XML 45 R27.htm IDEA: XBRL DOCUMENT
v3.23.1

Derivative Instruments (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2023
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, 2023 and December 31, 2022:
| March 31, 2023 |  | December 31, 2022
| 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 |  | 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
Derivative Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 30 |  |  | $ | — |  |  | $ | 30 |  |  | $ | — |  |  | $ | 30 |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |
Warrants | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |
Total non-VIE derivative assets | $ | 31 |  |  | $ | — |  |  | $ | 31 |  |  | $ | — |  |  | $ | 31 |  |  | $ | 28 |  |  | $ | — |  |  | $ | 27 |  |  | $ | — |  |  | $ | 27 |
Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 44 |  |  | $ | — |  |  | $ | 44 |  |  | $ | 43 |  |  | $ | — |  |  | $ | 38 |  |  | $ | — |  |  | $ | 38 |  |  | $ | 38 |  |  | $ | — |
Total non-VIE derivative liabilities | $ | 44 |  |  | $ | — |  |  | $ | 44 |  |  | $ | 43 |  |  | $ | — |  |  | $ | 38 |  |  | $ | — |  |  | $ | 38 |  |  | $ | 38 |  |  | $ | — |
Variable Interest Entities Derivative Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 198 |  |  | $ | — |  |  | $ | 198 |  |  | $ | 198 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |  |  | $ | — |  |  | $ | 190 |
Currency swaps | 45 |  |  | — |  |  | 45 |  |  | 45 |  |  | — |  |  | 49 |  |  | — |  |  | 49 |  |  | — |  |  | 49 |
Total VIE derivative assets | $ | 243 |  |  | $ | — |  |  | $ | 243 |  |  | $ | 243 |  |  | $ | — |  |  | $ | 239 |  |  | $ | — |  |  | $ | 239 |  |  | $ | — |  |  | $ | 239 |
Variable Interest Entities Derivative Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 1,174 |  |  | $ | — |  |  | $ | 1,174 |  |  | $ | — |  |  | $ | 1,174 |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |
Total VIE derivative liabilities | $ | 1,174 |  |  | $ | — |  |  | $ | 1,174 |  |  | $ | — |  |  | $ | 1,174 |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |  |  | $ | — |  |  | $ | 1,048 |
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, 2023 and 2022:
| 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, |  |
|  | 2023 |  | 2022 |  |  |  |
Non-VIE derivatives: |  |  |  |  |  |  |  |  |
Interest rate swaps | Net gains (losses) on derivative contracts |  | (3) |  |  | 30 |  |  |  |  |
Warrants | Net gains (losses) on derivative contracts |  | — |  |  | — |  |  |  |  |
Futures contracts | Net gains (losses) on derivative contracts |  | — |  |  | 27 |  |  |  |  |
Total Non-VIE derivatives |  |  | $ | (4) |  |  | $ | 57 |  |  |  |  |
Variable Interest Entities: |  |  |  |  |  |  |  |  |
Currency swaps | Income (loss) on variable interest entities |  | $ | (99) |  |  | $ | 6 |  |  |  |  |
Interest rate swaps | Income (loss) on variable interest entities |  | (3) |  |  | 5 |  |  |  |  |
Total Variable Interest Entities |  | (102) |  |  | 11 |  |  |  |  |
Total derivative contracts |  |  | $ | (105) |  |  | $ | 68 |  |  |  |  |
Summary of Notional Amounts of AFS's Trading Derivative Products | As of March 31, 2023 and December 31, 2022, the notional amounts of AFS’s derivatives are as follows:
|  | Notional
Type of Derivative |  | March 31, 2023 |  | December 31, 2022
Interest rate swaps—pay-fixed/receive-variable |  | $ | 861 |  |  | $ | 989 |
Interest rate swaps—receive-fixed/pay-variable |  | 332 |  |  | 337 |
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, 2023 and December 31, 2022, were as follows:
|  | Notional
Type of VIE Derivative |  | March 31, 2023 |  | December 31, 2022
Interest rate swaps—receive-fixed/pay-variable |  | $ | 1,609 |  |  | $ | 1,573 |
Interest rate swaps—pay-fixed/receive-variable |  | 890 |  |  | 887 |
Currency swaps |  | 169 |  |  | 176 |

X
- Definition Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5618551-113959 + Details
Name: | us-gaap_ScheduleOfDerivativesInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the notional amounts of outstanding derivative positions. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Subparagraph (d) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 + Details
Name: | us-gaap_ScheduleOfNotionalAmountsOfOutstandingDerivativePositionsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (e) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4CC -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL109998890-113959 + Details
Name: | us-gaap_ScheduleOfOtherDerivativesNotDesignatedAsHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | srt_ConsolidatedEntitiesAxis=us-gaap_VariableInterestEntityPrimaryBeneficiaryMember
Namespace Prefix: |
Data Type: | na
Balance Type: |
Period Type: |