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Investments (Tables)

9 Months Ended

Sep. 30, 2013

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, 2013
U.S. government and agencies	$	2,725	$	158	$	(2)	$	2,881
Municipal		9,246		451		(86)		9,611
Corporate		38,285		1,777		(365)		39,697
Foreign government		1,831		119		(11)		1,939
Asset-backed securities (“ABS”)		3,389		75		(43)		3,421
Residential mortgage-backed securities (“RMBS”)		1,787		100		(43)		1,844
Commercial mortgage-backed securities (“CMBS”)		844		48		(17)		875
Redeemable preferred stock		22		5		--		27
Total fixed income securities	$	58,129	$	2,733	$	(567)	$	60,295

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	$	2,564	$	2,604
Due after one year through five years		22,645		23,399
Due after five years through ten years		17,441		18,079
Due after ten years		9,459		10,073
		52,109		54,155
ABS, RMBS and CMBS		6,020		6,140
Total	$	58,129	$	60,295

Schedule of net investment income

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2013		2012		2013		2012
Fixed income securities	$	721	$	817	$	2,223	$	2,441
Equity securities		30		29		94		74
Mortgage loans		99		92		290		277
Limited partnership interests		106		22		339		238
Short-term investments		1		2		4		4
Other		44		33		120		97
Investment income, before expense		1,001		995		3,070		3,131
Investment expense		(51)		(55)		(153)		(154)
Net investment income	$	950	$	940	$	2,917	$	2,977

Schedule of realized capital gains and losses by asset type

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2013		2012		2013		2012
Fixed income securities	$	24	$	(50)	$	175	$	(73)
Equity securities		(51)		(15)		261		157
Mortgage loans		(6)		(3)		19		5
Limited partnership interests		2		--		(1)		13
Derivatives		(12)		(2)		(2)		26
Other		2		(2)		--		(5)
Realized capital gains and losses	$	(41)	$	(72)	$	452	$	123

Schedule of realized capital gains and losses by transaction type

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2013		2012		2013		2012
Impairment write-downs	$	(18)	$	(43)	$	(61)	$	(131)
Change in intent write-downs		(70)		(3)		(124)		(48)
Net other-than-temporary impairment losses recognized in earnings		(88)		(46)		(185)		(179)
Sales		59		(24)		639		275
Valuation of derivative instruments		--		--		(1)		1
Settlements of derivative instruments		(12)		(2)		(1)		26
Realized capital gains and losses	$	(41)	$	(72)	$	452	$	123

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

($ in millions)		Three months ended September 30, 2013						Nine months ended September 30, 2013
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(6)	$	--	$	(6)	$	(23)	$	(5)	$	(28)
ABS		--		--		--		--		(1)		(1)
RMBS		(4)		4		--		(5)		2		(3)
CMBS		(9)		4		(5)		(29)		(3)		(32)
Total fixed income securities		(19)		8		(11)		(57)		(7)		(64)
Equity securities		(67)		--		(67)		(118)		--		(118)
Mortgage loans		(6)		--		(6)		11		--		11
Limited partnership interests		(2)		--		(2)		(10)		--		(10)
Other		(2)		--		(2)		(4)		--		(4)
Other-than-temporary impairment losses	$	(96)	$	8	$	(88)	$	(178)	$	(7)	$	(185)

($ in millions)		Three months ended September 30, 2012						Nine months ended September 30, 2012
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(2)	$	(3)	$	(5)	$	(28)	$	14	$	(14)
Corporate		(1)		(1)		(2)		(19)		(2)		(21)
RMBS		(4)		(6)		(10)		(59)		(2)		(61)
CMBS		(4)		3		(1)		(19)		6		(13)
Total fixed income securities		(11)		(7)		(18)		(125)		16		(109)
Equity securities		(22)		--		(22)		(58)		--		(58)
Mortgage loans		(1)		--		(1)		3		--		3
Limited partnership interests		(2)		--		(2)		(5)		--		(5)
Other		(3)		--		(3)		(10)		--		(10)
Other-than-temporary impairment losses	$	(39)	$	(7)	$	(46)	$	(195)	$	16	$	(179)

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

($ in millions)		September 30, 2013		December 31, 2012
Municipal	$	(9)	$	(20)
Corporate		(7)		(1)
ABS		(10)		(14)
RMBS		(150)		(182)
CMBS		(16)		(19)
Total	$	(192)	$	(236)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2013		2012		2013		2012
Beginning balance	$	(564)	$	(781)	$	(617)	$	(944)
Additional credit loss for securities previously other-than-temporarily impaired		(6)		(15)		(30)		(49)
Additional credit loss for securities not previously other-than-temporarily impaired		(2)		(3)		(19)		(24)
Reduction in credit loss for securities disposed or collected		43		128		136		339
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		--		1		1		1
Ending balance (1)	$	(529)	$	(670)	$	(529)	$	(670)

(1)	The September 30, 2013 ending balance includes $59 million of cumulative credit losses recognized in earnings for fixed income securities that are classified as held for sale.

Schedule of unrealized net capital gains and losses

($ in millions)		Fair		Gross unrealized			Unrealized net
September 30, 2013		value		Gains		Losses	gains (losses)
Fixed income securities	$	60,295	$	2,733	$	(567)	$	2,166
Equity securities		4,812		465		(23)		442
Short-term investments		2,694		--		--		--
Derivative instruments (1)		(14)		2		(21)		(19)
EMA limited partnerships (2)								(3)
Investments classified as held for sale								244
Unrealized net capital gains and losses, pre-tax								2,830
Amounts recognized for:
Insurance reserves (3)								--
DAC and DSI (4)								(189)
Amounts recognized								(189)
Deferred income taxes								(927)
Unrealized net capital gains and losses, after-tax							$	1,714

(1)	Included in the fair value of derivative instruments are $2 million classified as assets and $16 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

($ in millions)
Fixed income securities	$	(2,936	)
Equity securities		(18	)
Derivative instruments		3
EMA limited partnerships		(10	)
Investments classified as held for sale		244
Total		(2,717	)
Amounts recognized for:
Insurance reserves		771
DAC and DSI		223
Amounts recognized		994
Deferred income taxes		603
Decrease in unrealized net capital gains and losses	$	(1,120	)

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
September 30, 2013
Fixed income securities
U.S. government and agencies	8	$	93	$	(2)	--	$	--	$	--	$	(2)
Municipal	325		2,308		(46)	33		191		(40)		(86)
Corporate	767		9,035		(293)	44		467		(72)		(365)
Foreign government	90		335		(11)	1		1		--		(11)
ABS	46		699		(6)	42		407		(37)		(43)
RMBS	285		297		(6)	280		261		(37)		(43)
CMBS	11		67		--	10		73		(17)		(17)
Total fixed income securities	1,532		12,834		(364)	410		1,400		(203)		(567)
Equity securities	210		1,047		(23)	10		7		--		(23)
Total fixed income and equity securities	1,742	$	13,881	$	(387)	420	$	1,407	$	(203)	$	(590)

Investment grade fixed income securities	1,314	$	11,320	$	(306)	307	$	826	$	(99)	$	(405)
Below investment grade fixed income securities	218		1,514		(58)	103		574		(104)		(162)
Total fixed income securities	1,532	$	12,834	$	(364)	410	$	1,400	$	(203)	$	(567)

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)		September 30, 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	$	146	$	--	$	146	$	267	$	--	$	267
1.0 - 1.25		700		--		700		1,208		20		1,228
1.26 - 1.50		1,042		3		1,045		1,458		46		1,504
Above 1.50		2,683		151		2,834		3,268		148		3,416
Total non-impaired mortgage loans	$	4,571	$	154	$	4,725	$	6,201	$	214	$	6,415

Net carrying value of impaired mortgage loans

($ in millions)		September 30, 2013		December 31, 2012
Impaired mortgage loans with a valuation allowance	$	92	$	147
Impaired mortgage loans without a valuation allowance		--		8
Total impaired mortgage loans	$	92	$	155
Valuation allowance on impaired mortgage loans	$	25	$	42

Valuation allowance on impaired mortgage loans

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2013		2012		2013		2012
Beginning balance	$	21	$	48	$	42	$	63
Net increase (decrease) in valuation allowance		6		1		(11)		(3)
Charge offs		--		(2)		(4)		(13)
Mortgage loans classified as held for sale		(2)		--		(2)		--
Ending balance	$	25	$	47	$	25	$	47

Carrying value of past due mortgage loans

($ in millions)		September 30, 2013		December 31, 2012
Less than 90 days past due	$	--	$	21
90 days or greater past due		3		4
Total past due		3		25
Current loans		4,814		6,545
Total mortgage loans	$	4,817	$	6,570