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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2012
Derivative Instruments [Abstract] |
Credit Derivatives Sold |
In millions |  |  |  |  | Notional Value |
Credit Derivatives Sold |  | Weighted Average Remaining Expected Maturity |  |  | AAA |  |  | AA |  |  | A |  |  | BBB |  |  | Below BBB |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured credit default swaps |  |  | 5.7 Years |  |  | $ | 11,017 |  |  | $ | 9,545 |  |  | $ | 5,363 |  |  | $ | 12,606 |  |  | $ | 21,244 |  |  | $ | 59,775 |  |  | $ | (4,416) |
Non-insured credit default swaps-VIE |  |  | 3.4 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 643 |  |  |  | 643 |  |  |  | (525) |
Insured swaps |  |  | 20.6 Years |  |  |  | - |  |  |  | 664 |  |  |  | 3,966 |  |  |  | 2,023 |  |  |  | 93 |  |  |  | 6,746 |  |  |  | (9) |
All others |  |  | 2.6 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 195 |  |  |  | 195 |  |  |  | (88) |
Total notional |  |  |  |  |  | $ | 11,017 |  |  | $ | 10,209 |  |  | $ | 9,329 |  |  | $ | 14,629 |  |  | $ | 22,175 |  |  | $ | 67,359 |  |  |  |  |
Total fair value |  |  |  |  |  | $ | (74) |  |  | $ | (91) |  |  | $ | (206) |  |  | $ | (1,172) |  |  | $ | (3,495) |  |  |  |  |  |  | $ | (5,038) |
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 BBB |  |  | Total Notional |  |  | Fair Value Asset (Liability) |
Insured credit default swaps |  |  | 5.6 Years |  |  | $ | 15,475 |  |  | $ | 12,065 |  |  | $ | 6,336 |  |  | $ | 14,042 |  |  | $ | 17,639 |  |  | $ | 65,557 |  |  | $ | (4,716) |
Non-insured credit default swaps-VIE |  |  | 3.6 Years |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | 643 |  |  |  | 643 |  |  |  | (527) |
Insured swaps |  |  | 19.7 Years |  |  |  | - |  |  |  | 164 |  |  |  | 4,270 |  |  |  | 2,589 |  |  |  | 133 |  |  |  | 7,156 |  |  |  | (9) |
All others |  |  | 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 |  | $ | 149 |  |  | Derivative assets |  | $ | 8 |  |  | Derivative liabilities |  | $ | (15) |
Total designated |  | $ | 149 |  |  |  |  | $ | 8 |  |  |  |  | $ | (15) |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured credit default swaps |  | $ | 60,412 |  |  | Derivative assets |  | $ | 10 |  |  | Derivative liabilities |  | $ | (4,416) |
Insured swaps |  |  | 6,746 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (9) |
Non-insured credit default swaps |  |  | 30 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | - |
Non-insured credit default swaps-VIE |  |  | 1,272 |  |  | Derivative assets-VIE |  |  | 443 |  |  | Derivative liabilities-VIE |  |  | (525) |
Interest rate swaps |  |  | 2,649 |  |  | Derivative assets |  |  | 70 |  |  | Derivative liabilities |  |  | (375) |
Interest rate swaps-VIE |  |  | 4,791 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (259) |
Interest rate swaps - embedded |  |  | 489 |  |  | Medium-term notes |  |  | 6 |  |  | Medium-term notes |  |  | (22) |
Currency swaps |  |  | 40 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (3) |
Currency swaps-VIE |  |  | 119 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (19) |
All other |  |  | 195 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (88) |
All other-VIE |  |  | 460 |  |  | Derivative assets-VIE |  |  | 2 |  |  | Derivative liabilities-VIE |  |  | - |
All other - embedded |  |  | 121 |  |  | Other investments |  |  | - |  |  | Other investments |  |  | (1) |
Total non-designated |  | $ | 77,324 |  |  |  |  | $ | 531 |  |  |  |  | $ | (5,717) |
Total derivatives |  | $ | 77,473 |  |  |  |  | $ | 539 |  |  |  |  | $ | (5,732) |
(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 |  |  | Derivative assets |  | $ | 10 |  |  | Derivative liabilities |  | $ | (44) |
Total designated |  | $ | 241 |  |  |  |  | $ | 10 |  |  |  |  | $ | (44) |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Insured credit default swaps |  | $ | 66,851 |  |  | Derivative assets |  | $ | - |  |  | Derivative liabilities |  | $ | (4,708) |
Insured swaps |  |  | 7,156 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (9) |
Non-insured credit default swaps |  |  | 30 |  |  | Derivative assets |  |  | 1 |  |  | Derivative liabilities |  |  | - |
Non-insured credit default swaps-VIE |  |  | 1,272 |  |  | Derivative assets-VIE |  |  | 447 |  |  | Derivative liabilities-VIE |  |  | (527) |
Interest rate swaps |  |  | 2,706 |  |  | Derivative assets |  |  | 84 |  |  | Derivative liabilities |  |  | (401) |
Interest rate swaps-VIE |  |  | 4,878 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (281) |
Interest rate swaps - embedded |  |  | 480 |  |  | Medium-term notes |  |  | 7 |  |  | Medium-term notes |  |  | (14) |
Currency swaps |  |  | 62 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (4) |
Currency swaps-VIE |  |  | 123 |  |  | Derivative assets-VIE |  |  | - |  |  | Derivative liabilities-VIE |  |  | (17) |
All other |  |  | 3,465 |  |  | Derivative assets |  |  | - |  |  | Derivative liabilities |  |  | (91) |
All other-VIE |  |  | 472 |  |  | Derivative assets-VIE |  |  | 3 |  |  | Derivative liabilities-VIE |  |  | - |
All other - embedded |  |  | 121 |  |  | Other investments |  |  | - |  |  | Other investments |  |  | (12) |
Total non-designated |  | $ | 87,616 |  |  |  |  | $ | 542 |  |  |  |  | $ | (6,064) |
Total derivatives |  | $ | 87,857 |  |  |  |  | $ | 552 |  |  |  |  | $ | (6,108) |
(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company's embedded derivative instruments is determined by the location of the related host contract.
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 |  | $ | 27 |  |  | $ | (27) |  |  | $ | - |
Interest rate swaps |  | Interest income (expense) |  |  | - |  |  |  | - |  |  |  | (2) |
Total |  |  |  | $ | 27 |  |  | $ | (27) |  |  | $ | (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 |  | $ | 301 |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (4) |
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 |  |  | 10 |
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 21 |
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 |  |  | 2 |
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 |  |  | (1) |
Total |  |  |  | $ | 334 |
The following tables present the effect of derivative instruments on the consolidated statements of operations for the three months ended March 31, 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 |  | $ | (6) |  |  | $ | 6 |  |  | $ | - |
Interest rate swaps |  | Interest income (expense) |  |  | - |  |  |  | - |  |  |  | (2) |
Total |  |  |  | $ | (6) |  |  | $ | 6 |  |  | $ | (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 |  | $ | (1,411) |
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (354) |
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 |  |  | (158) |
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 3 |
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 69 |
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (5) |
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 |  |  | (11) |
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 |  |  | (2) |
Total |  |  |  | $ | (1,869) |

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- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5708777-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44DD -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 -Glossary Credit Derivative -URI http://asc.fasb.org/extlink&oid=6854095 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5708775-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5708773-113959 + Details
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- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 205G -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 Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5624171-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=6935481&loc=SL5618551-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 133 -Paragraph 44C -Subparagraph b -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. + Details
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