Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.21.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Mar. 31, 2021
Dec. 31, 2020
Carrying Value of Credit Derivatives    
Total $ 370,800 $ 434,000
Carrying Value of Credit-related Notes    
Less than One Year 7 64
One to Three Years 1 2
Three to Five Years 10 10
Over Five Years 1,670 1,519
Total 1,688 1,595
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 43 26
One to Three Years 156 234
Three to Five Years 526 399
Over Five Years 1,131 1,257
Total 1,856 1,916
Maximum Payout/Notional    
Less than One Year 46,344 47,138
One to Three Years 104,122 104,501
Three to Five Years 146,798 123,196
Over Five Years 43,340 26,674
Total 340,604 301,509
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 161 366
One to Three Years 266 4
Three to Five Years 0 0
Over Five Years 0 0
Total 427 370
Maximum Payout/Notional    
Less than One Year 64,049 67,089
One to Three Years 15,281 1,425
Three to Five Years 156 104
Over Five Years 5 5
Total 79,491 68,623
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 204 392
One to Three Years 422 238
Three to Five Years 526 399
Over Five Years 1,131 1,257
Total 2,283 2,286
Maximum Payout/Notional    
Less than One Year 110,393 114,227
One to Three Years 119,403 105,926
Three to Five Years 146,954 123,300
Over Five Years 43,345 26,679
Total 420,095 370,132
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 0
Over Five Years 341 572
Total 341 572
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 3 1
Three to Five Years 52 35
Over Five Years 47 94
Total 102 130
Maximum Payout/Notional    
Less than One Year 33,138 33,474
One to Three Years 74,361 75,731
Three to Five Years 99,302 87,218
Over Five Years 27,974 16,822
Total 234,775 213,245
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 32 21
One to Three Years 0 4
Three to Five Years 0 0
Over Five Years 0 0
Total 32 25
Maximum Payout/Notional    
Less than One Year 48,002 30,961
One to Three Years 64 1,061
Three to Five Years 128 77
Over Five Years 0 0
Total 48,194 32,099
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 7 64
One to Three Years 1 2
Three to Five Years 10 10
Over Five Years 1,329 947
Total 1,347 1,023
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 43 26
One to Three Years 153 233
Three to Five Years 474 364
Over Five Years 1,084 1,163
Total 1,754 1,786
Maximum Payout/Notional    
Less than One Year 13,206 13,664
One to Three Years 29,761 28,770
Three to Five Years 47,496 35,978
Over Five Years 15,366 9,852
Total 105,829 88,264
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 129 345
One to Three Years 266 0
Three to Five Years 0 0
Over Five Years 0 0
Total 395 345
Maximum Payout/Notional    
Less than One Year 16,047 36,128
One to Three Years 15,217 364
Three to Five Years 28 27
Over Five Years 5 5
Total $ 31,297 $ 36,524