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Investments (Tables)
 9 Months Ended
Sep. 30, 2019
Investments [Abstract]  
Schedule for fixed income securities at amortized cost, gross unrealized gains and losses and fair value
Amortized cost, gross unrealized gains (losses) and fair value for fixed income securities
($ in millions)
 
Amortized cost
 
Gross unrealized
 
Fair
value
 
 
Gains
 
Losses
 
September 30, 2019
 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
3,855

 
$
257

 
$
(1
)
 
$
4,111

Municipal
 
8,227

 
615

 
(4
)
 
8,838

Corporate
 
42,013

 
2,075

 
(70
)
 
44,018

Foreign government
 
972

 
24

 
(3
)
 
993

Asset-backed securities (“ABS”)
 
818

 
10

 
(6
)
 
822

Residential mortgage-backed securities (“RMBS”)
 
301

 
92

 
(1
)
 
392

Commercial mortgage-backed securities (“CMBS”)
 
57

 
8

 
(1
)
 
64

Redeemable preferred stock
 
20

 
1

 
—

 
21

Total fixed income securities
 
$
56,263

 
$
3,082

 
$
(86
)
 
$
59,259

 
 
 
 
 
 
 
 
 
December 31, 2018
 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
5,386

 
$
137

 
$
(6
)
 
$
5,517

Municipal
 
8,963

 
249

 
(43
)
 
9,169

Corporate
 
40,536

 
490

 
(890
)
 
40,136

Foreign government
 
739

 
13

 
(5
)
 
747

ABS
 
1,049

 
6

 
(10
)
 
1,045

RMBS
 
377

 
89

 
(2
)
 
464

CMBS
 
63

 
8

 
(1
)
 
70

Redeemable preferred stock
 
21

 
1

 
—

 
22

Total fixed income securities
 
$
57,134

 
$
993

 
$
(957
)
 
$
57,170


Schedule for fixed income securities based on contractual maturities
Scheduled maturities for fixed income securities
($ in millions)
 
As of September 30, 2019
 
Amortized cost
 
Fair value
Due in one year or less
 
$
3,026

 
$
3,050

Due after one year through five years
 
25,251

 
25,913

Due after five years through ten years
 
17,315

 
18,290

Due after ten years
 
9,495

 
10,728

 
 
55,087

 
57,981

ABS, RMBS and CMBS
 
1,176

 
1,278

Total
 
$
56,263

 
$
59,259


Schedule of net investment income

Net investment income
 
 
 
 
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Fixed income securities
 
$
546

 
$
527

 
$
1,627

 
$
1,544

Equity securities
 
57

 
35

 
155

 
130

Mortgage loans
 
54

 
52

 
161

 
163

Limited partnership interests
 
197

 
210

 
460

 
563

Short-term investments
 
28

 
19

 
80

 
50

Other
 
66

 
71

 
196

 
205

Investment income, before expense
 
948

 
914

 
2,679

 
2,655

Investment expense
 
(68
)
 
(70
)
 
(209
)
 
(201
)
Net investment income 
 
$
880

 
$
844

 
$
2,470

 
$
2,454


Schedule of realized capital gains and losses by asset type
Realized capital gains (losses) by asset type
 
 
 
 
 
 
 
 
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Fixed income securities
 
$
147

 
$
(30
)
 
$
290

 
$
(153
)
Equity securities
 
40

 
223

 
771

 
204

Mortgage loans
 
—

 
—

 
—

 
2

Limited partnership interests
 
(18
)
 
(23
)
 
75

 
(56
)
Derivatives
 
40

 
5

 
16

 
20

Other
 
(12
)
 
1

 
31

 
—

Realized capital gains and losses
 
$
197

 
$
176

 
$
1,183

 
$
17


Schedule of realized capital gains and losses by transaction type
Realized capital gains (losses) by transaction type
 
 
 
 
 
 
 
 
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Impairment write-downs
 
$
(14
)
 
$
(5
)
 
$
(43
)
 
$
(10
)
Sales
 
147

 
(22
)
 
359

 
(139
)
Valuation of equity investments (1)
 
24

 
198

 
851

 
149

Valuation and settlements of derivative instruments
 
40

 
5

 
16

 
17

Realized capital gains and losses
 
$
197

 
$
176

 
$
1,183

 
$
17


(1) 
Includes valuation of equity securities and certain limited partnership interests where the underlying assets are predominately public equity securities
Valuation changes included in net income for investments
The following table presents the net pre-tax appreciation (decline) during 2019 and 2018 of equity securities and limited partnership interests carried at fair value still held as of September 30, 2019 and September 30, 2018 recognized in net income.
Net appreciation (decline) recognized in net income
 
 
 
 
 
 
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Equity securities
 
$
107

 
$
234

 
$
736

 
$
321

Limited partnership interests carried at fair value 
 
49

 
75

 
109

 
181

Total
 
$
156

 
$
309

 
$
845

 
$
502


Schedule of other-than-temporary impairment losses by asset type
OTTI losses by asset type
($ in millions)
 
Three months ended
 
Three months ended
 
September 30, 2019
 
September 30, 2018
 
Gross
 
Included
 in OCI
 
Net
 
Gross
 
Included
in OCI
 
Net
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
 

Municipal
 
$
(2
)
 
$
2

 
$
—

 
$
—

 
$
—

 
$
—

Corporate
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

ABS
 
—

 
—

 
—

 
—

 
(1
)
 
(1
)
RMBS
 
—

 
—

 
—

 
—

 
—

 
—

CMBS
 
(1
)
 
—

 
(1
)
 
(2
)
 
—

 
(2
)
Total fixed income securities
 
(3
)
 
2

 
(1
)
 
(2
)
 
(1
)
 
(3
)
Limited partnership interests
 
(1
)
 
—

 
(1
)
 
(2
)
 
—

 
(2
)
Other
 
(12
)
 
—

 
(12
)
 
—

 
—

 
—

OTTI losses
 
$
(16
)
 
$
2

 
$
(14
)
 
$
(4
)
 
$
(1
)
 
$
(5
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended
 
Nine months ended
 
September 30, 2019
 
September 30, 2018
 
Gross
 
Included
 in OCI
 
Net
 
Gross
 
Included
in OCI
 
Net
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
 

Municipal
 
$
(2
)
 
$
2

 
$
—

 
$
—

 
$
—

 
$
—

Corporate
 
$
(5
)
 
$
(2
)
 
$
(7
)
 
$
—

 
$
—

 
$
—

ABS
 
(3
)
 
—

 
(3
)
 
(1
)
 
(1
)
 
(2
)
RMBS
 
—

 
(1
)
 
(1
)
 
(1
)
 
—

 
(1
)
CMBS
 
(3
)
 
2

 
(1
)
 
(2
)
 
(1
)
 
(3
)
Total fixed income securities
 
(13
)
 
1

 
(12
)
 
(4
)
 
(2
)
 
(6
)
Limited partnership interests
 
(4
)
 
—

 
(4
)
 
(3
)
 
—

 
(3
)
Other
 
(27
)
 
—

 
(27
)
 
(1
)
 
—

 
(1
)
OTTI losses
 
$
(44
)
 
$
1

 
$
(43
)
 
$
(8
)
 
$
(2
)
 
$
(10
)

Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income
OTTI losses included in AOCI at the time of impairment for fixed income securities which were not included in earnings
($ in millions)
 
September 30, 2019
 
December 31, 2018
Municipal
 
$
(7
)
 
$
(5
)
Corporate
 
—

 
(2
)
ABS
 
(10
)
 
(10
)
RMBS
 
(56
)
 
(67
)
CMBS
 
(3
)
 
(2
)
Total
 
$
(76
)
 
$
(86
)

Schedule of credit losses on fixed income securities recognized in earnings
Rollforward of cumulative credit losses recognized in earnings for fixed income securities held as of September 30,
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Beginning balance
 
$
(208
)
 
$
(206
)
 
$
(204
)
 
$
(226
)
Additional credit loss for securities previously other-than-temporarily impaired
 
(1
)
 
(3
)
 
(8
)
 
(5
)
Additional credit loss for securities not previously other-than-temporarily impaired
 
—

 
—

 
(4
)
 
(1
)
Reduction in credit loss for securities disposed or collected
 
14

 
4

 
21

 
26

Change in credit loss due to accretion of increase in cash flows
 
—

 
—

 
—

 
1

Ending balance
 
$
(195
)
 
$
(205
)
 
$
(195
)
 
$
(205
)

Schedule of unrealized net capital gains and losses
Unrealized net capital gains and losses included in AOCI
($ in millions)
 
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
September 30, 2019
 
 
Gains
 
Losses
 
Fixed income securities
 
$
59,259

 
$
3,082

 
$
(86
)
 
$
2,996

Short-term investments
 
5,254

 
—

 
—

 
—

Derivative instruments
 
—

 
—

 
(3
)
 
(3
)
Equity method of accounting (“EMA”) limited partnerships (1)
 
 

 
 

 
 

 
(3
)
Unrealized net capital gains and losses, pre-tax
 
 

 
 

 
 

 
2,990

Amounts recognized for:
 
 

 
 

 
 

 
 

Insurance reserves (2)
 
 

 
 

 
 

 
(202
)
DAC and DSI (3)
 
 

 
 

 
 

 
(221
)
Amounts recognized
 
 

 
 

 
 

 
(423
)
Deferred income taxes
 
 

 
 

 
 

 
(544
)
Unrealized net capital gains and losses, after-tax
 
 

 
 

 
 

 
$
2,023


(1) 
Unrealized net capital gains and losses for limited partnership interests represent the Company’s share of EMA limited partnerships’ OCI. Fair value and gross unrealized gains and losses are not applicable.
(2) 
The insurance reserves adjustment represents the amount by which the reserve balance would increase if the net unrealized gains in the applicable product portfolios were realized and reinvested at lower interest rates, resulting in a premium deficiency. This adjustment primarily relates to structured settlement annuities with life contingencies (a type of immediate fixed annuities).
(3) 
The DAC and DSI adjustment balance represents the amount by which the amortization of DAC and DSI would increase or decrease if the unrealized gains or losses in the respective product portfolios were realized.

Unrealized net capital gains and losses included in AOCI
($ in millions)
 
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
December 31, 2018
 
 
Gains
 
Losses
 
Fixed income securities
 
$
57,170

 
$
993

 
$
(957
)
 
$
36

Short-term investments
 
3,027

 
—

 
—

 
—

Derivative instruments
 
—

 
—

 
(3
)
 
(3
)
EMA limited partnerships
 
 

 
 

 
 

 
—

Unrealized net capital gains and losses, pre-tax
 
 

 
 

 
 

 
33

Amounts recognized for:
 
 

 
 

 
 

 
 

Insurance reserves
 
 

 
 

 
 

 
—

DAC and DSI
 
 

 
 

 
 

 
(33
)
Amounts recognized
 
 

 
 

 
 

 
(33
)
Deferred income taxes
 
 

 
 

 
 

 
(2
)
Unrealized net capital gains and losses, after-tax
 
 

 
 

 
 

 
$
(2
)

Schedule of change in unrealized net capital gains and losses
Change in unrealized net capital gains (losses)
($ in millions)
 
Nine months ended September 30, 2019
Fixed income securities
 
$
2,960

Derivative instruments
 
—

EMA limited partnerships
 
(3
)
Total
 
2,957

Amounts recognized for:
 
 

Insurance reserves
 
(202
)
DAC and DSI
 
(188
)
Amounts recognized
 
(390
)
Deferred income taxes
 
(542
)
Increase in unrealized net capital gains and losses, after-tax
 
$
2,025


Schedule of gross unrealized losses and fair value of available for sale securities by length of time
Gross unrealized losses and fair value by type and length of time held in a continuous unrealized loss position

($ in millions)
 
Less than 12 months
 
12 months or more
 
Total
unrealized
losses
 
Number
of 
issues
 
Fair
value
 
Unrealized
losses
 
Number
of 
issues
 
Fair
value
 
Unrealized
losses
 
September 30, 2019
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
8

 
$
165

 
$
(1
)
 
17

 
$
48

 
$
—

 
$
(1
)
Municipal
 
204

 
373

 
(2
)
 
1

 
14

 
(2
)
 
(4
)
Corporate
 
206

 
1,671

 
(31
)
 
96

 
973

 
(39
)
 
(70
)
Foreign government
 
32

 
205

 
(2
)
 
6

 
103

 
(1
)
 
(3
)
ABS
 
33

 
150

 
(2
)
 
20

 
122

 
(4
)
 
(6
)
RMBS
 
26

 
15

 
—

 
145

 
20

 
(1
)
 
(1
)
CMBS
 
1

 
5

 
—

 
1

 
2

 
(1
)
 
(1
)
Redeemable preferred stock
 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total fixed income securities
 
510

 
$
2,584

 
$
(38
)
 
286

 
$
1,282

 
$
(48
)
 
$
(86
)
Investment grade fixed income securities
 
426

 
$
2,088

 
$
(13
)
 
237

 
$
991

 
$
(23
)
 
$
(36
)
Below investment grade fixed income securities
 
84

 
496

 
(25
)
 
49

 
291

 
(25
)
 
(50
)
Total fixed income securities
 
510

 
$
2,584

 
$
(38
)
 
286

 
$
1,282

 
$
(48
)
 
$
(86
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
11

 
$
55

 
$
—

 
38

 
$
364

 
$
(6
)
 
$
(6
)
Municipal
 
943

 
1,633

 
(10
)
 
1,147

 
1,554

 
(33
)
 
(43
)
Corporate
 
1,735

 
19,243

 
(543
)
 
645

 
8,374

 
(347
)
 
(890
)
Foreign government
 
7

 
20

 
(1
)
 
27

 
412

 
(4
)
 
(5
)
ABS
 
64

 
454

 
(5
)
 
28

 
161

 
(5
)
 
(10
)
RMBS
 
166

 
30

 
—

 
195

 
52

 
(2
)
 
(2
)
CMBS
 
3

 
7

 
—

 
2

 
—

 
(1
)
 
(1
)
Redeemable preferred stock
 
1

 
—

 
—

 
—

 
—

 
—

 
—

Total fixed income securities
 
2,930

 
$
21,442

 
$
(559
)
 
2,082

 
$
10,917

 
$
(398
)
 
$
(957
)
Investment grade fixed income securities
 
2,348

 
$
17,485

 
$
(331
)
 
2,021

 
$
10,626

 
$
(360
)
 
$
(691
)
Below investment grade fixed income securities
 
582

 
3,957

 
(228
)
 
61

 
291

 
(38
)
 
(266
)
Total fixed income securities
 
2,930

 
$
21,442

 
$
(559
)
 
2,082

 
$
10,917

 
$
(398
)
 
$
(957
)

Gross unrealized losses by unrealized loss position and credit quality as of September 30, 2019
($ in millions)
 
Investment
grade
 
Below investment grade
 
Total
Fixed income securities with unrealized loss position less than 20% of amortized cost (1) (2)
 
$
(23
)
 
$
(46
)
 
$
(69
)
Fixed income securities with unrealized loss position greater than or equal to 20% of amortized cost (3) (4)
 
(13
)
 
(4
)
 
(17
)
Total unrealized losses
 
$
(36
)
 
$
(50
)
 
$
(86
)
(1) 
Below investment grade fixed income securities include $25 million that have been in an unrealized loss position for less than twelve months.
(2) 
Related to securities with an unrealized loss position less than 20% of amortized cost, the degree of which suggests that these securities do not pose a high risk of being other-than-temporarily impaired.
(3) 
Below investment grade fixed income securities include zero that have been in an unrealized loss position for a period of twelve or more consecutive months.
(4) 
Evaluated based on factors such as discounted cash flows and the financial condition and near-term and long-term prospects of the issue or issuer and were determined to have adequate resources to fulfill contractual obligations.
Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution
Carrying value of non-impaired mortgage loans summarized by debt service coverage ratio distribution
($ in millions)
 
September 30, 2019
 
December 31, 2018
Debt service coverage ratio distribution
 
Fixed rate
mortgage
loans
 
Variable rate
mortgage
loans
 
Total
 
Fixed rate
mortgage
loans
 
Variable rate
mortgage
loans
 
Total
Below 1.0
 
$
20

 
$
32

 
$
52

 
$
6

 
$
31

 
$
37

1.0 - 1.25
 
247

 
—

 
247

 
273

 
—

 
273

1.26 - 1.50
 
1,347

 
18

 
1,365

 
1,192

 
—

 
1,192

Above 1.50
 
2,941

 
83

 
3,024

 
3,063

 
101

 
3,164

Total non-impaired mortgage loans
 
$
4,555

 
$
133

 
$
4,688

 
$
4,534

 
$
132

 
$
4,666


Net carrying value of impaired mortgage loans
Net carrying value of impaired mortgage loans
($ in millions)
 
September 30, 2019
 
December 31, 2018
Impaired mortgage loans with a valuation allowance
 
$
6

 
$
4

Impaired mortgage loans without a valuation allowance
 
—

 
—

Total impaired mortgage loans
 
$
6

 
$
4

Valuation allowance on impaired mortgage loans
 
$
3

 
$
3


Schedule of other investments by type
Other investments by asset type
($ in millions)
 
September 30, 2019
 
December 31, 2018
Bank loans
 
$
1,223

 
$
1,350

Policy loans
 
892

 
891

Real estate
 
917

 
791

Agent loans
 
663

 
620

Derivatives and other
 
209

 
200

Total
 
$
3,904

 
$
3,852