Consolidated Investment Entities (Tables)

9 Months Ended

Sep. 30, 2011

Consolidated Investment Entities.

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

	September 30, 2011
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	347	$	7	$	354
Common stocks	33		83		9		125
Other structured investments	—		59		—		59
Syndicated loans	—		4,187		435		4,622
Total investments	33		4,676		451		5,160
Receivables	—		24		—		24
Other assets	—		8		1,163		1,171
Total assets at fair value	$	33	$	4,708	$	1,614	$	6,355
Liabilities
Debt	$	—	$	—	$	5,035	$	5,035
Other liabilities	—		146		—		146
Total liabilities at fair value	$	—	$	146	$	5,035	$	5,181

	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						Other
	Debt			Common			Structured			Syndicated			Other
	Securities			Stocks			Investments			Loans			Assets			Debt
	(in millions)
Balance, July 1, 2011	$	6		$	23		$	3		$	246		$	1,097		$	(5,234	)
Total gains (losses) included in:
Net income	—			(1		)(1)	—			(27		)(1)	—			157		(1)
Other comprehensive income	—			—			—			—			(32		)	—
Purchases	2			—			—			90			101			—
Sales	—			—			—			(2		)	(3		)	—
Issues	—			—			—			—			—			—
Settlements	(1		)	—			—			(57		)	—			42
Transfers into Level 3	—			5			—			250			—			—
Transfers out of Level 3	—			(18		)	(3		)	(65		)	—			—
Balance, September 30, 2011	$	7		$	9		$	—		$	435		$	1,163		$	(5,035	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2011	$	—		$	(1	)(1)	$	—		$	(26	)(1)	$	5	(2)	$	156	(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					Other
	Debt		Common			Structured			Other
	Securities		Stocks			Investments			Assets			Debt
	(in millions)
Balance, July 1, 2010	$	6	$	4		$	10		$	682		$	(5,048	)
Total gains (losses) included in:
Net income	—		2		(1)	(1		)(1)	(3		)(2)	(51		)(1)
Other comprehensive income	—		—			—			35			—
Purchases, sales, issues and settlements, net	—		3			4			164			2
Balance, September 30, 2010	$	6	$	9		$	13		$	878		$	(5,097	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2010	$	—	$	2	(1)	$	(1	)(1)	$	(7	)(2)	$	(51	)(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						Other
	Debt			Common			Structured			Syndicated			Other
	Securities			Stocks			Investments			Loans			Assets			Debt
	(in millions)
Balance, January 1, 2011	$	6		$	11		$	22		$	—		$	887		$	(5,171	)
Total gains (losses) included in:
Net income	—			4		(1)	(1		)(1)	(23		)(1)	5		(2)	(59		)(1)
Other comprehensive income	—			—			—			—			(7		)	—
Purchases	2			—			3			183			296			—
Sales	(1		)	—			—			(8		)	(18		)	—
Issues	—			—			—			—			—			(27		)
Settlements	(1		)	—			—			(113		)	1			222
Transfers into Level 3	1			19			—			507			7			—
Transfers out of Level 3	—			(25		)	(24		)	(111		)	(8		)	—
Balance, September 30, 2011	$	7		$	9		$	—		$	435		$	1,163		$	(5,035	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2011	$	—		$	1	(1)	$	—		$	(22	)(1)	$	17	(2)	$	(55	)(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						Other
	Debt			Common			Structured		Other
	Securities			Stocks			Investments		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	(1		)(1)	2		(1)	—		68		(2)	(157		)(1)
Other comprehensive income	—			—			—		(29		)	—
Purchases, sales, issues and settlements, net	(8		)	7			8		8			22
Balance, September 30, 2010	$	6		$	9		$	13	$	878		$	(5,097	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at September 30, 2010	$	—		$	2	(1)	$	—	$	35	(3)	$	(157	)(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 $1 million loss included in net investment income in the Consolidated Statements of Operations.
(3)	Represents a $36 million gain included in other revenues and a $1 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

	September 30, 2011			December 31, 2010
	(in millions)
Syndicated loans
Unpaid principal balance	$	4,984		$	5,107
Excess estimated unpaid principal over fair value	(362		)	(240		)
Fair value	$	4,622		$	4,867
Fair value of loans more than 90 days past due	$	23		$	71
Fair value of loans in non-accrual status	23			71
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in non-accrual status or both	20			62
Debt
Unpaid principal balance	$	5,698		$	5,893
Excess estimated unpaid principal over fair value	(663		)	(722		)
Fair value	$	5,035		$	5,171

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

	Carrying Value				Weighted Average Interest Rate
	September 30,  2011		December 31,  2010		September 30, 2011		December 31,  2010
	(in millions)
Debt of consolidated CDOs due 2012-2021	$	5,035	$	5,171	0.8	%	1.0	%
Floating rate revolving credit borrowings due 2014	406		329		5.4		5.6
Floating rate revolving credit borrowings due 2015	88		35		4.4		5.2
Total	$	5,529	$	5,535