Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2013

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 (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Counterparty and cash collateral netting		Balance as of September 30, 2013
Assets
Fixed income securities:
U.S. government and agencies	$	1,662	$	1,212	$	7			$	2,881
Municipal		--		9,188		423				9,611
Corporate		--		38,575		1,122				39,697
Foreign government		--		1,939		--				1,939
ABS		--		3,281		140				3,421
RMBS		--		1,842		2				1,844
CMBS		--		838		37				875
Redeemable preferred stock		--		26		1				27
Total fixed income securities		1,662		56,901		1,732				60,295
Equity securities		4,000		684		128				4,812
Short-term investments		671		2,023		--				2,694
Other investments: Free-standing derivatives		--		237		6	$	(26)		217
Separate account assets		4,928		--		--				4,928
Other assets		--		--		1				1
Assets held for sale		1,697		10,138		365				12,200
Total recurring basis assets		12,958		69,983		2,232		(26)		85,147
Non-recurring basis (1)		--		--		56		--		56
Total assets at fair value	$	12,958	$	69,983	$	2,288	$	(26)	$	85,203
% of total assets at fair value		15.2 %		82.1 %		2.7 %		-- %		100.0 %
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(283)			$	(283)
Other liabilities: Free-standing derivatives		(1)		(152)		(16)	$	14		(155)
Liabilities held for sale		--		--		(249)				(249)
Total recurring basis liabilities		(1)		(152)		(548)		14		(687)
Non-recurring basis (2)		--		--		(11,282)		--		(11,282)
Total liabilities at fair value	$	(1)	$	(152)	$	(11,830)	$	14	$	(11,969)
% of total liabilities at fair value		-- %		1.3 %		98.8 %		(0.1) %		100.0 %

(1)	Includes $27 million of mortgage loans, $26 million of limited partnership interests and $3 million of other investments 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 $15,577 million of assets held for sale and $(14,908) million of liabilities held for sale, less $12,200 million of assets and $(249) 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, 2012
Assets
Fixed income securities:
U.S. government and agencies	$	2,790	$	1,915	$	8			$	4,713
Municipal		--		12,104		965				13,069
Corporate		--		46,920		1,617				48,537
Foreign government		--		2,517		--				2,517
ABS		--		3,373		251				3,624
RMBS		--		3,029		3				3,032
CMBS		--		1,446		52				1,498
Redeemable preferred stock		--		26		1				27
Total fixed income securities		2,790		71,330		2,897				77,017
Equity securities		3,008		858		171				4,037
Short-term investments		703		1,633		--				2,336
Other investments: Free-standing derivatives		--		187		3	$	(57)		133
Separate account assets		6,610		--		--				6,610
Other assets		5		--		1				6
Total recurring basis assets		13,116		74,008		3,072		(57)		90,139
Non-recurring basis (1)		--		--		9				9
Total assets at fair value	$	13,116	$	74,008	$	3,081	$	(57)	$	90,148
% of total assets at fair value		14.6 %		82.1 %		3.4 %		(0.1) %		100.0 %
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(553)			$	(553)
Other liabilities: Free-standing derivatives		--		(98)		(30)	$	33		(95)
Total liabilities at fair value	$	--	$	(98)	$	(583)	$	33	$	(648)
% of total liabilities at fair value		-- %		15.1 %		90.0 %		(5.1) %		100.0 %

(1) Includes $4 million of mortgage loans, $4 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

($ in millions)	Fair value		Valuation technique	Unobservable input	Range	Weighted average
September 30, 2013
ARS backed by student loans	$	100	Discounted cash flow model	Anticipated date liquidity will return to the market	36 - 54 months	37 - 49 months
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(205)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.72%
Liabilities held for sale – Equity-indexed and forward starting options	$	(249)	Stochastic cash flow model	Projected option cost	1.0 - 2.0 %	1.93%
December 31, 2012
ARS backed by student loans	$	394	Discounted cash flow model	Anticipated date liquidity will return to the market	18 - 60 months	31 - 43 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 the 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 June 30, 2013		Net income (1)		OCI		Transfers into Level 3		Transfers out of Level 3
Assets
Fixed income securities:
U.S. government and agencies	$	7	$	--	$	--	$	--	$	--
Municipal		553		(6)		(1)		--		(56)
Corporate		1,383		10		1		21		(24)
ABS		288		--		15		--		(70)
RMBS		3		--		--		--		--
CMBS		41		--		1		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		2,276		4		16		21		(150)
Equity securities		125		--		3		--		--
Free-standing derivatives, net		(7)		(2)		--		--		--
Other assets		1		--		--		--		--
Assets held for sale		--		(1)		(8)		3		(2)
Total recurring Level 3 assets	$	2,395	$	1	$	11	$	24	$	(152)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(533)	$	8	$	--	$	--	$	--
Liabilities held for sale		--		16		--		--		--
Total recurring Level 3 liabilities	$	(533)	$	24	$	--	$	--	$	--

		Transfer to held for sale		Purchases/ Issues (2)		Sales		Settlements		Balance as of September 30, 2013
Assets
Fixed income securities:
U.S. government and agencies	$	--	$	--	$	--	$	--	$	7
Municipal		(51)		2		(18)		--		423
Corporate		(244)		99		(75)		(49)		1,122
ABS		(85)		--		--		(8)		140
RMBS		--		--		--		(1)		2
CMBS		(5)		--		--		--		37
Redeemable preferred stock		--		--		--		--		1
Total fixed income securities		(385)		101		(93)		(58)		1,732
Equity securities		--		--		--		--		128
Free-standing derivatives, net		--		1		--		(2)		(10) (3)
Other assets		--		--		--		--		1
Assets held for sale		385		--		(10)		(2)		365
Total recurring Level 3 assets	$	--	$	102	$	(103)	$	(62)	$	2,216
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	265	$	(24)	$	--	$	1	$	(283)
Liabilities held for sale		(265)		(2)		--		2		(249)
Total recurring Level 3 liabilities	$	--	$	(26)	$	--	$	3	$	(532)

___________

(1) The effect to net income totals $25 million and is reported in the Condensed Consolidated Statements of Operations as follows: $(3) million in realized capital gains and losses, $3 million in net investment income, $15 million in interest credited to contractholder funds and $10 million in life and annuity contract benefits.

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

(3) Comprises $6 million of assets and $16 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:
U.S. government and agencies	$	8	$	--	$	--	$	--	$	--
Municipal		965		(34)		48		6		(62)
Corporate		1,617		31		(38)		84		(299)
ABS		251		--		30		18		(86)
RMBS		3		--		--		--		--
CMBS		52		(1)		3		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		2,897		(4)		43		108		(447)
Equity securities		171		2		4		--		--
Free-standing derivatives, net		(27)		20		--		--		--
Other assets		1		--		--		--		--
Assets held for sale		--		(1)		(8)		3		(2)
Total recurring Level 3 assets	$	3,042	$	17	$	39	$	111	$	(449)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(553)	$	77	$	--	$	--	$	--
Liabilities held for sale		--		16		--		--		--
Total recurring Level 3 liabilities	$	(553)	$	93	$	--	$	--	$	--

		Transfer to held for sale		Purchases/ Issues (2)		Sales		Settlements		Balance as of September 30, 2013
Assets
Fixed income securities:
U.S. government and agencies	$	--	$	--	$	--	$	(1)	$	7
Municipal		(51)		54		(481)		(22)		423
Corporate		(244)		459		(351)		(137)		1,122
ABS		(85)		126		(81)		(33)		140
RMBS		--		--		--		(1)		2
CMBS		(5)		6		(17)		(1)		37
Redeemable preferred stock		--		--		--		--		1
Total fixed income securities		(385)		645		(930)		(195)		1,732
Equity securities		--		--		(49)		--		128
Free-standing derivatives, net		--		2		--		(5)		(10) (3)
Other assets		--		--		--		--		1
Assets held for sale		385		--		(10)		(2)		365
Total recurring Level 3 assets	$	--	$	647	$	(989)	$	(202)	$	2,216
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	265	$	(74)	$	--	$	2	$	(283)
Liabilities held for sale		(265)		(2)		--		2		(249)
Total recurring Level 3 liabilities	$	--	$	(76)	$	--	$	4	$	(532)

_____________

(1) The effect to net income totals $110 million and is reported in the Condensed Consolidated Statements of Operations as follows: $(1) million in realized capital gains and losses, $15 million in net investment income, $40 million in interest credited to contractholder funds and $56 million in life and annuity contract benefits.

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

(3) Comprises $6 million of assets and $16 million of liabilities.

($ in millions)				Total gains (losses) included in:
		Balance as of June 30, 2012		Net income (1)		OCI		Transfers into Level 3		Transfers out of Level 3
Assets
Fixed income securities:
U.S. government and agencies	$	8	$	--	$	--	$	--	$	--
Municipal		1,144		(4)		14		53		--
Corporate		1,524		10		39		74		--
ABS		334		(9)		34		43		(26)
RMBS		4		--		--		--		--
CMBS		47		(1)		1		--		--
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		3,062		(4)		88		170		(26)
Equity securities		192		(3)		--		--		--
Free-standing derivatives, net		(71)		11		--		--		--
Other assets		1		--		--		--		--
Total recurring Level 3 assets	$	3,184	$	4	$	88	$	170	$	(26)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(707)	$	160	$	--	$	--	$	--
Total recurring Level 3 liabilities	$	(707)	$	160	$	--	$	--	$	--

		Purchases		Sales		Issues		Settlements		Balance as of September 30, 2012
Assets
Fixed income securities:
U.S. government and agencies	$	--	$	--	$	--	$	--	$	8
Municipal		4		(49)		--		--		1,162
Corporate		62		(120)		--		(46)		1,543
ABS		--		(151)		--		(3)		222
RMBS		--		--		--		(1)		3
CMBS		3		--		--		--		50
Redeemable preferred stock		--		--		--		--		1
Total fixed income securities		69		(320)		--		(50)		2,989
Equity securities		2		(8)		--		--		183
Free-standing derivatives, net		21		--		--		9		(30) (2)
Other assets		--		--		--		--		1
Total recurring Level 3 assets	$	92	$	(328)	$	--	$	(41)	$	3,143
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(24)	$	20	$	(551)
Total recurring Level 3 liabilities	$	--	$	--	$	(24)	$	20	$	(551)

_____________

(1) The effect to net income totals $164 million and is reported in the Condensed Consolidated Statements of Operations as follows: $(4) million in realized capital gains and losses, $7 million in net investment income, $143 million in interest credited to contractholder funds and $18 million in life and annuity contract benefits.

(2) Comprises $2 million of assets and $32 million of liabilities.

($ 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:
U.S. government and agencies	$	--	$	--	$	--	$	8	$	--
Municipal		1,332		(10)		31		53		(26)
Corporate		1,405		16		62		210		(38)
ABS		297		20		46		43		(77)
RMBS		51		--		--		--		(47)
CMBS		60		(3)		9		--		(5)
Redeemable preferred stock		1		--		--		--		--
Total fixed income securities		3,146		23		148		314		(193)
Equity securities		43		(7)		6		--		--
Free-standing derivatives, net		(95)		25		--		--		--
Other assets		1		--		--		--		--
Total recurring Level 3 assets	$	3,095	$	41	$	154	$	314	$	(193)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(723)	$	151	$	--	$	--	$	--
Total recurring Level 3 liabilities	$	(723)	$	151	$	--	$	--	$	--

		Purchases		Sales		Issues		Settlements		Balance as of September 30, 2012
Assets
Fixed income securities:
U.S. government and agencies	$	--	$	--	$	--	$	--	$	8
Municipal		46		(254)		--		(10)		1,162
Corporate		193		(219)		--		(86)		1,543
ABS		74		(162)		--		(19)		222
RMBS		--		--		--		(1)		3
CMBS		5		(1)		--		(15)		50
Redeemable preferred stock		1		(1)		--		--		1
Total fixed income securities		319		(637)		--		(131)		2,989
Equity securities		164		(23)		--		--		183
Free-standing derivatives, net		27		--		--		13		(30) (2)
Other assets		--		--		--		--		1
Total recurring Level 3 assets	$	510	$	(660)	$	--	$	(118)	$	3,143
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	--	$	--	$	(53)	$	74	$	(551)
Total recurring Level 3 liabilities	$	--	$	--	$	(53)	$	74	$	(551)

______________

(1) The effect to net income totals $192 million and is reported in the Condensed Consolidated Statements of Operations as follows: $19 million in realized capital gains and losses, $22 million in net investment income, $119 million in interest credited to contractholder funds and $32 million in life and annuity contract benefits.

(2) Comprises $2 million of assets and $32 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,
		2013		2012		2013		2012
Assets
Fixed income securities:
Municipal	$	(6)	$	(5)	$	(22)	$	(10)
Corporate		3		5		9		13
ABS		--		--		(1)		--
RMBS		--		--		(1)		(1)
CMBS		--		(1)		(1)		(2)
Total fixed income securities		(3)		(1)		(16)		--
Equity securities		--		(3)		--		(9)
Free-standing derivatives, net		(2)		(7)		14		4
Assets held for sale		(1)		--		(1)		--
Total recurring Level 3 assets	$	(6)	$	(11)	$	(3)	$	(5)
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	8	$	160	$	77	$	151
Liabilities held for sale		16		--		16		--
Total recurring Level 3 liabilities	$	24	$	160	$	93	$	151

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

Financial assets

($ in millions)		September 30, 2013				December 31, 2012
		Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	$	4,817	$	4,987	$	6,570	$	6,886
Cost method limited partnerships		1,435		1,806		1,406		1,714
Bank loans		1,151		1,147		682		684
Agent loans		328		319		319		314
Assets held for sale		1,497		1,573		--		--

Financial liabilities

($ in millions)		September 30, 2013				December 31, 2012
		Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	$	15,698	$	16,227	$	27,014	$	28,019
Long-term debt		6,217		6,545		6,057		7,141
Liability for collateral		655		655		808		808
Liabilities held for sale		7,704		7,550		--		--