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Fair Value of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 2019
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
 
 
As of September 30, 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
 
Total
Assets
 
 

 
 

 
 

 
 

 
 

Fixed income securities:
 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
3,707

 
$
404

 
$
—

 
 

 
$
4,111

Municipal
 
—

 
8,774

 
64

 
 

 
8,838

Corporate - public
 
—

 
31,538

 
104

 
 

 
31,642

Corporate - privately placed
 
—

 
12,289

 
87

 
 
 
12,376

Foreign government
 
—

 
993

 
—

 
 

 
993

ABS - CDO
 
—

 
297

 
63

 
 

 
360

ABS - consumer and other
 
—

 
447

 
15

 
 
 
462

RMBS
 
—

 
392

 
—

 
 

 
392

CMBS
 
—

 
30

 
34

 
 

 
64

Redeemable preferred stock
 
—

 
21

 
—

 
 

 
21

Total fixed income securities
 
3,707

 
55,185

 
367

 
 

 
59,259

Equity securities
 
7,453

 
368

 
385

 
 

 
8,206

Short-term investments
 
2,530

 
2,709

 
15

 
 

 
5,254

Other investments: Free-standing derivatives
 
—

 
186

 
—

 
$
(52
)
 
134

Separate account assets
 
2,942

 
—

 
—

 
 

 
2,942

Other assets
 
1

 
—

 
—

 
 

 
1

Total recurring basis assets
 
16,633

 
58,448

 
767

 
(52
)
 
75,796

Total assets at fair value
 
$
16,633

 
$
58,448

 
$
767

 
$
(52
)
 
$
75,796

% of total assets at fair value
 
22.0
%
 
77.1
%
 
1.0
%
 
(0.1
)%
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
 
1,761

Total
 
 
 
 
 
 
 
 
 
$
77,557

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(454
)
 
 

 
$
(454
)
Other liabilities: Free-standing derivatives
 
(1
)
 
(59
)
 
—

 
$
5

 
(55
)
Total recurring basis liabilities
 
$
(1
)
 
$
(59
)
 
$
(454
)
 
$
5

 
$
(509
)
% of total liabilities at fair value
 
0.2
%
 
11.6
%
 
89.2
%
 
(1.0
)%
 
100.0
%



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
 
Total
Assets
 
 

 
 

 
 

 
 

 
 

Fixed income securities:
 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
5,085

 
$
432

 
$
—

 
 

 
$
5,517

Municipal
 
—

 
9,099

 
70

 
 

 
9,169

Corporate - public
 
—

 
29,200

 
70

 
 

 
29,270

Corporate - privately placed
 
—

 
10,776

 
90

 
 
 
10,866

Foreign government
 
—

 
747

 
—

 
 

 
747

ABS - CDO
 
—

 
263

 
6

 
 

 
269

ABS - consumer and other
 
—

 
713

 
63

 
 
 
776

RMBS
 
—

 
464

 
—

 
 

 
464

CMBS
 
—

 
44

 
26

 
 

 
70

Redeemable preferred stock
 
—

 
22

 
—

 
 

 
22

Total fixed income securities
 
5,085

 
51,760

 
325

 
 

 
57,170

Equity securities
 
4,364

 
331

 
341

 
 

 
5,036

Short-term investments
 
1,338

 
1,659

 
30

 
 

 
3,027

Other investments: Free-standing derivatives
 
—

 
139

 
1

 
$
(23
)
 
117

Separate account assets
 
2,805

 
—

 
—

 
 

 
2,805

Other assets
 
2

 
—

 
—

 
 

 
2

Total recurring basis assets
 
$
13,594

 
$
53,889

 
$
697

 
$
(23
)
 
$
68,157

% of total assets at fair value
 
19.9
%
 
79.1
%
 
1.0
%
 
—
 %
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
 
1,779

Total
 
 
 
 
 
 
 
 
 
$
69,936

Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(224
)
 
 

 
$
(224
)
Other liabilities: Free-standing derivatives
 
(1
)
 
(62
)
 
—

 
$
6

 
(57
)
Total recurring basis liabilities
 
$
(1
)
 
$
(62
)
 
$
(224
)
 
$
6

 
$
(281
)
% of total liabilities at fair value
 
0.3
%
 
22.1
%
 
79.7
%
 
(2.1
)%
 
100.0
%
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
September 30, 2019
 
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(417
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 4.2%
 
2.64%
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(185
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.2%
 
1.74%

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 during the three months period ended September 30, 2019
 
 
 
Balance as of June 30, 2019
 
Total gains (losses) included in:
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
($ in millions)
 
 
Net income
 
OCI
 
 
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
63

 
$
—

 
$
2

 
$
—

 
$
—

 
Corporate - public
 
46

 
—

 
1

 
—

 
(7
)
 
Corporate - privately placed
 
89

 
—

 
(1
)
 
—

 
—

 
ABS - CDO
 
10

 
1

 
—

 
50

 
(5
)
 
ABS - consumer and other
 
43

 
—

 
—

 
—

 
(30
)
 
RMBS
 
1

 
—

 
(1
)
 
—

 
—

 
CMBS
 
34

 
—

 
—

 
—

 
—

 
Total fixed income securities
 
286

 
1

 
1

 
50

 
(42
)
 
Equity securities
 
319

 
11

 
—

 
—

 
—

 
Short-term investments
 
5

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
610

 
$
12

 
$
1

 
$
50

 
$
(42
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(437
)
 
$
(14
)
 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
 
$
(437
)
 
$
(14
)
 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of September 30, 2019
 
Assets
 
 

 
 

 
 

 
 

 
 
 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 
 
Municipal
 
$
—

 
$
(1
)
 
$
—

 
$
—

 
$
64

 
Corporate - public
 
66

 
(2
)
 
—

 
—

 
104

 
Corporate - privately placed
 
1

 
—

 
—

 
(2
)
 
87

 
ABS - CDO
 
8

 
—

 
—

 
(1
)
 
63

 
ABS - consumer and other
 
3

 
—

 
—

 
(1
)
 
15

 
RMBS
 
—

 
—

 
—

 
—

 
—

 
CMBS
 
—

 
—

 
—

 
—

 
34

 
Total fixed income securities
 
78

 
(3
)
 
—

 
(4
)
 
367

 
Equity securities
 
55

 
—

 
—

 
—

 
385

 
Short-term investments
 
10

 
—

 
—

 
—

 
15

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
143

 
$
(3
)
 
$
—

 
$
(4
)
 
$
767

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

 
$
—

 
$
(9
)
 
$
6

 
$
(454
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
(9
)
 
$
6

 
$
(454
)
 
Total Level 3 gains (losses) included in net income for the three months ended September 30, 2019
 
 
 
Net investment income
 
Realized capital gains and losses
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
 
Components of net income
 
$
5

 
$
7

 
$
(1
)
 
$
(13
)
 
$
(2
)
 


Rollforward of Level 3 assets and liabilities held at fair value during the nine months period ended September 30, 2019
 
 
 
Balance as of December 31, 2018
 
Total gains (losses) included in:
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
($ in millions)
 
 
Net income
 
OCI
 
 
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
70

 
$
—

 
$
4

 
$
—

 
$
(5
)
 
Corporate - public
 
70

 
—

 
3

 
—

 
(47
)
 
Corporate - privately placed
 
90

 
(1
)
 
1

 
15

 
(2
)
 
ABS - CDO
 
6

 
1

 
—

 
51

 
(5
)
 
ABS - consumer and other
 
63

 
—

 
—

 
—

 
(145
)
 
RMBS
 
—

 
—

 
(1
)
 
1

 
—

 
CMBS
 
26

 
—

 
—

 
3

 
—

 
Total fixed income securities
 
325

 
—

 
7

 
70

 
(204
)
 
Equity securities
 
341

 
49

 
—

 
—

 
—

 
Short-term investments
 
30

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
1

 
(1
)
 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
697

 
$
48

 
$
7

 
$
70

 
$
(204
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(224
)
 
$
(54
)
 
$
—

 
$
(175
)
 
$
—

 
Total recurring Level 3 liabilities
 
$
(224
)
 
$
(54
)
 
$
—

 
$
(175
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of September 30, 2019
 
Assets
 
 

 
 
 
 

 
 

 
 
 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 
 
Municipal
 
$
—

 
$
(4
)
 
$
—

 
$
(1
)
 
$
64

 
Corporate - public
 
86

 
(7
)
 
—

 
(1
)
 
104

 
Corporate - privately placed
 
2

 
(13
)
 
—

 
(5
)
 
87

 
ABS - CDO
 
11

 
—

 
—

 
(1
)
 
63

 
ABS - consumer and other
 
124

 
(22
)
 
—

 
(5
)
 
15

 
RMBS
 
—

 
—

 
—

 
—

 
—

 
CMBS
 
6

 
—

 
—

 
(1
)
 
34

 
Total fixed income securities
 
229

 
(46
)
 
—

 
(14
)
 
367

 
Equity securities
 
77

 
(82
)
 
—

 
—

 
385

 
Short-term investments
 
25

 
(40
)
 
—

 
—

 
15

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
331

 
$
(168
)
 
$
—

 
$
(14
)
 
$
767

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

 
$
—

 
$
(9
)
 
$
8

 
$
(454
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
(9
)
 
$
8

 
$
(454
)
 
Total Level 3 gains (losses) included in net income for the nine months ended September 30, 2019
 
 
 
Net investment income
 
Realized capital gains and losses
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
 
Components of net income
 
$
10

 
$
38

 
$
2

 
$
(56
)
 
$
(6
)
 

Rollforward of Level 3 assets and liabilities held at fair value during the three months period ended September 30, 2018
 
 
 
Balance as of June 30, 2018
 
Total gains (losses) included in:
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
($ in millions)
 
 
Net income
 
OCI
 
 
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
106

 
$
—

 
$
(1
)
 
$
—

 
$
(9
)
 
Corporate - public
 
76

 
—

 
(1
)
 
12

 
(4
)
 
Corporate - privately placed
 
195

 
1

 
(1
)
 
—

 
(20
)
 
ABS - CDO
 
9

 
—

 
1

 
20

 
—

 
ABS - consumer and other
 
73

 
—

 
—

 
12

 
(29
)
 
CMBS
 
26

 
—

 
—

 
—

 
—

 
Total fixed income securities
 
485

 
1

 
(2
)
 
44

 
(62
)
 
Equity securities
 
291

 
8

 
—

 
—

 
—

 
Short-term investments
 
—

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
777

 
$
9

 
$
(2
)
 
$
44

 
$
(62
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(260
)
 
$
(7
)
 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
 
$
(260
)
 
$
(7
)
 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of September 30, 2018
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
—

 
$
(6
)
 
$
—

 
$
(1
)
 
$
89

 
Corporate - public
 
10

 
(1
)
 
—

 
—

 
92

 
Corporate - privately placed
 
6

 
(2
)
 
—

 
(12
)
 
167

 
ABS - CDO
 
—

 
—

 
—

 
(1
)
 
29

 
ABS - consumer and other
 
33

 
(20
)
 
—

 
(17
)
 
52

 
CMBS
 
—

 
—

 
—

 
—

 
26

 
Total fixed income securities
 
49

 
(29
)
 
—

 
(31
)
 
455

 
Equity securities
 
21

 
—

 
—

 
—

 
320

 
Short-term investments
 
20

 
—

 
—

 
—

 
20

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
1

(1) 
Total recurring Level 3 assets
 
$
90

 
$
(29
)
 
$
—

 
$
(31
)
 
$
796

 
Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
—

 
$
1

 
$
(266
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
—

 
$
1

 
$
(266
)
 
(1) 
Comprises $1 million of assets.
Total Level 3 gains (losses) included in net income for the three months ended September 30, 2018
 
 
 
Net investment income
 
Realized capital gains and losses
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
 
Components of net income
 
$
—

 
$
9

 
$
2

 
$
(9
)
 
$
2

 

Rollforward of Level 3 assets and liabilities held at fair value during the nine months period ended September 30, 2018
 
 
 
Balance as of December 31, 2017
 
Total gains (losses) included in:
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
($ in millions)
 
 
Net income
 
OCI
 
 
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
101

 
$
1

 
$
(2
)
 
$
—

 
$
(11
)
 
Corporate - public
 
108

 
—

 
(3
)
 
16

 
(9
)
 
Corporate - privately placed
 
224

 
(1
)
 
(2
)
 
20

 
(49
)
 
ABS - CDO
 
99

 
—

 
1

 
20

 
(89
)
 
ABS - consumer and other
 
48

 
—

 
1

 
22

 
(45
)
 
CMBS
 
26

 
—

 
—

 
—

 
—

 
Total fixed income securities
 
606

 
—

 
(5
)
 
78

 
(203
)
 
Equity securities
 
210

 
24

 
—

 
—

 
—

 
Short-term investments
 
20

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
 
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
 
$
837

 
$
24

 
$
(5
)
 
$
78

 
$
(203
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(286
)
 
$
17

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
 
$
(286
)
 
$
17

 
$
—

 
$
—

 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Balance as of September 30, 2018
 
Assets
 
 

 
 

 
 

 
 

 
 

 
Fixed income securities:
 
 

 
 

 
 

 
 

 
 

 
Municipal
 
$
10

 
$
(8
)
 
$
—

 
$
(2
)
 
$
89

 
Corporate - public
 
10

 
(27
)
 
—

 
(3
)
 
92

 
Corporate - privately placed
 
21

 
(5
)
 
—

 
(41
)
 
167

 
ABS - CDO
 
—

 
—

 
—

 
(2
)
 
29

 
ABS - consumer and other
 
108

 
(62
)
 
—

 
(20
)
 
52

 
CMBS
 
1

 
—

 
—

 
(1
)
 
26

 
Total fixed income securities
 
150

 
(102
)
 
—

 
(69
)
 
455

 
Equity securities
 
100

 
(14
)
 
—

 
—

 
320

 
Short-term investments
 
45

 
(45
)
 
—

 
—

 
20

 
Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
1

(1) 
Total recurring Level 3 assets
 
$
295

 
$
(161
)
 
$
—

 
$
(69
)
 
$
796

 
Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(1
)
 
$
4

 
$
(266
)
 
Total recurring Level 3 liabilities
 
$
—

 
$
—

 
$
(1
)
 
$
4

 
$
(266
)
 
(1) 
Comprises $1 million of assets.
Total Level 3 gains (losses) included in net income for the nine months ended September 30, 2018
 
 
 
Net investment income
 
Realized capital gains and losses
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
 
Components of net income
 
$
—

 
$
24

 
$
7

 
$
10

 
$
41

 



Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date
Valuation changes included in net income for Level 3 assets and liabilities held as of September 30,
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2019
 
2018
 
2019
 
2018
Assets
 
 

 
 

 
 

 
 

Equity securities
 
$
11

 
$
8

 
$
25

 
$
23

Free-standing derivatives, net
 
—

 
—

 
(1
)
 
—

Total recurring Level 3 assets
 
$
11

 
$
8

 
$
24

 
$
23

Liabilities
 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(14
)
 
$
(7
)
 
$
(54
)
 
$
17

Total recurring Level 3 liabilities
 
(14
)
 
(7
)
 
(54
)
 
17

Total included in net income
 
$
(3
)
 
$
1

 
$
(30
)
 
$
40

 
 
 
 
 
 
 
 
 
Components of net income
 
 
 
 
 
 
 
 
Net investment income
 
$
5

 
$
—

 
$
10

 
$
—

Realized capital gains and losses
 
6

 
8

 
14

 
23

Life contract benefits
 
(1
)
 
2

 
2

 
7

Interest credited to contractholder funds
 
(13
)
 
(9
)
 
(56
)
 
10

Total included in net income
 
$
(3
)
 
$
1

 
$
(30
)
 
$
40


Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Financial assets
Carrying values and fair value estimates of financial instruments not carried at fair value
($ in millions)
 
 
 
September 30, 2019
 
December 31, 2018
 
Fair value level
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
 
Level 3
 
$
4,694

 
$
4,876

 
$
4,670

 
$
4,703

Bank loans
 
Level 3
 
1,223

 
1,199

 
1,350

 
1,298

Agent loans
 
Level 3
 
663

 
666

 
620

 
617


Financial liabilities
Carrying values and fair value estimates of financial instruments not carried at fair value
($ in millions)
 
 
 
September 30, 2019
 
December 31, 2018
 
Fair value level
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
 
Level 3
 
$
8,619

 
$
9,435

 
$
9,250

 
$
9,665

Long-term debt
 
Level 2
 
6,630

 
7,710

 
6,451

 
6,708

Liability for collateral
 
Level 2
 
2,087

 
2,087

 
1,458

 
1,458