Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2013

$ in millions	As of September 30, 2013
		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	2.7 Years	$	7,412	$	3,150	$	1,705	$	7,419	$	6,085	$	25,771	$	(1,355)
Insured swaps	19.1 Years		0		77		3,694		1,592		0		5,363		(7)
All others	28.3 Years		0		0		0		0		36		36		(8)
Total notional		$	7,412	$	3,227	$	5,399	$	9,011	$	6,121	$	31,170
Total fair value		$	(3)	$	0	$	(6)	$	(386)	$	(975)			$	(1,370)

$ in millions	As of December 31, 2012
		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	5.1 Years	$	10,457	$	5,862	$	5,253	$	11,571	$	13,859	$	47,002	$	(2,858)
Insured swaps	19.4 Years		0		103		3,661		1,982		71		5,817		(8)
All others	1.8 Years		0		0		0		0		195		195		(68)
Total notional		$	10,457	$	5,965	$	8,914	$	13,553	$	14,125	$	53,014
Total fair value		$	(7)	$	(70)	$	(72)	$	(732)	$	(2,053)			$	(2,934)

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⁾
		Notional
		Amount			Fair			Fair
Derivative Instruments		Outstanding		Balance Sheet Location	Value		Balance Sheet Location	Value

Not designated as hedging instruments:
	Insured credit default swaps	$	25,771	Other assets	$	0	Derivative liabilities	$	(1,355)
	Insured swaps		5,363	Other assets		0	Derivative liabilities		(7)
	Interest rate swaps		1,575	Other assets		57	Derivative liabilities		(195)
	Interest rate swaps-embedded		490	Medium-term notes		9	Medium-term notes		(16)
	Currency swaps		20	Other assets		0	Derivative liabilities		(1)
	Currency swaps-VIE		102	Other assets-VIE		0	Derivative liabilities-VIE		(15)
	All other		36	Other assets		0	Derivative liabilities		(8)
	All other-VIE		280	Other assets-VIE		0	Derivative liabilities-VIE		0
	All other-embedded		10	Other investments		0	Other investments		0
Total non-designated derivatives		$	33,647		$	66		$	(1,597)
Total derivatives		$	33,647		$	66		$	(1,597)
__________
(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⁾
			Notional
			Amount		Fair			Fair
Derivative Instruments			Outstanding	Balance Sheet Location	Value		Balance Sheet Location	Value
Designated as hedging instruments:

Not designated as hedging instruments:
	Insured credit default swaps	$	47,320	Other assets	$	0	Derivative liabilities	$	(2,858)
	Insured swaps		5,817	Other assets		0	Derivative liabilities		(8)
	Non-insured credit default swaps		10	Other assets		0	Derivative liabilities		0
	Interest rate swaps		1,637	Other assets		94	Derivative liabilities		(290)
	Interest rate swaps-VIE		2,728	Other assets-VIE		0	Derivative liabilities-VIE		(141)
	Interest rate swaps-embedded		483	Medium-term notes		8	Medium-term notes		(35)
	Currency swaps		40	Other assets		0	Derivative liabilities		(3)
	Currency swaps-VIE		110	Other assets-VIE		0	Derivative liabilities-VIE		(21)
	All other		195	Other assets		0	Derivative liabilities		(68)
	All other-VIE		280	Other assets-VIE		0	Derivative liabilities-VIE		0
	All other-embedded		20	Other investments		0	Other investments		(1)
Total non-designated derivatives		$	58,640		$	102		$	(3,425)
Total derivatives		$	58,640		$	102		$	(3,425)
__________
(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

In millions
		Net Gain
		(Loss)
Derivatives Not Designated as		Recognized
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	287
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(28)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		17
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		2
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)
All other	Unrealized gains (losses) on insured derivatives		(2)
Total		$	275

In millions
		Gain (Loss)		Gain (Loss)
		Recognized in		Recognized in		Net Gain (Loss)
Derivatives in Fair Value		Income on		Income on		Recognized in
Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Derivative		Hedged Item		Income
Interest rate swaps	Net gains (losses) on financial instruments at	$	(12)	$	12	$	0
	fair value and foreign exchange
Total		$	(12)	$	12	$	0

In millions
		Net Gain
		(Loss)
Derivatives Not Designated as		Recognized
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(40)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		12
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(26)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		8
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		1
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2)
All other	Unrealized gains (losses) on insured derivatives		7
Total		$	(40)

In millions		Net Gain
		(Loss)
Derivatives Not Designated as		Recognized
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	1,502
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(1,548)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		58
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		17
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		1
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		6
All other	Unrealized gains (losses) on insured derivatives		60
Total		$	96

In millions		Gain (Loss)		Gain (Loss)
		Recognized in		Recognized in		Net Gain (Loss)
Derivatives in Fair Value		Income on		Income on		Recognized in
Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Derivative		Hedged Item		Income
Interest rate swaps	Net gains (losses) on financial instruments at	$	25	$	(25)	$	0
	fair value and foreign exchange
Interest rate swaps	Interest income (expense)		0		0		(3)
Currency swaps	Net gains (losses) on financial instruments at
Total		$	25	$	(25)	$	(3)

In millions		Net Gain
		(Loss)
Derivatives Not Designated as		Recognized
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	1,463
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(420)
Non-insured credit default swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(76)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		39
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		1
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(5)
All other	Unrealized gains (losses) on insured derivatives		10
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		11
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2)
Total		$	1,019

- 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+ Details