XML 80 R30.htm IDEA: XBRL DOCUMENT
v2.4.0.8

Derivative Instruments (Tables) | 9 Months Ended
--- | ---
Sep. 30, 2013
Text Block [Abstract] |
Credit Derivatives Sold |
$ in millions |  | As of September 30, 2013
|  |  |  | 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 |  | 2.7 Years |  | $ | 7,412 |  | $ | 3,150 |  | $ | 1,705 |  | $ | 7,419 |  | $ | 6,085 |  | $ | 25,771 |  | $ | (1,355)
Insured swaps |  | 19.1 Years |  |  | 0 |  |  | 77 |  |  | 3,694 |  |  | 1,592 |  |  | 0 |  |  | 5,363 |  |  | (7)
All others |  | 28.3 Years |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 36 |  |  | 36 |  |  | (8)
Total notional |  |  |  | $ | 7,412 |  | $ | 3,227 |  | $ | 5,399 |  | $ | 9,011 |  | $ | 6,121 |  | $ | 31,170 |  |  |
Total fair value |  |  |  | $ | (3) |  | $ | 0 |  | $ | (6) |  | $ | (386) |  | $ | (975) |  |  |  |  | $ | (1,370)
$ in millions |  | As of December 31, 2012
|  |  |  | 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 |  | 5.1 Years |  | $ | 10,457 |  | $ | 5,862 |  | $ | 5,253 |  | $ | 11,571 |  | $ | 13,859 |  | $ | 47,002 |  | $ | (2,858)
Insured swaps |  | 19.4 Years |  |  | 0 |  |  | 103 |  |  | 3,661 |  |  | 1,982 |  |  | 71 |  |  | 5,817 |  |  | (8)
All others |  | 1.8 Years |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 195 |  |  | 195 |  |  | (68)
Total notional |  |  |  | $ | 10,457 |  | $ | 5,965 |  | $ | 8,914 |  | $ | 13,553 |  | $ | 14,125 |  | $ | 53,014 |  |  |
Total fair value |  |  |  | $ | (7) |  | $ | (70) |  | $ | (72) |  | $ | (732) |  | $ | (2,053) |  |  |  |  | $ | (2,934)
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)
|  |  | Notional |  |  |  |  |  |  |  |  |  |
|  |  | Amount |  |  |  | Fair |  |  |  | Fair
Derivative Instruments |  | Outstanding |  | Balance Sheet Location |  | Value |  | Balance Sheet Location |  | Value
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured credit default swaps |  | $ | 25,771 |  | Other assets |  | $ | 0 |  | Derivative liabilities |  | $ | (1,355)
| Insured swaps |  |  | 5,363 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (7)
| Interest rate swaps |  |  | 1,575 |  | Other assets |  |  | 57 |  | Derivative liabilities |  |  | (195)
| Interest rate swaps-embedded |  |  | 490 |  | Medium-term notes |  |  | 9 |  | Medium-term notes |  |  | (16)
| Currency swaps |  |  | 20 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (1)
| Currency swaps-VIE |  |  | 102 |  | Other assets-VIE |  |  | 0 |  | Derivative liabilities-VIE |  |  | (15)
| All other |  |  | 36 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (8)
| All other-VIE |  |  | 280 |  | Other assets-VIE |  |  | 0 |  | Derivative liabilities-VIE |  |  | 0
| All other-embedded |  |  | 10 |  | Other investments |  |  | 0 |  | Other investments |  |  | 0
Total non-designated derivatives |  | $ | 33,647 |  |  |  | $ | 66 |  |  |  | $ | (1,597)
Total derivatives |  | $ | 33,647 |  |  |  | $ | 66 |  |  |  | $ | (1,597)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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)
|  |  |  | Notional |  |  |  |  |  |  |  |  |  |
|  |  |  | Amount |  |  |  | Fair |  |  |  | Fair
Derivative Instruments |  |  | Outstanding |  | Balance Sheet Location |  | Value |  | Balance Sheet Location |  | Value
Designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
| Insured credit default swaps |  | $ | 47,320 |  | Other assets |  | $ | 0 |  | Derivative liabilities |  | $ | (2,858)
| Insured swaps |  |  | 5,817 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (8)
| Non-insured credit default swaps |  |  | 10 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | 0
| Interest rate swaps |  |  | 1,637 |  | Other assets |  |  | 94 |  | Derivative liabilities |  |  | (290)
| Interest rate swaps-VIE |  |  | 2,728 |  | Other assets-VIE |  |  | 0 |  | Derivative liabilities-VIE |  |  | (141)
| Interest rate swaps-embedded |  |  | 483 |  | Medium-term notes |  |  | 8 |  | Medium-term notes |  |  | (35)
| Currency swaps |  |  | 40 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (3)
| Currency swaps-VIE |  |  | 110 |  | Other assets-VIE |  |  | 0 |  | Derivative liabilities-VIE |  |  | (21)
| All other |  |  | 195 |  | Other assets |  |  | 0 |  | Derivative liabilities |  |  | (68)
| All other-VIE |  |  | 280 |  | Other assets-VIE |  |  | 0 |  | Derivative liabilities-VIE |  |  | 0
| All other-embedded |  |  | 20 |  | Other investments |  |  | 0 |  | Other investments |  |  | (1)
Total non-designated derivatives |  | $ | 58,640 |  |  |  | $ | 102 |  |  |  | $ | (3,425)
Total derivatives |  | $ | 58,640 |  |  |  | $ | 102 |  |  |  | $ | (3,425)
__________ |  |  |  |  |  |  |  |  |  |  |  |  |
(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 |  |  |  |
|  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 287
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (28)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 17
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 2
Currency swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | (1)
All other |  | Unrealized gains (losses) on insured derivatives |  |  | (2)
Total |  |  |  | $ | 275
In millions |  |  |  |  |  |  |  |  |
|  |  |  | Gain (Loss) |  | Gain (Loss) |  |
|  |  |  | Recognized in |  | Recognized in |  | Net Gain (Loss)
Derivatives in Fair Value |  |  |  | Income on |  | Income on |  | Recognized in
Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Derivative |  | Hedged Item |  | Income
Interest rate swaps |  | Net gains (losses) on financial instruments at |  | $ | (12) |  | $ | 12 |  | $ | 0
|  | fair value and foreign exchange |  |  |  |  |  |  |  |  |
Total |  |  |  | $ | (12) |  | $ | 12 |  | $ | 0
In millions |  |  |  |
|  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | 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 |  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | in Income
Insured credit default swaps |  | Unrealized gains (losses) on insured derivatives |  | $ | 1,502
Insured credit default swaps |  | Realized gains (losses) and other settlements on insured derivatives |  |  | (1,548)
Interest rate swaps |  | Net gains (losses) on financial instruments at fair value and foreign exchange |  |  | 58
Interest rate swaps-VIE |  | Net gains (losses) on financial instruments at fair value and foreign exchange-VIE |  |  | 17
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 |  |  | 6
All other |  | Unrealized gains (losses) on insured derivatives |  |  | 60
Total |  |  |  | $ | 96
In millions |  |  |  | Gain (Loss) |  | Gain (Loss) |  |  |
|  |  |  | Recognized in |  | Recognized in |  | Net Gain (Loss)
Derivatives in Fair Value |  |  |  | Income on |  | Income on |  | Recognized in
Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative |  | Derivative |  | Hedged Item |  | Income
Interest rate swaps |  | Net gains (losses) on financial instruments at |  | $ | 25 |  | $ | (25) |  | $ | 0
|  | fair value and foreign exchange |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest income (expense) |  |  | 0 |  |  | 0 |  |  | (3)
Currency swaps |  | Net gains (losses) on financial instruments at |  |  |  |  |  |  |  |  |
Total |  |  |  | $ | 25 |  | $ | (25) |  | $ | (3)
In millions |  |  |  | Net Gain
|  |  |  | (Loss)
Derivatives Not Designated as |  |  |  | Recognized
Hedging Instruments |  | Location of Gain (Loss) Recognized in Income on Derivative |  | 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

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 Reference 1: 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 2: 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=7476318&loc=SL5708775-113959 Reference 3: 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=7476318&loc=SL5708773-113959 Reference 4: 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=7476318&loc=SL5708777-113959 + Details
Name: | us-gaap_DisclosureOfCreditDerivativesTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: 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=7476318&loc=SL5618551-113959 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=7476318&loc=SL5624171-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=7476318&loc=SL5624163-113959 + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Details
Name: | us-gaap_TextBlockAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration