Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of December 31, 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		1.0 Years	$	—	$	—	$	—		$	—		$	32		$	32	$	(7	)
Insured swaps		14.6 Years		—		66		1,284			445			—			1,795		(2	)
Total notional			$	—	$	66	$	1,284		$	445		$	32		$	1,827
Total fair value			$	—	$	—	$	(1	)	$	(1	)	$	(7	)			$	(9	)

$ 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

In millions			Derivative Assets(1)			Derivative Liabilities(1)
	Notional
	Amount			Fair				Fair
Derivative Instruments	Outstanding		Balance Sheet Location	Value		Balance Sheet Location		Value
Not designated as hedging instruments:
Insured credit default swaps	$	32	Other assets	$	—		Derivative liabilities	$	(7	)
Insured swaps		1,795	Other assets		—		Derivative liabilities		(2	)
Interest rate swaps		441	Other assets		1		Derivative liabilities		(132	)
Interest rate swaps-embedded		232	Medium-term notes		—		Medium-term notes		(15	)
Currency swaps-VIE		58	Other assets-VIE		8		Derivative liabilities-VIE		—
All other		49	Other assets		—		Derivative liabilities		(34	)
Total non-designated derivatives	$	2,607		$	9			$	(190	)

(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.

In millions			Derivative Assets(1)			Derivative Liabilities(1)
	Notional
	Amount			Fair			Fair
Derivative Instruments	Outstanding		Balance Sheet Location	Value		Balance Sheet Location	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

In millions
Derivatives Not Designated as Hedging		Years Ended December 31,
Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2019			2018			2017
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	25		$	31		$	—
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(10	)		(56	)		(51	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(66	)		4			3
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(8	)		(2	)		(1	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(26	)		(4	)		(19	)
Total		$	(85	)	$	(27	)	$	(68	)