Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 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		Significant other observable inputs		Significant unobservable inputs			Counterparty and cash collateral		Balance as of September 30,
		(Level 1)		(Level 2)		(Level 3)			netting		2011
Assets
Fixed income securities:
U.S. government and agencies	$	2,934	$	1,412	$	--				$	4,346
Municipal		--		13,546		1,453					14,999
Corporate		--		42,799		1,730					44,529
Foreign government		--		2,133		--					2,133
RMBS		--		4,540		92					4,632
CMBS		--		1,748		76					1,824
ABS		--		2,105		1,801					3,906
Redeemable preferred stock		--		24		1					25
Total fixed income securities		2,934		68,307		5,153					76,394
Equity securities		3,488		627		42					4,157
Short-term investments		200		3,317		--					3,517
Other investments:
Free-standing derivatives		--		383		1		$	(140)		244
Separate account assets		6,791		--		--					6,791
Other assets		3		--		1					4
Total recurring basis assets		13,416		72,634		5,197			(140)		91,107
Non-recurring basis (1)		--		--		158					158
Total assets at fair value	$	13,416	$	72,634	$	5,355		$	(140)	$	91,265
% of total assets at fair value		14.7 %		79.6 %		5.9 %			(0.2) %		100.0 %
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	--	$	--	$	(597	)			$	(597)
Other liabilities:
Free-standing derivatives		(3)		(225)		(111	)	$	138		(201)
Total liabilities at fair value	$	(3)	$	(225)	$	(708	)	$	138	$	(798)
% of total liabilities at fair value		0.4 %		28.2 %		88.7 %			(17.3) %		100.0 %

____________

(1)  Includes $141 million of mortgage loans, $3 million of limited partnership interests and $14 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		Significant other observable inputs		Significant unobservable inputs		Counterparty and cash collateral		Balance as of December 31,
		(Level 1)		(Level 2)		(Level 3)		netting		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

($ in millions)					Total realized and unrealized gains (losses) included in:
		Balance as of June 30, 2011			Net income (1)			OCI on Statement of Financial Position			Transfers into Level 3			Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	1,554		$	(10	)	$	1		$	--		$	(22)
Corporate		1,720			(4	)		(23	)		3			(107)
RMBS		1,194			--			2			--			(1,100)
CMBS		938			(1	)		(5	)		20			(877)
ABS		2,167			(36	)		(75	)		--			(329)
Redeemable preferred stock		1			--			--			--			--
Total fixed income securities		7,574			(51	)		(100	)		23			(2,435)
Equity securities		42			--			--			--			--
Other investments:
Free-standing derivatives, net		(56	)		(57	)		--			--			--
Other assets		1			--			--			--			--
Total recurring Level 3 assets	$	7,561		$	(108	)	$	(100	)	$	23		$	(2,435)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(629	)	$	2		$	--		$	--		$	--
Total recurring Level 3 liabilities	$	(629	)	$	2		$	--		$	--		$	--
		Purchases			Sales			Issuances			Settlements			Balance as of September 30, 2011
Assets
Fixed income securities:
Municipal	$	--		$	(70	)	$	--		$	--		$	1,453
Corporate		245			(59	)		--			(45	)		1,730
RMBS		--			--			--			(4	)		92
CMBS		2			--			--			(1	)		76
ABS		165			(1	)		--			(90	)		1,801
Redeemable preferred stock		--			--			--			--			1
Total fixed income securities		412			(130	)		--			(140	)		5,153
Equity securities		--			--			--			--			42
Other investments:
Free-standing derivatives, net		5			--			--			(2	)		(110)	(2)
Other assets		--			--			--			--			1
Total recurring Level 3 assets	$	417		$	(130	)	$	--		$	(142	)	$	5,086
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	--		$	--		$	(15	)	$	45		$	(597)
Total recurring Level 3 liabilities	$	--		$	--		$	(15	)	$	45		$	(597)

_______________

(1)  The effect to net income totals $(106) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(119) million in realized capital gains and losses, $14 million in net investment income, $54 million in interest credited to contractholder funds and $(55) million in life and annuity contract benefits.

(2)  Comprises $1 million of assets and $111 million of liabilities.

($ in millions)					Total realized and unrealized gains (losses) included in:
		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		$	(34	)	$	67		$	--		$	(81)
Corporate		1,908			31			(5	)		185			(271)
RMBS		1,794			(87	)		108			--			(1,213)
CMBS		923			(43	)		113			86			(946)
ABS		2,417			19			(47	)		--			(642)
Redeemable preferred stock		1			--			--			--			--
Total fixed income securities		9,059			(114	)		236			271			(3,153)
Equity securities		63			(10	)		--			--			(10)
Other investments:
Free-standing derivatives, net		(21	)		(91	)		--			--			--
Other assets		1			--			--			--			--
Total recurring Level 3 assets	$	9,102		$	(215	)	$	236		$	271		$	(3,163)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(653	)	$	(24	)	$	--		$	--		$	--
Total recurring Level 3 liabilities	$	(653	)	$	(24	)	$	--		$	--		$	--
		Purchases			Sales			Issuances			Settlements			Balance as of September 30, 2011
Assets
Fixed income securities:
Municipal	$	13		$	(525	)	$	--		$	(3	)	$	1,453
Corporate		376			(437	)		--			(57	)		1,730
RMBS		--			(378	)		--			(132	)		92
CMBS		12			(66	)		--			(3	)		76
ABS		468			(164	)		--			(250	)		1,801
Redeemable preferred stock		--			--			--			--			1
Total fixed income securities		869			(1,570	)		--			(445	)		5,153
Equity securities		--			(1	)		--			--			42
Other investments:
Free-standing derivatives, net		72			--			--			(70	)		(110)	(2)
Other assets		--			--			--			--			1
Total recurring Level 3 assets	$	941		$	(1,571	)	$	--		$	(515	)	$	5,086
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	--		$	--		$	(42	)	$	122		$	(597)
Total recurring Level 3 liabilities	$	--		$	--		$	(42	)	$	122		$	(597)

_______________

(1)  The effect to net income totals $(239) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(242) million in realized capital gains and losses, $30 million in net investment income, $(9) million in interest credited to contractholder funds and $(18) million in life and annuity contract benefits.

(2)  Comprises $1 million of assets and 111 million of liabilities.

($ in millions)				Total realized and unrealized gains (losses) included in:
		Balance as of June 30, 2010		Net income (1)		OCI on Statement of Financial Position		Purchases, sales, issuances and settlements, net		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2010
Assets
Fixed income securities:
Municipal	$	2,197	$	13	$	18	$	(87)	$	5	$	(2)	$	2,144
Corporate		2,225		8		77		(96)		192		(229)		2,177
RMBS		2,010		(102)		206		(230)		--		--		1,884
CMBS		880		(66)		134		(120)		38		--		866
ABS		2,430		18		73		64		--		(233)		2,352
Redeemable preferred stock		1		--		--		--		--		--		1
Total fixed income securities		9,743		(129)		508		(469)		235		(464)		9,424
Equity securities		66		14		--		(15)		--		--		65
Other investments:
Free-standing derivatives, net		(99)		(10)		--		14		--		--		(95)	(2)
Other assets		2		--		--		--		--		--		2
Total recurring Level 3 assets	$	9,712	$	(125)	$	508	$	(470)	$	235	$	(464)	$	9,396
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(119)	$	(23)	$	--	$	--	$	--	$	--	$	(142)
Total recurring Level 3 liabilities	$	(119)	$	(23)	$	--	$	--	$	--	$	--	$	(142)

_______________

(1)  The effect to net income totals $(148) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(136) million in realized capital gains and losses, $11 million in net investment income and $(23) million in life and annuity contract benefits.

(2)  Comprises $11 million of assets and $106 million of liabilities.

($ in millions)				Total realized and unrealized gains (losses) included in:
		Balance as of December 31, 2009		Net income (1)		OCI on Statement of Financial Position		Purchases, sales, issuances and settlements, net		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2010
Assets
Fixed income securities:
Municipal	$	2,706	$	(34)	$	76	$	(539)	$	21	$	(86)	$	2,144
Corporate		2,241		(29)		178		(62)		355		(506)		2,177
Foreign government		20		--		--		(20)		--		--		--
RMBS		1,671		(271)		549		(51)		--		(14)		1,884
CMBS		1,404		(173)		434		(448)		62		(413)		866
ABS		2,001		36		172		536		--		(393)		2,352
Redeemable preferred stock		2		--		--		(1)		--		--		1
Total fixed income securities		10,045		(471)		1,409		(585)		438		(1,412)		9,424
Equity securities		69		8		4		(12)		--		(4)		65
Other investments:
Free-standing derivatives, net		55		(242)		--		92		--		--		(95)	(2)
Other assets		2		--		--		--		--		--		2
Total recurring Level 3 assets	$	10,171	$	(705)	$	1,413	$	(505)	$	438	$	(1,416)	$	9,396
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	(110)	$	(35)	$	--	$	3	$	--	$	--	$	(142)
Total recurring Level 3 liabilities	$	(110)	$	(35)	$	--	$	3	$	--	$	--	$	(142)

_______________

(1)  The effect to net income totals $(740) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(767) million in realized capital gains and losses, $65 million in net investment income, $(3) million in interest credited to contractholder funds and $(35) million in life and annuity contract benefits.

(2)  Comprises $11 million of assets and $106 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)		Three months ended September 30,				Nine months ended September 30,
		2011		2010		2011		2010
Assets
Fixed income securities:
Municipal	$	(7)	$	1	$	(17)	$	(24)
Corporate		(12)		(1)		3		(42)
RMBS		--		(83)		--		(214)
CMBS		(1)		(22)		(10)		(42)
ABS		(38)		28		(26)		53
Total fixed income securities		(58)		(77)		(50)		(269)
Equity securities		--		(1)		--		(8)
Other investments:
Free-standing derivatives, net		(57)		28		(54)		(113)
Total recurring Level 3 assets	$	(115)	$	(50)	$	(104)	$	(390)
Liabilities
Contractholder funds:
Derivatives embedded in life and annuity contracts	$	2	$	(23)	$	(24)	$	(35)
Total recurring Level 3 liabilities	$	2	$	(23)	$	(24)	$	(35)

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

Financial assets

($ in millions)		September 30, 2011				December 31, 2010
		Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	$	6,956	$	6,989	$	6,679	$	6,439
Limited partnership interests - cost basis		1,445		1,768		1,348		1,481
Bank loans		362		345		363		355

Financial liabilities

($ in millions)		September 30, 2011				December 31, 2010
		Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	$	31,737	$	31,999	$	36,163	$	35,194
Long-term debt		5,907		6,284		5,908		6,325
Liability for collateral		784		784		484		484