Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of September 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		0.3 Years	$	-	$	-	$	-		$	-		$	34		$	34	$	(10	)
Insured swaps		14.8 Years		-		66		1,295			461			-			1,822		(2	)
Total notional			$	-	$	66	$	1,295		$	461		$	34		$	1,856
Total fair value			$	-	$	-	$	(1	)	$	(1	)	$	(10	)			$	(12	)

$ 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 September 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	$	34		Other assets	$	-		Derivative liabilities	$	(10)
Insured swaps		1,822		Other assets		-		Derivative liabilities		(2)
Interest rate swaps		440		Other assets		2		Derivative liabilities		(152)
Interest rate swaps-embedded		227		Medium-term notes		-		Medium-term notes		(17)
Currency swaps-VIE		56		Other assets-VIE		8		Derivative liabilities-VIE		-
All other		49		Other assets		-		Derivative liabilities		(30)
Total non-designated derivatives	$	2,628			$	10			$	(211)

(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 September 30, 2019 and 2018:

In millions
Derivatives Not Designated as		Three Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2019		2018
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	9	$	4
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(10)		(5)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(30)		7
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(3)		-
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(14)		(4)
Total		$	(48)	$	2

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

In millions
Derivatives Not Designated as		Nine Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2019		2018
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	23	$	36
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(11)		(49)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(85)		33
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(8)		(5)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(23)		(4)
Total		$	(104)	$	11