Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Summary of Gross Fair Values of Individual Derivative Instruments

The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of March 31, 2022 and December 31, 2021:


	Gross Amounts of Recognized Assets / Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet		Net Amount
March 31, 2022:
Derivative Assets:

Interest rate swaps	$	56	$	—	$	55	$	—	$	55

Total non-VIE derivative assets	$	56	$	—	$	55	$	—	$	55
Derivative Liabilities:
Credit derivatives	$	1	$	—	$	1	$	—	$	1
Interest rate swaps	75		—		74		73		2
Futures contracts	1		—		1		—		1

Total non-VIE derivative liabilities	$	76	$	—	$	76	$	73	$	3
Variable Interest Entities Derivative Assets:

Currency swaps	$	42	$	—	$	42	$	—	$	42
Total VIE derivative assets	$	42	$	—	$	42	$	—	$	42
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,866	$	—	$	1,866	$	—	$	1,866

Total VIE derivative liabilities	$	1,866	$	—	$	1,866	$	—	$	1,866



December 31, 2021:
Derivative Assets:

Interest rate swaps	$	76	$	—	$	76	$	—	$	76

Total non-VIE derivative assets	$	76	$	—	$	76	$	—	$	76
Derivative Liabilities:
Credit derivatives	$	—	$	—	$	—	$	—	$	—
Interest rate swaps	94		—		94		93		1
Futures contracts	—		—		—		—		—

Total non-VIE derivative liabilities	$	95	$	—	$	95	$	93	$	2
Variable Interest Entities Derivative Assets:

Currency swaps	$	38	$	—	$	38	$	—	$	38
Total VIE derivative assets	$	38	$	—	$	38	$	—	$	38
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,940	$	—	$	1,940	$	—	$	1,940

Total VIE derivative liabilities	$	1,940	$	—	$	1,940	$	—	$	1,940

Summary of Location and Amount of Gains and Losses of Derivative Contracts

The following tables summarize the location and amount of gains and losses of derivative contracts in the Unaudited Consolidated Statements of Total Comprehensive Income (Loss) for the three months ended March 31, 2022 and 2021:


	Location of Gain (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
		Three Months Ended March 31,
		2022		2021
Non-VIE derivatives:




Interest rate swaps	Net gains (losses) on derivative contracts	$	30	$	17

Futures contracts	Net gains (losses) on derivative contracts	27		8

Total Non-VIE derivatives		$	57	$	25
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	$	6	$	(2)
Interest rate swaps	Income (loss) on variable interest entities	5		97
Total Variable Interest Entities		11		96
Total derivative contracts		$	68	$	121

Summary of Notional Amounts of AFS's Trading Derivative Products

As of March 31, 2022 and December 31, 2021, the notional amounts of AFS’s derivatives are as follows:


	Notional
Type of Derivative	March 31, 2022		December 31, 2021
Interest rate swaps—pay-fixed/receive-variable	$	1,262	$	1,275
US Treasury futures contracts—short	470		470
Interest rate swaps—receive-fixed/pay-variable	181		185

Variable Interest Entity, Primary Beneficiary [Member]

Summary of Notional Amounts of AFS's Trading Derivative Products

The notional for VIE derivatives outstanding as of March 31, 2022 and December 31, 2021, were as follows:


	Notional
Type of VIE Derivative	March 31, 2022		December 31, 2021
Interest rate swaps—receive-fixed/pay-variable	$	1,185	$	1,221
Interest rate swaps—pay-fixed/receive-variable	1,020		1,069
Currency swaps	256		272