Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.21.2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Sep. 30, 2021
Dec. 31, 2020
Carrying Value of Credit Derivatives    
Total $ 353,000 $ 434,000
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 0 2
Three to Five Years 56 10
Over Five Years 1,602 1,519
Total 1,663 1,595
Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 8 26
One to Three Years 120 234
Three to Five Years 466 399
Over Five Years 932 1,257
Total 1,526 1,916
Maximum Payout/Notional    
Less than One Year 44,261 47,138
One to Three Years 105,093 104,501
Three to Five Years 156,519 123,196
Over Five Years 52,468 26,674
Total 358,341 301,509
Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 106 366
One to Three Years 353 4
Three to Five Years 5 0
Over Five Years 0 0
Total 464 370
Maximum Payout/Notional    
Less than One Year 45,611 67,089
One to Three Years 13,079 1,425
Three to Five Years 614 104
Over Five Years 16 5
Total 59,320 68,623
Credit derivatives | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 114 392
One to Three Years 473 238
Three to Five Years 471 399
Over Five Years 932 1,257
Total 1,990 2,286
Maximum Payout/Notional    
Less than One Year 89,872 114,227
One to Three Years 118,172 105,926
Three to Five Years 157,133 123,300
Over Five Years 52,484 26,679
Total 417,661 370,132
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 0 0
Three to Five Years 42 0
Over Five Years 274 572
Total 316 572
Investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 0 0
One to Three Years 1 1
Three to Five Years 40 35
Over Five Years 73 94
Total 114 130
Maximum Payout/Notional    
Less than One Year 33,007 33,474
One to Three Years 74,896 75,731
Three to Five Years 110,525 87,218
Over Five Years 37,271 16,822
Total 255,699 213,245
Investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 18 21
One to Three Years 0 4
Three to Five Years 0 0
Over Five Years 0 0
Total 18 25
Maximum Payout/Notional    
Less than One Year 26,711 30,961
One to Three Years 64 1,061
Three to Five Years 78 77
Over Five Years 0 0
Total 26,853 32,099
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 5 64
One to Three Years 0 2
Three to Five Years 14 10
Over Five Years 1,328 947
Total 1,347 1,023
Non-investment grade | Credit default swaps: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 8 26
One to Three Years 119 233
Three to Five Years 426 364
Over Five Years 859 1,163
Total 1,412 1,786
Maximum Payout/Notional    
Less than One Year 11,254 13,664
One to Three Years 30,197 28,770
Three to Five Years 45,994 35,978
Over Five Years 15,197 9,852
Total 102,642 88,264
Non-investment grade | Total return swaps/options: | Written credit derivatives:    
Carrying Value of Credit Derivatives    
Less than One Year 88 345
One to Three Years 353 0
Three to Five Years 5 0
Over Five Years 0 0
Total 446 345
Maximum Payout/Notional    
Less than One Year 18,900 36,128
One to Three Years 13,015 364
Three to Five Years 536 27
Over Five Years 16 5
Total $ 32,467 $ 36,524