Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.20.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2020
Dec. 31, 2019
Carrying Value of Credit Derivatives    
Total $ 413,100 $ 337,100
Carrying Value of Credit-related Notes    
Less than One Year 6 6
One to Three Years 4 5
Three to Five Years 4 2
Over Five Years 1,598 1,764
Total 1,612 1,777
Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 54 70
One to Three Years 537 297
Three to Five Years 1,138 621
Over Five Years 1,911 972
Total 3,640 1,960
Maximum Payout/Notional    
Less than One Year 64,494 74,876
One to Three Years 109,985 94,359
Three to Five Years 160,552 100,938
Over Five Years 51,777 30,045
Total 386,808 300,218
Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 628 379
One to Three Years 1 0
Three to Five Years 0 0
Over Five Years 0 0
Total 629 379
Maximum Payout/Notional    
Less than One Year 82,436 85,195
One to Three Years 717 657
Three to Five Years 74 166
Over Five Years 5 136
Total 83,232 86,154
Credit derivatives | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 682 449
One to Three Years 538 297
Three to Five Years 1,138 621
Over Five Years 1,911 972
Total 4,269 2,339
Maximum Payout/Notional    
Less than One Year 146,930 160,071
One to Three Years 110,702 95,016
Three to Five Years 160,626 101,104
Over Five Years 51,782 30,181
Total 470,040 386,372
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 2 3
Three to Five Years 0 1
Over Five Years 579 639
Total 581 643
Investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 10 5
Three to Five Years 79 60
Over Five Years 213 164
Total 302 229
Maximum Payout/Notional    
Less than One Year 45,486 55,827
One to Three Years 78,733 67,838
Three to Five Years 116,365 71,320
Over Five Years 34,056 17,708
Total 274,640 212,693
Investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 120 35
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 120 35
Maximum Payout/Notional    
Less than One Year 50,952 56,488
One to Three Years 61 0
Three to Five Years 74 62
Over Five Years 0 76
Total 51,087 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 4 1
Over Five Years 1,019 1,125
Total 1,031 1,134
Non-investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 54 70
One to Three Years 527 292
Three to Five Years 1,059 561
Over Five Years 1,698 808
Total 3,338 1,731
Maximum Payout/Notional    
Less than One Year 19,008 19,049
One to Three Years 31,252 26,521
Three to Five Years 44,187 29,618
Over Five Years 17,721 12,337
Total 112,168 87,525
Non-investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 508 344
One to Three Years 1 0
Three to Five Years 0 0
Over Five Years 0 0
Total 509 344
Maximum Payout/Notional    
Less than One Year 31,484 28,707
One to Three Years 656 657
Three to Five Years 0 104
Over Five Years 5 60
Total $ 32,145 $ 29,528