XML 22 R55.htm IDEA: XBRL DOCUMENT v2.4.0.6
Outstanding Exposure (Details 4) (USD $)
Dec. 31, 2011
risk
Dec. 31, 2010
Outstanding Exposure    
Probability of paying more claims than being reimbursed 50.00%  
Constant discount rate (as a percent) 5.00%  
Net Par Outstanding $ 558,048,000,000 $ 617,131,000,000
% of Total Net Par Outstanding 100.00% 100.00%
Net Par Outstanding Credit Derivatives 85,047,000,000 109,771,000,000
Number of Risks in Financial Guaranty Insurance 0  
Number of Risks in Category 15,866  
Below investment grade ("BIG")
   
Outstanding Exposure    
Constant discount rate (as a percent) 5.00%  
Maximum period of liquidity claims (in years) 1 year  
Net Par Outstanding 28,214,000,000 26,806,000,000
% of Total Net Par Outstanding 5.10% 4.30%
Net Par Outstanding Financial Guaranty Insurance 20,153,000,000 18,448,000,000
Net Par Outstanding Credit Derivatives 8,061,000,000 8,358,000,000
Number of Risks in Financial Guaranty Insurance 368 332
Number of Risks in Credit Derivative 99 93
Number of Risks in Category 467 425
FG VIE net par outstanding 2,704,000,000 2,234,000,000
Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 12,575,000,000 8,691,000,000
Net Par Outstanding Financial Guaranty Insurance 8,622,000,000 5,450,000,000
Net Par Outstanding Credit Derivatives 3,953,000,000 3,241,000,000
Number of Risks in Financial Guaranty Insurance 171 119
Number of Risks in Credit Derivative 40 31
Number of Risks in Category 211 150
Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 5,995,000,000 9,174,000,000
Net Par Outstanding Financial Guaranty Insurance 4,214,000,000 5,717,000,000
Net Par Outstanding Credit Derivatives 1,781,000,000 3,457,000,000
Number of Risks in Financial Guaranty Insurance 71 98
Number of Risks in Credit Derivative 33 50
Number of Risks in Category 104 148
Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 9,644,000,000 8,941,000,000
Net Par Outstanding Financial Guaranty Insurance 7,317,000,000 7,281,000,000
Net Par Outstanding Credit Derivatives 2,327,000,000 1,660,000,000
Number of Risks in Financial Guaranty Insurance 126 115
Number of Risks in Credit Derivative 26 12
Number of Risks in Category 152 127
RMBS
   
Outstanding Exposure    
Minimum par of assumed credits for internal modeling to determine credit rating 1,000,000  
RMBS | Bank of America agreement
   
Outstanding Exposure    
Net Par Outstanding 4,100,000,000  
U.S. RMBS
   
Outstanding Exposure    
Net Par Outstanding 21,567,000,000 25,130,000,000
U.S. RMBS | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 14,655,000,000 16,355,000,000
% of Total Net Par Outstanding 2.60% 2.60%
U.S. RMBS | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 3,338,000,000 2,252,000,000
U.S. RMBS | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 4,891,000,000 8,528,000,000
U.S. RMBS | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 6,426,000,000 5,575,000,000
Prime first lien
   
Outstanding Exposure    
Net Par Outstanding 739,000,000 849,000,000
Prime first lien | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 576,000,000 624,000,000
% of Total Net Par Outstanding 0.10% 0.10%
Prime first lien | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 77,000,000 82,000,000
Prime first lien | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 499,000,000 542,000,000
Alt-A first lien
   
Outstanding Exposure    
Net Par Outstanding 5,329,000,000 6,134,000,000
Alt-A first lien | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 4,655,000,000 4,657,000,000
% of Total Net Par Outstanding 0.80% 0.80%
Alt-A first lien | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 1,720,000,000 976,000,000
Alt-A first lien | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 1,395,000,000 3,108,000,000
Alt-A first lien | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 1,540,000,000 573,000,000
Option ARM
   
Outstanding Exposure    
Net Par Outstanding 2,433,000,000 3,214,000,000
Option ARM | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 2,203,000,000 2,859,000,000
% of Total Net Par Outstanding 0.40% 0.50%
Option ARM | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 120,000,000 33,000,000
Option ARM | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 1,088,000,000 2,186,000,000
Option ARM | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 995,000,000 640,000,000
Subprime
   
Outstanding Exposure    
Net Par Outstanding 8,136,000,000 9,039,000,000
Subprime | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 2,927,000,000 3,083,000,000
% of Total Net Par Outstanding 0.50% 0.40%
Subprime | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 1,000,000,000 729,000,000
Subprime | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 1,414,000,000 2,248,000,000
Subprime | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 513,000,000 106,000,000
Closed end second lien
   
Outstanding Exposure    
Net Par Outstanding 1,040,000,000 1,164,000,000
Closed end second lien | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 1,015,000,000 1,131,000,000
% of Total Net Par Outstanding 0.20% 0.20%
Closed end second lien | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding   63,000,000
Closed end second lien | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 495,000,000 444,000,000
Closed end second lien | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 520,000,000 624,000,000
Home equity lines of credit ("HELOC's")
   
Outstanding Exposure    
Net Par Outstanding 3,890,000,000 4,730,000,000
Home equity lines of credit ("HELOC's") | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 3,279,000,000 4,001,000,000
% of Total Net Par Outstanding 0.60% 0.60%
Home equity lines of credit ("HELOC's") | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 421,000,000 369,000,000
Home equity lines of credit ("HELOC's") | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 2,858,000,000 3,632,000,000
Trust preferred securities ("TruPS")
   
Outstanding Exposure    
Net Par Outstanding 6,334,000,000 6,833,000,000
Trust preferred securities ("TruPS") | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 3,452,000,000 2,810,000,000
% of Total Net Par Outstanding 0.60% 0.50%
Trust preferred securities ("TruPS") | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 2,501,000,000 1,846,000,000
Trust preferred securities ("TruPS") | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 951,000,000 964,000,000
Other structured finance
   
Outstanding Exposure    
Net Par Outstanding 88,028,000,000 117,429,000,000
Other structured finance | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 3,272,000,000 2,687,000,000
% of Total Net Par Outstanding 0.60% 0.40%
Other structured finance | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 1,295,000,000 841,000,000
Other structured finance | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 548,000,000 363,000,000
Other structured finance | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 1,429,000,000 1,483,000,000
Public finance
   
Outstanding Exposure    
Net Par Outstanding 442,119,000,000 467,739,000,000
Public finance | Below investment grade ("BIG")
   
Outstanding Exposure    
Net Par Outstanding 6,835,000,000 4,954,000,000
% of Total Net Par Outstanding 1.30% 0.80%
Public finance | Below investment grade ("BIG") | BIG 1
   
Outstanding Exposure    
Net Par Outstanding 5,441,000,000 3,752,000,000
Public finance | Below investment grade ("BIG") | BIG 2
   
Outstanding Exposure    
Net Par Outstanding 556,000,000 283,000,000
Public finance | Below investment grade ("BIG") | BIG 3
   
Outstanding Exposure    
Net Par Outstanding 838,000,000 919,000,000
Total first lien | Bank of America agreement
   
Outstanding Exposure    
Loss sharing agreement (as a percent) 80.00%  
Maximum aggregate collateral losses 6,600,000,000  
Total first lien | Below investment grade ("BIG") | Bank of America agreement
   
Outstanding Exposure    
Net Par Outstanding $ 4,100,000,000  
% of Total Net Par Outstanding 18.00%