Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of September 30, 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		0.3 Years	$	-	$	-	$	-		$	-		$	23		$	23	$	(8	)
Insured swaps		14.1 Years		-		59		1,341			362			-			1,762		(2	)
Total notional			$	-	$	59	$	1,341		$	362		$	23		$	1,785
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		14.0 Years		—		121	(1)		1,371	(2)		433	(3)		—			1,925	(4)		(2	)
Total notional			$	—	$	121		$	1,371		$	433		$	32		$	1,957
Total fair value			$	—	$	—		$	(1	)	$	(1	)	$	(7	)				$	(9	)

(1) -  The Company revised its previously reported amount of $66 million to $121 million.

(2) -  The Company revised its previously reported amount of $1,284 million to $1,371 million.

(3) -  The Company revised its previously reported amount of $445 million to $433 million.

(4) -  The Company revised its previously reported amount of $1,795 million to $1,925 million.

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	$	23		Other assets	$	-		Derivative liabilities	$	(8	)
Insured swaps		1,762		Other assets		-		Derivative liabilities		(2	)
Interest rate swaps		435		Other assets		1		Derivative liabilities		(180	)
Interest rate swaps-embedded		242		Medium-term notes		-		Medium-term notes		(9	)
Currency swaps-VIE		55		Other assets-VIE		12		Derivative liabilities- VIE		-
All other		49		Other assets		-		Derivative liabilities		(38	)
Total non-designated derivatives	$	2,566			$	13			$	(237	)

(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		1,925	(2)		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	$	2,737				$	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.

(2) -  The Company revised its previously reported amount of $1,795 million to $1,925 million.

Effect Of Derivative Instruments On Consolidated Statements Of Operations

In millions
Derivatives Not Designated as		Three Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2020			2019
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	-		$	9
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		-			(10	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		6			(30	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1	)		(3	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(1	)		(14	)
Total		$	4		$	(48	)

In millions
Derivatives Not Designated as		Nine Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2020			2019
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(1	)	$	23
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		-			(11	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(53	)		(85	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		4			(8	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(4	)		(23	)
Total		$	(54	)	$	(104	)