Derivative Financial Instruments

9 Months Ended

Sep. 30, 2012

Summary of Derivative Instruments [Abstract]

Derivative Financial Instruments

Note E. Derivative Financial Instruments

A summary of the recognized gains (losses) related to derivative financial instruments follows.

Recognized Gains (Losses)

Periods ended September 30	Three Months					Nine Months
(In millions)	2012			2011		2012			2011
Without hedge designation
Currency forwards	$	(1	)	$	—	$	(1	)	$	(1	)
Forward commitments for mortgage-backed securities	—			1		—			1
Total without hedge designation	(1		)	1		(1		)	—
Trading activities
Futures sold, not yet purchased	(1		)	—		—			—
Total	$	(2	)	$	1	$	(1	)	$	—

A summary of the aggregate contractual or notional amounts and gross estimated fair values related to derivative financial instruments reported as Other invested assets or Other liabilities on the Condensed Consolidated Balance Sheets follows. The contractual or notional amounts for derivatives are used to calculate the exchange of contractual payments under the agreements and may not be representative of the potential for gain or loss on these instruments.

Derivative Financial Instruments

September 30, 2012	Contractual/ Notional Amount		Estimated Fair Value
(In millions)			Asset		(Liability)
Without hedge designation
Credit default swaps - purchased protection	$	20	$	—	$	(1	)
Currency forwards	72		—		(2		)
Equity warrants	5		—		—
Total	$	97	$	—	$	(3	)

December 31, 2011	Contractual/ Notional Amount		Estimated Fair Value
(In millions)			Asset		(Liability)
Without hedge designation
Credit default swaps - purchased protection	$	20	$	—	$	(1	)
Currency forwards	22		1		—
Equity warrants	4		—		—
Total	$	46	$	1	$	(1	)

During the three and nine months ended September 30, 2012, new derivative transactions entered into totaled $472 million and $1,251 million in notional value while derivative termination activity totaled $488 million and $1,200 million. This activity was primarily attributable to interest rate futures, forward commitments for mortgage-backed securities and foreign currency forwards. During the three and nine months ended September 30, 2011, new derivative transactions entered into totaled approximately $229 million and $728 million in notional value while derivative termination activity totaled approximately $166 million and $673 million. This activity was primarily attributable to interest rate futures, forward commitments for mortgage-backed securities and foreign currency forwards.