FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2013

FAIR VALUE MEASUREMENTS

Assets and liabilities measured at fair value on a recurring basis

September 30, 2013 (in millions)	Level 1		Level 2		Level 3		Counterparty Netting(a)			Cash Collateral(b)			Total
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$	100	$	3,335	$	–	$	–		$	–		$	3,435
Obligations of states, municipalities and political subdivisions		–		29,827		1,054		–			–			30,881
Non-U.S. governments		424		22,589		21		–			–			23,034
Corporate debt		–		142,726		1,442		–			–			144,168
RMBS		–		22,390		14,086		–			–			36,476
CMBS		–		5,896		5,616		–			–			11,512
CDO/ABS		–		3,744		6,651		–			–			10,395
Total bonds available for sale		524		230,507		28,870		–			–			259,901
Bond trading securities:
U.S. government and government sponsored entities		83		5,784		–		–			–			5,867
Obligations of states, municipalities and political subdivisions		–		181		–		–			–			181
Non-U.S. governments		–		2		–		–			–			2
Corporate debt		–		1,147		–		–			–			1,147
RMBS		–		1,363		815		–			–			2,178
CMBS		–		623		831		–			–			1,454
CDO/ABS		–		3,174		8,881		–			–			12,055
Total bond trading securities		83		12,274		10,527		–			–			22,884
Equity securities available for sale:
Common stock		2,991		–		27		–			–			3,018
Preferred stock		–		29		48		–			–			77
Mutual funds		276		7		–		–			–			283
Total equity securities available for sale		3,267		36		75		–			–			3,378
Equity securities trading		721		86		–		–			–			807
Mortgage and other loans receivable		–		–		–		–			–			–
Other invested assets		5		2,318		5,748		–			–			8,071
Derivative assets:
Interest rate contracts		5		3,970		38		–			–			4,013
Foreign exchange contracts		–		41		–		–			–			41
Equity contracts		113		57		83		–			–			253
Commodity contracts		–		–		1		–			–			1
Credit contracts		–		1		55		–			–			56
Other contracts		–		–		33		–			–			33
Counterparty netting and cash collateral		–		–		–		(1,863	)		(811	)		(2,674	)
Total derivative assets		118		4,069		210		(1,863	)		(811	)		1,723
Short-term investments		339		5,034		–		–			–			5,373
Separate account assets		62,944		3,015		–		–			–			65,959
Other assets		–		486		–		–			–			486
Total	$	68,001	$	257,825	$	45,430	$	(1,863	)	$	(811	)	$	368,582
Liabilities:
Policyholder contract deposits	$	–	$	–	$	387	$	–		$	–		$	387
Derivative liabilities:
Interest rate contracts		–		3,960		165		–			–			4,125
Foreign exchange contracts		–		275		–		–			–			275
Equity contracts		–		94		1		–			–			95
Commodity contracts		–		4		–		–			–			4
Credit contracts		–		–		1,561		–			–			1,561
Other contracts		–		25		164		–			–			189
Counterparty netting and cash collateral		–		–		–		(1,863	)		(1,664	)		(3,527	)
Total derivative liabilities		–		4,358		1,891		(1,863	)		(1,664	)		2,722
Long-term debt		–		6,538		443		–			–			6,981
Other liabilities		73		693		–		–			–			766
Total	$	73	$	11,589	$	2,721	$	(1,863	)	$	(1,664	)	$	10,856

December 31, 2012 (in millions)	Level 1		Level 2		Level 3		Counterparty Netting(a)			Cash Collateral(b)			Total
Assets:
Bonds available for sale:
U.S. government and government sponsored entities	$	–	$	3,483	$	–	$	–		$	–		$	3,483
Obligations of states, municipalities and political subdivisions		–		34,681		1,024		–			–			35,705
Non-U.S. governments		1,004		25,782		14		–			–			26,800
Corporate debt		–		149,625		1,487		–			–			151,112
RMBS		–		22,730		11,662		–			–			34,392
CMBS		–		5,010		4,905		–			–			9,915
CDO/ABS		–		3,492		5,060		–			–			8,552
Total bonds available for sale		1,004		244,803		24,152		–			–			269,959
Bond trading securities:
U.S. government and government sponsored entities		266		6,528		–		–			–			6,794
Non-U.S. governments		–		2		–		–			–			2
Corporate debt		–		1,320		–		–			–			1,320
RMBS		–		1,331		396		–			–			1,727
CMBS		–		1,424		803		–			–			2,227
CDO/ABS		–		3,969		8,545		–			–			12,514
Total bond trading securities		266		14,574		9,744		–			–			24,584
Equity securities available for sale:
Common stock		3,002		3		24		–			–			3,029
Preferred stock		–		34		44		–			–			78
Mutual funds		83		22		–		–			–			105
Total equity securities available for sale		3,085		59		68		–			–			3,212
Equity securities trading		578		84		–		–			–			662
Mortgage and other loans receivable		–		134		–		–			–			134
Other invested assets		125		1,542		5,389		–			–			7,056
Derivative assets:
Interest rate contracts		2		5,521		956		–			–			6,479
Foreign exchange contracts		–		104		–		–			–			104
Equity contracts		104		63		54		–			–			221
Commodity contracts		–		144		1		–			–			145
Credit contracts		–		–		60		–			–			60
Other contracts		–		–		38		–			–			38
Counterparty netting and cash collateral		–		–		–		(2,467	)		(909	)		(3,376	)
Total derivative assets		106		5,832		1,109		(2,467	)		(909	)		3,671
Short-term investments		285		7,771		–		–			–			8,056
Separate account assets		54,430		2,907		–		–			–			57,337
Other assets		–		696		–		–			–			696
Total	$	59,879	$	278,402	$	40,462	$	(2,467	)	$	(909	)	$	375,367
Liabilities:
Policyholder contract deposits	$	–	$	–	$	1,257	$	–		$	–		$	1,257
Derivative liabilities:
Interest rate contracts		–		5,582		224		–			–			5,806
Foreign exchange contracts		–		174		–		–			–			174
Equity contracts		–		114		7		–			–			121
Commodity contracts		–		146		–		–			–			146
Credit contracts		–		–		2,051		–			–			2,051
Other contracts		–		6		200		–			–			206
Counterparty netting and cash collateral		–		–		–		(2,467	)		(1,976	)		(4,443	)
Total derivative liabilities		–		6,022		2,482		(2,467	)		(1,976	)		4,061
Long-term debt		–		7,711		344		–			–			8,055
Other liabilities		30		1,050		–		–			–			1,080
Total	$	30	$	14,783	$	4,083	$	(2,467	)	$	(1,976	)	$	14,453

(a)  Represents netting of derivative exposures covered by a qualifying master netting agreement.

(b)  Represents cash collateral posted and received. Securities collateral posted for derivative transactions that is reflected in Fixed maturity securities in the Condensed Consolidated Balance Sheets, and collateral received, not reflected in the Condensed Consolidated Balance Sheets, was $1.4 billion and $160 million, respectively, at September 30, 2013 and $1.9 billion and $299 million, respectively, at December 31, 2012.

Changes in Level 3 recurring fair value measurements

(in millions)	Fair Value Beginning of Period(a)			Net Realized and Unrealized Gains (Losses) Included in Income			Other Comprehensive Income (Loss)			Purchases, Sales, Issues and Settlements, Net			Gross Transfers in			Gross Transfers out			Fair Value End of Period			Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Three Months Ended September 30, 2013
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	945		$	4		$	(28	)	$	160		$	–		$	(27	)	$	1,054		$	–
Non-U.S. governments		20			–			–			1			–			–			21			–
Corporate debt		1,634			(3	)		5			–			39			(233	)		1,442			–
RMBS		13,694			216			(60	)		127			167			(58	)		14,086			–
CMBS		5,455			4			55			102			–			–			5,616			–
CDO/ABS		6,142			37			(47	)		363			289			(133	)		6,651			–
Total bonds available for sale		27,890			258			(75	)		753			495			(451	)		28,870			–
Bond trading securities:
RMBS		782			14			–			(8	)		27			–			815			13
CMBS		820			33			–			(53	)		31			–			831			29
CDO/ABS		8,972			243			–			(557	)		223			–			8,881			217
Total bond trading securities		10,574			290			–			(618	)		281			–			10,527			259
Equity securities available for sale:
Common stock		76			–			(1	)		(48	)		–			–			27			–
Preferred stock		48			–			–			–			–			–			48			–
Total equity securities available for sale		124			–			(1	)		(48	)		–			–			75			–
Other invested assets		5,639			(25	)		78			55			1			–			5,748			–
Total	$	44,227		$	523		$	2		$	142		$	777		$	(451	)	$	45,220		$	259
Liabilities:
Policyholder contract deposits	$	(586	)	$	250		$	–		$	(51	)	$	–		$	–		$	(387	)	$	218
Derivative liabilities, net:
Interest rate contracts		779			6			–			(912	)		–			–			(127	)		3
Equity contracts		70			12			–			(1	)		1			–			82			10
Commodity contracts		1			–			–			–			–			–			1			–
Credit contracts		(1,594	)		52			–			36			–			–			(1,506	)		91
Other contracts		(105	)		16			(25	)		(16	)		(1	)		–			(131	)		8
Total derivative liabilities, net		(849	)		86			(25	)		(893	)		–			–			(1,681	)		112
Long-term debt(b)		(419	)		(25	)		–			1			–			–			(443	)		(19	)
Total	$	(1,854	)	$	311		$	(25	)	$	(943	)	$	–		$	–		$	(2,511	)	$	311

(in millions)	Fair Value Beginning of Period(a)			Net Realized and Unrealized Gains (Losses) Included in Income			Other Comprehensive Income (Loss)			Purchases, Sales, Issues and Settlements, Net			Gross Transfers in			Gross Transfers out			Fair Value End of Period			Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Nine Months Ended September 30, 2013
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	1,024		$	29		$	(178	)	$	365		$	–		$	(186	)	$	1,054		$	–
Non-U.S. governments		14			–			–			7			1			(1	)		21			–
Corporate debt		1,487			(7	)		(9	)		30			371			(430	)		1,442			–
RMBS		11,662			624			279			1,393			186			(58	)		14,086			–
CMBS		5,124			15			75			290			161			(49	)		5,616			–
CDO/ABS		4,841			134			(47	)		1,383			668			(328	)		6,651			–
Total bonds available for sale		24,152			795			120			3,468			1,387			(1,052	)		28,870			–
Bond trading securities:
RMBS		396			24			–			130			265			–			815			(27	)
CMBS		812			44			–			(193	)		282			(114	)		831			(13	)
CDO/ABS		8,536			1,096			–			(1,566	)		843			(28	)		8,881			434
Total bond trading securities		9,744			1,164			–			(1,629	)		1,390			(142	)		10,527			394
Equity securities available for sale:
Common stock		24			–			4			(1	)		–			–			27			–
Preferred stock		44			–			4			–			–			–			48			–
Total equity securities available for sale		68			–			8			(1	)		–			–			75			–
Other invested assets		5,389			144			88			95			345			(313	)		5,748			–
Total	$	39,353		$	2,103		$	216		$	1,933		$	3,122		$	(1,507	)	$	45,220		$	394
Liabilities:
Policyholder contract deposits	$	(1,257	)	$	865		$	–		$	5		$	–		$	–		$	(387	)	$	825
Derivative liabilities, net:
Interest rate contracts		732			20			–			(879	)		–			–			(127	)		33
Equity contracts		47			49			–			(14	)		–			–			82			40
Commodity contracts		1			–			–			(1	)		–			1			1			(1	)
Credit contracts		(1,991	)		365			–			120			–			–			(1,506	)		486
Other contracts		(162	)		35			(16	)		13			(1	)		–			(131	)		8
Total derivative liabilities, net		(1,373	)		469			(16	)		(761	)		(1	)		1			(1,681	)		566
Long-term debt(b)		(344	)		(120	)		–			23			(2	)		–			(443	)		(41	)
Total	$	(2,974	)	$	1,214		$	(16	)	$	(733	)	$	(3	)	$	1		$	(2,511	)	$	1,350

(in millions)	Fair value Beginning of Period(a)			Net Realized and Unrealized Gains (Losses) Included in Income			Other Comprehensive Income (Loss)			Purchases, Sales, Issues and Settlements, Net			Gross Transfers In			Gross Transfers Out			Fair value End of Period			Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Three Months Ended September 30, 2012
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions	$	1,013		$	16		$	–		$	102		$	25		$	(52	)	$	1,104		$	–
Non-U.S. governments		13			1			(1	)		2			–			(1	)		14			–
Corporate debt		1,306			10			35			94			233			(66	)		1,612			–
RMBS		10,488			197			1,029			(678	)		566			(114	)		11,488			–
CMBS		4,643			(17	)		271			115			1			–			5,013			–
CDO/ABS		5,074			87			82			(129	)		63			(528	)		4,649			–
Total bonds available for sale		22,537			294			1,416			(494	)		888			(761	)		23,880			–
Bond trading securities:
Corporate debt		3			–			–			(1	)		–			–			2			–
RMBS		290			40			–			(56	)		97			(1	)		370			12
CMBS		457			(3	)		–			1			157			–			612			(19	)
CDO/ABS		14,647			581			–			(6,780	)		57			–			8,505			427
Total bond trading securities		15,397			618			–			(6,836	)		311			(1	)		9,489			420
Equity securities available for sale:
Common stock		41			–			(1	)		–			–			–			40			–
Preferred stock		139			15			(12	)		(104	)		8			(1	)		45			–
Total equity securities available for sale		180			15			(13	)		(104	)		8			(1	)		85			–
Mortgage and other loans receivable		1			–			–			–			–			–			1			–
Other invested assets		7,049			22			8			(90	)		126			(45	)		7,070			–
Total	$	45,164		$	949		$	1,411		$	(7,524	)	$	1,333		$	(808	)	$	40,525		$	420
Liabilities:
Policyholder contract deposits	$	(1,188	)	$	(45	)	$	(72	)	$	(3	)	$	–		$	–		$	(1,308	)	$	(100	)
Derivative liabilities, net:
Interest rate contracts		761			(55	)		–			47			–			–			753			(7	)
Equity contracts		28			18			–			(4	)		1			–			43			–
Commodity contracts		2			4			–			(3	)		–			(2	)		1			–
Credit contracts		(2,587	)		208			–			89			–			–			(2,290	)		238
Other contracts		(154	)		(122	)		(6	)		73			16			–			(193	)		(17	)
Total derivatives liabilities, net		(1,950	)		53			(6	)		202			17			(2	)		(1,686	)		214
Long-term debt(b)		(407	)		(27	)		–			61			(34	)		–			(407	)		(25	)
Total	$	(3,545	)	$	(19	)	$	(78	)	$	260		$	(17	)	$	(2	)	$	(3,401	)	$	89

(in millions)	Fair value Beginning of Period(a)			Net Realized and Unrealized Gains (Losses) Included in Income			Other Comprehensive Income (Loss)			Purchases, Sales, Issues and Settlements, Net			Gross Transfers In			Gross Transfers Out			Fair value End of Period			Changes in Unrealized Gains (Losses) Included in Income on Instruments Held at End of Period
Nine Months Ended September 30, 2012
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions	$	960		$	48		$	11		$	139		$	70		$	(124	)	$	1,104		$	–
Non-U.S. governments		9			1			–			–			5			(1	)		14			–
Corporate debt		1,935			(7	)		104			96			579			(1,095	)		1,612			–
RMBS		10,877			322			1,832			32			921			(2,496	)		11,488			–
CMBS		3,955			(84	)		572			618			44			(92	)		5,013			–
CDO/ABS		4,220			127			348			(150	)		669			(565	)		4,649			–
Total bonds available for sale		21,956			407			2,867			735			2,288			(4,373	)		23,880			–
Bond trading securities:
Corporate debt		7			–			–			(5	)		–			–			2			–
RMBS		303			68			–			(94	)		97			(4	)		370			18
CMBS		554			46			–			(121	)		193			(60	)		612			45
CDO/ABS		8,432			3,646			–			(3,630	)		57			–			8,505			2,635
Total bond trading securities		9,296			3,760			–			(3,850	)		347			(64	)		9,489			2,698
Equity securities available for sale:
Common stock		57			23			(13	)		(33	)		6			–			40			–
Preferred stock		99			17			(35	)		(35	)		11			(12	)		45			–
Total equity securities available for sale		156			40			(48	)		(68	)		17			(12	)		85			–
Mortgage and other loans receivable		1			–			–			–			–			–			1			–
Other invested assets		6,618			(157	)		284			(57	)		886			(504	)		7,070			–
Total	$	38,027		$	4,050		$	3,103		$	(3,240	)	$	3,538		$	(4,953	)	$	40,525		$	2,698
Liabilities:
Policyholder contract deposits	$	(918	)	$	(314	)	$	(72	)	$	(4	)	$	–		$	–		$	(1,308	)	$	(325	)
Derivative liabilities, net:
Interest rate contracts		785			(9	)		–			(23	)		–			–			753			12
Foreign exchange contracts		2			–			–			(2	)		–			–			–			–
Equity contracts		28			7			–			9			(1	)		–			43			–
Commodity contracts		2			4			–			(5	)		–			–			1			–
Credit contracts		(3,273	)		409			–			574			–			–			(2,290	)		876
Other contracts		33			(110	)		(4	)		(5	)		(107	)		–			(193	)		(29	)
Total derivatives liabilities, net		(2,423	)		301			(4	)		548			(108	)		–			(1,686	)		859
Long-term debt(b)		(508	)		(405	)		(77	)		197			(34	)		420			(407	)		(223	)
Total	$	(3,849	)	$	(418	)	$	(153	)	$	741		$	(142	)	$	420		$	(3,401	)	$	311

(a)  Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

(b)  Includes guaranteed investment agreements (GIAs), notes, bonds, loans and mortgages payable.

Schedule of net realized and unrealized gains and losses related to Level 3 items

(in millions)	Net Investment Income			Net Realized Capital Gains (Losses)			Other Income			Total
Three Months Ended September 30, 2013
Bonds available for sale	$	264		$	(21	)	$	15		$	258
Bond trading securities		86			7			197			290
Equity securities available for sale		–			–			–			–
Other invested assets		(12	)		(5	)		(8	)		(25	)
Policyholder contract deposits		–			250			–			250
Derivative liabilities, net		11			8			67			86
Long-term debt		–			–			(25	)		(25	)
Three Months Ended September 30, 2012
Bonds available for sale	$	218		$	51		$	25		$	294
Bond trading securities		491			–			127			618
Equity securities available for sale		–			15			–			15
Other invested assets		6			(16	)		32			22
Policyholder contract deposits		–			(45	)		–			(45	)
Derivative liabilities, net		–			(39	)		92			53
Long-term debt		–			–			(27	)		(27	)
Nine Months Ended September 30, 2013
Bonds available for sale	$	713		$	(8	)	$	90		$	795
Bond trading securities		114			8			1,042			1,164
Equity securities available for sale		–			–			–			–
Other invested assets		142			(34	)		36			144
Policyholder contract deposits		–			865			–			865
Derivative liabilities, net		26			25			418			469
Long-term debt		–			–			(120	)		(120	)
Nine Months Ended September 30, 2012
Bonds available for sale	$	683		$	(333	)	$	57		$	407
Bond trading securities		3,330			–			430			3,760
Equity securities available for sale		–			40			–			40
Other invested assets		(3	)		(189	)		35			(157	)
Policyholder contract deposits		–			(314	)		–			(314	)
Derivative liabilities, net		(1	)		22			280			301
Long-term debt		–			–			(405	)		(405	)

Gross components of purchases, sales, issuances and settlements, net

(in millions)	Purchases		Sales			Settlements			Purchases, Sales, Issues and Settlements, Net(a)
Three Months Ended September 30, 2013
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	194	$	(34	)	$	–		$	160
Non-U.S. governments		1		–			–			1
Corporate debt		146		–			(146	)		–
RMBS		750		–			(623	)		127
CMBS		179		(3	)		(74	)		102
CDO/ABS		628		–			(265	)		363
Total bonds available for sale		1,898		(37	)		(1,108	)		753
Bond trading securities:
RMBS		31		(12	)		(27	)		(8	)
CMBS		–		(9	)		(44	)		(53	)
CDO/ABS		–		(66	)		(491	)		(557	)
Total bond trading securities		31		(87	)		(562	)		(618	)
Equity securities available for sale		–		–			(48	)		(48	)
Other invested assets		249		(3	)		(191	)		55
Total assets	$	2,178	$	(127	)	$	(1,909	)	$	142
Liabilities:
Policyholder contract deposits	$	–	$	(4	)	$	(47	)	$	(51	)
Derivative liabilities, net		4		–			(897	)		(893	)
Long-term debt(b)		–		–			1			1
Total liabilities	$	4	$	(4	)	$	(943	)	$	(943	)
Three Months Ended September 30, 2012
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	189	$	(53	)	$	(34	)	$	102
Non-U.S. governments		3		–			(1	)		2
Corporate debt		139		(6	)		(39	)		94
RMBS		198		(360	)		(516	)		(678	)
CMBS		299		(127	)		(57	)		115
CDO/ABS		210		–			(339	)		(129	)
Total bonds available for sale		1,038		(546	)		(986	)		(494	)
Bond trading securities:
Corporate debt		–		–			(1	)		(1	)
RMBS		–		(45	)		(11	)		(56	)
CMBS		11		–			(10	)		1
CDO/ABS		2,191		(6	)		(8,965	)		(6,780	)
Total bond trading securities		2,202		(51	)		(8,987	)		(6,836	)
Equity securities available for sale		–		(22	)		(82	)		(104	)
Other invested assets		129		(30	)		(189	)		(90	)
Total assets	$	3,369	$	(649	)	$	(10,244	)	$	(7,524	)
Liabilities:
Policyholder contract deposits	$	–	$	(6	)	$	3		$	(3	)
Derivative liabilities, net		6		–			196			202
Long-term debt(b)		–		–			61			61
Total liabilities	$	6	$	(6	)	$	260		$	260

(in millions)	Purchases		Sales			Settlements			Purchases, Sales, Issues and Settlements, Net(a)
Nine Months Ended September 30, 2013
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	502	$	(137	)	$	–		$	365
Non-U.S. governments		9		–			(2	)		7
Corporate debt		454		(114	)		(310	)		30
RMBS		3,462		(231	)		(1,838	)		1,393
CMBS		872		(167	)		(415	)		290
CDO/ABS		2,099		(159	)		(557	)		1,383
Total bonds available for sale		7,398		(808	)		(3,122	)		3,468
Bond trading securities:
RMBS		244		(12	)		(102	)		130
CMBS		19		(67	)		(145	)		(193	)
CDO/ABS		318		(66	)		(1,818	)		(1,566	)
Total bond trading securities		581		(145	)		(2,065	)		(1,629	)
Equity securities available for sale		58		(11	)		(48	)		(1	)
Other invested assets		697		(49	)		(553	)		95
Total assets	$	8,734	$	(1,013	)	$	(5,788	)	$	1,933
Liabilities:
Policyholder contract deposits	$	–	$	(16	)	$	21		$	5
Derivative liabilities, net		9		(1	)		(769	)		(761	)
Long-term debt(b)		–		–			23			23
Total liabilities	$	9	$	(17	)	$	(725	)	$	(733	)
Nine Months Ended September 30, 2012
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	394	$	(219	)	$	(36	)	$	139
Non-U.S. governments		4		(3	)		(1	)		–
Corporate debt		280		(59	)		(125	)		96
RMBS		2,308		(722	)		(1,554	)		32
CMBS		1,021		(260	)		(143	)		618
CDO/ABS		730		(4	)		(876	)		(150	)
Total bonds available for sale		4,737		(1,267	)		(2,735	)		735
Bond trading securities:
Corporate debt		–		–			(5	)		(5	)
RMBS		–		(45	)		(49	)		(94	)
CMBS		194		(106	)		(209	)		(121	)
CDO/ABS		7,216		(6	)		(10,840	)		(3,630	)
Total bond trading securities		7,410		(157	)		(11,103	)		(3,850	)
Equity securities available for sale		67		(55	)		(80	)		(68	)
Other invested assets		529		(63	)		(523	)		(57	)
Total assets	$	12,743	$	(1,542	)	$	(14,441	)	$	(3,240	)
Liabilities:
Policyholder contract deposits	$	–	$	(20	)	$	16		$	(4	)
Derivative liabilities, net		8		–			540			548
Long-term debt(b)		–		–			197			197
Total liabilities	$	8	$	(20	)	$	753		$	741

(a)  There were no issuances during the three- and nine-month periods ended September 30, 2013 and 2012.

(b)  Includes GIAs, notes, bonds, loans and mortgages payable.

Significant unobservable inputs used for recurring fair value measurements

(in millions)	Fair Value at September 30, 2013		Valuation Technique	Unobservable Input(a)	Range (Weighted Average)(a)
Assets:
Corporate debt	$	1,082	Discounted cash flow	Yield(b)	4.20% – 10.58% (7.39%)
RMBS		13,752	Discounted cash flow	Constant prepayment rate(c)	0.00% – 9.94% (4.59%)
				Loss severity(c)	42.05% – 79.27% (60.66%)
				Constant default rate(c)	3.91% – 12.51% (8.21%)
				Yield(c)	2.80% – 7.74% (5.27%)
Certain CDO/ABS		5,421	Discounted cash flow	Constant prepayment rate(c)	5.30% – 13.10% (9.30%)
				Loss severity(c)	43.00% – 64.80% (54.00%)
				Constant default rate(c)	3.40% – 15.70% (8.50%)
				Yield(c)	5.40% – 12.00% (9.80%)
CMBS		6,244	Discounted cash flow	Yield(b)	0.00% – 14.10% (5.63%)
CDO/ABS — Direct			Binomial Expansion	Recovery rate(b)	5.00% – 63.00% (24.00%)
Investment Book		559	Technique (BET)	Diversity score(b)	5 – 36 (13)
				Weighted average life(b)	1.00 – 9.47 years (4.91 years)
Liabilities:
Policyholder contract deposits — GMWB		387	Discounted cash flow	Equity implied volatility(b)	6.00% – 39.00%
				Base lapse rate(b)	1.00% – 40.00%
				Dynamic lapse rate(b)	0.20% – 60.00%
				Mortality rate(b)	0.50% – 40.00%
				Utilization rate(b)	0.50% – 25.00%
Derivative Liabilities — Credit contracts		1,123	BET	Recovery rate(b)	5.00% – 34.00% (17.00%)
				Diversity score(b)	9 – 36 (13)
				Weighted average life(b)	4.68 – 9.47 years (5.76 years)

(in millions)	Fair Value at December 31, 2012		Valuation Technique	Unobservable Input(a)	Range (Weighted Average)(a)
Assets:
Corporate debt	$	775	Discounted cash flow	Yield(b)	0.08% – 6.55% (3.31%)
RMBS		10,650	Discounted cash flow	Constant prepayment rate(c)	0.00% – 10.76% (5.03%)
				Loss severity(c)	43.70% – 78.72% (61.21%)
				Constant default rate(c)	4.21% – 13.30% (8.75%)
				Yield(c)	2.23% – 9.42% (5.82%)
Certain CDO/ABS(d)		7,844	Discounted cash flow	Constant prepayment rate(c)	0.00% – 32.25% (11.82%)
				Loss severity(c)	0.00% – 29.38% (6.36%)
				Constant default rate(c)	0.00% – 4.05% (1.18%)
				Yield(c)	5.41% – 10.67% (8.04%)
CMBS		3,251	Discounted cash flow	Yield(b)	0.00% – 19.95% (7.76%)
CDO/ABS — Direct			Binomial Expansion	Recovery rate(b)	3.00% – 63.00% (27.00%)
Investment Book		1,205	Technique (BET)	Diversity score(b)	4 – 44 (13)
				Weighted average life(b)	1.27 – 9.11 years (4.91 years)
Liabilities:
Policyholder contract deposits — GMWB		1,257	Discounted cash flow	Equity implied volatility(b)	6.00% – 39.00%
				Base lapse rate(b)	1.00% – 40.00%
				Dynamic lapse rate(b)	0.20% – 60.00%
				Mortality rate(b)	0.50% – 40.00%
				Utilization rate(b)	0.50% – 25.00%
Derivative Liabilities — Credit contracts		1,436	BET	Recovery rate(b)	3.00% – 37.00% (17.00%)
				Diversity score(b)	9 – 38 (14)
				Weighted average life(b)	5.10 – 8.45 years (5.75 years)

(a)  The unobservable inputs and ranges for the constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CDO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us because there are other factors relevant to the specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.

(b)  Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.

(c)  Information received from independent third-party valuation service providers.

(d)  Yield was the only input available for $6.6 billion of total fair value at December 31, 2012.

Investments in Certain Entities Carried at Fair Value Using Net Asset Value per Share

		September 30, 2013				December 31, 2012
(in millions)	Investment Category Includes	Fair Value Using Net Asset Value Per Share (or its equivalent)		Unfunded Commitments		Fair Value Using Net Asset Value Per Share (or its equivalent)		Unfunded Commitments
Investment Category
Private equity funds:
Leveraged buyout	Debt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage	$	2,654	$	605	$	2,529	$	669
Real Estate / Infrastructure	Investments in real estate properties and infrastructure positions, including power plants and other energy generating facilities		337		74		251		52
Venture capital	Early-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company		141		13		157		16
Distressed	Securities of companies that are already in default, under bankruptcy protection, or troubled		190		39		184		36
Other	Includes multi-strategy and mezzanine strategies		134		229		112		100
Total private equity funds			3,456		960		3,233		873
Hedge funds:
Event-driven	Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations		937		2		788		2
Long-short	Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk		1,548		–		1,318		–
Macro	Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions		515		–		320		–
Distressed	Securities of companies that are already in default, under bankruptcy protection or troubled		525		18		316		–
Emerging markets	Investments in the financial markets of developing countries		245		–		–		–
Other	Includes multi-strategy and relative value strategies		86		–		66		–
Total hedge funds			3,856		20		2,808		2
Total		$	7,312	$	980	$	6,041	$	875

Gains or losses related to the eligible instruments for which AIG elected the fair value option

	Gain (Loss) Three Months Ended September 30,						Gain (Loss) Nine Months Ended September 30,
(in millions)	2013			2012			2013			2012
Assets:
Mortgage and other loans receivable	$	1		$	10		$	3		$	41
Bonds and equity securities		331			875			963			1,782
Trading — ML II interest		–			–			–			246
Trading — ML III interest		–			330			–			2,888
Retained interest in AIA		–			527			–			1,829
Alternative Investments(a)		23			11			229			11
Other, including Short-term investments		3			3			8			16
Liabilities:
Long-term debt(b)		(51	)		(86	)		271			(750	)
Other liabilities		(4	)		(9	)		(10	)		(31	)
Total gain (loss)(c)	$	303		$	1,661		$	1,464		$	6,032

(a)  Includes hedge funds, private equity funds, affordable housing partnerships and other investment partnerships.

(b)  Includes GIAs, notes, bonds, loans and mortgages payable.

(c)  Excludes discontinued operations.

Difference between fair values and aggregate contractual principal amounts, fair value option

	September 30, 2013						December 31, 2012
(in millions)	Fair Value		Outstanding Principal Amount		Difference		Fair Value		Outstanding Principal Amount		Difference
Assets:
Mortgage and other loans receivable	$	–	$	–	$	–	$	134	$	141	$	(7	)
Liabilities:
Long-term debt*	$	6,981	$	5,374	$	1,607	$	8,055	$	5,705	$	2,350

*     Includes GIAs, notes, bonds, loans and mortgages payable.

Fair value assets measured on nonrecurring basis and impairment charges

									Impairment Charges
	Assets at Fair Value
									Three Months Ended September 30,				Nine Months Ended September 30,
	Non-Recurring Basis
(in millions)	Level 1		Level 2		Level 3		Total		2013		2012		2013		2012
September 30, 2013
Alternative investments	$	–	$	–	$	1,798	$	1,798	$	66	$	97	$	225	$	273
Other assets		–		10		31		41		2		–		26		9
Total	$	–	$	10	$	1,829	$	1,839	$	68	$	97	$	251	$	282
December 31, 2012
Alternative investments	$	–	$	–	$	2,062	$	2,062
Other assets		–		3		18		21
Total	$	–	$	3	$	2,080	$	2,083

Carrying value and estimated fair value of AIG's financial instruments

	Estimated Fair Value								Carrying
(in millions)	Level 1		Level 2		Level 3		Total		Value
September 30, 2013
Assets:
Mortgage and other loans receivable	$	–	$	618	$	20,170	$	20,788	$	19,707
Other invested assets		–		59		3,912		3,971		4,932
Short-term investments		–		17,084		–		17,084		17,084
Cash		2,058		–		–		2,058		2,058
Liabilities:
Policyholder contract deposits associated with investment-type contracts		–		202		113,828		114,030		104,734
Other liabilities		–		5,080		531		5,611		5,613
Long-term debt		–		36,785		2,104		38,889		35,250
December 31, 2012
Assets:
Mortgage and other loans receivable	$	–	$	823	$	19,396	$	20,219	$	19,348
Other invested assets		–		237		3,521		3,758		4,932
Short-term investments		–		20,752		–		20,752		20,752
Cash		1,151		–				1,151		1,151
Liabilities:
Policyholder contract deposits associated with investment-type contracts		–		245		123,860		124,105		105,979
Other liabilities		–		3,981		818		4,799		4,800
Long-term debt		–		43,966		1,925		45,891		40,445