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Investments (Tables)

9 Months Ended

Sep. 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
September 30, 2014
U.S. government and agencies	$	4,181	$	132	$	(4)	$	4,309
Municipal		7,978		580		(23)		8,535
Corporate		39,329		1,930		(188)		41,071
Foreign government		1,597		97		(1)		1,693
Asset-backed securities (“ABS”)		4,691		50		(32)		4,709
Residential mortgage-backed securities (“RMBS”)		1,185		118		(14)		1,289
Commercial mortgage-backed securities (“CMBS”)		633		51		(3)		681
Redeemable preferred stock		22		4		--		26
Total fixed income securities	$	59,616	$	2,962	$	(265)	$	62,313

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 September 30, 2014:

($ in millions)		Amortized cost		Fair value
Due in one year or less	$	3,440	$	3,482
Due after one year through five years		25,684		26,410
Due after five years through ten years		15,629		16,319
Due after ten years		8,354		9,423
		53,107		55,634
ABS, RMBS and CMBS		6,509		6,679
Total	$	59,616	$	62,313

Schedule of net investment income

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2014		2013		2014		2013
Fixed income securities	$	581	$	721	$	1,870	$	2,223
Equity securities		28		30		91		94
Mortgage loans		54		99		206		290
Limited partnership interests		162		106		499		339
Short-term investments		1		1		5		4
Other		41		44		127		120
Investment income, before expense		867		1,001		2,798		3,070
Investment expense		(44)		(51)		(118)		(153)
Net investment income	$	823	$	950	$	2,680	$	2,917

Schedule of realized capital gains and losses by asset type

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2014		2013		2014		2013
Fixed income securities	$	23	$	24	$	121	$	175
Equity securities		213		(51)		474		261
Mortgage loans		2		(6)		3		19
Limited partnership interests		59		2		10		(1)
Derivatives		(8)		(12)		(27)		(2)
Other		5		2		7		--
Realized capital gains and losses	$	294	$	(41)	$	588	$	452

Schedule of realized capital gains and losses by transaction type

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2014		2013		2014		2013
Impairment write-downs	$	10	$	(18)	$	(12)	$	(61)
Change in intent write-downs		(63)		(70)		(167)		(124)
Net other-than-temporary impairment losses recognized in earnings		(53)		(88)		(179)		(185)
Sales		355		59		792		639
Valuation and settlements of derivative instruments		(8)		(12)		(25)		(2)
Realized capital gains and losses	$	294	$	(41)	$	588	$	452

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

($ in millions)		Three months ended September 30, 2014						Nine months ended September 30, 2014
		Gross		Included in OCI		Net		Gross		Included in OCI		Net
Fixed income securities:
Municipal	$	(3)	$	--	$	(3)	$	(9)	$	--	$	(9)
Corporate		(6)		1		(5)		(6)		1		(5)
ABS		--		--		--		(3)		--		(3)
RMBS		3		(1)		2		9		(3)		6
Total fixed income securities		(6)		--		(6)		(9)		(2)		(11)
Equity securities		(63)		--		(63)		(149)		--		(149)
Mortgage loans		2		--		2		6		--		6
Limited partnership interests		14		--		14		(25)		--		(25)
Other-than-temporary impairment losses	$	(53)	$	--	$	(53)	$	(177)	$	(2)	$	(179)

		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)

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

($ in millions)		September 30, 2014		December 31, 2013
Municipal	$	(9)	$	(9)
Corporate		(1)		--
ABS		(6)		(10)
RMBS		(111)		(152)
CMBS		(5)		(12)
Total	$	(132)	$	(183)

Schedule of credit losses on fixed income securities recognized in earnings

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2014		2013		2014		2013
Beginning balance	$	(424)	$	(564)	$	(513)	$	(617)
Additional credit loss for securities previously other-than-temporarily impaired		(1)		(6)		(2)		(30)
Additional credit loss for securities not previously other-than-temporarily impaired		(5)		(2)		(8)		(19)
Reduction in credit loss for securities disposed or collected		28		43		61		136
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		--		2		1
Reduction in credit loss for securities sold in LBL disposition		--		--		59		--
Ending balance	$	(401)	$	(529)	$	(401)	$	(529)

Schedule of unrealized net capital gains and losses

($ in millions)		Fair		Gross unrealized			Unrealized net
September 30, 2014		value		Gains		Losses	gains (losses)
Fixed income securities	$	62,313	$	2,962	$	(265)	$	2,697
Equity securities		4,335		477		(19)	458
Short-term investments		2,463		--		--	--
Derivative instruments (1)		(4)		1		(9)	(8)
Equity method (“EMA”) limited partnerships (2)								(5)
Unrealized net capital gains and losses, pre-tax								3,142
Amounts recognized for:
Insurance reserves (3)							(169)
DAC and DSI (4)								(158)
Amounts recognized								(327)
Deferred income taxes								(988)
Unrealized net capital gains and losses, after-tax							$	1,827

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

($ in millions)
Fixed income securities	$	795
Equity securities		(166)
Derivative instruments		10
EMA limited partnerships		(2)
Investments classified as held for sale		(190)
Total		447
Amounts recognized for:
Insurance reserves		(169)
DAC and DSI		--
Amounts recognized		(169)
Deferred income taxes		(97)
Increase in unrealized net capital gains and losses, after-tax	$	181

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, 2014
Fixed income securities
U.S. government and agencies	18	$	1,761	$	(4)	3	$	22	$	--	$	(4)
Municipal	86		359		(7)	38		227		(16)		(23)
Corporate	535		6,974		(89)	163		1,767		(99)		(188)
Foreign government	7		90		--	1		19		(1)		(1)
ABS	83		2,055		(9)	28		393		(23)		(32)
RMBS	68		53		(1)	200		189		(13)		(14)
CMBS	5		4		--	4		42		(3)		(3)
Total fixed income securities	802		11,296		(110)	437		2,659		(155)		(265)
Equity securities	353		932		(18)	1		12		(1)		(19)
Total fixed income and equity securities	1,155	$	12,228	$	(128)	438	$	2,671	$	(156)	$	(284)

Investment grade fixed income securities	532	$	9,199	$	(50)	353	$	2,219	$	(102)	$	(152)
Below investment grade fixed income securities	270		2,097		(60)	84		440		(53)		(113)
Total fixed income securities	802	$	11,296	$	(110)	437	$	2,659	$	(155)	$	(265)

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)		September 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	$	186	$	--	$	186	$	153	$	--	$	153
1.0 - 1.25		379		--		379		613		--		613
1.26 - 1.50		1,241		2		1,243		1,233		2		1,235
Above 1.50		2,304		21		2,325		2,562		77		2,639
Total non-impaired mortgage loans	$	4,110	$	23	$	4,133	$	4,561	$	79	$	4,640

Net carrying value of impaired mortgage loans

($ in millions)		September 30, 2014		December 31, 2013
Impaired mortgage loans with a valuation allowance	$	10	$	81
Impaired mortgage loans without a valuation allowance		--		--
Total impaired mortgage loans	$	10	$	81
Valuation allowance on impaired mortgage loans	$	7	$	21

Valuation allowance on impaired mortgage loans

($ in millions)		Three months ended September 30,				Nine months ended September 30,
		2014		2013		2014		2013
Beginning balance	$	9	$	21	$	21	$	42
Net (decrease) increase in valuation allowance		(2)		6		(6)		(11)
Charge offs		--		--		(8)		(4)
Mortgage loans classified as held for sale		--		(2)		--		(2)
Ending balance	$	7	$	25	$	7	$	25