Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2014

Fair Value of Assets and Liabilities

Summary of assets and liabilities 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 March 31, 2014
Assets
Fixed income securities:
U.S. government and agencies	$	145	$	634	$	--			$	779
Municipal		--		3,282		119				3,401
Corporate		--		20,982		891				21,873
Foreign government		--		784		--				784
ABS		--		649		122				771
RMBS		--		751		--				751
CMBS		--		712		5				717
Redeemable preferred stock		--		16		--				16
Total fixed income securities		145		27,810		1,137				29,092
Equity securities		849		48		6				903
Short-term investments		115		648		--				763
Other investments: Free-standing derivatives		--		170		5	$	(8)		167
Separate account assets		4,878		--		--				4,878
Other assets		1		--		--				1
Assets held for sale		1,688		9,585		347				11,620
Total recurring basis assets		7,676		38,261		1,495		(8)		47,424
Non-recurring basis (1)		--		--		5				5
Total assets at fair value	$	7,676	$	38,261	$	1,500	$	(8)	$	47,429
% of total assets at fair value		16.2 %		80.7 %		3.1 %		-- %		100.0 %
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(319)			$	(319)
Other liabilities: Free-standing derivatives		--		(108)		(12)	$	6		(114)
Liabilities held for sale		--		--		(230)				(230)
Total recurring basis liabilities		--		(108)		(561)		6		(663)
Non-recurring basis (2)		--		--		(10,641)				(10,641)
Total liabilities at fair value	$	--	$	(108)	$	(11,202)	$	6	$	(11,304)
% of total liabilities at fair value		-- %		1.0 %		99.1 %		(0.1) %		100.0 %

(1)   Includes $5 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 2). The total fair value measurement includes $15,390 million of assets held for sale and $(14,641) million of liabilities held for sale, less $11,620 million of assets and $(230) million of liabilities measured at fair value on a 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, 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 2). 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.

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
March 31, 2014
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(264)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.76 %
Liabilities held for sale – Equity-indexed and forward starting options	$	(230)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.90 %
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 %

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, 2013		Net income (1)		OCI		Transfers into Level 3		Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	119	$	(1)	$	2	$	--	$	--
Corporate		1,008		5		--		--		(25)
ABS		112		--		--		--		--
CMBS		1		--		--		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		1,241		4		2		--		(25)
Equity securities		6		--		--		--		--
Free-standing derivatives, net		(5)		(2)		--		--		--
Assets held for sale		362		(1)		2		4		(2)
Total recurring Level 3 assets	$	1,604	$	1	$	4	$	4	$	(27)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(307)	$	(2)	$	--	$	--	$	--
Liabilities held for sale		(246)		17		--		--		--
Total recurring Level 3 liabilities	$	(553)	$	15	$	--	$	--	$	--

		Transfer from held for sale		Purchases/ Issues (2)		Sales		Settlements		Balance as of March 31, 2014
Assets
Fixed income securities:
Municipal	$	--	$	--	$	(1)	$	--	$	119
Corporate		--		2		(86)		(13)		891
ABS		--		11		--		(1)		122
CMBS		4		--		--		--		5
Redeemable preferred stock		--		--		(1)		--		--
Total fixed income securities		4		13		(88)		(14)		1,137
Equity securities		--		--		--		--		6
Free-standing derivatives, net		--		2		--		(2)		(7)	(3)
Assets held for sale		(4)		--		(8)		(6)		347
Total recurring Level 3 assets	$	--	$	15	$	(96)	$	(22)	$	1,483
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	(11)	$	--	$	1	$	(319)
Liabilities held for sale		--		(4)		--		3		(230)
Total recurring Level 3 liabilities	$	--	$	(15)	$	--	$	4	$	(549)

____________

(1) The effect to net income totals $16 million and is reported in the Condensed Consolidated Statements of Operations and Comprehensive Income as follows: $3 million in realized capital gains and losses, $2 million in net investment income, $10 million in interest credited to contractholder funds, $5 million in contract benefits and $(4) million in loss on disposition of operations.

(2) Represents purchases for assets and issues for liabilities.

(3) Comprises $5 million of assets and $12 million of liabilities.

($ 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)	$	26	$	--	$	--
Corporate		1,501		12		(2)		25		(125)
ABS		199		--		7		17		--
CMBS		21		--		2		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		2,060		--		33		42		(125)
Equity securities		7		--		--		--		--
Free-standing derivatives, net		(27)		7		--		--		--
Other assets		1		--		--		--		--
Total recurring Level 3 assets	$	2,041	$	7	$	33	$	42	$	(125)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(553)	$	6	$	--	$	--	$	--
Total recurring Level 3 liabilities	$	(553)	$	6	$	--	$	--	$	--

		Purchases		Sales		Issues		Settlements		Balance as of March 31, 2013
Assets
Fixed income securities:
Municipal	$	--	$	(101)	$	--	$	--	$	251
Corporate		72		(109)		--		(11)		1,363
ABS		--		(8)		--		(4)		211
CMBS		--		(17)		--		--		6
Redeemable preferred stock		--		--		--		--		1
Total fixed income securities		72		(235)		--		(15)		1,832
Equity securities		--		--		--		--		7
Free-standing derivatives, net		1		--		--		(1)		(20)	(2)
Other assets		--		--		--		--		1
Total recurring Level 3 assets	$	73	$	(235)	$	--	$	(16)	$	1,820
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(24)	$	4	$	(567)
Total recurring Level 3 liabilities	$	--	$	--	$	(24)	$	4	$	(567)

____________

(1) The effect to net income totals $13 million and is reported in the Condensed Consolidated Statements of Operations and Comprehensive Income as follows: $2 million in realized capital gains and losses, $5 million in net investment income, $(20) million in interest credited to contractholder funds and $26 million in contract benefits.

(2) Comprises $4 million of assets and $24 million of liabilities.

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

($ in millions)		2014		2013
Assets
Fixed income securities:
Municipal	$	(1)	$	(7)
Corporate		4		5
CMBS		--		(1)
Total fixed income securities		3		(3)
Free-standing derivatives, net		--		7
Assets held for sale		(1)		--
Total recurring Level 3 assets	$	2	$	4
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(2)	$	6
Liabilities held for sale		17		--
Total recurring Level 3 liabilities	$	15	$	6

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

Financial assets

($ in millions)		March 31, 2014				December 31, 2013
		Carrying  value		Fair  value		Carrying  value		Fair  value
Mortgage loans	$	3,959	$	4,148	$	4,173	$	4,300
Cost method limited partnerships		603		817		605		799
Agent loans		348		344		341		325
Bank loans		170		171		160		161
Notes due from related party		275		275		275		275
Assets held for sale		1,350		1,436		1,458		1,532

Financial liabilities

($ in millions)		March 31, 2014				December 31, 2013
		Carrying  value		Fair  value		Carrying  value		Fair  value
Contractholder funds on investment contracts	$	15,241	$	15,941	$	15,542	$	16,198
Notes due to related parties		275		275		282		282
Liability for collateral		497		497		328		328
Liabilities held for sale		7,166		7,127		7,417		7,298