Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.24.3
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2024
Dec. 31, 2023
Carrying Value of Credit Derivatives    
Total $ 324,000 $ 301,200
Carrying Value of Credit-related Notes    
Less than One Year 4 0
One to Three Years 1 5
Three to Five Years 24 16
Over Five Years 1,750 1,962
Total 1,779 1,983
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 138 246
One to Three Years 148 357
Three to Five Years 762 683
Over Five Years 486 620
Total 1,534 1,906
Maximum Payout/Notional    
Less than One Year 141,986 113,020
One to Three Years 122,081 100,087
Three to Five Years 276,441 120,715
Over Five Years 65,683 23,861
Total 606,191 357,683
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 6 38
One to Three Years 148 288
Three to Five Years 762 627
Over Five Years 486 615
Total 1,402 1,568
Maximum Payout/Notional    
Less than One Year 56,524 51,811
One to Three Years 118,536 97,170
Three to Five Years 274,511 117,247
Over Five Years 65,246 22,850
Total 514,817 289,078
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 132 208
One to Three Years 0 69
Three to Five Years 0 56
Over Five Years 0 5
Total 132 338
Maximum Payout/Notional    
Less than One Year 85,462 61,209
One to Three Years 3,545 2,917
Three to Five Years 1,930 3,468
Over Five Years 437 1,011
Total 91,374 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 4 0
Over Five Years 599 859
Total 603 859
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 1 11
Three to Five Years 17 26
Over Five Years 26 20
Total 44 57
Maximum Payout/Notional    
Less than One Year 40,745 33,750
One to Three Years 86,391 65,015
Three to Five Years 214,340 83,313
Over Five Years 53,247 17,023
Total 394,723 199,101
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 27 59
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 27 59
Maximum Payout/Notional    
Less than One Year 62,281 40,515
One to Three Years 1,502 1,503
Three to Five Years 1,287 1,561
Over Five Years 334 23
Total 65,404 43,602
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 4 0
One to Three Years 1 5
Three to Five Years 20 16
Over Five Years 1,151 1,103
Total 1,176 1,124
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 6 38
One to Three Years 147 277
Three to Five Years 745 601
Over Five Years 460 595
Total 1,358 1,511
Maximum Payout/Notional    
Less than One Year 15,779 18,061
One to Three Years 32,145 32,155
Three to Five Years 60,171 33,934
Over Five Years 11,999 5,827
Total 120,094 89,977
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 105 149
One to Three Years 0 69
Three to Five Years 0 56
Over Five Years 0 5
Total 105 279
Maximum Payout/Notional    
Less than One Year 23,181 20,694
One to Three Years 2,043 1,414
Three to Five Years 643 1,907
Over Five Years 103 988
Total $ 25,970 $ 25,003