Investments (Tables)

3 Months Ended

Mar. 31, 2013

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
March 31, 2013
U.S. government and agencies	$	3,960	$	297	$	--		$	4,257
Municipal		10,933		975		(46	)		11,862
Corporate		46,267		3,428		(128	)		49,567
Foreign government		2,165		203		(3	)		2,365
Asset-backed securities (“ABS”)		3,579		104		(86	)		3,597
Residential mortgage-backed securities (“RMBS”)		2,685		142		(77	)		2,750
Commercial mortgage-backed securities (“CMBS”)		1,345		78		(42	)		1,381
Redeemable preferred stock		23		4		--			27
Total fixed income securities	$	70,957	$	5,231	$	(382	)	$	75,806
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		(1	)		2,517
ABS		3,623		108		(107	)		3,624
RMBS		3,000		142		(110	)		3,032
CMBS		1,510		65		(77	)		1,498
Redeemable preferred stock		23		4		--			27
Total fixed income securities	$	71,915	$	5,632	$	(530	)	$	77,017

Schedule for fixed income securities based on contractual maturities

($ in millions)		Amortized cost		Fair value
Due in one year or less	$	3,149	$	3,187
Due after one year through five years		24,722		25,905
Due after five years through ten years		23,511		25,450
Due after ten years		11,966		13,536
		63,348		68,078
ABS, RMBS and CMBS		7,609		7,728
Total	$	70,957	$	75,806

Schedule of net investment income

($ in millions)		2013			2012
Fixed income securities	$	762		$	806
Equity securities		25			21
Mortgage loans		98			93
Limited partnership interests		107			109
Short-term investments		2			1
Other		37			30
Investment income, before expense		1,031			1,060
Investment expense		(48	)		(49	)
Net investment income	$	983		$	1,011

Schedule of realized capital gains and losses by asset type

($ in millions)		2013			2012
Fixed income securities	$	72		$	(29	)
Equity securities		29			159
Mortgage loans		31			(1	)
Limited partnership interests		5			10
Derivatives		(4	)		21
Other		(2	)		8
Realized capital gains and losses	$	131		$	168

Schedule of realized capital gains and losses by transaction type

($ in millions)		2013			2012
Impairment write-downs	$	(10	)	$	(39	)
Change in intent write-downs		(27	)		(44	)
Net other-than-temporary impairment losses recognized in earnings		(37	)		(83	)
Sales		172			229
Valuation of derivative instruments		(4	)		11
Settlements of derivative instruments		--			11
Realized capital gains and losses	$	131		$	168

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

($ in millions)		2013						2012
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(13)	$	(2)	$	(15)	$	(1)	$	--	$	(1	)
Corporate		--		--		--		(18)		--		(18	)
RMBS		--		(1)		(1)		(43)		4		(39	)
CMBS		(19)		(7)		(26)		(6)		--		(6	)
Total fixed income securities		(32)		(10)		(42)		(68)		4		(64	)
Equity securities		(19)		--		(19)		(16)		--		(16	)
Mortgage loans		26		--		26		(3)		--		(3	)
Limited partnership interests		--		--		--		(2)		--		(2	)
Other		(2)		--		(2)		2		--		2
Other-than-temporary impairment losses	$	(27)	$	(10)	$	(37)	$	(87)	$	4	$	(83	)

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

($ in millions)		March 31, 2013		December 31, 2012
Municipal	$	(14)	$	(20	)
Corporate		(1)		(1	)
ABS		(12)		(14	)
RMBS		(167)		(182	)
CMBS		(12)		(19	)
Total	$	(206)	$	(236	)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended March 31,
		2013			2012
Beginning balance	$	(617	)	$	(944	)
Additional credit loss for securities previously other-than-temporarily impaired		(15	)		(20	)
Additional credit loss for securities not previously other-than-temporarily impaired		(15	)		(9	)
Reduction in credit loss for securities disposed or collected		47			146
Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell		--			7
Change in credit loss due to accretion of increase in cash flows		--			--
Ending balance	$	(600	)	$	(820	)

Schedule of unrealized net capital gains and losses

($ in millions)		Fair			Gross unrealized				Unrealized net
March 31, 2013		value			Gains		Losses		gains (losses)
Fixed income securities	$	75,806		$	5,231	$	(382	)	$	4,849
Equity securities		4,439			677		(15	)		662
Short-term investments		3,169			--		--			--
Derivative instruments (1)		(14	)		3		(22	)		(19	)
EMA limited partnerships (2)										8
Unrealized net capital gains and losses, pre-tax										5,500
Amounts recognized for:
Insurance reserves (3)										(623	)
DAC and DSI (4)										(404	)
Amounts recognized										(1,027	)
Deferred income taxes										(1,568	)
Unrealized net capital gains and losses, after-tax									$	2,905

________________

(1) Included in the fair value of derivative instruments are $3 million classified as assets and $17 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, 2012		value			Gains		Losses		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										7
Unrealized net capital gains and losses, pre-tax										5,547
Amounts recognized for:
Insurance reserves										(771	)
DAC and DSI										(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.

Schedule of change in unrealized net capital gains and losses

The change in unrealized net capital gains and losses for the three months ended March 31, 2013 is as follows:

($ in millions)
Fixed income securities	$	(253	)
Equity securities		202
Derivative instruments		3
EMA limited partnerships		1
Total		(47	)
Amounts recognized for:
Insurance reserves		148
DAC and DSI		8
Amounts recognized		156
Deferred income taxes		(38	)
Increase in unrealized net capital gains and losses	$	71

Schedule of gross unrealized losses and fair value of available for sale securities by length of time

($ 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
March 31, 2013
Fixed income securities
U.S. government and agencies	6	$	229	$	--		--	$	--	$	--		$	--
Municipal	102		709		(8	)	44		242		(38	)		(46	)
Corporate	197		2,845		(38	)	66		841		(90	)		(128	)
Foreign government	18		170		(3	)	--		--		--			(3	)
ABS	17		332		--		76		799		(86	)		(86	)
RMBS	141		34		(1	)	346		549		(76	)		(77	)
CMBS	7		58		(1	)	28		230		(41	)		(42	)
Total fixed income securities	488		4,377		(51	)	560		2,661		(331	)		(382	)
Equity securities	489		127		(12	)	48		28		(3	)		(15	)
Total fixed income and equity securities	977	$	4,504	$	(63	)	608	$	2,689	$	(334	)	$	(397	)
Investment grade fixed income securities	412	$	3,878	$	(39	)	395	$	1,620	$	(148	)	$	(187	)
Below investment grade fixed income securities	76		499		(12	)	165		1,041		(183	)		(195	)
Total fixed income securities	488	$	4,377	$	(51	)	560	$	2,661	$	(331	)	$	(382	)
December 31, 2012
Fixed income securities
U.S. government and agencies	6	$	85	$	--		--	$	--	$	--		$	--
Municipal	130		1,012		(13	)	80		717		(95	)		(108	)
Corporate	133		1,989		(33	)	70		896		(94	)		(127	)
Foreign government	22		190		(1	)	--		--		--			(1	)
ABS	12		145		(1	)	77		794		(106	)		(107	)
RMBS	117		50		(1	)	336		638		(109	)		(110	)
CMBS	11		68		--		44		357		(77	)		(77	)
Redeemable preferred stock	--		--		--		1		--		--			--
Total fixed income securities	431		3,539		(49	)	608		3,402		(481	)		(530	)
Equity securities	803		284		(27	)	96		69		(7	)		(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	44		398		(10	)	199		1,230		(264	)		(274	)
Total fixed income securities	431	$	3,539	$	(49	)	608	$	3,402	$	(481	)	$	(530	)

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

($ in millions)		March 31, 2013						December 31, 2012
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	$	232	$	--	$	232	$	267	$	--	$	267
1.0 - 1.25		1,095		20		1,115		1,208		20		1,228
1.26 - 1.50		1,471		41		1,512		1,458		46		1,504
Above 1.50		3,389		144		3,533		3,268		148		3,416
Total non-impaired mortgage loans	$	6,187	$	205	$	6,392	$	6,201	$	214	$	6,415

Net carrying value of impaired mortgage loans

($ in millions)		March 31, 2013		December 31, 2012
Impaired mortgage loans with a valuation allowance	$	24	$	147
Impaired mortgage loans without a valuation allowance		18		8
Total impaired mortgage loans	$	42	$	155
Valuation allowance on impaired mortgage loans	$	15	$	42

Valuation allowance on impaired mortgage loans

($ in millions)		2013			2012
Beginning balance	$	42		$	63
Net (decrease) increase in valuation allowance		(26	)		3
Charge offs		(1	)		(6	)
Ending balance	$	15		$	60

Carrying value of past due mortgage loans

($ in millions)		March 31, 2013		December 31, 2012
Less than 90 days past due	$	38	$	21
90 days or greater past due		4		4
Total past due		42		25
Current loans		6,392		6,545
Total mortgage loans	$	6,434	$	6,570