Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2011


In millions			Notional Value as of December 31, 2011
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below BBB		Total Notional		Fair Value Asset (Liability)
Principal protection guarantees		0.0 Years	$	3,269	$	—	$	—	$	—	$	—	$	3,269	$	—

Total notional			$	3,269	$	—	$	—	$	—	$	—	$	3,269	$	—

Total fair value			$	—	$	—	$	—	$	—	$	—			$	—


In millions			Notional Value as of December 31, 2010
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	$	241	Derivative assets	$	10	Derivative liabilities	$	(44	)

Total designated	$	241		$	10		$	(44	)

Not designated as hedging instruments:
Insured credit default swaps	$	66,851	Derivative assets	$	—	Derivative liabilities	$	(4,708	)
Insured swaps		7,156	Derivative assets		—	Derivative liabilities		(9	)
Non-insured credit default swaps		30	Derivative assets		1	Derivative liabilities		—
Non-insured credit default swaps-VIE		1,272	Derivative assets-VIE		447	Derivative liabilities-VIE		(527	)
Interest rate swaps		2,706	Derivative assets		84	Derivative liabilities		(401	)
Interest rate swaps-VIE		4,878	Derivative assets-VIE		—	Derivative liabilities-VIE		(281	)
Interest rate swaps-embedded		480	Medium-term notes		7	Medium-term notes		(14	)
Currency swaps		62	Derivative assets		—	Derivative liabilities		(4	)
Currency swaps-VIE		123	Derivative assets-VIE		—	Derivative liabilities-VIE		(17	)
All other		3,465	Derivative assets		—	Derivative liabilities		(91	)
All other-VIE		472	Derivative assets-VIE		3	Derivative liabilities-VIE		—
All other-embedded		121	Other investments		—	Other investments		(12	)

Total non-designated	$	87,616		$	542		$	(6,064	)

Total derivatives	$	87,857		$	552		$	(6,108	)

(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⁾
	Notional Amount Outstanding
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		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
Derivatives in Fair Value Hedging Relationships			Gain (Loss) Recognized in Income on Derivative				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)		—		—		(9)
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange		2		(2)		—

Total	$(6)		$	6			$	(9)


In millions	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Derivatives Not Designated as Hedging Instruments		Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(389)

Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(2,371)

Non-insured credit default swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(2)

Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		12

Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(193)

Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		53

Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)

Currency swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(3)

All other	Unrealized gains (losses) on insured derivatives		(52)

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		(8)

Total		$	(2,960)


In millions	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
Derivatives in Fair Value Hedging Relationships		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	$	(42	)	$	41	$	(1	)
Interest rate swaps	Interest income (expense)		—			—		(5	)

Total		$	(42	)	$	41	$	(6	)


In millions	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Derivatives Not Designated as Hedging Instruments		Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	(596)

Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(162)

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		(24)

Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(138)

Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		25

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		10

All other	Unrealized gains (losses) on insured derivatives		(13)

All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(17)

All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(16)

Total		$	(912)


In millions	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
Derivatives in Fair Value Hedging Relationships					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	$	(57	)	$	48		$	(9	)
Interest rate swaps	Interest income (expense)		—			—			2
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		17			(16	)		1
Currency swaps	Interest income (expense)		—			—			1

Total		$	(40	)	$	32		$	(5	)


In millions	Location of Gain (Loss) Recognized in Income on Derivative	Net Gain (Loss) Recognized in Income
Derivatives Not Designated as Hedging Instruments		Net Gain (Loss) Recognized in Income
Insured credit default swaps	Unrealized gains (losses) on insured derivatives	$	1,660

Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(167)

Insured swaps	Unrealized gains (losses) on insured derivatives		1

Non-insured credit default swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		17

Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		17

Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		13

Total return swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		6

Credit linked notes	Net gains (losses) on financial instruments at fair value and foreign exchange		27

Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(1)

All other	Unrealized gains (losses) on insured derivatives		(11)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		(8)

Total		$	1,554

Credit Derivatives Sold [Member]

Derivative [Line Items]

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		5.6 Years	$	15,475		$	12,065		$	6,336		$	14,042		$	17,639		$	65,557	$	(4,716	)
Non-insured credit default swaps-VIE		3.6 Years		—			—			—			—			643			643		(527	)
Insured swaps		19.7 Years		—			164			4,270			2,589			133			7,156		(9	)
All others (insured)		2.8 Years		—			—			—			—			195			195		(91	)

Total notional			$	15,475		$	12,229		$	10,606		$	16,631		$	18,610		$	73,551

Total fair value			$	(114	)	$	(116	)	$	(205	)	$	(1,355	)	$	(3,553	)			$	(5,343	)


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 (insured)		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

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details