XML 51 R37.htm IDEA: XBRL DOCUMENT v3.6.0.2
Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2016
Financial Instruments [Abstract]  
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:
 
Asset Derivatives(1)
 
Liability Derivatives(2)
 
December 31,
 
December 31,
2016
 
2015
 
2016
 
2015
 
(in millions)
Equity contracts
$
15

 
$
339

 
$
1,104

 
$
122

Foreign exchange contracts
—

 
—

 
—

 
19

Credit contracts
17

 
45

 
39

 
53

Commodity contracts
2

 
46

 
11

 
10

Sub-total
34

 
430

 
1,154

 
204

Netting across contract types(3)
(15
)
 
(171
)
 
(15
)
 
(171
)
Total(3)
$
19

 
$
259

 
$
1,139

 
$
33


(1) 
Net asset derivatives are located within other assets in our consolidated balance sheets.
(2) 
Net liability derivatives are located within accrued expenses and other liabilities in our consolidated balance sheets.
(3) 
Excludes netting of cash collateral received and posted.  The total collateral posted at December 31, 2016 and 2015 was $634 million and $883 million, 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 years ended December 31, 2016, 2015 and 2014:
 
Gain (Loss) Recognized in Income(1)
 
Year Ended December 31,
 
2016
 
2015
 
2014
 
(in millions)
Equity contracts
$
(1,609
)
 
$
(1
)
 
$
(1,251
)
Foreign exchange contracts
35

 
160

 
213

Credit contracts
44

 
489

 
70

Interest rate contracts
(28
)
 
—

 
—

Commodity contracts
(101
)
 
57

 
186

 
$
(1,659
)
 
$
705

 
$
(782
)
 
(1) 
Gains (losses) recognized on derivatives are classified in net gain from investment activities in our consolidated statements of operations for our Investment segment and are included in other income (loss), net for all other segments.
Schedule of Notional Amounts of Outstanding Derivative Positions
At December 31, 2016 and 2015, the volume of our derivative activities based on their notional exposure, categorized by primary underlying risk, are as follows:
 
December 31, 2016
 
December 31, 2015
  
Long Notional Exposure
 
Short Notional Exposure
 
Long Notional Exposure
 
Short Notional Exposure
Primary underlying risk:
(in millions)
Credit swaps(1)
$
202

 
$
472

 
$
187

 
$
2,306

Equity swaps
112

 
14,094

 
1,343

 
14,167

Foreign currency forwards
—

 
—

 
—

 
842

Interest rate swap contracts(2)
—

 
—

 
—

 
137

Commodity contracts
16

 
754

 
43

 
643


(1) 
The short notional amount on our credit default swap positions is approximately $2.6 billion and $10.0 billion as of December 31, 2016 and 2015, respectively. However, because credit spreads cannot compress below zero, our downside short notional exposure to loss is approximately $0.5 billion and $2.3 billion as of December 31, 2016 and 2015, 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 December 31, 2015. 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 December 31, 2015.