Consolidated Investment Entities (Tables)

3 Months Ended

Mar. 31, 2012

Consolidated Investment Entities.

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

	March 31, 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments:
Corporate debt securities	$	—	$	295	$	4	$	299
Common stocks	106		34		8		148
Other structured investments	—		57		—		57
Syndicated loans	—		4,116		195		4,311
Total investments	106		4,502		207		4,815
Receivables	—		28		—		28
Other assets	—		2		1,035		1,037
Total assets at fair value	$	106	$	4,532	$	1,242	$	5,880
Liabilities
Debt	$	—	$	—	$	4,769	$	4,769
Other liabilities	—		90		—		90
Total liabilities at fair value	$	—	$	90	$	4,769	$	4,859

	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		Common			Syndicated			Other
	Securities		Stocks			Loans			Assets			Debt
	(in millions)
Balance, January 1, 2012	$	4	$	13		$	342		$	1,108		$	(4,712	)
Total gains (losses) included in:
Net income	—		(1		)(1)	3		(1)	(27		)(2)	(125		)(1)
Other comprehensive income	—		—			—			32			—
Purchases	—		6			7			12			—
Sales	—		(2		)	(5		)	(90		)	—
Settlements	—		—			(30		)	—			68
Transfers into Level 3	—		1			86			—			—
Transfers out of Level 3	—		(9		)	(208		)	—			—
Balance, March 31, 2012	$	4	$	8		$	195		$	1,035		$	(4,769	)
Changes in unrealized gains (losses) included in income relating to assets and liabilities held at March 31, 2012	$	—	$	—		$	2	(1)	$	(34	)(2)	$	(125	)(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	—			5		(1)	—			4		(1)	4		(2)	(184		)(1)
Other comprehensive income	—			—			—			—			24			—
Purchases	—			—			—			26			12			—
Sales	(1		)	—			—			(2		)	(15		)	—
Issuances	—			—			—			—			—			(10		)
Settlements	—			—			—			(3		)	1			32
Transfers into Level 3	1			11			—			192			7			—
Transfers out of Level 3	—			(1		)	(22		)	(1		)	—			—
Balance, March 31, 2011	$	6		$	26		$	—		$	216		$	920		$	(5,333	)
Changes in unrealized gains (losses) included in income relating to assets held at March 31, 2011	$	—		$	5	(1)	$	—		$	4	(1)	$	13	(3)	$	(184	)(1)

(1)    Included in net investment income in the Consolidated Statements of Operations.

(2)    Represents a $3 million gain included in other revenues and a $1 million gain included in net investment income in the Consolidated Statements of Operations.

(3)    Represents a $12 million gain included in other revenues and a $1 million gain 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

	Fair Value		Valuation Technique	Unobservable Input	Range (Weighted Average)
	(in millions)
Other assets	$	1,035	Discounted cash flow/market comparables	Equivalent yield	3.1% - 10.7% (6.6%)
				Expected rental value (per square foot)	$2 - $1,281 $(34)
Debt	$	4,769	Discounted cash flow	Annual default rate	2.5% - 4.5% (2.8%)
				Discount rate	2.3% - 45% (3.8%)
				Constant prepayment rate	5% - 10% (9.6%)
				Loss recovery	36.4% - 63.6% (61.9%)

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

	March 31, 2012			December 31, 2011
	(in millions)
Syndicated loans
Unpaid principal balance	$	4,473		$	4,548
Excess unpaid principal over fair value	(162		)	(244		)
Fair value	$	4,311		$	4,304
Fair value of loans more than 90 days past due	$	20		$	18
Fair value of loans in nonaccrual status	20			18
Difference between fair value and unpaid principal of loans more than 90 days past due, loans in nonaccrual status or both	15			16
Debt
Unpaid principal balance	$	5,267		$	5,335
Excess unpaid principal over fair value	(498		)	(623		)
Fair value	$	4,769		$	4,712

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

	Carrying Value				Weighted Average Interest Rate
	March 31, 2012		December 31, 2011		March 31, 2012		December 31, 2011
	(in millions)
Debt of consolidated CDOs due 2012-2021	$	4,769	$	4,712	1.1	%	0.9	%
Floating rate revolving credit borrowings due 2014	367		378		3.1		3.2
Floating rate revolving credit borrowings due 2015	95		88		2.9		3.0
Total	$	5,231	$	5,178