Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.21.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Jun. 30, 2021
Dec. 31, 2020
Carrying Value of Credit Derivatives    
Total $ 353,200 $ 434,000
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 1 2
Three to Five Years 24 10
Over Five Years 1,672 1,519
Total 1,702 1,595
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 11 26
One to Three Years 130 234
Three to Five Years 450 399
Over Five Years 936 1,257
Total 1,527 1,916
Maximum Payout/Notional    
Less than One Year 44,700 47,138
One to Three Years 107,185 104,501
Three to Five Years 156,632 123,196
Over Five Years 24,891 26,674
Total 333,408 301,509
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 165 366
One to Three Years 333 4
Three to Five Years 0 0
Over Five Years 0 0
Total 498 370
Maximum Payout/Notional    
Less than One Year 66,598 67,089
One to Three Years 12,333 1,425
Three to Five Years 89 104
Over Five Years 16 5
Total 79,036 68,623
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 176 392
One to Three Years 463 238
Three to Five Years 450 399
Over Five Years 936 1,257
Total 2,025 2,286
Maximum Payout/Notional    
Less than One Year 111,298 114,227
One to Three Years 119,518 105,926
Three to Five Years 156,721 123,300
Over Five Years 24,907 26,679
Total 412,444 370,132
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 0
Three to Five Years 1 0
Over Five Years 519 572
Total 520 572
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 0 1
Three to Five Years 44 35
Over Five Years 42 94
Total 86 130
Maximum Payout/Notional    
Less than One Year 32,739 33,474
One to Three Years 75,590 75,731
Three to Five Years 107,799 87,218
Over Five Years 16,141 16,822
Total 232,269 213,245
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 31 21
One to Three Years 0 4
Three to Five Years 0 0
Over Five Years 0 0
Total 31 25
Maximum Payout/Notional    
Less than One Year 46,566 30,961
One to Three Years 65 1,061
Three to Five Years 79 77
Over Five Years 0 0
Total 46,710 32,099
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 1 2
Three to Five Years 23 10
Over Five Years 1,153 947
Total 1,182 1,023
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 11 26
One to Three Years 130 233
Three to Five Years 406 364
Over Five Years 894 1,163
Total 1,441 1,786
Maximum Payout/Notional    
Less than One Year 11,961 13,664
One to Three Years 31,595 28,770
Three to Five Years 48,833 35,978
Over Five Years 8,750 9,852
Total 101,139 88,264
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 134 345
One to Three Years 333 0
Three to Five Years 0 0
Over Five Years 0 0
Total 467 345
Maximum Payout/Notional    
Less than One Year 20,032 36,128
One to Three Years 12,268 364
Three to Five Years 10 27
Over Five Years 16 5
Total $ 32,326 $ 36,524