Quarterly report pursuant to Section 13 or 15(d)

Derivatives - Credit Derivatives (Details)

v3.20.1
Derivatives - Credit Derivatives (Details) - USD ($)
$ in Millions
Mar. 31, 2020
Dec. 31, 2019
Carrying Value of Credit Derivatives    
Total $ 510,600 $ 337,100
Carrying Value of Credit-related Notes    
Less than One Year 6 6
One to Three Years 2 5
Three to Five Years 0 2
Over Five Years 2,231 1,764
Total 2,239 1,777
Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 201 70
One to Three Years 1,108 297
Three to Five Years 2,565 621
Over Five Years 2,586 972
Total 6,460 1,960
Maximum Payout/Notional    
Less than One Year 67,974 74,876
One to Three Years 106,012 94,359
Three to Five Years 117,071 100,938
Over Five Years 40,920 30,045
Total 331,977 300,218
Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 1,879 379
One to Three Years 10 0
Three to Five Years 0 0
Over Five Years 0 0
Total 1,889 379
Maximum Payout/Notional    
Less than One Year 93,141 85,195
One to Three Years 4,476 657
Three to Five Years 132 166
Over Five Years 5 136
Total 97,754 86,154
Credit derivatives | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 2,080 449
One to Three Years 1,118 297
Three to Five Years 2,565 621
Over Five Years 2,586 972
Total 8,349 2,339
Maximum Payout/Notional    
Less than One Year 161,115 160,071
One to Three Years 110,488 95,016
Three to Five Years 117,203 101,104
Over Five Years 40,925 30,181
Total 429,731 386,372
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 1,156 639
Total 1,156 643
Investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 9 0
One to Three Years 87 5
Three to Five Years 620 60
Over Five Years 532 164
Total 1,248 229
Maximum Payout/Notional    
Less than One Year 48,868 55,827
One to Three Years 75,071 67,838
Three to Five Years 77,467 71,320
Over Five Years 26,226 17,708
Total 227,632 212,693
Investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 578 35
One to Three Years 0 0
Three to Five Years 0 0
Over Five Years 0 0
Total 578 35
Maximum Payout/Notional    
Less than One Year 65,869 56,488
One to Three Years 0 0
Three to Five Years 126 62
Over Five Years 0 76
Total 65,995 56,626
Non-investment grade    
Carrying Value of Credit-related Notes    
Less than One Year 6 6
One to Three Years 2 2
Three to Five Years 0 1
Over Five Years 1,075 1,125
Total 1,083 1,134
Non-investment grade | Credit Default Swap | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 192 70
One to Three Years 1,021 292
Three to Five Years 1,945 561
Over Five Years 2,054 808
Total 5,212 1,731
Maximum Payout/Notional    
Less than One Year 19,106 19,049
One to Three Years 30,941 26,521
Three to Five Years 39,604 29,618
Over Five Years 14,694 12,337
Total 104,345 87,525
Non-investment grade | Total return swaps/options | Written credit derivatives    
Carrying Value of Credit Derivatives    
Less than One Year 1,301 344
One to Three Years 10 0
Three to Five Years 0 0
Over Five Years 0 0
Total 1,311 344
Maximum Payout/Notional    
Less than One Year 27,272 28,707
One to Three Years 4,476 657
Three to Five Years 6 104
Over Five Years 5 60
Total $ 31,759 $ 29,528