XML 85 R75.htm IDEA: XBRL DOCUMENT v3.22.2.2
Fair Value Measurement - Level 3 Recurring Fair Value Rollforward (Details) - USD ($)
$ in Millions
3 Months Ended 9 Months Ended
Sep. 30, 2022
Sep. 30, 2021
Sep. 30, 2022
Sep. 30, 2021
Dec. 31, 2021
Derivative, Fair Value, Net [Abstract]          
Derivative assets, gross amount $ 4,807   $ 4,807   $ 2,690
Derivative liabilities, gross amount 6,175   6,175   1,868
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 (15) $ 0 (53) $ 3  
Derivative, Fair Value, Net [Abstract]          
Beginning balance (12) 19 19 31  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (22) (31) (63) (41)  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0 0  
Purchases 0 0 0 0  
Sales 0 0 0 0  
Issuances (11) 44 25 66  
Settlements 0 6 2 (23)  
Transfers Into Level 3 0 0 (28) 6  
Transfers Out of Level 3 40 1 40 0  
Ending balance (5) 39 (5) 39  
Derivative assets, gross amount 110 191 110 191 84
Derivative liabilities, gross amount 115 152 115 152 $ 65
RMBS | Recurring | Level 3          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Beginning balance 240 289 258 328  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 2 4 15 15  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (9) (1) (29) 3  
Purchases 0 0 0 0  
Sales 0 0 0 0  
Issuances 0 0 0 0  
Settlements (10) (23) (53) (74)  
Transfers Into Level 3 8 4 92 88  
Transfers Out of Level 3 (13) (20) (65) (107)  
Ending balance 218 253 218 253  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 2 4 6 11  
CMBS | Recurring | Level 3          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Beginning balance 13 9 9 111  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (1) 0 (1) 0  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (1) 1 (2) (1)  
Purchases 0 0 0 0  
Sales 0 0 0 0  
Issuances 0 0 0 0  
Settlements (8) (1) (13) (7)  
Transfers Into Level 3 177 0 190 0  
Transfers Out of Level 3 0 0 (3) (94)  
Ending balance 180 9 180 9  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 0 0 (1) 0  
Available-for-sale securities | Recurring | Level 3          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Beginning balance 253 298 267 439  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 1 4 14 15  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI (10) 0 (31) 2  
Purchases 0 0 0 0  
Sales 0 0 0 0  
Issuances 0 0 0 0  
Settlements (18) (24) (66) (81)  
Transfers Into Level 3 185 4 282 88  
Transfers Out of Level 3 (13) (20) (68) (201)  
Ending balance 398 262 398 262  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 2 4 5 11  
Retained interest in securitizations | Recurring | Level 3          
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]          
Beginning balance 37 46 41 55  
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (1) (3) (5) (12)  
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0 0  
Purchases 0 0 0 0  
Sales 0 0 0 0  
Issuances 0 0 0 0  
Settlements 0 0 0 0  
Transfers Into Level 3 0 0 0 0  
Transfers Out of Level 3 0 0 0 0  
Ending balance 36 43 36 43  
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held (1) (3) (5) (12)  
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 $ (22) $ (29) $ (20) $ (32)