Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

$ in millions	As of June 30, 2015
		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	1.1 Years	$	5,823	$	-	$	968	$	152	$	1,073	$	8,016	$	(144)
Insured swaps	16.9 Years		-		113		2,777		962		21		3,873		(3)
Total notional		$	5,823	$	113	$	3,745	$	1,114	$	1,094	$	11,889
Total fair value		$	(2)	$	-	$	(3)	$	(2)	$	(140)			$	(147)

$ in millions	As of December 31, 2014
		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	1.6 Years	$	6,914	$	246	$	968	$	193	$	1,160	$	9,481	$	(244)
Insured swaps	16.7 Years		-		117		2,935		970		22		4,044		(2)
Total notional		$	6,914	$	363	$	3,903	$	1,163	$	1,182	$	13,525
Total fair value		$	(2)	$	-	$	(2)	$	(2)	$	(240)			$	(246)

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	$	8,016	Other assets	$	-	Derivative liabilities	$	(144)
	Insured swaps		3,873	Other assets		-	Derivative liabilities		(3)
	Interest rate swaps		1,155	Other assets		4	Derivative liabilities		(221)
	Interest rate swaps-VIE		901	Derivative assets-VIE		1	Derivative liabilities-VIE		(65)
	Interest rate swaps-embedded		404	Medium-term notes		6	Medium-term notes		(14)
	Currency swaps-VIE		83	Derivative assets-VIE		2	Derivative liabilities-VIE		-
	All other		83	Other assets		-	Derivative liabilities		(21)
	All other-VIE		241	Derivative assets-VIE		-	Derivative liabilities-VIE		-
	All other-embedded		12	Other investments		-	Other investments		-
Total non-designated derivatives		$	14,768		$	13		$	(468)
__________
(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
Not designated as hedging instruments:
	Insured credit default swaps	$	9,481	Other assets	$	-	Derivative liabilities	$	(244)
	Insured swaps		4,044	Other assets		-	Derivative liabilities		(2)
	Interest rate swaps		1,450	Other assets		83	Derivative liabilities		(248)
	Interest rate swaps-embedded		437	Medium-term notes		8	Medium-term notes		(19)
	Currency swaps-VIE		91	Derivative assets-VIE		-	Derivative liabilities-VIE		-
	All other		83	Other assets		-	Derivative liabilities		(24)
	All other-VIE		241	Derivative assets-VIE		-	Derivative liabilities-VIE		-
	All other-embedded		12	Other investments		-	Other investments		-
Total non-designated derivatives		$	15,839		$	91		$	(537)
__________
(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	$	63
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(3)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		39
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		10
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2)
Total		$	107

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	$	(23)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(24)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(22)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(6)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(2)
Total		$	(77)

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	$	100
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		(68)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		10
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		2
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		3
Total		$	35

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	$	800
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(363)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(45)
All other	Unrealized gains (losses) on insured derivatives		15
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(3)
All other	Realized gains (losses) and other settlements on insured derivatives		(30)
Total		$	374

- 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