Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2012


In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below Investment Grade		Total Notional		Fair Value Asset (Liability)
Insured credit default swaps		5.4 Years	$	10,519	$	5,895	$	5,179	$	5,989	$	21,298	$	48,880	$	(3,206)
Insured swaps		20.0 Years		-		185		3,918		2,008		71		6,182		(9)
All others		2.3 Years		-		-		-		-		195		195		(87)

Total notional			$	10,519	$	6,080	$	9,097	$	7,997	$	21,564	$	55,257

Total fair value			$	(33)	$	(78)	$	(144)	$	(436)	$	(2,611)			$	(3,302)

The following table presents information about credit derivatives sold by the Company’s insurance operations that were outstanding as of December 31, 2011. Credit ratings represent the lower of underlying ratings currently assigned by Moody’s, S&P or MBIA.


In millions			Notional Value
Credit Derivatives Sold	Weighted Average Remaining Expected Maturity		AAA		AA		A		BBB		Below Investment Grade		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		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)

Total Fair Value Of Company's Derivative Assets And Liabilities By Instrument And Balance Sheet Location, Before Counterparty Netting


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	$	97	Other Assets	$	11	Derivative liabilities	$	(8)

Total designated	$	97		$	11		$	(8)
Not designated as hedging instruments:
Insured credit default swaps	$	49,198	Other Assets	$	3	Derivative liabilities	$	(3,206)
Insured swaps		6,182	Other Assets		-	Derivative liabilities		(9)
Non-insured credit default swaps		10	Other Assets		-	Derivative liabilities		-
Interest rate swaps		2,585	Other Assets		88	Derivative liabilities		(443)
Interest rate swaps-VIE		3,239	Derivative assets- VIE		-	Derivative liabilities-VIE		(165)
Interest rate swaps-embedded		469	Medium-term notes		8	Medium-term notes		(23)
Currency swaps		38	Other Assets		-	Derivative liabilities		(1)
Currency swaps-VIE		116	Derivative assets- VIE		-	Derivative liabilities-VIE		(21)
All other		195	Other Assets		-	Derivative liabilities		(87)
All other-VIE		310	Derivative assets- VIE		1	Derivative liabilities-VIE		-
All other-embedded		20	Other investments		-	Other investments		(1)

Total non-designated	$	62,362		$	100		$	(3,956)

Total derivatives	$	62,459		$	111		$	(3,964)

(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	$	241	Other Assets	$	10	Derivative liabilities	$	(44)

Total designated	$	241		$	10		$	(44)
Not designated as hedging instruments:
Insured credit default swaps	$	66,851	Other Assets	$	-	Derivative liabilities	$	(4,708)
Insured swaps		7,156	Other Assets		-	Derivative liabilities		(9)
Non-insured credit default swaps		30	Other 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	Other 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	Other Assets		-	Derivative liabilities		(4)
Currency swaps-VIE		123	Derivative assets-VIE		-	Derivative liabilities-VIE		(17)
All other		3,465	Other 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)

Effect Of Derivative Instruments On Consolidated Statements 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	$	10	$	(10)	$	-
Interest rate swaps	Interest income (expense)		-		-		(1)

Total		$	10	$	(10)	$	(1)


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	$	1,202
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(428)
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		10
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		2
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		1
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1)

Total		$	724

The following tables present the effect of derivative instruments on the consolidated statements of operations for the three months ended June 30, 2011:


In millions		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	Location of Gain (Loss) Recognized in Income on Derivative


Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange	$	8	$	(8)	$	-
Interest rate swaps	Interest income (expense)		-		-		(3)

Total		$	8	$	(8)	$	(3)


In millions
Derivatives Not Designated as Hedging Instruments	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	$	140
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(191)
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		7
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(53)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(22)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(2)
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		(24)
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		1
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		1

Total		$	(148)

The following tables present the effect of derivative instruments on the consolidated statements of operations for the six months ended June 30, 2012:


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	$	37	$	(37)	$	-
Interest rate swaps	Interest income (expense)		-		-		(2)

Total		$	37	$	(37)	$	(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	$	1,502
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(432)
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		(1)
Non-insured credit default swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(50)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		31
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		3
All other	Net gains (losses) on financial instruments at fair value and foreign exchange		11
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(2)

Total		$	1,059

The following tables present the effect of derivative instruments on the consolidated statements of operations for the six months ended June 30, 2011:


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	$	2	$	(2)	$	-
Interest rate swaps	Interest income (expense)		-		-		(5)
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		2		(2)		-

Total		$	4	$	(4)	$	(5)


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	$	(1,272)
Insured credit default swaps	Realized gains (losses) and other settlements on insured derivatives		(546)
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		(150)
Interest rate swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(51)
Interest rate swaps-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		49
Currency swaps	Net gains (losses) on financial instruments at fair value and foreign exchange		(7)
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		(35)
All other-VIE	Net gains (losses) on financial instruments at fair value and foreign exchange-VIE		(1)

Total		$	(2,017)

- 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