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Fair Value Of Financial Instruments (Tables) | 9 Months Ended
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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 |  | $ | 6 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 21 |  |  | $ | - |  |  | $ | (27 | ) |  | $ | - |  |  | $ | - |
Foreign governments |  |  | 12 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | 6 |  |  |  | - |  |  |  | - |  |  |  | 19 |  |  |  | - |
Corporate obligations |  |  | 281 |  |  |  | (1) |  |  |  | - |  |  |  | 31 |  |  |  | (2) |  |  |  | (142) |  |  |  | 59 |  |  |  | (82 | ) |  |  | 144 |  |  |  | - |
Residential mortgage-backed agency |  |  | 48 |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | (5) |  |  |  | 41 |  |  |  | (45 | ) |  |  | 41 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 64 |  |  |  | (3) |  |  |  | - |  |  |  | 34 |  |  |  | - |  |  |  | (23) |  |  |  | 53 |  |  |  | (46 | ) |  |  | 79 |  |  |  | - |
Commercial mortgage-backed |  |  | 20 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | (1) |  |  |  | (5) |  |  |  | - |  |  |  | (1 | ) |  |  | 14 |  |  |  | - |
Collateralized debt obligations |  |  | 245 |  |  |  | (12) |  |  |  | - |  |  |  | 65 |  |  |  | - |  |  |  | (89) |  |  |  | 116 |  |  |  | (124 | ) |  |  | 201 |  |  |  | - |
Other asset-backed |  |  | 401 |  |  |  | - |  |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | (12) |  |  |  | 17 |  |  |  | (26 | ) |  |  | 387 |  |  |  | - |
State and municipal tax-exempt bonds |  |  | 50 |  |  |  | 1 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | (16) |  |  |  | - |  |  |  | - |  |  |  | 36 |  |  |  | - |
Perpetual preferred securities |  |  | 77 |  |  |  | - |  |  |  | - |  |  |  | 9 |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | 85 |  |  |  | - |
Other fixed-maturity investments |  |  | 19 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (19) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | - |  |  |  | 76 |  |  |  | - |  |  |  | - |  |  |  | 68 |  |  |  | 13 |  |  |  | (8 | ) |  |  | 149 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 166 |  |  |  | (1) |  |  |  | (253) |  |  |  | 3 |  |  |  | - |  |  |  | (96) |  |  |  | 311 |  |  |  | (52 | ) |  |  | 78 |  |  |  | - |
Commercial mortgage-backed |  |  | 3 |  |  |  | - |  |  |  | 221 |  |  |  | - |  |  |  | - |  |  |  | 33 |  |  |  | 18 |  |  |  | (59 | ) |  |  | 216 |  |  |  | - |
Collateralized debt obligations |  |  | 42 |  |  |  | - |  |  |  | (80) |  |  |  | - |  |  |  | - |  |  |  | 321 |  |  |  | 74 |  |  |  | (12 | ) |  |  | 345 |  |  |  | - |
Other asset-backed |  |  | 193 |  |  |  | - |  |  |  | (11) |  |  |  | - |  |  |  | - |  |  |  | (51) |  |  |  | 18 |  |  |  | (29 | ) |  |  | 120 |  |  |  | - |
Loans receivable |  |  | - |  |  |  | - |  |  |  | 28 |  |  |  | - |  |  |  | 21 |  |  |  | 1,894 |  |  |  | - |  |  |  | - |  |  |  | 1,943 |  |  |  | - |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 79 |  |  |  | - |  |  |  | - |  |  |  | 715 |  |  |  | - |  |  |  | - |  |  |  | 794 |  |  |  | 79 |
Total assets |  | $ | 1,627 |  |  | $ | (16 | ) |  | $ | 60 |  |  | $ | 153 |  |  | $ | 19 |  |  | $ | 2,599 |  |  | $ | 720 |  |  | $ | (511 | ) |  | $ | 4,651 |  |  | $ | 79 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 110 |  |  | $ | - |  |  | $ | 6 |  |  | $ | - |  |  | $ | (6) |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 110 |  |  | $ | 6 |
Credit derivatives, net |  |  | 3,799 |  |  |  | (366) |  |  |  | 1,719 |  |  |  | - |  |  |  | - |  |  |  | 308 |  |  |  | - |  |  |  | - |  |  |  | 5,460 |  |  |  | 1,208 |
Interest rate derivatives, net |  |  | (6) |  |  |  | (8) |  |  |  | 7 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (7) |  |  |  | 23 |
Currency derivatives, net |  |  | (3) |  |  |  | - |  |  |  | (9) |  |  |  | - |  |  |  | (4) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (16) |  |  |  | (22) |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | - |  |  |  | - |  |  |  | 366 |  |  |  | - |  |  |  | 39 |  |  |  | 4,377 |  |  |  | - |  |  |  | - |  |  |  | 4,782 |  |  |  | - |
Derivative contracts, net |  |  | - |  |  |  | - |  |  |  | 20 |  |  |  | - |  |  |  | - |  |  |  | 522 |  |  |  | - |  |  |  | - |  |  |  | 542 |  |  |  | 20 |
Total liabilities |  | $ | 3,900 |  |  | $ | (374) |  |  | $ | 2,109 |  |  | $ | - |  |  | $ | 29 |  |  | $ | 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 |

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- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -Subparagraph d -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 157 -Paragraph 32 -Subparagraph c(1) -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy. Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c)(1),(d) -URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19207-110258 + Details
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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. 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