Investments (Tables)

6 Months Ended

Jun. 30, 2011

Investments.

Schedule for fixed income securities at amortized cost, gross unrealized gains and losses and fair value

($ in millions)		Amortized		Gross unrealized					Fair
		cost		Gains		Losses			value
June 30, 2011
U.S. government and agencies	$	5,872	$	318	$	(3	)	$	6,187
Municipal		14,557		491		(375	)		14,673
Corporate		40,610		2,014		(255	)		42,369
Foreign government		2,720		327		(4	)		3,043
Residential mortgage-backed securities (“RMBS”)		6,356		203		(569	)		5,990
Commercial mortgage-backed securities (“CMBS”)		2,083		57		(154	)		1,986
Asset-backed securities (“ABS”)		4,281		95		(234	)		4,142
Redeemable preferred stock		23		1		--			24
Total fixed income securities	$	76,502	$	3,506	$	(1,594	)	$	78,414
December 31, 2010
U.S. government and agencies	$	8,320	$	327	$	(51	)	$	8,596
Municipal		16,201		379		(646	)		15,934
Corporate		36,260		1,816		(421	)		37,655
Foreign government		2,821		347		(10	)		3,158
RMBS		8,509		216		(732	)		7,993
CMBS		2,213		58		(277	)		1,994
ABS		4,425		113		(294	)		4,244
Redeemable preferred stock		37		1		--			38
Total fixed income securities	$	78,786	$	3,257	$	(2,431	)	$	79,612

Schedule for fixed income securities based on contractual maturities

The scheduled maturities for fixed income securities are as follows as of June 30, 2011:

($ in millions)		Amortized		Fair
		cost		value
Due in one year or less	$	2,921	$	2,965
Due after one year through five years		24,089		25,112
Due after five years through ten years		19,237		20,311
Due after ten years		19,618		19,894
		65,865		68,282
RMBS and ABS		10,637		10,132
Total	$	76,502	$	78,414

Schedule of net investment income

($ in millions)		Three months ended June 30,						Six months ended June 30,
		2011			2010			2011			2010
Fixed income securities	$	899		$	955		$	1,799		$	1,914
Equity securities		34			25			53			46
Mortgage loans		87			99			176			203
Limited partnership interests		18			7			28			13
Short-term investments		1			2			3			4
Other		26			6			37			7
Investment income, before expense		1,065			1,094			2,096			2,187
Investment expense		(45	)		(45	)		(94	)		(88	)
Net investment income	$	1,020		$	1,049		$	2,002		$	2,099

Schedule of realized capital gains and losses by asset type

($ in millions)		Three months ended June 30,						Six months ended June 30,
		2011			2010			2011			2010
Fixed income securities	$	39		$	(188	)	$	12		$	(324	)
Equity securities		15			45			137			59
Mortgage loans		(3	)		(28	)		(9	)		(53	)
Limited partnership interests		53			26			121			5
Derivatives		(53	)		(308	)		(120	)		(493	)
Other		6			2			12			7
Realized capital gains and losses	$	57		$	(451	)	$	153		$	(799	)

Schedule of realized capital gains and losses by transaction type

($ in millions)		Three months ended June 30,						Six months ended June 30,
		2011			2010			2011			2010
Impairment write-downs	$	(70	)	$	(239	)	$	(184	)	$	(462	)
Change in intent write-downs		(16	)		(67	)		(85	)		(99	)
Net other-than-temporary impairment losses recognized in earnings		(86	)		(306	)		(269	)		(561	)
Sales		141			145			424			233
Valuation of derivative instruments		(50	)		(283	)		(28	)		(438	)
Settlements of derivative instruments		(3	)		(27	)		(92	)		(57	)
Equity method of accounting (“EMA”) limited partnership income		55			20			118			24
Realized capital gains and losses	$	57		$	(451	)	$	153		$	(799	)

Schedule of other-than-temporary impairment losses by asset type

($ in millions)		Three months endedJune 30, 2011									Six months ended June 30, 2011
		Gross			Included in OCI			Net			Gross			Included in OCI			Net
Fixed income securities:
Municipal	$	(15	)	$	(1	)	$	(16	)	$	(42	)	$	(3	)	$	(45	)
Corporate		--			--			--			(5	)		1			(4	)
Foreign government		--			--			--			(1	)		--			(1	)
RMBS		(35	)		--			(35	)		(107	)		(25	)		(132	)
CMBS		(10	)		(3	)		(13	)		(26	)		(7	)		(33	)
ABS		--			--			--			(7	)		3			(4	)
Total fixed income securities		(60	)		(4	)		(64	)		(188	)		(31	)		(219	)
Equity securities		(13	)		--			(13	)		(33	)		--			(33	)
Mortgage loans		(7	)		--			(7	)		(13	)		--			(13	)
Limited partnership interests		(1	)		--			(1	)		(2	)		--			(2	)
Other		(1	)		--			(1	)		(2	)		--			(2	)
Other-than-temporary impairment losses	$	(82	)	$	(4	)	$	(86	)	$	(238	)	$	(31	)	$	(269	)

		Three months ended June 30, 2010									Six months ended June 30, 2010
		Gross			Included in OCI			Net			Gross			Included in OCI			Net
Fixed income securities:
Municipal	$	(68	)	$	4		$	(64	)	$	(105	)	$	4		$	(101	)
Corporate		(6	)		(1	)		(7	)		(53	)		2			(51	)
RMBS		(124	)		5			(119	)		(212	)		(2	)		(214	)
CMBS		(17	)		(11	)		(28	)		(43	)		(11	)		(54	)
ABS		(6	)		(15	)		(21	)		(9	)		(16	)		(25	)
Total fixed income securities		(221	)		(18	)		(239	)		(422	)		(23	)		(445	)
Equity securities		(31	)		--			(31	)		(37	)		--			(37	)
Mortgage loans		(28	)		--			(28	)		(47	)		--			(47	)
Limited partnership interests		(8	)		--			(8	)		(32	)		--			(32	)
Other-than-temporary impairment losses	$	(288	)	$	(18	)	$	(306	)	$	(538	)	$	(23	)	$	(561	)

Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income

($ in millions)		June 30, 2011			December 31, 2010
Municipal	$	(13	)	$	(27	)
Corporate		(32	)		(31	)
RMBS		(411	)		(467	)
CMBS		(11	)		(49	)
ABS		(22	)		(41	)
Total	$	(489	)	$	(615	)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended June 30,						Six months ended June 30,
		2011			2010			2011			2010
Beginning balance	$	(963	)	$	(1,236	)	$	(1,046	)	$	(1,187	)
Additional credit loss for securities previously other-than-temporarily impaired		(31	)		(101	)		(90	)		(180	)
Additional credit loss for securities not previously other-than-temporarily impaired		(17	)		(71	)		(44	)		(172	)
Reduction in credit loss for securities disposed or collected		94			95			247			226
Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell		--			1			15			1
Change in credit loss due to accretion of increase in cash flows		5			3			6			3
Ending balance	$	(912	)	$	(1,309	)	$	(912	)	$	(1,309	)

Schedule of unrealized net capital gains and losses

($ in millions)		Fair			Gross unrealized				Unrealized net
June 30, 2011		value			Gains		Losses		gains (losses)
Fixed income securities	$	78,414		$	3,506	$	(1,594	)	$	1,912
Equity securities		4,954			705		(80	)		625
Short-term investments		2,536			--		--			--
Derivative instruments (1)		(31	)		--		(36	)		(36	)
EMA limited partnership interests (2)										7
Unrealized net capital gains and losses, pre-tax										2,508
Amounts recognized for:
Insurance reserves (3)										(217	)
DAC and DSI (4)										(61	)
Amounts recognized										(278	)
Deferred income taxes										(784	)
Unrealized net capital gains and losses, after-tax									$	1,446

(1)	Included in the fair value of derivative instruments are $(5) million classified as assets and $26 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.

		Fair			Gross unrealized				Unrealized net
December 31, 2010		value			Gains		Losses		gains (losses)
Fixed income securities	$	79,612		$	3,257	$	(2,431	)	$	826
Equity securities		4,811			646		(63	)		583
Short-term investments		3,279			--		--			--
Derivative instruments (1)		(17	)		2		(24	)		(22	)
Unrealized net capital gains and losses, pre-tax										1,387
Amounts recognized for:
Insurance reserves										(41	)
DAC and DSI										97
Amounts recognized										56
Deferred income taxes										(508	)
Unrealized net capital gains and losses, after-tax									$	935

(1) Included in the fair value of derivative instruments are $2 million classified as assets and $19 million classified as liabilities.

Schedule of change in unrealized net capital gains and losses

The change in unrealized net capital gains and losses for the six months ended June 30, 2011 is as follows:

($ in millions)
Fixed income securities	$	1,086
Equity securities		42
Derivative instruments		(14	)
EMA limited partnership interests		7
Total		1,121
Amounts recognized for:
Insurance reserves		(176	)
DAC and DSI		(158	)
Amounts recognized		(334	)
Deferred income taxes		(276	)
Increase in unrealized net capital gains and losses	$	511

Schedule of gross unrealized losses, fair value and maturity of available for sale securities

($ in millions)	Less than 12 months						12 months or more							Total
	Number		Fair		Unrealized		Number		Fair		Unrealized			unrealized
	of issues		value		losses		of issues		value		losses			losses
June 30, 2011
Fixed income securities
U.S. government and agencies	9	$	198	$	(3	)	--	$	--	$	--		$	(3	)
Municipal	417		1,985		(75	)	357		2,222		(300	)		(375	)
Corporate	385		4,980		(95	)	113		1,552		(160	)		(255	)
Foreign government	25		114		(4	)	--		--		--			(4	)
RMBS	120		368		(12	)	296		1,338		(557	)		(569	)
CMBS	29		314		(16	)	75		609		(138	)		(154	)
ABS	30		441		(5	)	121		1,235		(229	)		(234	)
Total fixed income securities	1,015		8,400		(210	)	962		6,956		(1,384	)		(1,594	)
Equity securities	895		666		(60	)	87		73		(20	)		(80	)
Total fixed income and equity securities	1,910	$	9,066	$	(270	)	1,049	$	7,029	$	(1,404	)	$	(1,674	)
Investment grade fixed income securities	836	$	6,786	$	(156	)	618	$	4,665	$	(607	)	$	(763	)
Below investment grade fixed income securities	179		1,614		(54	)	344		2,291		(777	)		(831	)
Total fixed income securities	1,015	$	8,400	$	(210	)	962	$	6,956	$	(1,384	)	$	(1,594	)
December 31, 2010
Fixed income securities
U.S. government and agencies	32	$	2,081	$	(51	)	--	$	--	$	--		$	(51	)
Municipal	847		4,130		(175	)	411		2,715		(471	)		(646	)
Corporate	438		5,994		(186	)	150		1,992		(235	)		(421	)
Foreign government	33		277		(9	)	1		10		(1	)		(10	)
RMBS	280		583		(12	)	422		1,939		(720	)		(732	)
CMBS	14		158		(3	)	114		835		(274	)		(277	)
ABS	68		762		(8	)	133		1,313		(286	)		(294	)
Total fixed income securities	1,712		13,985		(444	)	1,231		8,804		(1,987	)		(2,431	)
Equity securities	773		610		(48	)	44		91		(15	)		(63	)
Total fixed income and equity securities	2,485	$	14,595	$	(492	)	1,275	$	8,895	$	(2,002	)	$	(2,494	)
Investment grade fixed income securities	1,607	$	13,280	$	(408	)	857	$	6,217	$	(943	)	$	(1,351	)
Below investment grade fixed income securities	105		705		(36	)	374		2,587		(1,044	)		(1,080	)
Total fixed income securities	1,712	$	13,985	$	(444	)	1,231	$	8,804	$	(1,987	)	$	(2,431	)

Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution

($ in millions)		June 30, 2011						December 31, 2010
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	$	327	$	--	$	327	$	280	$	--	$	280
1.0 - 1.25		1,622		--		1,622		1,583		16		1,599
1.26 - 1.50		1,672		26		1,698		1,520		5		1,525
Above 1.50		2,740		266		3,006		2,540		546		3,086
Total non-impaired mortgage loans	$	6,361	$	292	$	6,653	$	5,923	$	567	$	6,490

Net carrying value of impaired mortgage loans

($ in millions)		June 30, 2011		December 31, 2010
Impaired mortgage loans with a valuation allowance	$	153	$	168
Impaired mortgage loans without a valuation allowance		21		21
Total impaired mortgage loans	$	174	$	189
Valuation allowance on impaired mortgage loans	$	68	$	84

Valuation allowance on impaired mortgage loans

($ in millions)		Three months ended June 30, 2011			Six months ended June 30, 2011
Beginning balance	$	77		$	84
Net increase in valuation allowance		7			13
Charge offs		(16	)		(29	)
Ending balance	$	68		$	68

Carrying value of past due mortgage loans

($ in millions)		June 30, 2011		December 31, 2010
Less than 90 days past due	$	27	$	12
90 days or greater past due		48		78
Total past due		75		90
Current loans		6,752		6,589
Total mortgage loans	$	6,827	$	6,679