,138 1,048
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 19 120
One to Three Years 286 516
Three to Five Years 778 870
Over Five Years 793 697
Total 1,876 2,203
Maximum Payout/Notional    
Less than One Year 15,441 15,229
One to Three Years 32,430 29,629
Three to Five Years 41,234 30,891
Over Five Years 14,069 6,662
Total 103,174 82,411
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 106 332
One to Three Years 199 9
Three to Five Years 93 132
Over Five Years 10 10
Total 408 483
Maximum Payout/Notional    
Less than One Year 15,600 32,764
One to Three Years 3,255 500
Three to Five Years 2,387 2,054
Over Five Years 939 897
Total $ 22,181 $ 36,215