The Company maintains a program to enter into swaps to hedge against market price and interest rate exposures with respect to certain seed investments in sponsored investment products. At December 31, 2020 and 2019, the Company had outstanding total return swaps with aggregate notional values of approximately $833 million and $644 million, respectively.

The Company executes forward foreign currency exchange contracts to mitigate the risk of certain foreign exchange movements. At December 31, 2020 and 2019, the Company had outstanding forward foreign currency exchange contracts with aggregate notional values of approximately $2.8 billion and $3.4 billion, respectively and with expiration dates in January 2021 and January 2020, respectively.

At both December 31, 2020 and 2019, the Company had a derivative providing credit protection with a notional amount of approximately $17 million to a counterparty, representing the Company’s maximum risk of loss with respect to the derivative. The Company carries the derivative at fair value based on the expected discounted future cash outflows under the arrangement.

The following table presents the fair values of derivative instruments recognized in the consolidated statements of financial condition at December 31, 2020:

December 31, 2020

(in millions)

Assets

Liabilities

Derivative instruments

Statement of

Financial Condition

Classification

Fair Value

Statement of

Financial Condition

Classification

Fair Value

Total return swaps

Other assets

—

Other liabilities

Forward foreign currency exchange contracts

Other assets

Other liabilities

Total

The fair values of the outstanding total return swaps and forward foreign currency exchange contracts were not material to the consolidated statement of financial condition at December 31, 2019.

The following table presents realized and unrealized gains (losses) recognized in the consolidated statements of income on derivative instruments:

(in millions)		Gains (Losses)
Derivative Instruments	Statement of Income Classification	2020			2019			2018
Total return swaps	Nonoperating income (expense)	$	(93	)	$	(106	)	$	54
Forward foreign currency exchange contracts	General and administration expense		47			55			(124	)
Total gain (loss) from derivative instruments		$	(46	)	$	(51	)	$	(70	)

The Company consolidates certain sponsored investment funds, which may utilize derivative instruments as a part of the funds’ investment strategies. The change in fair value of such derivatives, which is recorded in nonoperating income (expense), was not material for 2020, 2019 and 2018.

See Note 15, Borrowings, for more information on the Company’s net investment hedge.