Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

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 September 30, 2020 and December 31, 2019:

	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
September 30, 2020:
Derivative Assets:
Interest rate swaps	$	95	$	—	$	94	$	—	$	94
Total non-VIE derivative assets	$	95	$	—	$	95	$	—	$	95
Derivative Liabilities:
Credit derivatives	$	1	$	—	$	1	$	—	$	1
Interest rate swaps	125		—		125		124		1
Total non-VIE derivative liabilities	$	126	$	—	$	126	$	124	$	2
Variable Interest Entities Derivative Assets:
Currency swaps	$	53	$	—	$	53	$	—	$	53
Total VIE derivative assets	$	53	$	—	$	53	$	—	$	53
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,771	$	—	$	1,771	$	—	$	1,771
Total VIE derivative liabilities	$	1,771	$	—	$	1,771	$	—	$	1,771

December 31, 2019:
Derivative Assets:
Interest rate swaps	$	75	$	—	$	75	$	—	$	75
Total non-VIE derivative assets	$	75	$	—	$	75	$	—	$	75
Derivative Liabilities:
Interest rate swaps	89		—		90		89		1
Total non-VIE derivative liabilities	$	90	$	—	$	90	$	89	$	1
Variable Interest Entities Derivative Assets:
Currency swaps	$	52	$	—	$	52	$	—	$	52
Total VIE derivative assets	$	52	$	—	$	52	$	—	$	52
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,657	$	—	$	1,657	$	—	$	1,657
Total VIE derivative liabilities	$	1,657	$	—	$	1,657	$	—	$	1,657

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 and nine months ended September 30, 2020 and 2019:

	Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
		Three Months Ended September 30,				Nine Months Ended September 30,
		2020		2019		2020		2019
Non-VIE derivatives:
Credit derivatives	Net gains (losses) on derivative contracts	$	—	$	1	$	(1)	$	1
Interest rate swaps	Net gains (losses) on derivative contracts	7		(1)		(20)		(11)
Futures contracts	Net gains (losses) on derivative contracts	—		(10)		(41)		(52)
Total Non-VIE derivatives		$	7	$	(10)	(61)		(61)
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	$	(10)	$	10	7		6
Interest rate swaps	Income (loss) on variable interest entities	(4)		(166)		(177)		(272)
Total Variable Interest Entities		(14)		(156)		(170)		(266)
Total derivative contracts		$	(7)	$	(166)	$	(231)	$	(327)

Summary of Notional Amounts of AFS's Trading Derivative Products

As of September 30, 2020 and December 31, 2019, the notional amounts of AFS’s derivatives were as follows:

	Notional
Type of Derivative	September 30, 2020		December 31, 2019
Interest rate swaps—receive-fixed/pay-variable	$	240	$	332
Interest rate swaps—pay-fixed/receive-variable	726		1,261
US Treasury futures contracts—short	240		755

Variable Interest Entity, Primary Beneficiary [Member]

Summary of Notional Amounts of AFS's Trading Derivative Products

The notional for VIE derivatives outstanding as of September 30, 2020 and December 31, 2019, were as follows:

	Notional
Type of VIE Derivative	September 30, 2020		December 31, 2019
Interest rate swaps—receive-fixed/pay-variable	$	1,164	$	1,194
Interest rate swaps—pay-fixed/receive-variable	1,103		1,176
Currency swaps	298		329
Credit derivatives	—		9