XML 69 R40.htm IDEA: XBRL DOCUMENT v2.4.0.6
Investments (Tables)
 12 Months Ended
Dec. 31, 2011
Investments  
Schedule for fixed income securities at amortized cost, gross unrealized gains and losses and fair value

 

 

 
    
   Gross unrealized    
  
($ in millions)
   Amortized
cost 		  Fair
value 		 
 
   Gains   Losses  

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     (1 )   2,081  

RMBS

     4,532     110     (521 )   4,121  

CMBS

     1,962     48     (226 )   1,784  

ABS

     4,180     73     (287 )   3,966  

Redeemable preferred stock

     22     2     —     24  
                   

Total fixed income securities

   $ 73,379   $ 4,404   $ (1,670 ) $ 76,113  
                   

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

 

 

($ in millions)
   Amortized
cost 		  Fair
value 		 

Due in one year or less

   $ 3,243   $ 3,279  

Due after one year through five years

     21,377     22,153  

Due after five years through ten years

     21,718     23,247  

Due after ten years

     18,329     19,347  
           

 

     64,667     68,026  

RMBS and ABS

     8,712     8,087  
           

Total

   $ 73,379   $ 76,113  
           
Schedule of net investment income

 

 

($ in millions)
   2011   2010   2009  

Fixed income securities

   $ 3,484   $ 3,737   $ 3,998  

Equity securities

     122     90     80  

Mortgage loans

     359     385     498  

Limited partnership interests

     88     40     17  

Short-term investments

     6     8     27  

Other

     95     19     (10 )
               

Investment income, before expense

     4,154     4,279     4,610  

Investment expense

     (183 )   (177 )   (166 )
               

Net investment income

   $ 3,971   $ 4,102   $ 4,444  
               
Schedule of realized capital gains and losses by asset type

 

 

($ in millions)
   2011   2010   2009  

Fixed income securities

   $ 712   $ (366 ) $ (302 )

Equity securities

     63     153     181  

Mortgage loans

     (27 )   (71 )   (144 )

Limited partnership interests

     159     57     (446 )

Derivatives

     (397 )   (600 )   206  

Other

     (7 )   —     (78 )
               

Realized capital gains and losses

   $ 503   $ (827 ) $ (583 )
               
Schedule of realized capital gains and losses by transaction type

 

 

($ in millions)
   2011   2010   2009  

Impairment write-downs

   $ (496 ) $ (797 ) $ (1,562 )

Change in intent write-downs

     (100 )   (204 )   (357 )
               

Net other-than-temporary impairment losses recognized in earnings

     (596 )   (1,001 )   (1,919 )

Sales

     1,336     686     1,272  

Valuation of derivative instruments

     (291 )   (427 )   367  

Settlements of derivative instruments

     (105 )   (174 )   (162 )

EMA limited partnership income

     159     89     (141 )
               

Realized capital gains and losses

   $ 503   $ (827 ) $ (583 )
               
Schedule of other-than-temporary impairment losses by asset type

 

 

($ in millions)
   2011   2010   2009  
 
   Gross   Included in OCI   Net   Gross   Included in OCI   Net   Gross   Included in OCI   Net  

Fixed income securities:

                                                        

Municipal

   $ (59 ) $ (3 ) $ (62 ) $ (203 ) $ 24   $ (179 ) $ (140 ) $ 10   $ (130 )

Corporate

     (30 )   6     (24 )   (68 )   2     (66 )   (213 )   (13 )   (226 )

Foreign government

     (1 )   —     (1 )   —     —     —     (17 )   —     (17 )

RMBS

     (196 )   (39 )   (235 )   (381 )   (47 )   (428 )   (672 )   384     (288 )

CMBS

     (66 )   1     (65 )   (94 )   (27 )   (121 )   (411 )   102     (309 )

ABS

     (9 )   2     (7 )   (14 )   (16 )   (30 )   (208 )   (26 )   (234 )
                                       

Total fixed income securities

     (361 )   (33 )   (394 )   (760 )   (64 )   (824 )   (1,661 )   457     (1,204 )

Equity securities

     (139 )   —     (139 )   (57 )   —     (57 )   (264 )   —     (264 )

Mortgage loans

     (37 )   —     (37 )   (71 )   —     (71 )   (103 )   —     (103 )

Limited partnership interests

     (6 )   —     (6 )   (46 )   —     (46 )   (308 )   —     (308 )

Other

     (20 )   —     (20 )   (3 )   —     (3 )   (40 )   —     (40 )
                                       

Other-than-temporary impairment losses

   $ (563 ) $ (33 ) $ (596 ) $ (937 ) $ (64 ) $ (1,001 ) $ (2,376 ) $ 457   $ (1,919 )
                                       
Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income

 

 

($ in millions)
   December 31,
2011 		  December 31,
2010 		 

Municipal

   $ (11 ) $ (27 )

Corporate

     (35 )   (31 )

RMBS

     (353 )   (467 )

CMBS

     (19 )   (49 )

ABS

     (21 )   (41 )
           

Total

   $ (439 ) $ (615 )
           
Schedule of credit losses on fixed income securities recognized in earnings

 

 

($ in millions)
   2011   2010   2009  

Beginning balance

   $ (1,046 ) $ (1,187 ) $ —  

Beginning balance of cumulative credit loss for securities held as of April 1, 2009

     —     —     (1,357 )

Cumulative effect of change in accounting principle

     —     81     —  

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

     (152 )   (314 )   (136 )

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

     (150 )   (312 )   (518 )

Reduction in credit loss for securities disposed or collected

     379     638     824  

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

     15     43     —  

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

     10     5     —  
               

Ending balance

   $ (944 ) $ (1,046 ) $ (1,187 )
               
Schedule of unrealized net capital gains and losses

 

 

 
    
   Gross unrealized    
  
 
   Fair
value 		  Unrealized net
gains (losses) 		 
($ in millions)
   Gains   Losses  
December 31, 2011
  

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 partnership interests (2)

                       2  
                         

Unrealized net capital gains and losses, pre-tax

                       2,879  

Amounts recognized for:

                          

Insurance reserves (3)

                       (637 )

DAC and DSI (4)

                       (139 )
                         

Amounts recognized

                       (776 )

Deferred income taxes

                       (740 )
                         

Unrealized net capital gains and losses, after-tax

                     $ 1,363  
                         
(1)
Included in the fair value of derivative instruments are $(5) million classified as assets and $7 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 		  Unrealized net
gains (losses) 		 
December 31, 2010
   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

 

 

($ in millions)
   2011   2010   2009  

Fixed income securities

   $ 1,908   $ 3,303   $ 6,019  

Equity securities

     (423 )   404     511  

Short-term investments

     —     —     (3 )

Derivative instruments

     5     1     (34 )

EMA limited partnership interests

     2     —     —  
               

Total

     1,492     3,708     6,493  

Amounts recognized for:

                    

Insurance reserves

     (596 )   (41 )   378  

DAC and DSI

     (236 )   (893 )   (2,510 )
               

Amounts recognized

     (832 )   (934 )   (2,132 )

Deferred income taxes

     (232 )   (969 )   (1,493 )
               

Increase in unrealized net capital gains and losses

   $ 428   $ 1,805   $ 2,868  
               
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    
  
 
   Number
of issues 		  Fair
value 		  Unrealized
losses 		  Number
of issues 		  Fair
value 		  Unrealized
losses 		  Total
unrealized
losses 		 

December 31, 2011

                                            

Fixed income securities

                                            

U.S. government and agencies

     4   $ 61   $ —     —   $ —   $ —   $ —  

Municipal

     29     135     (11 )   303     1,886     (245 )   (256 )

Corporate

     307     3,439     (113 )   105     1,273     (266 )   (379 )

Foreign government

     11     85     (1 )   1     1     —     (1 )

RMBS

     321     373     (11 )   294     1,182     (510 )   (521 )

CMBS

     47     378     (49 )   68     489     (177 )   (226 )

ABS

     89     960     (17 )   108     1,020     (270 )   (287 )

Redeemable preferred stock

     1     —     —     —     —     —     —  
                               

Total fixed income securities

     809     5,431     (202 )   879     5,851     (1,468 )   (1,670 )

Equity securities

     1,397     2,120     (203 )   32     30     (6 )   (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 )
                               

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 )
                               
Principal geographic distribution of commercial real estate represented in the mortgage portfolio

 

 

(% of mortgage loan portfolio carrying value)
   2011   2010  

California

     22.6 %   23.2 %

Illinois

     9.1     9.4  

New Jersey

     6.5     6.5  

Texas

     6.2     5.3  

New York

     5.8     6.6  

Pennsylvania

     5.3     5.6  
Types of property collateralizing the mortgage loans

 

 

(% of mortgage loan portfolio carrying value)
   2011   2010  

Office buildings

     27.9 %   32.1 %

Retail

     24.8     27.3  

Apartment complex

     19.6     12.8  

Warehouse

     19.4     21.9  

Other

     8.3     5.9  
           

Total

     100.0 %   100.0 %
           
Contractual maturities of the commercial mortgage loan portfolio

 

 

($ in millions)

   Number of
loans 		  Carrying
value 		  Percent  

2012

     59   $ 580     8.2 %

2013

     59     473     6.6  

2014

     70     935     13.2  

2015

     64     942     13.3  

Thereafter

     377     4,166     58.7  
               

Total

     629   $ 7,096     100.0 %
               
Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution

 

 

($ in millions)
   2011   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

   $ 345   $ —   $ 345   $ 280   $ —   $ 280  

1.0 - 1.25

     1,527     44     1,571     1,583     16     1,599  

1.26 - 1.50

     1,573     24     1,597     1,520     5     1,525  

Above 1.50

     3,214     168     3,382     2,540     546     3,086  
                           

Total non-impaired mortgage loans

   $ 6,659   $ 236   $ 6,895   $ 5,923   $ 567   $ 6,490  
                           
Net carrying value of impaired mortgage loans

 

 

($ in millions)
   2011   2010  

Impaired mortgage loans with a valuation allowance

   $ 244   $ 168  

Impaired mortgage loans without a valuation allowance

     —     21  
           

Total impaired mortgage loans

   $ 244   $ 189  
           

Valuation allowance on impaired mortgage loans

   $ 63   $ 84  
Valuation allowance on impaired mortgage loans

 

 

($ in millions)
   2011   2010   2009  

Beginning balance

   $ 84   $ 95   $ 4  

Net increase in valuation allowance

     37     65     97  

Charge offs

     (58 )   (76 )   (6 )
               

Ending balance

   $ 63   $ 84   $ 95  
               
Carrying value of past due mortgage loans

 

 

($ in millions)
   2011   2010  

Less than 90 days past due

   $ —   $ 12  

90 days or greater past due

     43     78  
           

Total past due

     43     90  

Current loans

     7,096     6,589  
           

Total mortgage loans

   $ 7,139   $ 6,679  
           
Principal geographic distribution of municipal bond

 

 

(% of municipal bond portfolio carrying value)
   2011   2010  

California

     10.4 %   12.3 %

Texas

     7.7     10.1  

Florida

     5.9     5.8  

New York

     5.3     4.3