(5) Derivative Instruments

Our business activities routinely deal with fluctuations in interest rates, equity prices, currency exchange rates and other asset and liability prices. We use derivative instruments to mitigate or reduce certain of these risks. We have established policies for managing each of these risks, including prohibitions on derivatives market-making and other speculative derivatives activities. These policies require the use of derivative instruments in concert with other techniques to reduce or mitigate these risks. While we use derivatives to mitigate or reduce risks, certain derivatives do not meet the accounting requirements to be designated as hedging instruments and are denoted as “derivatives not designated as hedges” in the following disclosures. For derivatives that meet the accounting requirements to be designated as hedges, the following disclosures for these derivatives are denoted as “derivatives designated as hedges,” which include both cash flow and fair value hedges.

The following table sets forth our positions in derivative instruments as of the dates indicated:


	Derivative assets					Derivative liabilities
	Balance sheet classification	Fair value				Balance sheet classification	Fair value
(Amounts in millions)	Balance sheet classification	September 30, 2012		December 31, 2011		Balance sheet classification	September 30, 2012		December 31, 2011
Derivatives designated as hedges
Cash flow hedges:
Interest rate swaps	Other invested assets	$	546	$	602	Other liabilities	$	2	$	1
Inflation indexed swaps	Other invested assets		—		—	Other liabilities		98		43
Foreign currency swaps	Other invested assets		1		—	Other liabilities		1		—
Forward bond purchase commitments	Other invested assets		68		47	Other liabilities		—		—

Total cash flow hedges			615		649			101		44

Fair value hedges:
Interest rate swaps	Other invested assets		19		43	Other liabilities		—		1
Foreign currency swaps	Other invested assets		29		32	Other liabilities		—		—

Total fair value hedges			48		75			—		1

Total derivatives designated as hedges			663		724			101		45

Derivatives not designated as hedges
Interest rate swaps	Other invested assets		691		705	Other liabilities		352		374
Interest rate swaps related to securitization entities	Restricted other invested assets		—		—	Other liabilities		29		28
Credit default swaps	Other invested assets		6		1	Other liabilities		9		59
Credit default swaps related to securitization entities	Restricted other invested assets		—		—	Other liabilities		136		177
Equity index options	Other invested assets		24		39	Other liabilities		—		—
Financial futures	Other invested assets		—		—	Other liabilities		—		—
Equity return swaps	Other invested assets		—		7	Other liabilities		7		4
Other foreign currency contracts	Other invested assets		—		9	Other liabilities		6		11
Reinsurance embedded derivatives ⁽¹⁾	Other assets		33		29	Other liabilities		—		—
GMWB embedded derivative	Reinsurance recoverable ⁽²⁾		11		16	Policyholder account balances ⁽³⁾		380		492
Fixed index annuity embedded derivatives	Other assets ⁽⁴⁾		—		—	Policyholder account balances ⁽⁴⁾		21		4

Total derivatives not designated as hedges			765		806			940		1,149

Total derivatives		$	1,428	$	1,530		$	1,041	$	1,194

⁽¹⁾	Represents embedded derivatives associated with certain reinsurance agreements.

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our guaranteed minimum withdrawal benefits (“GMWB”) liabilities.

⁽³⁾	Represents the embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽⁴⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.

The fair value of derivative positions presented above was not offset by the respective collateral amounts retained or provided under these agreements. The amounts recognized for derivative counterparty collateral retained by us was recorded in other invested assets with a corresponding amount recorded in other liabilities to represent our obligation to return the collateral retained by us.

The activity associated with derivative instruments can generally be measured by the change in notional value over the periods presented. However, for GMWB and fixed index annuity embedded derivatives, the change between periods is best illustrated by the number of policies. The following tables represent activity associated with derivative instruments as of the dates indicated:


(Notional in millions)	Measurement		December 31, 2011		Additions		Maturities/ terminations			September 30, 2012
Derivatives designated as hedges
Cash flow hedges:
Interest rate swaps		Notional	$	12,399	$	—	$	(2,082	)	$	10,317
Inflation indexed swaps		Notional		544		10		—			554
Foreign currency swaps		Notional		—		185		(75	)		110
Forward bond purchase commitments		Notional		504		—		—			504

Total cash flow hedges				13,447		195		(2,157	)		11,485

Fair value hedges:
Interest rate swaps		Notional		1,039		—		(314	)		725
Foreign currency swaps		Notional		85		—		—			85

Total fair value hedges				1,124		—		(314	)		810

Total derivatives designated as hedges				14,571		195		(2,471	)		12,295

Derivatives not designated as hedges
Interest rate swaps		Notional		7,200		2,530		(2,332	)		7,398
Interest rate swaps related to securitization entities		Notional		117		—		(9	)		108
Credit default swaps		Notional		1,110		100		(230	)		980
Credit default swaps related to securitization entities		Notional		314		—		(2	)		312
Equity index options		Notional		522		1,121		(592	)		1,051
Financial futures		Notional		2,924		4,228		(5,110	)		2,042
Equity return swaps		Notional		326		191		(342	)		175
Other foreign currency contracts		Notional		779		358		(1,084	)		53
Reinsurance embedded derivatives		Notional		228		53		—			281

Total derivatives not designated as hedges				13,520		8,581		(9,701	)		12,400

Total derivatives			$	28,091	$	8,776	$	(12,172	)	$	24,695


(Number of policies)	Measurement		December 31, 2011		Additions		Maturities/ terminations			September 30, 2012
Derivatives not designated as hedges
GMWB embedded derivatives		Policies		47,714		—		(2,010	)		45,704
Fixed index annuity embedded derivatives		Policies		433		937		(10	)		1,360

We did not have any derivatives with counterparties that can be terminated at the option of the derivative counterparty as of September 30, 2012.

Cash Flow Hedges

Certain derivative instruments are designated as cash flow hedges. The changes in fair value of these instruments are recorded as a component of OCI. We designate and account for the following as cash flow hedges when they have met the effectiveness requirements: (i) various types of interest rate swaps to convert floating rate investments to fixed rate investments; (ii) various types of interest rate swaps to convert floating rate liabilities into fixed rate liabilities; (iii) receive U.S. dollar fixed on foreign currency swaps to hedge the foreign currency cash flow exposure of foreign currency denominated investments; (iv) pay U.S. dollar fixed on foreign currency swaps to hedge the foreign currency cash flow exposure on liabilities denominated in foreign currencies; (v) forward starting interest rate swaps to hedge against changes in interest rates associated with future fixed rate bond purchases and/or interest income; (vi) forward bond purchase commitments to hedge against the variability in the anticipated cash flows required to purchase future fixed rate bonds; and (vii) other instruments to hedge the cash flows of various forecasted transactions.

The following table provides information about the pre-tax income (loss) effects of cash flow hedges for the three months ended September 30, 2012:


(Amounts in millions)	Gain (loss) recognized in OCI			Gain (loss) reclassified into net income (loss) from OCI		Classification of gain (loss) reclassified into net income (loss)	Gain (loss) recognized in net income (loss) ⁽¹⁾			Classification of gain (loss) recognized in net income (loss)
Interest rate swaps hedging assets	$	(83	)	$	9	Net investment income	$	(6	)	Net investment gains (losses)
Interest rate swaps hedging assets		—			1	Net investment gains (losses)		—		Net investment gains (losses)
Forward bond purchase commitments		2			—	Net investment income		—		Net investment gains (losses)
Inflation indexed swaps		(23	)		3	Net investment income		—		Net investment gains (losses)
Foreign currency swaps		1			—	Interest expense		—		Net investment gains (losses)

Total	$	(103	)	$	13		$	(6	)

⁽¹⁾	Represents ineffective portion of cash flow hedges as there were no amounts excluded from the measurement of effectiveness.

The following table provides information about the pre-tax income (loss) effects of cash flow hedges for the three months ended September 30, 2011:


(Amounts in millions)	Gain (loss) recognized in OCI		Gain (loss) reclassified into net income (loss) from OCI			Classification of gain (loss) reclassified into net income (loss)	Gain (loss) recognized in net income (loss) ⁽¹⁾		Classification of gain (loss) recognized in net income (loss)
Interest rate swaps hedging assets	$	1,529	$	9		Net investment income	$	49	Net investment gains (losses)
Interest rate swaps hedging assets		—		2		Net investment gains (losses)		—	Net investment gains (losses)
Forward bond purchase commitments		37		—		Net investment income		—	Net investment gains (losses)
Inflation indexed swaps		19		(3	)	Net investment income		—	Net investment gains (losses)

Total	$	1,585	$	8			$	49

⁽¹⁾	Represents ineffective portion of cash flow hedges as there were no amounts excluded from the measurement of effectiveness.

The following table provides information about the pre-tax income (loss) effects of cash flow hedges for the nine months ended September 30, 2012:


(Amounts in millions)	Gain (loss) recognized in OCI			Gain (loss) reclassified into net income (loss) from OCI			Classification of gain (loss) reclassified into net income (loss)	Gain (loss) recognized in net income (loss) ⁽¹⁾			Classification of gain (loss) recognized in net income (loss)
Interest rate swaps hedging assets	$	60		$	28		Net investment income	$	(6)		Net investment gains (losses)
Interest rate swaps hedging assets		—			2		Net investment gains (losses)		—		Net investment gains (losses)
Interest rate swaps hedging liabilities		—			1		Interest expense		—		Net investment gains (losses)
Forward bond purchase commitments		22			—		Net investment income		—		Net investment gains (losses)
Inflation indexed swaps		(54	)		(6	)	Net investment income		—		Net investment gains (losses)
Foreign currency swaps		2			—		Interest expense		—		Net investment gains (losses)

Total	$	30		$	25			$	(6	)

⁽¹⁾	Represents ineffective portion of cash flow hedges as there were no amounts excluded from the measurement of effectiveness.

The following table provides information about the pre-tax income (loss) effects of cash flow hedges for the nine months ended September 30, 2011:


(Amounts in millions)	Gain (loss) recognized in OCI			Gain (loss) reclassified into net income (loss) from OCI			Classification of gain (loss) reclassified into net income (loss)	Gain (loss) recognized in net income (loss) ⁽¹⁾		Classification of gain (loss) recognized in net income (loss)
Interest rate swaps hedging assets	$	1,568		$	19		Net investment income	$	49	Net investment gains (losses)
Interest rate swaps hedging assets		—			2		Net investment gains (losses)		—	Net investment gains (losses)
Interest rate swaps hedging liabilities		—			1		Interest expense		—	Net investment gains (losses)
Forward bond purchase commitments		37			—		Net investment income		—	Net investment gains (losses)
Inflation indexed swaps		(8	)		(24	)	Net investment income		—	Net investment gains (losses)
Foreign currency swaps		4			(5	)	Interest expense		—	Net investment gains (losses)

Total	$	1,601		$	(7	)		$	49

⁽¹⁾	Represents ineffective portion of cash flow hedges as there were no amounts excluded from the measurement of effectiveness.

The following tables provide a reconciliation of current period changes, net of applicable income taxes, for these designated derivatives presented in the separate component of stockholders’ equity labeled “derivatives qualifying as hedges,” for the periods indicated:


	Three months ended September 30,
(Amounts in millions)	2012			2011
Derivatives qualifying as effective accounting hedges as of July 1	$	2,087		$	943
Current period increases (decreases) in fair value, net of deferred taxes of $31 and $(563)		(72	)		1,022
Reclassification to net (income) loss, net of deferred taxes of $9 and $3		(4	)		(5	)

Derivatives qualifying as effective accounting hedges as of September 30	$	2,011		$	1,960


	Nine months ended September 30,
(Amounts in millions)	2012			2011
Derivatives qualifying as effective accounting hedges as of January 1	$	2,009		$	924
Current period increases (decreases) in fair value, net of deferred taxes of $(12) and $(569)		18			1,032
Reclassification to net (income) loss, net of deferred taxes of $9 and $(3)		(16	)		4

Derivatives qualifying as effective accounting hedges as of September 30	$	2,011		$	1,960

The total of derivatives designated as cash flow hedges of $2,011 million, net of taxes, recorded in stockholders’ equity as of September 30, 2012 is expected to be reclassified to future net income (loss), concurrently with and primarily offsetting changes in interest expense and interest income on floating rate instruments and interest income on future fixed rate bond purchases. Of this amount, $33 million, net of taxes, is expected to be reclassified to net income (loss) in the next 12 months. Actual amounts may vary from this amount as a result of market conditions. All forecasted transactions associated with qualifying cash flow hedges are expected to occur by 2045. No amounts were reclassified to net income (loss) during the nine months ended September 30, 2012 in connection with forecasted transactions that were no longer considered probable of occurring.

Fair Value Hedges

Certain derivative instruments are designated as fair value hedges. The changes in fair value of these instruments are recorded in net income (loss). In addition, changes in the fair value attributable to the hedged portion of the underlying instrument are reported in net income (loss). We designate and account for the following as fair value hedges when they have met the effectiveness requirements: (i) interest rate swaps to convert fixed rate investments to floating rate investments; (ii) interest rate swaps to convert fixed rate liabilities into floating rate liabilities; (iii) cross currency swaps to convert non-U.S. dollar fixed rate liabilities to floating rate U.S. dollar liabilities; and (iv) other instruments to hedge various fair value exposures of investments.

The following table provides information about the pre-tax income (loss) effects of fair value hedges and related hedged items for the three months ended September 30, 2012:


	Derivative instrument							Hedged item
(Amounts in millions)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)	Other impacts to net income (loss)		Classification of other impacts to net income (loss)	Gain (loss) recognized in net income (loss)		Classification of gain (losses) recognized in net income (loss)
Interest rate swaps hedging assets	$	—		Net investment gains (losses)	$	—	Net investment income	$	—	Net investment gains (losses)
Interest rate swaps hedging liabilities		(4	)	Net investment gains (losses)		8	Interest credited		4	Net investment gains (losses)
Foreign currency swaps		—		Net investment gains (losses)		1	Interest credited		—	Net investment gains (losses)

Total	$	(4	)		$	9		$	4

The following table provides information about the pre-tax income (loss) effects of fair value hedges and related hedged items for the three months ended September 30, 2011:


	Derivative instrument								Hedged item
(Amounts in millions)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)	Other impacts to net income (loss)			Classification of other impacts to net income (loss)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)
Interest rate swaps hedging assets	$	1		Net investment gains (losses)	$	(2	)	Net investment income	$	(1	)	Net investment gains (losses)
Interest rate swaps hedging liabilities		(10	)	Net investment gains (losses)		16		Interest credited		10		Net investment gains (losses)
Foreign currency swaps		(9	)	Net investment gains (losses)		1		Interest credited		10		Net investment gains (losses)

Total	$	(18	)		$	15			$	19

The following table provides information about the pre-tax income (loss) effects of fair value hedges and related hedged items for the nine months ended September 30, 2012:


	Derivative instrument								Hedged item
(Amounts in millions)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)	Other impacts to net income (loss)			Classification of other impacts to net income (loss)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)
Interest rate swaps hedging assets	$	1		Net investment gains (losses)	$	(3	)	Net investment income	$	(1	)	Net investment gains (losses)
Interest rate swaps hedging liabilities		(23	)	Net investment gains (losses)		29		Interest credited		23		Net investment gains (losses)
Foreign currency swaps		(3	)	Net investment gains (losses)		2		Interest credited		3		Net investment gains (losses)

Total	$	(25	)		$	28			$	25

The following table provides information about the pre-tax income (loss) effects of fair value hedges and related hedged items for the nine months ended September 30, 2011:


	Derivative instrument								Hedged item
(Amounts in millions)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)	Other impacts to net income (loss)			Classification of other impacts to net income (loss)	Gain (loss) recognized in net income (loss)			Classification of gain (losses) recognized in net income (loss)
Interest rate swaps hedging assets	$	3		Net investment gains (losses)	$	(7	)	Net investment income	$	(3	)	Net investment gains (losses)
Interest rate swaps hedging liabilities		(39	)	Net investment gains (losses)		53		Interest credited		39		Net investment gains (losses)
Foreign currency swaps		2		Net investment gains (losses)		2		Interest credited		(2	)	Net investment gains (losses)

Total	$	(34	)		$	48			$	34

The difference between the gain (loss) recognized for the derivative instrument and the hedged item presented above represents the net ineffectiveness of the fair value hedging relationships. The other impacts presented above represent the net income (loss) effects of the derivative instruments that are presented in the same location as the income (loss) activity from the hedged item. There were no amounts excluded from the measurement of effectiveness.

Derivatives Not Designated As Hedges

We also enter into certain non-qualifying derivative instruments such as: (i) interest rate swaps, swaptions and financial futures to mitigate interest rate risk as part of managing regulatory capital positions; (ii) credit default swaps to enhance yield and reproduce characteristics of investments with similar terms and credit risk; (iii) equity index options, equity return swaps, interest rate swaps and financial futures to mitigate the risks associated with liabilities that have guaranteed minimum benefits; (iv) interest rate swaps where the hedging relationship does not qualify for hedge accounting; (v) credit default swaps to mitigate loss exposure to certain credit risk; (vi) foreign currency forward contracts to mitigate currency risk associated with future dividends and other cash flows from certain foreign subsidiaries to our holding company; and (vii) equity index options and credit default swaps to mitigate certain macroeconomic risks associated with certain foreign subsidiaries. Additionally, we provide GMWBs on certain variable annuities that are required to be bifurcated as embedded derivatives. We also offer fixed index annuity products and have reinsurance agreements with certain features that are required to be bifurcated as embedded derivatives.

We also have derivatives related to securitization entities where we were required to consolidate the related securitization entity as a result of our involvement in the structure. The counterparties for these derivatives typically only have recourse to the securitization entity. The interest rate swaps used for these entities are typically used to effectively convert the interest payments on the assets of the securitization entity to the same basis as the interest rate on the borrowings issued by the securitization entity. Credit default swaps are utilized in certain securitization entities to enhance the yield payable on the borrowings issued by the securitization entity and also include a settlement feature that allows the securitization entity to provide the par value of assets in the securitization entity for the amount of any losses incurred under the credit default swap.

The following table provides the pre-tax gain (loss) recognized in net income (loss) for the effects of derivatives not designated as hedges for the periods indicated:


	Three months ended September 30,						Classification of gain (loss) recognized in net income (loss)
(Amounts in millions)	2012			2011
Interest rate swaps	$	1		$	9		Net investment gains (losses)
Interest rate swaps related to securitization entities		(1	)		(12	)	Net investment gains (losses)
Credit default swaps		25			(70	)	Net investment gains (losses)
Credit default swaps related to securitization entities		20			(54	)	Net investment gains (losses)
Equity index options		(17	)		59		Net investment gains (losses)
Financial futures		(70	)		266		Net investment gains (losses)
Equity return swaps		(11	)		22		Net investment gains (losses)
Other foreign currency contracts		(2	)		13		Net investment gains (losses)
Reinsurance embedded derivatives		(1	)		27		Net investment gains (losses)
GMWB embedded derivatives		79			(454	)	Net investment gains (losses)
Fixed index annuity embedded derivatives		(1	)		1		Net investment gains (losses)

Total derivatives not designated as hedges	$	22		$	(193	)

The following table provides the pre-tax gain (loss) recognized in net income (loss) for the effects of derivatives not designated as hedges for the periods indicated:


	Nine months ended September 30,						Classification of gain (loss) recognized in net income (loss)
(Amounts in millions)	2012			2011
Interest rate swaps	$	18		$	13		Net investment gains (losses)
Interest rate swaps related to securitization entities		(4	)		(15	)	Net investment gains (losses)
Credit default swaps		47			(67	)	Net investment gains (losses)
Credit default swaps related to securitization entities		43			(49	)	Net investment gains (losses)
Equity index options		(46	)		31		Net investment gains (losses)
Financial futures		(109	)		261		Net investment gains (losses)
Equity return swaps		(25	)		12		Net investment gains (losses)
Other foreign currency contracts		(19	)		—		Net investment gains (losses)
Reinsurance embedded derivatives		4			26		Net investment gains (losses)
GMWB embedded derivatives		132			(428	)	Net investment gains (losses)
Fixed index annuity embedded derivatives		(2	)		1		Net investment gains (losses)

Total derivatives not designated as hedges	$	39		$	(215	)

Derivative Counterparty Credit Risk

As of September 30, 2012 and December 31, 2011, net fair value assets by counterparty totaled $937 million and $1,027 million, respectively. As of September 30, 2012 and December 31, 2011, net fair value liabilities by counterparty totaled $193 million and $240 million, respectively. As of September 30, 2012 and December 31, 2011, we retained collateral of $1,010 million and $1,023 million, respectively, related to these agreements, including over collateralization of $95 million and $50 million, respectively, from certain counterparties. As of September 30, 2012 and December 31, 2011, we posted $24 million and $28 million, respectively, of collateral to derivative counterparties, including over collateralization of $1 million and $11 million, respectively. For derivatives related to securitization entities, there are no arrangements that require either party to provide collateral and the recourse of the derivative counterparty is typically limited to the assets held by the securitization entity and there is no recourse to any entity other than the securitization entity.

Except for derivatives related to securitization entities, all of our master swap agreements contain credit downgrade provisions that allow either party to assign or terminate derivative transactions if the other party’s long-term unsecured debt rating or financial strength rating is below the limit defined in the applicable agreement. If the downgrade provisions had been triggered as of September 30, 2012 and December 31, 2011, we could have been allowed to claim up to $22 million and $54 million, respectively, from counterparties and required to disburse up to $5 million and $18 million, respectively. This represented the net fair value of gains and losses by counterparty, less available collateral held, and did not include any fair value gains or losses for derivatives related to securitization entities.

Credit Derivatives

We sell protection under single name credit default swaps and credit default swap index tranches in combination with purchasing securities to replicate characteristics of similar investments based on the credit quality and term of the credit default swap. Credit default triggers for both indexed reference entities and single name reference entities follow the Credit Derivatives Physical Settlement Matrix published by the International Swaps and Derivatives Association. Under these terms, credit default triggers are defined as bankruptcy, failure to pay or restructuring, if applicable. Our maximum exposure to credit loss equals the notional value for credit default swaps. In the event of default for credit default swaps, we are typically required to pay the protection holder the full notional value less a recovery rate determined at auction.

In addition to the credit derivatives discussed above, we also have credit derivative instruments related to securitization entities that we consolidated in 2010. These derivatives represent a customized index of reference entities with specified attachment points for certain derivatives. The credit default triggers are similar to those described above. In the event of default, the securitization entity will provide the counterparty with the par value of assets held in the securitization entity for the amount of incurred loss on the credit default swap. The maximum exposure to loss for the securitization entity is the notional value of the derivatives. Certain losses on these credit default swaps would be absorbed by the third-party noteholders of the securitization entity and the remaining losses on the credit default swaps would be absorbed by our portion of the notes issued by the securitization entity.

The following table sets forth our credit default swaps where we sell protection on single name reference entities and the fair values as of the dates indicated:


	September 30, 2012						December 31, 2011
(Amounts in millions)	Notional value		Assets		Liabilities		Notional value		Assets		Liabilities
Reference entity credit rating and maturity:
AAA
Matures in less than one year	$	5	$	—	$	—	$	—	$	—	$	—
Matures after one year through five years		—		—		—		5		—		—
AA
Matures in less than one year		6		—		—		—		—		—
Matures after one year through five years		—		—		—		6		—		—
Matures after five years through ten years		5		—		—		5		—		—
A
Matures in less than one year		37		—		—		—		—		—
Matures after one year through five years		—		—		—		37		—		—
Matures after five years through ten years		10		—		—		10		—		1
BBB
Matures in less than one year		68		1		—		—		—		—
Matures after one year through five years		—		—		—		68		1		—
Matures after five years through ten years		24		—		—		24		—		1

Total credit default swaps on single name reference entities	$	155	$	1	$	—	$	155	$	1	$	2

The following table sets forth our credit default swaps where we sell protection on credit default swap index tranches and the fair values as of the dates indicated:


	September 30, 2012						December 31, 2011
(Amounts in millions)	Notional value		Assets		Liabilities		Notional value		Assets		Liabilities
Original index tranche attachment/detachment point and maturity:
7% – 15% matures after one year through five years ⁽¹⁾	$	100	$	—	$	2	$	—	$	—	$	—
9% – 12% matures in less than one year ⁽²⁾		50		—		—		—		—		—
9% – 12% matures after one year through five years ⁽²⁾		250		—		5		300		—		27
10% – 15% matures after one year through five years ⁽³⁾		250		4		—		250		—		—
12% – 22% matures after five years through ten years ⁽⁴⁾		48		—		2		248		—		28
15% – 30% matures after five years through ten years ⁽⁵⁾		127		1		—		127		—		2

Total credit default swap index tranches		825		5		9		925		—		57

Customized credit default swap index tranches related to securitization entities:
Portion backing third-party borrowings maturing 2017 ⁽⁶⁾		12		—		5		14		—		7
Portion backing our interest maturing 2017 ⁽⁷⁾		300		—		131		300		—		170

Total customized credit default swap index tranches related to securitization entities		312		—		136		314		—		177

Total credit default swaps on index tranches	$	1,137	$	5	$	145	$	1,239	$	—	$	234

⁽¹⁾	The current attachment/detachment as of September 30, 2012 was 7% – 15%.

⁽²⁾	The current attachment/detachment as of September 30, 2012 and December 31, 2011 was 9% – 12%.

⁽³⁾	The current attachment/detachment as of September 30, 2012 and December 31, 2011 was 10% – 15%.

⁽⁴⁾	The current attachment/detachment as of September 30, 2012 and December 31, 2011 was 12% – 22%.

⁽⁵⁾	The current attachment/detachment as of September 30, 2012 and December 31, 2011 was 14.8% – 30.3%.

⁽⁶⁾	Original notional value was $39 million.

⁽⁷⁾	Original notional value was $300 million.