Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2019

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of June 30, 2019
	Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured credit default swaps		0.5 Years	$	-	$	-	$	-	$	-	$	52	$	52	$	(18)
Insured swaps		14.8 Years		-		68		1,419		460		-		1,947		(2)
Total notional			$	-	$	68	$	1,419	$	460	$	52	$	1,999
Total fair value			$	-	$	-	$	(1)	$	(1)	$	(18)			$	(20)

$ in millions	As of December 31, 2018
	Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured credit default swaps		1.0 Years	$	-	$	-	$	-	$	-	$	70	$	70	$	(33)
Insured swaps		15.7 Years		-		74		1,463		896		-		2,433		(2)
Total notional			$	-	$	74	$	1,463	$	896	$	70	$	2,503
Total fair value			$	-	$	-	$	(1)	$	(1)	$	(33)			$	(35)

Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting

The following table presents the total fair value of the Company’s derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of June 30, 2019:

In millions			Derivative Assets(1)			Derivative Liabilities(1)
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Not designated as hedging instruments:
Insured credit default swaps	$	52	Other assets	$	-	Derivative liabilities	$	(18)
Insured swaps		1,947	Other assets		-	Derivative liabilities		(2)
Interest rate swaps		681	Other assets		2	Derivative liabilities		(199)
Interest rate swaps-embedded		235	Medium-term notes		-	Medium-term notes		(18)
Currency swaps-VIE		60	Other assets-VIE		11	Derivative liabilities-VIE		-
All other		49	Other assets		-	Derivative liabilities		(16)
Total non-designated derivatives	$	3,024		$	13		$	(253)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract.

The following table presents the total fair value of the Company’s derivative assets and liabilities by instrument and balance sheet location, before counterparty netting, as of December 31, 2018:

In millions			Derivative Assets (1)			Derivative Liabilities(1)
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Not designated as hedging instruments:
Insured credit default swaps	$	70	Other assets	$	-	Derivative liabilities	$	(33	)
Insured swaps		2,433	Other assets		-	Derivative liabilities		(2	)
Interest rate swaps		712	Other assets		2	Derivative liabilities		(157	)
Interest rate swaps-embedded		293	Medium-term notes		-	Medium-term notes		(13	)
Currency swaps-VIE		62	Other assets-VIE		16	Derivative liabilities-VIE		-
All other		49	Other assets		-	Derivative liabilities		(7	)
Total non-designated derivatives	$	3,619		$	18		$	(212	)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract.

Effect Of Derivative Instruments On Consolidated Statements Of Operations

The following table presents the effect of derivative instruments on the consolidated statements of operations for the three months ended June 30, 2019 and 2018:

In millions
Derivatives Not Designated as		Three Months Ended June 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2019			2018
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	1		$	18
Insured credit default swaps	Realized gains (losses) and other settlements on insured  derivatives		(1	)		(25	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(35	)		7
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2	)		-
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(9	)		-
Total		$	(46	)	$	-

The following table presents the effect of derivative instruments on the consolidated statements of operations for the six months ended June 30, 2019 and 2018:

In millions
Derivatives Not Designated as		Six Months Ended June 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2019			2018
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	14		$	32
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(1	)		(44	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(55	)		25
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(5	)		(5	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(9	)		-
Total		$	(56	)	$	8