Annual report pursuant to Section 13 and 15(d)

Derivatives - Credit Derivatives (Details)

v3.20.4
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Dec. 31, 2020
Dec. 31, 2019
Carrying Value of Credit Derivatives    
Total $ 434,000 $ 337,100
Carrying Value of Credit-related Notes    
Less than One Year 64 6
One to Three Years 2 5
Three to Five Years 10 2
Over Five Years 1,519 1,764
Total 1,595 1,777
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 26 70
One to Three Years 234 297
Three to Five Years 399 621
Over Five Years 1,257 972
Total 1,916 1,960
Maximum Payout/Notional    
Less than One Year 47,138 74,876
One to Three Years 104,501 94,359
Three to Five Years 123,196 100,938
Over Five Years 26,674 30,045
Total 301,509 300,218
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 366 379
One to Three Years 4 0
Three to Five Years 0 0
Over Five Years 0 0
Total 370 379
Maximum Payout/Notional    
Less than One Year 67,089 85,195
One to Three Years 1,425 657
Three to Five Years 104 166
Over Five Years 5 136
Total 68,623 86,154
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 392 449
One to Three Years 238 297
Three to Five Years 399 621
Over Five Years 1,257 972
Total 2,286 2,339
Maximum Payout/Notional    
Less than One Year 114,227 160,071
One to Three Years 105,926 95,016
Three to Five Years 123,300 101,104
Over Five Years 26,679 30,181
Total 370,132 386,372
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 572 639
Total 572 643
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 1 5
Three to Five Years 35 60
Over Five Years 94 164
Total 130 229
Maximum Payout/Notional    
Less than One Year 33,474 55,827
One to Three Years 75,731 67,838
Three to Five Years 87,218 71,320
Over Five Years 16,822 17,708
Total 213,245 212,693
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 21 35
One to Three Years 4 0
Three to Five Years 0 0
Over Five Years 0 0
Total 25 35
Maximum Payout/Notional    
Less than One Year 30,961 56,488
One to Three Years 1,061 0
Three to Five Years 77 62
Over Five Years 0 76
Total 32,099 56,626
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 64 6
One to Three Years 2 2
Three to Five Years 10 1
Over Five Years 947 1,125
Total 1,023 1,134
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 26 70
One to Three Years 233 292
Three to Five Years 364 561
Over Five Years 1,163 808
Total 1,786 1,731
Maximum Payout/Notional    
Less than One Year 13,664 19,049
One to Three Years 28,770 26,521
Three to Five Years 35,978 29,618
Over Five Years 9,852 12,337
Total 88,264 87,525
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 345 344
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 345 344
Maximum Payout/Notional    
Less than One Year 36,128 28,707
One to Three Years 364 657
Three to Five Years 27 104
Over Five Years 5 60
Total $ 36,524 $ 29,528