(CNN) Alec Baldwin apparently can do everything on "Saturday Night Live."

"Tonight's 'Talking Points Memo' is the scandal that everyone's been talking about all week, a scandal no one thought I'd have the guts to address head on ... about the shocking allegations of the abuse of power that have been leveled against the Obama administration," Baldwin as O'Reilly said to laughs.

The faux Fox host then tried to bring on a female correspondent before realizing that she no longer worked at the company.

Surprised this wasn't the cold open on tonight's @nbcsnl pic.twitter.com/TATPKlYh2A — Brian Steinberg (@bristei) April 9, 2017

"Did she get the check? Okay, fine," Baldwin's O'Reilly said, referencing the reports of settlements that had been paid to women alleging sexual harassment against O'Reilly.

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