|
Investments (Tables)
|
6 Months Ended |
|
Jun. 30, 2012
|
| 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, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
$ |
4,872 |
|
|
$ |
374 |
|
|
$ |
-- |
|
|
$ |
5,246 |
|
|
Municipal |
|
13,087 |
|
|
|
991 |
|
|
|
(186 |
) |
|
|
13,892 |
|
|
Corporate |
|
44,229 |
|
|
|
3,251 |
|
|
|
(226 |
) |
|
|
47,254 |
|
|
Foreign government |
|
1,942 |
|
|
|
227 |
|
|
|
-- |
|
|
|
2,169 |
|
|
Residential mortgage-backed securities (“RMBS”) |
|
3,887 |
|
|
|
118 |
|
|
|
(330 |
) |
|
|
3,675 |
|
|
Commercial mortgage-backed securities (“CMBS”) |
|
1,831 |
|
|
|
56 |
|
|
|
(171 |
) |
|
|
1,716 |
|
|
Asset-backed securities (“ABS”) |
|
4,054 |
|
|
|
110 |
|
|
|
(215 |
) |
|
|
3,949 |
|
|
Redeemable preferred stock |
|
23 |
|
|
|
2 |
|
|
|
-- |
|
|
|
25 |
|
|
Total fixed income securities |
$ |
73,925 |
|
|
$ |
5,129 |
|
|
$ |
(1,128 |
) |
|
$ |
77,926 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
| | |
|
| Schedule for fixed income securities based on contractual maturities |
|
($ in millions) |
|
|
Amortized |
|
|
|
Fair |
|
|
|
|
|
cost |
|
|
|
value |
|
|
Due in one year or less |
|
$ |
4,556 |
|
|
$ |
4,610 |
|
|
Due after one year through five years |
|
|
20,445 |
|
|
|
21,401 |
|
|
Due after five years through ten years |
|
|
24,033 |
|
|
|
25,934 |
|
|
Due after ten years |
|
|
16,950 |
|
|
|
18,357 |
|
|
|
|
|
65,984 |
|
|
|
70,302 |
|
|
RMBS and ABS |
|
|
7,941 |
|
|
|
7,624 |
|
|
Total |
|
$ |
73,925 |
|
|
$ |
77,926 |
| | |
|
| Schedule of net investment income |
|
|
($ in millions) |
|
|
Three months ended
June 30, |
|
|
|
Six months ended
June 30, |
|
|
|
|
|
2012 |
|
|
|
2011 |
|
|
|
2012 |
|
|
|
2011 |
|
|
Fixed income securities |
|
$ |
818 |
|
|
$ |
899 |
|
|
$ |
1,624 |
|
|
$ |
1,799 |
|
|
Equity securities |
|
|
24 |
|
|
|
34 |
|
|
|
45 |
|
|
|
53 |
|
|
Mortgage loans |
|
|
92 |
|
|
|
87 |
|
|
|
185 |
|
|
|
176 |
|
|
Limited partnership interests (1) |
|
|
107 |
|
|
|
18 |
|
|
|
216 |
|
|
|
28 |
|
|
Short-term investments |
|
|
1 |
|
|
|
1 |
|
|
|
2 |
|
|
|
3 |
|
|
Other |
|
|
34 |
|
|
|
26 |
|
|
|
64 |
|
|
|
37 |
|
|
Investment income, before expense |
|
|
1,076 |
|
|
|
1,065 |
|
|
|
2,136 |
|
|
|
2,096 |
|
|
Investment expense |
|
|
(50 |
) |
|
|
(45 |
) |
|
|
(99 |
) |
|
|
(94 |
) |
|
Net investment income |
|
$ |
1,026 |
|
|
$ |
1,020 |
|
|
$ |
2,037 |
|
|
$ |
2,002 |
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Income from limited partnership interests accounted for under the equity method of accounting (“EMA”) is reported in net investment income in 2012 and realized capital gains and losses in 2011. | | |
|
| Schedule of realized capital gains and losses by asset type |
|
|
($ in millions) |
|
|
Three months ended
June 30, |
|
|
|
Six months ended
June 30, |
|
|
|
|
|
2012 |
|
|
|
2011 |
|
|
|
2012 |
|
|
|
2011 |
|
|
Fixed income securities |
|
$ |
6 |
|
|
$ |
39 |
|
|
$ |
(23 |
) |
|
$ |
12 |
|
|
Equity securities |
|
|
13 |
|
|
|
15 |
|
|
|
172 |
|
|
|
137 |
|
|
Mortgage loans |
|
|
9 |
|
|
|
(3 |
) |
|
|
8 |
|
|
|
(9 |
) |
|
Limited partnership interests (1) |
|
|
3 |
|
|
|
53 |
|
|
|
13 |
|
|
|
121 |
|
|
Derivatives |
|
|
7 |
|
|
|
(53 |
) |
|
|
28 |
|
|
|
(120 |
) |
|
Other |
|
|
(11 |
) |
|
|
6 |
|
|
|
(3 |
) |
|
|
12 |
|
|
Realized capital gains and losses |
|
$ |
27 |
|
|
$ |
57 |
|
|
$ |
195 |
|
|
$ |
153 |
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Income from EMA limited partnerships is reported in net investment income in 2012 and realized capital gains and losses in 2011. | |
|
| Schedule of realized capital gains and losses by transaction type |
|
|
($ in millions) |
|
|
Three months ended
June 30, |
|
|
|
Six months ended
June 30, |
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
Impairment write-downs |
|
$ |
(49 |
) |
|
$ |
(70 |
) |
|
$ |
(88 |
) |
|
$ |
(184 |
) |
|
Change in intent write-downs |
|
|
(1 |
) |
|
|
(16 |
) |
|
|
(45 |
) |
|
|
(85 |
) |
|
Net other-than-temporary impairment losses recognized in earnings |
|
|
(50 |
) |
|
|
(86 |
) |
|
|
(133 |
) |
|
|
(269 |
) |
|
Sales |
|
|
70 |
|
|
|
141 |
|
|
|
299 |
|
|
|
424 |
|
|
Valuation of derivative instruments |
|
|
(10 |
) |
|
|
(50 |
) |
|
|
1 |
|
|
|
(28 |
) |
|
Settlements of derivative instruments |
|
|
17 |
|
|
|
(3 |
) |
|
|
28 |
|
|
|
(92 |
) |
|
EMA limited partnership income |
|
|
-- |
|
|
|
55 |
|
|
|
-- |
|
|
|
118 |
|
|
Realized capital gains and losses |
|
$ |
27 |
|
|
$ |
57 |
|
|
$ |
195 |
|
|
$ |
153 |
| |
|
| Schedule of other-than-temporary impairment losses by asset type |
|
|
($ in millions) |
|
|
Three months ended
June 30, 2012 |
|
|
|
Six months ended
June 30, 2012 |
|
|
|
|
|
Gross |
|
|
Included
in OCI |
|
|
Net |
|
|
Gross |
|
|
Included
in OCI |
|
|
Net |
|
Fixed income securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal |
|
$ |
(25 |
) |
|
$ |
17 |
|
|
$ |
(8 |
) |
|
$ |
(26 |
) |
|
$ |
17 |
|
|
$ |
(9 |
) |
|
Corporate |
|
|
-- |
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
(18 |
) |
|
|
(1 |
) |
|
|
(19 |
) |
|
RMBS |
|
|
(12 |
) |
|
|
-- |
|
|
|
(12 |
) |
|
|
(55 |
) |
|
|
4 |
|
|
|
(51 |
) |
|
CMBS |
|
|
(9 |
) |
|
|
3 |
|
|
|
(6 |
) |
|
|
(15 |
) |
|
|
3 |
|
|
|
(12 |
) |
|
Total fixed income securities |
|
|
(46 |
) |
|
|
19 |
|
|
|
(27 |
) |
|
|
(114 |
) |
|
|
23 |
|
|
|
(91 |
) |
|
Equity securities |
|
|
(20 |
) |
|
|
-- |
|
|
|
(20 |
) |
|
|
(36 |
) |
|
|
-- |
|
|
|
(36 |
) |
|
Mortgage loans |
|
|
7 |
|
|
|
-- |
|
|
|
7 |
|
|
|
4 |
|
|
|
-- |
|
|
|
4 |
|
|
Limited partnership interests |
|
|
(1 |
) |
|
|
-- |
|
|
|
(1 |
) |
|
|
(3 |
) |
|
|
-- |
|
|
|
(3 |
) |
|
Other |
|
|
(9 |
) |
|
|
-- |
|
|
|
(9 |
) |
|
|
(7 |
) |
|
|
-- |
|
|
|
(7 |
) |
|
Other-than-temporary impairment losses |
|
$ |
(69 |
) |
|
$ |
19 |
|
|
$ |
(50 |
) |
|
$ |
(156 |
) |
|
$ |
23 |
|
|
$ |
(133 |
) |
|
|
|
|
Three months ended
June 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 |
) | | |
|
| Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income |
|
|
($ in millions) |
|
|
June 30,
2012 |
|
|
|
December 31,
2011 |
|
|
Municipal |
|
$ |
(28 |
) |
|
$ |
(11 |
) |
|
|
Corporate |
|
|
(34 |
) |
|
|
(35 |
) |
|
|
RMBS |
|
|
(283 |
) |
|
|
(353 |
) |
|
|
CMBS |
|
|
(22 |
) |
|
|
(19 |
) |
|
|
ABS |
|
|
(20 |
) |
|
|
(21 |
) |
|
|
Total |
|
$ |
(387 |
) |
|
$ |
(439 |
) |
| |
|
| Schedule of credit losses on fixed income securities recognized in earnings |
|
|
($ in millions) |
|
|
Three months ended
June 30, |
|
|
|
Six months ended
June 30, |
|
|
|
|
|
2012 |
|
|
|
2011 |
|
|
|
2012 |
|
|
|
2011 |
|
|
Beginning balance |
|
$ |
(820 |
) |
|
$ |
(963 |
) |
|
$ |
(944 |
) |
|
$ |
(1,046 |
) |
|
Additional credit loss for securities previously other-than-temporarily impaired |
|
|
(16 |
) |
|
|
(31 |
) |
|
|
(36 |
) |
|
|
(90 |
) |
|
Additional credit loss for securities not previously other-than-temporarily impaired |
|
|
(10 |
) |
|
|
(17 |
) |
|
|
(19 |
) |
|
|
(44 |
) |
|
Reduction in credit loss for securities disposed or collected |
|
|
65 |
|
|
|
94 |
|
|
|
211 |
|
|
|
247 |
|
|
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 |
|
|
|
15 |
|
|
Change in credit loss due to accretion of increase in cash flows |
|
|
-- |
|
|
|
5 |
|
|
|
-- |
|
|
|
6 |
|
|
Ending balance |
|
$ |
(781 |
) |
|
$ |
(912 |
) |
|
$ |
(781 |
) |
|
$ |
(912 |
) | | |
|
| Schedule of unrealized net capital gains and losses |
|
|
($ in millions) |
|
|
Fair |
|
|
Gross unrealized |
|
|
|
Unrealized net |
|
June 30, 2012 |
|
|
value |
|
|
Gains |
|
|
Losses |
|
|
gains (losses) |
|
Fixed income securities |
|
$ |
77,926 |
|
|
$ |
5,129 |
|
|
$ |
(1,128 |
) |
|
|
$ |
4,001 |
|
|
Equity securities |
|
|
3,681 |
|
|
|
361 |
|
|
|
(110 |
) |
|
|
|
251 |
|
|
Short-term investments |
|
|
1,867 |
|
|
|
-- |
|
|
|
-- |
|
|
|
|
-- |
|
|
Derivative instruments (1) |
|
|
(11 |
) |
|
|
-- |
|
|
|
(16 |
) |
|
|
|
(16 |
) |
|
EMA limited partnerships (2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
|
|
Unrealized net capital gains and losses, pre-tax |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,240 |
|
|
Amounts recognized for: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance reserves (3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(700 |
) |
|
DAC and DSI (4) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(352 |
) |
|
Amounts recognized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,052 |
) |
|
Deferred income taxes |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1,118 |
) |
|
Unrealized net capital gains and losses, after-tax |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,070 |
|
|
(1) |
Included in the fair value of derivative instruments are $(6) million classified as assets and $5 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, 2011 |
|
|
value |
|
|
Gains |
|
|
Losses |
|
|
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 $7 million classified as liabilities. | |
|
| Schedule of change in unrealized net capital gains and losses |
|
|
($ in millions) |
|
|
|
|
|
|
|
|
|
|
|
Fixed income securities |
|
$ |
1,267 |
|
|
Equity securities |
|
|
91 |
|
|
Derivative instruments |
|
|
1 |
|
|
EMA limited partnerships |
|
|
2 |
|
|
Total |
|
|
1,361 |
|
|
Amounts recognized for: |
|
|
|
|
|
Insurance reserves |
|
|
(106 |
) |
|
DAC and DSI |
|
|
(228 |
) |
|
Amounts recognized |
|
|
(334 |
) |
|
Deferred income taxes |
|
|
(357 |
) |
|
Increase in unrealized net capital gains and losses |
|
$ |
670 |
| |
|
| 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 |
|
|
June 30, 2012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fixed income securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agencies |
|
|
5 |
|
|
$ |
185 |
|
|
$ |
-- |
|
|
|
-- |
|
|
$ |
-- |
|
|
$ |
-- |
|
|
$ |
-- |
|
|
Municipal |
|
|
98 |
|
|
|
733 |
|
|
|
(12 |
) |
|
|
146 |
|
|
|
1,189 |
|
|
|
(174 |
) |
|
|
(186 |
) |
|
Corporate |
|
|
179 |
|
|
|
2,080 |
|
|
|
(68 |
) |
|
|
84 |
|
|
|
1,042 |
|
|
|
(158 |
) |
|
|
(226 |
) |
|
Foreign government |
|
|
4 |
|
|
|
17 |
|
|
|
-- |
|
|
|
1 |
|
|
|
1 |
|
|
|
-- |
|
|
|
-- |
|
|
RMBS |
|
|
298 |
|
|
|
42 |
|
|
|
(2 |
) |
|
|
284 |
|
|
|
1,045 |
|
|
|
(328 |
) |
|
|
(330 |
) |
|
CMBS |
|
|
18 |
|
|
|
109 |
|
|
|
(4 |
) |
|
|
70 |
|
|
|
572 |
|
|
|
(167 |
) |
|
|
(171 |
) |
|
ABS |
|
|
37 |
|
|
|
544 |
|
|
|
(20 |
) |
|
|
90 |
|
|
|
912 |
|
|
|
(195 |
) |
|
|
(215 |
) |
|
Redeemable preferred stock |
|
|
1 |
|
|
|
-- |
|
|
|
-- |
|
|
|
-- |
|
|
|
-- |
|
|
|
-- |
|
|
|
-- |
|
|
Total fixed income securities |
|
|
640 |
|
|
|
3,710 |
|
|
|
(106 |
) |
|
|
675 |
|
|
|
4,761 |
|
|
|
(1,022 |
) |
|
|
(1,128 |
) |
|
Equity securities |
|
|
1,263 |
|
|
|
1,368 |
|
|
|
(93 |
) |
|
|
88 |
|
|
|
53 |
|
|
|
(17 |
) |
|
|
(110 |
) |
|
Total fixed income and equity securities |
|
|
1,903 |
|
|
$ |
5,078 |
|
|
$ |
(199 |
) |
|
|
763 |
|
|
$ |
4,814 |
|
|
$ |
(1,039 |
) |
|
$ |
(1,238 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment grade fixed income securities |
|
|
538 |
|
|
$ |
2,868 |
|
|
$ |
(56 |
) |
|
|
395 |
|
|
$ |
2,807 |
|
|
$ |
(437 |
) |
|
$ |
(493 |
) |
|
Below investment grade fixed income securities |
|
|
102 |
|
|
|
842 |
|
|
|
(50 |
) |
|
|
280 |
|
|
|
1,954 |
|
|
|
(585 |
) |
|
|
(635 |
) |
|
Total fixed income securities |
|
|
640 |
|
|
$ |
3,710 |
|
|
$ |
(106 |
) |
|
|
675 |
|
|
$ |
4,761 |
|
|
$ |
(1,022 |
) |
|
$ |
(1,128 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
) | | |
|
| Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution |
|
|
($ in millions) |
|
|
June 30, 2012 |
|
|
|
December 31, 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 |
|
$ |
296 |
|
|
$ |
-- |
|
|
$ |
296 |
|
|
$ |
345 |
|
|
$ |
-- |
|
|
$ |
345 |
|
|
1.0 - 1.25 |
|
|
1,255 |
|
|
|
44 |
|
|
|
1,299 |
|
|
|
1,527 |
|
|
|
44 |
|
|
|
1,571 |
|
|
1.26 - 1.50 |
|
|
1,737 |
|
|
|
22 |
|
|
|
1,759 |
|
|
|
1,573 |
|
|
|
24 |
|
|
|
1,597 |
|
|
Above 1.50 |
|
|
3,200 |
|
|
|
168 |
|
|
|
3,368 |
|
|
|
3,214 |
|
|
|
168 |
|
|
|
3,382 |
|
|
Total non-impaired mortgage loans |
|
$ |
6,488 |
|
|
$ |
234 |
|
|
$ |
6,722 |
|
|
$ |
6,659 |
|
|
$ |
236 |
|
|
$ |
6,895 |
| |
|
| Net carrying value of impaired mortgage loans |
|
|
($ in millions) |
|
|
June 30,
2012 |
|
|
|
December 31,
2011 |
|
|
Impaired mortgage loans with a valuation allowance |
|
$ |
206 |
|
|
$ |
244 |
|
|
Impaired mortgage loans without a valuation allowance |
|
|
-- |
|
|
|
-- |
|
|
Total impaired mortgage loans |
|
$ |
206 |
|
|
$ |
244 |
|
|
Valuation allowance on impaired mortgage loans |
|
$ |
48 |
|
|
$ |
63 |
| | |
|
| Valuation allowance on impaired mortgage loans |
|
|
($ in millions) |
|
Three months ended |
|
Six months ended |
|
|
|
June 30, |
|
June 30, |
|
|
|
2012 |
|
2011 |
|
2012 |
|
2011 |
|
Beginning balance |
$ |
60 |
$ |
77 |
$ |
63 |
$ |
84 |
|
Net (decrease) increase in valuation allowance |
|
(7) |
|
7 |
|
(4) |
|
13 |
|
Charge offs |
|
(5) |
|
(16) |
|
(11) |
|
(29) |
|
Ending balance |
$ |
48 |
$ |
68 |
$ |
48 |
$ |
68 | |
|
| Carrying value of past due mortgage loans |
|
|
($ in millions) |
|
June 30, |
|
December 31, |
|
|
|
2012 |
|
2011 |
|
Less than 90 days past due |
$ |
4 |
$ |
-- |
|
90 days or greater past due |
|
4 |
|
43 |
|
Total past due |
|
8 |
|
43 |
|
Current loans |
|
6,920 |
|
7,096 |
|
Total mortgage loans |
$ |
6,928 |
$ |
7,139 | |
|