Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

$ in millions	As of September 30, 2016
		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	3.9 Years	$	103	$	-	$	115	$	-	$	521	$	739	$	(85)
Insured swaps	15.6 Years		-		145		2,158		1,186		20		3,509		(2)
Total notional		$	103	$	145	$	2,273	$	1,186	$	541	$	4,248
Total fair value		$	-	$	-	$	(1)	$	(1)	$	(85)			$	(87)

$ in millions	As of December 31, 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	2.1 Years	$	1,947	$	-	$	300	$	-	$	961	$	3,208	$	(85)
Insured swaps	16.5 Years		-		109		2,715		940		22		3,786		(3)
Total notional		$	1,947	$	109	$	3,015	$	940	$	983	$	6,994
Total fair value		$	-	$	-	$	(4)	$	(2)	$	(82)			$	(88)

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	$	739	Other assets	$	-	Derivative liabilities	$	(85)
	Insured swaps		3,509	Other assets		-	Derivative liabilities		(2)
	Interest rate swaps		1,067	Other assets		4	Derivative liabilities		(296)
	Interest rate swaps-embedded		403	Medium-term notes		4	Medium-term notes		(20)
	Currency swaps-VIE		73	Other assets-VIE		-	Derivative liabilities-VIE		-
	All other		83	Other assets		-	Derivative liabilities		(19)
	All other-VIE		110	Other assets-VIE		13	Derivative liabilities-VIE		-
	All other-embedded		5	Other investments		-	Other investments		-
Total non-designated derivatives		$	5,989		$	21		$	(422)
__________
(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	$	3,208	Other assets	$	-	Derivative liabilities	$	(85)
	Insured swaps		3,786	Other assets		-	Derivative liabilities		(3)
	Interest rate swaps		1,153	Other assets		4	Derivative liabilities		(240)
	Interest rate swaps-VIE		899	Other assets-VIE		-	Derivative liabilities-VIE		(45)
	Interest rate swaps-embedded		396	Medium-term notes		5	Medium-term notes		(15)
	Currency swaps-VIE		83	Other assets-VIE		11	Derivative liabilities-VIE		-
	All other		83	Other assets		-	Derivative liabilities		(18)
	All other-VIE		241	Other assets-VIE		-	Derivative liabilities-VIE		-
	All other-embedded		10	Other investments		-	Other investments		-
Total non-designated derivatives		$	9,859		$	20		$	(406)
__________
(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
Derivatives Not Designated as		Three Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2016		2015
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	20	$	21
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(4)		(18)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)		(45)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		-		8
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		4		4
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		2		(1)
Total		$	21	$	(31)

In millions
Derivatives Not Designated as		Nine Months Ended September 30,
Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	2016		2015
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	-	$	121
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(20)		(30)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(86)		(112)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		8		18
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		3		5
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)		2
Total		$	(96)	$	4

- 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