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Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2017
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities that are measured at fair value on a recurring and non-recurring basis
Assets and liabilities measured at fair value on a recurring and non-recurring basis
 
 
As of December 31, 2017
($ 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, 2017
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
 
$
3,079

 
$
537

 
$
—

 
 
 
$
3,616

Municipal
 
—

 
8,227

 
101

 
 
 
8,328

Corporate - public
 
—

 
31,963

 
108

 
 
 
32,071

Corporate - privately placed
 
—

 
11,731

 
224

 
 
 
11,955

Foreign government
 
—

 
1,021

 
—

 
 
 
1,021

ABS - CDO
 
—

 
480

 
99

 
 
 
579

ABS - consumer and other
 
—

 
645

 
48

 
 
 
693

RMBS
 
—

 
578

 
—

 
 
 
578

CMBS
 
—

 
102

 
26

 
 
 
128

Redeemable preferred stock
 
—

 
23

 
—

 
 
 
23

Total fixed income securities
 
3,079

 
55,307

 
606

 
 
 
58,992

Equity securities
 
6,032

 
379

 
210

 
 
 
6,621

Short-term investments
 
264

 
1,660

 
20

 
 
 
1,944

Other investments: Free-standing derivatives
 
—

 
132

 
1

 
(6
)
 
127

Separate account assets
 
3,444

 
—

 
—

 
 
 
3,444

Other assets
 
—

 
—

 
—

 
 
 
—

Total recurring basis assets
 
12,819

 
57,478

 
837

 
(6
)
 
71,128

Non-recurring basis (1)
 
—

 
—

 
3

 
 
 
3

Total assets at fair value
 
$
12,819

 
$
57,478

 
$
840

 
$
(6
)
 
$
71,131

% of total assets at fair value
 
18.0
%
 
80.8
%
 
1.2
%
 
—
 %
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
—

 
$
—

 
$
(286
)
 
 
 
$
(286
)
Other liabilities: Free-standing derivatives
 
(1
)
 
(83
)
 
—

 
$
14

 
(70
)
Total liabilities at fair value
 
$
(1
)
 
$
(83
)
 
$
(286
)
 
$
14

 
$
(356
)
% of total liabilities at fair value
 
0.3
%
 
23.3
%
 
80.3
%
 
(3.9
)%
 
100.0
%
(1) 
Includes $3 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.


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
 
$
2,918

 
$
719

 
$
—

 
 
 
$
3,637

Municipal
 
—

 
7,208

 
125

 
 
 
7,333

Corporate - public
 
—

 
31,414

 
78

 
 
 
31,492

Corporate - privately placed
 
—

 
11,846

 
263

 
 
 
12,109

Foreign government
 
—

 
1,075

 
—

 
 
 
1,075

ABS - CDO
 
—

 
650

 
27

 
 
 
677

ABS - consumer and other
 
—

 
452

 
42

 
 
 
494

RMBS
 
—

 
727

 
1

 
 
 
728

CMBS
 
—

 
248

 
22

 
 
 
270

Redeemable preferred stock
 
—

 
24

 
—

 
 
 
24

Total fixed income securities
 
2,918

 
54,363

 
558

 
 
 
57,839

Equity securities
 
5,247

 
256

 
163

 
 
 
5,666

Short-term investments
 
850

 
3,423

 
15

 
 
 
4,288

Other investments: Free-standing derivatives
 
—

 
119

 
1

 
(9
)
 
111

Separate account assets
 
3,393

 
—

 
—

 
 
 
3,393

Other assets
 
—

 
—

 
1

 
 
 
1

Total recurring basis assets
 
12,408


58,161


738


(9
)

71,298

Non-recurring basis (1)
 
—

 
—

 
24

 
 
 
24

Total assets at fair value
 
$
12,408


$
58,161


$
762


$
(9
)

$
71,322

% of total assets at fair value
 
17.4
%
 
81.5
%
 
1.1
%
 
—
 %
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
—

 
$
—

 
$
(290
)
 
 
 
$
(290
)
Other liabilities: Free-standing derivatives
 
(1
)
 
(68
)
 
(3
)
 
$
28

 
(44
)
Total liabilities at fair value
 
$
(1
)
 
$
(68
)
 
$
(293
)
 
$
28

 
$
(334
)
% of total liabilities at fair value
 
0.3
%
 
20.4
%
 
87.7
%
 
(8.4
)%
 
100.0
%
(1) 
Includes $24 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.
Summary of quantitative information about the significant unobservable inputs
Quantitative information about the significant unobservable inputs used in Level 3 fair value measurements
($ in millions)
 
Fair value
 
Valuation
technique
 
Unobservable
input
 
Range
 
Weighted
average
December 31, 2017
 
 
 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(252
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.2%
 
1.74%
 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
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%
 
1.75%
Schedule of the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis
Rollforward of level 3 assets and liabilities held at fair value on a recurring basis during the period
 
 
 
 
December 31, 2017
 
 
 
Balance as of December 31, 2016
 
Total gains (losses) included in:
 
Transfers into Level 3
 
Transfers out of Level 3
 
($ in millions)
 
 
Net income (1)
 
OCI
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
125

 
$
(1
)
 
$
7

 
$
—

 
$
(6
)
 
Corporate - public
 
78

 
—

 
—

 
4

 
(30
)
 
Corporate - privately placed
 
263

 
8

 
(2
)
 
30

 
(49
)
 
ABS - CDO
 
27

 
—

 
6

 
60

 
(190
)
 
ABS - consumer and other
 
42

 
—

 
—

 
—

 
(90
)
 
RMBS
 
1

 
—

 
—

 
—

 
—

 
CMBS
 
22

 
—

 
—

 
—

 
—

 
Total fixed income securities
 
558

 
7

 
11

 
94

 
(365
)
 
Equity securities
 
163

 
13

 
4

 
—

 
(4
)
 
Short-term investments
 
15

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
(2
)
 
3

 
—

 
—

 
—

 
Other assets
 
1

 
(1
)
 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
735


$
22


$
15


$
94


$
(369
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(290
)
 
$
—

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
 
$
(290
)

$
—


$
—


$
—


$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2017
 
Assets
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
8

 
$
(29
)
 
$
—

 
$
(3
)
 
$
101

 
Corporate - public
 
60

 
—

 
—

 
(4
)
 
108

 
Corporate - privately placed
 
44

 
(30
)
 
—

 
(40
)
 
224

 
ABS - CDO
 
219

 
—

 
—

 
(23
)
 
99

 
ABS - consumer and other
 
103

 
—

 
—

 
(7
)
 
48

 
RMBS
 
—

 
—

 
—

 
(1
)
 
—

 
CMBS
 
6

 
—

 
—

 
(2
)
 
26

 
Total fixed income securities
 
440

 
(59
)
 
—

 
(80
)
 
606

 
Equity securities
 
48

 
(14
)
 
—

 
—

 
210

 
Short-term investments
 
45

 
(40
)
 
—

 
—

 
20

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
1

(2 
) 
Other assets
 
—

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
533

 
$
(113
)
 
$
—

 
$
(80
)
 
$
837

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

 
$
—

 
$
(2
)
 
$
6

 
$
(286
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
(2
)
 
$
6

 
$
(286
)
 
(1) 
The effect to net income totals $22 million and is reported in the Consolidated Statements of Operations as follows: $4 million in realized capital gains and losses, $19 million in net investment income, $(10) million in interest credited to contractholder funds and $9 million in life contract benefits.
(2) 
Comprises $1 million of assets.

Rollforward of level 3 assets and liabilities held at fair value on a recurring basis during the period
 
 
 
 
December 31, 2016

 
 
 
Balance as of December 31, 2015
 
Total gains (losses) included in:
 
Transfers into Level 3
 
Transfers out of Level 3
 
($ in millions)
 
 
Net income (1)
 
OCI
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
 
$
5

 
$
—

 
$
—

 
$
—

 
$
(4
)
 
Municipal
 
161

 
12

 
(10
)
 
6

 
(23
)
 
Corporate - public
 
46

 
—

 
—

 
41

 
(43
)
 
Corporate - privately placed
 
502

 
15

 
18

 
16

 
(398
)
 
ABS - CDO
 
61

 
1

 
6

 
10

 
(43
)
 
ABS - consumer and other
 
50

 
—

 
(3
)
 
3

 
(35
)
 
RMBS
 
1

 
1

 
—

 
—

 
—

 
CMBS
 
20

 
—

 
—

 
—

 
(1
)
 
Total fixed income securities
 
846


29


11


76


(547
)
 
Equity securities
 
133

 
(32
)
 
12

 
—

 
(12
)
 
Short-term investments
 
—

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
(7
)
 
6

 
—

 
—

 
—

 
Other assets
 
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
973


$
3


$
23


$
76


$
(559
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(299
)
 
$
5

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
 
$
(299
)

$
5


$
—


$
—


$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of December 31, 2016
 
Assets
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
 
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
—

 
Municipal
 
22

 
(40
)
 
—

 
(3
)
 
125

 
Corporate - public
 
47

 
(11
)
 
—

 
(2
)
 
78

 
Corporate - privately placed
 
181

 
(15
)
 
—

 
(56
)
 
263

 
ABS - CDO
 
40

 
(3
)
 
—

 
(45
)
 
27

 
ABS - consumer and other
 
35

 
(5
)
 
—

 
(3
)
 
42

 
RMBS
 
—

 
(1
)
 
—

 
—

 
1

 
CMBS
 
5

 
—

 
—

 
(2
)
 
22

 
Total fixed income securities
 
330

 
(75
)
 
—

 
(112
)
 
558

 
Equity securities
 
65

 
(4
)
 
—

 
1

 
163

 
Short-term investments
 
15

 
—

 
—

 
—

 
15

 
Free-standing derivatives, net
 
—

 
—

 
—

 
(1
)
 
(2
)
(2) 
Other assets
 
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
 
$
410

 
$
(79
)
 
$
—

 
$
(112
)
 
$
735

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

 
$
—

 
$
(3
)
 
$
7

 
$
(290
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
(3
)
 
$
7

 
$
(290
)
 
(1) 
The effect to net income totals $8 million and is reported in the Consolidated Statements of Operations as follows: $(9) million in realized capital gains and losses, $12 million in net investment income, $(4) million in interest credited to contractholder funds and $9 million in life contract benefits.
(2) 
Comprises $1 million of assets and $3 million of liabilities.
Rollforward of level 3 assets and liabilities held at fair value on a recurring basis during the period
 
 
 
 
December 31, 2015

 
 
 
 
 
Total gains (losses) included in:
 
 
 
 
 
($ in millions)
 
Balance as of December 31, 2014
 
Net income (1)
 
OCI
 
Transfers into Level 3
 
Transfers out of Level 3
 
Assets
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
 
$
6

 
$
—

 
$
—

 
$
—

 
$
—

 
Municipal
 
270

 
(4
)
 
(7
)
 
3

 
(2
)
 
Corporate - public
 
214

 
—

 
—

 
—

 
(175
)
 
Corporate - privately placed
 
677

 
13

 
(20
)
 
13

 
(106
)
 
ABS - CDO
 
104

 
(1
)
 
4

 
43

 
(52
)
 
ABS - consumer and other
 
92

 
(1
)
 
—

 
—

 
(98
)
 
RMBS
 
1

 
—

 
—

 
—

 
—

 
CMBS
 
23

 
—

 
—

 
—

 
—

 
Total fixed income securities
 
1,387


7


(23
)

59


(433
)
 
Equity securities
 
83

 
(3
)
 
(5
)
 
—

 
—

 
Short-term investments
 
5

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
(7
)
 
1

 
—

 
—

 
—

 
Other assets
 
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
1,469


$
5


$
(28
)

$
59


$
(433
)
 
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:
 
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
 
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
5

 
Municipal
 
—

 
(91
)
 
—

 
(8
)
 
161

 
Corporate - public
 
11

 
—

 
—

 
(4
)
 
46

 
Corporate - privately placed
 
79

 
(74
)
 
—

 
(80
)
 
502

 
ABS - CDO
 
—

 
(2
)
 
—

 
(35
)
 
61

 
ABS - consumer and other
 
70

 
(5
)
 
—

 
(8
)
 
50

 
RMBS
 
—

 
—

 
—

 
—

 
1

 
CMBS
 
12

 
—

 
—

 
(15
)
 
20

 
Total fixed income securities
 
172

 
(172
)
 
—

 
(151
)
 
846

 
Equity securities
 
69

 
(11
)
 
—

 
—

 
133

 
Short-term investments
 
35

 
(40
)
 
—

 
—

 
—

 
Free-standing derivatives, net
 
—

 
—

 
—

 
(1
)
 
(7
)
(2) 
Other assets
 
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
 
$
276

 
$
(223
)
 
$
—

 
$
(152
)
 
$
973

 
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 $24 million and is reported in the Consolidated Statements of Operations as follows: $(8) million in realized capital gains and losses, $13 million in net investment income, $26 million in interest credited to contractholder funds and $(7) million in life contract benefits.
(2) 
Comprises $1 million of assets and $8 million of liabilities.
Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date
Change in unrealized gains and losses included in net income for level 3 assets and liabilities held as of
 
 
December 31,
($ in millions)
 
2017
 
2016
 
2015
Assets
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
Municipal
 
$
(3
)
 
$
2

 
$
(12
)
Corporate
 
1

 
2

 
11

ABS
 
—

 
—

 
2

Total fixed income securities
 
(2
)

4


1

Equity securities
 
13

 
(32
)
 
(4
)
Free-standing derivatives, net
 
—

 
5

 
1

Other assets
 
(1
)
 
—

 
—

Total recurring Level 3 assets
 
$
10


$
(23
)

$
(2
)
Liabilities
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
—

 
$
5

 
$
19

Total recurring Level 3 liabilities
 
$
—


$
5


$
19
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Carrying values and fair value estimates of financial instruments not carried at fair value
 
 
As of December 31, 2017
 
As of December 31, 2016
($ in millions)
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
 
$
10,367

 
$
11,071

 
$
11,313

 
$
12,009

Long-term debt
 
6,350

 
7,199

 
6,347

 
6,920

Liability for collateral
 
1,124

 
1,124

 
1,129

 
1,129

Carrying values and fair value estimates of financial instruments not carried at fair value
 
 
As of December 31, 2017
 
As of December 31, 2016
($ in millions)
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
 
$
4,534

 
$
4,732

 
$
4,486

 
$
4,514

Cost method limited partnerships (1)
 
1,327

 
1,569

 
1,282

 
1,493

Bank loans
 
1,702

 
1,704

 
1,669

 
1,677

Agent loans
 
538

 
536

 
467

 
467


(1) 
Beginning January 1, 2018, due to the adoption of the new accounting standard for the recognition and measurement of financial assets and liabilities, cost method limited partnerships (excluding limited partnership interests accounted for on a cost recovery basis) will be measured at fair value with changes in fair value recognized in net income. The existing carrying value of these investments will increase to fair value with the offsetting adjustment recognized in retained income through a cumulative effect adjustment. See Note 2 for additional details on the new accounting standard.