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Investments (Tables)
 3 Months Ended
Mar. 31, 2016
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
 
March 31, 2016
 

 
 

 
 

 
 

U.S. government and agencies
$
3,390

 
$
114

 
$
—

 
$
3,504

Municipal
7,174

 
457

 
(15
)
 
7,616

Corporate
40,283

 
1,496

 
(507
)
 
41,272

Foreign government
999

 
55

 
—

 
1,054

Asset-backed securities (“ABS”)
2,526

 
12

 
(39
)
 
2,499

Residential mortgage-backed securities (“RMBS”)
807

 
80

 
(12
)
 
875

Commercial mortgage-backed securities (“CMBS”)
427

 
27

 
(7
)
 
447

Redeemable preferred stock
21

 
3

 
—

 
24

Total fixed income securities
$
55,627

 
$
2,244

 
$
(580
)
 
$
57,291

 
 
 
 
 
 
 
 
December 31, 2015
 

 
 

 
 

 
 

U.S. government and agencies
$
3,836

 
$
90

 
$
(4
)
 
$
3,922

Municipal
7,032

 
389

 
(20
)
 
7,401

Corporate
41,674

 
1,032

 
(879
)
 
41,827

Foreign government
983

 
50

 
—

 
1,033

ABS
2,359

 
11

 
(43
)
 
2,327

RMBS
857

 
100

 
(10
)
 
947

CMBS
438

 
32

 
(4
)
 
466

Redeemable preferred stock
22

 
3

 
—

 
25

Total fixed income securities
$
57,201

 
$
1,707

 
$
(960
)
 
$
57,948
Schedule for fixed income securities based on contractual maturities
The scheduled maturities for fixed income securities are as follows as of March 31, 2016:
($ in millions)
Amortized
cost
 
Fair
value
Due in one year or less
$
4,206

 
$
4,226

Due after one year through five years
26,150

 
26,792

Due after five years through ten years
16,030

 
16,384

Due after ten years
5,481

 
6,068

 
51,867

 
53,470

ABS, RMBS and CMBS
3,760

 
3,821

Total
$
55,627

 
$
57,291
Schedule of net investment income
Net investment income is as follows:
($ in millions)
Three months ended March 31,
 
2016
 
2015
Fixed income securities
$
518

 
$
568

Equity securities
28

 
23

Mortgage loans
53

 
55

Limited partnership interests
121

 
198

Short-term investments
4

 
1

Other
51

 
45

Investment income, before expense
775

 
890

Investment expense
(44
)
 
(40
)
Net investment income
$
731

 
$
850
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 March 31,
 
2016
 
2015
Fixed income securities
$
(71
)
 
$
80

Equity securities
(90
)
 
78

Limited partnership interests
26

 
6

Derivatives
(9
)
 
(25
)
Other
(5
)
 
—

Realized capital gains and losses
$
(149
)
 
$
139
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 March 31,
 
2016
 
2015
Impairment write-downs
$
(59
)
 
$
(19
)
Change in intent write-downs
(22
)
 
(30
)
Net other-than-temporary impairment losses recognized in earnings
(81
)
 
(49
)
Sales and other
(59
)
 
216

Valuation and settlements of derivative instruments
(9
)
 
(28
)
Realized capital gains and losses
$
(149
)
 
$
139
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 March 31, 2016
 
Three months ended March 31, 2015
 
Gross
 
Included
 in OCI
 
Net
 
Gross
 
Included
in OCI
 
Net
Fixed income securities:
 

 
 

 
 

 
 

 
 

 
 

Municipal
$
—

 
$
—

 
$
—

 
$
(4
)
 
$
4

 
$
—

Corporate
(16
)
 
7

 
(9
)
 
(5
)
 
—

 
(5
)
ABS
(6
)
 
1

 
(5
)
 
(1
)
 
1

 
—

RMBS
—

 
—

 
—

 
1

 
(1
)
 
—

CMBS
(4
)
 
2

 
(2
)
 
—

 
—

 
—

Total fixed income securities
(26
)
 
10

 
(16
)
 
(9
)
 
4

 
(5
)
Equity securities
(77
)
 
—

 
(77
)
 
(39
)
 
—

 
(39
)
Limited partnership interests
13

 
—

 
13

 
(5
)
 
—

 
(5
)
Other
(1
)
 
—

 
(1
)
 
—

 
—

 
—

Other-than-temporary impairment losses
$
(91
)
 
$
10

 
$
(81
)
 
$
(53
)
 
$
4

 
$
(49
)
Schedule of other-than-temporary impairment losses on fixed income securities included in Accumulated Other Comprehensive Income
The amounts exclude $200 million and $233 million as of March 31, 2016 and December 31, 2015, respectively, of net unrealized gains related to changes in valuation of the fixed income securities subsequent to the impairment measurement date.
($ in millions)
March 31, 2016
 
December 31, 2015
Municipal
$
(8
)
 
$
(9
)
Corporate
(15
)
 
(7
)
ABS
(24
)
 
(23
)
RMBS
(98
)
 
(102
)
CMBS
(7
)
 
(6
)
Total
$
(152
)
 
$
(147
)
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 March 31,
 
2016
 
2015
Beginning balance
$
(392
)
 
$
(380
)
Additional credit loss for securities previously other-than-temporarily impaired
(8
)
 
(1
)
Additional credit loss for securities not previously other-than-temporarily impaired
(8
)
 
(4
)
Reduction in credit loss for securities disposed or collected
58

 
6

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

 
1

Ending balance
$
(350
)
 
$
(378
)
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)
March 31, 2016
 
Gains
 
Losses
 
Fixed income securities
$
57,291

 
$
2,244

 
$
(580
)
 
$
1,664

Equity securities
5,117

 
475

 
(150
)
 
325

Short-term investments
3,526

 
—

 
—

 
—

Derivative instruments (1)
7

 
7

 
(3
)
 
4

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

 
 

 
 

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

 
 

 
 

 
1,988

Amounts recognized for:
 

 
 

 
 

 
 

Insurance reserves (3)
 

 
 

 
 

 
—

DAC and DSI (4)
 

 
 

 
 

 
(138
)
Amounts recognized
 

 
 

 
 

 
(138
)
Deferred income taxes
 

 
 

 
 

 
(650
)
Unrealized net capital gains and losses, after-tax
 

 
 

 
 

 
$
1,200

_______________
(1) 
Included in the fair value of derivative instruments are $3 million classified as assets and $(4) million classified as liabilities.
(2) 
Unrealized net capital gains and losses for limited partnership interests represent the Company’s share of EMA limited partnerships’ other comprehensive income. Fair value and gross unrealized gains and losses are not applicable.
(3) 
The insurance reserves adjustment represents the amount by which the reserve balance would increase if the net unrealized gains in the applicable product portfolios were realized and reinvested at current lower interest rates, resulting in a premium deficiency. Although the Company evaluates premium deficiencies on the combined performance of life insurance and immediate annuities with life contingencies, the adjustment, if any, primarily relates to structured settlement annuities with life contingencies, in addition to annuity buy-outs and certain payout annuities with life contingencies.
(4) 
The DAC and DSI adjustment balance represents the amount by which the amortization of DAC and DSI would increase or decrease if the unrealized gains or losses in the respective product portfolios were realized.
($ in millions)
Fair
value
 
Gross unrealized
 
Unrealized net
gains (losses)
December 31, 2015
 
Gains
 
Losses
 
Fixed income securities
$
57,948

 
$
1,707

 
$
(960
)
 
$
747

Equity securities
5,082

 
415

 
(139
)
 
276

Short-term investments
2,122

 
—

 
—

 
—

Derivative instruments (1)
10

 
10

 
(4
)
 
6

EMA limited partnerships
 

 
 

 
 

 
(4
)
Unrealized net capital gains and losses, pre-tax
 

 
 

 
 

 
1,025

Amounts recognized for:
 

 
 

 
 

 
 

Insurance reserves
 

 
 

 
 

 
—

DAC and DSI
 

 
 

 
 

 
(67
)
Amounts recognized
 

 
 

 
 

 
(67
)
Deferred income taxes
 

 
 

 
 

 
(338
)
Unrealized net capital gains and losses, after-tax
 

 
 

 
 

 
$
620

_______________
(1) 
Included in the fair value of derivative instruments are $6 million classified as assets and $(4) million classified as liabilities.
Schedule of change in unrealized net capital gains and losses
The change in unrealized net capital gains and losses for the three months ended March 31, 2016 is as follows:
($ in millions)
 
Fixed income securities
$
917

Equity securities
49

Derivative instruments
(2
)
EMA limited partnerships
(1
)
Total
963

Amounts recognized for:
 

Insurance reserves
—

DAC and DSI
(71
)
Amounts recognized
(71
)
Deferred income taxes
(312
)
Increase in unrealized net capital gains and losses, after-tax
$
580
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
 
March 31, 2016
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
10

 
$
307

 
$
—

 
—

 
$
—

 
$
—

 
$
—

Municipal
132

 
351

 
(3
)
 
7

 
32

 
(12
)
 
(15
)
Corporate
632

 
7,101

 
(332
)
 
124

 
1,126

 
(175
)
 
(507
)
Foreign government
11

 
29

 
—

 
1

 
3

 
—

 
—

ABS
76

 
836

 
(16
)
 
22

 
320

 
(23
)
 
(39
)
RMBS
79

 
54

 
(1
)
 
174

 
119

 
(11
)
 
(12
)
CMBS
14

 
120

 
(6
)
 
1

 
3

 
(1
)
 
(7
)
Total fixed income securities
954

 
8,798

 
(358
)
 
329

 
1,603

 
(222
)
 
(580
)
Equity securities
242

 
1,165

 
(121
)
 
43

 
159

 
(29
)
 
(150
)
Total fixed income and equity securities
1,196

 
$
9,963

 
$
(479
)
 
372

 
$
1,762

 
$
(251
)
 
$
(730
)
Investment grade fixed income securities
620

 
$
5,727

 
$
(131
)
 
223

 
$
979

 
$
(93
)
 
$
(224
)
Below investment grade fixed income securities
334

 
3,071

 
(227
)
 
106

 
624

 
(129
)
 
(356
)
Total fixed income securities
954

 
$
8,798

 
$
(358
)
 
329

 
$
1,603

 
$
(222
)
 
$
(580
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
December 31, 2015
 

 
 

 
 

 
 

 
 

 
 

 
 

Fixed income securities
 

 
 

 
 

 
 

 
 

 
 

 
 

U.S. government and agencies
53

 
$
1,874

 
$
(4
)
 
—

 
$
—

 
$
—

 
$
(4
)
Municipal
222

 
810

 
(6
)
 
9

 
36

 
(14
)
 
(20
)
Corporate
1,361

 
17,915

 
(696
)
 
111

 
1,024

 
(183
)
 
(879
)
Foreign government
9

 
44

 
—

 
—

 
—

 
—

 
—

ABS
133

 
1,733

 
(24
)
 
20

 
324

 
(19
)
 
(43
)
RMBS
88

 
69

 
—

 
176

 
125

 
(10
)
 
(10
)
CMBS
13

 
75

 
(2
)
 
1

 
2

 
(2
)
 
(4
)
Total fixed income securities
1,879

 
22,520

 
(732
)
 
317

 
1,511

 
(228
)
 
(960
)
Equity securities
265

 
1,397

 
(107
)
 
37

 
143

 
(32
)
 
(139
)
Total fixed income and equity securities
2,144

 
$
23,917

 
$
(839
)
 
354

 
$
1,654

 
$
(260
)
 
$
(1,099
)
Investment grade fixed income securities
1,405

 
$
17,521

 
$
(362
)
 
225

 
$
972

 
$
(105
)
 
$
(467
)
Below investment grade fixed income securities
474

 
4,999

 
(370
)
 
92

 
539

 
(123
)
 
(493
)
Total fixed income securities
1,879

 
$
22,520

 
$
(732
)
 
317

 
$
1,511

 
$
(228
)
 
$
(960
)
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 mortgage loans summarized by debt service coverage ratio distribution.
($ in millions)
March 31, 2016
 
December 31, 2015
Below 1.0
$
62

 
$
64

1.0 - 1.25
344

 
382

1.26 - 1.50
1,222

 
1,219

Above 1.50
2,668

 
2,667

Total non-impaired mortgage loans
$
4,296

 
$
4,332
Net carrying value of impaired mortgage loans
The net carrying value of impaired mortgage loans is as follows:
($ in millions)
March 31, 2016
 
December 31, 2015
Impaired mortgage loans with a valuation allowance
$
6

 
$
6

Impaired mortgage loans without a valuation allowance
—

 
—

Total impaired mortgage loans
$
6

 
$
6

Valuation allowance on impaired mortgage loans
$
3

 
$
3
Valuation allowance on impaired mortgage loans
The rollforward of the valuation allowance on impaired mortgage loans is as follows:
($ in millions)
Three months ended March 31,
 
2016
 
2015
Beginning balance
$
3

 
$
8

Net decrease in valuation allowance
—

 
—

Charge offs
—

 
—

Ending balance
$
3

 
$
8