Pursuant to the Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards CodificationTM (“ASC”), we have categorized AFS securities into a three-level hierarchy, based on the priority of the inputs to the respective valuation technique. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3), as described in Note 1 in our 2010 Form 10-K, which also includes additional disclosures regarding our fair value measurements.

The amortized cost, gross unrealized gains, losses and OTTI and fair value of AFS securities (in millions) were as follows:

				As of June 30, 2011
				Amortized		Gross Unrealized						Fair
				Cost		Gains		Losses		OTTI		Value
Fixed Maturity Securities
Corporate bonds				$	51,639	$	3,802	$	541	$	70	$	54,830
U.S. Government bonds					224		18		2		-		240
Foreign government bonds					551		43		-		-		594
MBS:
	CMOs				5,248		334		66		137		5,379
	MPTS				3,028		124		3		-		3,149
	CMBS				1,819		89		100		2		1,806
ABS CDOs					137		5		16		-		126
State and municipal bonds					3,370		137		28		-		3,479
Hybrid and redeemable preferred securities					1,357		67		107		-		1,317
VIEs' fixed maturity securities					572		21		-		-		593
		Total fixed maturity securities			67,945		4,640		863		209		71,513

Equity Securities
Banking securities					2		-		-		-		2
Insurance securities					29		4		-		-		33
Other financial services securities					17		14		-		-		31
Other securities					73		7		2		-		78
		Total equity securities			121		25		2		-		144
			Total AFS securities	$	68,066	$	4,665	$	865	$	209	$	71,657

				As of December 31, 2010
				Amortized		Gross Unrealized						Fair
				Cost		Gains		Losses		OTTI		Value
Fixed Maturity Securities
Corporate bonds				$	48,863	$	3,571	$	607	$	87	$	51,740
U.S. Government bonds					150		17		2		-		165
Foreign government bonds					473		38		3		-		508
MBS:
	CMOs				5,693		324		114		146		5,757
	MPTS				2,980		106		5		-		3,081
	CMBS				2,144		95		180		6		2,053
ABS CDOs					174		22		13		9		174
State and municipal bonds					3,222		27		94		-		3,155
Hybrid and redeemable preferred securities					1,476		56		135		-		1,397
VIEs' fixed maturity securities					570		14		-		-		584
		Total fixed maturity securities			65,745		4,270		1,153		248		68,614

Equity Securities
Banking securities					61		-		3		-		58
Insurance securities					33		4		-		-		37
Other financial services securities					18		14		-		-		32
Other securities					67		7		4		-		70
		Total equity securities			179		25		7		-		197
			Total AFS securities	$	65,924	$	4,295	$	1,160	$	248	$	68,811

The amortized cost and fair value of fixed maturity AFS securities by contractual maturities (in millions) were as follows:

			As of June 30, 2011
			Amortized		Fair
			Cost		Value
Due in one year or less			$	2,242	$	2,293
Due after one year through five years				12,273		13,239
Due after five years through ten years				21,214		22,713
Due after ten years				21,984		22,808
	Subtotal			57,713		61,053
MBS				10,095		10,334
ABS CDOs				137		126
		Total fixed maturity AFS securities	$	67,945	$	71,513

Actual maturities may differ from contractual maturities because issuers may have the right to call or pre-pay obligations.

The fair value and gross unrealized losses, including the portion of OTTI recognized in OCI, of AFS securities (dollars in millions), aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position, were as follows:

				As of June 30, 2011
				Less Than or Equal				Greater Than
				to Twelve Months				Twelve Months				Total
						Gross				Gross				Gross
						Unrealized				Unrealized				Unrealized
				Fair		Losses and		Fair		Losses and		Fair		Losses and
				Value		OTTI		Value		OTTI		Value		OTTI
Fixed Maturity Securities
Corporate bonds				$	6,430	$	241	$	1,625	$	370	$	8,055	$	611
U.S. Government bonds					51		2		2		-		53		2
MBS:
	CMOs				536		104		603		99		1,139		203
	MPTS				165		3		1		-		166		3
	CMBS				90		4		180		98		270		102
ABS CDOs					47		1		96		15		143		16
State and municipal bonds					755		18		66		10		821		28
Hybrid and redeemable
	preferred securities				133		2		489		105		622		107
		Total fixed maturity securities		$	8,207	$	375	$	3,062	$	697	$	11,269	$	1,072

Equity Securities
Other securities					10		2		-		-		10		2
		Total equity securities			10		2		-		-		10		2
			Total AFS securities	$	8,217	$	377	$	3,062	$	697	$	11,279	$	1,074

Total number of AFS securities in an unrealized loss position															1,100

					As of December 31, 2010
				Less Than or Equal				Greater Than
				to Twelve Months				Twelve Months				Total
						Gross				Gross				Gross
						Unrealized				Unrealized				Unrealized
				Fair		Losses and		Fair		Losses and		Fair		Losses and
				Value		OTTI		Value		OTTI		Value		OTTI
Fixed Maturity Securities
Corporate bonds				$	5,271	$	297	$	2,007	$	397	$	7,278	$	694
U.S. Government bonds					28		2		2		-		30		2
Foreign government bonds					19		-		9		3		28		3
MBS:
	CMOs				465		121		748		139		1,213		260
	MPTS				190		5		2		-		192		5
	CMBS				75		8		304		178		379		186
ABS CDOs					-		-		147		22		147		22
State and municipal bonds					1,889		84		27		10		1,916		94
Hybrid and redeemable
	preferred securities				203		10		568		125		771		135
		Total fixed maturity securities			8,140		527		3,814		874		11,954		1,401

Equity Securities
Banking securities					57		3		-		-		57		3
Other securities					3		4		-		-		3		4
		Total equity securities			60		7		-		-		60		7
			Total AFS securities	$	8,200	$	534	$	3,814	$	874	$	12,014	$	1,408

Total number of AFS securities in an unrealized loss position															1,237

We perform detailed analysis on the AFS securities backed by pools of residential and commercial mortgages that are most at risk of impairment based on factors discussed in Note 1 in our 2010 Form 10-K. Selected information for these securities in a gross unrealized loss position (in millions) was as follows:

		As of June 30, 2011
		Amortized		Fair		Unrealized
		Cost		Value		Loss
Total
AFS securities backed by pools of residential mortgages		$	2,363	$	1,904	$	459
AFS securities backed by pools of commercial mortgages			411		297		114
	Total	$	2,774	$	2,201	$	573

Subject to Detailed Analysis
AFS securities backed by pools of residential mortgages		$	2,127	$	1,672	$	455
AFS securities backed by pools of commercial mortgages			116		55		61
	Total	$	2,243	$	1,727	$	516

		As of December 31, 2010
		Amortized		Fair		Unrealized
		Cost		Value		Loss
Total
AFS securities backed by pools of residential mortgages		$	2,539	$	2,006	$	533
AFS securities backed by pools of commercial mortgages			611		410		201
	Total	$	3,150	$	2,416	$	734

Subject to Detailed Analysis
AFS securities backed by pools of residential mortgages		$	2,303	$	1,776	$	527
AFS securities backed by pools of commercial mortgages			185		76		109
	Total	$	2,488	$	1,852	$	636

For the six months ended June 30, 2011 and 2010, we recorded OTTI for AFS securities backed by pools of residential and commercial mortgages of $44 million and $49 million, pre-tax, respectively, and before associated amortization expense for deferred acquisition costs (“DAC”), value of business acquired (“VOBA”), deferred sales inducements (“DSI”) and deferred front-end loads (“DFEL”), of which $4 million and $(13) million, respectively, was recognized in OCI and $40 million and $62 million, respectively, was recognized in net income (loss).

The fair value, gross unrealized losses, the portion of OTTI recognized in OCI (in millions) and number of AFS securities where the fair value had declined and remained below amortized cost by greater than 20% were as follows:

		As of June 30, 2011
								Number
		Fair		Gross Unrealized				of
		Value		Losses		OTTI		Securities⁽¹⁾
Less than six months		$	106	$	16	$	29		38
Six months or greater, but less than nine months			22		7		2		11
Nine months or greater, but less than twelve months			33		16		-		6
Twelve months or greater			702		403		125		182
	Total	$	863	$	442	$	156		237

		As of December 31, 2010
								Number
		Fair		Gross Unrealized				of
		Value		Losses		OTTI		Securities⁽¹⁾
Less than six months		$	170	$	73	$	5		41
Six months or greater, but less than nine months			60		22		-		13
Nine months or greater, but less than twelve months			42		17		1		13
Twelve months or greater			929		520		184		224
	Total	$	1,201	$	632	$	190		291

We regularly review our investment holdings for OTTI. Our gross unrealized losses on AFS securities decreased $334 million for the six months ended June 30, 2011. This change was attributable primarily to a decline in overall market yields, which was driven, in part, by improved credit fundamentals. As discussed further below, we believe the unrealized loss position as of June 30, 2011, did not represent OTTI as we did not intend to sell these fixed maturity AFS securities, it is not more likely than not that we will be required to sell the fixed maturity AFS securities before recovery of their amortized cost basis, the estimated future cash flows were equal to or greater than the amortized cost basis of the debt securities, or we had the ability and intent to hold the equity AFS securities for a period of time sufficient for recovery.

Based upon this evaluation as of June 30, 2011, management believed we had the ability to generate adequate amounts of cash from our normal operations (e.g., insurance premiums and fees and investment income) to meet cash requirements with a prudent margin of safety without requiring the sale of our temporarily-impaired securities.

As of June 30, 2011, the unrealized losses associated with our corporate bond securities were attributable primarily to securities that were backed by commercial loans and individual issuer companies. For our corporate bond securities with commercial loans as the underlying collateral, we evaluated the projected credit losses in the underlying collateral and concluded that we had sufficient subordination or other credit enhancement when compared with our estimate of credit losses for the individual security and we expected to recover the entire amortized cost for each security. For individual issuers, we performed detailed analysis of the financial performance of the issuer and determined that we expected to recover the entire amortized cost for each security.

As of June 30, 2011, the unrealized losses associated with our MBS and ABS CDOs were attributable primarily to collateral losses and credit spreads. We assessed for credit impairment using a cash flow model as discussed above. The key assumptions included default rates, severities and prepayment rates. We estimated losses for a security by forecasting the underlying loans in each transaction. The forecasted loan performance was used to project cash flows to the various tranches in the structure, as applicable. Our forecasted cash flows also considered, as applicable, independent industry analyst reports and forecasts, sector credit ratings and other independent market data. Based upon our assessment of the expected credit losses of the security given the performance of the underlying collateral compared to our subordination or other credit enhancement, we expected to recover the entire amortized cost basis of each security.

As of June 30, 2011, the unrealized losses associated with our hybrid and redeemable preferred securities were attributable primarily to wider credit spreads caused by illiquidity in the market and subordination within the capital structure, as well as credit risk of specific issuers. For our hybrid and redeemable preferred securities, we evaluated the financial performance of the issuer based upon credit performance and investment ratings and determined we expected to recover the entire amortized cost of each security.

Changes in the amount of credit loss of OTTI recognized in net income (loss) where the portion related to other factors was recognized in OCI (in millions) on fixed maturity AFS securities were as follows:

					For the Three				For the Six
					Months Ended				Months Ended
					June 30,				June 30,
					2011		2010		2011		2010
Balance as of beginning-of-period					$	352	$	293	$	319	$	268
	Increases attributable to:
		Credit losses on securities for which an OTTI was not previously
			recognized			3		11		29		13
		Credit losses on securities for which an OTTI was previously
			recognized			19		-		40		27
	Decreases attributable to:
		Securities sold				(34)		(11)		(48)		(15)
				Balance as of end-of-period	$	340	$	293	$	340	$	293

During the three and six months ended June 30, 2011, we recorded credit losses on securities for which an OTTI was not previously recognized as we determined the cash flows expected to be collected would not be sufficient to recover the entire amortized cost basis of the debt security. The credit losses we recorded on securities for which an OTTI was not previously recognized were attributable primarily to one or a combination of the following reasons:

We recognize the OTTI attributed to the noncredit portion as a separate component in OCI referred to as unrealized OTTI on AFS securities.

Details of the amount of credit loss of OTTI recognized in net income (loss) where the portion related to other factors was recognized in OCI (in millions), were as follows:

			As of June 30, 2011
					Gross Unrealized						OTTI in
			Amortized				Losses and		Fair		Credit
			Cost		Gains		OTTI		Value		Losses
Corporate bonds			$	188	$	1	$	67	$	122	$	47
MBS:
	CMOs			594		1		121		474		268
	CMBS			3		-		2		1		25
		Total	$	785	$	2	$	190	$	597	$	340

			As of December 31, 2010
					Gross Unrealized						OTTI in
			Amortized				Losses and		Fair		Credit
			Cost		Gains		OTTI		Value		Losses
Corporate bonds			$	204	$	3	$	76	$	131	$	60
MBS:
	CMOs			509		2		126		385		258
	CMBS			6		-		5		1		1
		Total	$	719	$	5	$	207	$	517	$	319

Mortgage loans on real estate principally involve commercial real estate. The commercial loans are geographically diversified throughout the U.S. with the largest concentrations in California and Texas, which accounted for approximately 33% and 30% of mortgage loans on real estate as of June 30, 2011, and December 31, 2010, respectively.

The following provides the current and past due composition of our mortgage loans on real estate (in millions):

			As of			As of
		June 30,			December 31,
			2011			2010
Current			$	6,799		$	6,697
60 to 90 days past due				30			8
Greater than 90 days past due				45			40
Valuation allowance associated with impaired mortgage loans on real estate				(20)			(13)
Unamortized premium (discount)				17			20
	Total carrying value		$	6,871		$	6,752

The number of impaired mortgage loans on real estate, each of which had an associated specific valuation allowance, and the carrying value of impaired mortgage loans on real estate (dollars in millions) were as follows:

			As of			As of
		June 30,			December 31,
			2011			2010
Number of impaired mortgage loans on real estate			10			9

Principal balance of impaired mortgage loans on real estate			$	79		$	75
Valuation allowance associated with impaired mortgage loans on real estate				(20)			(13)
	Carrying value of impaired mortgage loans on real estate		$	59		$	62

Changes in the valuation allowance for credit losses associated with impaired mortgage loans on real estate (in millions) were as follows:

Information for our impaired mortgage loans on real estate (in millions) was as follows:

	For the Three				For the Six
	Months Ended				Months Ended
	June 30,				June 30,
	2011		2010		2011		2010
Average carrying value for impaired mortgage loans on real estate	$	53	$	59	$	54	$	49
Interest income recognized on impaired mortgage loans on real estate		-		1		1		1
Interest income collected on impaired mortgage loans on real estate		1		1		2		1

As described in Note 1 in our 2010 Form 10-K, we use the loan-to-value and debt-service coverage ratios as credit quality indicators for our mortgage loans on real estate, which were as follows (dollars in millions):

		As of June 30, 2011					As of December 31, 2010
						Debt-					Debt-
						Service					Service
		Principal				Coverage	Principal				Coverage
Loan-to-Value		Amount		%		Ratio	Amount		%		Ratio
Less than 65%		$	5,138	74.7	%	1.62	$	4,863	72.1	%	1.62
65% to 74%			1,335	19.4	%	1.39		1,484	22.0	%	1.40
75% to 100%			279	4.1	%	0.92		179	2.7	%	0.85
Greater than 100%			122	1.8	%	1.14		219	3.2	%	1.06
	Total mortgage loans on real estate	$	6,874	100.0	%		$	6,745	100.0	%

As of June 30, 2011, and December 31, 2010, alternative investments included investments in approximately 97 and 95 different partnerships, respectively, and the portfolio represented less than 1% of our overall invested assets.

The detail of the realized gain (loss) related to certain investments (in millions) was as follows:

			For the Three				For the Six
			Months Ended				Months Ended
			June 30,				June 30,
			2011		2010		2011		2010
Fixed maturity AFS securities:
	Gross gains		$	31	$	35	$	67	$	84
	Gross losses			(51)		(29)		(114)		(113)
Equity AFS securities:
	Gross gains			1		5		9		6
	Gross losses			-		-		-		(4)
Gain (loss) on other investments				(8)		(8)		5		(29)
Associated amortization of DAC, VOBA, DSI and DFEL
	and changes in other contract holder funds			(7)		(8)		(18)		(4)
		Total realized gain (loss) related to certain investments	$	(34)	$	(5)	$	(51)	$	(60)

Details underlying write-downs taken as a result of OTTI (in millions) that were recognized in net income (loss) and included in realized gain (loss) on AFS securities above, and the portion of OTTI recognized in OCI (in millions) were as follows:

						For the Three				For the Six
						Months Ended				Months Ended
						June 30,				June 30,
						2011		2010		2011		2010
OTTI Recognized in Net Income (Loss)
Fixed maturity securities:
	Corporate bonds					$	(2)	$	(5)	$	(6)	$	(46)
	MBS:
		CMOs					(23)		(12)		(43)		(36)
		CMBS					(15)		-		(39)		-
	ABS CDOs						-		-		(1)		(1)
	Hybrid and redeemable preferred securities						-		-		(2)		(5)
			Total fixed maturity securities				(40)		(17)		(91)		(88)

Equity securities:
	Other financial services securities						-		-		-		(3)
			Total equity securities				-		-		-		(3)
				Gross OTTI recognized in net income (loss)			(40)		(17)		(91)		(91)
				Associated amortization of DAC, VOBA, DSI and DFEL			10		6		22		27
					Net OTTI recognized in net income (loss), pre-tax	$	(30)	$	(11)	$	(69)	$	(64)

Portion of OTTI Recognized in OCI
Gross OTTI recognized in OCI						$	18	$	-	$	27	$	22
Change in DAC, VOBA, DSI and DFEL							(3)		-		(6)		2
	Net portion of OTTI recognized in OCI, pre-tax					$	15	$	-	$	21	$	24

As of June 30, 2011, and December 31, 2010, we reviewed our corporate bond and ABS CDO portfolios for potential shortfall in contractual principal and interest based on numerous subjective and objective inputs. The factors used to determine the amount of credit loss for each individual security, include, but are not limited to, near term risk, substantial discrepancy between book and market value, sector or company-specific volatility, negative operating trends and trading levels wider than peers.

Credit ratings express opinions about the credit quality of a security. Securities rated investment grade, that is those rated BBB- or higher by Standard & Poor's (“S&P”) Rating Services or Baa3 or higher by Moody's Investors Service (“Moody's”), are generally considered by the rating agencies and market participants to be low credit risk. As of June 30, 2011, and December 31, 2010, 96% and 95%, respectively, of the fair value of our corporate bond portfolio was rated investment grade. As of June 30, 2011, and December 31, 2010, the portion of our corporate bond portfolio rated below investment grade had an amortized cost of $2.4 billion and $2.6 billion and a fair value of $2.3 billion and $2.4 billion, respectively. As of June 30, 2011, and December 31, 2010, 88% and 91%, respectively, of the fair value of our ABS CDO portfolio was rated investment grade. As of June 30, 2011, and December 31, 2010, the portion of our ABS CDO portfolio rated below investment grade had an amortized cost of $25 million and $24 million and fair value of $15 million and $16 million, respectively. Based upon the analysis discussed above, we believed as of June 30, 2011, and December 31, 2010, that we would recover the amortized cost of each investment grade corporate bond and ABS CDO security.

For securities where we recorded an OTTI recognized in net income (loss) for the six months ended June 30, 2011 and 2010, the recovery as a percentage of amortized cost was 98% and 80% for corporate bonds, respectively, and 0% for ABS CDOs for both periods.

As of June 30, 2011, and December 31, 2010, default rates were projected by considering underlying MBS loan performance and collateral type. Projected default rates on existing delinquencies vary between 25% to 100% depending on loan type and severity of delinquency status. In addition, we estimate the potential contributions of currently performing loans that may become delinquent in the future based on the change in delinquencies and loan liquidations experienced in the recent history. Finally, we develop a default rate timing curve by aggregating the defaults for all loans (delinquent loans, foreclosure and real estate owned and new delinquencies from currently performing loans) in the pool to project the future expected cash flows.

We use certain available loan characteristics such as lien status, loan sizes and occupancy to estimate the loss severity of loans. Second lien loans are assigned 100% severity, if defaulted. For first lien loans, we assume a minimum of 30% severity with higher severity assumed for investor properties and further housing price depreciation.

The carrying values of the payables for collateral on investments (in millions) included on our Consolidated Balance Sheets and the fair value of the related investments or collateral consisted of the following:

			As of June 30, 2011				As of December 31, 2010
			Carrying		Fair		Carrying		Fair
			Value		Value		Value		Value
Collateral payable held for derivative investments⁽¹⁾			$	1,023	$	1,023	$	800	$	800
Securities pledged under securities lending agreements⁽²⁾				200		192		199		192
Securities pledged under reverse repurchase agreements⁽³⁾				280		292		280		294
Securities pledged for Term Asset-Backed Securities
	Loan Facility ("TALF")⁽⁴⁾			202		231		280		318
Investments pledged for Federal Home Loan Bank of
	Indianapolis Securities ("FHLBI")⁽⁵⁾			100		126		100		115
		Total payables for collateral on investments	$	1,805	$	1,864	$	1,659	$	1,719

Increase (decrease) in payables for collateral on investments (in millions) included on the Consolidated Statements of Cash Flows consisted of the following:

		For the Six
		Months Ended
		June 30,
		2011		2010
Collateral payable held for derivative investments		$	223	$	804
Securities pledged under securities lending agreements			1		(313)
Securities pledged under reverse repurchase agreements			-		(9)
Securities pledged for TALF			(78)		(13)
	Total increase (decrease) in payables for collateral on investments	$	146	$	469

As of June 30, 2011, our investment commitments were $760 million, which included $271 million of limited partnerships (“LPs”), $261 million of private placements and $228 million of mortgage loans on real estate.

As of June 30, 2011, and December 31, 2010, our most significant investments in one issuer were our investments in securities issued by the Federal Home Loan Mortgage Corporation with a fair value of $5.0 billion, or 6% of our invested assets portfolio and our investments in securities issued by Fannie Mae with a fair value of $2.8 billion and $2.9 billion, or 3% of our invested assets portfolio, respectively. These investments are included in corporate bonds in the tables above.

As of June 30, 2011, and December 31, 2010, our most significant investments in one industry were our investment securities in the electric industry with a fair value of $7.1 billion and $6.7 billion, or 8% of our invested assets portfolio, respectively, and our investment securities in the CMO industry with a fair value of $6.1 billion and $6.5 billion, or 7% and 8% of our invested assets portfolio, respectively. We utilized the industry classifications to obtain the concentration of financial instruments amount; as such, this amount will not agree to the AFS securities table above.