Annual report pursuant to Section 13 and 15(d)

Derivatives - Credit Derivatives (Details)

v3.22.0.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Dec. 31, 2021
Dec. 31, 2020
Carrying Value of Credit Derivatives    
Total $ 355,500 $ 434,000
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 0 2
Three to Five Years 45 10
Over Five Years 1,746 1,519
Total 1,796 1,595
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 34 26
One to Three Years 255 234
Three to Five Years 532 399
Over Five Years 818 1,257
Total 1,639 1,916
Maximum Payout/Notional    
Less than One Year 50,622 47,138
One to Three Years 95,567 104,501
Three to Five Years 107,800 123,196
Over Five Years 25,805 26,674
Total 279,794 301,509
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 140 366
One to Three Years 388 4
Three to Five Years 16 0
Over Five Years 0 0
Total 544 370
Maximum Payout/Notional    
Less than One Year 72,247 67,089
One to Three Years 12,211 1,425
Three to Five Years 720 104
Over Five Years 73 5
Total 85,251 68,623
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 174 392
One to Three Years 643 238
Three to Five Years 548 399
Over Five Years 818 1,257
Total 2,183 2,286
Maximum Payout/Notional    
Less than One Year 122,869 114,227
One to Three Years 107,778 105,926
Three to Five Years 108,520 123,300
Over Five Years 25,878 26,679
Total 365,045 370,132
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 0
Three to Five Years 36 0
Over Five Years 412 572
Total 448 572
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 5 1
Three to Five Years 79 35
Over Five Years 49 94
Total 133 130
Maximum Payout/Notional    
Less than One Year 34,503 33,474
One to Three Years 66,334 75,731
Three to Five Years 73,444 87,218
Over Five Years 17,844 16,822
Total 192,125 213,245
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 35 21
One to Three Years 388 4
Three to Five Years 0 0
Over Five Years 0 0
Total 423 25
Maximum Payout/Notional    
Less than One Year 49,626 30,961
One to Three Years 11,494 1,061
Three to Five Years 78 77
Over Five Years 0 0
Total 61,198 32,099
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 0 2
Three to Five Years 9 10
Over Five Years 1,334 947
Total 1,348 1,023
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 34 26
One to Three Years 250 233
Three to Five Years 453 364
Over Five Years 769 1,163
Total 1,506 1,786
Maximum Payout/Notional    
Less than One Year 16,119 13,664
One to Three Years 29,233 28,770
Three to Five Years 34,356 35,978
Over Five Years 7,961 9,852
Total 87,669 88,264
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 105 345
One to Three Years 0 0
Three to Five Years 16 0
Over Five Years 0 0
Total 121 345
Maximum Payout/Notional    
Less than One Year 22,621 36,128
One to Three Years 717 364
Three to Five Years 642 27
Over Five Years 73 5
Total $ 24,053 $ 36,524