Consolidated Investment Entities (Tables)

12 Months Ended

Dec. 31, 2011

Consolidated Investment Entities.

Schedule of assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis

	December 31, 2011
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	314	$	4	$	318
Common stocks		75		25		13		113
Other structured investments		—		54		—		54
Syndicated loans		—		3,962		342		4,304
Total investments		75		4,355		359		4,789
Receivables		—		39		—		39
Other assets		—		2		1,108		1,110
Total assets at fair value	$	75	$	4,396	$	1,467	$	5,938
Liabilities
Debt	$	—	$	—	$	4,712	$	4,712
Other liabilities		—		85		—		85
Total liabilities at fair value	$	—	$	85	$	4,712	$	4,797

	December 31, 2010
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	418	$	6	$	424
Common stocks		26		53		11		90
Other structured investments		—		39		22		61
Syndicated loans		—		4,867		—		4,867
Trading securities		—		2		—		2
Total investments		26		5,379		39		5,444
Receivables		—		33		—		33
Other assets		—		8		887		895
Total assets at fair value	$	26	$	5,420	$	926	$	6,372
Liabilities
Debt	$	—	$	—	$	5,171	$	5,171
Other liabilities		—		154		—		154
Total liabilities at fair value	$	—	$	154	$	5,171	$	5,325

Schedule of changes in Level 3 assets and liabilities held by consolidated investment entities measured at fair value on a recurring basis

	Corporate Debt Securities			Common Stocks			Other Structured Investments			Syndicated Loans			Other Assets			Debt
	(in millions)
Balance, January 1, 2011	$	6		$	11		$	22		$	—		$	887		$	(5,171	)
Total gains (losses) included in:
Net income		—			6	(1)		(1)	(1)		(12)	(1)		13	(2)		(89)	(1)
Other comprehensive income		—			—			—			—			(10	)		—
Purchases		3			—			3			208			299			—
Sales		(2	)		(4	)		—			(40	)		(81	)		—
Issues		—			—			—			—			—			(27	)
Settlements		(1	)		—			—			(137	)		1			575
Transfers into Level 3		—			29			—			615			7			—
Transfers out of Level 3		(2	)		(29	)		(24	)		(292	)		(8	)		—
Balance, December 31, 2011	$	4		$	13		$	—		$	342		$	1,108		$	(4,712	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at December 31, 2011	$	—		$	3	(1)	$	—		$	(5)	(1)	$	19	(3)	$	(64)	(1)

(1)

Included in net investment income in the Consolidated Statements of Operations.

(2)

Included in other revenues in the Consolidated Statements of Operations.

(3)

Represents a $20 million gain included in other revenues and a $1 million loss included in net investment income in the Consolidated Statements of Operations.

	Corporate Debt Securities			Common Stocks			Other Structured Investments			Other Assets			Debt
	(in millions)
Balance, January 1, 2010	$	—		$	—		$	—		$	831		$	—
Cumulative effect of accounting change		15			—			5			—			(4,962	)
Total gains (losses) included in:
Net income		—			4	(1)		1	(1)		67	(2)		(339)	(1)
Other comprehensive income		—			—			—			(35	)		—
Purchases, sales, issues and settlements, net		(9	)		—			12			24			130
Transfers into Level 3		—			7			4			—			—
Balance, December 31, 2010	$	6		$	11		$	22		$	887		$	(5,171	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at December 31, 2010	$	—		$	4	(1)	$	1	(1)	$	40	(3)	$	(339)	(1)

(1)

Included in net investment income in the Consolidated Statements of Operations.

(2)

Represents a $69 million gain included in other revenues and a $2 million loss included in net investment income in the Consolidated Statements of Operations.

(3)

Represents a $42 million gain included in other revenues and a $2 million loss included in net investment income in the Consolidated Statements of Operations.

Schedule of fair value and unpaid principal balance of assets and liabilities carried at fair value under the fair value option

	December 31,
	2011			2010
	(in millions)
Syndicated loans
Unpaid principal balance	$	4,548		$	5,107
Excess estimated unpaid principal over fair value		(244	)		(240	)
Fair value	$	4,304		$	4,867
Fair value of loans more than 90 days past due	$	18		$	71
Fair value of loans in nonaccrual status		18			71
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both		16			62
Debt
Unpaid principal balance	$	5,335		$	5,893
Excess estimated unpaid principal over fair value		(623	)		(722	)
Fair value	$	4,712		$	5,171

Schedule of debt of the consolidated investment entities and the stated interest rates

	Carrying Value				Weighted Average Interest Rate
	December 31,				December 31,
	2011		2010		2011			2010
	(in millions)
Debt of consolidated CDOs due 2012-2021	$	4,712	$	5,171		0.9	%		1.0	%
Floating rate revolving credit borrowings due 2014		378		329		3.2			2.9
Floating rate revolving credit borrowings due 2015		88		35		3.0			2.7
Total	$	5,178	$	5,535

Schedule of future maturities of debt of consolidated investment entities

	(in millions)
2012	$	—
2013		17
2014		378
2015		88
2016		1,097
Thereafter		4,221
Total future maturities	$	5,801