Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2012

Fair Value of Assets and Liabilities

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

 The following table summarizes the Company's assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2012:

($ 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, 2012
Assets
Fixed income securities:
U.S. government and agencies	$	2,790		$	1,915		$	8					$	4,713
Municipal		—			12,104			965						13,069
Corporate		—			46,920			1,617						48,537
Foreign government		—			2,517			—						2,517
ABS		—			3,373			251						3,624
RMBS		—			3,029			3						3,032
CMBS		—			1,446			52						1,498
Redeemable preferred stock		—			26			1						27
Total fixed income securities		2,790			71,330			2,897						77,017
Equity securities		3,008			858			171						4,037
Short-term investments		703			1,633			—						2,336
Other investments:
Free-standing derivatives		—			187			3		$	(57	)		133
Separate account assets		6,610			—			—						6,610
Other assets		5			—			1						6
Total recurring basis assets		13,116			74,008			3,072			(57	)		90,139
Non-recurring basis (1)		—			—			9						9
Total assets at fair value	$	13,116		$	74,008		$	3,081		$	(57	)	$	90,148
% of total assets at fair value		14.6	%		82.1	%		3.4	%		(0.1	)%		100.0	%
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	—		$	—		$	(553	)				$	(553	)
Other liabilities:
Free-standing derivatives		—			(98	)		(30	)	$	33			(95	)
Total liabilities at fair value	$	—		$	(98	)	$	(583	)	$	33		$	(648	)
% of total liabilities at fair value		—	%		15.1	%		90.0	%		(5.1	)%		100.0	%

(1)

Includes $4 million of mortgage loans, $4 million of limited partnership interests and $1 million of other investments written-down to fair value in connection with recognizing other-than-temporary impairments.

       The following table summarizes the Company's assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2011:

($ 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
ABS		—			3,669			297						3,966
RMBS		—			4,070			51						4,121
CMBS		—			1,724			60						1,784
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.

Summary of quantitative information about the significant unobservable inputs

($ in millions)	Fair value			Valuation technique	Unobservable input	Range	Weighted average
ARS backed by student loans	$	394		Discounted cash flow model	Anticipated date liquidity will return to the market	18 - 60 months	31 - 43 months
Derivatives embedded in life and annuity contracts — Equity-indexed and forward starting options	$	(419	)	Stochastic cash flow model	Projected option cost	1.0 - 2.0%	1.92%

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, 2012.

($ in millions)				Total gains (losses) included in:
	Balance as of December 31, 2011			Net income (1)			OCI		Transfers into Level 3		Transfers out of Level 3
Assets
Fixed income securities:
U.S. government and agencies	$	—		$	—		$	—	$	8	$	—
Municipal		1,332			(35	)		76		53		(28	)
Corporate		1,405			20			68		387		(92	)
ABS		297			26			61		43		(81	)
RMBS		51			—			—		—		(47	)
CMBS		60			(4	)		9		—		(5	)
Redeemable preferred stock		1			—			—		—		—
Total fixed income securities		3,146			7			214		491		(253	)
Equity securities		43			(7	)		9		—		—
Other investments:
Free-standing derivatives, net		(95	)		27			—		—		—
Other assets		1			—			—		—		—
Total recurring Level 3 assets	$	3,095		$	27		$	223	$	491	$	(253	)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(723	)	$	168		$	—	$	—	$	—
Total recurring Level 3 liabilities	$	(723	)	$	168		$	—	$	—	$	—

	Purchases		Sales			Issues			Settlements			Balance as of December 31, 2012
Assets
Fixed income securities:
U.S. government and agencies	$	—	$	—		$	—		$	—		$	8
Municipal		46		(463	)		—			(16	)		965
Corporate		276		(310	)		—			(137	)		1,617
ABS		155		(217	)		—			(33	)		251
RMBS		—		—			—			(1	)		3
CMBS		34		(27	)		—			(15	)		52
Redeemable preferred stock		1		(1	)		—			—			1
Total fixed income securities		512		(1,018	)		—			(202	)		2,897
Equity securities		164		(38	)		—			—			171
Other investments:
Free-standing derivatives, net		27		—			—			14			(27	) (2)
Other assets		—		—			—			—			1
Total recurring Level 3 assets	$	703	$	(1,056	)	$	—		$	(188	)	$	3,042
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	—	$	—		$	(79	)	$	81		$	(553	)
Total recurring Level 3 liabilities	$	—	$	—		$	(79	)	$	81		$	(553	)

(1)

The effect to net income totals $195 million and is reported in the Consolidated Statements of Operations as follows: $27 million in net investment income, $132 million in interest credited to contractholder funds and $36 million in life and annuity contract benefits.

(2)

Comprises $3 million of assets and $30 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, 2011.

($ in millions)				Total gains (losses) included in:
	Balance as of December 31, 2010			Net income (1)			OCI			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	)
ABS		2,417			23			(65	)		—		(2,137	)
RMBS		1,794			(86	)		107			—		(1,256	)
CMBS		923			(43	)		113			86		(966	)
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			Issues			Settlements			Balance as of December 31, 2011
Assets
Fixed income securities:
Municipal	$	14	$	(689	)	$	—		$	(7	)	$	1,332
Corporate		387		(537	)		—			(87	)		1,405
ABS		504		(169	)		—			(276	)		297
RMBS		4		(378	)		—			(134	)		51
CMBS		17		(66	)		—			(4	)		60
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.

($ in millions)				Total gains (losses) included in:
	Balance as of December 31, 2009			Net income (1)			OCI		Purchases, sales, issues 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	)		—			—			—
ABS		2,001			55			275		553			—			(467	)		2,417
RMBS		1,671			(421	)		736		(135	)		—			(57	)		1,794
CMBS		1,404			(233	)		592		(526	)		107			(421	)		923
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.

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

($ in millions)	2012			2011			2010
Assets
Fixed income securities:
Municipal	$	(28	)	$	(28	)	$	(33	)
Corporate		15			20			40
ABS		—			(33	)		60
RMBS		(1	)		—			(292	)
CMBS		(3	)		(11	)		(28	)
Total fixed income securities		(17	)		(52	)		(253	)
Equity securities		(6	)		(10	)		(3	)
Other investments:
Free-standing derivatives, net		6			(41	)		(61	)
Other assets		—			—			(1	)
Total recurring Level 3 assets	$	(17	)	$	(103	)	$	(318	)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	168		$	(134	)	$	(31	)
Total recurring Level 3 liabilities	$	168		$	(134	)	$	(31	)

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

Financial assets

($ in millions)	December 31, 2012				December 31, 2011
	Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	$	6,570	$	6,886	$	7,139	$	7,350
Cost method limited partnerships		1,406		1,714		1,569		1,838
Bank loans		682		684		339		328

Financial liabilities

($ in millions)	December 31, 2012				December 31, 2011
	Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	$	27,014	$	28,019	$	30,192	$	30,499
Long-term debt		6,057		7,141		5,908		6,312
Liability for collateral		808		808		462		462