Investments (Tables)

9 Months Ended

Sep. 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
September 30, 2011
U.S. government and agencies	$	4,009	$	337	$	--	$	4,346
Municipal		14,445		816		(262)		14,999
Corporate		42,335		2,644		(450)		44,529
Foreign government		1,941		197		(5)		2,133
Residential mortgage-backed securities (“RMBS”)		5,027		146		(541)		4,632
Commercial mortgage-backed securities (“CMBS”)		2,045		37		(258)		1,824
Asset-backed securities (“ABS”)		4,110		87		(291)		3,906
Redeemable preferred stock		23		2		--		25
Total fixed income securities	$	73,935	$	4,266	$	(1,807)	$	76,394
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		Fair
		cost		value
Due in one year or less	$	3,441	$	3,507
Due after one year through five years		20,985		21,764
Due after five years through ten years		20,860		22,097
Due after ten years		19,512		20,488
		64,798		67,856
RMBS and ABS		9,137		8,538
Total	$	73,935	$	76,394

Schedule of net investment income

($ in millions)		Three months endedSeptember 30,				Nine months endedSeptember 30,
		2011		2010		2011		2010
Fixed income securities	$	862	$	926	$	2,661	$	2,840
Equity securities		23		17		76		63
Mortgage loans		91		92		267		295
Limited partnership interests		33		6		61		19
Short-term investments		2		2		5		6
Other		27		5		64		12
Investment income, before expense		1,038		1,048		3,134		3,235
Investment expense		(44)		(43)		(138)		(131	)
Net investment income	$	994	$	1,005	$	2,996	$	3,104

Schedule of realized capital gains and losses by asset type

($ in millions)		Three months endedSeptember 30,				Nine months endedSeptember 30,
		2011		2010		2011			2010
Fixed income securities	$	603	$	84	$	615		$	(240	)
Equity securities		(77)		83		60			142
Mortgage loans		(28)		(1)		(37	)		(54	)
Limited partnership interests		8		(20)		129			(15	)
Derivatives		(234)		(286)		(354	)		(779	)
Other		(8)		(4)		4			3
Realized capital gains and losses	$	264	$	(144)	$	417		$	(943	)

Schedule of realized capital gains and losses by transaction type

($ in millions)		Three months endedSeptember 30,				Nine months endedSeptember 30,
		2011		2010		2011			2010
Impairment write-downs	$	(190)	$	(137)	$	(374	)	$	(599	)
Change in intent write-downs		(13)		(30)		(98	)		(129	)
Net other-than-temporary impairment losses recognized in earnings		(203)		(167)		(472	)		(728	)
Sales		692		319		1,116			552
Valuation of derivative instruments		(254)		(133)		(282	)		(571	)
Settlements of derivative instruments		20		(152)		(72	)		(209	)
Equity method of accounting (“EMA”) limited partnership income		9		(11)		127			13
Realized capital gains and losses	$	264	$	(144)	$	417		$	(943	)

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

($ in millions)		Three months endedSeptember 30, 2011									Nine months ended September 30, 2011
		Gross			Included in OCI			Net			Gross			Included in OCI			Net
Fixed income securities:
Municipal	$	(8	)	$	--		$	(8	)	$	(50	)	$	(3	)	$	(53	)
Corporate		(14	)		--			(14	)		(19	)		1			(18	)
Foreign government		--			--			--			(1	)		--			(1	)
RMBS		(57	)		(3	)		(60	)		(164	)		(28	)		(192	)
CMBS		(1	)		(3	)		(4	)		(27	)		(10	)		(37	)
ABS		--			--			--			(7	)		3			(4	)
Total fixed income securities		(80	)		(6	)		(86	)		(268	)		(37	)		(305	)
Equity securities		(81	)		--			(81	)		(114	)		--			(114	)
Mortgage loans		(29	)		--			(29	)		(42	)		--			(42	)
Limited partnership interests		(2	)		--			(2	)		(4	)		--			(4	)
Other		(5	)		--			(5	)		(7	)		--			(7	)
Other-than-temporary impairment losses	$	(197	)	$	(6	)	$	(203	)	$	(435	)	$	(37	)	$	(472	)

		Three months endedSeptember 30, 2010									Nine months ended September 30, 2010
		Gross			Included in OCI			Net			Gross			Included in OCI			Net
Fixed income securities:
Municipal	$	(1	)	$	--		$	(1	)	$	(106	)	$	4		$	(102	)
Corporate		(14	)		(1	)		(15	)		(67	)		1			(66	)
RMBS		(56	)		(41	)		(97	)		(268	)		(43	)		(311	)
CMBS		(1	)		(26	)		(27	)		(44	)		(37	)		(81	)
ABS		--			--			--			(9	)		(16	)		(25	)
Total fixed income securities		(72	)		(68	)		(140	)		(494	)		(91	)		(585	)
Equity securities		(14	)		--			(14	)		(51	)		--			(51	)
Mortgage loans		(3	)		--			(3	)		(50	)		--			(50	)
Limited partnership interests		(10	)		--			(10	)		(42	)		--			(42	)
Other-than-temporary impairment losses	$	(99	)	$	(68	)	$	(167	)	$	(637	)	$	(91	)	$	(728	)

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

($ in millions)		September 30, 2011			December 31, 2010
Municipal	$	(12	)	$	(27	)
Corporate		(36	)		(31	)
RMBS		(372	)		(467	)
CMBS		(8	)		(49	)
ABS		(22	)		(41	)
Total	$	(450	)	$	(615	)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended September 30,						Nine months ended September 30,
		2011			2010			2011			2010
Beginning balance	$	(912	)	$	(1,309	)	$	(1,046	)	$	(1,187	)
Cumulative effect of change in accounting principle		--			81			--			81
Additional credit loss for securities previously other-than-temporarily impaired		(56	)		(101	)		(133	)		(265	)
Additional credit loss for securities not previously other-than-temporarily impaired		(25	)		(9	)		(82	)		(197	)
Reduction in credit loss for securities disposed or collected		66			104			313			330
Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell		--			42			15			43
Change in credit loss due to accretion of increase in cash flows		4			1			10			4
Ending balance	$	(923	)	$	(1,191	)	$	(923	)	$	(1,191	)

Schedule of unrealized net capital gains and losses

($ in millions)			Fair		Gross unrealized			Unrealized net
September 30, 2011			value		Gains		Losses	gains (losses)
Fixed income securities		$	76,394	$	4,266	$	(1,807)	$		2,459
Equity securities			4,157		250		(345)			(95	)
Short-term investments			3,517		--		--			--
Derivative instruments (1)			(10)		2		(17)			(15	)
EMA limited partnership interests (2)										7
Unrealized net capital gains and losses, pre-tax										2,356
Amounts recognized for:
Insurance reserves (3)										(641	)
DAC and DSI (4)										(122	)
Amounts recognized										(763	)
Deferred income taxes										(561	)
Unrealized net capital gains and losses, after-tax								$		1,032
_________________
(1)	Included in the fair value of derivative instruments are $(6) million classified as assets and $4 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

($ in millions)
Fixed income securities	$	1,633
Equity securities		(678)
Derivative instruments		7
EMA limited partnership interests		7
Total		969
Amounts recognized for:
Insurance reserves		(600)
DAC and DSI		(219)
Amounts recognized		(819)
Deferred income taxes		(53)
Increase in unrealized net capital gains and losses	$	97

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
September 30, 2011
Fixed income securities
U.S. government and agencies	6	$	151	$	--	--	$	--	$	--	$	--
Municipal	173		1,243		(26)	303		1,958		(236)		(262)
Corporate	509		6,073		(219)	104		1,327		(231)		(450)
Foreign government	18		346		(5)	--		--		--		(5)
RMBS	110		284		(13)	289		1,193		(528)		(541)
CMBS	69		566		(58)	74		530		(200)		(258)
ABS	49		683		(8)	114		1,062		(283)		(291)
Total fixed income securities	934		9,346		(329)	884		6,070		(1,478)		(1,807)
Equity securities	2,453		2,067		(339)	49		20		(6)		(345)
Total fixed income and equity securities	3,387	$	11,413	$	(668)	933	$	6,090	$	(1,484)	$	(2,152)
Investment grade fixed income securities	633	$	6,733	$	(182)	567	$	4,147	$	(728)	$	(910)
Below investment grade fixed income securities	301		2,613		(147)	317		1,923		(750)		(897)
Total fixed income securities	934	$	9,346	$	(329)	884	$	6,070	$	(1,478)	$	(1,807)
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)		September 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	$	277	$	--	$	277	$	280	$	--	$	280
1.0 - 1.25		1,699		--		1,699		1,583		16		1,599
1.26 - 1.50		1,584		69		1,653		1,520		5		1,525
Above 1.50		2,888		168		3,056		2,540		546		3,086
Total non-impaired mortgage loans	$	6,448	$	237	$	6,685	$	5,923	$	567	$	6,490

Net carrying value of impaired mortgage loans

($ in millions)		September 30, 2011		December 31, 2010
Impaired mortgage loans with a valuation allowance	$	257	$	168
Impaired mortgage loans without a valuation allowance		14		21
Total impaired mortgage loans	$	271	$	189
Valuation allowance on impaired mortgage loans	$	70	$	84

Valuation allowance on impaired mortgage loans

($ in millions)		Three months ended September 30, 2011		Nine months ended September 30, 2011
Beginning balance	$	68	$	84
Net increase in valuation allowance		29		42
Charge offs		(27)		(56)
Ending balance	$	70	$	70

Carrying value of past due mortgage loans

($ in millions)		September 30, 2011		December 31, 2010
Less than 90 days past due	$	--	$	12
90 days or greater past due		64		78
Total past due		64		90
Current loans		6,892		6,589
Total mortgage loans	$	6,956	$	6,679