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Fair Value Of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2012
Fair Value Of Financial Instruments [Abstract] |
Carrying Value And Fair Value Of Financial Instruments |
|  | As of March 31, 2012 |  |  | As of December 31, 2011 |
In millions |  | Carrying Value |  |  | Estimated Fair Value |  |  | Carrying Value |  |  | Estimated Fair Value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held as available-for-sale and held at fair value |  | $ | 7,989 |  |  | $ | 7,989 |  |  | $ | 8,586 |  |  | $ | 8,586 |
Other investments |  |  | 68 |  |  |  | 68 |  |  |  | 107 |  |  |  | 107 |
Cash and cash equivalents |  |  | 711 |  |  |  | 711 |  |  |  | 473 |  |  |  | 473 |
Receivable for investments sold |  |  | 98 |  |  |  | 98 |  |  |  | 32 |  |  |  | 32 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives |  |  | 10 |  |  |  | 10 |  |  |  | - |  |  |  | - |
Non-insured derivatives |  |  | 2 |  |  |  | 2 |  |  |  | 2 |  |  |  | 2 |
Total derivative assets |  |  | 12 |  |  |  | 12 |  |  |  | 2 |  |  |  | 2 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  | 144 |  |  |  | 144 |  |  |  | 160 |  |  |  | 160 |
Investments held-to-maturity |  |  | 3,093 |  |  |  | 2,871 |  |  |  | 3,843 |  |  |  | 3,489 |
Fixed-maturity securities held as available-for-sale |  |  | 856 |  |  |  | 856 |  |  |  | 432 |  |  |  | 432 |
Fixed-maturity securities held as trading |  |  | 2,883 |  |  |  | 2,883 |  |  |  | 2,884 |  |  |  | 2,884 |
Loans receivable |  |  | 2,025 |  |  |  | 2,025 |  |  |  | 2,046 |  |  |  | 2,046 |
Loan repurchase commitments |  |  | 1,076 |  |  |  | 1,076 |  |  |  | 1,077 |  |  |  | 1,077 |
Derivative assets |  |  | 445 |  |  |  | 445 |  |  |  | 450 |  |  |  | 450 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment agreements |  |  | 1,576 |  |  |  | 1,809 |  |  |  | 1,578 |  |  |  | 1,853 |
Medium-term notes |  |  | 1,692 |  |  |  | 1,164 |  |  |  | 1,656 |  |  |  | 1,187 |
Securities sold under agreements to repurchase |  |  | 149 |  |  |  | 149 |  |  |  | 287 |  |  |  | 286 |
Long-term debt |  |  | 1,839 |  |  |  | 1,168 |  |  |  | 1,840 |  |  |  | 1,117 |
Payable for investments purchased |  |  | 35 |  |  |  | 35 |  |  |  | 3 |  |  |  | 3 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives |  |  | 4,513 |  |  |  | 4,513 |  |  |  | 4,808 |  |  |  | 4,808 |
Non-insured derivatives |  |  | 317 |  |  |  | 317 |  |  |  | 356 |  |  |  | 356 |
Total derivative liabilities |  |  | 4,830 |  |  |  | 4,830 |  |  |  | 5,164 |  |  |  | 5,164 |
Warrants |  |  | 22 |  |  |  | 22 |  |  |  | 38 |  |  |  | 38 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 8,704 |  |  |  | 8,183 |  |  |  | 8,697 |  |  |  | 8,051 |
Long-term debt |  |  | - |  |  |  | - |  |  |  | 360 |  |  |  | 368 |
Derivative liabilities |  |  | 803 |  |  |  | 803 |  |  |  | 825 |  |  |  | 825 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross |  |  | 1,111 |  |  |  | 1,436 |  |  |  | 1,305 |  |  |  | 1,451 |
Ceded |  |  | 101 |  |  |  | 99 |  |  |  | 104 |  |  |  | 94 |
Quantitative Information Regarding The Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On A Recurring Basis |
In millions |  | Fair Value as of March 31, 2012 |  |  | Valuation Techniques |  | Unobservable Input |  | Range (Weighted Average) |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Loans receivable |  | $ | 2,025 |  |  | Quoted market prices adjusted for financial guarantees provided to VIE obligations |  | Impact of financial guarantee |  |  | 0% - 114% (7%) |
Loan repurchase commitments |  |  | 1,076 |  |  | Discounted cash flow |  | Recovery rates |  |  | 25% - 75% (71%) |
|  |  |  |  |  |  |  | Breach rates |  |  | 65% - 94% (76%) |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | 2,864 |  |  | Quoted market prices of VIE assets adjusted for financial guarantees provided |  | Impact of financial guarantee |  |  | 0% - 26% (3%) |
Credit derivative liabilities, net: |  |  |  |  |  |  |  |  |  |  |  |
CMBS |  |  | 2,183 |  |  | BET Model |  | Recovery rates |  |  | 22% - 90% (50%) |
|  |  |  |  |  |  |  | Nonperformance risk |  |  | 4% - 57% (49%) |
|  |  |  |  |  |  |  | Weighted average life (in years) |  |  | 0.2- 6.4 (4.7) |
|  |  |  |  |  |  |  | CMBS spreads |  |  | 1% - 23% (12%) |
Multi-sector CDO |  |  | 928 |  |  | Direct Price Model |  | Nonperformance risk |  |  | 57% - 57% (57%) |
Other |  |  | 1,376 |  |  | BET Model |  | Recovery rates |  |  | 42% - 75% (47%) |
|  |  |  |  |  |  |  | Nonperformance risk |  |  | 10% - 57% (44%) |
|  |  |  |  |  |  |  | Weighted average life (in years) |  |  | 0.2- 13.4 (3.1) |
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 March 31, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Taxable bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 888 |  |  | $ | 197 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,085 |
Foreign governments |  |  | 263 |  |  |  | 94 |  |  |  | 12 | (1) |  |  | - |  |  |  | 369 |
Corporate obligations |  |  | - |  |  |  | 1,487 |  |  |  | 185 | (1) |  |  | - |  |  |  | 1,672 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 1,201 |  |  |  | 9 | (1) |  |  | - |  |  |  | 1,210 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 219 |  |  |  | 14 | (1) |  |  | - |  |  |  | 233 |
Commercial mortgage-backed |  |  | - |  |  |  | 27 |  |  |  | 25 | (1) |  |  | - |  |  |  | 52 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 71 |  |  |  | 35 | (1) |  |  | - |  |  |  | 106 |
Other asset-backed |  |  | - |  |  |  | 118 |  |  |  | 115 | (1) |  |  | - |  |  |  | 233 |
State and municipal bonds |  |  | - |  |  |  | 952 |  |  |  | - |  |  |  | - |  |  |  | 952 |
Total taxable bonds |  |  | 1,151 |  |  |  | 4,366 |  |  |  | 395 |  |  |  | - |  |  |  | 5,912 |
Tax exempt bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
State and municipal bonds |  |  | - |  |  |  | 1,053 |  |  |  | 27 | (1) |  |  | - |  |  |  | 1,080 |
Other fixed-maturity investments |  |  | - |  |  |  | 13 |  |  |  | - |  |  |  | - |  |  |  | 13 |
Total fixed-maturity investments |  |  | 1,151 |  |  |  | 5,432 |  |  |  | 422 |  |  |  | - |  |  |  | 7,005 |
Money market securities |  |  | 953 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 953 |
Perpetual preferred securities |  |  | - |  |  |  | 49 |  |  |  | - |  |  |  | - |  |  |  | 49 |
Other |  |  | 29 |  |  |  | - |  |  |  | 10 | (1) |  |  | - |  |  |  | 39 |
Total |  |  | 2,133 |  |  |  | 5,481 |  |  |  | 432 |  |  |  | - |  |  |  | 8,046 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 10 |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 74 |  |  |  | 4 | (1) |  |  | - |  |  |  | 78 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (76) |  |  |  | (76) |
Total derivative assets |  |  | - |  |  |  | 74 |  |  |  | 14 |  |  |  | (76) |  |  |  | 12 |
|  | 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 March 31, 2012 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 165 |  |  |  | 75 | (1) |  |  | - |  |  |  | 240 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 1,444 |  |  |  | 25 | (1) |  |  | - |  |  |  | 1,469 |
Commercial mortgage-backed |  |  | - |  |  |  | 559 |  |  |  | 15 | (1) |  |  | - |  |  |  | 574 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 331 |  |  |  | 218 | (1) |  |  | - |  |  |  | 549 |
Other asset-backed |  |  | - |  |  |  | 211 |  |  |  | 71 | (1) |  |  | - |  |  |  | 282 |
Total fixed-maturity securities at fair value |  |  | - |  |  |  | 2,713 |  |  |  | 404 |  |  |  | - |  |  |  | 3,117 |
Money market securities |  |  | 622 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 622 |
Loans receivable |  |  | - |  |  |  | - |  |  |  | 2,025 |  |  |  | - |  |  |  | 2,025 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 1,076 |  |  |  | - |  |  |  | 1,076 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 443 | (1) |  |  | - |  |  |  | 443 |
Interest rate derivatives |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | 2 |
Total assets |  | $ | 2,755 |  |  | $ | 8,270 |  |  | $ | 4,394 |  |  | $ | (76) |  |  | $ | 15,343 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  |  | $174 | (1) |  | $ | - |  |  | $ | 174 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 16 |  |  |  | 4,497 |  |  |  | - |  |  |  | 4,513 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 390 |  |  |  | - |  |  |  | - |  |  |  | 390 |
Currency derivatives |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (76) |  |  |  | (76) |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants |  |  | - |  |  |  | 22 |  |  |  | - |  |  |  | - |  |  |  | 22 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 1,897 |  |  |  | 2,864 |  |  |  | - |  |  |  | 4,761 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 525 | (1) |  |  | - |  |  |  | 525 |
Interest rate derivatives |  |  | - |  |  |  | 259 |  |  |  | - |  |  |  | - |  |  |  | 259 |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 19 | (1) |  |  | - |  |  |  | 19 |
Total liabilities |  | $ | - |  |  | $ | 2,587 |  |  | $ | 8,079 |  |  | $ | (76) |  |  | $ | 10,590 |
(1) - Unobservable inputs are either not developed by the Company or do not significantly impact the overall fair values of the aggregate financial assets and liabilities.
|  | 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, 2011 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed-maturity investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Taxable bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agency |  | $ | 1,038 |  |  | $ | 103 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,141 |
Foreign governments |  |  | 277 |  |  |  | 62 |  |  |  | 11 |  |  |  | - |  |  |  | 350 |
Corporate obligations |  |  | 1 |  |  |  | 1,531 |  |  |  | 206 |  |  |  | - |  |  |  | 1,738 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 1,276 |  |  |  | 8 |  |  |  | - |  |  |  | 1,284 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 350 |  |  |  | 17 |  |  |  | - |  |  |  | 367 |
Commercial mortgage-backed |  |  | - |  |  |  | 34 |  |  |  | 24 |  |  |  | - |  |  |  | 58 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 78 |  |  |  | 60 |  |  |  | - |  |  |  | 138 |
Other asset-backed |  |  | - |  |  |  | 130 |  |  |  | 318 |  |  |  | - |  |  |  | 448 |
State and municipal bonds |  |  | - |  |  |  | 924 |  |  |  | - |  |  |  | - |  |  |  | 924 |
Total taxable bonds |  |  | 1,316 |  |  |  | 4,488 |  |  |  | 644 |  |  |  | - |  |  |  | 6,448 |
Tax exempt bonds: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
State and municipal bonds |  |  | - |  |  |  | 1,137 |  |  |  | 28 |  |  |  | - |  |  |  | 1,165 |
Other fixed-maturity investments |  |  | - |  |  |  | 15 |  |  |  | - |  |  |  | - |  |  |  | 15 |
Total fixed-maturity investments |  |  | 1,316 |  |  |  | 5,640 |  |  |  | 672 |  |  |  | - |  |  |  | 7,628 |
Money market securities |  |  | 912 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 912 |
Perpetual preferred securities |  |  | - |  |  |  | 106 |  |  |  | 1 |  |  |  | - |  |  |  | 107 |
Other |  |  | 25 |  |  |  | - |  |  |  | 10 |  |  |  | - |  |  |  | 35 |
Total |  |  | 2,253 |  |  |  | 5,746 |  |  |  | 683 |  |  |  | - |  |  |  | 8,682 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Non-insured derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |
Interest rate derivatives |  |  | - |  |  |  | 91 |  |  |  | 3 |  |  |  | - |  |  |  | 94 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (93) |  |  |  | (93) |
Total derivative assets |  |  | - |  |  |  | 92 |  |  |  | 3 |  |  |  | (93) |  |  |  | 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 December 31, 2011 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | - |  |  |  | 170 |  |  |  | 69 |  |  |  | - |  |  |  | 239 |
Mortgage-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage-backed agency |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Residential mortgage-backed non-agency |  |  | - |  |  |  | 1,437 |  |  |  | 21 |  |  |  | - |  |  |  | 1,458 |
Commercial mortgage-backed |  |  | - |  |  |  | 559 |  |  |  | 22 |  |  |  | - |  |  |  | 581 |
Asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateralized debt obligations |  |  | - |  |  |  | 330 |  |  |  | 203 |  |  |  | - |  |  |  | 533 |
Other asset-backed |  |  | - |  |  |  | 236 |  |  |  | 67 |  |  |  | - |  |  |  | 303 |
Total fixed-maturity securities at fair value |  |  | - |  |  |  | 2,735 |  |  |  | 382 |  |  |  | - |  |  |  | 3,117 |
Money market securities |  |  | 199 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 199 |
Loans receivable |  |  | - |  |  |  | - |  |  |  | 2,046 |  |  |  | - |  |  |  | 2,046 |
Loan repurchase commitments |  |  | - |  |  |  | - |  |  |  | 1,077 |  |  |  | - |  |  |  | 1,077 |
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 447 |  |  |  | - |  |  |  | 447 |
Interest rate derivatives |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | 3 |
Total assets |  | $ | 2,452 |  |  | $ | 8,576 |  |  | $ | 4,638 |  |  | $ | (93) |  |  | $ | 15,573 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | - |  |  | $ | - |  |  | $ | 165 |  |  | $ | - |  |  | $ | 165 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | 18 |  |  |  | 4,790 |  |  |  | - |  |  |  | 4,808 |
Non-insured derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | - |  |  |  | 445 |  |  |  | - |  |  |  | - |  |  |  | 445 |
Currency derivatives |  |  | - |  |  |  | 4 |  |  |  | - |  |  |  | - |  |  |  | 4 |
Other |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (93) |  |  |  | (93) |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants |  |  | - |  |  |  | 38 |  |  |  | - |  |  |  | - |  |  |  | 38 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | 1,865 |  |  |  | 2,889 |  |  |  | - |  |  |  | 4,754 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit derivatives |  |  | - |  |  |  | - |  |  |  | 527 |  |  |  | - |  |  |  | 527 |
Interest rate derivatives |  |  | - |  |  |  | 281 |  |  |  | - |  |  |  | - |  |  |  | 281 |
Currency derivatives |  |  | - |  |  |  | - |  |  |  | 17 |  |  |  | - |  |  |  | 17 |
Total liabilities |  | $ | - |  |  | $ | 2,651 |  |  | $ | 8,388 |  |  | $ | (93) |  |  | $ | 10,946 |
Fair Value Hierarchy Table Presents The Company's Assets And Liabilities At Fair Value Not Recorded On The Company's Consolidated Balance Sheet |
|  | 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) |  |  | Balance as of March 31, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other investments |  | $ | - |  |  | $ | 11 |  |  | $ | - |  |  | $ | 11 |
Receivable for investments sold |  |  | 98 |  |  |  | - |  |  |  | - |  |  |  | 98 |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held-to-maturity |  |  | - |  |  |  | - |  |  |  | 2,871 |  |  |  | 2,871 |
Total assets |  |  | 98 |  |  |  | 11 |  |  |  | 2,871 |  |  |  | 2,980 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment agreements |  |  | - |  |  |  | - |  |  |  | 1,809 |  |  |  | 1,809 |
Medium-term notes |  |  | - |  |  |  | - |  |  |  | 990 |  |  |  | 990 |
Securities sold under agreements to repurchase |  |  | - |  |  |  | 149 |  |  |  | - |  |  |  | 149 |
Long-term debt |  |  | - |  |  |  | 1,168 |  |  |  | - |  |  |  | 1,168 |
Payable for investments purchased |  |  | 35 |  |  |  | - |  |  |  | - |  |  |  | 35 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Variable interest entity notes |  |  | - |  |  |  | - |  |  |  | 3,422 |  |  |  | 3,422 |
Total liabilities |  |  | 35 |  |  |  | 1,317 |  |  |  | 6,221 |  |  |  | 7,573 |
Financial Guarantees: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gross |  |  | - |  |  |  | - |  |  |  | 1,436 |  |  |  | 1,436 |
Ceded |  |  | - |  |  |  | - |  |  |  | 99 |  |  |  | 99 |
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 March 31, 2012 |
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 March 31, 2012 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign governments |  | $ | 11 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 1 |  |  | $ | 6 |  |  | $ | - |  |  | $ | (6) |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 12 |  |  | $ | - |
Corporate obligations |  |  | 206 |  |  |  | (13) |  |  |  | - |  |  |  | 17 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | (24) |  |  |  | - |  |  |  | - |  |  |  | 185 |  |  |  | - |
Residential mortgage-backed agency |  |  | 8 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 9 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 17 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | (3) |  |  |  | 14 |  |  |  | - |
Commercial mortgage-backed |  |  | 24 |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | 25 |  |  |  | - |
Collateralized debt obligations |  |  | 60 |  |  |  | (3) |  |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (5) |  |  |  | (2) |  |  |  | 6 |  |  |  | (27) |  |  |  | 35 |  |  |  | - |
Other asset-backed |  |  | 318 |  |  |  | (116) |  |  |  | - |  |  |  | 121 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | (7) |  |  |  | (202) |  |  |  | 2 |  |  |  | (2) |  |  |  | 115 |  |  |  | - |
State and municipal tax-exempt bonds |  |  | 28 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 27 |  |  |  | - |
Perpetual preferred securities |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |
Other investments |  |  | 10 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 10 |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 69 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | 75 |  |  |  | 2 |
Residential mortgage-backed non-agency |  |  | 21 |  |  |  | - |  |  |  | 5 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | 2 |  |  |  | (1) |  |  |  | 25 |  |  |  | 4 |
Commercial mortgage-backed |  |  | 22 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | (6) |  |  |  | 15 |  |  |  | - |
Collateralized debt obligations |  |  | 203 |  |  |  | - |  |  |  | 3 |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 11 |  |  |  | - |  |  |  | 218 |  |  |  | 2 |
Other asset-backed |  |  | 67 |  |  |  | - |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 71 |  |  |  | 3 |
Loans receivable |  |  | 2,046 |  |  |  | - |  |  |  | 39 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (60) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 2,025 |  |  |  | 39 |
Loan repurchase commitments |  |  | 1,077 |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 1,076 |  |  |  | (1) |
Total assets |  | $ | 4,188 |  |  | $ | (132) |  |  | $ | 51 |  |  | $ | 150 |  |  | $ | 1 |  |  | $ | 7 |  |  | $ | - |  |  | $ | (86) |  |  | $ | (228) |  |  | $ | 28 |  |  | $ | (42) |  |  | $ | 3,937 |  |  | $ | 49 |
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 March 31, 2012 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 165 |  |  | $ | - |  |  | $ | 5 |  |  | $ | - |  |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 174 |  |  | $ | 5 |
Credit derivatives, net |  |  | 4,790 |  |  |  | 20 |  |  |  | (303) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (20) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 4,487 |  |  |  | (286) |
Interest rate derivatives, net |  |  | (3) |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (4) |  |  |  | 7 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 2,889 |  |  |  | - |  |  |  | 158 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (183) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 2,864 |  |  |  | 158 |
Credit derivatives, net |  |  | 80 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 82 |  |  |  | 2 |
Currency derivatives, net |  |  | 17 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 19 |  |  |  | 2 |
Total liabilities |  | $ | 7,938 |  |  | $ | 20 |  |  | $ | (137) |  |  | $ | - |  |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | (203) |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 7,622 |  |  | $ | (112) |
(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 March 31, 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 March 31, 2011 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign governments |  | $ | 11 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 3 |  |  | $ | - |  |  | $ | (2) |  |  | $ | - |  |  | $ | 7 |  |  | $ | - |  |  | $ | 19 |  |  | $ | - |
Corporate obligations |  |  | 246 |  |  |  | - |  |  |  | - |  |  |  | 7 |  |  |  | 2 |  |  |  | 10 |  |  |  | - |  |  |  | (32) |  |  |  | (12) |  |  |  | 6 |  |  |  | (16) |  |  |  | 211 |  |  |  | - |
Residential mortgage-backed agency |  |  | 41 |  |  |  | - |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | (1) |  |  |  | (1) |  |  |  | - |  |  |  | (41) |  |  |  | - |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 48 |  |  |  | - |  |  |  | - |  |  |  | 5 |  |  |  | - |  |  |  | 7 |  |  |  | - |  |  |  | (5) |  |  |  | (1) |  |  |  | 5 |  |  |  | (16) |  |  |  | 43 |  |  |  | - |
Commercial mortgage-backed |  |  | 41 |  |  |  | - |  |  |  | - |  |  |  | 2 |  |  |  | 1 |  |  |  | 8 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | 51 |  |  |  | - |
Collateralized debt obligations |  |  | 191 |  |  |  | (1) |  |  |  | - |  |  |  | 20 |  |  |  | - |  |  |  | 2 |  |  |  | - |  |  |  | (29) |  |  |  | (1) |  |  |  | 2 |  |  |  | (61) |  |  |  | 123 |  |  |  | - |
Other asset-backed |  |  | 350 |  |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | (9) |  |  |  | (1) |  |  |  | 2 |  |  |  | (28) |  |  |  | 323 |  |  |  | - |
State and municipal taxable bonds |  |  | 14 |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 12 |  |  |  | - |
State and municipal tax-exempt bonds |  |  | 36 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 34 |  |  |  | - |
Assets of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate obligations |  |  | 82 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | 4 |  |  |  | - |  |  |  | 84 |  |  |  | - |
Residential mortgage-backed non-agency |  |  | 40 |  |  |  | - |  |  |  | (2) |  |  |  | 3 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (3) |  |  |  | - |  |  |  | - |  |  |  | (20) |  |  |  | 18 |  |  |  | 1 |
Commercial mortgage-backed |  |  | 23 |  |  |  | - |  |  |  | 6 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 29 |  |  |  | 7 |
Collateralized debt obligations |  |  | 245 |  |  |  | - |  |  |  | 16 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | 14 |  |  |  | (54) |  |  |  | 219 |  |  |  | 16 |
Other asset-backed |  |  | 81 |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (1) |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | 79 |  |  |  | (2) |
Loans receivable |  |  | 2,183 |  |  |  | - |  |  |  | 228 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (84) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 2,327 |  |  |  | 228 |
Loan repurchase commitments |  |  | 835 |  |  |  | - |  |  |  | 20 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 12 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 867 |  |  |  | 20 |
Total assets |  | $ | 4,467 |  |  | $ | (1) |  |  | $ | 266 |  |  | $ | 44 |  |  | $ | 3 |  |  | $ | 32 |  |  | $ | 12 |  |  | $ | (172) |  |  | $ | (16) |  |  | $ | 41 |  |  | $ | (237) |  |  | $ | 4,439 |  |  | $ | 270 |
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 March 31, 2011 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medium-term notes |  | $ | 116 |  |  | $ | - |  |  | $ | 39 |  |  | $ | - |  |  | $ | 8 |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 163 |  |  | $ | 39 |
Credit derivatives, net |  |  | 4,350 |  |  |  | 386 |  |  |  | 1,421 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (386) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 5,771 |  |  |  | 1,580 |
Interest rate derivatives, net |  |  | (5) |  |  |  | - |  |  |  | 1 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (4) |  |  |  | 1 |
Liabilities of consolidated VIEs: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
VIE notes |  |  | 4,673 |  |  |  | - |  |  |  | 421 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | (141) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 4,953 |  |  |  | 421 |
Credit derivatives, net |  |  | 768 |  |  |  | - |  |  |  | 158 |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 926 |  |  |  | 158 |
Currency derivatives, net |  |  | 14 |  |  |  | - |  |  |  | (2) |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 12 |  |  |  | (2) |
Total liabilities |  | $ | 9,916 |  |  | $ | 386 |  |  | $ | 2,038 |  |  | $ | - |  |  | $ | 8 |  |  | $ | - |  |  | $ | - |  |  | $ | (527) |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | 11,821 |  |  | $ | 2,197 |
(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 |
|  | March 31, 2012 |
|  |  |  |  |  |  |  |  |  |  | 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 |  | $ | 303 |  |  | $ | (152) |  |  | $ | (4) |  |  | $ | - |  |  | $ | (111) |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of March 31, 2012 |  | $ | 286 |  |  | $ | - |  |  | $ | (12) |  |  | $ | - |  |  | $ | (113) |
|  | March 31, 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 |  | $ | (1,421) |  |  | $ | (387) |  |  | $ | (48) |  |  | $ | - |  |  | $ | (311) |
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of March 31, 2011 |  | $ | (1,580) |  |  | $ | - |  |  | $ | (48) |  |  | $ | - |  |  | $ | (307) |
Changes In Fair Value Included In The Company's Consolidated Statements Of Operations |
|  | Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange |
|  | Three Months Ended March 31, |
In millions |  | 2012 |  |  | 2011 |
Fixed-maturity securities held at fair value |  | $ | (1) |  |  | $ | 213 |
Loans receivable at fair value: |  |  |  |  |  |  |  |
Residential mortgage loans |  |  | 18 |  |  |  | 101 |
Other loans |  |  | (39) |  |  |  | 43 |
Loan repurchase commitments |  |  | - |  |  |  | 32 |
Other assets |  |  | - |  |  |  | (40) |
Long-term debt |  |  | (7) |  |  |  | (367) |
Difference Between Aggregate Fair Value And The Aggregate Remaining Contractual Principal Balance Outstanding |
|  | As of March 31, 2012 |  |  | As of December 31, 2011 |
In millions |  | Contractual Outstanding Principal |  |  | Fair Value |  |  | Difference |  |  | Contractual Outstanding Principal |  |  | Fair Value |  |  | Difference |
Loans receivable at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans |  | $ | 2,659 |  |  | $ | 1,850 |  |  | $ | 809 |  |  | $ | 2,769 |  |  | $ | 1,895 |  |  | $ | 874 |
Residential mortgage loans (90 days or more past due) |  |  | 274 |  |  |  | 63 |  |  |  | 211 |  |  |  | 259 |  |  |  | - |  |  |  | 259 |
Other loans |  |  | 138 |  |  |  | 46 |  |  |  | 92 |  |  |  | 129 |  |  |  | 43 |  |  |  | 86 |
Other loans (90 days or more past due) |  |  | 201 |  |  |  | 66 |  |  |  | 135 |  |  |  | 324 |  |  |  | 108 |  |  |  | 216 |
Total loans receivable at fair value |  | $ | 3,272 |  |  | $ | 2,025 |  |  | $ | 1,247 |  |  | $ | 3,481 |  |  | $ | 2,046 |  |  | $ | 1,435 |
Variable interest entity notes |  | $ | 13,361 |  |  | $ | 4,761 |  |  | $ | 8,600 |  |  | $ | 13,583 |  |  | $ | 4,754 |  |  | $ | 8,829 |

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