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Fair Value Of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Quantitative Information Regarding Significant Unobservable Inputs For Certain Assets And Liabilities Measured At Fair Value On Recurring Basis

In millions

Fair Value as of September 30, 2012

Valuation Techniques

Unobservable Input

Range (Weighted Average)

Assets of consolidated VIEs:

Loans receivable at fair value

$

1,892

Quoted market prices adjusted for financial guarantees provided to VIE obligations

Impact of financial guarantee

0% - 22% (4%)

Loan repurchase commitments

1,051

Discounted cash flow

Recovery rates

9% - 96% (43%)

Breach rates

65% - 94% (78%)

Liabilities of consolidated VIEs:

Variable interest entity notes

1,885

Quoted market prices of VIE assets adjusted for financial guarantees provided

Impact of financial guarantee

0% - 20% (6%)

Credit derivative liabilities, net:

CMBS

1,533

BET Model

Recovery rates

20% - 90% (51%)

Nonperformance risk

8% - 62% (57%)

Weighted average life (in years)

0.3 - 5.9 (4.6)

CMBS spreads

1% - 22% (12%)

Multi-sector CDO

628

Direct Price Model

Nonperformance risk

63% - 63% (63%)

Other

1,156

BET Model

Recovery rates

42% - 75% (47%)

Nonperformance risk

8% - 63% (50%)

Weighted average life (in years)

0.2 - 19.0 (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 September 30, 2012
Assets:
Investments:
Fixed-maturity investments:
Taxable bonds:
U.S. Treasury and government agency		$	860			$	101			$	-			$	-			$	961
Foreign governments			257				72				12	(1)			-				341
Corporate obligations			1				1,136				91	(1)			-				1,228
Mortgage-backed securities:
Residential mortgage-backed agency			-				1,073				-				-				1,073
Residential mortgage-backed non-agency			-				169				7	(1)			-				176
Commercial mortgage-backed			-				19				30	(1)			-				49
Asset-backed securities:
Collateralized debt obligations			-				64				30	(1)			-				94
Other asset-backed			-				116				73	(1)			-				189
State and municipal bonds			-				888				71	(1)			-				959
Total taxable bonds			1,118				3,638				314				-				5,070
Tax-exempt bonds:
State and municipal bonds			-				925				23	(1)			-				948
Other fixed-maturity investments			-				10				-				-				10
Total fixed-maturity investments			1,118				4,573				337				-				6,028
Money market securities			593				-				-				-				593
Perpetual preferred securities			-				28				3	(1)			-				31
Other			20				-				11	(1)			-				31
Total investments			1,731				4,601				351				-				6,683
Cash and cash equivalents			298				-				-				-				298
Derivative assets:
Insured derivative assets:
Credit derivatives			-				-				1				-				1
Non-insured derivative assets:
Interest rate derivatives			-				95				4	(1)			(96)				3
Total derivative assets			-				95				5				(96)				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 September 30, 2012
Assets of consolidated VIEs:
Fixed-maturity investments:
Corporate obligations			-				219				83	(1)			-				302
Mortgage-backed securities:
Residential mortgage-backed non-agency			-				852				8	(1)			-				860
Commercial mortgage-backed			-				409				13	(1)			-				422
Asset-backed securities:
Collateralized debt obligations			-				191				173	(1)			-				364
Other asset-backed			-				126				66	(1)			-				192
State and municipal taxable bonds			-				41				-				-				41
Money market securities			15				-				-				-				15
Total fixed-maturity investments			15				1,838				343				-				2,196
Cash			143				-				-				-				143
Loans receivable			-				-				1,892				-				1,892
Loan repurchase commitments			-				-				1,051				-				1,051
Total assets		$	2,187			$	6,534			$	3,642			$	(96)			$	12,267
Liabilities:
Medium-term notes		$	-			$	-			$	168	(1)		$	-			$	168
Derivative liabilities:
Insured derivatives:
Credit derivatives			-				14				3,318				-				3,332
Non-insured derivatives:
Interest rate derivatives			-				305				4	(1)			(311)				(2)
Currency derivatives			-				1				1	(1)			-				2
Other liabilities:
Warrants			-				18				-				-				18
Liabilities of consolidated VIEs:
Variable interest entity notes			-				1,741				1,885				-				3,626
Derivative liabilities:
Interest rate derivatives			-				157				-				-				157
Currency derivatives			-				-				23	(1)			-				23
Total liabilities		$	-			$	2,236			$	5,399			$	(311)			$	7,324

(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				207				-				1,739
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				317				-				447
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 investments			2,253				5,746				683				-				8,682
Cash and cash equivalents			473				-				-				-				473
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:
Fixed-maturity investments:
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
Money market securities			199				-				-				-				199
Total fixed-maturity investments			199				2,735				382				-				3,316
Cash			160				-				-				-				160
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		$	3,085			$	8,576			$	4,638			$	(93)			$	16,206
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 And Carrying Value Of Assets And Liabilities That Are Disclosed At Fair Value But Not Reported At Fair Value On Company's Consolidated Balance Sheets

		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)				Fair Value Balance as of September 30, 2012				Carry Value Balance as of September 30, 2012
Assets:
Other investments		$	-			$	-			$	9			$	9			$	9
Accrued investment income(1)			51				-				-				51				51
Receivable for investments sold(1)			159				-				-				159				159
Assets of consolidated VIEs:
Investments held-to-maturity			-				-				2,867				2,867				3,015
Total assets		$	210			$	-			$	2,876			$	3,086			$	3,234
Liabilities:
Investment agreements		$	-			$	-			$	1,254			$	1,254			$	993
Medium-term notes			-				-				1,068				1,068				1,438
Long-term debt			-				1,109				-				1,109				1,836
Payable for investments purchased(2)			150				-				-				150				150
Liabilities of consolidated VIEs:
Variable interest entity notes			-				-				3,166				3,166				3,468
Total liabilities		$	150			$	1,109			$	5,488			$	6,747			$	7,885
Financial Guarantees:
Gross		$	-			$	-			$	866			$	866			$	720
Ceded			-				-				88				88				94

(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets.

(2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.

		Fair Value Measurements at Reporting Date Using												Fair Value Balance as of December 31, 2011				Carry Value Balance as of December 31, 2011
In millions		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Assets:
Other investments		$	-			$	-			$	11			$	11			$	11
Accrued investment income(1)			63				-				-				63				63
Receivable for investments sold(1)			32				-				-				32				32
Assets of consolidated VIEs:
Investments held-to-maturity			-				-				3,489				3,489				3,843
Total assets		$	95			$	-			$	3,500			$	3,595			$	3,949
Liabilities:
Investment agreements		$	-			$	-			$	1,853			$	1,853			$	1,578
Medium-term notes			-				-				1,187				1,187				1,491
Securities sold under agreements to repurchase			-				286				-				286				287
Long-term debt			-				1,117				-				1,117				1,840
Payable for investments purchased(2)			3				-				-				3				3
Liabilities of consolidated VIEs:
Variable interest entity notes			-				-				3,297				3,297				3,943
Long-term debt			-				-				368				368				360
Total liabilities		$	3			$	1,403			$	6,705			$	8,111			$	9,502
Financial Guarantees:
Gross		$	-			$	-			$	1,451			$	1,451			$	1,305
Ceded			-				-				94				94				104

(1) - Reported within “Other assets” on MBIA’s consolidated balance sheets.

(2) - Reported within “Other liabilities” on MBIA’s consolidated balance sheets.

Changes In Level 3 Assets And Liabilities Measured At Fair Value On Recurring Basis

Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis for the Three Months Ended September 30, 2012

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, 2012
Assets:
Foreign governments		$	12			$	-			$	-			$	-			$	1			$	9			$	-			$	(10)			$	-			$	-			$	-			$	12			$	-
Corporate obligations			98				-				4				(2)				-				2				-				(13)				-				10				(8)				91				3
Residential mortgage- backed agency			4				-				-				-				-				-				-				(1)				-				-				(3)				-				-
Residential mortgage- backed non-agency			33				(1)				-				2				-				-				-				(5)				-				1				(23)				7				-
Commercial mortgage-backed			27				-				-				1				-				1				-				-				-				1				-				30				-
Collateralized debt obligations			29				(4)				-				9				-				-				-				(4)				-				4				(4)				30				-
Other asset-backed			69				(2)				-				2				-				1				-				(1)				-				4				-				73				-
State and municipal taxable bonds			-				-				-				-				-				-				-				-				-				71				-				71				-
State and municipal tax-exempt bonds			25				-				-				-				-				-				-				(2)				-				-				-				23				-
Perpetual preferred securities			3				-				-				-				-				-				-				-				-				-				-				3				-
Other investments			10				-				1				-				-				-				-				-				-				-				-				11				-
Assets of consolidated VIEs:
Corporate obligations			95				-				(10)				-				-				-				-				(2)				-				3				(3)				83				1
Residential mortgage- backed non-agency			10				-				-				-				-				-				-				(1)				-				2				(3)				8				-
Commercial mortgage-backed			12				-				1				-				-				-				-				-				-				-				-				13				1
Collateralized debt obligations			140				-				(5)				2				-				-				-				(1)				-				37				-				173				(2)
Other asset-backed			42				-				(1)				-				-				-				-				(5)				-				30				-				66				1
Loans receivable			1,903				-				61				-				-				-				-				(72)				-				-				-				1,892				61
Loan repurchase commitments			1,032				-				19				-				-				-				-				-				-				-				-				1,051				19
Total assets		$	3,544			$	(7)			$	70			$	14			$	1			$	13			$	-			$	(117)			$	-			$	163			$	(44)			$	3,637			$	84

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, 2012
Liabilities:
Medium-term notes		$	151			$	-			$	14			$	-			$	3			$	-			$	-			$	-			$	-			$	-			$	-			$	168			$	14
Credit derivatives, net			3,285				-				32				-				-				-				-				-				-				-				-				3,317				33
Interest rate derivatives, net			(4)				-				-				-				-				-				-				-				-				4				-				-				5
Currency derivatives, net			-				-				-				-				-				-				-				-				-				1				-				1				-
Liabilities of consolidated VIEs:
VIE notes			1,867				-				128				-				-				-				-				(110)				-				-				-				1,885				128
Currency derivatives, net			21				-				2				-				-				-				-				-				-				-				-				23				2
Total liabilities		$	5,320			$	-			$	176			$	-			$	3			$	-			$	-			$	(110)			$	-			$	5			$	-			$	5,394			$	182

(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, 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			$	-			$	-			$	-			$	(2)			$	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				-				4				-				(4)				-				1				(2)				27				-
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)				-				-				-				(9)				-				3				(28)				270				-
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)			$	(7)			$	126			$	2			$	(216)			$	(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			5,657				78				(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		$	11,308			$	78			$	(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 Nine Months Ended September 30, 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 September 30, 2012
Assets:
Foreign governments		$	11			$	-			$	-			$	-			$	1			$	22			$	-			$	(19)			$	(3)			$	-			$	-			$	12			$	-
Corporate obligations			207				(15)				9				24				-				18				-				(29)				(140)				25				(8)				91				8
Residential mortgage- backed agency			8				-				-				1				-				-				-				(1)				-				4				(12)				-				-
Residential mortgage- backed non-agency			17				(1)				-				(1)				-				-				-				(11)				(3)				31				(25)				7				-
Commercial mortgage-backed			24				-				-				5				-				1				-				-				-				1				(1)				30				-
Collateralized debt obligations			60				(9)				-				18				-				-				-				(12)				(10)				14				(31)				30				-
Other asset-backed			317				(58)				-				71				-				5				-				(11)				(250)				5				(6)				73				-
State and municipal taxable bonds			-				-				-				-				-				-				-				-				-				71				-				71				-
State and municipal tax-exempt bonds			28				-				-				-				-				-				-				(5)				-				-				-				23				-
Perpetual preferred securities			1				-				-				1				-				-				-				-				-				4				(3)				3				-
Other investments			10				-				1				-				-				-				-				-				-				-				-				11				-
Assets of consolidated VIEs:
Corporate obligations			69				-				(15)				(6)				-				28				-				(5)				-				15				(3)				83				3
Residential mortgage- backed non-agency			21				-				6				-				-				-				-				(5)				(15)				5				(4)				8				3
Commercial mortgage-backed			22				-				3				-				-				-				-				(3)				(8)				5				(6)				13				2
Collateralized debt obligations			203				-				(5)				(1)				-				-				-				(1)				(74)				51				-				173				5
Other asset-backed			67				-				4				-				-				4				-				(8)				(35)				34				-				66				5
Loans receivable			2,046				-				52				-				-				-				-				(204)				(2)				-				-				1,892				52
Loan repurchase commitments			1,077				-				(26)				-				-				-				-				-				-				-				-				1,051				(26)
Total assets		$	4,188			$	(83)			$	29			$	112			$	1			$	78			$	-			$	(314)			$	(540)			$	265			$	(99)			$	3,637			$	52

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, 2012
Liabilities:
Medium-term notes		$	165			$	-			$	3			$	-			$	-			$	-			$	-			$	-			$	-			$	-			$	-			$	168			$	4
Credit derivatives, net			4,790				463				(1,473)				-				-				-				-				(463)				-				-				-				3,317				(538)
Interest rate derivatives, net			(3)				-				(1)				-				-				-				-				-				-				4				-				-				12
Interest rate derivatives, net			-				-				-				-				-				-				-				-				-				1				-				1				-
Liabilities of consolidated VIEs:
VIE notes			2,889				-				348				-				-				-				-				(369)				(983)				-				-				1,885				292
Credit derivatives, net			80				-				2				-				-				-				-				-				(82)				-				-				-				-
Currency derivatives, net			17				-				6				-				-				-				-				-				-				-				-				23				6
Total liabilities		$	7,938			$	463			$	(1,115)			$	-			$	-			$	-			$	-			$	(832)			$	(1,065)			$	5			$	-			$	5,394			$	(224)

(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			$	-			$	-			$	-			$	(1)			$	9			$	-			$	(8)			$	-			$	7			$	(7)			$	11			$	-
Corporate obligations			246				(1)				-				(3)				(2)				30				-				(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)				15				-				(14)				(19)				9				(20)				27				-
Commercial mortgage-backed			41				(2)				-				2				1				8				-				(3)				(14)				-				(1)				32				-
Collateralized debt obligations			192				(4)				-				25				-				46				3				(112)				(36)				49				(96)				67				-
Other asset-backed			349				-				-				(26)				-				10				-				(20)				(2)				16				(57)				270				-
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			$	(8)			$	311			$	6			$	(3)			$	182			$	15			$	(486)			$	(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.

Gains And Losses (Realized And Unrealized) Included In Earnings Relating To Level 3 Assets And Liabilities

		Three Months Ended September 30, 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 Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings		$	(32)			$	(7)			$	(9)			$	(65)
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2012		$	(33)			$	-			$	(16)			$	(49)

		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 Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings		$	777			$	(83)			$	68			$	328
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2011		$	388			$	-			$	64			$	331

		Nine Months Ended September 30, 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 Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings		$	1,473			$	(546)			$	8			$	(337)
Change in unrealized gains (losses) for the period included in earnings for assets and liabilities still held as of September 30, 2012		$	538			$	-			$	(8)			$	(254)

		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 Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
Total gains (losses) included in earnings		$	(530)			$	(691)			$	(10)			$	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)			$	-			$	(15)			$	281

Changes In Fair Value Included In Company's Consolidated Statements Of Operations

		Net Gains (Losses) on Financial Instruments at Fair Value and Foreign Exchange
		Three Months Ended September 30,								Nine Months Ended September 30,
In millions		2012				2011				2012				2011
Fixed-maturity securities held at fair value		$	21			$	(286)			$	(36)			$	(338)
Loans receivable at fair value:
Residential mortgage loans			(4)				(65)				(103)				65
Other loans			(7)				(37)				(48)				(30)
Loan repurchase commitments			19				33				62				103
Other assets			-				(162)				-				(184)
Long-term debt			12				481				140				367

Difference Between Aggregate Fair Value And Aggregate Remaining Contractual Principal Balance Outstanding

		As of September 30, 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		$	2,430			$	1,746			$	684			$	2,769			$	1,895			$	874
Residential mortgage loans (90 days or more past due)			241				46				195				259				-				259
Other loans			39				16				23				129				43				86
Other loans (90 days or more past due)			206				84				122				324				108				216
Total loans receivable at fair value		$	2,916			$	1,892			$	1,024			$	3,481			$	2,046			$	1,435
Variable interest entity notes		$	9,015			$	3,626			$	5,389			$	13,583			$	4,754			$	8,829

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