Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2021

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, 2021.

($ 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			Total
Assets
Fixed income securities:
U.S. government and agencies	$	416		$	70		$	—					$	486
Municipal	—			815			1						816
Corporate - public	—			10,808			—						10,808
Corporate - privately placed	—			3,804			25						3,829
Foreign government	—			12			—						12
ABS	—			1,208			—						1,208
MBS	—			778			—						778
Total fixed income securities	416			17,495			26						17,937
Equity securities	—			—			11						11
Short-term investments	1,035			—			—						1,035
Other investments: Free-standing derivatives	—			140			—			$	—		140
Separate account assets	3,021			—			—						3,021
Total recurring basis assets	$	4,472		$	17,635		$	37		$	—		$	22,144
% of total assets at fair value	20.2		%	79.6		%	0.2		%	—		%	100.0		%
Investments reported at NAV													—
Total													$	22,144
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(427)					$	(427)
Funds withheld payable to affiliate	—			(112)			—						(112)
Other liabilities: Free-standing derivatives	—			(86)			—			$	—		(86)
Total recurring basis liabilities	$	—		$	(198)		$	(427)		$	—		$	(625)
% of total liabilities at fair value	—		%	31.7		%	68.3		%	—		%	100.0		%

The following table summarizes the Company’s assets and liabilities measured at fair value as of December 31, 2020.

($ 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			Total
Assets
Fixed income securities:
U.S. government and agencies	$	784		$	321		$	—					$	1,105
Municipal	—			1,958			49						2,007
Corporate - public	—			14,535			31						14,566
Corporate - privately placed	—			5,622			68						5,690
Foreign government	—			96			—						96
ABS	—			419			5						424
MBS	—			19			—						19
Total fixed income securities	784			22,970			153						23,907
Equity securities	1,408			14			114						1,536
Short-term investments	601			373			—						974
Other investments: Free-standing derivatives	—			190			—			$	(6)		184
Separate account assets	3,294			—			—						3,294
Total recurring basis assets	$	6,087		$	23,547		$	267		$	(6)		$	29,895
% of total assets at fair value	20.3		%	78.8		%	0.9		%	—		%	100		%
Investments reported at NAV													763
Total													$	30,658
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(516)					$	(516)
Other liabilities: Free-standing derivatives	—			(119)			—			$	9		(110)
Total recurring basis liabilities	$	—		$	(119)		$	(516)		$	9		$	(626)
% of total liabilities at fair value	—		%	19.0		%	82.4		%	(1.4)		%	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, 2021
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(404)	Stochastic cash flow model	Projected option cost	1.0 - 4.2%	2.89	%
December 31, 2020
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options	$	(483)	Stochastic cash flow model	Projected option cost	1.0 - 4.2%	2.80	%

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, 2021.

($ in millions)			Total gains (losses) included in:
	Balance as of December 31, 2020		Net income		OCI		Transfers into Level 3		Transfers out of Level 3		Purchases		Sales		Sold in ALNY disposition		Issues		Settlements		Balance as of December 31, 2021
Assets
Fixed income securities:
Municipal	$	49	$	3	$	(2)	$	1	$	(15)	$	—	$	(19)	$	(16)	$	—	$	—	$	1
Corporate - public	31		—		(2)		—		(37)		18		(1)		(7)		—		(2)		—
Corporate - privately placed	68		1		(1)		13		(18)		—		(30)		(5)		—		(3)		25
ABS	5		—		1		—		(6)		—		—		—		—		—		—
MBS	—		—		—		—		—		—		—		—		—		—		—
Total fixed income securities	153		4		(4)		14		(76)		18		(50)		(28)		—		(5)		26
Equity securities	114		11		—		—		—		—		(114)		—		—		—		11
Free-standing derivatives, net	—		—		—		—		—		—		—		—		—		—		—
Total recurring Level 3 assets	$	267	$	15	$	(4)	$	14	$	(76)	$	18	$	(164)	$	(28)	$	—	$	(5)	$	37
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(516)	$	81	$	—	$	—	$	20	$	—	$	—	$	—	$	(33)	$	21	$	(427)
Total recurring Level 3 liabilities	$	(516)	$	81	$	—	$	—	$	20	$	—	$	—	$	—	$	(33)	$	21	$	(427)

The following table presents the total Level 3 gains (losses) included in net income for the year ended December 31, 2021.

($ in millions)	Net investment income		Net gains and losses on investments and derivatives		Contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	2	$	13	$	10	$	71	$	96

The following table presents the rollforward of Level 3 assets and liabilities held at fair value during the year ended December 31, 2020.

($ in millions)			Total gains (losses) included in:
	Balance as of December 31, 2019		Net income		OCI		Transfers into Level 3		Transfers out of Level 3		Purchases		Sales		Issues		Settlements		Balance as of December 31, 2020
Assets
Fixed income securities:
Municipal	$	40	$	1	$	2	$	20	$	(11)	$	—	$	(1)	$	—	$	(2)	$	49
Corporate - public	25		—		—		—		—		7		—		—		(1)		31
Corporate - privately placed	122		2		(7)		32		(32)		8		(55)		—		(2)		68
ABS	16		—		—		—		—		—		(10)		—		(1)		5
MBS	5		1		(2)		—		—		—		(3)		—		(1)		—
Total fixed income securities	208		4		(7)		52		(43)		15		(69)		—		(7)		153
Equity securities	116		(3)		—		—		—		9		(8)		—		—		114
Free-standing derivatives, net	—		—		—		—		—		—		—		—		—		—
Total recurring Level 3 assets	$	324	$	1	$	(7)	$	52	$	(43)	$	24	$	(77)	$	—	$	(7)	$	267
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(427)	$	(24)	—		$	(54)	$	—	$	—	$	—	$	(34)	$	23	$	(516)
Total recurring Level 3 liabilities	$	(427)	$	(24)	$	—	$	(54)	$	—	$	—	$	—	$	(34)	$	23	$	(516)

The following table presents the total Level 3 gains (losses) included in net income for the year ended December 31, 2020.

($ in millions)	Net investment income		Net gains and losses on investments and derivatives		Contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	(8)	$	9	$	(1)	$	(23)	$	(23)

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		Net gains and losses on investments and derivatives		Contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	(2)	$	16	$	7	$	(59)	$	(38)

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 and OCI for Level 3 assets and liabilities held as of December 31.

($ in millions)	2021		2020		2019
Assets
Fixed income securities:
Municipal	$	1	$	1	$	1
Corporate - public	—		—		—
Corporate - privately placed	2		2		—
Total fixed income securities	3		3		1
Equity securities	1		(3)		2
Free-standing derivatives, net	—		—		(1)
Total recurring Level 3 assets	$	4	$	—	$	2
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	81	$	(24)	$	(52)
Total recurring Level 3 liabilities	$	81	$	(24)	$	(52)
Total included in net income	$	85	$	(24)	$	(50)
Components of net income
Net investment income	$	3	$	(8)	$	(2)
Net gains (losses) on investments and derivatives	1		8		4
Contract benefits	10		(1)		7
Interest credited to contractholder funds	71		(23)		(59)
Total included in net income	$	85	$	(24)	$	(50)
Assets
Municipal	$	(1)
Corporate - public	(1)
Corporate - privately placed	(1)
ABS	1
Changes in unrealized net capital gains and losses reported in OCI	$	(2)

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, 2021				December 31, 2020
Financial assets	Fair value level	Amortized cost, net		Fair value		Amortized cost, net		Fair value
Mortgage loans	Level 3	$	2,951	$	3,063	$	3,359	$	3,587
Directly originated corporate loans	Level 3	937		944		—		—
Aviation loans	Level 3	197		203		—		—
Bank loans	Level 3	108		110		245		250
Agent loans	Level 3	—		—		631		634
Financial liabilities	Fair value level	Carrying value (1)		Fair value		Carrying value (1)		Fair value
Contractholder funds on investment contracts	Level 3	$	5,768	$	6,233	$	7,764	$	9,058
Liability for collateral	Level 2	—		—		334		334
Notes due to related parties	Level 3	—		—		214		225

____________________

(1)Represents the amounts reported on the Consolidated Statements of Financial Position.