Consolidated Investment Entities (Tables)

12 Months Ended

Dec. 31, 2012

Consolidated Investment Entities.

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

	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	18	$	1,539	$	—	$	1,557
Available-for-Sale securities:
Corporate debt securities		—		17,051		1,764		18,815
Residential mortgage backed securities		—		5,145		284		5,429
Commercial mortgage backed securities		—		3,213		206		3,419
Asset backed securities		—		1,097		178		1,275
State and municipal obligations		—		2,239		—		2,239
U.S. government and agencies obligations		19		39		—		58
Foreign government bonds and obligations		—		224		—		224
Common stocks		3		4		6		13
Total Available-for-Sale securities		22		29,012		2,438		31,472
Trading securities		1		24		—		25
Separate account assets		—		72,397		—		72,397
Other assets:
Interest rate derivative contracts		—		2,358		—		2,358
Equity derivative contracts		285		973		—		1,258
Foreign currency derivative contracts		—		6		—		6
Commodity derivative contracts		—		1		—		1
Total other assets		285		3,338		—		3,623
Total assets at fair value	$	326	$	106,310	$	2,438	$	109,074
Liabilities
Future policy benefits and claims:
EIA embedded derivatives	$	—	$	2	$	—	$	2
IUL embedded derivatives		—		45		—		45
GMWB and GMAB embedded derivatives		—		—		833		833
Total future policy benefits and claims		—		47		833		880	(1)
Customer deposits		—		8		—		8
Other liabilities:
Interest rate derivative contracts		—		1,486		—		1,486
Equity derivative contracts		258		1,565		—		1,823
Foreign currency derivative contracts		1		—		—		1
Other		1		3		—		4
Total other liabilities		260		3,054		—		3,314
Total liabilities at fair value	$	260	$	3,109	$	833	$	4,202

(1)

The Company's adjustment for nonperformance risk resulted in a $389 million cumulative decrease to the embedded derivative liability.

	December 31, 2011
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Cash equivalents	$	20	$	2,287	$	—	$	2,307
Available-for-Sale securities:
Corporate debt securities		—		16,685		1,355		18,040
Residential mortgage backed securities		—		7,461		215		7,676
Commercial mortgage backed securities		—		4,669		50		4,719
Asset backed securities		—		1,516		189		1,705
State and municipal obligations		—		2,130		—		2,130
U.S. government and agencies obligations		22		49		—		71
Foreign government bonds and obligations		—		144		—		144
Common stocks		2		2		5		9
Other debt obligations		—		11		—		11
Total Available-for-Sale securities		24		32,667		1,814		34,505
Trading securities		1		30		—		31
Separate account assets		—		66,780		—		66,780
Investments segregated for regulatory purposes		—		293		—		293
Other assets:
Interest rate derivative contracts		—		1,958		—		1,958
Equity derivative contracts		274		1,077		—		1,351
Credit derivative contracts		—		1		—		1
Foreign currency derivative contracts		—		7		—		7
Commodity derivative contracts		—		2		—		2
Total other assets		274		3,045		—		3,319
Total assets at fair value	$	319	$	105,102	$	1,814	$	107,235
Liabilities
Future policy benefits and claims:
EIA embedded derivatives	$	—	$	2	$	—	$	2
IUL embedded derivatives		—		3		—		3
GMWB and GMAB embedded derivatives		—		—		1,585		1,585
Total future policy benefits and claims		—		5		1,585		1,590	(1)
Customer deposits		—		6		—		6
Other liabilities:
Interest rate derivative contracts		—		1,209		—		1,209
Equity derivative contracts		297		764		—		1,061
Foreign currency derivative contracts		3		10		—		13
Other		—		2		—		2
Total other liabilities		300		1,985		—		2,285
Total liabilities at fair value	$	300	$	1,996	$	1,585	$	3,881

(1)

The Company's adjustment for nonperformance risk resulted in a $506 million cumulative decrease to the embedded derivative liability.

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

	Outstanding Balance						Stated Interest Rate
	December 31,						December 31,
	2012			2011			2012			2011
	(in millions)
Senior notes due 2015	$	750	(1)	$	753	(1)		5.7	%		5.7	%
Senior notes due 2019		347	(1)		341	(1)		7.3			7.3
Senior notes due 2020		812	(1)		805	(1)		5.3			5.3
Senior notes due 2039		200			200			7.8			7.8
Junior subordinated notes due 2066		294			294			7.5			7.5
Total long-term debt		2,403			2,393
Short-term borrowings		501			504			0.4			0.3
Total	$	2,904		$	2,897

(1)

Amounts include adjustments for fair value hedges on the Company's long-term debt and any unamortized discounts. See Note 15 for information on the Company's fair value hedges.

Schedule of future maturities of debt of consolidated investment entities

	(in millions)
2013	$	—
2014		—
2015		700
2016		—
2017		—
Thereafter		1,544
Total future maturities	$	2,244

Consolidated Investment Entities

Consolidated Investment Entities.

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

	December 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	251	$	3	$	254
Common stocks		91		32		14		137
Other structured investments		—		57		—		57
Syndicated loans		—		3,720		202		3,922
Total investments		91		4,060		219		4,370
Receivables		—		77		—		77
Other assets		—		2		1,214		1,216
Total assets at fair value	$	91	$	4,139	$	1,433	$	5,663
Liabilities
Debt	$	—	$	—	$	4,450	$	4,450
Other liabilities		—		166		—		166
Total liabilities at fair value	$	—	$	166	$	4,450	$	4,616

	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

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			Syndicated Loans			Other Assets			Debt
	(in millions)
Balance, January 1, 2012	$	4		$	13		$	342		$	1,108		$	(4,712	)
Total gains (losses) included in:
Net income		—			(1	)(1)		11	(1)		(78)	(2)		(316	)(1)
Other comprehensive income		—			—			—			28			—
Purchases		—			7			91			328			—
Sales		—			(5	)		(14	)		(172	)		—
Issues		—			—			—			—			—
Settlements		(1	)		—			(87	)		—			578
Transfers into Level 3		—			15			255			—			—
Transfers out of Level 3		—			(15	)		(396	)		—			—
Balance, December 31, 2012	$	3		$	14		$	202		$	1,214		$	(4,450	)
Changes in unrealized losses included in income relating to assets and liabilities held at December 31, 2012	$	—		$	—		$	—		$	(98	)(2)	$	(315	)(1)

(1)

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

(2)

Included in other revenues in the Consolidated Statements of Operations.

	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.

Significant unobservable inputs used in the fair value measurements of assets and liabilities held by consolidated investment entities

The following table provides a summary of the significant unobservable inputs used in the fair value measurements developed by the Company or reasonably available to the Company of Level 3 assets and liabilities held by consolidated investment entities at December 31, 2012:

	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)
Other assets	$	1,214	Discounted cash flow/market comparables	Equivalent yield Expected rental value (per square foot)	4.1% - 12.9% (7.2%) $4 - $309 ($32)
Debt	$	4,450	Discounted cash flow	Annual default rate	2.5% - 4.5% (2.5%)
				Discount rate	1.6% - 30.0% (1.8%)
				Constant prepayment rate	5.0% - 10.0% (9.6%)
				Loss recovery	36.4% - 63.6% (62.0%)

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

	December 31,
	2012			2011
	(in millions)
Syndicated loans
Unpaid principal balance	$	4,023		$	4,548
Excess unpaid principal over fair value		(101	)		(244	)
Fair value	$	3,922		$	4,304
Fair value of loans more than 90 days past due	$	34		$	18
Fair value of loans in nonaccrual status		34			18
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both		38			16
Debt
Unpaid principal balance	$	4,757		$	5,335
Excess unpaid principal over fair value		(307	)		(623	)
Fair value	$	4,450		$	4,712

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

	Carrying Value				Weighted Average Interest Rate
	December 31,				December 31,
	2012		2011		2012			2011
	(in millions)
Debt of consolidated CDOs due 2013-2021	$	4,450	$	4,712		0.9	%		0.9	%
Floating rate revolving credit borrowings due 2014		309		378		2.6			3.2
Floating rate revolving credit borrowings due 2015		104		88		2.4			3.0
Floating rate revolving credit borrowings due 2017		118		—		4.5			—
Total	$	4,981	$	5,178

Schedule of future maturities of debt of consolidated investment entities

	(in millions)
2013	$	17
2014		309
2015		104
2016		675
2017		967
Thereafter		3,216
Total future maturities	$	5,288