Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2022


$ in millions	As of September 30, 2022
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	$	-	$	53	$	1,022	$	232	$	60	$	1,367	$	-

Total fair value			$	-	$	-	$	-	$	-	$	-			$	-


$ 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 September 30, 2022 and December 31, 2021:


	September 30, 2022
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	$	1,367		Other assets	$	-		Derivative liabilities	$	-
Interest rate swaps		375		Other assets		-		Derivative liabilities		(49	)
Interest rate swaps-embedded		178		Medium-term notes		-		Medium-term notes		(1	)
Currency swaps-VIE		38		Other assets-VIE		-		Derivative liabilities-VIE		(5	)

Total non-designated derivatives	$	1,958			$	-			$	(55	)

(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.


	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	$	1,489		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) -

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 September 30, 2022 and 2021:


In millions
Derivatives Not Designated as		Three Months Ended September 30,
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	$	23		$	5
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(14	)		1

Total		$	9		$	6

The following table presents the effect of derivative instruments on the consolidated statements of operations for the nine months ended September 30, 2022 and 2021:


In millions
Derivatives Not Designated as Hedging Instruments		Nine Months Ended September 30,
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2022			2021
Insured swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	1		$	-
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		79			22
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(14	)		3

Total		$	66		$	25

- 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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