Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2011

Fair Value of Assets and Liabilities

Schedule of assets and liabilities that are measured at fair value on a recurring and non-recurring basis

($ in millions)	Quoted prices in active markets for identical assets (Level 1)			Significant other observable inputs (Level 2)			Significant unobservable inputs (Level 3)			Counterparty and cash collateral netting			Balance as of December 31, 2011
Assets
Fixed income securities:
U.S. government and agencies	$	4,707		$	1,608		$	—					$	6,315
Municipal		—			12,909			1,332						14,241
Corporate		—			42,176			1,405						43,581
Foreign government		—			2,081			—						2,081
RMBS		—			4,070			51						4,121
CMBS		—			1,724			60						1,784
ABS		—			3,669			297						3,966
Redeemable preferred stock		—			23			1						24
Total fixed income securities		4,707			68,260			3,146						76,113
Equity securities		3,433			887			43						4,363
Short-term investments		188			1,103			—						1,291
Other investments:
Free-standing derivatives		—			281			1		$	(114	)		168
Separate account assets		6,984			—			—						6,984
Other assets		1			—			1						2
Total recurring basis assets		15,313			70,531			3,191			(114	)		88,921
Non-recurring basis (1)		—			—			35						35
Total assets at fair value	$	15,313		$	70,531		$	3,226		$	(114	)	$	88,956
% of total assets at fair value		17.2	%		79.3	%		3.6	%		(0.1	)%		100.0	%
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	—		$	—		$	(723	)				$	(723	)
Other liabilities:
Free-standing derivatives		(1	)		(112	)		(96	)	$	77			(132	)
Total liabilities at fair value	$	(1	)	$	(112	)	$	(819	)	$	77		$	(855	)
% of total liabilities at fair value		0.1	%		13.1	%		95.8	%		(9.0	)%		100.0	%

⁽¹⁾

Includes $19 million of mortgage loans and $16 million of other investments written-down to fair value in connection with recognizing other-than-temporary impairments.

($ in millions)	Quoted prices in active markets for identical assets (Level 1)			Significant other observable inputs (Level 2)			Significant unobservable inputs (Level 3)			Counterparty and cash collateral netting			Balance as of December 31, 2010
Assets
Fixed income securities:
U.S. government and agencies	$	4,976		$	3,620		$	—					$	8,596
Municipal		—			13,918			2,016						15,934
Corporate		—			35,747			1,908						37,655
Foreign government		—			3,158			—						3,158
RMBS		—			6,199			1,794						7,993
CMBS		—			1,071			923						1,994
ABS		—			1,827			2,417						4,244
Redeemable preferred stock		—			37			1						38
Total fixed income securities		4,976			65,577			9,059						79,612
Equity securities		4,316			432			63						4,811
Short-term investments		174			3,105			—						3,279
Other investments:
Free-standing derivatives		—			651			74		$	(286	)		439
Separate account assets		8,676			—			—						8,676
Other assets		—			—			1						1
Total recurring basis assets		18,142			69,765			9,197			(286	)		96,818
Non-recurring basis (1)		—			—			120						120
Total assets at fair value	$	18,142		$	69,765		$	9,317		$	(286	)	$	96,938
% of total assets at fair value		18.7	%		72.0	%		9.6	%		(0.3	)%		100.0	%
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	—		$	—		$	(653	)				$	(653	)
Other liabilities:
Free-standing derivatives		(2	)		(529	)		(95	)	$	263			(363	)
Total liabilities at fair value	$	(2	)	$	(529	)	$	(748	)	$	263		$	(1,016	)
% of total liabilities at fair value		0.2	%		52.1	%		73.6	%		(25.9	)%		100.0	%

⁽¹⁾

Includes $111 million of mortgage loans and $9 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.

Schedule of the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis

   The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2011.

				Total realized and unrealized gains (losses) included in:
($ in millions)
	Balance as of December 31, 2010			Net income (1)			OCI on Statement of Financial Position			Transfers into Level 3		Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	2,016		$	(44	)	$	54		$	70	$	(82	)
Corporate		1,908			62			(44	)		239		(523	)
RMBS		1,794			(86	)		107			—		(1,256	)
CMBS		923			(43	)		113			86		(966	)
ABS		2,417			23			(65	)		—		(2,137	)
Redeemable preferred stock		1			—			—			—		—
Total fixed income securities		9,059			(88	)		165			395		(4,964	)
Equity securities		63			(10	)		—			—		(10	)
Other investments:
Free-standing derivatives, net		(21	)		(91	)		—			—		—
Other assets		1			—			—			—		—
Total recurring Level 3 assets	$	9,102		$	(189	)	$	165		$	395	$	(4,974	)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(653	)	$	(134	)	$	—		$	—	$	—
Total recurring Level 3 liabilities	$	(653	)	$	(134	)	$	—		$	—	$	—

	Purchases		Sales			Issuances			Settlements			Balance as of December 31, 2011
Assets
Fixed income securities:
Municipal	$	14	$	(689	)	$	—		$	(7	)	$	1,332
Corporate		387		(537	)		—			(87	)		1,405
RMBS		4		(378	)		—			(134	)		51
CMBS		17		(66	)		—			(4	)		60
ABS		504		(169	)		—			(276	)		297
Redeemable preferred stock		—		—			—			—			1
Total fixed income securities		926		(1,839	)		—			(508	)		3,146
Equity securities		1		(1	)		—			—			43
Other investments:
Free-standing derivatives, net		70		—			—			(53	)		(95	) (2)
Other assets		—		—			—			—			1
Total recurring Level 3 assets	$	997	$	(1,840	)	$	—		$	(561	)	$	3,095
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	—	$	—		$	(100	)	$	164		$	(723	)
Total recurring Level 3 liabilities	$	—	$	—		$	(100	)	$	164		$	(723	)

⁽¹⁾

The effect to net income totals $(323) million and is reported in the Consolidated Statements of Operations as follows: $(221) million in realized capital gains and losses, $36 million in net investment income, $(106) million in interest credited to contractholder funds and $(32) million in life and annuity contract benefits.

⁽²⁾

Comprises $1 million of assets and $96 million of liabilities.

       The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2010.

				Total realized and unrealized gains (losses) included in:
($ in millions)
							OCI on Statement of Financial Position
	Balance as of December 31, 2009			Net income (1)					Purchases, sales, issuances and settlements, net			Transfers into Level 3			Transfers out of Level 3			Balance as of December 31, 2010
Assets
Fixed income securities:
Municipal	$	2,706		$	(40	)	$	46	$	(588	)	$	38		$	(146	)	$	2,016
Corporate		2,241			5			115		(167	)		444			(730	)		1,908
Foreign government		20			—			—		(20	)		—			—			—
RMBS		1,671			(421	)		736		(135	)		—			(57	)		1,794
CMBS		1,404			(233	)		592		(526	)		107			(421	)		923
ABS		2,001			55			275		553			—			(467	)		2,417
Redeemable preferred stock		2			—			—		(1	)		—			—			1
Total fixed income securities		10,045			(634	)		1,764		(884	)		589			(1,821	)		9,059
Equity securities		69			8			5		(12	)		—			(7	)		63
Other investments:
Free-standing derivatives, net		55			(202	)		—		126			—			—			(21	) (2)
Other assets		2			(1	)		—		—			—			—			1
Total recurring Level 3 assets	$	10,171		$	(829	)	$	1,769	$	(770	)	$	589		$	(1,828	)	$	9,102
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(110	)	$	(31	)	$	—	$	3		$	(515	)	$	—		$	(653	)
Total recurring Level 3 liabilities	$	(110	)	$	(31	)	$	—	$	3		$	(515	)	$	—		$	(653	)

⁽¹⁾

The effect to net income totals $(860) million and is reported in the Consolidated Statements of Operations as follows: $(901) million in realized capital gains and losses, $73 million in net investment income, $(1) million in interest credited to contractholder funds and $(31) million in life and annuity contract benefits.

⁽²⁾

Comprises $74 million of assets and $95 million of liabilities.

       The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2009.

																		Total gains (losses) included in net income for financial instruments still held as of December 31, 2009 (3)
				Total realized and unrealized gains (losses) included in:
									Purchases, sales, issuances and settlements, net
($ in millions)	Balance as of December 31, 2008			Net income (1)			OCI on Statement of Financial Position					Net transfers in and/or (out) of Level 3			Balance as of December 31, 2009
Assets
Fixed income securities:
Municipal	$	2,463		$	(34	)	$	191	$	(202	)	$	288		$	2,706		$	(34	)
Corporate		10,195			(20	)		1,216		(1,411	)		(7,739	)		2,241			53
Foreign government		—			—			—		80			(60	)		20			—
RMBS		2,988			(179	)		283		(470	)		(951	)		1,671			(128	)
CMBS		457			(399	)		804		(42	)		584			1,404			(318	)
ABS		1,714			(202	)		918		21			(450	)		2,001			(122	)
Redeemable preferred stock		2			—			—		—			—			2			(1	)
Total fixed income securities		17,819			(834	)		3,412		(2,024	)		(8,328	)		10,045			(550	)
Equity securities		74			(4	)		1		1			(3	)		69			(5	)
Other investments:
Free-standing derivatives, net		(101	)		62			—		94			—			55	(2)		180
Other assets		1			1			—		—			—			2			1
Total recurring Level 3 assets	$	17,793		$	(775	)	$	3,413	$	(1,929	)	$	(8,331	)	$	10,171		$	(374	)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(265	)	$	148		$	—	$	7		$	—		$	(110	)	$	148
Total recurring Level 3 liabilities	$	(265	)	$	148		$	—	$	7		$	—		$	(110	)	$	148

⁽¹⁾

The effect to net income totals $(627) million and is reported in the Consolidated Statements of Operations as follows: $(889) million in realized capital gains and losses, $111 million in net investment income, $3 million in interest credited to contractholder funds and $148 million in life and annuity contract benefits.

⁽²⁾

Comprises $146 million of assets and $91 million of liabilities.

⁽³⁾

The amounts represent gains and losses included in net income for the period of time that the asset or liability was determined to be in Level 3. These gains and losses total $(226) million and are reported in the Consolidated Statements of Operations as follows: $(486) million in realized capital gains and losses, $106 million in net investment income, $6 million in interest credited to contractholder funds and $148 million in life and annuity contract benefits.

Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date

($ in millions)	2011			2010
Assets
Fixed income securities:
Municipal	$	(28	)	$	(33	)
Corporate		20			40
RMBS		—			(292	)
CMBS		(11	)		(28	)
ABS		(33	)		60
Total fixed income securities		(52	)		(253	)
Equity securities		(10	)		(3	)
Other investments:
Free-standing derivatives, net		(41	)		(61	)
Other assets		—			(1	)
Total recurring Level 3 assets	$	(103	)	$	(318	)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(134	)	$	(31	)
Total recurring Level 3 liabilities	$	(134	)	$	(31	)

Schedule of carrying values and fair value estimates of financial instruments not carried at fair value

($ in millions)	December 31, 2011				December 31, 2010
	Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	$	7,139	$	7,350	$	6,679	$	6,439
Limited partnership interests – cost basis		1,569		1,838		1,348		1,481
Bank loans		339		328		363		355

($ in millions)	December 31, 2011				December 31, 2010
	Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	$	30,192	$	30,499	$	36,163	$	35,194
Long-term debt		5,908		6,312		5,908		6,325
Liability for collateral		462		462		484		484