Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.24.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Jun. 30, 2024
Dec. 31, 2023
Carrying Value of Credit Derivatives    
Total $ 292,900 $ 301,200
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 5 5
Three to Five Years 17 16
Over Five Years 1,862 1,962
Total 1,884 1,983
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 204 246
One to Three Years 346 357
Three to Five Years 1,009 683
Over Five Years 517 620
Total 2,076 1,906
Maximum Payout/Notional    
Less than One Year 150,208 113,020
One to Three Years 116,329 100,087
Three to Five Years 225,114 120,715
Over Five Years 25,651 23,861
Total 517,302 357,683
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 18 38
One to Three Years 268 288
Three to Five Years 919 627
Over Five Years 507 615
Total 1,712 1,568
Maximum Payout/Notional    
Less than One Year 53,956 51,811
One to Three Years 112,350 97,170
Three to Five Years 221,322 117,247
Over Five Years 25,083 22,850
Total 412,711 289,078
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 186 208
One to Three Years 78 69
Three to Five Years 90 56
Over Five Years 10 5
Total 364 338
Maximum Payout/Notional    
Less than One Year 96,252 61,209
One to Three Years 3,979 2,917
Three to Five Years 3,792 3,468
Over Five Years 568 1,011
Total 104,591 68,605
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 0
Over Five Years 720 859
Total 722 859
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 11 11
Three to Five Years 26 26
Over Five Years 20 20
Total 57 57
Maximum Payout/Notional    
Less than One Year 37,894 33,750
One to Three Years 77,291 65,015
Three to Five Years 169,415 83,313
Over Five Years 20,257 17,023
Total 304,857 199,101
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 71 59
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 71 59
Maximum Payout/Notional    
Less than One Year 71,915 40,515
One to Three Years 1,457 1,503
Three to Five Years 1,369 1,561
Over Five Years 177 23
Total 74,918 43,602
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 5 5
Three to Five Years 15 16
Over Five Years 1,142 1,103
Total 1,162 1,124
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 18 38
One to Three Years 257 277
Three to Five Years 893 601
Over Five Years 487 595
Total 1,655 1,511
Maximum Payout/Notional    
Less than One Year 16,062 18,061
One to Three Years 35,059 32,155
Three to Five Years 51,907 33,934
Over Five Years 4,826 5,827
Total 107,854 89,977
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 115 149
One to Three Years 78 69
Three to Five Years 90 56
Over Five Years 10 5
Total 293 279
Maximum Payout/Notional    
Less than One Year 24,337 20,694
One to Three Years 2,522 1,414
Three to Five Years 2,423 1,907
Over Five Years 391 988
Total $ 29,673 $ 25,003