Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Notional Amounts of Outstanding Derivative Positions

At March 31, 2015 and December 31, 2014, the volume of our derivative activities based on their notional exposure, categorized by primary underlying risk, is as follows:



	March 31, 2015				December 31, 2014
	Long Notional Exposure		Short Notional Exposure		Long Notional Exposure		Short Notional Exposure
Primary underlying risk:	(in millions)
Credit swaps⁽¹⁾	$	311	$	1,738	$	389	$	1,493
Equity swaps	1		13,113		1		11,312
Foreign currency forwards	—		1,088		—		1,578
Interest rate swap contracts⁽²⁾	—		137		—		137
Commodity contracts	42		749		36		234


⁽¹⁾	The short notional amount on our credit default swap positions is approximately $10.9 billion and $9.3 billion as of March 31, 2015 and December 31, 2014, respectively. However, because credit spreads cannot compress below zero, our downside short notional exposure to loss is approximately $1.7 billion and $1.5 billion as of March 31, 2015 and December 31, 2014, respectively.

⁽²⁾

The short notional amount on certain of our interest rate contracts with a three month duration is approximately $16.0 billion as of both March 31, 2015 and December 31, 2014. We assume that interest rates will not fall below zero and therefore our downside short notional exposure to loss on these contracts is $74 million (of the total $137 million disclosed in the above table) as of both March 31, 2015 and December 31, 2014.

Schedule of Other Derivatives Not Designated as Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table presents the consolidated fair values of our derivatives that are not designated as hedging instruments:



Derivatives Not Designated as Hedging Instruments	Asset Derivatives⁽¹⁾						Liability Derivatives⁽²⁾
Derivatives Not Designated as Hedging Instruments	March 31, 2015			December 31, 2014			March 31, 2015			December 31, 2014
	(in millions)
Equity contracts	$	27		$	—		$	706		$	539
Foreign exchange contracts	12			11			—			—
Credit contracts	2			1			166			85
Interest rate swap contracts	—			1			—			—
Commodity contracts	70			47			34			—
Sub-total	111			60			906			624
Netting across contract types⁽³⁾	(46		)	(10		)	(46		)	(10		)
Total⁽³⁾	$	65		$	50		$	860		$	614


⁽¹⁾	Net asset derivatives are located within other assets in our condensed consolidated balance sheets.


⁽²⁾	Net liability derivatives are located within accrued expenses and other liabilities in our condensed consolidated balance sheets.


⁽³⁾	Excludes netting of cash collateral received and posted. The total collateral posted at March 31, 2015 and December 31, 2014 was approximately $1.8 billion and $1.2 billion, respectively, across all counterparties.

The following table presents the effects of our derivative instruments not designated as hedging instruments on the statements of operations for the three months ended March 31, 2015 and 2014:



	Gain (Loss) Recognized in Income⁽¹⁾
Derivatives Not Designated as Hedging Instruments	Three Months Ended March 31,
Derivatives Not Designated as Hedging Instruments	2015			2014
	(in millions)
Equity contracts	$	(165	)	$	(176	)
Foreign exchange contracts	174			—
Credit contracts	(29		)	(6		)
Commodity contracts	19			131
	$	(1	)	$	(51	)


⁽¹⁾	Gains (losses) recognized on derivatives are classified in net gain (loss) from investment activities in our condensed consolidated statements of operations for our Investment segment and are included in other (loss) income, net for all other segments.

Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table presents the consolidated fair values of our derivative instruments that are designated as cash flow hedging instruments:



Derivatives Designated as Cash Flow Hedging Instruments	Asset Derivatives⁽¹⁾						Liability Derivatives⁽²⁾
Derivatives Designated as Cash Flow Hedging Instruments	March 31, 2015			December 31, 2014			March 31, 2015			December 31, 2014
	(in millions)
Interest rate swap contracts	$	—		$	—		$	—		$	1
Commodity contracts	2			1			2			2
Sub-total	2			1			2			3
Netting across contract types	(2		)	(1		)	(2		)	(1		)
Total	$	—		$	—		$	—		$	2


⁽¹⁾	Located within other assets in our condensed consolidated balance sheets.


⁽²⁾	Located within accrued expenses and other liabilities in our condensed consolidated balance sheets.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following tables present the effect of our derivative instruments that are designated as cash flow hedging instruments on our condensed consolidated financial statements for the three months ended March 31, 2015 and 2014:



Three Months Ended March 31, 2015
Derivatives Designated as Hedging Instruments	Amount of (Loss) Gain Recognized in OCI on Derivatives (Effective Portion)		Amount of (Loss) Gain Reclassified from AOCI into Income (Effective Portion)		Location of (Loss) Gain Reclassified from AOCI into Income (Effective Portion)
	(in millions)		(in millions)
Commodity contracts	$	1	$	—	Cost of goods sold
Foreign currency contracts	—		—		Cost of goods sold
	$	1	$	—



Three Months Ended March 31, 2014
Derivatives Designated as Hedging Instruments	Amount of (Loss) Gain Recognized in OCI on Derivatives (Effective Portion)			Amount of (Loss) Gain Reclassified from AOCI into Income (Effective Portion)			Location of (Loss) Gain Reclassified from AOCI into Income (Effective Portion)
	(in millions)			(in millions)
Commodity contracts	$	(2	)	$	(1	)	Cost of goods sold
Foreign currency contracts	—			(1		)	Cost of goods sold
	$	(2	)	$	(2	)