XML 42 R62.htm IDEA: XBRL DOCUMENT v2.4.0.6
Fair Value Measurement (Details 3) (USD $)
In Millions, unless otherwise specified
3 Months Ended 6 Months Ended
Jun. 30, 2012
Jun. 30, 2011
Jun. 30, 2012
Jun. 30, 2011
Obligations of state and political subdivisions
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period $ 9.5   $ 9.5  
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 0.1 [1],[2]   0.3 [1],[2]  
Other comprehensive income (loss) 0.1 [1]   0.5 [1]  
Purchases 0   0  
Settlements 0   (0.6)  
Consolidations, Deconsolidations, net 0   0  
Balance at the end of the period 9.7   9.7  
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date 0.1   0.5  
RMBS
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period 135.7 210.1 133.6 99.4
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 4.0 [1],[2] (35.2) [1],[2] 4.8 [1],[2] (31.3) [1],[2]
Other comprehensive income (loss) (16.4) [1] (16.9) [1] (6.5) [1] (47.7) [1]
Purchases 54.4 1.6 54.4 152.2
Sales   (8.0)   (21.0)
Settlements (11.0) 0 (19.6) 0
Consolidations, Deconsolidations, net 0 (63.6) 0 (63.6)
Balance at the end of the period 166.7 88.0 166.7 88.0
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date (16.4) (16.9) (6.5) (47.7)
Asset-backed securities
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period 258.1 232.1 235.5 210.2
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 7.8 [1],[2] 2.1 [1],[2] 13.6 [1],[2] 3.7 [1],[2]
Other comprehensive income (loss) (12.0) [1] (7.3) [1] (11.9) [1] 13.0 [1]
Purchases 21.6 47.1 39.6 47.1
Sales   (0.1)   (0.1)
Settlements (1.5) 0 (2.8) 0
Consolidations, Deconsolidations, net 0 0 0 0
Balance at the end of the period 274.0 273.9 274.0 273.9
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date (12.0) (7.3) (11.9) 13.0
Other invested assets
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period 1.6 2.2 1.7 2.3
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 0 [1] 0 [1] 0 [1] 0 [1]
Other comprehensive income (loss) (0.2) [1] (0.2) [1] (0.3) [1] (0.3) [1]
Purchases 0 0 0 0
Sales   0   0
Settlements 0 0 0 0
Consolidations, Deconsolidations, net 0 0 0 0
Balance at the end of the period 1.4 2.0 1.4 2.0
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date (0.2) (0.2) (0.3) (0.3)
FG VIEs' assets, at fair value
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period 2,827.7 3,679.0 2,819.1 3,657.5
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 42.8 [1],[3] (211.6) [1],[3] 177.9 [1],[3] 22.8 [1],[3]
Other comprehensive income (loss) 0 [1] 0 [1] 0 [1] 0 [1]
Purchases 0 0 0 0
Sales   0   0
Settlements (144.5) (257.6) (285.5) (470.5)
Consolidations, Deconsolidations, net 0 282.4 14.5 282.4
Balance at the end of the period 2,726.0 3,492.2 2,726.0 3,492.2
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date 72.0 (84.7) 303.4 263.6
Other assets
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period 39.9   53.8  
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 4.3 [1],[4]   (9.6) [1],[4]  
Other comprehensive income (loss) 0 [1]   0 [1]  
Purchases 0   0  
Settlements 0   0  
Consolidations, Deconsolidations, net 0   0  
Balance at the end of the period 44.2   44.2  
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date 4.3   (9.6)  
Credit derivative asset (liability), net
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period (1,952.7) [5] (2,140.0) [5] (1,303.9) [5] (1,869.9) [5]
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) 260.7 [1],[5],[6] (64.8) [1],[5],[6] (430.0) [1],[5],[6] (301.0) [1],[5],[6]
Other comprehensive income (loss) 0 [1],[5] 0 [1],[5] 0 [1],[5] 0 [1],[5]
Purchases 0 [5] 0 [5] 0 [5] 0 [5]
Sales       0 [5]
Settlements 26.0 [5] 17.3 [5] 67.9 [5] (16.6) [5]
Consolidations, Deconsolidations, net 0 [5] 0 [5] 0 [5] 0 [5]
Balance at the end of the period (1,666.0) [5] (2,187.5) [5] (1,666.0) [5] (2,187.5) [5]
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date 282.5 [5] (28.9) [5] (352.1) [5] (311.7) [5]
FG VIEs' liabilities with recourse, at fair value
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period (2,365.2) (2,874.2) (2,396.9) (3,030.9)
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) (17.7) [1],[3] 14.9 [1],[3] (135.7) [1],[3] 3.8 [1],[3]
Other comprehensive income (loss) 0 [1] 0 [1] 0 [1] 0 [1]
Purchases 0 0 0 0
Sales   0   0
Settlements 143.9 282.8 314.2 450.6
Consolidations, Deconsolidations, net 0 (272.4) (20.6) (272.4)
Balance at the end of the period (2,239.0) (2,848.9) (2,239.0) (2,848.9)
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date (17.5) (7.1) (124.5) (43.0)
FG VIEs' liabilities without recourse, at fair value
       
Fair Value Level 3 Rollforward        
Balance at the beginning of the period (1,085.6) (1,373.0) (1,061.5) (1,337.2)
Total pretax realized and unrealized gains/(losses) recorded in        
Net Income (loss) (13.5) [1],[3] 86.5 [1],[3] (93.3) [1],[3] (49.0) [1],[3]
Other comprehensive income (loss) 0 [1] 0 [1] 0 [1] 0 [1]
Purchases 0 0 0 0
Sales       0
Settlements 56.8 67.1 112.5 166.8
Consolidations, Deconsolidations, net 0 (63.1) 0 (63.1)
Balance at the end of the period (1,042.3) (1,282.5) (1,042.3) (1,282.5)
Total pre-tax realized/unrealized gains/(losses) recorded in        
Change in unrealized gains/(losses) related to financial instruments held at the reporting date $ (37.2) $ 52.9 $ (155.3) $ (119.1)
[1] Realized and unrealized gains (losses) from changes in values of Level 3 financial instruments represent gains (losses) from changes in values of those financial instruments only for the periods in which the instruments were classified as Level 3.
[2] Included in net realized investment gains (losses) and net investment income.
[3] Included in fair value gains (losses) on FG VIEs.
[4] Recorded in fair value gain (loss) on committed capital securities.
[5] Represents net position of credit derivatives. The consolidated balance sheet presents gross assets and liabilities based on net counterparty exposure.
[6] Reported in net change in fair value of credit derivatives.