Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of March 31, 2020
	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		0.8 Years	$	-	$	-	$	-		$	-		$	24		$	24	$	(8	)
Insured swaps		15.0 Years		-		64		1,256			374			-			1,694		(2	)
Total notional			$	-	$	64	$	1,256		$	374		$	24		$	1,718
Total fair value			$	-	$	-	$	(1	)	$	(1	)	$	(8	)			$	(10	)

$ 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	)

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)
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location		Fair Value		Balance Sheet Location		Fair Value
Not designated as hedging instruments:
Insured credit default swaps	$	24		Other assets	$	-		Derivative liabilities	$	(8	)
Insured swaps		1,694		Other assets		-		Derivative liabilities		(2	)
Interest rate swaps		439		Other assets		1		Derivative liabilities		(190	)
Interest rate swaps-embedded		227		Medium-term notes		-		Medium-term notes		(10	)
Currency swaps-VIE		57		Other assets-VIE		18		Derivative liabilities-VIE		-
All other		49		Other assets		-		Derivative liabilities		(37	)
Total non-designated derivatives	$	2,490			$	19			$	(247	)

(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)
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location		Fair Value		Balance Sheet Location		Fair 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.

Effect Of Derivative Instruments On Consolidated Statements Of Operations

In millions
Derivatives Not Designated as		Three Months Ended March 31,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2020			2019
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(1	)	$	14
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(56	)		(20	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		10			(3	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(3	)		-
Total		$	(50	)	$	(9	)