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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2020
Text Block [Abstract] |
Credit Derivatives Sold |
$ in millions |  | As of September 30, 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 credit default swaps |  |  | 0.3 Years |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 23 |  |  | $ | 23 |  |  | $ | (8 | )
Insured swaps |  |  | 14.1 Years |  |  |  | - |  |  |  | 59 |  |  |  | 1,341 |  |  |  | 362 |  |  |  | - |  |  |  | 1,762 |  |  |  | (2 | )
Total notional |  |  |  |  |  | $ | - |  |  | $ | 59 |  |  | $ | 1,341 |  |  | $ | 362 |  |  | $ | 23 |  |  | $ | 1,785 |  |  |  |  |
Total fair value |  |  |  |  |  | $ | - |  |  | $ | - |  |  | $ | (1 | ) |  | $ | (1 | ) |  | $ | (8 | ) |  |  |  |  |  | $ | (10 | )
$ in millions |  | As of December 31, 2019
|  | Notional Value |  |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  | AAA |  | AA |  | A |  | BBB |  | Below Investment Grade |  | Total Notional |  | Fair Value Asset (Liability)
Insured credit default swaps |  |  | 1.0 Years |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 32 |  |  | $ | 32 |  |  | $ | (7 | )
Insured swaps |  |  | 14.0 Years |  |  |  | — |  |  |  | 121 | (1) |  |  | 1,371 | (2) |  |  | 433 | (3) |  |  | — |  |  |  | 1,925 | (4) |  |  | (2 | )
Total notional |  |  |  |  |  | $ | — |  |  | $ | 121 |  |  | $ | 1,371 |  |  | $ | 433 |  |  | $ | 32 |  |  | $ | 1,957 |  |  |  |  |
Total fair value |  |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | (1 | ) |  | $ | (7 | ) |  |  |  |  |  | $ | (9 | )
(1) - | The Company revised its previously reported amount of $66 million to $121 million.
(2) - | The Company revised its previously reported amount of $1,284 million to $1,371 million.
(3) - | The Company revised its previously reported amount of $445 million to $433 million.
(4) - | The Company revised its previously reported amount of $1,795 million to $1,925 million.
Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting |
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 credit default swaps |  | $ | 23 |  |  |  | Other assets |  |  | $ | - |  |  |  | Derivative liabilities |  |  | $ | (8 | )
Insured swaps |  |  | 1,762 |  |  |  | Other assets |  |  |  | - |  |  |  | Derivative liabilities |  |  |  | (2 | )
Interest rate swaps |  |  | 435 |  |  |  | Other assets |  |  |  | 1 |  |  |  | Derivative liabilities |  |  |  | (180 | )
Interest rate swaps-embedded |  |  | 242 |  |  |  | Medium-term notes |  |  |  | - |  |  |  | Medium-term notes |  |  |  | (9 | )
Currency swaps-VIE |  |  | 55 |  |  |  | Other assets-VIE |  |  |  | 12 |  |  |  | Derivative liabilities- VIE |  |  |  | - |
All other |  |  | 49 |  |  |  | Other assets |  |  |  | - |  |  |  | Derivative liabilities |  |  |  | (38 | )
Total non-designated derivatives |  | $ | 2,566 |  |  |  |  |  |  | $ | 13 |  |  |  |  |  |  | $ | (237 | )
(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 credit default swaps |  | $ | 32 |  |  |  | Other assets |  |  | $ | - |  |  |  | Derivative liabilities |  |  | $ | (7 | )
Insured swaps |  |  | 1,925 | (2) |  |  | Other assets |  |  |  | - |  |  |  | Derivative liabilities |  |  |  | (2 | )
Interest rate swaps |  |  | 441 |  |  |  | Other assets |  |  |  | 1 |  |  |  | Derivative liabilities |  |  |  | (132 | )
Interest rate swaps-embedded |  |  | 232 |  |  |  | Medium- term notes |  |  |  | - |  |  |  | Medium- term notes |  |  |  | (15 | )
Currency swaps-VIE |  |  | 58 |  |  |  | Other assets-VIE |  |  |  | 8 |  |  |  | Derivative liabilities-VIE |  |  |  | - |
All other |  |  | 49 |  |  |  | Other assets |  |  |  | - |  |  |  | Derivative liabilities |  |  |  | (34 | )
Total non-designated derivatives |  | $ | 2,737 |  |  |  |  |  |  | $ | 9 |  |  |  |  |  |  | $ | (190 | )
(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.
(2) - | The Company revised its previously reported amount of $1,795 million to $1,925 million.
Effect Of Derivative Instruments On Consolidated Statements Of Operations |
In millions |  |  |  |  |  |
Derivatives Not Designated as |  |  |  | Three Months Ended September 30,
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | 2020 |  | 2019
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | - |  |  | $ | 9 |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | - |  |  |  | (10 | )
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 6 |  |  |  | (30 | )
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | (1 | ) |  |  | (3 | )
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1 | ) |  |  | (14 | )
Total |  |  |  | $ | 4 |  |  | $ | (48 | )
In millions |  |  |  |  |  |
Derivatives Not Designated as |  |  |  | Nine Months Ended September 30,
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | 2020 |  | 2019
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | (1 | ) |  | $ | 23 |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | - |  |  |  | (11 | )
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (53 | ) |  |  | (85 | )
Currency swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 4 |  |  |  | (8 | )
All other |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (4 | ) |  |  | (23 | )
Total |  |  |  | $ | (54 | ) |  | $ | (104 | )

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- 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). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708777-113959 + Details
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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624181-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 + Details
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