Investments (Tables)

3 Months Ended

Mar. 31, 2012

Available For Sale In Consolidated Investment Portfolio

	March 31, 2012
In millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-Than- Temporary Impairments(1)
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	1,039	$	30	$	(4)	$	1,065	$	-
Foreign governments		344		23		-		367		-
Corporate obligations		1,558		45		(37)		1,566		(2)
Mortgage-backed securities:
Residential mortgage-backed agency		1,126		47		-		1,173		-
Residential mortgage-backed non-agency		267		13		(65)		215		(119)
Commercial mortgage-backed		51		-		(7)		44		-
Asset-backed securities:
Collateralized debt obligations		200		-		(94)		106		(59)
Other asset-backed		243		2		(19)		226		-
State and municipal bonds		924		46		(20)		950		-
Total taxable bonds		5,752		206		(246)		5,712		(180)
Tax-exempt bonds:
State and municipal bonds		1,035		46		(1)		1,080		-
Total fixed-maturity investments		6,787		252		(247)		6,792		(180)
Other investments:
Perpetual preferred securities		49		-		-		49		-
Other investments		19		2		-		21		-
Money market securities		951		-		-		951		-
Total other investments		1,019		2		-		1,021		-
Assets of consolidated VIEs:
Corporate obligations		2		-		-		2		-
Mortgage-backed securities:
Residential mortgage-backed non-agency		114		-		(19)		95		-
Asset-backed securities:
Collateralized debt obligations		112		-		(12)		100		-
Other asset-backed		36		1		-		37		-
Other investments:
Money market securities		622		-		-		622		-
Total available-for-sale investments	$	8,692	$	255	$	(278)	$	8,669	$	(180)
(1) - Represents the amount of other-than-temporary losses recognized in accumulated other comprehensive income (loss) since the adoption of the accounting guidance for other-than-temporary impairments.

	December 31, 2011
In millions	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		Other-Than- Temporary Impairments(1)
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	1,091	$	39	$	-	$	1,130	$	-
Foreign governments		326		23		-		349		-
Corporate obligations		1,698		43		(106)		1,635		(2)
Mortgage-backed securities:
Residential mortgage-backed agency		1,198		47		-		1,245		-
Residential mortgage-backed non-agency		325		31		(83)		273		(125)
Commercial mortgage-backed		58		1		(10)		49		-
Asset-backed securities:
Collateralized debt obligations		251		-		(118)		133		(69)
Other asset-backed		520		2		(82)		440		(37)
State and municipal bonds		903		35		(17)		921		-
Total taxable bonds		6,370		221		(416)		6,175		(233)
Tax-exempt bonds:
State and municipal bonds		1,122		41		(2)		1,161		-
Total fixed-maturity investments		7,492		262		(418)		7,336		(233)
Other investments:
Perpetual preferred securities		127		-		(19)		108		-
Other investments		22		1		-		23		-
Money market securities		911		-		-		911		-
Total other investments		1,060		1		(19)		1,042		-
Assets of consolidated VIEs:
Corporate obligations		2		-		-		2		-
Mortgage-backed securities:
Residential mortgage-backed non-agency		119		-		(26)		93		-
Asset-backed securities:
Collateralized debt obligations		112		-		(15)		97		-
Other asset-backed		41		-		-		41		-
Other investments:
Money market securities		199		-		-		199		-
Total available-for-sale investments	$	9,025	$	263	$	(478)	$	8,810	$	(233)
(1) - Represents the amount of other-than-temporary losses recognized in accumulated other comprehensive income (loss) since the adoption of the accounting guidance for other-than-temporary impairments.

Available For Sale Securities In Continuous Unrealized Loss Position

	March 31, 2012
	Less than 12 Months				12 Months or Longer				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	587	$	(4)	$	-	$	-	$	587	$	(4)
Foreign governments		22		-		1		-		23		-
Corporate obligations		300		(9)		195		(28)		495		(37)
Mortgage-backed securities:
Residential mortgage-backed agency		13		-		46		-		59		-
Residential mortgage-backed non-agency		22		(4)		148		(61)		170		(65)
Commercial mortgage-backed		12		-		24		(7)		36		(7)
Asset-backed securities:
Collateralized debt obligations		8		-		93		(94)		101		(94)
Other asset-backed		6		-		124		(19)		130		(19)
State and municipal bonds		145		(4)		70		(16)		215		(20)
Total taxable bonds		1,115		(21)		701		(225)		1,816		(246)
Tax-exempt bonds:
State and municipal bonds		13		-		24		(1)		37		(1)
Total fixed-maturity investments		1,128		(21)		725		(226)		1,853		(247)
Other investments:
Perpetual preferred securities		45		-		-		-		45		-
Total other investments		45		-		-		-		45		-
Assets of consolidated VIEs:
Mortgage-backed securities:
Residential mortgage-backed non-agency		3		-		92		(19)		95		(19)
Asset-backed securities:
Collateralized debt obligations		9		-		90		(12)		99		(12)
Total	$	1,185	$	(21)	$	907	$	(257)	$	2,092	$	(278)

	December 31, 2011
	Less than 12 Months				12 Months or Longer				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency	$	200	$	-	$	-	$	-	$	200	$	-
Foreign governments		20		-		-		-		20		-
Corporate obligations		297		(15)		418		(91)		715		(106)
Mortgage-backed securities:
Residential mortgage-backed agency		20		-		49		-		69		-
Residential mortgage-backed non-agency		34		(5)		167		(78)		201		(83)
Commercial mortgage-backed		17		(2)		22		(8)		39		(10)
Asset-backed securities:
Collateralized debt obligations		13		(2)		117		(116)		130		(118)
Other asset-backed		53		(7)		328		(75)		381		(82)
State and municipal bonds		152		(2)		76		(15)		228		(17)
Total taxable bonds		806		(33)		1,177		(383)		1,983		(416)
Tax-exempt bonds:
State and municipal bonds		14		-		75		(2)		89		(2)
Total fixed-maturity investments		820		(33)		1,252		(385)		2,072		(418)
Other investments:
Perpetual preferred securities		47		(3)		45		(16)		92		(19)
Total other investments		47		(3)		45		(16)		92		(19)
Assets of consolidated VIEs:
Corporate obligations		2		-		-		-		2		-
Mortgage-backed securities:
Residential mortgage-backed non-agency		3		-		90		(26)		93		(26)
Asset-backed securities:
Collateralized debt obligations		9		-		88		(15)		97		(15)
Other asset-backed		31		-		-		-		31		-
Total	$	912	$	(36)	$	1,475	$	(442)	$	2,387	$	(478)

Fair Values And Gross Unrealized Losses By Credit Rating Category Of Asset Backed Securities

In millions	Aaa				Aa				A				Baa				Below Investment Grade				Not Rated				Total
Asset-backed Sector	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
ABS CDO	$	5	$	-	$	5	$	-	$	7	$	(1)	$	1	$	(3)	$	16	$	(53)	$	-	$	-	$	34	$	(57)
Corporate CDO		42		(4)		65		(8)		13		(6)		1		-		87		(43)		1		(1)		209		(62)
Auto loans		-		-		1		-		-		-		9		-		-		-		-		-		10		-
Equipment leases		-		-		-		-		-		-		6		-		-		-		-		-		6		-
Small business/ student loans		16		-		-		-		-		-		-		-		11		(1)		-		-		27		(1)
Other ABS		2		-		3		-		9		-		13		-		17		(5)		-		-		44		(5)
Total	$	65	$	(4)	$	74	$	(8)	$	29	$	(7)	$	30	$	(3)	$	131	$	(102)	$	1	$	(1)	$	330	$	(125)

Fair Values And Gross Unrealized Losses By Credit Rating Category Of Mortgage Backed Securities

In millions	Aaa				Aa				A				Baa				Below Investment Grade				Not Rated				Total
Mortgage-backed Securities	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
RMBS:
Collateralized	$	62	$	-	$	27	$	(3)	$	8	$	-	$	1	$	-	$	34	$	(17)	$	13	$	(9)	$	145	$	(29)
Home equity		2		-		80		(14)		1		-		-		-		75		(34)		-		-		158		(48)
Pass-through securities		13		-		-		-		-		-		-		-		-		-		-		-		13		-
Other		-		-		9		(3)		-		-		-		-		7		(4)		-		-		16		(7)
CMBS		-		-		-		-		-		-		24		(6)		4		(1)		-		-		28		(7)
Total	$	77	$	-	$	116	$	(20)	$	9	$	-	$	25	$	(6)	$	120	$	(56)	$	13	$	(9)	$	360	$	(91)

Fair Values And Gross Unrealized Losses By Credit Rating Category Of Corporate Obligations

In millions	Aaa				Aa				A				Baa				Below Investment Grade				Not Rated				Total
	Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss		Fair Value		Unrealized Loss
Corporate Obligations	$	68	$	-	$	57	$	(1)	$	267	$	(12)	$	80	$	(22)	$	21	$	-	$	2	$	(2)	$	495	$	(37)

Held To Maturity Securities In Continuous Unrealized Loss Position

	March 31, 2012
	Less than 12 Months				12 Months or Longer				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Assets of consolidated VIEs:
Other asset-backed securities	$	303	$	(12)	$	2,315	$	(210)	$	2,618	$	(222)
Total	$	303	$	(12)	$	2,315	$	(210)	$	2,618	$	(222)

	December 31, 2011
	Less than 12 Months				12 Months or Longer				Total
In millions	Fair Value		Unrealized Losses		Fair Value		Unrealized Losses		Fair Value		Unrealized Losses
Assets of consolidated VIEs:
Other asset-backed securities	$	284	$	(31)	$	2,185	$	(340)	$	2,469	$	(371)
Total	$	284	$	(31)	$	2,185	$	(340)	$	2,469	$	(371)

Investment Securities Whose Book Value Exceeded Market Value By More Than 5%

Percentage Book Value Exceeded Market Value	Number of Securities		Book Value (in millions)		Fair Value (in millions)
Greater than 5% to less than 16%		23	$	1,073	$	974
16% to less than 26%		26		796		656
26% to 50%		64		275		175
Greater than 50%		36		107		23
Total		149	$	2,251	$	1,828

Securities Held In Unrealized Loss Position And Insured By Financial Guarantor And The Related Insurance Loss Reserve On Company Insured Investments

In millions	Fair Value		Unrealized Loss		Insurance  Loss Reserve(2)
Asset-backed:
MBIA(1)	$	149	$	(64)	$	16
Other		58		(12)		-
Total asset-backed		207		(76)		16
Mortgage-backed:
MBIA(1)		11		(1)		-
Other		230		(76)		-
Total mortgage-backed		241		(77)		-
Corporate obligations:
MBIA(1)		4		-		-
Other		24		(11)		-
Total corporate obligations		28		(11)		-
Other:
MBIA(1)		134		(19)		-
Other		8		-		-
Total other		142		(19)		-
Total	$	618	$	(183)	$	16
(1) - Includes investments insured by MBIA Corp. and National. (2) - Insurance loss reserve estimates are based on the proportion of par value owned to the total amount of par value insured.

Available For Sale [Member]

Distribution Of Held To Maturity Investments By Contractual Maturity

					Consolidated VIEs
In millions	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	842	$	844	$	-	$	-
Due after one year through five years		1,131		1,166		2		2
Due after five years through ten years		719		746		-		-
Due after ten years through fifteen years		572		590		-		-
Due after fifteen years		1,636		1,682		-		-
Mortgage-backed		1,444		1,432		114		95
Asset-backed		443		332		148		137
Total fixed-maturity investments	$	6,787	$	6,792	$	264	$	234

Held To Maturity [Member]

Distribution Of Held To Maturity Investments By Contractual Maturity

					Consolidated VIEs
In millions	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	-	$	-	$	-	$	-
Due after one year through five years(1)		1		1		-		-
Due after five years through ten years		-		-		-		-
Due after ten years through fifteen years		-		-		-		-
Due after fifteen years		-		-		-		-
Mortgage-backed		-		-		-		-
Asset-backed		-		-		3,093		2,871
Total held-to-maturity investments	$	1	$	1	$	3,093	$	2,871
(1) - Relates to tax credit investments reported in "Other investments" on the Company's consolidated balance sheets.