Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2013

Fair Value of Assets and Liabilities

Summary of assets and liabilities 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, 2013.

($ 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, 2013
Assets
Fixed income securities:
U.S. government and agencies	$	145	$	621	$	--			$	766
Municipal		--		3,185		119				3,304
Corporate		--		20,308		1,008				21,316
Foreign government		--		792		--				792
ABS		--		895		112				1,007
RMBS		--		790		--				790
CMBS		--		763		1				764
Redeemable preferred stock		--		16		1				17
Total fixed income securities		145		27,370		1,241				28,756
Equity securities		593		51		6				650
Short-term investments		129		461		--				590
Other investments: Free-standing derivatives		--		268		9	$	(11)		266
Separate account assets		5,039		--		--				5,039
Assets held for sale		1,854		9,812		362				12,028
Total recurring basis assets		7,760		37,962		1,618		(11)		47,329
Non-recurring basis (1)		--		--		17				17
Total assets at fair value	$	7,760	$	37,962	$	1,635	$	(11)	$	47,346
% of total assets at fair value		16.4 %		80.2 %		3.4 %		-- %		100.0 %
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(307)			$	(307)
Other liabilities: Free-standing derivatives		--		(185)		(14)	$	7		(192)
Liabilities held for sale		--		--		(246)				(246)
Total recurring basis liabilities		--		(185)		(567)		7		(745)
Non-recurring basis (2)		--		--		(11,088)				(11,088)
Total liabilities at fair value	$	--	$	(185)	$	(11,655)	$	7	$	(11,833)
% of total liabilities at fair value		-- %		1.6 %		98.5 %		(0.1) %		100.0 %

(1) Includes $8 million of mortgage loans and $9 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.

(2) Relates to LBL business held for sale (see Note 3).  The total fair value measurement includes $15,593 million of assets held for sale and $(14,899) million of liabilities held for sale, less $12,028 million of assets and $(246) million of liabilities measured at fair value on a 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	$	1,074	$	1,305	$	--			$	2,379
Municipal		--		4,366		338				4,704
Corporate		--		30,030		1,501				31,531
Foreign government		--		1,180		--				1,180
ABS		--		1,666		199				1,865
RMBS		--		1,791		--				1,791
CMBS		--		1,387		21				1,408
Redeemable preferred stock		--		17		1				18
Total fixed income securities		1,074		41,742		2,060				44,876
Equity securities		338		--		7				345
Short-term investments		220		655		--				875
Other investments: Free-standing derivatives		--		173		3	$	(47)		129
Separate account assets		6,610		--		--				6,610
Other assets		2		--		1				3
Total recurring basis assets		8,244		42,570		2,071		(47)		52,838
Non-recurring basis (1)		--		--		6				6
Total assets at fair value	$	8,244	$	42,570	$	2,077	$	(47)	$	52,844
% of total assets at fair value		15.6 %		80.6 %		3.9 %		(0.1) %		100.0 %
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(553)			$	(553)
Other liabilities: Free-standing derivatives		--		(91)		(30)	$	29		(92)
Total liabilities at fair value	$	--	$	(91)	$	(583)	$	29	$	(645)
% of total liabilities at fair value		-- %		14.1 %		90.4 %		(4.5) %		100.0 %

(1)Includes $4 million of mortgage loans, $1 million of limited partnership interests and $1 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 used in Level 3 fair value measurements

($ in millions)	Fair value		Valuation technique	Unobservable input	Range	Weighted average
December 31, 2013
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(247)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.75 %
Liabilities held for sale – Equity-indexed and forward starting options	$	(246)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.91 %
December 31, 2012
ARS backed by student loans	$	202	Discounted cash flow model	Anticipated date liquidity will return to the market	18 - 60 months	32 - 44 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 rollforward of Level 3 assets and liabilities held at fair value on a recurring basis

($ in millions)					Total gains (losses) included in:
		Balance as of December 31, 2012			Net income (1)			OCI			Transfers into Level 3			Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	338		$	(12	)	$	19		$	--		$	--
Corporate		1,501			32			(32	)		84			(172	)
ABS		199			(2	)		30			17			(16	)
RMBS		--			--			--			--			--
CMBS		21			(1	)		3			--			--
Redeemable preferred stock		1			--			--			--			--
Total fixed income securities		2,060			17			20			101			(188	)
Equity securities		7			--			--			--			--
Free-standing derivatives, net		(27	)		19			--			--			--
Other assets		1			(1	)		--			--			--
Assets held for sale		--			(2	)		(6	)		13			(13	)
Total recurring Level 3 assets	$	2,041		$	33		$	14		$	114		$	(201	)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(553	)	$	89		$	--		$	--		$	--
Liabilities held for sale		--			20			--			--			--
Total recurring Level 3 liabilities	$	(553	)	$	109		$	--		$	--		$	--
		Transfer to held for sale			Purchases/ Issues (2)			Sales			Settlements			Balance as of December 31, 2013
Assets
Fixed income securities:
Municipal	$	(51	)	$	--		$	(173	)	$	(2	)	$	119
Corporate		(244	)		145			(173	)		(133	)		1,008
ABS		(85	)		--			(8	)		(23	)		112
RMBS		--			--			--			--			--
CMBS		(5	)		--			(17	)		--			1
Redeemable preferred stock		--			--			--			--			1
Total fixed income securities		(385	)		145			(371	)		(158	)		1,241
Equity securities		--			--			(1	)		--			6
Free-standing derivatives, net		--			9			--			(6	)		(5	)  (3)
Other assets		--			--			--			--			--
Assets held for sale		385			--			(10	)		(5	)		362
Total recurring Level 3 assets	$	--		$	154		$	(382	)	$	(169	)	$	1,604
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	265		$	(111	)	$	--		$	3		$	(307	)
Liabilities held for sale		(265	)		(6	)		--			5			(246	)
Total recurring Level 3 liabilities	$	--		$	(117	)	$	--		$	8		$	(553	)

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:
Municipal	$	387	$	(5)	$	22	$	53	$	(10)
Corporate		1,319		20		63		381		(64)
ABS		254		24		59		42		(7)
RMBS		47		--		--		--		(47)
CMBS		30		(4)		10		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		2,038		35		154		476		(128)
Equity securities		14		--		--		--		--
Free-standing derivatives, net		(88)		25		--		--		--
Other assets		1		--		--		--		--
Total recurring Level 3 assets	$	1,965	$	60	$	154	$	476	$	(128)
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:
Municipal	$	--	$	(107)	$	--	$	(2)	$	338
Corporate		125		(223)		--		(120)		1,501
ABS		11		(165)		--		(19)		199
RMBS		--		--		--		--		--
CMBS		--		--		--		(15)		21
Redeemable preferred stock		1		(1)		--		--		1
Total fixed income securities		137		(496)		--		(156)		2,060
Equity securities		5		(12)		--		--		7
Free-standing derivatives, net		27		--		--		9		(27)	(2)
Other assets		--		--		--		--		1
Total recurring Level 3 assets	$	169	$	(508)	$	--	$	(147)	$	2,041
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 $228 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $38 million in realized capital gains and losses, $22 million in net investment income, $132 million in interest credited to contractholder funds and $36 million in 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	$	601	$	(2)	$	7	$	48	$	(34)
Corporate		1,760		52		(35)		237		(410)
ABS		1,974		21		(65)		--		(1,470)
RMBS		1,189		(57)		77		--		(853)
CMBS		844		(43)		111		65		(878)
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		6,369		(29)		95		350		(3,645)
Equity securities		29		(5)		--		--		(10)
Free-standing derivatives, net		(77)		(37)		--		--		--
Other assets		1		--		--		--		--
Total recurring Level 3 assets	$	6,322	$	(71)	$	95	$	350	$	(3,655)
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	$	10	$	(241)	$	--	$	(2)	$	387
Corporate		266		(473)		--		(78)		1,319
ABS		146		(136)		--		(216)		254
RMBS		--		(222)		--		(87)		47
CMBS		--		(66)		--		(3)		30
Redeemable preferred stock		--		--		--		--		1
Total fixed income securities		422		(1,138)		--		(386)		2,038
Equity securities		1		(1)		--		--		14
Free-standing derivatives, net		18		--		--		8		(88)	(2)
Other assets		--		--		--		--		1
Total recurring Level 3 assets	$	441	$	(1,139)	$	--	$	(378)	$	1,965
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 $(205) million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $(101) million in realized capital gains and losses, $34 million in net investment income, $(106) million in interest credited to contractholder funds and $(32) million in contract benefits.
(2) Comprises $1 million of assets and $89 million of liabilities.

Schedule of change in unrealized gains and losses included in net income for Level 3 assets and liabilities held

($ in millions)		2013		2012		2011
Assets
Fixed income securities:
Municipal	$	(4)	$	--	$	(2)
Corporate		13		15		19
ABS		(2)		--		(35)
CMBS		(2)		(3)		(12)
Total fixed income securities		5		12		(30)
Equity securities		--		--		(4)
Free-standing derivatives, net		10		6		(29)
Other assets		(1)		--		--
Assets held for sale		(2)		--		--
Total recurring Level 3 assets	$	12	$	18	$	(63)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	89	$	168	$	(134)
Liabilities held for sale		20		--		--
Total recurring Level 3 liabilities	$	109	$	168	$	(134)

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

Financial assets

($ in millions)		December 31, 2013				December 31, 2012
		Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	$	4,173	$	4,300	$	5,943	$	6,223
Cost method limited partnerships		605		799		617		778
Agent loans		341		325		319		314
Bank loans		160		161		282		282
Notes due from related party		275		275		275		275
Assets held for sale		1,458		1,532		--		--

Financial liabilities

($ in millions)		December 31, 2013				December 31, 2012
		Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	$	15,542	$	16,198	$	26,984	$	27,989
Notes due to related parties		282		282		496		496
Liability for collateral		328		328		561		561
Liabilities held for sale		7,417		7,298		--		--