XML 28 R18.htm IDEA: XBRL DOCUMENT

Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2019

Summary of assets and liabilities measured at fair value on a recurring and non-recurring basis

The following table summarizes the Company’s assets and liabilities measured at fair value as of March 31, 2019.



($ 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 March 31, 2019
Assets
Fixed income securities:
U.S. government and agencies	$	255		$	283		$	—					$	538
Municipal	—			2,120			40						2,160
Corporate - public	—			12,302			35						12,337
Corporate - privately placed	—			5,582			97						5,679
Foreign government	—			178			—						178
ABS - CDO	—			23			6						29
ABS - consumer and other	—			356			25						381
RMBS	—			188			—						188
CMBS	—			35			2						37
Redeemable preferred stock	—			14			—						14
Total fixed income securities	255			21,081			205						21,541
Equity securities	1,162			16			106						1,284
Short-term investments	655			629			—						1,284
Other investments: Free-standing derivatives	—			79			1			$	(9	)	71
Separate account assets	3,024			—			—						3,024
Total recurring basis assets	5,096			21,805			312			(9		)	27,204
Non-recurring basis ⁽¹⁾	—			—			13						13
Total assets at fair value	$	5,096		$	21,805		$	325		$	(9	)	$	27,217
% of total assets at fair value	18.7		%	80.1		%	1.2		%	—		%	100.0		%

Investments reported at NAV													758
Total													$	27,975

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(247	)				$	(247	)
Other liabilities: Free-standing derivatives	—			(22		)	—			$	3		(19		)
Total recurring basis liabilities at fair value	$	—		$	(22	)	$	(247	)	$	3		$	(266	)
% of total liabilities at fair value	—		%	8.2		%	92.9		%	(1.1		)%	100.0		%

__________


⁽¹⁾	Includes $2 million of limited partnerships and $11 million of bank loans written-down to fair value in connection with recognizing OTTI impairments.

The following table summarizes the Company’s assets and liabilities measured at fair value as of December 31, 2018.



($ 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, 2018
Assets
Fixed income securities:
U.S. government and agencies	$	493		$	280		$	—					$	773
Municipal	—			2,156			39						2,195
Corporate - public	—			11,891			33						11,924
Corporate - privately placed	—			5,552			97						5,649
Foreign government	—			179			—						179
ABS - CDO	—			26			6						32
ABS - consumer and other	—			381			16						397
RMBS	—			197			—						197
CMBS	—			40			—						40
Redeemable preferred stock	—			14			—						14
Total fixed income securities	493			20,716			191						21,400
Equity securities	1,182			14			129						1,325
Short-term investments	443			367			—						810
Other investments: Free-standing derivatives	—			30			1			$	(8	)	23
Separate account assets	2,783			—			—						2,783
Total recurring basis assets at fair value	$	4,901		$	21,127		$	321		$	(8	)	$	26,341
% of total assets at fair value	18.6		%	80.2		%	1.2		%	—		%	100.0		%

Investments reported at NAV													787
Total													$	27,128

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(223	)				$	(223	)
Other liabilities: Free-standing derivatives	—			(7		)	—			$	2		(5		)
Total recurring basis liabilities at fair value	$	—		$	(7	)	$	(223	)	$	2		$	(228	)
% of total liabilities at fair value	—		%	3.1		%	97.8		%	(0.9		)%	100.0		%

Summary of quantitative information about the significant unobservable inputs used in Level 3 fair value measurements

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
March 31, 2019
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(216	)	Stochastic cash flow model	Projected option cost	1.0 - 2.2%	1.74	%
December 31, 2018
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(184	)	Stochastic cash flow model	Projected option cost	1.0 - 2.2%	1.74	%

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 three months ended March 31, 2019.



($ in millions)				Total gains (losses) included in:
	Balance as of December 31, 2018			Net income⁽¹⁾			OCI		Transfers into Level 3			Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	39		$	—		$	1	$	—		$	—
Corporate - public	33			—			—		—			—
Corporate - privately placed	97			(2		)	2		15			—
ABS - CDO	6			—			—		—			—
ABS - consumer and other	16			—			—		—			—
CMBS	—			—			—		2			—
Total fixed income securities	191			(2		)	3		17			—
Equity securities	129			15			—		—			—
Free-standing derivatives, net	1			—			—		—			—
Total recurring Level 3 assets	$	321		$	13		$	3	$	17		$	—

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(223	)	$	(25	)	$	—	$	—		$	—
Total recurring Level 3 liabilities	$	(223	)	$	(25	)	$	—	$	—		$	—

	Purchases			Sales			Issues		Settlements			Balance as of March 31, 2019
Assets
Fixed income securities:
Municipal	$	—		$	—		$	—	$	—		$	40
Corporate - public	3			—			—		(1		)	35
Corporate - privately placed	—			(13		)	—		(2		)	97
ABS - CDO	—			—			—		—			6
ABS - consumer and other	12			—			—		(3		)	25
CMBS	—			—			—		—			2
Total fixed income securities	15			(13		)	—		(6		)	205
Equity securities	—			(38		)	—		—			106
Free-standing derivatives, net	—			—			—		—			1			⁽²⁾
Total recurring Level 3 assets	$	15		$	(51	)	$	—	$	(6	)	$	312

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	—	$	1		$	(247	)
Total recurring Level 3 liabilities	$	—		$	—		$	—	$	1		$	(247	)

____________


⁽¹⁾	The effect to net income totals $(12) million and is reported in the Condensed Consolidated Statements of Operations and Comprehensive Income as follows: $13 million in realized capital gains and losses, $(33) million in interest credited to contractholder funds and $8 million in contract benefits.


⁽²⁾	Comprises $1 million of assets.

The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the three months ended March 31, 2018.



($ in millions)				Total gains (losses) included in:
	Balance as of December 31, 2017			Net income⁽¹⁾			OCI			Transfers into Level 3			Transfers out of Level 3
Assets
Fixed income securities:
Municipal	$	57		$	—		$	(1	)	$	—		$	—
Corporate - public	49			—			(1		)	3			—
Corporate - privately placed	220			—			(2		)	—			(13		)
ABS - CDO	10			—			—			—			—
ABS - consumer and other	40			—			—			3			—
Total fixed income securities	376			—			(4		)	6			(13		)
Equity securities	90			1			—			—			—
Free-standing derivatives, net	1			—			—			—			—
Total recurring Level 3 assets	$	467		$	1		$	(4	)	$	6		$	(13	)

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(284	)	$	23		$	—		$	—		$	—
Total recurring Level 3 liabilities	$	(284	)	$	23		$	—		$	—		$	—

	Purchases			Sales			Issues			Settlements			Balance as of March 31, 2018
Assets
Fixed income securities:
Municipal	$	—		$	—		$	—		$	—		$	56
Corporate - public	—			(1		)	—			(3		)	47
Corporate - privately placed	11			—			—			(1		)	215
ABS - CDO	—			—			—			—			10
ABS - consumer and other	3			(4		)	—			(1		)	41
Total fixed income securities	14			(5		)	—			(5		)	369
Equity securities	8			—			—			—			99
Free-standing derivatives, net	—			—			—			—			1			⁽²⁾
Total recurring Level 3 assets	$	22		$	(5	)	$	—		$	(5	)	$	469

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(1	)	$	2		$	(260	)
Total recurring Level 3 liabilities	$	—		$	—		$	(1	)	$	2		$	(260	)

__________


⁽¹⁾	The effect to net income totals $24 million and is reported in the Condensed Consolidated Statements of Operations and Comprehensive Income as follows: $1 million in realized capital gains and losses, $19 million in interest credited to contractholder funds and $4 million in contract benefits.

⁽²⁾

Comprises $1 million of assets.

Schedule of change in unrealized gains and losses included in net income for Level 3 assets and liabilities held

The following table provides valuation changes included in net income for Level 3 assets and liabilities held as of March 31.



($ in millions)	Three months ended March 31,
	2019			2018
Assets
Equity securities	$	2		$	1
Total recurring Level 3 assets	$	2		$	1

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(25	)	$	23
Total recurring Level 3 liabilities	$	(25	)	$	23

Schedule of carrying values and fair value estimates of financial instruments not carried at fair value

Financial assets



($ in millions)		March 31, 2019				December 31, 2018
	Fair value level	Carrying value		Fair value		Carrying value		Fair value
Mortgage loans	Level 3	$	4,034	$	4,132	$	3,995	$	4,028
Bank loans	Level 3	394		383		422		408
Agent loans	Level 3	639		639		620		617

Financial liabilities



($ in millions)		March 31, 2019				December 31, 2018
	Fair value level	Carrying value		Fair value		Carrying value		Fair value
Contractholder funds on investment contracts	Level 3	$	8,979	$	9,590	$	9,213	$	9,629
Liability for collateral	Level 2	587		587		525		525
Notes due to related parties	Level 3	140		140		140		138

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details