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Fair Value of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2015
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities that are measured at fair value on a recurring and non-recurring basis
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2015.
($ 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
 
Balance as of December 31, 2015
Assets
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
3,056

 
$
861

 
$
5

 
 
 
$
3,922

Municipal
—

 
7,240

 
161

 
 
 
7,401

Corporate - public
—

 
30,356

 
46

 
 
 
30,402

Corporate - privately placed
—

 
10,923

 
502

 
 
 
11,425

Foreign government
—

 
1,033

 
—

 
 
 
1,033

ABS - CDO
—

 
716

 
61

 
 
 
777

ABS - consumer and other
—

 
1,500

 
50

 
 
 
1,550

RMBS
—

 
946

 
1

 
 
 
947

CMBS
—

 
446

 
20

 
 
 
466

Redeemable preferred stock
—

 
25

 
—

 
 
 
25

Total fixed income securities
3,056

 
54,046

 
846

 
 
 
57,948

Equity securities
4,786

 
163

 
133

 
 
 
5,082

Short-term investments
615

 
1,507

 
—

 
 
 
2,122

Other investments: Free-standing derivatives
—

 
65

 
1

 
$
(13
)
 
53

Separate account assets
3,658

 
—

 
—

 
 
 
3,658

Other assets
2

 
—

 
1

 
 
 
3

Total recurring basis assets
12,117

 
55,781

 
981

 
(13
)
 
68,866

Non-recurring basis (1)
—

 
—

 
55

 
 
 
55

Total assets at fair value
$
12,117

 
$
55,781

 
$
1,036

 
$
(13
)
 
$
68,921

% of total assets at fair value
17.6
%
 
80.9
%
 
1.5
%
 
—
 %
 
100.0
%
Liabilities
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
—

 
$
—

 
$
(299
)
 
 
 
$
(299
)
Other liabilities: Free-standing derivatives
(1
)
 
(23
)
 
(8
)
 
$
7

 
(25
)
Total liabilities at fair value
$
(1
)
 
$
(23
)
 
$
(307
)
 
$
7

 
$
(324
)
% of total liabilities at fair value
0.3
%
 
7.1
%
 
94.8
%
 
(2.2
)%
 
100.0
%
______________________________
(1) 
Includes $42 million of limited partnership interests and $13 million of other investments written-down to fair value in connection with recognizing other-than-temporary impairments.




















The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2014:
($ 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
 
Balance as of December 31, 2014
Assets
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
3,240

 
$
1,082

 
$
6

 
 
 
$
4,328

Municipal
—

 
8,227

 
270

 
 
 
8,497

Corporate - public
—

 
31,340

 
214

 
 
 
31,554

Corporate - privately placed
—

 
9,913

 
677

 
 
 
10,590

Foreign government
—

 
1,645

 
—

 
 
 
1,645

ABS - CDO
—

 
1,044

 
104

 
 
 
1,148

ABS - consumer and other
—

 
2,738

 
92

 
 
 
2,830

RMBS
—

 
1,206

 
1

 
 
 
1,207

CMBS
—

 
592

 
23

 
 
 
615

Redeemable preferred stock
—

 
26

 
—

 
 
 
26

Total fixed income securities
3,240

 
57,813

 
1,387

 
 
 
62,440

Equity securities
3,787

 
234

 
83

 
 
 
4,104

Short-term investments
692

 
1,843

 
5

 
 
 
2,540

Other investments: Free-standing derivatives
—

 
95

 
2

 
$
(5
)
 
92

Separate account assets
4,396

 
—

 
—

 
 
 
4,396

Other assets
2

 
—

 
1

 
 
 
3

Total recurring basis assets
12,117


59,985


1,478


(5
)

73,575

Non-recurring basis (1)
—

 
—

 
9

 
 
 
9

Total assets at fair value
$
12,117


$
59,985


$
1,487


$
(5
)

$
73,584

% of total assets at fair value
16.5
%
 
81.5
%
 
2.0
%
 
—
 %
 
100.0
%
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
—

 
$
—

 
$
(323
)
 
 
 
$
(323
)
Other liabilities: Free-standing derivatives
(1
)
 
(50
)
 
(9
)
 
$
22

 
(38
)
Total liabilities at fair value
$
(1
)
 
$
(50
)
 
$
(332
)
 
$
22

 
$
(361
)
% of total liabilities at fair value
0.3
%
 
13.8
%
 
92.0
%
 
(6.1
)%
 
100.0
%
______________________________
(1) 
Includes $6 million of mortgage loans and $3 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.
Summary of quantitative information about the significant unobservable inputs
The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements.
($ in millions)
 
 
 
 
 
 
 
 
 
 
Fair value
 
Valuation
technique
 
Unobservable
input
 
Range
 
Weighted
average
December 31, 2015
 
 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts — Equity-indexed and forward starting options
$
(247
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.2%
 
1.76%
 
 
 
 
 
 
 
 
 
 
December 31, 2014
 
 
 
 
 
 
 
 
 
Derivatives embedded in life and annuity contracts — Equity-indexed and forward starting options
$
(278
)
 
Stochastic cash flow model
 
Projected option cost
 
1.0 - 2.0%
 
1.76%
Schedule of the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2015.
($ in millions)
 
 
Total gains (losses) included in:
 
 
 
 
 
 
Balance as of December 31, 2014
 
Net income (1)
 
OCI
 
Transfers into Level 3
 
Transfers out of Level 3
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
6

 
$
—

 
$
—

 
$
—

 
$
—

 
Municipal
270

 
(4
)
 
(7
)
 
3

 
(2
)
 
Corporate - public
214

 
—

 
—

 
—

 
(175
)
 
Corporate - privately placed
677

 
13

 
(20
)
 
13

 
(106
)
 
ABS - CDO
104

 
(1
)
 
4

 
43

 
(52
)
 
ABS - consumer and other
92

 
(1
)
 
—

 
—

 
(98
)
 
RMBS
1

 
—

 
—

 
—

 
—

 
CMBS
23

 
—

 
—

 
—

 
—

 
Total fixed income securities
1,387

 
7

 
(23
)
 
59

 
(433
)
 
Equity securities
83

 
(3
)
 
(5
)
 
—

 
—

 
Short-term investments
5

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
(7
)
 
1

 
—

 
—

 
—

 
Other assets
1

 
—

 
—

 
—

 
—

 
Total recurring Level 3 assets
$
1,469


$
5


$
(28
)

$
59


$
(433
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(323
)
 
$
19

 
$
—

 
$
—

 
$
—

 
Total recurring Level 3 liabilities
$
(323
)

$
19


$
—


$
—


$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Purchases
 
Issues
 
Sales
 
Settlements
 
Balance as of December 31, 2015
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
5

 
Municipal
—

 
—

 
(91
)
 
(8
)
 
161

 
Corporate - public
11

 
—

 
—

 
(4
)
 
46

 
Corporate - privately placed
79

 
—

 
(74
)
 
(80
)
 
502

 
ABS - CDO
—

 
—

 
(2
)
 
(35
)
 
61

 
ABS - consumer and other
70

 
—

 
(5
)
 
(8
)
 
50

 
RMBS
—

 
—

 
—

 
—

 
1

 
CMBS
12

 
—

 
—

 
(15
)
 
20

 
Total fixed income securities
172

 
—

 
(172
)
 
(151
)
 
846

 
Equity securities
69

 
—

 
(11
)
 
—

 
133

 
Short-term investments
35

 
—

 
(40
)
 
—

 
—

 
Free-standing derivatives, net
—

 
—

 
—

 
(1
)
 
(7
)
(2 
) 
Other assets
—

 
—

 
—

 
—

 
1

 
Total recurring Level 3 assets
$
276

 
$
—

 
$
(223
)
 
$
(152
)
 
$
973

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

 
$
(2
)
 
$
—

 
$
7

 
$
(299
)
 
Total recurring Level 3 liabilities
$
—

 
$
(2
)
 
$
—

 
$
7

 
$
(299
)
 
______________________________
(1) 
The effect to net income totals $24 million and is reported in the Consolidated Statements of Operations as follows: $(8) million in realized capital gains and losses, $13 million in net investment income, $26 million in interest credited to contractholder funds and $(7) million in life and annuity contract benefits.
(2) 
Comprises $1 million of assets and $8 million of liabilities.


The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2014.
($ in millions)
 
 
Total gains (losses) included in:
 
 
 
 
 
 
Balance as of December 31, 2013
 
Net income (1)
 
OCI
 
Transfers into Level 3
 
Transfers out of Level 3
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
7

 
$
—

 
$
—

 
$
—

 
$
—

 
Municipal
343

 
(2
)
 
18

 
—

 
(17
)
 
Corporate
1,109

 
24

 
(14
)
 
89

 
(125
)
 
ABS
192

 
1

 
2

 
49

 
(144
)
 
RMBS
2

 
—

 
—

 
—

 
—

 
CMBS
43

 
(1
)
 
—

 
5

 
(4
)
 
Redeemable preferred stock
1

 
—

 
—

 
—

 
—

 
Total fixed income securities
1,697


22


6


143


(290
)
 
Equity securities
132

 
22

 
(16
)
 
—

 
(2
)
 
Short-term investments
—

 
—

 
—

 
—

 
—

 
Free-standing derivatives, net
(5
)
 
—

 
—

 
—

 
—

 
Other assets
—

 
1

 
—

 
—

 
—

 
Assets held for sale
362

 
(1
)
 
2

 
4

 
(2
)
 
Total recurring Level 3 assets
$
2,186


$
44


$
(8
)

$
147


$
(294
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(307
)
 
$
(8
)
 
$
—

 
$
—

 
$
—

 
Liabilities held for sale
(246
)
 
17

 
—

 
—

 
—

 
Total recurring Level 3 liabilities
$
(553
)

$
9


$
—


$
—


$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Sold in LBL disposition (3)
 
Purchases/Issues (4)
 
Sales
 
Settlements
 
Balance as of December 31, 2014
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
6

 
Municipal
—

 
6

 
(74
)
 
(4
)
 
270

 
Corporate
—

 
64

 
(140
)
 
(116
)
 
891

 
ABS
—

 
119

 
—

 
(23
)
 
196

 
RMBS
—

 
—

 
—

 
(1
)
 
1

 
CMBS
4

 
8

 
(1
)
 
(31
)
 
23

 
Redeemable preferred stock
—

 
—

 
(1
)
 
—

 
—

 
Total fixed income securities
4

 
197

 
(216
)
 
(176
)
 
1,387

 
Equity securities
—

 
83

 
(136
)
 
—

 
83

 
Short-term investments
—

 
45

 
(40
)
 
—

 
5

 
Free-standing derivatives, net
—

 
2

 
—

 
(4
)
 
(7
)
(2) 
Other assets
—

 
—

 
—

 
—

 
1

 
Assets held for sale
(351
)
 
—

 
(8
)
 
(6
)
 
—

 
Total recurring Level 3 assets
$
(347
)
 
$
327

 
$
(400
)
 
$
(186
)
 
$
1,469

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

 
$
(14
)
 
$
—

 
$
6

 
$
(323
)
 
Liabilities held for sale
230

 
(4
)
 
—

 
3

 
—

 
Total recurring Level 3 liabilities
$
230

 
$
(18
)
 
$
—

 
$
9

 
$
(323
)
 
______________________________
(1) 
The effect to net income totals $53 million and is reported in the Consolidated Statements of Operations as follows: $34 million in realized capital gains and losses, $13 million in net investment income, $(5) million in interest credited to contractholder funds, $15 million in life and annuity contract benefits and $(4) million in loss on disposition of operations.
(2) 
Comprises $2 million of assets and $9 million of liabilities.
(3) 
Includes transfers from held for sale that took place in first quarter 2014 of $4 million for CMBS and $(4) million for Assets held for sale.
(4) 
Represents purchases for assets and issues for liabilities.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the year ended December 31, 2013.
($ in millions)
 
 
Total gains (losses) included in:
 
 
 
 
 
 
Balance as of December 31, 2012
 
Net income (1)
 
OCI
 
Transfers into Level 3
 
Transfers out of Level 3
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
8

 
$
—

 
$
—

 
$
—

 
$
—

 
Municipal
965

 
(33
)
 
47

 
6

 
(63
)
 
Corporate
1,617

 
35

 
(32
)
 
84

 
(323
)
 
ABS
251

 
—

 
29

 
29

 
(86
)
 
RMBS
3

 
—

 
—

 
—

 
—

 
CMBS
52

 
(1
)
 
2

 
4

 
—

 
Redeemable preferred stock
1

 
—

 
—

 
—

 
—

 
Total fixed income securities
2,897


1


46


123


(472
)
 
Equity securities
171

 
3

 
7

 
—

 
—

 
Free-standing derivatives, net
(27
)
 
19

 
—

 
—

 
—

 
Other assets
1

 
(1
)
 
—

 
—

 
—

 
Assets held for sale
—

 
(2
)
 
(6
)
 
13

 
(13
)
 
Total recurring Level 3 assets
$
3,042


$
20


$
47


$
136


$
(485
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
(553
)
 
$
89

 
$
—

 
$
—

 
$
—

 
Liabilities held for sale
—

 
20

 
—

 
—

 
—

 
Total recurring Level 3 liabilities
$
(553
)

$
109


$
—


$
—


$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
Transfer to held for sale
 
Purchases/Issues (2)
 
Sales
 
Settlements
 
Balance as of December 31, 2013
 
Assets
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
—

 
$
—

 
$
—

 
$
(1
)
 
$
7

 
Municipal
(51
)
 
55

 
(558
)
 
(25
)
 
343

 
Corporate
(244
)
 
504

 
(389
)
 
(143
)
 
1,109

 
ABS
(85
)
 
174

 
(82
)
 
(38
)
 
192

 
RMBS
—

 
—

 
—

 
(1
)
 
2

 
CMBS
(5
)
 
11

 
(19
)
 
(1
)
 
43

 
Redeemable preferred stock
—

 
—

 
—

 
—

 
1

 
Total fixed income securities
(385
)
 
744

 
(1,048
)
 
(209
)
 
1,697

 
Equity securities
—

 
1

 
(50
)
 
—

 
132

 
Free-standing derivatives, net
—

 
9

 
—

 
(6
)
 
(5
)
(3 
) 
Other assets
—

 
—

 
—

 
—

 
—

 
Assets held for sale
385

 
—

 
(10
)
 
(5
)
 
362

 
Total recurring Level 3 assets
$
—

 
$
754

 
$
(1,108
)
 
$
(220
)
 
$
2,186

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
265

 
$
(111
)
 
$
—

 
$
3

 
$
(307
)
 
Liabilities held for sale
(265
)
 
(6
)
 
—

 
5

 
(246
)
 
Total recurring Level 3 liabilities
$
—

 
$
(117
)
 
$
—

 
$
8

 
$
(553
)
 
______________________________
(1) 
The effect to net income totals $129 million and is reported in the Consolidated Statements of Operations as follows: $3 million in realized capital gains and losses, $18 million in net investment income, $40 million in interest credited to contractholder funds, $74 million in life and annuity contract benefits and $(6) million in loss on disposition of operations.
(2) 
Represents purchases for assets and issues for liabilities.
(3) 
Comprises $9 million of assets and $14 million of liabilities.
Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date
The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities held as of December 31.
($ in millions)
2015
 
2014
 
2013
Assets
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
Municipal
$
(12
)
 
$
(7
)
 
$
(19
)
Corporate
11

 
11

 
13

ABS
2

 
1

 
(1
)
RMBS
—

 
(1
)
 
(1
)
CMBS
—

 
—

 
(2
)
Total fixed income securities
1


4


(10
)
Equity securities
(4
)
 
—

 
—

Free-standing derivatives, net
1

 
5

 
10

Other assets
—

 
1

 
(1
)
Assets held for sale
—

 
—

 
(2
)
Total recurring Level 3 assets
$
(2
)

$
10


$
(3
)
Liabilities
 
 
 
 
 
Contractholder funds: Derivatives embedded in life and annuity contracts
$
19

 
$
(8
)
 
$
89

Liabilities held for sale
—

 
17

 
20

Total recurring Level 3 liabilities
$
19


$
9


$
109
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value
Financial liabilities
($ in millions)
December 31, 2015
 
December 31, 2014
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Contractholder funds on investment contracts
$
12,424

 
$
12,874

 
$
13,734

 
$
14,390

Long-term debt
5,124

 
5,648

 
5,140

 
5,835

Liability for collateral
840

 
840

 
782

 
782

Financial assets
($ in millions)
December 31, 2015
 
December 31, 2014
 
Carrying
value
 
Fair
value
 
Carrying
value
 
Fair
value
Mortgage loans
$
4,338

 
$
4,489

 
$
4,188

 
$
4,446

Cost method limited partnerships
1,154

 
1,450

 
1,122

 
1,488

Bank loans
1,565

 
1,527

 
1,663

 
1,638

Agent loans
422

 
408

 
368

 
361