XML 137 R121.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value Measurement - Quantitative Information - Liabilities (Details) - Level 3 - USD ($)
$ in Millions
12 Months Ended
Dec. 31, 2022
Dec. 31, 2021
Equity securities and warrants | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 10.00% 7.70%
Credit derivative liabilities, net (1)    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value inputs internal floor   880.00%
Credit derivative liabilities, net (1) | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Total liabilities carried at fair value $ (162) $ (154)
Credit derivative liabilities, net (1) | Minimum    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value inputs hedge cost   800.00%
Fair value inputs bank profit 5100.00% 0.00%
Credit derivative liabilities, net (1) | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Year 1 loss estimates (as a percent)   0.00%
Fair value inputs hedge cost 11.50%  
Credit derivative liabilities, net (1) | Maximum    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value inputs hedge cost   3710.00%
Fair value inputs bank profit 27050.00% 18780.00%
Credit derivative liabilities, net (1) | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Year 1 loss estimates (as a percent)   85.80%
Fair value inputs hedge cost 25.20%  
Credit derivative liabilities, net (1) | Weighted Average    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Fair value inputs hedge cost   1260.00%
Fair value inputs bank profit 10940.00% 6790.00%
Credit derivative liabilities, net (1) | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Year 1 loss estimates (as a percent)   0.10%
Fair value inputs hedge cost 15.70%  
Financial Guarantee Variable Interest Entities | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Total liabilities carried at fair value $ (715) $ (289)
Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 4.80% 1.40%
Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 10.90% 8.00%
Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 5.90% 3.70%
Consolidated Investment Vehicles | CLO contracts | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Total liabilities carried at fair value $ (4,090) $ (3,665)
Consolidated Investment Vehicles | CLO contracts | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 3.00% 1.60%
Consolidated Investment Vehicles | CLO contracts | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 27.40% 13.70%
Consolidated Investment Vehicles | CLO contracts | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 5.50% 2.10%
Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Total liabilities carried at fair value $ (28) $ (17)
Consolidated Investment Vehicles | Warehouse Financing Debt | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Total liabilities carried at fair value $ (36) $ (23)
Consolidated Investment Vehicles | Warehouse Financing Debt | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 11.70% 12.60%
Consolidated Investment Vehicles | Warehouse Financing Debt | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 16.90% 16.00%
Consolidated Investment Vehicles | Warehouse Financing Debt | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 12.90% 13.80%
Discount rate | Equity securities and warrants | Minimum | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 19.80% 14.70%
Discount rate | Equity securities and warrants | Maximum | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 25.10% 23.90%
Discount rate | Equity securities and warrants | Weighted Average | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 22.70% 21.60%
Discount rate | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 20.90% 23.90%
CPR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 0.90% 0.90%
CPR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 21.90% 24.50%
CPR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 6.30% 13.30%
CDR | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 1.30% 1.40%
CDR | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 41.00% 26.90%
CDR | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 3.70% 7.60%
Loss severity | Financial Guarantee Variable Interest Entities | Minimum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 45.00% 45.00%
Loss severity | Financial Guarantee Variable Interest Entities | Maximum | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 100.00% 100.00%
Loss severity | Financial Guarantee Variable Interest Entities | Weighted Average | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Conditional prepayment rate (as a percent) 39.90% 81.60%
Multiple enterprise/revenue value | Equity securities and warrants | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-enterprise value/revenue   1.10
Multiple enterprise/revenue value | Equity securities and warrants | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-price to book   185.00%
Multiple enterprise/revenue value | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-enterprise value/revenue 1.05  
Market multiple-price to book 115.00%  
Multiple enterprise/revenue value | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-enterprise value/revenue 1.10  
Multiple enterprise/revenue value | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-enterprise value/revenue 1.08  
Multiple enterprise/revenue value | Consolidated Investment Vehicles | Borrowings | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple-enterprise value/revenue   10.50
Measurement Input, EBITDA Multiple | Equity securities and warrants | Minimum | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA   3.00
Measurement Input, EBITDA Multiple | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 2.50  
Measurement Input, EBITDA Multiple | Equity securities and warrants | Maximum | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA   10.50
Measurement Input, EBITDA Multiple | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 11.00  
Measurement Input, EBITDA Multiple | Equity securities and warrants | Weighted Average | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA   8.95
Measurement Input, EBITDA Multiple | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 10.25  
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Minimum | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 10.00  
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Maximum | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 11.00  
Measurement Input, EBITDA Multiple | Consolidated Investment Vehicles | Borrowings | Weighted Average | Valuation, Market Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Market multiple - enterprise value/EBITDA 10.50  
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Minimum | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 3.00%  
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Maximum | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 4.00%  
Measurement Input, Long-Term Revenue Growth Rate | Equity securities and warrants | Weighted Average | Valuation, Income Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 3.50%  
Measurement Input, Long-Term Revenue Growth Rate | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 3.00%  
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Minimum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 800.00%  
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Maximum | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 1200.00%  
Measurement Input, Exit Multiple, EBITDA | Equity securities and warrants | Weighted Average | Valuation, Market Approach | Consolidated Investment Vehicles    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 1053.00%  
Measurement Input, Exit Multiple, EBITDA | Consolidated Investment Vehicles | Borrowings | Valuation, Income Approach    
Fair Value Measurement Inputs and Valuation Techniques [Line Items]    
Yield (as a percent) 1100.00%