Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2021

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Credit Derivatives Sold

$ in millions	As of December 31, 2021
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured swaps		14.1 Years	$	—	$	61	$	1,136	$	292	$	—	$	1,489	$	(1)
Total fair value			$	—	$	—	$	(1)	$	—	$	—			$	(1)

$ in millions	As of December 31, 2020
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 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 tables present 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, 2021 and 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	$	1,489		Other assets	$	—		Derivative liabilities	$	(1)
Interest rate swaps		399		Other assets		1		Derivative liabilities		(130)
Interest rate swaps-embedded		206		Medium-term notes		—		Medium-term notes		(9)
Currency swaps-VIE		50		Other assets-VIE		9		Derivative liabilities-VIE		—
Total non-designated derivatives	$	2,144			$	10			$	(140)

(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 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 years ended December 31, 2021, 2020 and 2019:

In millions		Years Ended December 31,
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative
		2021		2020		2019
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	—	$	7	$	25
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		—		(1)		(10)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		18		(42)		(66)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		3		(2)		(8)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		—		(15)		(26)
Total		$	21	$	(53)	$	(85)