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Investments (Tables)

6 Months Ended

Jun. 30, 2014

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, 2014
U.S. government and agencies	$	4,707	$	147	$	(1)	$	4,853
Municipal		8,009		572		(20)		8,561
Corporate		39,282		2,283		(98)		41,467
Foreign government		1,569		108		(1)		1,676
Asset-backed securities (“ABS”)		3,903		68		(28)		3,943
Residential mortgage-backed securities (“RMBS”)		1,263		117		(18)		1,362
Commercial mortgage-backed securities (“CMBS”)		692		57		(3)		746
Redeemable preferred stock		22		4		--		26
Total fixed income securities	$	59,447	$	3,356	$	(169)	$	62,634

December 31, 2013
U.S. government and agencies	$	2,791	$	129	$	(7)	$	2,913
Municipal		8,446		364		(87)		8,723
Corporate		39,331		1,659		(387)		40,603
Foreign government		1,736		99		(11)		1,824
ABS		4,491		71		(44)		4,518
RMBS		1,403		101		(30)		1,474
CMBS		788		48		(7)		829
Redeemable preferred stock		22		4		--		26
Total fixed income securities	$	59,008	$	2,475	$	(573)	$	60,910

Schedule for fixed income securities based on contractual maturities

The scheduled maturities for fixed income securities are as follows as of June 30, 2014:

($ in millions)		Amortized cost		Fair value
Due in one year or less	$	3,272	$	3,316
Due after one year through five years		25,728		26,606
Due after five years through ten years		16,257		17,225
Due after ten years		8,332		9,436
		53,589		56,583
ABS, RMBS and CMBS		5,858		6,051
Total	$	59,447	$	62,634

Schedule of net investment income

($ in millions)		Three months ended June 30,				Six months ended June 30,
		2014		2013		2014		2013
Fixed income securities	$	584	$	740	$	1,289	$	1,502
Equity securities		35		39		63		64
Mortgage loans		71		93		152		191
Limited partnership interests		195		126		337		233
Short-term investments		3		1		4		3
Other		44		39		86		76
Investment income, before expense		932		1,038		1,931		2,069
Investment expense		(34)		(54)		(74)		(102)
Net investment income	$	898	$	984	$	1,857	$	1,967

Schedule of realized capital gains and losses by asset type

($ in millions)		Three months ended June 30,				Six months ended June 30,
		2014		2013		2014		2013
Fixed income securities	$	62	$	79	$	98	$	151
Equity securities		239		283		261		312
Mortgage loans		(2)		(6)		1		25
Limited partnership interests		(51)		(8)		(49)		(3)
Derivatives		(7)		14		(19)		10
Other		(1)		--		2		(2)
Realized capital gains and losses	$	240	$	362	$	294	$	493

Schedule of realized capital gains and losses by transaction type

($ in millions)		Three months ended June 30,				Six months ended June 30,
		2014		2013		2014		2013
Impairment write-downs	$	(6)	$	(33)	$	(22)	$	(43)
Change in intent write-downs		(39)		(27)		(104)		(54)
Net other-than-temporary impairment losses recognized in earnings		(45)		(60)		(126)		(97)
Sales		290		408		437		580
Valuation and settlements of derivative instruments		(5)		14		(17)		10
Realized capital gains and losses	$	240	$	362	$	294	$	493

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

($ in millions)		Three months ended June 30, 2014						Six months ended June 30, 2014
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(1)	$	--	$	(1)	$	(6)	$	--	$	(6)
ABS		(2)		--		(2)		(3)		--		(3)
RMBS		6		(1)		5		6		(2)		4
Total fixed income securities		3		(1)		2		(3)		(2)		(5)
Equity securities		(21)		--		(21)		(86)		--		(86)
Mortgage loans		--		--		--		4		--		4
Limited partnership interests		(26)		--		(26)		(39)		--		(39)
Other-than-temporary impairment losses	$	(44)	$	(1)	$	(45)	$	(124)	$	(2)	$	(126)

		Three months ended June 30, 2013						Six months ended June 30, 2013
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(4)	$	(3)	$	(7)	$	(17)	$	(5)	$	(22)
ABS		--		(1)		(1)		--		(1)		(1)
RMBS		(1)		(1)		(2)		(1)		(2)		(3)
CMBS		(1)		--		(1)		(20)		(7)		(27)
Total fixed income securities		(6)		(5)		(11)		(38)		(15)		(53)
Equity securities		(32)		--		(32)		(51)		--		(51)
Mortgage loans		(9)		--		(9)		17		--		17
Limited partnership interests		(8)		--		(8)		(8)		--		(8)
Other		--		--		--		(2)		--		(2)
Other-than-temporary impairment losses	$	(55)	$	(5)	$	(60)	$	(82)	$	(15)	$	(97)

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

($ in millions)		June 30, 2014		December 31, 2013
Municipal	$	(9)	$	(9)
ABS		(10)		(10)
RMBS		(114)		(152)
CMBS		(5)		(12)
Total	$	(138)	$	(183)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended June 30,				Six months ended June 30,
		2014		2013		2014		2013
Beginning balance	$	(493)	$	(600)	$	(513)	$	(617)
Additional credit loss for securities previously other-than-temporarily impaired		4		(10)		(1)		(24)
Additional credit loss for securities not previously other-than-temporarily impaired		(2)		(1)		(3)		(17)
Reduction in credit loss for securities disposed or collected		7		46		33		93
Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell		--		--		--		--
Change in credit loss due to accretion of increase in cash flows		1		1		1		1
Reduction in credit loss for securities sold in LBL disposition		59		--		59		--
Ending balance	$	(424)	$	(564)	$	(424)	$	(564)

Schedule of unrealized net capital gains and losses

($ in millions)		Fair		Gross unrealized			Unrealized net
June 30, 2014		value		Gains		Losses	gains (losses)
Fixed income securities	$	62,634	$	3,356	$	(169)	$		3,187
Equity securities		5,394		745		(9)	736
Short-term investments		2,914		--		--	--
Derivative instruments (1)		(15)		1		(20)	(19)
Equity method (“EMA”) limited partnerships (2)								(5)
Unrealized net capital gains and losses, pre-tax								3,899
Amounts recognized for:
Insurance reserves (3)							(399)
DAC and DSI (4)								(189)
Amounts recognized								(588)
Deferred income taxes								(1,161)
Unrealized net capital gains and losses, after-tax							$	2,150

(1)	Included in the fair value of derivative instruments are $1 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 unrealized 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.

($ in millions)		Fair		Gross unrealized			Unrealized net
December 31, 2013		value		Gains		Losses	gains (losses)
Fixed income securities	$	60,910	$	2,475	$	(573)	$	1,902
Equity securities		5,097		658		(34)	624
Short-term investments		2,393		--		--	--
Derivative instruments (1)		(13)		1		(19)	(18)
EMA limited partnerships							(3)
Investments classified as held for sale								190
Unrealized net capital gains and losses, pre-tax								2,695
Amounts recognized for:
Insurance reserves							--
DAC and DSI								(158)
Amounts recognized								(158)
Deferred income taxes								(891)
Unrealized net capital gains and losses, after-tax							$	1,646

(1)	Included in the fair value of derivative instruments are $1 million classified as assets and $14 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 six months ended June 30, 2014 is as follows:

($ in millions)
Fixed income securities	$	1,285
Equity securities		112
Derivative instruments		(1)
EMA limited partnerships		(2)
Investments classified as held for sale		(190)
Total		1,204
Amounts recognized for:
Insurance reserves		(399)
DAC and DSI		(31)
Amounts recognized		(430)
Deferred income taxes		(270)
Increase in unrealized net capital gains and losses, after-tax	$	504

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, 2014
Fixed income securities
U.S. government and agencies	24	$	200	$	(1)	3	$	22	$	--	$	(1	)
Municipal	87		398		(1)	53		303		(19)		(20	)
Corporate	120		1,453		(10)	190		2,121		(88)		(98	)
Foreign government	2		28		--	2		26		(1)		(1	)
ABS	30		565		(3)	31		393		(25)		(28	)
RMBS	89		71		(1)	194		239		(17)		(18	)
CMBS	6		9		--	5		43		(3)		(3	)
Total fixed income securities	358		2,724		(16)	478		3,147		(153)		(169	)
Equity securities	22		171		(6)	1		102		(3)		(9	)
Total fixed income and equity securities	380	$	2,895	$	(22)	479	$	3,249	$	(156)	$	(178	)

Investment grade fixed income securities	287	$	2,238	$	(8)	386	$	2,620	$	(97)	$	(105	)
Below investment grade fixed income securities	71		486		(8)	92		527		(56)		(64	)
Total fixed income securities	358	$	2,724	$	(16)	478	$	3,147	$	(153)	$	(169	)

December 31, 2013
Fixed income securities
U.S. government and agencies	22	$	700	$	(7)	--	$	--	$	--	$	(7	)
Municipal	315		2,065		(41)	38		208		(46)		(87	)
Corporate	796		10,375		(308)	54		550		(79)		(387	)
Foreign government	36		262		(9)	1		18		(2)		(11	)
ABS	85		1,715		(10)	43		429		(34)		(44	)
RMBS	134		149		(4)	175		247		(26)		(30	)
CMBS	8		22		--	7		52		(7)		(7	)
Total fixed income securities	1,396		15,288		(379)	318		1,504		(194)		(573	)
Equity securities	158		982		(34)	1		--		--		(34	)
Total fixed income and equity securities	1,554	$	16,270	$	(413)	319	$	1,504	$	(194)	$	(607	)

Investment grade fixed income securities	1,217	$	14,019	$	(340)	221	$	975	$	(116)	$	(456	)
Below investment grade fixed income securities	179		1,269		(39)	97		529		(78)		(117	)
Total fixed income securities	1,396	$	15,288	$	(379)	318	$	1,504	$	(194)	$	(573	)

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

($ in millions)		June 30, 2014						December 31, 2013
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	$	172	$	--	$	172	$	153	$	--	$	153
1.0 - 1.25		489		--		489		613		--		613
1.26 - 1.50		1,134		2		1,136		1,233		2		1,235
Above 1.50		2,304		60		2,364		2,562		77		2,639
Total non-impaired mortgage loans	$	4,099	$	62	$	4,161	$	4,561	$	79	$	4,640

Net carrying value of impaired mortgage loans

($ in millions)		June 30, 2014		December 31, 2013
Impaired mortgage loans with a valuation allowance	$	13	$	81
Impaired mortgage loans without a valuation allowance		--		--
Total impaired mortgage loans	$	13	$	81

Valuation allowance on impaired mortgage loans	$	9	$	21

Valuation allowance on impaired mortgage loans

($ in millions)		Three months ended June 30,				Six months ended June 30,
		2014		2013		2014		2013
Beginning balance	$	9	$	15	$	21	$	42
Net increase (decrease) in valuation allowance		--		9		(4)		(17)
Charge offs		--		(3)		(8)		(4)
Ending balance	$	9	$	21	$	9	$	21