XML 49 R28.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value of Assets and Liabilities (Tables)
 9 Months Ended
Sep. 30, 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
 
 
September 30, 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
 
$
2,480

 
$
370

 
$
—

 
 

 
$
2,850

Municipal
 
—

 
9,640

 
69

 
 

 
9,709

Corporate - public
 
—

 
37,118

 
136

 
 

 
37,254

Corporate - privately placed
 
—

 
14,304

 
119

 
 
 
14,423

Foreign government
 
—

 
1,017

 
—

 
 

 
1,017

ABS
 
—

 
1,124

 
82

 
 
 
1,206

MBS
 
—

 
61

 
31

 
 
 
92

Total fixed income securities
 
2,480

 
63,634

 
437

 
 

 
66,551

Equity securities
 
3,647

 
360

 
388

 
 

 
4,395

Short-term investments
 
4,207

 
322

 
30

 
 

 
4,559

Other investments: Free-standing derivatives
 
—

 
157

 
—

 
$
(25
)
 
132

Separate account assets
 
3,064

 
—

 
—

 
 

 
3,064

Other assets
 
1

 
—

 
—

 
 

 
1

Total recurring basis assets
 
13,399

 
64,473

 
855

 
(25
)
 
78,702

Total assets at fair value
 
$
13,399

 
$
64,473

 
$
855

 
$
(25
)
 
$
78,702

% of total assets at fair value
 
17.0
%
 
81.9
%
 
1.1
%
 
—
 %
 
100.0
%
 
 
 
 
 
 
 
 
 
 
 
Investments reported at NAV
 
 
 
 
 
 
 
 
 
1,768

Total
 
 
 
 
 
 
 
 
 
$
80,470

 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
(497
)
 
 

 
$
(497
)
Other liabilities: Free-standing derivatives
 
—

 
(72
)
 
—

 
$
10

 
(62
)
Total recurring basis liabilities
 
$
—

 
$
(72
)
 
$
(497
)
 
$
10

 
$
(559
)
% of total liabilities at fair value
 
—
%
 
12.9
%
 
88.9
%
 
(1.8
)%
 
100.0
%




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
September 30, 2020
 
 

 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options
 
$
(459
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 4.2%
 
2.76%
 
 
 
 
 
 
 
 
 
 
 
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 September 30, 2020
 
 
Balance as of
June 30, 2020
 
Total gains (losses) included in:
 
 Transfers
 
 
 
 
 
 
 
 
 
Balance as of September 30, 2020
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
83

 
$
—

 
$
—

 
$
20

 
$
(32
)
 
$
—

 
$
(2
)
 
$
—

 
$
—

 
$
69

Corporate - public
 
67

 
—

 
9

 
—

 
—

 
70

 
(10
)
 
—

 
—

 
136

Corporate - privately placed
 
126

 
—

 
—

 
—

 
(39
)
 
35

 
(2
)
 
—

 
(1
)
 
119

ABS
 
50

 
—

 
1

 
—

 
(3
)
 
58

 
(24
)
 
—

 
—

 
82

MBS
 
45

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
(14
)
 
31

Total fixed income securities
 
371

 
—

 
10

 
20

 
(74
)
 
163

 
(38
)
 
—

 
(15
)
 
437

Equity securities
 
393

 
2

 
—

 
—

 
(1
)
 
3

 
(9
)
 
—

 
—

 
388

Short-term investments
 
10

 
—

 
—

 
—

 
—

 
20

 
—

 
—

 
—

 
30

Total recurring Level 3 assets
 
774

 
2

 
10

 
20

 
(75
)
 
186

 
(47
)
 
—

 
(15
)
 
855

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
(488
)
 
(6
)
 
—

 
—

 
—

 
—

 
—

 
(10
)
 
7

 
(497
)
Total recurring Level 3 liabilities
 
$
(488
)
 
$
(6
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(10
)
 
$
7

 
$
(497
)
Total Level 3 gains (losses) included in net income for the three months ended September 30, 2020
 
 
Net investment income
 
Realized capital gains (losses)
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
(2
)
 
$
4

 
$
8

 
$
(14
)
 
$
(4
)

Rollforward of Level 3 assets and liabilities held at fair value during the nine month period ended September 30, 2020
 
 
Balance as of December 31, 2019
 
Total gains (losses) included in:
 
 Transfers
 
 
 
 
 
 
 
 
 
Balance as of September 30, 2020
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
62

 
$
1

 
$
2

 
$
20

 
$
(10
)
 
$
—

 
$
(4
)
 
$
—

 
$
(2
)
 
$
69

Corporate - public
 
61

 
(2
)
 
1

 
1

 
—

 
76

 
—

 
—

 
(1
)
 
136

Corporate - privately placed
 
114

 
2

 
(6
)
 
11

 
(32
)
 
37

 
(6
)
 
—

 
(1
)
 
119

ABS
 
65

 
(1
)
 
(1
)
 
51

 
(49
)
 
72

 
(28
)
 
—

 
(27
)
 
82

MBS
 
40

 
1

 
(1
)
 
—

 
—

 
10

 
(4
)
 
—

 
(15
)
 
31

Total fixed income securities
 
342

 
1

 
(5
)
 
83

 
(91
)
 
195

 
(42
)
 
—

 
(46
)
 
437

Equity securities
 
371

 
(15
)
 
—

 
—

 
—

 
42

 
(10
)
 
—

 
—

 
388

Short-term investments
 
25

 
—

 
—

 
—

 
(25
)
 
30

 
—

 
—

 
—

 
30

Total recurring Level 3 assets
 
738

 
(14
)
 
(5
)
 
83

 
(116
)
 
267

 
(52
)
 
—

 
(46
)
 
855

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
 
(462
)
 
(27
)
 
—

 
—

 
—

 
—

 
—

 
(25
)
 
17

 
(497
)
Total recurring Level 3 liabilities
 
$
(462
)
 
$
(27
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(25
)
 
$
17

 
$
(497
)
Total Level 3 gains (losses) included in net income for the nine months ended September 30, 2020
 
 
Net investment income
 
Realized capital gains (losses)
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
(24
)
 
$
10

 
$
(6
)
 
$
(21
)
 
$
(41
)
Rollforward of Level 3 assets and liabilities held at fair value during the three month period ended September 30, 2019
 
 
Balance as of
June 30, 2019
 
Total gains (losses) included in:
 
 Transfers
 
 
 
 
 
 
 
 
 
Balance
as of September 30, 2019
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
63

 
$
—

 
$
2

 
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
—

 
$
—

 
$
64

Corporate - public
 
46

 
—

 
1

 
—

 
(7
)
 
66

 
(2
)
 
—

 
—

 
104

Corporate - privately placed
 
89

 
—

 
(1
)
 
—

 
—

 
1

 
—

 
—

 
(2
)
 
87

ABS
 
53

 
1

 
—

 
50

 
(35
)
 
11

 
—

 
—

 
(2
)
 
78

MBS
 
35

 
—

 
(1
)
 
—

 
—

 
—

 
—

 
—

 
—

 
34

Total fixed income securities
 
286

 
1

 
1

 
50

 
(42
)
 
78

 
(3
)
 
—

 
(4
)
 
367

Equity securities
 
319

 
11

 
—

 
—

 
—

 
55

 
—

 
—

 
—

 
385

Short-term investments
 
5

 
—

 
—

 
—

 
—

 
10

 
—

 
—

 
—

 
15

Free-standing derivatives, net
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total recurring Level 3 assets
 
610

 
12

 
1

 
50

 
(42
)
 
143

 
(3
)
 
—

 
(4
)
 
767

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

 
—

 
—

 
—

 
—

 
(9
)
 
6

 
(454
)
Total recurring Level 3 liabilities
 
$
(437
)
 
$
(14
)
 
$
—

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(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 (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
 
 
 
 
 
 
 
 
 
Balance
as of September 30, 2019
($ in millions)
 
 
Net income
 
OCI
 
Into Level 3
 
Out of Level 3
 
Purchases
 
Sales
 
Issues
 
Settlements
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Municipal
 
$
70

 
$
—

 
$
4

 
$
—

 
$
(5
)
 
$
—

 
$
(4
)
 
$
—

 
$
(1
)
 
$
64

Corporate - public
 
70

 
—

 
3

 
—

 
(47
)
 
86

 
(7
)
 
—

 
(1
)
 
104

Corporate - privately placed
 
90

 
(1
)
 
1

 
15

 
(2
)
 
2

 
(13
)
 
—

 
(5
)
 
87

ABS
 
69

 
1

 
—

 
51

 
(150
)
 
135

 
(22
)
 
—

 
(6
)
 
78

MBS
 
26

 
—

 
(1
)
 
4

 
—

 
6

 
—

 
—

 
(1
)
 
34

Total fixed income securities
 
325

 
—

 
7

 
70

 
(204
)
 
229

 
(46
)
 
—

 
(14
)
 
367

Equity securities
 
341

 
49

 
—

 
—

 
—

 
77

 
(82
)
 
—

 
—

 
385

Short-term investments
 
30

 
—

 
—

 
—

 
—

 
25

 
(40
)
 
—

 
—

 
15

Free-standing derivatives, net
 
1

 
(1
)
 
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total recurring Level 3 assets
 
697

 
48

 
7

 
70

 
(204
)
 
331

 
(168
)
 
—

 
(14
)
 
767

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

 
(175
)
 
—

 
—

 
—

 
(9
)
 
8

 
(454
)
Total recurring Level 3 liabilities
 
$
(224
)
 
$
(54
)
 
$
—

 
$
(175
)
 
$
—

 
$
—

 
$
—

 
$
(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 (losses)
 
Life contract benefits
 
Interest credited to contractholder funds
 
Total
Components of net income
 
$
10

 
$
38

 
$
2

 
$
(56
)
 
$
(6
)
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 September 30,
($ in millions)
 
Three months ended September 30,
 
Nine months ended September 30,
 
2020
 
2019
 
2020
 
2019
Assets
 
 

 
 

 
 

 
 

Fixed income securities:
 
 

 
 

 
 

 
 

Municipal
 
$
—

 
$
—

 
$
1

 
$
—

Corporate
 
1

 
—

 
—

 
—

Total fixed income securities
 
1

 
—

 
1

 
—

Equity securities
 
$
2

 
$
11

 
$
(16
)
 
$
25

Free-standing derivatives, net
 
—

 
—

 
—

 
(1
)
Total recurring Level 3 assets
 
$
3

 
$
11

 
$
(15
)
 
$
24

Liabilities
 
 

 
 

 
 

 
 

Contractholder funds: Derivatives embedded in life and annuity contracts
 
$
(6
)
 
$
(14
)
 
$
(27
)
 
$
(54
)
Total recurring Level 3 liabilities
 
(6
)
 
(14
)
 
(27
)
 
(54
)
Total included in net income
 
$
(3
)
 
$
(3
)
 
$
(42
)
 
$
(30
)
 
 
 
 
 
 
 
 
 
Components of net income
 
 
 
 
 
 
 
 
Net investment income
 
$
(1
)
 
$
5

 
$
(24
)
 
$
10

Realized capital gains (losses)
 
4

 
6

 
9

 
14

Life contract benefits
 
8

 
(1
)
 
(6
)
 
2

Interest credited to contractholder funds
 
(14
)
 
(13
)
 
(21
)
 
(56
)
Total included in net income
 
$
(3
)
 
$
(3
)
 
$
(42
)
 
$
(30
)
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
Municipal
 
$
—

 
 
 
$
2

 
 
Corporate - public
 
—

 
 
 
1

 
 
Corporate - privately placed
 
1

 
 
 
(4
)
 
 
ABS
 
1

 
 
 
(1
)
 
 
Changes in unrealized net capital gains and losses reported in OCI (1)
 
$
2

 
 
 
$
(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)
 
 
 
September 30, 2020
 
December 31, 2019
Financial assets
 
Fair value level
 
Amortized cost, net
 
Fair
value
 
Amortized cost, net
 
Fair
value
Mortgage loans
 
Level 3
 
$
4,655

 
$
4,966

 
$
4,817

 
$
5,012

Bank loans
 
Level 3
 
1,040

 
1,053

 
1,204

 
1,185

Agent loans
 
Level 3
 
643

 
643

 
666

 
664

 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
Fair value level
 
Carrying value (1)
 
Fair
value
 
Carrying value (1)
 
Fair
value
Contractholder funds on investment contracts
 
Level 3
 
$
7,940

 
$
9,213

 
$
8,438

 
$
9,158

Long-term debt
 
Level 2
 
6,635

 
8,094

 
6,631

 
7,738

Liability for collateral
 
Level 2
 
1,521

 
1,521

 
1,829

 
1,829


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