Annual report pursuant to Section 13 and 15(d)

Derivatives - Credit Derivatives (Details)

v3.24.0.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Dec. 31, 2023
Dec. 31, 2022
Carrying Value of Credit Derivatives    
Total $ 301,200 $ 398,500
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 5 7
Three to Five Years 16 25
Over Five Years 1,962 2,052
Total 1,983 2,084
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 246 509
One to Three Years 357 886
Three to Five Years 683 1,135
Over Five Years 620 741
Total 1,906 3,271
Maximum Payout/Notional    
Less than One Year 113,020 121,385
One to Three Years 100,087 106,706
Three to Five Years 120,715 126,182
Over Five Years 23,861 26,236
Total 357,683 380,509
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 38 122
One to Three Years 288 541
Three to Five Years 627 1,003
Over Five Years 615 731
Total 1,568 2,397
Maximum Payout/Notional    
Less than One Year 51,811 49,899
One to Three Years 97,170 95,799
Three to Five Years 117,247 124,128
Over Five Years 22,850 25,339
Total 289,078 295,165
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 208 387
One to Three Years 69 345
Three to Five Years 56 132
Over Five Years 5 10
Total 338 874
Maximum Payout/Notional    
Less than One Year 61,209 71,486
One to Three Years 2,917 10,907
Three to Five Years 3,468 2,054
Over Five Years 1,011 897
Total 68,605 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 0 19
Over Five Years 859 1,017
Total 859 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 11 25
Three to Five Years 26 133
Over Five Years 20 34
Total 57 194
Maximum Payout/Notional    
Less than One Year 33,750 34,670
One to Three Years 65,015 66,170
Three to Five Years 83,313 93,237
Over Five Years 17,023 18,677
Total 199,101 212,754
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 59 55
One to Three Years 0 336
Three to Five Years 0 0
Over Five Years 0 0
Total 59 391
Maximum Payout/Notional    
Less than One Year 40,515 38,722
One to Three Years 1,503 10,407
Three to Five Years 1,561 0
Over Five Years 23 0
Total 43,602 49,129
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 5 7
Three to Five Years 16 6
Over Five Years 1,103 1,035
Total 1,124 1,048
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 38 120
One to Three Years 277 516
Three to Five Years 601 870
Over Five Years 595 697
Total 1,511 2,203
Maximum Payout/Notional    
Less than One Year 18,061 15,229
One to Three Years 32,155 29,629
Three to Five Years 33,934 30,891
Over Five Years 5,827 6,662
Total 89,977 82,411
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 149 332
One to Three Years 69 9
Three to Five Years 56 132
Over Five Years 5 10
Total 279 483
Maximum Payout/Notional    
Less than One Year 20,694 32,764
One to Three Years 1,414 500
Three to Five Years 1,907 2,054
Over Five Years 988 897
Total $ 25,003 $ 36,215