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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2012

Credit Derivatives Sold

In millions						Notional Value
Credit Derivatives Sold		Weighted Average Remaining Expected Maturity				AAA				AA				A				BBB				Below Investment Grade				Total Notional				Fair Value Asset (Liability)
Insured credit default swaps			5.3 Years			$	10,456			$	7,519			$	5,196			$	11,811			$	13,870			$	48,852			$	(3,243)
Insured swaps			19.8 Years				-				187				3,762				1,997				71				6,017				(9)
All others			2.1 Years				-				-				-				-				195				195				(80)
Total notional						$	10,456			$	7,706			$	8,958			$	13,808			$	14,136			$	55,064
Total fair value						$	(16)			$	(81)			$	(148)			$	(1,001)			$	(2,086)							$	(3,332)

In millions						Notional Value
Credit Derivatives Sold		Weighted Average Remaining Expected Maturity				AAA				AA				A				BBB				Below Investment Grade				Total Notional				Fair Value Asset (Liability)
Insured credit default swaps			5.6 Years			$	15,475			$	12,065			$	6,336			$	14,042			$	17,639			$	65,557			$	(4,716)
Non-insured credit default swaps-VIE			3.6 Years				-				-				-				-				643				643				(527)
Insured swaps			19.7 Years				-				164				4,270				2,589				133				7,156				(9)
All others			2.8 Years				-				-				-				-				195				195				(91)
Total notional						$	15,475			$	12,229			$	10,606			$	16,631			$	18,610			$	73,551
Total fair value						$	(114)			$	(116)			$	(205)			$	(1,355)			$	(3,553)							$	(5,343)

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

In millions						Derivative Assets(1)						Derivative Liabilities(1)
Derivative Instruments		Notional Amount Outstanding				Balance Sheet Location		Fair Value				Balance Sheet Location		Fair Value
Designated as hedging instruments:
Interest rate swaps		$	65			Other assets		$	-			Derivative liabilities		$	(8)
Total designated		$	65					$	-					$	(8)
Not designated as hedging instruments:
Insured credit default swaps		$	49,171			Other assets		$	1			Derivative liabilities		$	(3,243)
Insured swaps			6,017			Other assets			-			Derivative liabilities			(9)
Non-insured credit default swaps			10			Other assets			-			Derivative liabilities			-
Interest rate swaps			1,666			Other assets			99			Derivative liabilities			(301)
Interest rate swaps-VIE			2,992			Derivative assets-VIE			-			Derivative liabilities-VIE			(157)
Interest rate swaps-embedded			476			Medium-term notes			8			Medium-term notes			(29)
Currency swaps			39			Other assets			-			Derivative liabilities			(2)
Currency swaps-VIE			113			Derivative assets-VIE			-			Derivative liabilities-VIE			(23)
All other			195			Other assets			-			Derivative liabilities			(80)
All other-VIE			280			Derivative assets-VIE			-			Derivative liabilities-VIE			-
All other-embedded			20			Other investments			-			Other investments			(1)
Total non-designated		$	60,979					$	108					$	(3,845)
Total derivatives		$	61,044					$	108					$	(3,853)

(1) - In accordance with the accounting guidance for derivative instruments and hedging activities, the balance sheet location of the Company’s embedded derivative instruments is determined by the location of the related host contract.

In millions						Derivative Assets(1)						Derivative Liabilities(1)
Derivative Instruments		Notional Amount Outstanding				Balance Sheet Location		Fair Value				Balance Sheet Location		Fair Value
Designated as hedging instruments:
Interest rate swaps		$	241			Other assets		$	10			Derivative liabilities		$	(44)
Total designated		$	241					$	10					$	(44)
Not designated as hedging instruments:
Insured credit default swaps		$	66,851			Other assets		$	-			Derivative liabilities		$	(4,708)
Insured swaps			7,156			Other assets			-			Derivative liabilities			(9)
Non-insured credit default swaps			30			Other assets			1			Derivative liabilities			-
Non-insured credit default swaps-VIE			1,272			Derivative assets-VIE			447			Derivative liabilities-VIE			(527)
Interest rate swaps			2,706			Other assets			84			Derivative liabilities			(401)
Interest rate swaps-VIE			4,878			Derivative assets-VIE			-			Derivative liabilities-VIE			(281)
Interest rate swaps-embedded			480			Medium-term notes			7			Medium-term notes			(14)
Currency swaps			62			Other assets			-			Derivative liabilities			(4)
Currency swaps-VIE			123			Derivative assets-VIE			-			Derivative liabilities-VIE			(17)
All other			3,465			Other assets			-			Derivative liabilities			(91)
All other-VIE			472			Derivative assets-VIE			3			Derivative liabilities-VIE			-
All other-embedded			121			Other investments			-			Other investments			(12)
Total non-designated		$	87,616					$	542					$	(6,064)
Total derivatives		$	87,857					$	552					$	(6,108)

(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		$	(12	)		$	12			$	-

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		$	(40)
Insured credit default swaps		Realized gains (losses) and other settlements on insured derivatives			12
Interest rate swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			(26)
Interest rate swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			8
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			1
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			7
Total				$	(40)

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		$	(8)			$	8			$	-
Interest rate swaps		Interest income (expense)			-				-				(2)
Total				$	(8)			$	8			$	(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		$	756
Insured credit default swaps		Realized gains (losses) and other settlements on insured derivatives			(53)
Non-insured credit default swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			154
Interest rate swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			(128)
Interest rate swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(25)
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			4
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			20
All other		Net gains (losses) on financial instruments at fair value and foreign exchange			(6)
All other-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(5)
Total				$	715

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		$	25			$	(25)			$	-
Interest rate swaps		Interest income (expense)			-				-				(3)
Total				$	25			$	(25)			$	(3)

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		$	1,463
Insured credit default swaps		Realized gains (losses) and other settlements on insured derivatives			(420)
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			(76)
Interest rate swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			39
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			1
Currency swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(5)
All other		Unrealized gains (losses) on insured derivatives			10
All other		Net gains (losses) on financial instruments at fair value and foreign exchange			11
All other-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(2)
Total				$	1,019

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)			-				-				(7)
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			2				(2)				-
Total				$	(4)			$	4			$	(7)

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		$	(516)
Insured credit default swaps		Realized gains (losses) and other settlements on insured derivatives			(599)
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			4
Interest rate swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			(178)
Interest rate swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			24
Currency swaps		Net gains (losses) on financial instruments at fair value and foreign exchange			(3)
Currency swaps-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(4)
All other		Unrealized gains (losses) on insured derivatives			(15)
All other		Net gains (losses) on financial instruments at fair value and foreign exchange			(7)
All other-VIE		Net gains (losses) on financial instruments at fair value and foreign exchange-VIE			(6)
Total				$	(1,301)

X

- 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

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