XML 62 R35.htm IDEA: XBRL DOCUMENT v2.4.1.9
Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2014
Fair Value Disclosures [Abstract]  
Summary of quantitative information about the significant unobservable inputs used in Level 3 fair value measurements
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2014.
 
($ in millions)
Quoted prices
in active
markets for
identical assets
(Level 1)
 
Significant
other
observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Counterparty
and cash
collateral
netting
 
Balance as of December 31, 2014
Assets
 

 
 
 
 

 
 

 
 

Fixed income securities:
 

 
 
 
 

 
 

 
 

U.S. government and agencies
$
147

 
$
623

 
$
—

 
 

 
$
770

Municipal
—

 
3,556

 
106

 
 

 
3,662

Corporate
—

 
20,193

 
792

 
 

 
20,985

Foreign government
—

 
735

 
—

 
 

 
735

ABS
—

 
636

 
129

 
 

 
765

RMBS
—

 
605

 
—

 
 

 
605

CMBS
—

 
578

 
1

 
 

 
579

Redeemable preferred stock
—

 
16

 
—

 
 

 
16

Total fixed income securities
147

 
26,942

 
1,028

 
 

 
28,117

Equity securities
927

 
6

 
37

 
 

 
970

Short-term investments
90

 
767

 
—

 
 

 
857

Other investments: Free-standing derivatives
—

 
90

 
2

 
$
(2
)
 
90

Separate account assets
4,396

 
—

 
—

 
 

 
4,396

Other assets
1

 
—

 
1

 
 

 
2

Total recurring basis assets
5,561

 
27,805

 
1,068

 
(2
)
 
34,432

Non-recurring basis (1)
—

 
—

 
9

 
 

 
9

Total assets at fair value
$
5,561

 
$
27,805

 
$
1,077

 
$
(2
)
 
$
34,441

% of total assets at fair value
16.2
%
 
80.7
%
 
3.1
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
Liabilities
 

 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded
in life and annuity contracts
$
—

 
$
—

 
$
(323
)
 
 

 
$
(323
)
Other liabilities: Free-standing derivatives
—

 
(24
)
 
(9
)
 
$
2

 
(31
)
Total liabilities at fair value
$
—

 
$
(24
)
 
$
(332
)
 
$
2

 
$
(354
)
% of total liabilities at fair value
—
%
 
6.8
%
 
93.8
%
 
(0.6
)%
 
100
%
____________
(1) Includes $6 million of mortgage loans and $3 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.



























The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2013. 
($ in millions)
Quoted prices
in active
markets for
identical assets
(Level 1)
 
Significant
other
observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Counterparty
and cash
collateral
netting
 
Balance as of December 31, 2013
Assets
 

 
 

 
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

 
 

 
 

U.S. government and agencies
$
145

 
$
621

 
$
—

 
 

 
$
766

Municipal
—

 
3,185

 
119

 
 

 
3,304

Corporate
—

 
20,308

 
1,008

 
 

 
21,316

Foreign government
—

 
792

 
—

 
 

 
792

ABS
—

 
895

 
112

 
 

 
1,007

RMBS
—

 
790

 
—

 
 

 
790

CMBS
—

 
763

 
1

 
 

 
764

Redeemable preferred stock
—

 
16

 
1

 
 

 
17

Total fixed income securities
145

 
27,370

 
1,241

 
 

 
28,756

Equity securities
593

 
51

 
6

 
 

 
650

Short-term investments
129

 
461

 
—

 
 

 
590

Other investments: Free-standing derivatives
—

 
268

 
9

 
$
(11
)
 
266

Separate account assets
5,039

 
—

 
—

 
 

 
5,039

Assets held for sale
1,854

 
9,812

 
362

 
 
 
12,028

Total recurring basis assets
7,760

 
37,962

 
1,618

 
(11
)
 
47,329

Non-recurring basis (1)
—

 
—

 
17

 
 

 
17

Total assets at fair value
$
7,760

 
$
37,962

 
$
1,635

 
$
(11
)
 
$
47,346

% of total assets at fair value
16.4
%
 
80.2
%
 
3.4
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
Liabilities
 

 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
$
—

 
$
—

 
$
(307
)
 
 

 
$
(307
)
Other liabilities: Free-standing derivatives
—

 
(185
)
 
(14
)
 
$
7

 
(192
)
Liabilities held for sale
—

 
—

 
(246
)
 
 
 
(246
)
Total recurring basis liabilities
—

 
(185
)
 
(567
)
 
7

 
(745
)
Non-recurring basis (2)
—

 
—

 
(11,088
)
 
 
 
(11,088
)
Total liabilities at fair value
$
—

 
$
(185
)
 
$
(11,655
)
 
$
7

 
$
(11,833
)
% of total liabilities at fair value
—
%
 
1.6
%
 
98.5
%
 
(0.1
)%
 
100
%
____________
(1) 
 Includes $8 million of mortgage loans and $9 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.
(2) 
Relates to LBL business held for sale (see Note 3).  The total fair value measurement includes $15,593 million of assets held for sale and $(14,899) million of liabilities held for sale, less $12,028 million of assets and $(246) million of liabilities measured at fair value on a recurring basis.
The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements. 
($ in millions)
Fair value
 
Valuation
technique
 
Unobservable
input
 
Range
 
Weighted
average
December 31, 2014
 

 
 
 
 
 
 
 
 

Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
$
(278
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.0 %
 
1.76
%
December 31, 2013
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
$
(247
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.0 %
 
1.75
%
Liabilities held for sale – Equity-indexed and forward starting options
$
(246
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.0 %
 
1.91
%
Schedule of rollforward of Level 3 assets and liabilities held at fair value on a recurring basis
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2014. 
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
 
Balance as of December 31, 2013
 
Net
income (1)
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
119

 
$
—

 
$
18

 
$
—

 
$
(17
)
 
Corporate
1,008

 
20

 
(14
)
 
85

 
(114
)
 
ABS
112

 
—

 
3

 
16

 
(12
)
 
CMBS
1

 
—

 
—

 
—

 
(4
)
 
Redeemable preferred stock
1

 
—

 
—

 
—

 
—

 
Total fixed income securities
1,241

 
20

 
7

 
101

 
(147
)
 
Equity securities
6

 
—

 
(1
)
 
—

 
(1
)
 
Free-standing derivatives, net
(5
)
 
—

 
—

 
—

 
—

 
Other assets
—

 
1

 
—

 
—

 
—

 
Assets held for sale
362

 
(1
)
 
2

 
4

 
(2
)
 
Total recurring Level 3 assets
$
1,604

 
$
20

 
$
8

 
$
105

 
$
(150
)
 
Liabilities
 

 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(307
)
 
$
(8
)
 
$
—

 
$
—

 
$
—

 
Liabilities held for sale
(246
)
 
17

 
—

 
—

 
—

 
Total recurring Level 3 liabilities
$
(553
)
 
$
9

 
$
—

 
$
—

 
$
—

 
 
Sold in LBL
disposition (3)
 
Purchases/
Issues (4)
 
Sales
 
Settlements
 
Balance as of December 31, 2014
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
—

 
$
—

 
$
(11
)
 
$
(3
)
 
$
106

 
Corporate
—

 
20

 
(109
)
 
(104
)
 
792

 
ABS
—

 
21

 
—

 
(11
)
 
129

 
CMBS
4

 
—

 
—

 
—

 
1

 
Redeemable preferred stock
—

 
—

 
(1
)
 
—

 
—

 
Total fixed income securities
4

 
41

 
(121
)
 
(118
)
 
1,028

 
Equity securities
—

 
39

 
(6
)
 
—

 
37

 
Free-standing derivatives, net
—

 
2

 
—

 
(4
)
 
(7
)
(2) 
Other assets
—

 
—

 
—

 
—

 
1

 
Assets held for sale
(351
)
 
—

 
(8
)
 
(6
)
 
—

 
Total recurring Level 3 assets
$
(347
)
 
$
82

 
$
(135
)
 
$
(128
)
 
$
1,059

 
Liabilities
 

 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
—

 
$
(14
)
 
$
—

 
$
6

 
$
(323
)
 
Liabilities held for sale
230

 
(4
)
 
—

 
3

 
—

 
Total recurring Level 3 liabilities
$
230

 
$
(18
)
 
$
—

 
$
9

 
$
(323
)
 
____________
(1) 
The effect to net income totals $29 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $11 million in realized capital gains and losses, $12 million in net investment income, $(5) million in interest credited to contractholder funds, $15 million in contract benefits and $(4) million in loss on disposition of operations.
(2) 
Comprises $2 million of assets and $9 million of liabilities.
(3) 
Includes transfers from held for sale that took place in first quarter 2014 of $4 million for CMBS and $(4) million for Assets held for sale.
(4) 
Represents purchases for assets and issues for liabilities.


The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2013.
($ in millions)
 

 
Total gains (losses)
included in:
 
 

 
 

 
Balance as of December 31, 2012
 
Net
income (1)
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
Assets
 

 
 

 
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

 
 

 
 

Municipal
$
338

 
$
(12
)
 
$
19

 
$
—

 
$
—

Corporate
1,501

 
32

 
(32
)
 
84

 
(172
)
ABS
199

 
(2
)
 
30

 
17

 
(16
)
RMBS
—

 
—

 
—

 
—

 
—

CMBS
21

 
(1
)
 
3

 
—

 
—

Redeemable preferred stock
1

 
—

 
—

 
—

 
—

Total fixed income securities
2,060

 
17

 
20

 
101

 
(188
)
Equity securities
7

 
—

 
—

 
—

 
—

Free-standing derivatives, net
(27
)
 
19

 
—

 
—

 
—

Other assets
1

 
(1
)
 
—

 
—

 
—

Assets held for sale
—

 
(2
)
 
(6
)
 
13

 
(13
)
Total recurring Level 3 assets
$
2,041

 
$
33

 
$
14

 
$
114

 
$
(201
)
Liabilities
 

 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
$
(553
)
 
$
89

 
$
—

 
$
—

 
$
—

Liabilities held for sale
—

 
20

 
—

 
—

 
—

Total recurring Level 3 liabilities
$
(553
)
 
$
109

 
$
—

 
$
—

 
$
—

 
 
Transfer to
held for sale
 
Purchases/
Issues (2)
 
Sales
 
Settlements
 
Balance as of December 31, 2013
 
Assets
 
 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 
 

 
 

 
 

 
 

 
Municipal
$
(51
)
 
$
—

 
$
(173
)
 
$
(2
)
 
$
119

 
Corporate
(244
)
 
145

 
(173
)
 
(133
)
 
1,008

 
ABS
(85
)
 
—

 
(8
)
 
(23
)
 
112

 
RMBS
—

 
—

 
—

 
—

 
—

 
CMBS
(5
)
 
—

 
(17
)
 
—

 
1

 
Redeemable preferred stock
—

 
—

 
—

 
—

 
1

 
Total fixed income securities
(385
)
 
145

 
(371
)
 
(158
)
 
1,241

 
Equity securities
—

 
—

 
(1
)
 
—

 
6

 
Free-standing derivatives, net
—

 
9

 
—

 
(6
)
 
(5
)
(3
)
Other assets
—

 
—

 
—

 
—

 
—

 
Assets held for sale
385

 
—

 
(10
)
 
(5
)
 
362

 
Total recurring Level 3 assets
$
—

 
$
154

 
$
(382
)
 
$
(169
)
 
$
1,604

 
Liabilities
 
 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
265

 
$
(111
)
 
$
—

 
$
3

 
$
(307
)
 
Liabilities held for sale
(265
)
 
(6
)
 
—

 
5

 
(246
)
 
Total recurring Level 3 liabilities
$
—

 
$
(117
)
 
$
—

 
$
8

 
$
(553
)
 
____________
(1) 
The effect to net income totals $142 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $20 million in realized capital gains and losses, $14 million in net investment income, $40 million in interest credited to contractholder funds, $74 million in contract benefits and $(6) million in loss on disposition of operations.
(2) 
Represents purchases for assets and issues for liabilities.
(3) 
Comprises $9 million of assets and $14 million of liabilities.

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2012. 
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
Balance as of
December 31,
2011
 
Net
income (1)
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
Assets
 

 
 

 
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

 
 

 
 

Municipal
$
387

 
$
(5
)
 
$
22

 
$
53

 
$
(10
)
Corporate
1,319

 
20

 
63

 
381

 
(64
)
ABS
254

 
24

 
59

 
42

 
(7
)
RMBS
47

 
—

 
—

 
—

 
(47
)
CMBS
30

 
(4
)
 
10

 
—

 
—

Redeemable preferred stock
1

 
—

 
—

 
—

 
—

Total fixed income securities
2,038

 
35

 
154

 
476

 
(128
)
Equity securities
14

 
—

 
—

 
—

 
—

Free-standing derivatives, net
(88
)
 
25

 
—

 
—

 
—

Other assets
1

 
—

 
—

 
—

 
—

Total recurring Level 3 assets
$
1,965

 
$
60

 
$
154

 
$
476

 
$
(128
)
Liabilities
 

 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
$
(723
)
 
$
168

 
$
—

 
$
—

 
$
—

Total recurring Level 3 liabilities
$
(723
)
 
$
168

 
$
—

 
$
—

 
$
—


 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2012
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
—

 
$
(107
)
 
$
—

 
$
(2
)
 
$
338

 
Corporate
125

 
(223
)
 
—

 
(120
)
 
1,501

 
ABS
11

 
(165
)
 
—

 
(19
)
 
199

 
RMBS
—

 
—

 
—

 
—

 
—

 
CMBS
—

 
—

 
—

 
(15
)
 
21

 
Redeemable preferred stock
1

 
(1
)
 
—

 
—

 
1

 
Total fixed income securities
137

 
(496
)
 
—

 
(156
)
 
2,060

 
Equity securities
5

 
(12
)
 
—

 
—

 
7

 
Free-standing derivatives, net
27

 
—

 
—

 
9

 
(27
)
(2) 
Other assets
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
$
169

 
$
(508
)
 
$
—

 
$
(147
)
 
$
2,041

 
Liabilities
 

 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
—

 
$
—

 
$
(79
)
 
$
81

 
$
(553
)
 
Total recurring Level 3 liabilities
$
—

 
$
—

 
$
(79
)
 
$
81

 
$
(553
)
 
____________
(1) 
The effect to net income totals $228 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows:$38 million in realized capital gains and losses, $22 million in net investment income, $132 million in interest credited to contractholder funds and $36 million in contract benefits.
(2) 
Comprises $3 million of assets and $30 million of liabilities.
Schedule of change in unrealized gains and losses included in net income for Level 3 assets and liabilities held
The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities held as of December 31. 
($ in millions)
2014
 
2013
 
2012
Assets
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

Municipal
$
(1
)
 
$
(4
)
 
$
—

Corporate
11

 
13

 
15

ABS
—

 
(2
)
 
—

CMBS
1

 
(2
)
 
(3
)
Total fixed income securities
11

 
5

 
12

Equity securities
—

 
—

 
—

Free-standing derivatives, net
5

 
10

 
6

Other assets
1

 
(1
)
 
—

Assets held for sale
—

 
(2
)
 
—

Total recurring Level 3 assets
$
17

 
$
12

 
$
18

Liabilities
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
$
(8
)
 
$
89

 
$
168

Liabilities held for sale
17

 
20

 
—

Total recurring Level 3 liabilities
$
9

 
$
109

 
$
168
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value. 
Financial assets
($ in millions)
December 31, 2014
 
December 31, 2013
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
$
3,686

 
$
3,922

 
$
4,173

 
$
4,300

Cost method limited partnerships
508

 
686

 
605

 
799

Bank loans
431

 
427

 
160

 
161

Agent loans
368

 
361

 
341

 
325

Notes due from related party
275

 
275

 
275

 
275

Assets held for sale
—

 
—

 
1,458

 
1,532


($ in millions)
December 31, 2014
 
December 31, 2013
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
$
13,708

 
$
14,364

 
$
15,542

 
$
16,198

Notes due to related parties
275

 
275

 
282

 
282

Liability for collateral
510

 
510

 
328

 
328

Liabilities held for sale
—

 
—

 
7,417

 
7,298