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Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2019
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 as of December 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 December 31, 2019
Assets
 

 
 
 
 

 
 

 
 

Fixed income securities:
 

 
 
 
 

 
 

 
 

U.S. government and agencies
$
590

 
$
292

 
$
—

 
 

 
$
882

Municipal
—

 
1,715

 
40

 
 

 
1,755

Corporate - public
—

 
12,777

 
25

 
 

 
12,802

Corporate - privately placed
—

 
5,517

 
122

 
 
 
5,639

Foreign government
—

 
149

 
—

 
 

 
149

ABS
—

 
301

 
16

 
 
 
317

MBS
—

 
176

 
5

 
 
 
181

Total fixed income securities
590

 
20,927

 
208

 
 

 
21,725

Equity securities
1,340

 
13

 
116

 
 

 
1,469

Short-term investments
493

 
698

 
—

 
 

 
1,191

Other investments: Free-standing derivatives
—

 
134

 
—

 
$
(10
)
 
124

Separate account assets
3,009

 
—

 
—

 
 

 
3,009

Total recurring basis assets
$
5,432

 
$
21,772

 
$
324

 
$
(10
)
 
$
27,518

% of total assets at fair value
19.7
%
 
79.1
%
 
1.2
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
773

Total
 
 
 
 
 
 
 
 
$
28,291

 
 
 
 
 
 
 
 
 
 
Liabilities
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(427
)
 
 

 
$
(427
)
Other liabilities: Free-standing derivatives
—

 
(65
)
 
—

 
$
3

 
(62
)
Total recurring basis liabilities
$
—

 
$
(65
)
 
$
(427
)
 
$
3

 
$
(489
)
% of total liabilities at fair value
—
%
 
13.3
%
 
87.3
%
 
(0.6
)%
 
100
%
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
—

 
5,566

 
97

 
 
 
5,663

Foreign government
—

 
179

 
—

 
 

 
179

ABS
—

 
407

 
22

 
 
 
429

MBS
—

 
237

 
—

 
 
 
237

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
$
4,901

 
$
21,127

 
$
321

 
$
(8
)
 
$
26,341

% of total assets at fair value
18.6
%
 
80.2
%
 
1.2
%
 
—
 %
 
100
%
 
 
 
 
 
 
 
 
 
 
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
$
—

 
$
(7
)
 
$
(223
)
 
$
2

 
$
(228
)
% of total liabilities at fair value
—
%
 
3.1
%
 
97.8
%
 
(0.9
)%
 
100
%

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, 2019
 

 
 
 
 
 
 
 
 

Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
$
(395
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 4.2%
 
2.57
%
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 during the year ended December 31, 2019.
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance as of December 31, 2018
 
Net income
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2019
Assets
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

Municipal
$
39

 
$
—

 
$
4

 
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
—

 
$
(2
)
 
$
40

Corporate - public
33

 
—

 
—

 
5

 
(38
)
 
32

 
(2
)
 
—

 
(5
)
 
25

Corporate - privately placed
97

 
(1
)
 
1

 
43

 
(1
)
 
4

 
(13
)
 
—

 
(8
)
 
122

ABS
22

 
1

 
(1
)
 
—

 
(30
)
 
36

 
(6
)
 
—

 
(6
)
 
16

MBS
—

 
—

 
(1
)
 
6

 
—

 
—

 
—

 
—

 
—

 
5

Total fixed income securities
191

 
—

 
3

 
54

 
(69
)
 
72

 
(22
)
 
—

 
(21
)
 
208

Equity securities
129

 
15

 
—

 
—

 
—

 
10

 
(38
)
 
—

 
—

 
116

Free-standing derivatives, net
1

 
(1
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total recurring Level 3 assets
$
321

 
$
14

 
$
3

 
$
54

 
$
(69
)
 
$
82

 
$
(60
)
 
$
—

 
$
(21
)
 
$
324

Liabilities
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 

 

Contractholder funds: Derivatives embedded in life and annuity contracts
$
(223
)
 
$
(52
)
 
$
—

 
$
(154
)
 
$
—

 
$
—

 
$
—

 
$
(10
)
 
$
12

 
$
(427
)
Total recurring Level 3 liabilities
$
(223
)
 
$
(52
)
 
$
—

 
$
(154
)
 
$
—

 
$
—

 
$
—

 
$
(10
)
 
$
12

 
$
(427
)

The following table presents the total Level 3 gains (losses) included in net income for the year ended December 31, 2019.
($ in millions)
 
Net investment income
 
Realized capital gains and losses
 
Contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
(2
)
 
$
16

 
$
7

 
$
(59
)
 
$
(38
)



The following table presents the rollforward of Level 3 assets and liabilities held at fair value during the year ended December 31, 2018.
($ in millions)
 

 
Total gains (losses)
included in:
 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
 
Balance as of December 31, 2017
 
Net income
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2018
 
Assets
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Municipal
$
57

 
$
—

 
$
(2
)
 
$
—

 
$
(16
)
 
$
2

 
$
(2
)
 
$
—

 
$
—

 
$
39

 
Corporate - public
49

 
—

 
(2
)
 
3

 
(3
)
 
—

 
(11
)
 
—

 
(3
)
 
33

 
Corporate - privately placed
220

 
(2
)
 
(2
)
 
10

 
(101
)
 
12

 
—

 
—

 
(40
)
 
97

 
ABS
50

 
—

 
—

 
12

 
(18
)
 
20

 
(19
)
 
—

 
(23
)
 
22

 
Total fixed income securities
376

 
(2
)
 
(6
)
 
25

 
(138
)
 
34

 
(32
)
 
—

 
(66
)
 
191

 
Equity securities
90

 
16

 
—

 
—

 
—

 
30

 
(7
)
 
—

 
—

 
129

 
Free-standing derivatives, net
1

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
1

(1 
) 
Total recurring Level 3 assets
$
467

 
$
14

 
$
(6
)
 
$
25

 
$
(138
)
 
$
64

 
$
(39
)
 
$
—

 
$
(66
)
 
$
321

 
Liabilities
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 

 


 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(284
)
 
$
57

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
6

 
$
(223
)
 
Total recurring Level 3 liabilities
$
(284
)
 
$
57

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
6

 
$
(223
)
 
____________________
(1) 
Comprises $1 million of assets.
The following table presents the total Level 3 gains (losses) included in net income for the year ended December 31, 2018.
($ in millions)
 
Net investment income
 
Realized capital gains and losses
 
Contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
—

 
$
14

 
$
(5
)
 
$
62

 
$
71








The following table presents the rollforward of Level 3 assets and liabilities held at fair value during the year ended December 31, 2017.
($ in millions)
 
 
Total gains (losses)
included in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Balance as of December 31, 2016
 
Net income
 
OCI
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2017
 
Assets
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 
 
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 
 
Municipal
$
59

 
$
—

 
$
2

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
—

 
$
(2
)
 
$
57

 
Corporate - public
47

 
1

 
—

 
3

 
(15
)
 
17

 
—

 
—

 
(4
)
 
49

 
Corporate - privately placed
264

 
7

 
(2
)
 
11

 
(16
)
 
20

 
(30
)
 
—

 
(34
)
 
220

 
ABS
69

 
—

 
6

 
4

 
(36
)
 
34

 
—

 
—

 
(27
)
 
50

 
Total fixed income securities
439

 
8

 
6

 
18

 
(67
)
 
71

 
(32
)
 
—

 
(67
)
 
376

 
Equity securities
76

 
8

 
3

 
—

 
—

 
13

 
(10
)
 
—

 
—

 
90

 
Free-standing derivatives, net
(2
)
 
3

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
1

(1 
) 
Other assets
1

 
(1
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
$
514

 
$
18

 
$
9

 
$
18

 
$
(67
)
 
$
84

 
$
(42
)
 
$
—

 
$
(67
)
 
$
467

 
Liabilities
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 
 

 


 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(289
)
 
$
1

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
6

 
$
(284
)
 
Total recurring Level 3 liabilities
$
(289
)
 
$
1

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
6

 
$
(284
)
 
____________________
(1) 
Comprises $1 million of assets.

The following table presents the total Level 3 gains (losses) included in net income for the year ended December 31, 2017.
($ in millions)
 
Net investment income
 
Realized capital gains and losses
 
Contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
10

 
$
9

 
$
9

 
$
(9
)
 
$
19
Schedule of change in unrealized gains and losses included in net income for Level 3 assets and liabilities held
The table below provides valuation changes included in net income for Level 3 assets and liabilities held as of December 31.
($ in millions)
2019
 
2018
 
2017
Assets
 

 
 

 
 

Fixed income securities:
 

 
 

 
 

Municipal
$
1

 
$
—

 
$
—

Corporate
—

 
—

 
1

Total fixed income securities
1

 
—

 
1

Equity securities
2

 
16

 
9

Free-standing derivatives, net
(1
)
 
—

 
—

Other assets
—

 
—

 
(1
)
Total recurring Level 3 assets
$
2

 
$
16

 
$
9

 
 
 
 
 
 
Liabilities
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(52
)
 
$
57

 
$
1

Total recurring Level 3 liabilities
$
(52
)
 
$
57

 
$
1

Total included in net income
$
(50
)
 
$
73

 
$
10

 
 
 
 
 
 
Components of net income
 
 
 
 
 
Net investment income
$
(2
)
 
$
—

 
$
10

Realized capital gains and losses
4

 
16

 
—

Contract benefits
7

 
(5
)
 
9

Interest credited to contractholder funds
(59
)
 
62

 
(9
)
Total included in net income
$
(50
)
 
$
73

 
$
10
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.
($ in millions)
 
 
 
December 31, 2019
 
December 31, 2018
Financial assets
 
Fair value level
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
 
Level 3
 
$
3,988

 
$
4,159

 
$
3,995

 
$
4,028

Bank loans
 
Level 3
 
344

 
337

 
422

 
408

Agent loans
 
Level 3
 
666

 
664

 
620

 
617

 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds on investment contracts
 
Level 3
 
$
8,403

 
$
9,123

 
$
9,213

 
$
9,629

Liability for collateral
 
Level 2
 
530

 
530

 
525

 
525

Notes due to related parties
 
Level 3
 
214

 
215

 
140

 
138