XML 44 R34.htm IDEA: XBRL DOCUMENT v3.6.0.2
Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2016
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, 2016.
($ 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, 2016
Assets
 

 
 
 
 

 
 

 
 

Fixed income securities:
 

 
 
 
 

 
 

 
 

U.S. government and agencies
$
619

 
$
395

 
$
—

 
 

 
$
1,014

Municipal
—

 
2,215

 
59

 
 

 
2,274

Corporate - public
—

 
13,475

 
47

 
 

 
13,522

Corporate - privately placed
—

 
5,895

 
264

 
 
 
6,159

Foreign government
—

 
332

 
—

 
 

 
332

ABS - CDO
—

 
102

 
27

 
 

 
129

ABS - consumer and other
—

 
160

 
42

 
 
 
202

RMBS
—

 
333

 
—

 
 

 
333

CMBS
—

 
241

 
—

 
 

 
241

Redeemable preferred stock
—

 
16

 
—

 
 

 
16

Total fixed income securities
619

 
23,164

 
439

 
 

 
24,222

Equity securities
1,432

 
3

 
76

 
 

 
1,511

Short-term investments
166

 
400

 
—

 
 

 
566

Other investments: Free-standing derivatives
—

 
101

 
1

 
$
(6
)
 
96

Separate account assets
3,373

 
—

 
—

 
 

 
3,373

Other assets
—

 
—

 
1

 
 

 
1

Total recurring basis assets
5,590

 
23,668

 
517

 
(6
)
 
29,769

Non-recurring basis (1)
—

 
—

 
9

 
 

 
9

Total assets at fair value
$
5,590

 
$
23,668

 
$
526

 
$
(6
)
 
$
29,778

% of total assets at fair value
18.7
%
 
79.5
%
 
1.8
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
Liabilities
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(289
)
 
 

 
$
(289
)
Other liabilities: Free-standing derivatives
—

 
(39
)
 
(3
)
 
$
2

 
(40
)
Total liabilities at fair value
$
—

 
$
(39
)
 
$
(292
)
 
$
2

 
$
(329
)
% of total liabilities at fair value
—
%
 
11.9
%
 
88.7
%
 
(0.6
)%
 
100
%
_______________________
(1) Includes $9 million of limited partnership 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, 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 $5 million of other investments written-down to fair value in connection with recognizing other-than-temporary impairments.
The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements.
($ in millions)
Fair value
 
Valuation
technique
 
Unobservable
input
 
Range
 
Weighted
average
December 31, 2016
 

 
 
 
 
 
 
 
 

Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
$
(246
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.2%
 
1.75
%
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
%
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, 2016.
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
 
Balance as of December 31, 2015
 
Net
income (1)
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
78

 
$
12

 
$
(8
)
 
$
6

 
$
—

 
Corporate - public
44

 
—

 
—

 
16

 
(15
)
 
Corporate - privately placed
447

 
15

 
18

 
16

 
(277
)
 
ABS - CDO
53

 
1

 
5

 
8

 
(1
)
 
ABS - consumer and other
44

 
—

 
(3
)
 
3

 
(7
)
 
Total fixed income securities
666

 
28

 
12

 
49

 
(300
)
 
Equity securities
60

 
(15
)
 
5

 
—

 
(4
)
 
Free-standing derivatives, net
(7
)
 
6

 
—

 
—

 
—

 
Other assets
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
$
720

 
$
19

 
$
17

 
$
49

 
$
(304
)
 
Liabilities
 

 
 

 
 

 
 

 
 

 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(299
)
 
$
6

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
$
(299
)
 
$
6

 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2016
 
Assets
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
Municipal
$
—

 
$
(27
)
 
$
—

 
$
(2
)
 
$
59

 
Corporate - public
6

 
(3
)
 
—

 
(1
)
 
47

 
Corporate - privately placed
108

 
(15
)
 
—

 
(48
)
 
264

 
ABS - CDO
—

 
(2
)
 
—

 
(37
)
 
27

 
ABS - consumer and other
7

 
—

 
—

 
(2
)
 
42

 
Total fixed income securities
121

 
(47
)
 
—

 
(90
)
 
439

 
Equity securities
32

 
(2
)
 
—

 
—

 
76

 
Free-standing derivatives, net
—

 
—

 
—

 
(1
)
 
(2
)
(2) 
Other assets
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
$
153

 
$
(49
)
 
$
—

 
$
(91
)
 
$
514

 
Liabilities
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(3
)
 
$
7

 
$
(289
)
 
Total recurring Level 3 liabilities
$
—

 
$
—

 
$
(3
)
 
$
7

 
$
(289
)
 
_____________________
(1) 
The effect to net income totals $25 million and is reported in the Consolidated Statements of Operations and Comprehensive Income as follows: $8 million in realized capital gains and losses, $11 million in net investment income, $(3) million in interest credited to contractholder funds and $9 million in contract benefits.
(2) 
Comprises $1 million of assets and $3 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, 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
 
Sales
 
Issues
 
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.

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)
2016
 
2015
 
2014
Assets
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

Municipal
$
2

 
$
—

 
$
(1
)
Corporate
1

 
11

 
11

ABS
—

 
1

 
—

CMBS
—

 
—

 
1

Total fixed income securities
3

 
12

 
11

Equity securities
(15
)
 
(1
)
 
—

Free-standing derivatives, net
5

 
1

 
5

Other assets
—

 
—

 
1

Total recurring Level 3 assets
$
(7
)
 
$
12

 
$
17

 
 
 
 
 
 
Liabilities
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
6

 
$
19

 
$
(8
)
Liabilities held for sale
—

 
—

 
17

Total recurring Level 3 liabilities
$
6

 
$
19

 
$
9
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Financial liabilities
($ in millions)
December 31, 2016
 
December 31, 2015
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
$
11,276

 
$
11,972

 
$
12,387

 
$
12,836

Notes due to related parties
465

 
465

 
275

 
275

Liability for collateral
550

 
550

 
550

 
550

 
Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value.
Financial assets
($ in millions)
December 31, 2016
 
December 31, 2015
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
$
3,938

 
$
3,963

 
$
3,781

 
$
3,920

Cost method limited partnerships
591

 
681

 
530

 
661

Bank loans
467

 
467

 
502

 
493

Agent loans
467

 
467

 
422

 
408

Notes due from related party
325

 
325

 
275

 
275