XML 85 R40.htm IDEA: XBRL DOCUMENT

Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2020

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
	As of December 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	$	2,863		$	359		$	—					$	3,222
Municipal	—			9,520			67						9,587
Corporate - public	—			36,346			98						36,444
Corporate - privately placed	—			14,568			130						14,698
Foreign government	—			1,055			—						1,055
ABS	—			1,213			57						1,270
MBS	—			51			27						78



Total fixed income securities	2,863			63,112			379						66,354
Equity securities	3,882			410			418						4,710
Short-term investments	7,477			288			35						7,800
Other investments: Free-standing derivatives	—			219			—			$	(15)		204
Separate account assets	3,344			—			—						3,344
Other assets	1			—			—						1


Total recurring basis assets	17,567			64,029			832			(15)			82,413
Total assets at fair value	$	17,567		$	64,029		$	832		$	(15)		$	82,413
% of total assets at fair value	21.3		%	77.7		%	1.0		%	—		%	100.0		%

Investments reported at NAV													1,824
Total													$	84,237

Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	—		$	—		$	(516)					$	(516)
Other liabilities: Free-standing derivatives	—			(153)			—			$	27		(126)
Total recurring basis liabilities	$	—		$	(153)		$	(516)		$	27		$	(642)
% of total liabilities at fair value	—		%	23.8		%	80.4		%	(4.2)		%	100.0		%


Assets and liabilities measured at fair value
	As of 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

December 31, 2020

Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options

(483)

Stochastic cash flow model

Projected option cost

1.0% - 4.2%

2.80%

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 year ended December 31, 2020
	Balance as of December 31, 2019		Total gains (losses) included in:				Transfers												Balance as of December 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	$	2	$	20	$	(11)	$	—	$	(4)	$	—	$	(3)	$	67
Corporate - public	61		(1)		1		2		—		55		(19)		—		(1)		98
Corporate - privately placed	114		2		(12)		52		(31)		25		(17)		—		(3)		130
ABS	65		—		(1)		54		(49)		48		(32)		—		(28)		57
MBS	40		1		(2)		—		—		11		(7)		—		(16)		27
Total fixed income securities	342		3		(12)		128		(91)		139		(79)		—		(51)		379
Equity securities	371		(3)		—		—		—		66		(16)		—		—		418
Short-term investments	25		—		—		—		(25)		35		—		—		—		35


Total recurring Level 3 assets	738		—		(12)		128		(116)		240		(95)		—		(51)		832
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	(462)		(43)		—		—		—		—		—		(34)		23		(516)
Total recurring Level 3 liabilities	$	(462)	$	(43)	$	—	$	—	$	—	$	—	$	—	$	(34)	$	23	$	(516)


Total Level 3 gains (losses) included in net income for the year ended December 31, 2020
($ in millions)	Net investment income		Realized capital gains (losses)		Life contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	(23)	$	23	$	(1)	$	(42)	$	(43)


Rollforward of Level 3 assets and liabilities held at fair value during the year ended December 31, 2019
	Balance as of December 31, 2018		Total gains (losses) included in:				Transfers												Balance as of December 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	$	4	$	—	$	(5)	$	—	$	(5)	$	—	$	(3)	$	62
Corporate - public	70		—		3		30		(113)		86		(11)		—		(4)		61
Corporate - privately placed	90		(1)		2		43		(2)		4		(13)		—		(9)		114
ABS	69		1		(1)		76		(210)		159		(22)		—		(7)		65
MBS	26		—		(2)		9		—		9		—		—		(2)		40



Total fixed income securities	325		1		6		158		(330)		258		(51)		—		(25)		342
Equity securities	341		30		—		—		—		82		(82)		—		—		371
Short-term investments	30		—		—		—		—		35		(40)		—		—		25
Free-standing derivatives, net	1		(1)		—		—		—		—		—		—		—		—

Total recurring Level 3 assets	697		30		6		158		(330)		375		(173)		—		(25)		738
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	(224)		(61)		—		(175)		—		—		—		(16)		14		(462)
Total recurring Level 3 liabilities	$	(224)	$	(61)	$	—	$	(175)	$	—	$	—	$	—	$	(16)	$	14	$	(462)


Total Level 3 gains (losses) included in net income for the year ended December 31, 2019
($ in millions)	Net investment income		Realized capital gains (losses)		Life contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	(2)	$	32	$	7	$	(68)	$	(31)


Rollforward of Level 3 assets and liabilities held at fair value during the year ended December 31, 2018
	Balance as of December 31, 2017		Total gains (losses) included in:				Transfers												Balance as of December 31, 2018
($ in millions)			Net income		OCI		Into Level 3		Out of Level 3		Purchases		Sales		Issues		Settlements
Assets
Fixed income securities:
Municipal	$	101	$	1	$	(2)	$	—	$	(26)	$	10	$	(8)	$	—	$	(6)	$	70
Corporate - public	108		—		(3)		17		(21)		10		(38)		—		(3)		70
Corporate - privately placed	224		(1)		(3)		20		(119)		22		(5)		—		(48)		90
ABS	147		—		2		42		(159)		160		(97)		—		(26)		69
MBS	26		—		—		—		—		1		—		—		(1)		26
Total fixed income securities	606		—		(6)		79		(325)		203		(148)		—		(84)		325
Equity securities	210		37		—		—		—		109		(15)		—		—		341
Short-term investments	20		—		—		—		—		55		(45)		—		—		30
Free-standing derivatives, net	1		—		—		—		—		—		—		—		—		1

Total recurring Level 3 assets	837		37		(6)		79		(325)		367		(208)		—		(84)		697
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	(286)		58		—		—		—		—		—		(2)		6		(224)
Total recurring Level 3 liabilities	$	(286)	$	58	$	—	$	—	$	—	$	—	$	—	$	(2)	$	6	$	(224)


Total Level 3 gains (losses) included in net income for the year ended December 31, 2018
($ in millions)	Net investment income		Realized capital gains (losses)		Life contract benefits		Interest credited to contractholder funds		Total
Components of net income	$	—	$	37	$	(5)	$	63	$	95

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 December 31,
($ in millions)	2020		2019		2018
Assets
Fixed income securities:
Municipal	$	1	$	1	$	—
Corporate - public	(2)		—		—
Corporate - privately placed	2		—		—



Total fixed income securities	1		1		—
Equity securities	(3)		6		36
Free-standing derivatives, net	—		(1)		—


Total recurring Level 3 assets	$	(2)	$	6	$	36
Liabilities
Contractholder funds: Derivatives embedded in life and annuity contracts	$	(43)	$	(61)	$	58

Total recurring Level 3 liabilities	(43)		(61)		58
Total included in net income	$	(45)	$	(55)	$	94

Components of net income
Net investment income	$	(24)	$	(2)	$	—
Realized capital gains (losses)	22		8		36
Life contract benefits	(1)		7		(5)
Interest credited to contractholder funds	(42)		(68)		63
Total included in net income	$	(45)	$	(55)	$	94

Assets
Municipal	$	2
Corporate - public	1
Corporate - privately placed	(11)
ABS	(1)
Changes in unrealized net capital gains and losses reported in OCI (1)	$	(9)

(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)		December 31, 2020				December 31, 2019
Financial assets	Fair value level	Amortized cost, net		Fair value		Amortized cost, net		Fair value

Mortgage loans	Level 3	$	4,075	$	4,348	$	4,817	$	5,012
Bank loans	Level 3	1,018		1,053		1,204		1,185
Agent loans	Level 3	631		634		666		664


Financial liabilities	Fair value level	Carrying value (1)		Fair value		Carrying value (1)		Fair value
Contractholder funds on investment contracts	Level 3	$	7,795	$	9,089	$	8,438	$	9,158
Long-term debt	Level 2	7,825		9,489		6,631		7,738
Liability for collateral	Level 2	1,249		1,249		1,829		1,829

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

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details