Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Text Block [Abstract]

Credit Derivatives Sold

$ in millions	As of March 31, 2021
	Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A			BBB			Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured swaps		13.8 Years	$	-	$	56	$	1,311		$	358		$	-	$	1,725	$	(1	)
Total notional			$	-	$	56	$	1,311		$	358		$	-	$	1,725
Total fair value			$	-	$	-	$	-		$	(1	)	$	-			$	(1	)
$ in millions	As of December 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 swaps		13.9 Years	$	-	$	58	$	1,327		$	358		$	-	$	1,743	$	(2	)
Total notional			$	-	$	58	$	1,327		$	358		$	-	$	1,743
Total fair value			$	-	$	-	$	(1	)	$	(1	)	$	-			$	(2	)

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 March 31, 2021:

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 swaps	$	1,725		Other assets	$	-		Derivative liabilities	$	(1	)
Interest rate swaps		429		Other assets		1		Derivative liabilities		(125	)
Interest rate swaps-embedded		241		Medium-term notes		-		Medium-term notes		(10	)
Currency swaps-VIE		52		Other assets-VIE		9		Derivative liabilities-VIE		-
Total non-designated derivatives	$	2,447			$	10			$	(136	)

(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, 2020:

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 swaps	$	1,743		Other assets	$	-		Derivative liabilities	$	(2	)
Interest rate swaps		437		Other assets		1		Derivative liabilities		(164	)
Interest rate swaps-embedded		252		Medium-term notes		-		Medium-term notes		(10	)
Currency swaps-VIE		53		Other assets-VIE		6		Derivative liabilities-VIE		-
All other		49		Other assets		-		Derivative liabilities		(49	)
Total non-designated derivatives	$	2,534			$	7			$	(225	)

(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 March 31, 2021 and 2020:

In millions
Derivatives Not Designated as		Three Months Ended March 31,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2021		2020
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	-	$	(1	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		35		(56	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		2		10
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		-		(3	)
Total		$	37	$	(50	)