($ in millions)

Gross unrealized

Amortized
cost

Fair
value

Gains

Losses

December 31, 2012

U.S. government and agencies

4,387

326

—

4,713

Municipal

12,139

1,038

(108

)

13,069

Corporate

44,943

3,721

(127

)

48,537

Foreign government

2,290

228

)

2,517

ABS

3,623

108

(107

)

3,624

RMBS

3,000

142

(110

)

3,032

CMBS

1,510

(77

)

1,498

Redeemable preferred stock

—

Total fixed income securities

71,915

5,632

(530

)

77,017

December 31, 2011

U.S. government and agencies

5,966

349

—

6,315

Municipal

13,634

863

(256

)

14,241

Corporate

41,217

2,743

(379

)

43,581

Foreign government

1,866

216

)

2,081

ABS

4,180

(287

)

3,966

RMBS

4,532

110

(521

)

4,121

CMBS

1,962

(226

)

1,784

Redeemable preferred stock

—

Total fixed income securities

73,379

4,404

(1,670

)

76,113

($ in millions)

Amortized
cost

Fair
value

Due in one year or less

3,825

3,872

Due after one year through five years

23,168

24,324

Due after five years through ten years

23,808

25,973

Due after ten years

12,981

14,694

63,782

68,863

ABS, RMBS and CMBS

8,133

8,154

Total

71,915

77,017

($ in millions)

2012

2011

2010

Fixed income securities

3,234

3,484

3,737

Equity securities

127

122

Mortgage loans

374

359

385

Limited partnership interests ⁽¹⁾

348

Short-term investments

Other

132

Investment income, before expense

4,221

4,154

4,279

Investment expense

(211

)

(183

)

(177

)

Net investment income

4,010

3,971

4,102

($ in millions)

2012

2011

2010

Fixed income securities

107

712

(366

)

Equity securities

183

153

Mortgage loans

(27

)

(71

)

Limited partnership interests ⁽¹⁾

159

Derivatives

(397

)

(600

)

Other

)

—

Realized capital gains and losses

327

503

(827

)

($ in millions)

2012

2011

2010

Impairment write-downs

(185

)

(496

)

(797

)

Change in intent write-downs

(48

)

(100

)

(204

)

Net other-than-temporary impairment losses recognized in earnings

(233

)

(596

)

(1,001

)

Sales

536

1,336

686

Valuation of derivative instruments

(11

)

(291

)

(427

)

Settlements of derivative instruments

(105

)

(174

)

EMA limited partnership income

—

159

Realized capital gains and losses

327

503

(827

)

($ in millions)

2012

2011

2010

Gross

Included
in OCI

Net

Gross

Included
in OCI

Net

Gross

Included
in OCI

Net

Fixed income securities:

Municipal

(42

)

(33

)

(59

)

(62

)

(203

)

(179

)

Corporate

(21

)

(23

)

(30

)

(24

)

(68

)

(66

)

Foreign government

—

)

—

)

—

ABS

—

)

(14

)

(16

)

(30

)

RMBS

(65

)

(69

)

(196

)

(39

)

(235

)

(381

)

(47

)

(428

)

CMBS

(22

)

(19

)

(66

)

(65

)

(94

)

(27

)

(121

)

Total fixed income securities

(150

)

(144

)

(361

)

(33

)

(394

)

(760

)

(64

)

(824

)

Equity securities

(75

)

—

(75

)

(139

)

—

(139

)

(57

)

—

(57

)

Mortgage loans

—

(37

)

—

(37

)

(71

)

—

(71

)

Limited partnership interests

)

—

)

—

)

(46

)

—

(46

)

Other

(11

)

—

(11

)

(20

)

—

(20

)

—

)

Other-than-temporary impairment losses

(239

)

(233

)

(563

)

(33

)

(596

)

(937

)

(64

)

(1,001

)

($ in millions)

December 31,
2012

December 31,
2011

Municipal

(20

)

(11

)

Corporate

)

(35

)

ABS

(14

)

(21

)

RMBS

(182

)

(353

)

CMBS

(19

)

(19

)

Total

(236

)

(439

)

($ in millions)

2012

2011

2010

Beginning balance

(944

)

(1,046

)

(1,187

)

Cumulative effect of change in accounting principle

—

Additional credit loss for securities previously other-than-temporarily impaired

(58

)

(152

)

(314

)

Additional credit loss for securities not previously other-than-temporarily impaired

(50

)

(150

)

(312

)

Reduction in credit loss for securities disposed or collected

427

379

638

Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell

Change in credit loss due to accretion of increase in cash flows

Ending balance

(617

)

(944

)

(1,046

)

				Gross unrealized

	Fair value			Gross unrealized					Unrealized net gains (losses)
($ in millions) December 31, 2012	Fair value			Gains		Losses			Unrealized net gains (losses)
Fixed income securities	$	77,017		$	5,632	$	(530	)	$	5,102
Equity securities		4,037			494		(34	)		460
Short-term investments		2,336			—		—			—
Derivative instruments ⁽¹⁾		(17	)		2		(24	)		(22	)
EMA limited partnerships ⁽²⁾										7

Unrealized net capital gains and losses, pre-tax										5,547
Amounts recognized for:
Insurance reserves ⁽³⁾										(771	)
DAC and DSI ⁽⁴⁾										(412	)

Amounts recognized										(1,183	)
Deferred income taxes										(1,530	)

Unrealized net capital gains and losses, after-tax									$	2,834

(1): Included in the fair value of derivative instruments are $2 million classified as assets and $19 million classified as liabilities.
(2): Unrealized net capital gains and losses for limited partnership interests represent the Company's share of EMA limited partnerships' other comprehensive income. Fair value and gross gains and losses are not applicable.
(3): The insurance reserves adjustment represents the amount by which the reserve balance would increase if the net unrealized gains in the applicable product portfolios were realized and reinvested at current lower interest rates, resulting in a premium deficiency. Although the Company evaluates premium deficiencies on the combined performance of life insurance and immediate annuities with life contingencies, the adjustment primarily relates to structured settlement annuities with life contingencies, in addition to annuity buy-outs and certain payout annuities with life contingencies.
(4): The DAC and DSI adjustment balance represents the amount by which the amortization of DAC and DSI would increase or decrease if the unrealized gains or losses in the respective product portfolios were realized.

				Gross unrealized

	Fair value			Gross unrealized					Unrealized net gains (losses)
December 31, 2011	Fair value			Gains		Losses			Unrealized net gains (losses)
Fixed income securities	$	76,113		$	4,404	$	(1,670	)	$	2,734
Equity securities		4,363			369		(209	)		160
Short-term investments		1,291			—		—			—
Derivative instruments ⁽¹⁾		(12	)		3		(20	)		(17	)
EMA limited partnerships										2

Unrealized net capital gains and losses, pre-tax										2,879
Amounts recognized for:
Insurance reserves										(594	)
DAC and DSI										(124	)

Amounts recognized										(718	)
Deferred income taxes										(761	)

Unrealized net capital gains and losses, after-tax									$	1,400

(1): Included in the fair value of derivative instruments are $(5) million classified as assets and $7 million classified as liabilities.

($ in millions)

2012

2011

2010

Fixed income securities

2,368

1,908

3,303

Equity securities

300

(423

)

404

Derivative instruments

)

EMA limited partnerships

—

Total

2,668

1,492

3,708

Amounts recognized for:

Insurance reserves

(177

)

(585

)

DAC and DSI

(288

)

(209

)

(731

)

Amounts recognized

(465

)

(794

)

(740

)

Deferred income taxes

(769

)

(246

)

(1,037

)

Increase in unrealized net capital gains and losses

1,434

452

1,931

($ in millions)

Less than 12 months

12 months or more

Number
of issues

Fair
value

Unrealized
losses

Number
of issues

Fair
value

Unrealized
losses

Total
unrealized
losses

December 31, 2012

Fixed income securities

U.S. government and agencies

—

Municipal

130

1,012

(13

)

717

(95

)

(108

)

Corporate

133

1,989

(33

)

896

(94

)

(127

)

Foreign government

190

)

—

)

ABS

145

)

794

(106

)

(107

)

RMBS

117

)

336

638

(109

)

(110

)

CMBS

—

357

(77

)

(77

)

Redeemable preferred stock

—

Total fixed income securities

431

3,539

(49

)

608

3,402

(481

)

(530

)

Equity securities

803

284

(27

)

(34

)

Total fixed income and equity securities

1,234

3,823

(76

)

704

3,471

(488

)

(564

)

Investment grade fixed income securities

387

3,141

(39

)

409

2,172

(217

)

(256

)

Below investment grade fixed income securities

398

(10

)

199

1,230

(264

)

(274

)

Total fixed income securities

431

3,539

(49

)

608

3,402

(481

)

(530

)

December 31, 2011

Fixed income securities

U.S. government and agencies

—

Municipal

135

(11

)

303

1,886

(245

)

(256

)

Corporate

307

3,439

(113

)

105

1,273

(266

)

(379

)

Foreign government

)

—

)

ABS

960

(17

)

108

1,020

(270

)

(287

)

RMBS

321

373

(11

)

294

1,182

(510

)

(521

)

CMBS

378

(49

)

489

(177

)

(226

)

Redeemable preferred stock

—

Total fixed income securities

809

5,431

(202

)

879

5,851

(1,468

)

(1,670

)

Equity securities

1,397

2,120

(203

)

(209

)

Total fixed income and equity securities

2,206

7,551

(405

)

911

5,881

(1,474

)

(1,879

)

Investment grade fixed income securities

665

4,480

(145

)

555

3,773

(700

)

(845

)

Below investment grade fixed income securities

144

951

(57

)

324

2,078

(768

)

(825

)

Total fixed income securities

809

5,431

(202

)

879

5,851

(1,468

)

(1,670

)

(% of mortgage loan portfolio carrying value)

2012

2011

California

23.6

22.6

Illinois

8.1

9.1

New York

6.4

5.8

Texas

6.4

6.2

New Jersey

6.2

6.5

Pennsylvania

4.9

5.3

(% of mortgage loan portfolio carrying value)

2012

2011

Office buildings

26.6

27.9

Retail

22.7

24.8

Apartment complex

20.6

19.6

Warehouse

19.7

19.4

Other

10.4

8.3

Total

100.0

($ in millions)

Number of
loans

Carrying
value

Percent

2013

339

5.2

2014

758

11.5

2015

968

14.7

2016

813

12.4

Thereafter

334

3,688

56.2

Total

579

6,566

100.0

($ in millions)

2012

2011

Debt service coverage ratio distribution

Fixed rate
mortgage
loans

Variable rate
mortgage
loans

Total

Fixed rate
mortgage
loans

Variable rate
mortgage
loans

Total

Below 1.0

267

—

267

345

—

345

1.0 - 1.25

1,208

1,228

1,527

1,571

1.26 - 1.50

1,458

1,504

1,573

1,597

Above 1.50

3,268

148

3,416

3,214

168

3,382

Total non-impaired mortgage loans

6,201

214

6,415

6,659

236

6,895

($ in millions)

2012

2011

Impaired mortgage loans with a valuation allowance

147

244

Impaired mortgage loans without a valuation allowance

—

Total impaired mortgage loans

155

244

Valuation allowance on impaired mortgage loans

($ in millions)

2012

2011

2010

Beginning balance

Net (decrease) increase in valuation allowance

)

Charge offs

(16

)

(58

)

(76

)

Ending balance

($ in millions)

2012

2011

Less than 90 days past due

—

90 days or greater past due

Total past due

Current loans

6,545

7,096

Total mortgage loans

6,570

7,139

(% of municipal bond portfolio carrying value)

2012

2011

Texas

8.2

7.7

California

8.1

10.4

Florida

6.5

5.9

New York

5.9

5.3