XML 88 R77.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurement - Level 3 Recurring Fair Value Rollfoward (Details) - USD ($)
$ in Millions
3 Months Ended 9 Months Ended
Sep. 30, 2020
Sep. 30, 2019
Sep. 30, 2020
Sep. 30, 2019
Jan. 01, 2020
Dec. 31, 2019
Derivative, Fair Value, Net [Abstract]            
Fair value of RMBS, cumulative effects from the CECL adoption         $ 4  
Derivative assets, gross amount $ 4,101   $ 4,101     $ 1,729
Derivative liabilities, gross amount 1,739   1,739     1,197
Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Net Unrealized Gains (Losses) Included in OCI Related to Assets and Liabilities Still Held 5 $ 1 (16) $ 11    
Derivative, Fair Value, Net [Abstract]            
Beginning balance 34 6 26 (10)    
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 8 (1) 20 4    
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0 0    
Purchases 0 0 0 0    
Sales 0 0 0 0    
Issuances 13 (8) 39 (21)    
Settlements (2) 12 (30) 39    
Transfers Into Level 3 0 0 0 0    
Transfers Out of Level 3 (9) (3) (11) (6)    
Ending balance 44 6 44 6    
Derivative assets, gross amount 153 82 153 82   77
Derivative liabilities, gross amount 109 76 109 76   $ 51
RMBS | Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Beginning balance 474 515 433 433    
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 10 10 19 27    
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 3 0 (21) 13    
Purchases 0 0 0 0    
Sales 0 0 0 0    
Issuances 0 0 0 0    
Settlements (22) (18) (55) (43)    
Transfers Into Level 3 56 59 196 173    
Transfers Out of Level 3 (47) (114) (98) (151)    
Ending balance 474 452 474 452    
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 10 9 20 26    
CMBS | Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Beginning balance 282 9 13 10    
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income (1) 0 (1) 0    
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 1 0 0 0    
Purchases 0 0 0 0    
Sales 0 0 0 0    
Issuances 0 0 0 0    
Settlements (8) (1) (11) (2)    
Transfers Into Level 3 98 0 371 0    
Transfers Out of Level 3 0 0 0 0    
Ending balance 372 8 372 8    
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held (1) 0 (4) 0    
Available-for-sale securities | Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Beginning balance 756 524 446 443    
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 9 10 18 27    
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 4 0 (21) 13    
Purchases 0 0 0 0    
Sales 0 0 0 0    
Issuances 0 0 0 0    
Settlements (30) (19) (66) (45)    
Transfers Into Level 3 154 59 567 173    
Transfers Out of Level 3 (47) (114) (98) (151)    
Ending balance 846 460 846 460    
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 9 9 16 26    
Retained interest in securitizations | Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Beginning balance 56 177 66 158    
Total Gains or (Losses) (Realized/Unrealized), Included in Net Income 0 (1) (10) 18    
Total Gains or (Losses) (Realized/Unrealized), Included in OCI 0 0 0 0    
Purchases 0 0 0 0    
Sales 0 0 0 0    
Issuances 0 0 0 0    
Settlements 0 (69) 0 (69)    
Transfers Into Level 3 0 0 0 0    
Transfers Out of Level 3 0 0 0 0    
Ending balance 56 107 56 107    
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held 0 (1) (10) 8    
Net derivative assets (liabilities) | Recurring | Level 3            
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]            
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held $ 0 $ 1 $ 18 $ 6