XML 131 R113.htm IDEA: XBRL DOCUMENT v3.20.4
Fair Value Measurement - Level 3 Recurring Fair Value Rollfoward (Details) - USD ($)
$ in Millions
12 Months Ended
Dec. 31, 2020
Dec. 31, 2019
Dec. 31, 2018
Jan. 01, 2020
Derivative, Fair Value, Net [Abstract]        
Fair value of RMBS, cumulative effects from the CECL adoption       $ 4
Derivative assets, gross amount $ 3,415 $ 1,729    
Derivative liabilities, gross amount 1,518 1,197    
Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held (21) (4) $ (17)  
Derivative, Fair Value, Net [Abstract]        
Beginning balance 26 (10) 13  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 10 6 (20)  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0  
Purchases 0 0 0  
Sales 0 0 0  
Issuances 43 (16) 13  
Settlements (37) 52 (17)  
Transfers Into Level 3 0 0 0  
Transfers Out of Level 3 (11) (6) 1  
Ending balance 31 26 (10)  
Derivative assets, gross amount 141 77 38  
Derivative liabilities, gross amount 110 51 48  
RMBS | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 429 433 614  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 22 35 32  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (19) 5 (8)  
Purchases 0 0 0  
Sales 0 0 0  
Issuances 0 0 0  
Settlements (72) (63) (74)  
Transfers Into Level 3 206 177 203  
Transfers Out of Level 3 (242) (158) (334)  
Ending balance 328 429 433  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 16 34 28  
RMBS | Recurring | Level 3 | Including CECL Impact Adoption        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 433      
Ending balance   433    
CMBS | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 13 10 14  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (3) 0 0  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (9) 0 0  
Purchases 0 0 0  
Sales 0 0 0  
Issuances 0 0 0  
Settlements (32) (2) (4)  
Transfers Into Level 3 371 5 0  
Transfers Out of Level 3 (229) 0 0  
Ending balance 111 13 10  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 0 0 0  
Other securities | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance   0 5  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income     0  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI     0  
Purchases     0  
Sales     0  
Issuances     0  
Settlements     (5)  
Transfers Into Level 3     0  
Transfers Out of Level 3     0  
Ending balance     0  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held     0  
Available-for-sale securities | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 442 443 633  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 19 35 32  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (28) 5 (8)  
Purchases 0 0 0  
Sales 0 0 0  
Issuances 0 0 0  
Settlements (104) (65) (83)  
Transfers Into Level 3 577 182 203  
Transfers Out of Level 3 (471) (158) (334)  
Ending balance 439 442 443  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 16 34 28  
Available-for-sale securities | Recurring | Level 3 | Including CECL Impact Adoption        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 446      
Ending balance   446    
Consumer MSRs | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance   0 92  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income     3  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI     0  
Purchases     0  
Sales     (97)  
Issuances     2  
Settlements     0  
Transfers Into Level 3     0  
Transfers Out of Level 3     0  
Ending balance     0  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held     0  
Retained interest in securitizations | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Beginning balance 66 158 172  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (11) 18 (14)  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0  
Purchases 0 0 0  
Sales 0 0 0  
Issuances 0 0 0  
Settlements 0 (110) 0  
Transfers Into Level 3 0 0 0  
Transfers Out of Level 3 0 0 0  
Ending balance 55 66 158  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held (11) (19) (14)  
Net derivative assets (liabilities) | Recurring | Level 3        
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]        
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held $ 10 $ 1 $ (20)