XML 42 R28.htm IDEA: XBRL DOCUMENT v3.22.2.2
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 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
September 30, 2022:
Derivative Assets:
Interest rate swaps$27 $— $27 $— $27 
Warrants1 — 1 — 1 
Futures contracts1 — 1 — 1 
Total non-VIE derivative assets$29 $— $28 $— $28 
Derivative Liabilities:
Interest rate swaps40 — 40 40 — 
Total non-VIE derivative liabilities$40 $— $40 $40 $— 
Variable Interest Entities Derivative Assets:
Interest rate swaps$1 $1 $— $— $— 
Currency swaps$60 $— $60 $— $60 
Total VIE derivative assets$61 $1 $60 $— $60 
Variable Interest Entities Derivative Liabilities:
Interest rate swaps$1,111 $1 $1,110 $— $1,110 
Total VIE derivative liabilities$1,111 $1 $1,110 $— $1,110 
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 swaps94 — 94 93 1 
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 and nine months ended September 30, 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 September 30,Nine Months Ended September 30,
2022202120222021
Non-VIE derivatives:
Interest rate swapsNet gains (losses) on derivative contracts16 4 63 14 
WarrantsNet gains (losses) on derivative contracts— — 1 — 
Futures contractsNet gains (losses) on derivative contracts22 1 59 5 
Total Non-VIE derivatives$37 $5 124 19 
Variable Interest Entities:
Currency swapsIncome (loss) on variable interest entities$17 $5 37 3 
Interest rate swapsIncome (loss) on variable interest entities250 (88)519 (50)
Total Variable Interest Entities267 (82)556 (47)
Total derivative contracts$304 $(77)$680 $(29)
Summary of Notional Amounts of AFS's Trading Derivative Products As of September 30, 2022 and December 31, 2021, the notional amounts of AFS’s derivatives are as follows:
Notional
Type of DerivativeSeptember 30,
2022		December 31,
2021
Interest rate swaps—pay-fixed/receive-variable$1,042 $1,275 
US Treasury futures contracts—short460 470 
Interest rate swaps—receive-fixed/pay-variable176 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 September 30, 2022 and December 31, 2021, were as follows:
Notional
Type of VIE DerivativeSeptember 30,
2022		December 31,
2021
Interest rate swaps—receive-fixed/pay-variable$1,008 $1,221 
Interest rate swaps—pay-fixed/receive-variable837 1,069 
Currency swaps211 272