Fair Value Of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value Of Financial Instruments [Abstract]

Carrying Value And Fair Value Of Financial Instruments


	As of September 30, 2011				As of December 31, 2010
In millions	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Investments held as available-for-sale and held at fair value	$	10,182	$	10,182	$	11,739	$	11,739
Other investments		151		151		188		188
Cash and cash equivalents		659		659		366		366
Receivable for investments sold		46		46		8		8
Derivative assets:
Insured derivatives		-		-		0		0

Non-insured derivatives	2	2	4	4

Total derivative assets	2	2	4	4
Assets of consolidated VIEs:
Cash	580	580	764	764
Investments held-to-maturity	3,886	3,492	4,039	3,760
Fixed-maturity securities held as available-for-sale	532	532	339	339
Fixed-maturity securities held as trading	3,276	3,276	5,241	5,241
Loans receivable	2,218	2,218	2,183	2,183
Loan repurchase commitments	938	938	835	835
Derivative assets	713	713	699	699
Liabilities:
Investment agreements	1,635	1,931	2,005	2,172
Medium-term notes	1,636	774	1,740	766
Securities sold under agreements to repurchase	387	385	471	454
Short-term debt	-	-	65	65
Long-term debt	1,841	983	1,851	1,155
Payable for investments purchased	54	54	2	2
Derivative liabilities:
Insured derivatives	4,901	4,901	4,375	4,375
Non-insured derivatives	365	365	242	242

Total derivative liabilities	5,266	5,266	4,617	4,617
Warrants	12	12	58	58
Liabilities of consolidated VIEs:
Variable interest entity notes	9,033	8,572	10,590	10,285
Long-term debt	360	355	360	340
Derivative liabilities	1,888	1,888	2,104	2,104
Financial Guarantees:
Gross	4,580	3,599	5,275	3,906
Ceded	109	97	112	48

Company's Assets And Liabilities Measured At Fair Value On Recurring Basis


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting			Balance as of September 30, 2011
Assets:
Investments:
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	749	$	149	$	-	$	-		$	898
Foreign governments		295		70		11		-			376
Corporate obligations		1		1,584		342		-			1,927
Mortgage-backed securities:
Residential mortgage-backed agency		-		1,419		1		-			1,420
Residential mortgage-backed non-agency		-		421		25		-			446
Commercial mortgage-backed		-		35		32		-			67
Asset-backed securities:
Collateralized debt obligations		-		84		67		-			151
Other asset-backed		-		185		272		-			457
State and municipal bonds		-		852		-		-			852

Total taxable bonds		1,045		4,799		750		-			6,594
Tax exempt bonds:
State and municipal bonds		-		2,815		30		-			2,845
Other fixed-maturity investments		-		15		-		-			15

Total fixed-maturity investments		1,045		7,629		780		-			9,454
Money market securities		693		-		-		-			693
Perpetual preferred securities		-		146		1		-			147
Other		27		-		-		-			27

Total		1,765		7,775		781		-			10,321
Derivative assets:
Non-insured derivative assets:
Credit derivatives		-		1		-		-			1
Interest rate derivatives		-		89		3		-			92
Other		-		-		-		(91	)		(91	)

Total derivative assets		-		90		3		(91	)		2

	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting			Balance as of September 30, 2011
Assets of consolidated VIEs:
Corporate obligations		-		204		63		-			267
Mortgage-backed securities:
Residential mortgage-backed agency		-		4		-		-			4
Residential mortgage-backed non-agency		-		1,703		15		-			1,718
Commercial mortgage-backed		-		595		17		-			612
Asset-backed securities:
Collateralized debt obligations		-		437		206		-			643
Other asset-backed		-		275		71		-			346

Total fixed maturity securities at fair value		-		3,218		372		-			3,590
Money market securities		218		-		-		-			218
Loans receivable		-		-		2,218		-			2,218
Loan repurchase commitments		-		-		938		-			938
Derivative assets:
Credit derivatives		-		-		708		-			708
Interest rate derivatives		-		5		-		-			5

Total assets	$	1,983	$	11,088	$	5,020	$	(91	)	$	18,000

Liabilities:
Medium-term notes	$	-	$	-	$	128	$	-		$	128
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		21		4,880		-			4,901
Non-insured derivatives:
Interest rate derivatives		-		450		-		-			450
Currency derivatives		-		6		-		-			6
Other		-		-		-		(91	)		(91	)
Other liabilities:
Warrants		-		12		-		-			12
Liabilities of consolidated VIEs:
Variable interest entity notes		-		1,992		3,131		-			5,123
Derivative liabilities:
Credit derivatives		-		-		1,473		-			1,473
Interest rate derivatives		-		397		-		-			397
Currency derivatives		-		-		18		-			18

Total liabilities	$	-	$	2,878	$	9,630	$	(91	)	$	12,417


	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting			Balance as of December 31, 2010
Assets:
Investments:
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	915	$	149	$	-	$	-		$	1,064
Foreign governments		409		49		11		-			469
Corporate obligations		-		2,602		246		-			2,848
Mortgage-backed securities:
Residential mortgage-backed agency		-		1,548		41		-			1,589
Residential mortgage-backed non-agency		-		414		48		-			462
Commercial mortgage-backed		-		120		41		-			161
Asset-backed securities:
Collateralized debt obligations		-		108		191		-			299
Other asset-backed		-		310		350		-			660
State and municipal bonds		-		738		14		-			752

Total taxable bonds		1,324		6,038		942		-			8,304
Tax exempt bonds:
State and municipal bonds		-		2,787		36		-			2,823
Other fixed-maturity investments		13		19		-		-			32

Total fixed-maturity investments		1,337		8,844		978		-			11,159
Money market securities		553		-		-		-			553
Perpetual preferred securities		-		192		-		-			192
Other		16		5		-		-			21

Total		1,906		9,041		978		-			11,925
Derivative assets:
Non-insured derivative assets:
Credit derivatives		-		3		-		-			3
Interest rate derivatives		-		57		5		-			62
Other		-		-		-		(61	)		(61	)

Total derivative assets		-		60		5		(61	)		4

	Fair Value Measurements at Reporting Date Using
In millions	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Counterparty and Cash Collateral Netting			Balance as of December 31, 2010
Assets of consolidated VIEs:
U.S. Treasury and government agency		4		-		-		-			4
Corporate obligations		7		360		80		-			447
Mortgage-backed securities:
Residential mortgage-backed agency		-		37		-		-			37
Residential mortgage-backed non-agency		-		2,706		40		-			2,746
Commercial mortgage-backed		-		907		23		-			930
Asset-backed securities:
Collateralized debt obligations		-		583		245		-			828
Other asset-backed		-		352		83		-			435
State and municipal taxable and tax-exempt bonds		-		4		-		-			4

Total fixed maturity securities at fair value		11		4,949		471		-			5,431
Money market securities		150		-		-		-			150
Loans receivable		-		-		2,183		-			2,183
Loan repurchase commitments		-		-		835		-			835
Derivative assets:
Credit derivatives		-		-		687		-			687
Interest rate derivatives		-		12		-		-			12

Total assets	$	2,067	$	14,062	$	5,159	$	(61	)	$	21,227

Liabilities:
Medium-term notes	$	-	$	-	$	116	$	-		$	116
Derivative liabilities:
Insured derivatives:
Credit derivatives		-		25		4,350		-			4,375
Non-insured derivatives:
Interest rate derivatives		-		297		-		-			297
Currency derivatives		-		6		-		-			6
Other		-		-		-		(61	)		(61	)
Other liabilities:
Warrants		-		58		-		-			58
Liabilities of consolidated VIEs:
Variable interest entity notes		-		2,007		4,673		-			6,680
Derivative liabilities:
Credit derivatives		-		-		1,455		-			1,455
Interest rate derivatives		-		635		-		-			635
Currency derivatives		-		-		14		-			14

Total liabilities	$	-	$	3,028	$	10,608	$	(61	)	$	13,575

Level 3 assets at fair value, as of September 30, 2011 and December 31, 2010, represented approximately 28% and 24%, respectively of total assets. Level 3 liabilities at fair value, represented approximately 78% of total liabilities for both September 30, 2011 and December 31, 2010.

Changes In Level 3 Assets And Liabilities Measured At Fair Value On A Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended September 30, 2011
In millions	Balance, Beginning of Period		Realized Gains / (Losses)			Unrealized Gains / (Losses) Included in Earnings			Unrealized Gains / (Losses) Included in OCI			Foreign Exchange Recognized in OCI or Earnings			Purchases		Issuances		Settlements			Sales			Transfers into Level 3 ⁽¹⁾		Transfers out of Level 3 ⁽¹⁾			Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of September 30, 2011

Assets:

Foreign governments	$	13	$	-		$	-		$	-		$	(8	)	$	3	$	-	$	3		$	-		$	-	$	-		$	11	$	-
Corporate obligations		294		(1	)		-			(10	)		(5	)		19		-		(32	)		(38	)		115		-			342		-
Residential mortgage-backed agency		-		-			-			-			-			1		-		-			-			-		-			1		-
Residential mortgage-backed non-agency		28		(1	)		-			1			-			2		-		(4	)		-			1		(2	)		25		-
Commercial mortgage-backed		50		(2	)		-			-			-			-		-		(3	)		(13	)		-		-			32		-
Collateralized debt obligations		162		(2	)		-			(3	)		-			39		2		(79	)		(28	)		1		(25	)		67		-
Other asset-backed		331		-			-			(27	)		-			2		-		(9	)		-			3		(28	)		272		-
State and municipal taxable bonds		13		1			-			1			-			-		-		(15	)		-			-		-			-		-
State and municipal tax-exempt bonds		32		-			-			-			-			-		-		(2	)		-			-		-			30		-
Perpetual preferred securities		-		-			-			-			-			-		-		-			-			1		-			1		-
Assets of consolidated VIEs:
Corporate obligations		62		-			(5	)		-			-			-		-		(1	)		-			7		-			63		(2	)
Residential mortgage-backed non-agency		17		-			3			-			-			-		-		(1	)		(6	)		2		-			15		1
Commercial mortgage-backed		27		-			(1	)		-			-			-		-		-			(11	)		2		-			17		(2	)
Collateralized debt obligations		201		-			(17	)		(7	)		-			60		-		(1	)		(21	)		12		(21	)		206		(14	)
Other asset-backed		73		-			5			-			-			-		-		-			(6	)		-		(1	)		71		5
Loans receivable		2,320		-			(36	)		-			-			-		-		(66	)		-			-		-			2,218		(36	)
Loan repurchase commitments		905		-			33			-			-			-		-		-			-			-		-			938		33


Total assets	$	4,528	$	(5	)	$	(18	)	$	(45	)	$	(13	)	$	126	$	2	$	(210	)	$	(123	)	$	144	$	(77	)	$	4,309	$	(15	)


In millions	Balance, Beginning of Period			Realized (Gains) / Losses		Unrealized (Gains) / Losses Included in Earnings			Unrealized (Gains) / Losses Included in OCI		Foreign Exchange Recognized in OCI or Earnings			Purchases		Issuances		Settlements			Sales			Transfers into Level 3 ⁽¹⁾		Transfers out of Level 3 ⁽¹⁾		Ending Balance			Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of September 30, 2011
Liabilities:
Medium-term notes	$	206		$	-	$	(69	)	$	-	$	(9	)	$	-	$	-	$	-		$	-		$	-	$	-	$	128		$	(69	)
Credit derivatives, net		5,656			79		(777	)		-		-			-		-		(78	)		-			-		-		4,880			(388	)
Interest rate derivatives, net		(4	)		-		1			-		-			-		-		-			-			-		-		(3	)		5
Liabilities of consolidated VIEs:
VIE notes		4,513			-		(194	)		-		-			-		-		(207	)		(981	)		-		-		3,131			(194	)
Credit derivatives, net		920			-		(154	)		-		-			-		-		(1	)		-			-		-		765			(154	)
Currency derivatives, net		16			-		2			-		-			-		-		-			-			-		-		18			2

Total liabilities	$	11,307		$	79	$	(1,191	)	$	-	$	(9	)	$	-	$	-	$	(286	)	$	(981	)	$	-	$	-	$	8,919		$	(798	)

(1) - Transferred in and out at the end of the period.


Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended September 30, 2010
In millions	Balance, Beginning of Period			Realized Gains / (Losses)			Unrealized Gains / (Losses) Included in Earnings			Unrealized Gains / (Losses) Included in OCI		Foreign Exchange Recognized in OCI or Earnings			Purchases, Settlements and Sales, net			Transfers into Level 3 ⁽¹⁾		Transfers out of Level 3 ⁽¹⁾			Ending Balance			Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets and Liabilities still held as of September 30, 2010
Assets:
U.S. Treasury and government agency	$	27		$	-		$	-		$	-	$	-		$	-		$	-	$	(27	)	$	-		$	-
Foreign governments		12			-			-			-		1			6			-		-			19			-
Corporate obligations		284			-			-			-		3			(101	)		18		(60	)		144			-
Residential mortgage-backed agency		-			-			-			-		-			-			41		-			41			-
Residential mortgage-backed non-agency		30			-			-			2		-			(2	)		50		(1	)		79			-
Commercial mortgage-backed		14			-			-			-		2			(1	)		-		(1	)		14			-
Collateralized debt obligations		111			-			-			5		-			(13	)		100		(2	)		201			-
Other asset-backed		391			-			-			32		-			(31	)		4		(9	)		387			-
State and municipal tax-exempt bonds		38			-			-			-		-			(2	)		-		-			36			-
Perpetual preferred securities		85			-			-			-		-			-			-		-			85			-
Assets of consolidated VIEs:
Corporate obligations		129			-			-			-		-			7			13		-			149			-
Residential mortgage-backed non-agency		53			-			-			-		-			(5	)		30		-			78			-
Commercial mortgage-backed		216			-			3			-		-			(20	)		17		-			216			-
Collateralized debt obligations		327			-			(53	)		-		-			37			34		-			345			-
Other asset-backed		153			-			(19	)		-		-			(4	)		16		(26	)		120			-
Loans receivable		2,608			-			(167	)		-		42			(540	)		-		-			1,943			-
Loan repurchase commitments		792			-			2			-		-			-			-		-			794			2

Total assets	$	5,270		$	-		$	(234	)	$	39	$	48		$	(669	)	$	323	$	(126	)	$	4,651		$	2

Liabilities:
Medium-term notes	$	109		$	-		$	(9	)	$	-	$	10		$	-		$	-	$	-		$	110		$	(9	)
Credit derivatives, net		4,414			(519	)		1,046			-		-			519			-		-			5,460			531
Interest rate derivatives, net		(7	)		-			4			-		(4	)		-			-		-			(7	)		17
Currency derivatives, net		(7	)		-			(7	)		-		(2	)		-			-		-			(16	)		(10	)
Liabilities of consolidated VIEs:
VIE notes		5,045			-			232			-		45			(540	)		-		-			4,782			-
Derivative contracts, net		370			-			17			-		-			155			-		-			542			17

Total liabilities	$	9,924		$	(519	)	$	1,283		$	-	$	49		$	134		$	-	$	-		$	10,871		$	546

(1) - Transferred in and out at the end of the period.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 2011

In millions	Balance, Beginning of Year		Realized Gains / (Losses)		Unrealized Gains / (Losses) Included in Earnings		Unrealized Gains / (Losses) Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3 ⁽¹⁾		Transfers out of Level 3 ⁽¹⁾		Ending Balance		Change in Unrealized Gains (Losses) for the Period Included in Earnings for Assets still held as of September 30, 2011
Assets:

Foreign governments	$	11	$	-	$	-	$	-	$	(7)	$	9	$	-	$	(2)	$	-	$	7	$	(7)	$	11	$	-
Corporate obligations		246		(2)		-		(3)		(2)		31		-		(65)		(50)		202		(15)		342		-
Residential mortgage-backed agency		41		-		-		1		-		2		-		(1)		(1)		-		(41)		1		-
Residential mortgage-backed non-agency		48		(2)		-		11		(1)		13		-		(14)		(19)		9		(20)		25		-
Commercial mortgage-backed		41		(2)		-		2		1		8		-		(3)		(14)		-		(1)		32		-
Collateralized debt obligations		191		(4)		-		25		-		47		3		(112)		(36)		49		(96)		67		-
Other asset-backed		350		-		-		(26)		-		11		-		(20)		(2)		16		(57)		272		-
State and municipal taxable bonds		14		1		-		-		-		-		-		(15)		-		-		-		-		-
State and municipal tax-exempt bonds		36		-		-		-		-		2		-		(7)		(1)		-		-		30		-
Perpetual preferred securities		-		-		-		-		-		-		-		-		-		1		-		1		-
Assets of consolidated VIEs:
Corporate obligations		82		-		(18)		-		-		-		-		(5)		-		11		(7)		63		(2)
Residential mortgage-backed non-agency		40		-		2		3		-		-		-		(6)		(6)		2		(20)		15		2
Commercial mortgage-backed		23		-		6		-		-		-		-		(2)		(12)		2		-		17		3
Collateralized debt obligations		245		-		(27)		(7)		-		60		-		(3)		(21)		48		(89)		206		1
Other asset-backed		81		-		(3)		-		-		-		-		(2)		(6)		2		(1)		71		2
Loans receivable		2,183		-		260		-		-		-		-		(223)		(2)		-		-		2,218		260
Loan repurchase commitments		835		-		91		-		-		-		12		-		-		-		-		938		91
Total assets	$	4,467	$	(9)	$	311	$	6	$	(9)	$	183	$	15	$	(480)	$	(170)	$	349	$	(354)	$	4,309	$	357


In millions	Balance, Beginning of Year		Realized (Gains) / Losses		Unrealized (Gains) / Losses Included in Earnings		Unrealized (Gains) / Losses Included in OCI		Foreign Exchange Recognized in OCI or Earnings		Purchases		Issuances		Settlements		Sales		Transfers into Level 3 ⁽¹⁾		Transfers out of Level 3 ⁽¹⁾		Ending Balance		Change in Unrealized (Gains) Losses for the Period Included in Earnings for Liabilities still held as of September 30, 2011
Liabilities:
Medium-term notes	$	116	$	-	$	9	$	-	$	3	$	-	$	-	$	-	$	-	$	-	$	-	$	128	$	9
Credit derivatives, net		4,350		683		530		-		-		-		-		(683)		-		-		-		4,880		2,160
Interest rate derivatives, net		(5)		-		1		-		-		-		-		-		-		1		-		(3)		6
Liabilities of consolidated VIEs:
VIE notes		4,673		-		75		-		-		-		-		(456)		(1,161)		-		-		3,131		75
Credit derivatives, net		768		-		(3)		-		-		-		-		-		-		-		-		765		(3)
Currency derivatives, net		14		-		4		-		-		-		-		-		-		-		-		18		4

Total liabilities	$	9,916	$	683	$	616	$	-	$	3	$	-	$	-	$	(1,139)	$	(1,161)	$	1	$	-	$	8,919	$	2,251

(1) - Transferred in and out at the end of the period.

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Nine Months Ended September 30, 2010

In millions

Balance,
Beginning
of Year

Realized
Gains /
(Losses)

Unrealized
Gains /
(Losses)
Included
in
Earnings

Unrealized
Gains /
(Losses)
Included
in OCI

Foreign
Exchange
Recognized
in OCI or
Earnings

Purchases,
Settlements
and Sales,
net

Transfers
into
Level 3 ⁽¹⁾

Transfers
out of
Level 3 ⁽¹⁾

Ending
Balance

Change in
Unrealized
Gains
(Losses) for
the Period
Included in
Earnings for
Assets and
Liabilities
still held as of
September
30, 2010

Assets:

U.S. Treasury and government agency

(27

)

Foreign governments

Corporate obligations

281

(1)

(2)

(142)

(82

)

144

Residential mortgage-backed agency

(5)

(45

)

Residential mortgage-backed non-agency

(3)

(23)

(46

)

Commercial mortgage-backed

(1)

(5)

)

Collateralized debt obligations

245

(12)

(89)

116

(124

)

201

Other asset-backed

401

(12)

(26

)

387

State and municipal tax-exempt bonds

(16)

Perpetual preferred securities

(1)

Other fixed-maturity investments

(19)

Assets of consolidated VIEs:

Corporate obligations

)

149

Residential mortgage-backed non-agency

166

(1)

(253)

(96)

311

(52

)

Commercial mortgage-backed

221

(59

)

216

Collateralized debt obligations

(80)

321

(12

)

345

Other asset-backed

193

(11)

(51)

(29

)

120

Loans receivable

1,894

1,943

Loan repurchase commitments

715

794

Total assets

1,627

(16

)

153

2,599

720

(511

)

4,651

Liabilities:

Medium-term notes

110

(6)

110

Credit derivatives, net

3,799

(366)

1,719

308

5,460

1,208

Interest rate derivatives, net

(6)

(8)

(7)

Currency derivatives, net

(3)

(9)

(4)

(16)

(22)

Liabilities of consolidated VIEs:

VIE notes

366

4,377

4,782

Derivative contracts, net

522

542

Total liabilities

3,900

(374)

2,109

5,207

10,871

1,235

(1) - Transferred in and out at the end of the period.

Gains And Losses (Realized And Unrealized) Included In Earnings Pertaining To Level 3 Assets And Liabilities

Gains and losses (realized and unrealized) included in earnings pertaining to Level 3 assets and liabilities for the three months ended September 30, 2011 and 2010 are reported on the Company's consolidated statements of operations as follows:


	Three Months Ended September 30, 2011
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	777	$	(79)	$	77	$	-	$	328

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2011	$	388	$	-	$	73	$	-	$	331


	Three Months Ended September 30, 2010
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	(1,046)	$	519	$	3	$	-	$	(15)

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2010	$	(531)	$	-	$	(7)	$	-	$	(15)

Gains and losses (realized and unrealized) included in earnings pertaining to Level 3 assets and liabilities for the nine months ended September 30, 2011 and 2010 are reported on the consolidated statements of operations as follows:


	Nine Months Ended September 30, 2011
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	(530)	$	(683)	$	(12)	$	-	$	235

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2011	$	(2,160)	$	-	$	(6)	$	-	$	281

	Nine Months Ended September 30, 2010
							Consolidated VIEs
In millions	Unrealized Gains (Losses) on Insured Derivatives		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings	$	(1,719)	$	374	$	2	$	-	$	59

Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2010	$	(1,208)	$	-	$	(1)	$	-	$	59

Changes In Fair Value Included In The Company's Consolidated Income Statement

The following tables present the changes in fair value included in the Company's consolidated statement of operations for the three months ended September 30, 2011 and 2010 for all financial instruments for which the fair value option was elected.


	Three Months Ended September 30,
	2011						2010
In millions	Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Total Changes in Fair Value		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Total Changes in Fair Value
Fixed-maturity securities held at fair value	$	(286)	$	-	$	(286)	$	90	$	-	$	90
Loans receivable at fair value:
Residential mortgage loans		(65)		-		(65)		(164)		-		(164)
Other loans		(37)		-		(37)		38		-		38
Loan repurchase commitments		33		-		33		2		-		2
Other assets		(162)		-		(162)		(1)		-		(1)
Long-term debt		481		-		481		91		-		91

The following tables present the changes in fair value included in the Company's consolidated statements of operations for the nine months ended September 30, 2011 and 2010 for all financial instruments for which the fair value option was elected.


	Nine Months Ended September 30,
	2011						2010
In millions	Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Total Changes in Fair Value		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange		Net Realized Gains (Losses)		Total Changes in Fair Value
Fixed-maturity securities held at fair value	$	(338)	$	-	$	(338)	$	337	$	21	$	358
Loans receivable at fair value:
Residential mortgage loans		65		-		65		204		220		424
Other loans		(30)		-		(30)		56		-		56
Loan repurchase commitments		103		-		103		296		63		359
Other assets		(184)		-		(184)		(3)		159		156
Long-term debt		367		-		367		(332)		(333)		(665)

Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding


	As of September 30, 2011						As of December 31, 2010
In millions	Contractual Outstanding Principal		Fair Value		Difference		Contractual Outstanding Principal		Fair Value		Difference
Loans receivable at fair value:
Residential mortgage loans	$	2,842	$	2,079	$	763	$	3,334	$	2,014	$	1,320
Residential mortgage loans (90 days or more past due)		238		-		238		243		-		243
Other loans		299		92		207		412		124		288
Other loans (90 days or more past due)		154		47		107		149		45		104

Total loans receivable at fair value	$	3,533	$	2,218	$	1,315	$	4,138	$	2,183	$	1,955

Long-term debt	$	17,361	$	5,123	$	12,238	$	17,217	$	6,680	$	10,537

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

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- Definition

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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