Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2021


$ in millions	As of June 30, 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		13.5 Years	$	-	$	55	$	1,306		$	358	$	-	$	1,719	$	(1	)

Total notional			$	-	$	55	$	1,306		$	358	$	-	$	1,719

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 June 30, 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	$	1,719	Other assets	$	-	Derivative liabilities	$	(1	)
Interest rate swaps		427	Other assets		1	Derivative liabilities		(139	)
Interest rate swaps-embedded		243	Medium-term notes		-	Medium-term notes		(9	)
Currency swaps-VIE		51	Other assets-VIE		8	Derivative liabilities-VIE		-

Total non-designated derivatives	$	2,440		$	9		$	(149	)

(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) -

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 June 30, 2021 and 2020:


In millions
Derivatives Not Designated as		Three Months Ended June 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2021			2020
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	(18	)	$	(3	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1	)		(5	)

Total		$	(19	)	$	(8	)

The following table presents the effect of derivative instruments on the consolidated statements of operations for the six months ended June 30, 2021 and 2020:


In millions
Derivatives Not Designated as		Six Months Ended June 30,
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		17		(59	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		1		5
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		-		(3	)

Total		$	18	$	(58	)

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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