XML 73 R29.htm IDEA: XBRL DOCUMENT

Derivative Instruments (Tables)

9 Months Ended

12 Months Ended

Sep. 30, 2011

Dec. 31, 2010

		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331
In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below BBB		Total Notional		Fair Value Asset (Liability)
Principal protection guarantees		0.3 Years	$	4,331	$	-	$	-	$	-	$	-	$	4,331	$	-

Total notional			$	4,331	$	-	$	-	$	-	$	-	$	4,331	$	-

Total fair value			$	-	$	-	$	-	$	-	$	-			$	-

		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331		$4,331
In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below BBB		Total Notional		Fair Value Asset (Liability)
Principal protection guarantees		1.0 Years	$	4,237	$	-	$	-	$	-	$	-	$	4,237	$	-

Total notional			$	4,237	$	-	$	-	$	-	$	-	$	4,237	$	-

Total fair value			$	-	$	-	$	-	$	-	$	-			$	-

Schedule Of Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location


In millions			Derivative Assets⁽¹⁾			Derivative Liabilities⁽¹⁾
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Designated as hedging instruments:
Interest rate swaps	$	268	Derivative assets	$	14	Derivative liabilities	$	(46	)

Total designated	$	268		$	14		$	(46	)

Not designated as hedging instruments:
Insured credit default swaps	$	83,968	Derivative assets	$	—	Derivative liabilities	$	(4,838	)
Insured swaps		7,409	Derivative assets		—	Derivative liabilities		(9	)
Non-insured credit default swaps		30	Derivative assets		1	Derivative liabilities		—
Non-insured credit default swaps-VIE		3,599	Derivative assets-VIE		709	Derivative liabilities-VIE		(1,473	)
Interest rate swaps		2,894	Derivative assets		78	Derivative liabilities		(404	)
Interest rate swaps-VIE		8,060	Derivative assets-VIE		—	Derivative liabilities-VIE		(397	)
Interest rate swaps - embedded		495	Medium-term notes		9	Medium-term notes		(13	)
Currency swaps		65	Derivative assets		—	Derivative liabilities		(6	)
Currency swaps-VIE		126	Derivative assets-VIE		—	Derivative liabilities-VIE		(18	)
All other		4,525	Derivative assets		—	Derivative liabilities		(54	)
All other-VIE		465	Derivative assets-VIE		4	Derivative liabilities-VIE		—
All other - embedded		168	Other investments		—	Other investments		(14	)

Total non-designated	$	111,804		$	801		$	(7,226	)

Total derivatives	$	112,072		$	815		$	(7,272	)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company's embedded derivative instruments is determined by the location of the related host contract.


In millions			Derivative Assets⁽¹⁾			Derivative Liabilities⁽¹⁾
Derivative Instruments	Notional Amount Outstanding		Balance Sheet Location	Fair Value		Balance Sheet Location	Fair Value
Designated as hedging instruments:
Interest rate swaps	$	394	Derivative assets	$	16	Derivative liabilities	$	(41	)
Currency swaps		20	Derivative assets		—	Derivative liabilities		(2	)

Total designated	$	414		$	16		$	(43	)

Not designated as hedging instruments:
Insured credit default swaps	$	99,331	Derivative assets	$	—	Derivative liabilities	$	(4,325	)
Insured swaps		10,537	Derivative assets		—	Derivative liabilities		(11	)
Non-insured credit default swaps		35	Derivative assets		3	Derivative liabilities		—
Non-insured credit default swaps-VIE		3,973	Derivative assets-VIE		687	Derivative liabilities-VIE		(1,455	)
Interest rate swaps		3,480	Derivative assets		46	Derivative liabilities		(255	)
Interest rate swaps-VIE		14,054	Derivative assets-VIE		2	Derivative liabilities-VIE		(634	)
Interest rate swaps - embedded		493	Medium-term notes		5	Medium-term notes		(7	)
Interest rate swaps - embedded-VIE		100	Other assets-VIE		—	Other liabilities-VIE		(1	)
Currency swaps		47	Derivative assets		—	Derivative liabilities		(4	)
Currency swaps-VIE		137	Derivative assets-VIE		—	Derivative liabilities-VIE		(14	)
All other		4,644	Derivative assets		—	Derivative liabilities		(40	)
All other-VIE		592	Derivative assets-VIE		10	Derivative liabilities-VIE		—
All other - embedded		219	Other investments		—	Other investments		(9	)

Total non-designated	$	137,642		$	753		$	(6,755	)

Total derivatives	$	138,056		$	769		$	(6,798	)

Summary Of Effect Of Derivative Instruments On Consolidated Statement Of Operations

In millions
Derivatives in Fair Value Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Gain (Loss) Recognized in Income on Derivative			Gain (Loss) Recognized in Income on Hedged Item		Net Gain (Loss) Recognized in Income
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	(8	)	$	8	$	—

Interest rate swaps	Interest income (expense)		—			—		(2	)

Total		$	(8	)	$	8	$	(2	)


In millions
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	756
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(53	)
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		154
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(128	)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(25	)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		4
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2	)
All other	Unrealized gains (losses) on insured derivatives		20
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(6	)
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(5	)

Total		$	715


In millions
Derivatives in Fair Value Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Gain (Loss) Recognized in Income on Derivative			Gain (Loss) Recognized in Income on Hedged Item		Net Gain (Loss) Recognized in Income
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	(4	)	$	4	$	—
Interest rate swaps	Interest income (expense)		—			—		(2	)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(2	)		2		—

Total		$	(6	)	$	6	$	(2	)


In millions
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(1,042	)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		552
Insured swaps	Unrealized gains (losses) on insured derivatives		2
Non-insured credit default swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1	)
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(16	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(60	)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(106	)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		38
All other	Unrealized gains (losses) on insured derivatives		(4	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(4	)
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2	)

Total		$	(643	)


In millions
Derivatives in Fair Value Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Gain (Loss) Recognized in Income on Derivative			Gain (Loss) Recognized in Income on Hedged Item			Net Gain (Loss) Recognized in Income
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	(6	)	$	6		$	—
Interest rate swaps	Interest income (expense)		—			—			(7	)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		2			(2	)		—

Total		$	(4	)	$	4		$	(7	)


In millions
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(516	)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(599	)
Non-insured credit default swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1	)
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		4
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(178	)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		24
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(3	)
Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(4	)
All other	Unrealized gains (losses) on insured derivatives		(15	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(7	)
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(6	)

Total		$	(1,301	)


In millions
Derivatives in Fair Value Hedging Relationships	Location of Gain (Loss) Recognized in Income on Derivative	Gain (Loss) Recognized in Income on Derivative			Gain (Loss) Recognized in Income on Hedged Item			Net Gain (Loss) Recognized in Income
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	(45	)	$	45		$	—
Interest rate swaps	Interest income (expense)		—			—			(3	)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		1			(1	)		—

Total		$	(44	)	$	44		$	(3	)


In millions
Derivatives Not Designated as Hedging Instruments	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(1,707	)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		454
Insured swaps	Unrealized gains (losses) on insured derivatives		2
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(19	)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(184	)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(191	)
Credit linked notes	Net gains (losses) on financial instruments at fair value and foreign exchange		18
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		2
All other	Unrealized gains (losses) on insured derivatives		(12	)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(12	)
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(11	)

Total		$	(1,660	)

Credit Derivative Sold [Member]

Summary Of Credit Derivatives Sold


In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below BBB		Total Notional		Fair Value Asset (Liability)
Insured credit default swaps		6.0 Years	$	16,132	$	16,023	$	7,000	$	16,791	$	28,022	$	83,968	$	(4,838)
Non-insured credit default swaps-VIE		4.1 Years		-		-		-		-		2,476		2,476		(1,473)
Insured swaps		20.2 Years		-		281		4,323		2,663		142		7,409		(9)
All others		3.1 Years		-		-		-		-		195		195		(54)

Total notional			$	16,132	$	16,304	$	11,323	$	19,454	$	30,835	$	94,048

Total fair value			$	(147)	$	(114)	$	(147)	$	(1,052)	$	(4,914)			$	(6,374)


In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below BBB		Total Notional		Fair Value Asset (Liability)
Insured credit default swaps		7.6 Years	$	20,721	$	18,530	$	11,323	$	15,356	$	33,377	$	99,307	$	(4,325)
Non-insured credit default swaps-VIE		4.8 Years		-		-		-		-		2,612		2,612		(1,455)
Insured swaps		16.6 Years		-		321		4,801		4,740		676		10,538		(11)
All others		8.5 Years		-		-		113		-		195		308		(39)

Total notional			$	20,721	$	18,851	$	16,237	$	20,096	$	36,860	$	112,765

Total fair value			$	(41)	$	(86)	$	(315)	$	(477)	$	(4,911)			$	(5,830)

- Definition

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

- Definition

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