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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Derivative Financial Instruments [Abstract]

Summary Of CDS Contracts


September 30, 2011		Fair Value of Credit Default Swaps				Maximum Amount of Future Payments under Credit Default Swaps				Weighted Average Years To Maturity

(In millions of dollars)

A-rated						$	5				5.0
BBB-rated		$	(2	)			15				5.1
BB-rated			(1	)			22				4.3
B-rated							3				0.7
CCC-rated			(1	)			5				5.0

Total		$	(4	)		$	50				4.5


December 31, 2010


BB-rated		$	1			$	5				2.5
B-rated							3				1.5

Total		$	1			$	8				2.1

Summary Of Aggregate Contractual Or Notional Amounts And Gross Estimated Fair Values Related To Derivative Financial Instruments


		September 30, 2011												December 31, 2010

		Contractual/ Notional Amount				Estimated Fair Value								Contractual/ Notional Amount				Estimated Fair Value
		Contractual/ Notional Amount				Asset				(Liability)				Contractual/ Notional Amount				Asset				(Liability)

(In millions)

With hedge designation:

Interest rate risk:
Interest rate swaps														$	1,095			$				(75)
Commodities:
Forwards – short		$	325			$	52			$	(26	)			487			$	70			(24)
Foreign exchange:
Currency forwards – short			191								(14	)			140				4

Without hedge designation:

Equity markets:
Options – purchased			222				44								207				30
Options – written			366								(37	)			340							(10)
Futures – short			43
Equity swaps and warrants – long			16				14
Equity swaps and warrants – short			11

Interest rate risk:
Interest rate swaps (a)			1,100								(38	)			5							(1)
Credit default swaps – purchased protection			63				2				(2	)			20							(2)
Credit default swaps – sold protection			50								(4	)			8				1
Forward commitments for mortgage-backed securities			62				1
Futures – short			13

Foreign exchange:
Currency forwards – long			7								(2	)
Currency forwards – short			162				4

Schedule Of Gains And Losses Of Derivative Financial Instruments Without Hedge Designation


		Three Months Ended September 30,								Nine Months Ended September 30,
		2011				2010				2011				2010

(In millions)

Included in Net investment income:

Equity markets:
Equity options – purchased		$	16			$	(7	)		$	7			$	(10	)
Equity options – written			(18	)			10				(11	)			15
Futures – long			(8	)			(3	)			(8	)			(6	)
Futures – short			6				(1	)			5				(4	)
Foreign exchange:
Currency forwards – long			(2	)			2				(2	)
Currency forwards – short			5				(8	)			5				(9	)
Currency options – short							1								(1	)
Interest rate risk:
Credit default swaps – purchased protection			2								2
Credit default swaps – sold protection			(3	)							(3	)
Options on government securities – short							(66	)							(66	)
Futures – long							4								(14	)
Futures – short			2				14				2				14
Other			(1	)							(2	)			(2	)

			(1	)			(54	)			(5	)			(83	)

Included in Investment gains (losses):

Interest rate risk:
Interest rate swaps															(44	)
Credit default swaps – purchased protection							(1	)							(1	)
Forward commitments for mortgage-backed securities			1								1

Currency forwards – short											(1	)
Commodity forwards – short															13

			1				(1	)			—				(32	)

Total		$	—			$	(55	)		$	(5	)		$	(115	)

Net Derivative Gains (Losses) Included In OCI And The Amount Reclassified Into Earnings


		Three Months Ended September 30,								Nine Months Ended September 30,

		2011				2010				2011				2010

(In millions)

Amount of gain (loss) recognized in OCI:

Commodities		$	27			$	34			$	9			$	151
Foreign exchange			(17	)			6				(5	)			1
Interest rate			1				(10	)			(4	)			(44	)

Total		$	11			$	30			$	—			$	108


Amount of gain (loss) reclassified from AOCI into income:

Commodities		$	8			$	23			$	33			$	71
Foreign exchange			4								12				1
Interest rate			(15	)			(13	)			(43	)			(92	)

Total		$	(3	)		$	10			$	2			$	(20	)

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

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details