XML 58 R66.htm IDEA: XBRL DOCUMENT v2.3.0.15
Financial Guaranty Contracts Accounted for as Credit Derivatives (Details 5) (USD $)
6 Months Ended
Jun. 30, 2011
RatingAgency
RatingCategories
Subsidiaries
Counterparties
Securities
Agreements
Policies
D
Markets
Companies
FiscalQuarters
Entities
Transactions
Mar. 31, 2011
Dec. 31, 2010
Jun. 30, 2010
Mar. 31, 2010
Dec. 31, 2009
Credit Spread Effect on Credit Derivatives Fair Value      
Before considering implication of the Company's credit spreads$ (5,428,900,000)$ (5,578,800,000)$ (5,539,300,000)$ (5,636,300,000)$ (5,253,500,000)$ (5,830,800,000)
After considering implication of the Company's credit spreads(2,187,500,000)(2,140,000,000)(1,869,900,000)(1,274,900,000)(1,284,900,000)(1,542,100,000)
Components of Credit Derivative Assets (Liabilities)      
Credit derivative assets603,867,000 592,898,000   
Credit derivative liabilities(2,791,473,000) (2,462,831,000)   
Net fair value of credit derivatives(2,187,500,000) (1,869,900,000)   
Other credit derivative disclosures      
Gain from tightening of general market spreads as well as a run-off in net par outstanding102,500,000     
Par insured that could be terminated if ratings were downgraded2,700,000     
Number of ISDA master agreements3     
Par insured that could be terminated if ratings were downgraded to BBB- or Baa389,000,000     
Number of counterparties that could terminate for ratings downgrade to BBB- or Baa31     
Par insured that could be terminated if ratings were downgraded to BB+ or Ba12,600,000,000     
Number of counterparties that could terminate for ratings downgrade to BB+ or Ba12     
Amount of par subject to collateral posting15,800,000,000     
Collateral agreed to be posted768,600,000     
Amount of par subject to collateral for which the amount of collateral is capped15,200,000,000     
Cap on collateral requirement at current ratings levels635,000,000     
Increase to cap on collateral requirement if ratings are downgraded to A+ or A350,000,000     
Cap on collateral requirement if ratings are downgraded to A+ or A3$ 685,000,000     
AGC
      
Credit Derivatives      
Quoted price of CDS contract (in basis points)6.34%7.24%8.04%10.10%7.34%6.34%
AGM
      
Credit Derivatives      
Quoted price of CDS contract (in basis points)4.72%6.60%6.50%8.02%4.68%5.41%