Derivative Financial Instruments

6 Months Ended

Jun. 30, 2012

Summary of Derivative Instruments [Abstract]

Derivative Financial Instruments

Note D. Derivative Financial Instruments

A summary of the recognized gains (losses) related to derivative financial instruments follows.

Recognized Gains (Losses)

Periods ended June 30	Three Months				Six Months
(In millions)	2012		2011		2012		2011
Without hedge designation
Currency forwards	$	1	$	—	$	—	$	(1	)
Total without hedge designation	1		—		—		(1		)
Trading activities
Futures sold, not yet purchased	—		—		1		—
Total	$	1	$	—	$	1	$	(1	)

A summary of the aggregate contractual or notional amounts and gross estimated fair values related to derivative financial instruments reported as Other invested assets or Other liabilities on the Condensed Consolidated Balance Sheets follows. The contractual or notional amounts for derivatives are used to calculate the exchange of contractual payments under the agreements and may not be representative of the potential for gain or loss on these instruments.

Derivative Financial Instruments

June 30, 2012	Contractual/ Notional Amount		Estimated Fair Value
(In millions)			Asset		(Liability)
Without hedge designation
Credit default swaps - purchased protection	$	20	$	—	$	(1	)
Currency forwards	40		—		—
Equity warrants	5		—		—
Total without hedge designation	65		—		(1		)
Trading activities
Futures sold, not yet purchased	48		—		—
Total	$	113	$	—	$	(1	)

December 31, 2011	Contractual/ Notional Amount		Estimated Fair Value
(In millions)			Asset		(Liability)
Without hedge designation
Credit default swaps - purchased protection	$	20	$	—	$	(1	)
Currency forwards	22		1		—
Equity warrants	4		—		—
Total	$	46	$	1	$	(1	)

During the three and six months ended June 30, 2012, new derivative transactions entered into totaled $447 million and $779 million in notional value while derivative termination activity totaled $391 million and $712 million. This activity was primarily attributable to interest rate futures and forward commitments for mortgage-backed securities. During the three and six months ended June 30, 2011, new derivative transactions entered into totaled approximately $158 million and $499 million in notional value while derivative termination activity totaled approximately $158 million and $507 million. This activity was primarily attributable to interest rate futures and foreign currency forwards.