Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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Credit Derivatives Sold

$ in millions	As of March 31, 2022
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A			BBB		Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured swaps		14.0 Years	$	-	$	59	$	1,122		$	292	$	-	$	1,473	$	(1	)
Total fair value			$	-	$	-	$	(1	)	$	-	$	-			$	(1	)

$ 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	)

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 March 31, 2022 and December 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	$	1,473		Other assets	$	-		Derivative liabilities	$	(1	)
Interest rate swaps		384		Other assets		-		Derivative liabilities		(98	)
Interest rate swaps-embedded		203		Medium-term notes		-		Medium-term notes		(6	)
Currency swaps-VIE		49		Other assets-VIE		9		Derivative liabilities-VIE		-
Total non-designated derivatives	$	2,109			$	9			$	(105	)

(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	$	1,489		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.

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, 2022 and 2021:

In millions
Derivatives Not Designated as		Three Months Ended March 31,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2022		2021
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	30	$	35
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		-		2
Total		$	30	$	37