Annual report pursuant to Section 13 and 15(d)

Derivatives - Credit Derivatives (Details)

v3.19.3.a.u2
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Dec. 31, 2019
Dec. 31, 2018
Carrying Value of Credit Derivatives    
Total $ 337,100 $ 317,800
Carrying Value of Credit-related Notes    
Less than One Year 6 1
One to Three Years 5 1
Three to Five Years 2 5
Over Five Years 1,764 2,032
Total 1,777 2,039
Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 70 134
One to Three Years 297 680
Three to Five Years 621 1,350
Over Five Years 972 2,179
Total 1,960 4,343
Maximum Payout/Notional    
Less than One Year 74,876 78,055
One to Three Years 94,359 129,580
Three to Five Years 100,938 129,804
Over Five Years 30,045 34,480
Total 300,218 371,919
Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 379 577
One to Three Years 0 21
Three to Five Years 0 0
Over Five Years 0 0
Total 379 598
Maximum Payout/Notional    
Less than One Year 85,195 84,566
One to Three Years 657 2,471
Three to Five Years 166 98
Over Five Years 136 142
Total 86,154 87,277
Credit derivatives | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 449 711
One to Three Years 297 701
Three to Five Years 621 1,350
Over Five Years 972 2,179
Total 2,339 4,941
Maximum Payout/Notional    
Less than One Year 160,071 162,621
One to Three Years 95,016 132,051
Three to Five Years 101,104 129,902
Over Five Years 30,181 34,622
Total 386,372 459,196
Investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 0 0
One to Three Years 3 0
Three to Five Years 1 4
Over Five Years 639 532
Total 643 536
Investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 0 2
One to Three Years 5 44
Three to Five Years 60 436
Over Five Years 164 488
Total 229 970
Maximum Payout/Notional    
Less than One Year 55,827 53,758
One to Three Years 67,838 95,699
Three to Five Years 71,320 95,274
Over Five Years 17,708 20,054
Total 212,693 264,785
Investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 35 105
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 35 105
Maximum Payout/Notional    
Less than One Year 56,488 60,042
One to Three Years 0 822
Three to Five Years 62 59
Over Five Years 76 72
Total 56,626 60,995
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 6 1
One to Three Years 2 1
Three to Five Years 1 1
Over Five Years 1,125 1,500
Total 1,134 1,503
Non-investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 70 132
One to Three Years 292 636
Three to Five Years 561 914
Over Five Years 808 1,691
Total 1,731 3,373
Maximum Payout/Notional    
Less than One Year 19,049 24,297
One to Three Years 26,521 33,881
Three to Five Years 29,618 34,530
Over Five Years 12,337 14,426
Total 87,525 107,134
Non-investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 344 472
One to Three Years 0 21
Three to Five Years 0 0
Over Five Years 0 0
Total 344 493
Maximum Payout/Notional    
Less than One Year 28,707 24,524
One to Three Years 657 1,649
Three to Five Years 104 39
Over Five Years 60 70
Total $ 29,528 $ 26,282