Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

Fair Value Financial Instruments Not Required To Be Carried At Fair Value

The following represents our estimated fair value of financial assets and liabilities that are not required to be carried at fair value as of the dates indicated:


	June 30, 2012
	Notional amount			Carrying amount		Fair value
(Amounts in millions)	Notional amount			Carrying amount		Level 1		Level 2		Level 3		Total
Assets:
Commercial mortgage loans	$		⁽¹⁾	$	5,875	$	—	$	—	$	6,396	$	6,396
Restricted commercial mortgage loans			⁽¹⁾		382		—		—		435		435
Other invested assets			⁽¹⁾		399		—		277		134		411
Liabilities:
Long-term borrowings ⁽²⁾			⁽¹⁾		4,865		—		4,480		140		4,620
Non-recourse funding obligations ⁽²⁾			⁽¹⁾		2,598		—		—		1,761		1,761
Borrowings related to securitization entities			⁽¹⁾		318		—		269		80		349
Investment contracts			⁽¹⁾		18,424		—		1,024		18,322		19,346
Other firm commitments:
Commitments to fund limited partnerships		59			—		—		—		—		—
Ordinary course of business lending commitments		45			—		—		—		—		—


	December 31, 2011
	Notional amount			Carrying amount		Fair value
(Amounts in millions)	Notional amount			Carrying amount		Level 1		Level 2		Level 3		Total
Assets:
Commercial mortgage loans	$		⁽¹⁾	$	6,092	$	—	$	—	$	6,500	$	6,500
Restricted commercial mortgage loans			⁽¹⁾		411		—		—		461		461
Other invested assets			⁽¹⁾		786		—		658		137		795
Liabilities:
Long-term borrowings ⁽²⁾			⁽¹⁾		4,726		—		4,214		139		4,353
Non-recourse funding obligations ⁽²⁾			⁽¹⁾		3,256		—		—		2,160		2,160
Borrowings related to securitization entities			⁽¹⁾		348		—		287		88		375
Investment contracts			⁽¹⁾		18,880		—		1,356		18,325		19,681
Other firm commitments:
Commitments to fund limited partnerships		78			—		—		—		—		—
Ordinary course of business lending commitments		9			—		—		—		—		—

⁽¹⁾	These financial instruments do not have notional amounts.

⁽²⁾	See note 8 for additional information related to borrowings.

Primary Sources Considered When Determining Fair Value Of Each Class Of Fixed Maturity Securities

The following tables summarize the primary sources of data considered when determining fair value of each class of fixed maturity securities as of the dates indicated:


	June 30, 2012
(Amounts in millions)	Total		Level 1		Level 2		Level 3
U.S. government, agencies and government-sponsored enterprises:
Pricing services	$	4,975	$	—	$	4,975	$	—
Internal models		10		—		—		10

Total U.S. government, agencies and government-sponsored enterprises		4,985		—		4,975		10

Tax-exempt:
Pricing services		310		—		310		—

Total tax-exempt		310		—		310		—

Government—non-U.S.:
Pricing services		2,496		—		2,496		—
Internal models		9		—		—		9

Total government—non-U.S.		2,505		—		2,496		9

U.S. corporate:
Pricing services		22,553		—		22,553		—
Broker quotes		249		—		—		249
Internal models		2,743		—		143		2,600

Total U.S. corporate		25,545		—		22,696		2,849

Corporate—non-U.S.:
Pricing services		12,572		—		12,572		—
Broker quotes		77		—		—		77
Internal models		1,936		—		149		1,787

Total corporate—non-U.S.		14,585		—		12,721		1,864

Residential mortgage-backed:
Pricing services		5,856		—		5,856		—
Broker quotes		63		—		—		63
Internal models		57		—		—		57

Total residential mortgage-backed		5,976		—		5,856		120

Commercial mortgage-backed:
Pricing services		3,229		—		3,229		—
Broker quotes		15		—		—		15
Internal models		24		—		6		18

Total commercial mortgage-backed		3,268		—		3,235		33

Other asset-backed:
Pricing services		2,014		—		2,014		—
Broker quotes		586		—		—		586
Internal models		17		—		6		11

Total other asset-backed		2,617		—		2,020		597

Total fixed maturity securities	$	59,791	$	—	$	54,309	$	5,482


	December 31, 2011
(Amounts in millions)	Total		Level 1		Level 2		Level 3
U.S. government, agencies and government-sponsored enterprises:
Pricing services	$	4,850	$	—	$	4,850	$	—
Internal models		13		—		—		13

Total U.S. government, agencies and government-sponsored enterprises		4,863		—		4,850		13

Tax-exempt:
Pricing services		503		—		503		—

Total tax-exempt		503		—		503		—

Government—non-U.S.:
Pricing services		2,201		—		2,201		—
Internal models		10		—		—		10

Total government—non-U.S.		2,211		—		2,201		10

U.S. corporate:
Pricing services		22,168		—		22,168		—
Broker quotes		250		—		—		250
Internal models		2,840		—		579		2,261

Total U.S. corporate		25,258		—		22,747		2,511

Corporate—non-U.S.:
Pricing services		11,925		—		11,925		—
Broker quotes		78		—		—		78
Internal models		1,754		—		548		1,206

Total corporate—non-U.S.		13,757		—		12,473		1,284

Residential mortgage-backed:
Pricing services		5,600		—		5,600		—
Broker quotes		36		—		—		36
Internal models		59		—		—		59

Total residential mortgage-backed		5,695		—		5,600		95

Commercial mortgage-backed:
Pricing services		3,361		—		3,361		—
Broker quotes		15		—		—		15
Internal models		24		—		—		24

Total commercial mortgage-backed		3,400		—		3,361		39

Other asset-backed:
Pricing services		2,328		—		2,328		—
Broker quotes		271		—		—		271
Internal models		9		—		9		—

Total other asset-backed		2,608		—		2,337		271

Total fixed maturity securities	$	58,295	$	—	$	54,072	$	4,223

Primary Sources Considered When Determining Fair Value Of Equity Securities

The following tables summarize the primary sources of data considered when determining fair value of equity securities as of the dates indicated:


	June 30, 2012
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Pricing services	$	335	$	333	$	2	$	—
Broker quotes		3		—		—		3
Internal models		93		—		—		93

Total equity securities	$	431	$	333	$	2	$	96


	December 31, 2011
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Pricing services	$	263	$	261	$	2	$	—
Broker quotes		6		—		—		6
Internal models		92		—		—		92

Total equity securities	$	361	$	261	$	2	$	98

Primary Sources Considered When Determining Fair Value Of Trading Securities

The following tables summarize the primary sources of data considered when determining fair value of trading securities as of the dates indicated:


	June 30, 2012
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Pricing services	$	468	$	—	$	468	$	—
Broker quotes		284		—		—		284

Total trading securities	$	752	$	—	$	468	$	284


	December 31, 2011
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Pricing services	$	524	$	—	$	524	$	—
Broker quotes		264		—		—		264

Total trading securities	$	788	$	—	$	524	$	264

Assets And Liabilities That Are Measured At Fair Value On A Recurring Basis

The following tables set forth our assets and liabilities by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:


	June 30, 2012
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	4,985	$	—	$	4,975	$	10
Tax-exempt		310		—		310		—
Government—non-U.S.		2,505		—		2,496		9
U.S. corporate		25,545		—		22,696		2,849
Corporate—non-U.S.		14,585		—		12,721		1,864
Residential mortgage-backed		5,976		—		5,856		120
Commercial mortgage-backed		3,268		—		3,235		33
Other asset-backed		2,617		—		2,020		597

Total fixed maturity securities		59,791		—		54,309		5,482

Equity securities		431		333		2		96

Other invested assets:
Trading securities		752		—		468		284
Derivative assets:
Interest rate swaps		1,465		—		1,462		3
Foreign currency swaps		32		—		32		—
Credit default swaps		3		—		1		2
Equity index options		27		—		—		27
Equity return swaps		5		—		5		—
Forward bond purchase commitments		67		—		67		—

Total derivative assets		1,599		—		1,567		32

Securities lending collateral		175		—		175		—
Derivatives counterparty collateral		758		—		758		—

Total other invested assets		3,284		—		2,968		316

Restricted other invested assets related to securitization entities		392		—		200		192
Other assets:
Reinsurance embedded derivatives ⁽¹⁾		34		—		34		—
Contingent receivable		17		—		—		17

Total other assets		51		—		34		17

Reinsurance recoverable ⁽²⁾		15		—		—		15
Separate account assets		10,033		10,033		—		—

Total assets	$	73,997	$	10,366	$	57,513	$	6,118

Liabilities
Policyholder account balances:
GMWB embedded derivatives ⁽³⁾	$	453	$	—	$	—	$	453
Fixed index annuity embedded derivatives ⁽⁴⁾		10		—		—		10

Total policyholder account balances		463		—		—		463

Other liabilities:
Contingent purchase price		31		—		—		31
Derivative liabilities:
Interest rate swaps		437		—		437		—
Interest rate swaps related to securitization entities		29		—		29		—
Inflation indexed swaps		74		—		74		—
Credit default swaps		38		—		1		37
Credit default swaps related to securitization entities		155		—		—		155
Equity return swaps		2		—		2		—
Other foreign currency contracts		4		—		4		—

Total derivative liabilities		739		—		547		192

Total other liabilities		770		—		547		223

Borrowings related to securitization entities		57		—		—		57

Total liabilities	$	1,290	$	—	$	547	$	743

⁽¹⁾	Represents embedded derivatives associated with certain reinsurance agreements.

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

⁽³⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽⁴⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.


	December 31, 2011
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	4,863	$	—	$	4,850	$	13
Tax-exempt		503		—		503		—
Government—non-U.S.		2,211		—		2,201		10
U.S. corporate		25,258		—		22,747		2,511
Corporate—non-U.S.		13,757		—		12,473		1,284
Residential mortgage-backed		5,695		—		5,600		95
Commercial mortgage-backed		3,400		—		3,361		39
Other asset-backed		2,608		—		2,337		271

Total fixed maturity securities		58,295		—		54,072		4,223

Equity securities		361		261		2		98

Other invested assets:
Trading securities		788		—		524		264
Derivative assets:
Interest rate swaps		1,350		—		1,345		5
Foreign currency swaps		32		—		32		—
Credit default swaps		1		—		1		—
Equity index options		39		—		—		39
Equity return swaps		7		—		7		—
Forward bond purchase commitments		47		—		47		—
Other foreign currency contracts		9		—		—		9

Total derivative assets		1,485		—		1,432		53

Securities lending collateral		406		—		406		—
Derivatives counterparty collateral		323		—		323		—

Total other invested assets		3,002		—		2,685		317

Restricted other invested assets related to securitization entities		376		—		200		176
Other assets ⁽¹⁾		29		—		29		—
Reinsurance recoverable ⁽²⁾		16		—		—		16
Separate account assets		10,122		10,122		—		—

Total assets	$	72,201	$	10,383	$	56,988	$	4,830

Liabilities
Policyholder account balances:
GMWB embedded derivatives ⁽³⁾	$	492	$	—	$	—	$	492
Fixed index annuity embedded derivatives ⁽⁴⁾		4		—		—		4

Total policyholder account balances		496		—		—		496

Other liabilities:
Contingent purchase price		46		—		—		46
Derivative liabilities:
Interest rate swaps		376		—		376		—
Interest rate swaps related to securitization entities		28		—		28		—
Inflation indexed swaps		43		—		43		—
Credit default swaps		59		—		2		57
Credit default swaps related to securitization entities		177		—		—		177
Equity return swaps		4		—		4		—
Other foreign currency contracts		11		—		11		—

Total derivative liabilities		698		—		464		234

Total other liabilities		744		—		464		280

Borrowings related to securitization entities		48		—		—		48

Total liabilities	$	1,288	$	—	$	464	$	824

⁽¹⁾	Represents embedded derivatives associated with certain reinsurance agreements.

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

⁽³⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽⁴⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.

Assets Measured At Fair Value On A Recurring Basis And Utilized Significant Unobservable (Level 3) Inputs To Determine Fair Value

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:


	Beginning balance as of April 1, 2012		Total realized and unrealized gains (losses)																		Transfer out of Level 3			Ending balance as of June 30, 2012		Total gains (losses) included in net income (loss) attributable to assets still held
(Amounts in millions)	Beginning balance as of April 1, 2012		Included in net income (loss)			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2012
Fixed maturity securities:
U.S. government, agencies and government- sponsored enterprises	$	1	$	—		$	—		$	—	$	—		$	—	$	—		$	9	$	—		$	10	$	—
Government—non-U.S.		9		—			—			—		—			—		—			—		—			9		—
U.S. corporate ⁽¹⁾		2,430		2			18			—		—			—		(27	)		540		(114	)		2,849		2
Corporate—non-U.S. ⁽¹⁾		1,609		(2	)		(2	)		24		(12	)		—		(11	)		331		(73	)		1,864		—
Residential mortgage- backed		95		(1	)		4			3		—			—		(9	)		28		—			120		(1	)
Commercial mortgage- backed		40		—			—			—		—			—		—			—		(7	)		33		—
Other asset-backed		419		1			—			140		(2	)		—		(22	)		61		—			597		1

Total fixed maturity securities		4,603		—			20			167		(14	)		—		(69	)		969		(194	)		5,482		2

Equity securities		95		—			—			5		(4	)		—		—			—		—			96		—

Other invested assets:
Trading securities		286		—			—			10		(7	)		—		(9	)		4		—			284		2
Derivative assets:
Interest rate swaps		4		—			—			—		—			—		(1	)		—		—			3		—
Credit default swaps		3		—			—			—		—			—		(1	)		—		—			2		—
Equity index options		18		6			—			3		—			—		—			—		—			27		6
Other foreign currency contracts		2		(1	)		—			—		—			—		(1	)		—		—			—		(1	)

Total derivative assets		27		5			—			3		—			—		(3	)		—		—			32		5

Total other invested assets		313		5			—			13		(7	)		—		(12	)		4		—			316		7

Restricted other invested assets related to securitization entities		181		11			—			100		(100	)		—		—			—		—			192		7
Other assets:
Contingent receivable		—		1			—			—		—			16		—			—		—			17		1
Reinsurance recoverable ⁽²⁾		6		8			—			—		—			1		—			—		—			15		8

Total Level 3 assets	$	5,198	$	25		$	20		$	285	$	(125	)	$	17	$	(81	)	$	973	$	(194	)	$	6,118	$	25

⁽¹⁾

The transfers into and out of Level 3 were primarily related to private fixed rate U.S. corporate and corporate—non-U.S. securities and resulted from a change in the observability of the additional premium to the public bond spread to adjust for the liquidity and other features of our private placements and resulted in unobservable inputs having a significant impact on certain valuations for transfers in or no longer having significant impact on certain valuations for transfers out. During the second quarter of 2012, we began classifying private securities without an external rating as Level 3, which resulted in a significant number of securities being transferred into Level 3.

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.


	Beginning balance as of April 1, 2011			Total realized and unrealized gains (losses)																Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2011			Total gains (losses) included in net income (loss) attributable to assets still held
(Amounts in millions)	Beginning balance as of April 1, 2011			Included in net income (loss)			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2011
Fixed maturity securities:
U.S. government, agencies and government- sponsored enterprises	$	1		$	—		$	—		$	—	$	—		$	—	$	—		$	12	$	—		$	13		$	—
Government—non-U.S.		1			—			—			—		—			—		—			—		—			1			—
U.S. corporate ⁽¹⁾		715			4			9			27		(5	)		—		(18	)		236		(19	)		949			4
Corporate—non-U.S. ⁽¹⁾		202			1			—			15		(10	)		—		(2	)		165		—			371			1
Residential mortgage- backed		135			—			(10	)		3		—			—		(4	)		—		—			124			—
Commercial mortgage- backed		42			—			2			—		—			—		(1	)		—		—			43			—
Other asset-backed		263			—			7			—		—			—		(5	)		—		—			265			—

Total fixed maturity securities		1,359			5			8			45		(15	)		—		(30	)		413		(19	)		1,766			5

Equity securities		87			—			—			24		(5	)		—		—			—		—			106			—

Other invested assets:
Trading securities		338			7			—			—		(41	)		—		(13	)		—		—			291			7
Derivative assets:
Interest rate swaps		3			1			—			—		—			—		—			—		—			4			1
Credit default swaps		6			(2	)		—			—		—			—		—			—		—			4			(2	)
Equity index options		32			(8	)		—			15		—			—		1			—		—			40			(8	)

Total derivative assets		41			(9	)		—			15		—			—		1			—		—			48			(9	)

Total other invested assets		379			(2	)		—			15		(41	)		—		(12	)		—		—			339			(2	)

Restricted other invested assets related to securitization entities		175			—			—			—		—			—		—			—		—			175			—
Reinsurance recoverable ⁽²⁾		(7	)		1			—			—		—			1		—			—		—			(5	)		1

Total Level 3 assets	$	1,993		$	4		$	8		$	84	$	(61	)	$	1	$	(42	)	$	413	$	(19	)	$	2,381		$	4

⁽¹⁾

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.


	Beginning balance as of January 1, 2012		Total realized and unrealized gains (losses)																					Ending balance as of June 30, 2012		Total gains (losses) included in net income (loss) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2012		Included in net income (loss)			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2012
Fixed maturity securities:
U.S. government, agencies and government- sponsored enterprises	$	13	$	—		$	—		$	—	$	—		$	—	$	—		$	9	$	(12	)	$	10	$	—
Government—non-U.S.		10		—			—			—		—			—		(1	)		—		—			9		—
U.S. corporate ⁽¹⁾		2,511		3			29			30		(18	)		—		(37	)		689		(358	)		2,849		6
Corporate—non-U.S. ⁽¹⁾		1,284		—			11			83		(12	)		—		(39	)		684		(147	)		1,864		1
Residential mortgage- backed		95		(1	)		7			3		—			—		(14	)		30		—			120		(1	)
Commercial mortgage- backed		39		—			2			—		—			—		(1	)		—		(7	)		33		—
Other asset- backed		271		1			7			210		(22	)		—		(35	)		165		—			597		1

Total fixed maturity securities		4,223		3			56			326		(52	)		—		(127	)		1,577		(524	)		5,482		7

Equity securities		98		1			(2	)		5		(6	)		—		—			—		—			96		—

Other invested assets:
Trading securities		264		5			—			34		(7	)		—		(16	)		4		—			284		7
Derivative assets:
Interest rate swaps		5		—			—			—		—			—		(2	)		—		—			3		—
Credit default swaps		—		4			—			—		—			—		(2	)		—		—			2		4
Equity index options		39		(29	)		—			17		—			—		—			—		—			27		(25	)
Other foreign currency contracts		9		(11	)		—			3		—			—		(1	)		—		—			—		(11	)

Total derivative assets		53		(36	)		—			20		—			—		(5	)		—		—			32		(32	)

Total other invested assets		317		(31	)		—			54		(7	)		—		(21	)		4		—			316		(25	)

Restricted other invested assets related to securitization entities		176		16			—			100		(100	)		—		—			—		—			192		12
Other assets:
Contingent receivable		—		1			—			—		—			16		—			—		—			17		1
Reinsurance recoverable ⁽²⁾		16		(3	)		—			—		—			2		—			—		—			15		(3	)

Total Level 3 assets	$	4,830	$	(13	)	$	54		$	485	$	(165	)	$	18	$	(148	)	$	1,581	$	(524	)	$	6,118	$	(8	)

⁽¹⁾

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.


(Amounts in millions)	Beginning balance as of January 1, 2011			Total realized and unrealized gains (losses)						Purchases		Sales			Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2011			Total gains (losses) included in net income (loss) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2011			Included in net income (loss)			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2011
Fixed maturity securities:
U.S. government, agencies and government- sponsored enterprises	$	11		$	—		$	—		$	—	$	—		$	—	$	—		$	12	$	(10	)	$	13		$	—
Government—non-U.S.		1			—			—			—		—			—		—			—		—			1			—
U.S. corporate ⁽¹⁾		1,100			8			6			30		(5	)		—		(63	)		252		(379	)		949			8
Corporate—non-U.S. ⁽¹⁾		368			(11	)		(3	)		40		(35	)		—		(7	)		205		(186	)		371			(10	)
Residential mortgage- backed		143			(1	)		(8	)		3		—			—		(12	)		—		(1	)		124			(1	)
Commercial mortgage-backed		50			—			2			—		—			—		(9	)		—		—			43			—
Other asset-backed		268			(1	)		9			8		(8	)		—		(26	)		15		—			265			(1	)

Total fixed maturity securities		1,941			(5	)		6			81		(48	)		—		(117	)		484		(576	)		1,766			(4	)

Equity securities		87			1			1			24		(5	)		—		(2	)		—		—			106			—

Other invested assets:
Trading securities		329			16			—			5		(41	)		—		(18	)		—		—			291			16
Derivative assets:
Interest rate swaps		5			(1	)		—			—		—			—		—			—		—			4			(1	)
Credit default swaps		6			(2	)		—			—		—			—		—			—		—			4			(2	)
Equity index options		33			(27	)		—			39		—			—		(5	)		—		—			40			(27	)

Total derivative assets		44			(30	)		—			39		—			—		(5	)		—		—			48			(30	)

Total other invested assets		373			(14	)		—			44		(41	)		—		(23	)		—		—			339			(14	)

Restricted other invested assets related to securitization entities		171			4			—			—		—			—		—			—		—			175			4
Reinsurance recoverable ⁽²⁾		(5	)		(2	)		—			—		—			2		—			—		—			(5	)		(2	)

Total Level 3 assets	$	2,567		$	(16	)	$	7		$	149	$	(94	)	$	2	$	(142	)	$	484	$	(576	)	$	2,381		$	(16	)

⁽¹⁾

⁽²⁾	Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

Gains and Losses Included In Net Income From Assets And Liabilities Recorded at Fair Value

The following tables present the gains and losses included in net income (loss) from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:


	Three months ended June 30,						Six months ended June 30,
(Amounts in millions)	2012			2011			2012			2011
Total realized and unrealized gains (losses) included in net income (loss):
Net investment income	$	(2	)	$	(6	)	$	14		$	11
Net investment gains (losses)		27			10			(27	)		(27	)

Total	$	25		$	4		$	(13	)	$	(16	)

Total gains (losses) included in net income (loss) attributable to assets still held:
Net investment income	$	(2	)	$	(5	)	$	13		$	12
Net investment gains (losses)		27			9			(21	)		(28	)

Total	$	25		$	4		$	(8	)	$	(16	)

The following tables present the gains and losses included in net (income) loss from liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:


	Three months ended June 30,				Six months ended June 30,
(Amounts in millions)	2012		2011		2012			2011
Total realized and unrealized (gains) losses included in net (income) loss:
Net investment income	$	—	$	—	$	—		$	—
Net investment (gains) losses		186		42		(84	)		(24	)

Total	$	186	$	42	$	(84	)	$	(24	)

Total (gains) losses included in net (income) loss attributable to liabilities still held:
Net investment income	$	—	$	—	$	—		$	—
Net investment (gains) losses		182		42		(84	)		(23	)

Total	$	182	$	42	$	(84	)	$	(23	)

Liabilities Measured At Fair Value On A Recurring Basis And Utilized Significant Unobservable (Level 3) Inputs To Determine Fair Value

The following tables present additional information about liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:


	Beginning balance as of April 1, 2012		Total realized and unrealized (gains) losses																Transfer out of Level 3		Ending balance as of June 30, 2012		Total (gains) losses included in net (income) loss attributable to liabilities still held
(Amounts in millions)	Beginning balance as of April 1, 2012		Included in net (income) loss			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2012
Policyholder account balances:
GMWB embedded derivatives ⁽¹⁾	$	287	$	158		$	—	$	—	$	—	$	8	$	—		$	—	$	—	$	453	$	157
Fixed index annuity embedded derivatives ⁽²⁾		6		(1	)		—		—		—		5		—			—		—		10		(1	)

Total policyholder account balances		293		157			—		—		—		13		—			—		—		463		156

Other liabilities:
Contingent purchase price		30		1			—		—		—		—		—			—		—		31		1
Derivative liabilities:
Credit default swaps		23		18			—		—		—		—		(4	)		—		—		37		15
Credit default swaps related to securitization entities		147		8			—		—		—		—		—			—		—		155		8

Total derivative liabilities		170		26			—		—		—		—		(4	)		—		—		192		23

Total other liabilities		200		27			—		—		—		—		(4	)		—		—		223		24

Borrowings related to securitization entities		55		2			—		—		—		—		—			—		—		57		2

Total Level 3 liabilities	$	548	$	186		$	—	$	—	$	—	$	13	$	(4	)	$	—	$	—	$	743	$	182

⁽¹⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽²⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.


	Beginning balance as of April 1, 2011		Total realized and unrealized (gains) losses																Ending balance as of June 30, 2011		Total (gains) losses included in net (income) loss attributable to liabilities still held
(Amounts in millions)	Beginning balance as of April 1, 2011		Included in net (income) loss		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2011
Policyholder account balances:
GMWB embedded derivatives ⁽¹⁾	$	69	$	34	$	—	$	—	$	—	$	10	$	—	$	—	$	—	$	113	$	34
Fixed index annuity embedded derivatives ⁽²⁾		5		—		—		—		—		—		—		—		—		5		—

Total policyholder account balances		74		34		—		—		—		10		—		—		—		118		34

Other liabilities:
Derivative liabilities:
Credit default swaps		7		2		—		—		—		—		—		—		—		9		2
Credit default swaps related to securitization entities		120		6		—		—		—		—		—		—		—		126		6

Total derivative liabilities		127		8		—		—		—		—		—		—		—		135		8

Borrowings related to securitization entities		58		—		—		—		—		—		—		—		—		58		—

Total Level 3 liabilities	$	259	$	42	$	—	$	—	$	—	$	10	$	—	$	—	$	—	$	311	$	42

⁽¹⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽²⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.


	Beginning balance as of January 1, 2012		Total realized and unrealized (gains) losses					Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2012		Total (gains) losses included in net (income) loss attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2012		Included in net (income) loss			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2012
Policyholder account balances:
GMWB embedded derivatives ⁽¹⁾	$	492	$	(56	)	$	—	$	—	$	—	$	17	$	—		$	—	$	—	$	453	$	(53	)
Fixed index annuity embedded derivatives ⁽²⁾		4		1			—		—		—		5		—			—		—		10		1

Total policyholder account balances		496		(55	)		—		—		—		22		—			—		—		463		(52	)

Other liabilities:
Contingent purchase price		46		3			—		—		—		—		(18	)		—		—		31		3
Derivative liabilities:
Credit default swaps		57		(18	)		—		2		—		—		(4	)		—		—		37		(21	)
Credit default swaps related to securitization entities		177		(23	)		—		1		—		—		—			—		—		155		(23	)

Total derivative liabilities		234		(41	)		—		3		—		—		(4	)		—		—		192		(44	)

Total other liabilities		280		(38	)		—		3		—		—		(22	)		—		—		223		(41	)

Borrowings related to securitization entities		48		9			—		—		—		—		—			—		—		57		9

Total Level 3 liabilities	$	824	$	(84	)	$	—	$	3	$	—	$	22	$	(22	)	$	—	$	—	$	743	$	(84	)

⁽¹⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽²⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.


	Beginning balance as of January 1, 2011		Total realized and unrealized (gains) losses					Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2011		Total (gains) losses included in net (income) attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2011		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2011
Policyholder account balances:
GMWB embedded derivatives ⁽¹⁾	$	121	$	(28	)	$	—	$	—	$	—	$	20	$	—		$	—	$	—	$	113	$	(27	)
Fixed index annuity embedded derivatives ⁽²⁾		5		—			—		—		—		—		—			—		—		5		—

Total policyholder account balances		126		(28	)		—		—		—		20		—			—		—		118		(27	)

Other liabilities:
Derivative liabilities:
Credit default swaps		7		—			—		3		—		—		(1	)		—		—		9		—
Credit default swaps related to securitization entities		129		(3	)		—		—		—		—		—			—		—		126		(3	)
Equity index options		3		—			—		—		—		—		(3	)		—		—		—		—

Total derivative liabilities		139		(3	)		—		3		—		—		(4	)		—		—		135		(3	)

Borrowings related to securitization entities		51		7			—		—		—		—		—			—		—		58		7

Total Level 3 liabilities	$	316	$	(24	)	$	—	$	3	$	—	$	20	$	(4	)	$	—	$	—	$	311	$	(23	)

⁽¹⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽²⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following table presents a summary of the significant unobservable inputs used for certain fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2012:


(Amounts in millions)	Valuation technique	Fair value		Unobservable input	Range (weighted-average)
Assets
Fixed maturity securities:
U.S. corporate	Matrix pricing	$	2,600	Credit spreads	75bps - 1,349bps (273bps)
Corporate—non-U.S.	Matrix pricing		1,787	Credit spreads	109bps - 427bps (251bps)
Derivative assets:
Interest rate swaps	Discounted cash flows		3	Interest rate volatility	25% - 36% (30%)
Credit default swaps ⁽¹⁾	Discounted cash flows		2	Credit spreads	50bps - 77bps (72bps)
Equity index options	Discounted cash flows		27	Equity index volatility	21% - 29% (24%)
Other assets:
Contingent receivable	Discounted cash flows		17	Discount rate	23%
Liabilities
Policyholder account balances:
				Withdrawal utilization rate	—% - 97%
				Lapse rate	—% - 35%
				Non-performance risk
GMWB embedded				(credit spreads)	55bps - 90bps (80bps)
derivatives ⁽²⁾	Stochastic cash flow model		453	Equity index volatility	19% - 27% (22%)
Fixed index annuity embedded derivatives ⁽³⁾	Option budget method		10	Expected future interest credited	1% - 3% (2%)
Other liabilities:
Contingent purchase price	Discounted cash flows		31	Discount rate	23%
Derivative liabilities:
Credit default swaps ⁽¹⁾	Discounted cash flows		37	Credit spreads	108bps - 373bps (317bps)

⁽¹⁾	Unobservable input valuation based on the current market credit default swap premium.

⁽²⁾	Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

⁽³⁾	Represents the embedded derivatives associated with our fixed index annuity liabilities.

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 14

-Subparagraph a

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 2: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 18

-Subparagraph c(2), d, e, f

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 3: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 10

-Subparagraph (a)

-URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13433-108611

Reference 4: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 15

-Subparagraph b-d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 5: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 11

-URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13467-108611

Reference 6: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 159

-Paragraph 19

-Subparagraph a, b, c(1), d(1)

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 7: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 820

-SubTopic 10

-Section 50

-Paragraph 2

-Subparagraph (a)

-URI http://asc.fasb.org/extlink&oid=7578670&loc=d3e19207-110258

Reference 8: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 45

-Paragraph 2

-URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610

Reference 9: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 157

-Paragraph 32

-Subparagraph a, c(1), c(2), c(3), d

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 10: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Statement of Financial Accounting Standard (FAS)

-Number 107

-Paragraph 10

-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 12

-URI http://asc.fasb.org/extlink&oid=7491637&loc=d3e13476-108611

Reference 12: http://www.xbrl.org/2003/role/presentationRef

-Publisher FASB

-Name Accounting Standards Codification

-Topic 825

-SubTopic 10

-Section 50

-Paragraph 30

-Subparagraph (a)

-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612

+ Details

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References+ Details