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Fair Value of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2020
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
 
 
March 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
 
$
5,022

 
$
377

 
$
—

 
 

 
$
5,399

Municipal
 
—

 
8,651

 
58

 
 

 
8,709

Corporate - public
 
—

 
31,621

 
60

 
 

 
31,681

Corporate - privately placed
 
—

 
11,866

 
88

 
 
 
11,954

Foreign government
 
—

 
911

 
—

 
 

 
911

ABS
 
—

 
797

 
39

 
 
 
836

MBS
 
—

 
327

 
40

 
 
 
367

Total fixed income securities
 
5,022

 
54,550

 
285

 
 

 
59,857

Equity securities
 
3,069

 
290

 
342

 
 

 
3,701

Short-term investments
 
4,687

 
934

 
50

 
 

 
5,671

Other investments: Free-standing derivatives
 
—

 
77

 
—

 
$
(53
)
 
24

Separate account assets
 
2,434

 
—

 
—

 
 

 
2,434

Total recurring basis assets
 
15,212

 
55,851

 
677

 
(53
)
 
71,687

Non-recurring basis  (1)
 
—

 
—

 
3

 
 

 
3

Total assets at fair value
 
$
15,212

 
$
55,851

 
$
680

 
$
(53
)
 
$
71,690

% of total assets at fair value
 
21.2
%
 
77.9
%
 
1.0
%
 
(0.1
)%
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
 
1,717

Total
 
 
 
 
 
 
 
 
 
$
73,407

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(417
)
 
 

 
$
(417
)
Other liabilities: Free-standing derivatives
 
(3
)
 
(19
)
 
—

 
$
12

 
(10
)
Total recurring basis liabilities
 
$
(3
)
 
$
(19
)
 
$
(417
)
 
$
12

 
$
(427
)
% of total liabilities at fair value
 
0.7
%
 
4.4
%
 
97.7
%
 
(2.8
)%
 
100.0
%
(1) 
Includes $3 million of bank loans.



Assets and liabilities measured at fair value
 
 
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
 
Total
Assets
 
 

 
 

 
 

 
 

 
 

Fixed income securities:
 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
 
$
4,689

 
$
397

 
$
—

 
 

 
$
5,086

Municipal
 
—

 
8,558

 
62

 
 

 
8,620

Corporate - public
 
—

 
30,819

 
61

 
 

 
30,880

Corporate - privately placed
 
—

 
12,084

 
114

 
 
 
12,198

Foreign government
 
—

 
979

 
—

 
 

 
979

ABS
 
—

 
797

 
65

 
 
 
862

MBS
 
—

 
379

 
40

 
 
 
419

Total fixed income securities
 
4,689

 
54,013

 
342

 
 

 
59,044

Equity securities
 
7,407

 
384

 
371

 
 

 
8,162

Short-term investments
 
1,940

 
2,291

 
25

 
 

 
4,256

Other investments: Free-standing derivatives
 
—

 
180

 
—

 
$
(40
)
 
140

Separate account assets
 
3,044

 
—

 
—

 
 

 
3,044

Other assets
 
1

 
—

 
—

 
 

 
1

Total recurring basis assets
 
17,081

 
56,868

 
738

 
(40
)
 
74,647

Total assets at fair value
 
$
17,081

 
$
56,868

 
$
738

 
$
(40
)
 
$
74,647

% of total assets at fair value
 
22.9
%
 
76.2
%
 
1.0
%
 
(0.1
)%
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
 
1,814

Total
 
 
 
 
 
 
 
 
 
$
76,461

Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(462
)
 
 

 
$
(462
)
Other liabilities: Free-standing derivatives
 
—

 
(84
)
 
—

 
$
12

 
(72
)
Total recurring basis liabilities
 
$
—

 
$
(84
)
 
$
(462
)
 
$
12

 
$
(534
)
% of total liabilities at fair value
 
—
%
 
15.7
%
 
86.5
%
 
(2.2
)%
 
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
March 31, 2020
 
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(361
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 4.2%
 
2.71%
 
 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(430
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 4.2%
 
2.67%
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 month period ended March 31, 2020
 
 
Balance as of December 31, 2019
 
Total gains (losses) included in:
 
 Transfers
 
 
 
 
 
 
 
 
 
Balance as of March 31, 2020
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
62

 
$
1

 
$
(1
)
 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
—

 
$
(2
)
 
$
58

Corporate - public
 
61

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(1
)
 
60

Corporate - privately placed
 
114

 
—

 
(1
)
 
—

 
(25
)
 
1

 
—

 
—

 
(1
)
 
88

ABS
 
65

 
—

 
—

 
26

 
(49
)
 
33

 
(9
)
 
—

 
(27
)
 
39

MBS
 
40

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
40

Total fixed income securities
 
342

 
1

 
(2
)
 
26

 
(74
)
 
34

 
(11
)
 
—

 
(31
)
 
285

Equity securities
 
371

 
(30
)
 
—

 
—

 
—

 
1

 
—

 
—

 
—

 
342

Short-term investments
 
25

 
—

 
—

 
—

 
—

 
25

 
—

 
—

 
—

 
50

Total recurring Level 3 assets
 
738

 
(29
)
 
(2
)
 
26

 
(74
)
 
60

 
(11
)
 
—

 
(31
)
 
677

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
(462
)
 
48

 
—

 
—

 
—

 
—

 
—

 
(8
)
 
5

 
(417
)
Total recurring Level 3 liabilities
 
$
(462
)
 
$
48

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(8
)
 
$
5

 
$
(417
)
Total Level 3 gains (losses) included in net income for the three months ended March 31, 2020
 
 
Net investment income
 
Realized capital gains (losses)
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
(23
)
 
$
(6
)
 
$
(24
)
 
$
72

 
$
19


Rollforward of Level 3 assets and liabilities held at fair value during the three month period ended March 31, 2019
 
 
Balance as of December 31, 2018
 
Total gains (losses) included in:
 
 Transfers
 
 
 
 
 
 
 
 
 
Balance as of March 31, 2019
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
70

 
$
—

 
$
1

 
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
—

 
$
(1
)
 
$
68

Corporate - public
 
70

 
—

 
1

 
—

 
—

 
20

 
—

 
—

 
(1
)
 
90

Corporate - privately placed
 
90

 
(2
)
 
2

 
15

 
—

 
—

 
(13
)
 
—

 
(2
)
 
90

ABS
 
69

 
—

 
—

 
—

 
(47
)
 
78

 
(10
)
 
—

 
(3
)
 
87

MBS
 
26

 
—

 
—

 
3

 
—

 
6

 
—

 
—

 
—

 
35

Total fixed income securities
 
325

 
(2
)
 
4

 
18

 
(47
)
 
104

 
(25
)
 
—

 
(7
)
 
370

Equity securities
 
341

 
28

 
—

 
—

 
—

 
2

 
(68
)
 
—

 
—

 
303

Short-term investments
 
30

 
—

 
—

 
—

 
—

 
10

 
—

 
—

 
—

 
40

Free-standing derivatives, net
 
1

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
1

Total recurring Level 3 assets
 
697

 
26

 
4

 
18

 
(47
)
 
116

 
(93
)
 
—

 
(7
)
 
714

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
(224
)
 
(28
)
 
—

 
—

 
—

 
—

 
—

 
—

 
1

 
(251
)
Total recurring Level 3 liabilities
 
$
(224
)
 
$
(28
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
1

 
$
(251
)
Total Level 3 gains (losses) included in net income for the three months ended March 31, 2019
 
 
Net investment income
 
Realized capital gains (losses)
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
—

 
$
26

 
$
8

 
$
(36
)
 
$
(2
)
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 and OCI for Level 3 assets and liabilities held as of March 31,
($ in millions)
 
Three months ended March 31,
 
2020
 
2019
Assets
 
 

 
 

Fixed income securities:
 
 

 
 

Municipal
 
$
1

 
$
—

Equity securities
 
$
(30
)
 
$
4

Free-standing derivatives, net
 
—

 
—

Total recurring Level 3 assets
 
$
(29
)
 
$
4

Liabilities
 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
48

 
$
(28
)
Total recurring Level 3 liabilities
 
48

 
(28
)
Total included in net income
 
$
19

 
$
(24
)
 
 
 
 
 
Components of net income
 
 
 
 
Net investment income
 
$
(23
)
 
$
—

Realized capital gains (losses)
 
(6
)
 
4

Life contract benefits
 
(24
)
 
8

Interest credited to contractholder funds
 
72

 
(36
)
Total included in net income
 
$
19

 
$
(24
)
 
 
 
 
 
Assets
 
 
 
 
Municipal
 
$
(1
)
 
 
Corporate - privately placed
 
(1
)
 
 
Total recurring Level 3 assets
 
$
(2
)
 
 
Changes in unrealized net capital gains and losses reported in OCI (1)
 
$
(2
)
 
 

(1) 
Effective January 1, 2020, the Company adopted the fair value accounting standard that prospectively requires the disclosure of valuation changes reported in OCI.
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Financial instruments not carried at fair value
($ in millions)
 
 
 
March 31, 2020
 
December 31, 2019
Financial assets
 
Fair value level
 
Amortized cost, net
 
Fair
value
 
Amortized cost, net
 
Fair
value
Mortgage loans
 
Level 3
 
$
4,759

 
$
4,875

 
$
4,817

 
$
5,012

Bank loans
 
Level 3
 
1,117

 
1,042

 
1,204

 
1,185

Agent loans
 
Level 3
 
671

 
686

 
666

 
664

 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
Fair value level
 
Carrying value (1)
 
Fair
value
 
Carrying value (1)
 
Fair
value
Contractholder funds on investment contracts
 
Level 3
 
$
8,190

 
$
8,755

 
$
8,438

 
$
9,158

Long-term debt
 
Level 2
 
6,633

 
7,568

 
6,631

 
7,738

Liability for collateral
 
Level 2
 
1,291

 
1,291

 
1,829

 
1,829


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