XML 44 R34.htm IDEA: XBRL DOCUMENT v3.3.1.900
Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2015
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, 2015.
 
($ 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, 2015
Assets
 

 
 
 
 

 
 

 
 

Fixed income securities:
 

 
 
 
 

 
 

 
 

U.S. government and agencies
$
546

 
$
431

 
$
—

 
 

 
$
977

Municipal
—

 
2,364

 
78

 
 

 
2,442

Corporate - public
—

 
12,490

 
44

 
 

 
12,534

Corporate - privately placed
—

 
5,523

 
447

 
 
 
5,970

Foreign government
—

 
384

 
—

 
 

 
384

ABS - CDO
—

 
178

 
53

 
 

 
231

ABS - consumer and other
—

 
1,145

 
44

 
 
 
1,189

RMBS
—

 
451

 
—

 
 

 
451

CMBS
—

 
436

 
—

 
 

 
436

Redeemable preferred stock
—

 
15

 
—

 
 

 
15

Total fixed income securities
546

 
23,417

 
666

 
 

 
24,629

Equity securities
1,479

 
3

 
60

 
 

 
1,542

Short-term investments
193

 
623

 
—

 
 

 
816

Other investments: Free-standing derivatives
—

 
59

 
1

 
$
(11
)
 
49

Separate account assets
3,639

 
—

 
—

 
 

 
3,639

Other assets
1

 
—

 
1

 
 

 
2

Total recurring basis assets
5,858

 
24,102

 
728

 
(11
)
 
30,677

Non-recurring basis (1)
—

 
—

 
8

 
 

 
8

Total assets at fair value
$
5,858

 
$
24,102

 
$
736

 
$
(11
)
 
$
30,685

% of total assets at fair value
19.1
%
 
78.5
%
 
2.4
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
Liabilities
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(299
)
 
 

 
$
(299
)
Other liabilities: Free-standing derivatives
—

 
(7
)
 
(8
)
 
$
1

 
(14
)
Total liabilities at fair value
$
—

 
$
(7
)
 
$
(307
)
 
$
1

 
$
(313
)
% of total liabilities at fair value
—
%
 
2.2
%
 
98.1
%
 
(0.3
)%
 
100
%
_______________________
(1) Includes $3 million of limited partnership interests and $5 million of other investments 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, 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 - public
—

 
14,519

 
160

 
 

 
14,679

Corporate - privately placed
—

 
5,674

 
632

 
 
 
6,306

Foreign government
—

 
735

 
—

 
 

 
735

ABS - CDO
—

 
323

 
67

 
 

 
390

ABS - consumer and other
—

 
313

 
62

 
 
 
375

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 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, 2015
 

 
 
 
 
 
 
 
 

Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
$
(247
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.2%
 
1.76
%
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
%
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, 2015.
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
 
Balance as of December 31, 2014
 
Net
income (1)
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
106

 
$
5

 
$
(5
)
 
$
—

 
$
—

 
Corporate - public
160

 
—

 
(2
)
 
—

 
(111
)
 
Corporate - privately placed
632

 
14

 
(17
)
 
10

 
(79
)
 
ABS - CDO
67

 
—

 
2

 
21

 
(17
)
 
ABS - consumer and other
62

 
(1
)
 
—

 
—

 
(41
)
 
CMBS
1

 
—

 
(1
)
 
—

 
—

 
Total fixed income securities
1,028

 
18

 
(23
)
 
31

 
(248
)
 
Equity securities
37

 
(1
)
 
(3
)
 
—

 
—

 
Free-standing derivatives, net
(7
)
 
1

 
—

 
—

 
—

 
Other assets
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
$
1,059

 
$
18

 
$
(26
)
 
$
31

 
$
(248
)
 
Liabilities
 

 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(323
)
 
$
19

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
$
(323
)
 
$
19

 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Issues
 
Sales
 
Settlements
 
Balance as of December 31, 2015
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
—

 
$
—

 
$
(23
)
 
$
(5
)
 
$
78

 
Corporate - public
1

 
—

 
—

 
(4
)
 
44

 
Corporate - privately placed
29

 
—

 
(67
)
 
(75
)
 
447

 
ABS - CDO
—

 
—

 
(1
)
 
(19
)
 
53

 
ABS - consumer and other
27

 
—

 
—

 
(3
)
 
44

 
CMBS
—

 
—

 
—

 
—

 
—

 
Total fixed income securities
57

 
—

 
(91
)
 
(106
)
 
666

 
Equity securities
32

 
—

 
(5
)
 
—

 
60

 
Free-standing derivatives, net
—

 
—

 
—

 
(1
)
 
(7
)
(2) 
Other assets
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
$
89

 
$
—

 
$
(96
)
 
$
(107
)
 
$
720

 
Liabilities
 

 
 

 
 

 
 

 
 

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

 
$
(2
)
 
$
—

 
$
7

 
$
(299
)
 
Total recurring Level 3 liabilities
$
—

 
$
(2
)
 
$
—

 
$
7

 
$
(299
)
 
_____________________
(1) 
The effect to net income totals $37 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $6 million in realized capital gains and losses, $12 million in net investment income, $26 million in interest credited to contractholder funds and $(7) million in contract benefits.
(2) 
Comprises $1 million of assets and $8 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, 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
)
 
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

 
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 $14 million of liabilities
Schedule of change in unrealized gains and losses included in net income for Level 3 assets and liabilities held
.
The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities held as of December 31.
($ in millions)
2015
 
2014
 
2013
Assets
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

Municipal
$
—

 
$
(1
)
 
$
(4
)
Corporate
11

 
11

 
13

ABS
1

 
—

 
(2
)
CMBS
—

 
1

 
(2
)
Total fixed income securities
12

 
11

 
5

Equity securities
(1
)
 
—

 
—

Free-standing derivatives, net
1

 
5

 
10

Other assets
—

 
1

 
(1
)
Assets held for sale
—

 
—

 
(2
)
Total recurring Level 3 assets
$
12

 
$
17

 
$
12

 
 
 
 
 
 
Liabilities
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
19

 
$
(8
)
 
$
89

Liabilities held for sale
—

 
17

 
20

Total recurring Level 3 liabilities
$
19

 
$
9

 
$
109
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
($ in millions)
December 31, 2015
 
December 31, 2014
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
$
12,387

 
$
12,836

 
$
13,708

 
$
14,364

Notes due to related parties
275

 
275

 
275

 
275

Liability for collateral
550

 
550

 
510

 
510


.
Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value.
Financial assets
($ in millions)
December 31, 2015
 
December 31, 2014
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
$
3,781

 
$
3,920

 
$
3,686

 
$
3,922

Cost method limited partnerships
530

 
661

 
508

 
686

Bank loans
502

 
493

 
431

 
427

Agent loans
422

 
408

 
368

 
361

Notes due from related party
275

 
275

 
275

 
275