Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.20.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Jun. 30, 2020
Dec. 31, 2019
Carrying Value of Credit Derivatives    
Total $ 431,400 $ 337,100
Carrying Value of Credit-related Notes    
Less than One Year 6 6
One to Three Years 2 5
Three to Five Years 2 2
Over Five Years 1,547 1,764
Total 1,557 1,777
Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 102 70
One to Three Years 738 297
Three to Five Years 1,298 621
Over Five Years 1,974 972
Total 4,112 1,960
Maximum Payout/Notional    
Less than One Year 70,779 74,876
One to Three Years 110,480 94,359
Three to Five Years 147,580 100,938
Over Five Years 28,600 30,045
Total 357,439 300,218
Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 879 379
One to Three Years 5 0
Three to Five Years 0 0
Over Five Years 0 0
Total 884 379
Maximum Payout/Notional    
Less than One Year 79,979 85,195
One to Three Years 687 657
Three to Five Years 132 166
Over Five Years 5 136
Total 80,803 86,154
Credit derivatives | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 981 449
One to Three Years 743 297
Three to Five Years 1,298 621
Over Five Years 1,974 972
Total 4,996 2,339
Maximum Payout/Notional    
Less than One Year 150,758 160,071
One to Three Years 111,167 95,016
Three to Five Years 147,712 101,104
Over Five Years 28,605 30,181
Total 438,242 386,372
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 3
Three to Five Years 0 1
Over Five Years 569 639
Total 569 643
Investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 1 0
One to Three Years 33 5
Three to Five Years 171 60
Over Five Years 325 164
Total 530 229
Maximum Payout/Notional    
Less than One Year 50,713 55,827
One to Three Years 80,302 67,838
Three to Five Years 106,343 71,320
Over Five Years 17,662 17,708
Total 255,020 212,693
Investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 76 35
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 76 35
Maximum Payout/Notional    
Less than One Year 35,492 56,488
One to Three Years 0 0
Three to Five Years 132 62
Over Five Years 0 76
Total 35,624 56,626
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 6 6
One to Three Years 2 2
Three to Five Years 2 1
Over Five Years 978 1,125
Total 988 1,134
Non-investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 101 70
One to Three Years 705 292
Three to Five Years 1,127 561
Over Five Years 1,649 808
Total 3,582 1,731
Maximum Payout/Notional    
Less than One Year 20,066 19,049
One to Three Years 30,178 26,521
Three to Five Years 41,237 29,618
Over Five Years 10,938 12,337
Total 102,419 87,525
Non-investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 803 344
One to Three Years 5 0
Three to Five Years 0 0
Over Five Years 0 0
Total 808 344
Maximum Payout/Notional    
Less than One Year 44,487 28,707
One to Three Years 687 657
Three to Five Years 0 104
Over Five Years 5 60
Total $ 45,179 $ 29,528