Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.22.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Mar. 31, 2022
Dec. 31, 2021
Carrying Value of Credit Derivatives    
Total $ 383,200 $ 355,500
Carrying Value of Credit-related Notes    
Less than One Year 3 5
One to Three Years 2 0
Three to Five Years 10 45
Over Five Years 1,631 1,746
Total 1,646 1,796
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 125 34
One to Three Years 795 255
Three to Five Years 1,068 532
Over Five Years 919 818
Total 2,907 1,639
Maximum Payout/Notional    
Less than One Year 50,521 50,622
One to Three Years 99,502 95,567
Three to Five Years 141,020 107,800
Over Five Years 47,387 25,805
Total 338,430 279,794
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 312 140
One to Three Years 480 388
Three to Five Years 23 16
Over Five Years 1 0
Total 816 544
Maximum Payout/Notional    
Less than One Year 105,726 72,247
One to Three Years 13,110 12,211
Three to Five Years 653 720
Over Five Years 331 73
Total 119,820 85,251
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 437 174
One to Three Years 1,275 643
Three to Five Years 1,091 548
Over Five Years 920 818
Total 3,723 2,183
Maximum Payout/Notional    
Less than One Year 156,247 122,869
One to Three Years 112,612 107,778
Three to Five Years 141,673 108,520
Over Five Years 47,718 25,878
Total 458,250 365,045
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 36
Over Five Years 473 412
Total 473 448
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 7 0
One to Three Years 47 5
Three to Five Years 154 79
Over Five Years 84 49
Total 292 133
Maximum Payout/Notional    
Less than One Year 34,299 34,503
One to Three Years 67,361 66,334
Three to Five Years 95,140 73,444
Over Five Years 32,947 17,844
Total 229,747 192,125
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 109 35
One to Three Years 384 388
Three to Five Years 0 0
Over Five Years 0 0
Total 493 423
Maximum Payout/Notional    
Less than One Year 87,066 49,626
One to Three Years 11,259 11,494
Three to Five Years 0 78
Over Five Years 0 0
Total 98,325 61,198
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 3 5
One to Three Years 2 0
Three to Five Years 10 9
Over Five Years 1,158 1,334
Total 1,173 1,348
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 118 34
One to Three Years 748 250
Three to Five Years 914 453
Over Five Years 835 769
Total 2,615 1,506
Maximum Payout/Notional    
Less than One Year 16,222 16,119
One to Three Years 32,141 29,233
Three to Five Years 45,880 34,356
Over Five Years 14,440 7,961
Total 108,683 87,669
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 203 105
One to Three Years 96 0
Three to Five Years 23 16
Over Five Years 1 0
Total 323 121
Maximum Payout/Notional    
Less than One Year 18,660 22,621
One to Three Years 1,851 717
Three to Five Years 653 642
Over Five Years 331 73
Total $ 21,495 $ 24,053