Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.19.3
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2019
Dec. 31, 2018
Carrying Value of Credit Derivatives    
Total $ 380,500 $ 317,800
Carrying Value of Credit-related Notes    
Less than One Year 12 1
One to Three Years 5 1
Three to Five Years 1 5
Over Five Years 2,048 2,032
Total 2,066 2,039
Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 69 134
One to Three Years 274 680
Three to Five Years 828 1,350
Over Five Years 1,335 2,179
Total 2,506 4,343
Maximum Payout/Notional    
Less than One Year 65,627 78,055
One to Three Years 109,891 129,580
Three to Five Years 138,943 129,804
Over Five Years 48,526 34,480
Total 362,987 371,919
Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 385 577
One to Three Years 12 21
Three to Five Years 0 0
Over Five Years 0 0
Total 397 598
Maximum Payout/Notional    
Less than One Year 57,524 84,566
One to Three Years 511 2,471
Three to Five Years 112 98
Over Five Years 135 142
Total 58,282 87,277
Credit derivatives | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 454 711
One to Three Years 286 701
Three to Five Years 828 1,350
Over Five Years 1,335 2,179
Total 2,903 4,941
Maximum Payout/Notional    
Less than One Year 123,151 162,621
One to Three Years 110,402 132,051
Three to Five Years 139,055 129,902
Over Five Years 48,661 34,622
Total 421,269 459,196
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 3 0
Three to Five Years 0 4
Over Five Years 646 532
Total 649 536
Investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 0 2
One to Three Years 10 44
Three to Five Years 90 436
Over Five Years 249 488
Total 349 970
Maximum Payout/Notional    
Less than One Year 48,416 53,758
One to Three Years 82,184 95,699
Three to Five Years 102,206 95,274
Over Five Years 30,639 20,054
Total 263,445 264,785
Investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 20 105
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 20 105
Maximum Payout/Notional    
Less than One Year 29,218 60,042
One to Three Years 0 822
Three to Five Years 61 59
Over Five Years 74 72
Total 29,353 60,995
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 12 1
One to Three Years 2 1
Three to Five Years 1 1
Over Five Years 1,402 1,500
Total 1,417 1,503
Non-investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 69 132
One to Three Years 264 636
Three to Five Years 738 914
Over Five Years 1,086 1,691
Total 2,157 3,373
Maximum Payout/Notional    
Less than One Year 17,211 24,297
One to Three Years 27,707 33,881
Three to Five Years 36,737 34,530
Over Five Years 17,887 14,426
Total 99,542 107,134
Non-investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 365 472
One to Three Years 12 21
Three to Five Years 0 0
Over Five Years 0 0
Total 377 493
Maximum Payout/Notional    
Less than One Year 28,306 24,524
One to Three Years 511 1,649
Three to Five Years 51 39
Over Five Years 61 70
Total $ 28,929 $ 26,282