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Investments (Tables)
 9 Months Ended
Sep. 30, 2015
Investments [Abstract]  
Schedule for fixed income securities at amortized cost, gross unrealized gains and losses and fair value
The amortized cost, gross unrealized gains and losses and fair value for fixed income securities are as follows:
($ in millions)
Amortized cost
 
Gross unrealized
 
Fair
value
 
 
Gains
 
Losses
 
September 30, 2015
 

 
 

 
 

 
 

U.S. government and agencies
$
3,642

 
$
118

 
$
—

 
$
3,760

Municipal
7,082

 
431

 
(19
)
 
7,494

Corporate
40,997

 
1,322

 
(690
)
 
41,629

Foreign government
1,026

 
60

 
(1
)
 
1,085

Asset-backed securities (“ABS”)
2,727

 
19

 
(35
)
 
2,711

Residential mortgage-backed securities (“RMBS”)
913

 
108

 
(10
)
 
1,011

Commercial mortgage-backed securities (“CMBS”)
510

 
35

 
(3
)
 
542

Redeemable preferred stock
21

 
4

 
—

 
25

Total fixed income securities
$
56,918

 
$
2,097

 
$
(758
)
 
$
58,257

 
 
 
 
 
 
 
 
December 31, 2014
 

 
 

 
 

 
 

U.S. government and agencies
$
4,192

 
$
139

 
$
(3
)
 
$
4,328

Municipal
7,877

 
645

 
(25
)
 
8,497

Corporate
40,386

 
1,998

 
(240
)
 
42,144

Foreign government
1,543

 
102

 
—

 
1,645

ABS
3,971

 
38

 
(31
)
 
3,978

RMBS
1,108

 
112

 
(13
)
 
1,207

CMBS
573

 
44

 
(2
)
 
615

Redeemable preferred stock
22

 
4

 
—

 
26

Total fixed income securities
$
59,672

 
$
3,082

 
$
(314
)
 
$
62,440
Schedule for fixed income securities based on contractual maturities
The scheduled maturities for fixed income securities are as follows as of September 30, 2015:
($ in millions)
Amortized
cost
 
Fair
value
Due in one year or less
$
4,465

 
$
4,494

Due after one year through five years
25,511

 
26,082

Due after five years through ten years
16,859

 
16,944

Due after ten years
5,933

 
6,473

 
52,768

 
53,993

ABS, RMBS and CMBS
4,150

 
4,264

Total
$
56,918

 
$
58,257
Schedule of net investment income
Net investment income is as follows:
($ in millions)
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Fixed income securities
$
546

 
$
581

 
$
1,681

 
$
1,870

Equity securities
23

 
28

 
77

 
91

Mortgage loans
53

 
54

 
165

 
206

Limited partnership interests
167

 
162

 
483

 
499

Short-term investments
4

 
1

 
8

 
5

Other
49

 
41

 
143

 
127

Investment income, before expense
842

 
867

 
2,557

 
2,798

Investment expense
(35
)
 
(44
)
 
(111
)
 
(118
)
Net investment income
$
807

 
$
823

 
$
2,446

 
$
2,680
Schedule of realized capital gains and losses by asset type
Realized capital gains and losses by asset type are as follows:
($ in millions)
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Fixed income securities
$
221

 
$
23

 
$
361

 
$
121

Equity securities
(150
)
 
213

 
(24
)
 
474

Mortgage loans
1

 
2

 
2

 
3

Limited partnership interests
(55
)
 
59

 
(52
)
 
10

Derivatives
24

 
(8
)
 
4

 
(27
)
Other
(8
)
 
5

 
(11
)
 
7

Realized capital gains and losses
$
33

 
$
294

 
$
280

 
$
588
Schedule of realized capital gains and losses by transaction type
Realized capital gains and losses by transaction type are as follows:
($ in millions)
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Impairment write-downs
$
(47
)
 
$
10

 
$
(77
)
 
$
(12
)
Change in intent write-downs
(127
)
 
(63
)
 
(189
)
 
(167
)
Net other-than-temporary impairment losses recognized in earnings
(174
)
 
(53
)
 
(266
)
 
(179
)
Sales and other
183

 
355

 
545

 
792

Valuation and settlements of derivative instruments
24

 
(8
)
 
1

 
(25
)
Realized capital gains and losses
$
33

 
$
294

 
$
280

 
$
588
Schedule of other-than-temporary impairment losses by asset type
Other-than-temporary impairment losses by asset type are as follows:
($ in millions)
Three months ended September 30, 2015
 
Three months ended September 30, 2014
 
Gross
 
Included
 in OCI
 
Net
 
Gross
 
Included
in OCI
 
Net
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 

Municipal
$
(1
)
 
$
—

 
$
(1
)
 
$
(3
)
 
$
—

 
$
(3
)
Corporate
(9
)
 
—

 
(9
)
 
(6
)
 
1

 
(5
)
ABS
(16
)
 
12

 
(4
)
 
—

 
—

 
—

RMBS
—

 
—

 
—

 
3

 
(1
)
 
2

CMBS
(1
)
 
—

 
(1
)
 
—

 
—

 
—

Total fixed income securities
(27
)
 
12

 
(15
)
 
(6
)
 
—

 
(6
)
Equity securities
(151
)
 
—

 
(151
)
 
(63
)
 
—

 
(63
)
Mortgage loans
—

 
—

 
—

 
2

 
—

 
2

Limited partnership interests
(2
)
 
—

 
(2
)
 
14

 
—

 
14

Other
(6
)
 
—

 
(6
)
 
—

 
—

 
—

Other-than-temporary impairment losses
$
(186
)
 
$
12

 
$
(174
)
 
$
(53
)
 
$
—

 
$
(53
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Nine months ended September 30, 2015
 
Nine months ended September 30, 2014
 
Gross
 
Included
 in OCI
 
Net
 
Gross
 
Included
in OCI
 
Net
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 

Municipal
$
(5
)
 
$
4

 
$
(1
)
 
$
(9
)
 
$
—

 
$
(9
)
Corporate
(19
)
 
4

 
(15
)
 
(6
)
 
1

 
(5
)
ABS
(20
)
 
13

 
(7
)
 
(3
)
 
—

 
(3
)
RMBS
1

 
(1
)
 
—

 
9

 
(3
)
 
6

CMBS
(1
)
 
—

 
(1
)
 
—

 
—

 
—

Total fixed income securities
(44
)
 
20

 
(24
)
 
(9
)
 
(2
)
 
(11
)
Equity securities
(226
)
 
—

 
(226
)
 
(149
)
 
—

 
(149
)
Mortgage loans
—

 
—

 
—

 
6

 
—

 
6

Limited partnership interests
(7
)
 
—

 
(7
)
 
(25
)
 
—

 
(25
)
Other
(9
)
 
—

 
(9
)
 
—

 
—

 
—

Other-than-temporary impairment losses
$
(286
)
 
$
20

 
$
(266
)
 
$
(177
)
 
$
(2
)
 
$
(179
)
Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income
The amounts exclude $221 million and $233 million as of September 30, 2015 and December 31, 2014, respectively, of net unrealized gains related to changes in valuation of the fixed income securities subsequent to the impairment measurement date.
($ in millions)
September 30, 2015
 
December 31, 2014
Municipal
$
(8
)
 
$
(8
)
ABS
(15
)
 
(2
)
RMBS
(105
)
 
(108
)
CMBS
(6
)
 
(5
)
Total
$
(134
)
 
$
(123
)
Schedule of credit losses on fixed income securities recognized in earnings
Rollforwards of the cumulative credit losses recognized in earnings for fixed income securities held as of the end of the period are as follows:
($ in millions)
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Beginning balance
$
(372
)
 
$
(424
)
 
$
(380
)
 
$
(513
)
Additional credit loss for securities previously other-than-temporarily impaired
(7
)
 
(1
)
 
(10
)
 
(2
)
Additional credit loss for securities not previously other-than-temporarily impaired
(8
)
 
(5
)
 
(14
)
 
(8
)
Reduction in credit loss for securities disposed or collected
23

 
28

 
37

 
61

Reduction in credit loss for securities the Company has made the decision to sell or more likely than not will be required to sell
—

 
—

 
—

 
—

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

 
1

 
3

 
2

Reduction in credit loss for securities sold in Lincoln Benefit Life Company (“LBL”) disposition
—

 
—

 
—

 
59

Ending balance
$
(364
)
 
$
(401
)
 
$
(364
)
 
$
(401
)
Schedule of unrealized net capital gains and losses
Unrealized net capital gains and losses included in accumulated other comprehensive income are as follows:
($ in millions)
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
September 30, 2015
 
Gains
 
Losses
 
Fixed income securities
$
58,257

 
$
2,097

 
$
(758
)
 
$
1,339

Equity securities
4,236

 
274

 
(161
)
 
113

Short-term investments
3,036

 
—

 
—

 
—

Derivative instruments (1)
11

 
11

 
(4
)
 
7

Equity method (“EMA”) limited partnerships (2)
 

 
 

 
 

 
(5
)
Unrealized net capital gains and losses, pre-tax
 

 
 

 
 

 
1,454

Amounts recognized for:
 

 
 

 
 

 
 

Insurance reserves (3)
 

 
 

 
 

 
—

DAC and DSI (4)
 

 
 

 
 

 
(98
)
Amounts recognized
 

 
 

 
 

 
(98
)
Deferred income taxes
 

 
 

 
 

 
(477
)
Unrealized net capital gains and losses, after-tax
 

 
 

 
 

 
$
879

_______________
(1) 
Included in the fair value of derivative instruments are $4 million classified as assets and $(7) million classified as liabilities.
(2) 
Unrealized net capital gains and losses for limited partnership interests represent the Company’s share of EMA limited partnerships’ other comprehensive income. Fair value and gross unrealized gains and losses are not applicable.
(3) 
The insurance reserves adjustment represents the amount by which the reserve balance would increase if the net unrealized gains in the applicable product portfolios were realized and reinvested at current lower interest rates, resulting in a premium deficiency. Although the Company evaluates premium deficiencies on the combined performance of life insurance and immediate annuities with life contingencies, the adjustment primarily relates to structured settlement annuities with life contingencies, in addition to annuity buy-outs and certain payout annuities with life contingencies.
(4) 
The DAC and DSI adjustment balance represents the amount by which the amortization of DAC and DSI would increase or decrease if the unrealized gains or losses in the respective product portfolios were realized.
($ in millions)
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
December 31, 2014
 
Gains
 
Losses
 
Fixed income securities
$
62,440

 
$
3,082

 
$
(314
)
 
$
2,768

Equity securities
4,104

 
467

 
(55
)
 
412

Short-term investments
2,540

 
—

 
—

 
—

Derivative instruments (1)
2

 
3

 
(5
)
 
(2
)
EMA limited partnerships
 

 
 

 
 

 
(5
)
Unrealized net capital gains and losses, pre-tax
 

 
 

 
 

 
3,173

Amounts recognized for:
 

 
 

 
 

 
 

Insurance reserves
 

 
 

 
 

 
(28
)
DAC and DSI
 

 
 

 
 

 
(179
)
Amounts recognized
 

 
 

 
 

 
(207
)
Deferred income taxes
 

 
 

 
 

 
(1,040
)
Unrealized net capital gains and losses, after-tax
 

 
 

 
 

 
$
1,926

_______________
(1) 
Included in the fair value of derivative instruments are $3 million classified as assets and $1 million classified as liabilities.
Schedule of change in unrealized net capital gains and losses
The change in unrealized net capital gains and losses for the nine months ended September 30, 2015 is as follows:
($ in millions)
 
Fixed income securities
$
(1,429
)
Equity securities
(299
)
Derivative instruments
9

Total
(1,719
)
Amounts recognized for:
 

Insurance reserves
28

DAC and DSI
81

Amounts recognized
109

Deferred income taxes
563

Decrease in unrealized net capital gains and losses, after-tax
$
(1,047
)
Schedule of gross unrealized losses and fair value of available for sale securities by length of time
The following table summarizes the gross unrealized losses and fair value of fixed income and equity securities by the length of time that individual securities have been 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, 2015
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
5

 
$
364

 
$
—

 
—

 
$
—

 
$
—

 
$
—

Municipal
171

 
495

 
(5
)
 
9

 
48

 
(14
)
 
(19
)
Corporate
1,078

 
12,371

 
(563
)
 
82

 
800

 
(127
)
 
(690
)
Foreign government
14

 
73

 
(1
)
 
—

 
—

 
—

 
(1
)
ABS
53

 
738

 
(17
)
 
21

 
281

 
(18
)
 
(35
)
RMBS
76

 
13

 
—

 
176

 
132

 
(10
)
 
(10
)
CMBS
7

 
32

 
(1
)
 
2

 
4

 
(2
)
 
(3
)
Total fixed income securities
1,404

 
14,086

 
(587
)
 
290

 
1,265

 
(171
)
 
(758
)
Equity securities
354

 
1,619

 
(137
)
 
25

 
84

 
(24
)
 
(161
)
Total fixed income and equity securities
1,758

 
$
15,705

 
$
(724
)
 
315

 
$
1,349

 
$
(195
)
 
$
(919
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment grade fixed income securities
906

 
$
9,147

 
$
(217
)
 
212

 
$
762

 
$
(80
)
 
$
(297
)
Below investment grade fixed income securities
498

 
4,939

 
(370
)
 
78

 
503

 
(91
)
 
(461
)
Total fixed income securities
1,404

 
$
14,086

 
$
(587
)
 
290

 
$
1,265

 
$
(171
)
 
$
(758
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
21

 
$
1,501

 
$
(3
)
 
—

 
$
—

 
$
—

 
$
(3
)
Municipal
252

 
1,008

 
(9
)
 
19

 
116

 
(16
)
 
(25
)
Corporate
576

 
7,545

 
(147
)
 
119

 
1,214

 
(93
)
 
(240
)
Foreign government
2

 
13

 
—

 
1

 
19

 
—

 
—

ABS
81

 
1,738

 
(11
)
 
26

 
315

 
(20
)
 
(31
)
RMBS
75

 
70

 
(1
)
 
188

 
156

 
(12
)
 
(13
)
CMBS
8

 
33

 
—

 
3

 
32

 
(2
)
 
(2
)
Total fixed income securities
1,015

 
11,908

 
(171
)
 
356

 
1,852

 
(143
)
 
(314
)
Equity securities
258

 
866

 
(53
)
 
1

 
11

 
(2
)
 
(55
)
Total fixed income and equity securities
1,273

 
$
12,774

 
$
(224
)
 
357

 
$
1,863

 
$
(145
)
 
$
(369
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investment grade fixed income securities
754

 
$
9,951

 
$
(71
)
 
281

 
$
1,444

 
$
(87
)
 
$
(158
)
Below investment grade fixed income securities
261

 
1,957

 
(100
)
 
75

 
408

 
(56
)
 
(156
)
Total fixed income securities
1,015

 
$
11,908

 
$
(171
)
 
356

 
$
1,852

 
$
(143
)
 
$
(314
)
Carrying value of non-impaired fixed and variable rate mortgage loans by debt service coverage ratio distribution
The following table reflects the carrying value of non-impaired fixed rate and variable rate mortgage loans summarized by debt service coverage ratio distribution.
($ in millions)
September 30, 2015
 
December 31, 2014
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
$
106

 
$
—

 
$
106

 
$
110

 
$
—

 
$
110

1.0 - 1.25
433

 
—

 
433

 
424

 
—

 
424

1.26 - 1.50
1,271

 
—

 
1,271

 
1,167

 
1

 
1,168

Above 1.50
2,565

 
18

 
2,583

 
2,450

 
20

 
2,470

Total non-impaired mortgage loans
$
4,375

 
$
18

 
$
4,393

 
$
4,151

 
$
21

 
$
4,172
Net carrying value of impaired mortgage loans
The net carrying value of impaired mortgage loans is as follows:
($ in millions)
September 30, 2015
 
December 31, 2014
Impaired mortgage loans with a valuation allowance
$
9

 
$
16

Impaired mortgage loans without a valuation allowance
—

 
—

Total impaired mortgage loans
$
9

 
$
16

Valuation allowance on impaired mortgage loans
$
7

 
$
8
Valuation allowance on impaired mortgage loans
The rollforward of the valuation allowance on impaired mortgage loans is as follows:
($ in millions)
Three months ended September 30,
 
Nine months ended September 30,
 
2015
 
2014
 
2015
 
2014
Beginning balance
$
7

 
$
9

 
$
8

 
$
21

Net decrease in valuation allowance
—

 
(2
)
 
—

 
(6
)
Charge offs
—

 
—

 
(1
)
 
(8
)
Ending balance
$
7

 
$
7

 
$
7

 
$
7