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Fair Value of Assets and Liabilities (Tables) | 6 Months Ended
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Jun. 30, 2017
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 June 30, 2017.
($ 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 June 30, 2017
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | 2,773 |  |  | $ | 653 |  |  | $ | — |  |  |  |  |  | $ | 3,426 |
Municipal | — |  |  | 7,741 |  |  | 114 |  |  |  |  |  | 7,855 |
Corporate - public | — |  |  | 32,079 |  |  | 60 |  |  |  |  |  | 32,139 |
Corporate - privately placed | — |  |  | 11,846 |  |  | 266 |  |  |  |  | 12,112 |
Foreign government | — |  |  | 1,047 |  |  | — |  |  |  |  |  | 1,047 |
ABS - CDO | — |  |  | 520 |  |  | 91 |  |  |  |  |  | 611 |
ABS - consumer and other | — |  |  | 512 |  |  | 120 |  |  |  |  | 632 |
RMBS | — |  |  | 641 |  |  | — |  |  |  |  |  | 641 |
CMBS | — |  |  | 146 |  |  | 24 |  |  |  |  |  | 170 |
Redeemable preferred stock | — |  |  | 23 |  |  | — |  |  |  |  |  | 23 |
Total fixed income securities | 2,773 |  |  | 55,208 |  |  | 675 |  |  |  |  |  | 58,656 |
Equity securities | 5,643 |  |  | 308 |  |  | 166 |  |  |  |  |  | 6,117 |
Short-term investments | 315 |  |  | 1,860 |  |  | — |  |  |  |  |  | 2,175 |
Other investments: Free-standing derivatives | — |  |  | 126 |  |  | 1 |  |  | $ | (19 | ) |  | 108 |
Separate account assets | 3,416 |  |  | — |  |  | — |  |  |  |  |  | 3,416 |
Other assets | — |  |  | — |  |  | — |  |  |  |  |  | — |
Total recurring basis assets | 12,147 |  |  | 57,502 |  |  | 842 |  |  | (19 | ) |  | 70,472 |
Non-recurring basis (1) | — |  |  | — |  |  | 16 |  |  |  |  |  | 16 |
Total assets at fair value | $ | 12,147 |  |  | $ | 57,502 |  |  | $ | 858 |  |  | $ | (19 | ) |  | $ | 70,488 |
% of total assets at fair value | 17.2 | % |  | 81.6 | % |  | 1.2 | % |  | — | % |  | 100 | %
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (285 | ) |  |  |  |  | $ | (285 | )
Other liabilities: Free-standing derivatives | (1 | ) |  | (70 | ) |  | — |  |  | $ | 21 |  |  | (50 | )
Total liabilities at fair value | $ | (1 | ) |  | $ | (70 | ) |  | $ | (285 | ) |  | $ | 21 |  |  | $ | (335 | )
% of total liabilities at fair value | 0.3 | % |  | 20.9 | % |  | 85.1 | % |  | (6.3 | )% |  | 100 | %
_______________
(1) | Includes $15 million of limited partnership interests and $1 million of other investments written-down to fair value in connection with recognizing other-than-temporary impairments.
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2016.
($ 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, 2016
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | 2,918 |  |  | $ | 719 |  |  | $ | — |  |  |  |  |  | $ | 3,637 |
Municipal | — |  |  | 7,208 |  |  | 125 |  |  |  |  |  | 7,333 |
Corporate - public | — |  |  | 31,414 |  |  | 78 |  |  |  |  |  | 31,492 |
Corporate - privately placed | — |  |  | 11,846 |  |  | 263 |  |  |  |  | 12,109 |
Foreign government | — |  |  | 1,075 |  |  | — |  |  |  |  |  | 1,075 |
ABS - CDO | — |  |  | 650 |  |  | 27 |  |  |  |  |  | 677 |
ABS - consumer and other | — |  |  | 452 |  |  | 42 |  |  |  |  | 494 |
RMBS | — |  |  | 727 |  |  | 1 |  |  |  |  |  | 728 |
CMBS | — |  |  | 248 |  |  | 22 |  |  |  |  |  | 270 |
Redeemable preferred stock | — |  |  | 24 |  |  | — |  |  |  |  |  | 24 |
Total fixed income securities | 2,918 |  |  | 54,363 |  |  | 558 |  |  |  |  |  | 57,839 |
Equity securities | 5,247 |  |  | 256 |  |  | 163 |  |  |  |  |  | 5,666 |
Short-term investments | 850 |  |  | 3,423 |  |  | 15 |  |  |  |  |  | 4,288 |
Other investments: Free-standing derivatives | — |  |  | 119 |  |  | 1 |  |  | $ | (9 | ) |  | 111 |
Separate account assets | 3,393 |  |  | — |  |  | — |  |  |  |  |  | 3,393 |
Other assets | — |  |  | — |  |  | 1 |  |  |  |  |  | 1 |
Total recurring basis assets | 12,408 |  |  | 58,161 |  |  | 738 |  |  | (9 | ) |  | 71,298 |
Non-recurring basis (1) | — |  |  | — |  |  | 24 |  |  |  |  |  | 24 |
Total assets at fair value | $ | 12,408 |  |  | $ | 58,161 |  |  | $ | 762 |  |  | $ | (9 | ) |  | $ | 71,322 |
% of total assets at fair value | 17.4 | % |  | 81.5 | % |  | 1.1 | % |  | — | % |  | 100 | %
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (290 | ) |  |  |  |  | $ | (290 | )
Other liabilities: Free-standing derivatives | (1 | ) |  | (68 | ) |  | (3 | ) |  | $ | 28 |  |  | (44 | )
Total liabilities at fair value | $ | (1 | ) |  | $ | (68 | ) |  | $ | (293 | ) |  | $ | 28 |  |  | $ | (334 | )
% of total liabilities at fair value | 0.3 | % |  | 20.4 | % |  | 87.7 | % |  | (8.4 | )% |  | 100 | %
_______________
(1) | Includes $24 million of limited partnership interests written-down to fair value in connection with recognizing other-than-temporary impairments.
Summary of quantitative information about the significant unobservable inputs | The following table summarizes quantitative information about the significant unobservable inputs used in Level 3 fair value measurements.
($ in millions) | Fair value |  | Valuation technique |  | Unobservable input |  | Range |  | Weighted average
June 30, 2017 |  |  |  |  |  |  |  |  |  |
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options | $ | (250 | ) |  | Stochastic cash flow model |  | Projected option cost |  | 1.0 - 2.2% |  | 1.74%
December 31, 2016 |  |  |  |  |  |  |  |  |  |
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% |  | 1.75%
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 three months ended June 30, 2017.
($ in millions) |  |  |  | Total gains (losses) included in: |  |  |  |  |  |  |
| Balance as of March 31, 2017 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 124 |  |  | $ | (2 | ) |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |
Corporate - public | 60 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Corporate - privately placed | 263 |  |  | 6 |  |  | (7 | ) |  | 30 |  |  | — |  |
ABS - CDO | 147 |  |  | — |  |  | — |  |  | 3 |  |  | (122 | ) |
ABS - consumer and other | 80 |  |  | — |  |  | — |  |  | — |  |  | (5 | ) |
CMBS | 25 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 699 |  |  | 4 |  |  | (2 | ) |  | 33 |  |  | (127 | ) |
Equity securities | 170 |  |  | 3 |  |  | 3 |  |  | — |  |  | — |  |
Short-term investments | 35 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | (1 | ) |  | 2 |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 903 |  |  | $ | 9 |  |  | $ | 1 |  |  | $ | 33 |  |  | $ | (127 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (286 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (286 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of June 30, 2017 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 5 |  |  | $ | (18 | ) |  | $ | — |  |  | $ | — |  |  | $ | 114 |  |
Corporate - public | (1 | ) |  | 1 |  |  | — |  |  | — |  |  | 60 |  |
Corporate - privately placed | 4 |  |  | (29 | ) |  | — |  |  | (1 | ) |  | 266 |  |
ABS - CDO | 65 |  |  | — |  |  | — |  |  | (2 | ) |  | 91 |  |
ABS - consumer and other | 48 |  |  | — |  |  | — |  |  | (3 | ) |  | 120 |  |
CMBS | — |  |  | — |  |  | — |  |  | (1 | ) |  | 24 |  |
Total fixed income securities | 121 |  |  | (46 | ) |  | — |  |  | (7 | ) |  | 675 |  |
Equity securities | 2 |  |  | (12 | ) |  | — |  |  | — |  |  | 166 |  |
Short-term investments | 5 |  |  | (40 | ) |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  | (2)
Total recurring Level 3 assets | $ | 128 |  |  | $ | (98 | ) |  | $ | — |  |  | $ | (7 | ) |  | $ | 842 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1 |  |  | $ | (285 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1 |  |  | $ | (285 | ) |
_____________
(1) | The effect to net income totals $9 million and is reported in the Condensed Consolidated Statements of Operations as follows: $5 million in realized capital gains and losses, $4 million in net investment income, $(1) million in interest credited to contractholder funds and $1 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the six months ended June 30, 2017.
($ in millions) |  |  |  | Total gains (losses) included in: |  |  |  |  |  |  |
| Balance as of December 31, 2016 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 125 |  |  | $ | (1 | ) |  | $ | 6 |  |  | $ | — |  |  | $ | (1 | ) |
Corporate - public | 78 |  |  | — |  |  | — |  |  | — |  |  | (16 | ) |
Corporate - privately placed | 263 |  |  | 6 |  |  | (2 | ) |  | 30 |  |  | — |  |
ABS - CDO | 27 |  |  | — |  |  | 2 |  |  | 30 |  |  | (122 | ) |
ABS - consumer and other | 42 |  |  | — |  |  | — |  |  | — |  |  | (7 | ) |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 22 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 558 |  |  | 5 |  |  | 6 |  |  | 60 |  |  | (146 | ) |
Equity securities | 163 |  |  | 13 |  |  | 3 |  |  | — |  |  | (3 | ) |
Short-term investments | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | (2 | ) |  | 3 |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 735 |  |  | $ | 20 |  |  | $ | 9 |  |  | $ | 60 |  |  | $ | (149 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (290 | ) |  | $ | 3 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (290 | ) |  | $ | 3 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of June 30, 2017 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 5 |  |  | $ | (20 | ) |  | $ | — |  |  | $ | — |  |  | $ | 114 |  |
Corporate - public | (1 | ) |  | 1 |  |  | — |  |  | (2 | ) |  | 60 |  |
Corporate - privately placed | 4 |  |  | (29 | ) |  | — |  |  | (6 | ) |  | 266 |  |
ABS - CDO | 160 |  |  | — |  |  | — |  |  | (6 | ) |  | 91 |  |
ABS - consumer and other | 89 |  |  | — |  |  | — |  |  | (4 | ) |  | 120 |  |
RMBS | — |  |  | — |  |  | — |  |  | (1 | ) |  | — |  |
CMBS | 3 |  |  | — |  |  | — |  |  | (1 | ) |  | 24 |  |
Total fixed income securities | 260 |  |  | (48 | ) |  | — |  |  | (20 | ) |  | 675 |  |
Equity securities | 3 |  |  | (13 | ) |  | — |  |  | — |  |  | 166 |  |
Short-term investments | 25 |  |  | (40 | ) |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 288 |  |  | $ | (101 | ) |  | $ | — |  |  | $ | (20 | ) |  | $ | 842 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 3 |  |  | $ | (285 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 3 |  |  | $ | (285 | ) |
_____________
(1) | The effect to net income totals $23 million and is reported in the Condensed Consolidated Statements of Operations as follows: $7 million in realized capital gains and losses, $14 million in net investment income, $(6) million in interest credited to contractholder funds and $8 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the three months ended June 30, 2016.
($ in millions) |  |  | Total gains (losses) included in: |  |  |  |  |
| Balance as of March 31, 2016 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | 4 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4 | ) |
Municipal | 146 |  |  | — |  |  | 3 |  |  | 6 |  |  | — |  |
Corporate - public | 63 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Corporate - privately placed | 549 |  |  | 3 |  |  | 8 |  |  | 16 |  |  | (69 | ) |
ABS - CDO | 58 |  |  | — |  |  | 3 |  |  | 6 |  |  | (3 | ) |
ABS - consumer and other | 44 |  |  | — |  |  | (1 | ) |  | 3 |  |  | — |  |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 20 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 885 |  |  | 3 |  |  | 13 |  |  | 31 |  |  | (76 | ) |
Equity securities | 125 |  |  | (8 | ) |  | 1 |  |  | — |  |  | — |  |
Free-standing derivatives, net | (8 | ) |  | 1 |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 1,003 |  |  | $ | (4 | ) |  | $ | 14 |  |  | $ | 31 |  |  | $ | (76 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (313 | ) |  | $ | 7 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (313 | ) |  | $ | 7 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of June 30, 2016 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Municipal | — |  |  | (6 | ) |  | — |  |  | — |  |  | 149 |  |
Corporate - public | 7 |  |  | 4 |  |  | — |  |  | — |  |  | 74 |  |
Corporate - privately placed | 80 |  |  | — |  |  | — |  |  | (2 | ) |  | 585 |  |
ABS - CDO | — |  |  | — |  |  | — |  |  | (31 | ) |  | 33 |  |
ABS - consumer and other | — |  |  | — |  |  | — |  |  | (1 | ) |  | 45 |  |
RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
CMBS | — |  |  | — |  |  | — |  |  | — |  |  | 20 |  |
Total fixed income securities | 87 |  |  | (2 | ) |  | — |  |  | (34 | ) |  | 907 |  |
Equity securities | — |  |  | — |  |  | — |  |  | — |  |  | 118 |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | (7 | ) | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
Total recurring Level 3 assets | $ | 87 |  |  | $ | (2 | ) |  | $ | — |  |  | $ | (34 | ) |  | $ | 1,019 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | (304 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | (304 | ) |
_____________________
(1) | The effect to net income totals $3 million and is reported in the Condensed Consolidated Statements of Operations as follows: $(9) million in realized capital gains and losses, $5 million in net investment income, $(7) million in interest credited to contractholder funds and $14 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets and $8 million of liabilities.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the six months ended June 30, 2016.
($ in millions) |  |  | Total gains (losses) included in: |  |  |  |  |
| Balance as of December 31, 2015 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | 5 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4 | ) |
Municipal | 161 |  |  | 10 |  |  | (5 | ) |  | 6 |  |  | — |  |
Corporate - public | 46 |  |  | — |  |  | 1 |  |  | 25 |  |  | (7 | ) |
Corporate - privately placed | 502 |  |  | 4 |  |  | 13 |  |  | 16 |  |  | (83 | ) |
ABS - CDO | 61 |  |  | — |  |  | 2 |  |  | 10 |  |  | (3 | ) |
ABS - consumer and other | 50 |  |  | — |  |  | (2 | ) |  | 3 |  |  | — |  |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 20 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 846 |  |  | 14 |  |  | 9 |  |  | 60 |  |  | (97 | ) |
Equity securities | 133 |  |  | (32 | ) |  | 8 |  |  | — |  |  | — |  |
Free-standing derivatives, net | (7 | ) |  | — |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 973 |  |  | $ | (18 | ) |  | $ | 17 |  |  | $ | 60 |  |  | $ | (97 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (299 | ) |  | $ | (8 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (299 | ) |  | $ | (8 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of June 30, 2016 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |
Municipal | — |  |  | (22 | ) |  | — |  |  | (1 | ) |  | 149 |  |
Corporate - public | 7 |  |  | 4 |  |  | — |  |  | (2 | ) |  | 74 |  |
Corporate - privately placed | 143 |  |  | — |  |  | — |  |  | (10 | ) |  | 585 |  |
ABS - CDO | — |  |  | (2 | ) |  | — |  |  | (35 | ) |  | 33 |  |
ABS - consumer and other | — |  |  | (5 | ) |  | — |  |  | (1 | ) |  | 45 |  |
RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
CMBS | 2 |  |  | — |  |  | — |  |  | (2 | ) |  | 20 |  |
Total fixed income securities | 152 |  |  | (25 | ) |  | — |  |  | (52 | ) |  | 907 |  |
Equity securities | 9 |  |  | — |  |  | — |  |  | — |  |  | 118 |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | (7 | ) | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
Total recurring Level 3 assets | $ | 161 |  |  | $ | (25 | ) |  | $ | — |  |  | $ | (52 | ) |  | $ | 1,019 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 4 |  |  | $ | (304 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 4 |  |  | $ | (304 | ) |
_____________________
(1) | The effect to net income totals $(26) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(25) million in realized capital gains and losses, $7 million in net investment income, $(6) million in interest credited to contractholder funds and $(2) million in life and annuity contract benefits.
(2) | Comprises $1 million of assets and $8 million of liabilities.
Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date | The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities held as of June 30.
($ in millions) | Three months ended June 30, |  | Six months ended June 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
Assets |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | (3 | ) |  | $ | 1 |  |  | $ | (3 | ) |  | $ | 1 |
Corporate | — |  |  | 3 |  |  | — |  |  | 1 |
Total fixed income securities | (3 | ) |  | 4 |  |  | (3 | ) |  | 2 |
Equity securities | 4 |  |  | (8 | ) |  | 14 |  |  | (32 | )
Free-standing derivatives, net | 2 |  |  | 1 |  |  | 3 |  |  | — |
Other assets | — |  |  | — |  |  | (1 | ) |  | — |
Total recurring Level 3 assets | $ | 3 |  |  | $ | (3 | ) |  | $ | 13 |  |  | $ | (30 | )
Liabilities |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | 7 |  |  | $ | 3 |  |  | $ | (8 | )
Total recurring Level 3 liabilities | $ | — |  |  | $ | 7 |  |  | $ | 3 |  |  | $ | (8 | )
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value | Financial liabilities
($ in millions) | June 30, 2017 |  | December 31, 2016
| Carrying value |  | Fair value |  | Carrying value |  | Fair value
Contractholder funds on investment contracts | $ | 10,846 |  |  | $ | 11,441 |  |  | $ | 11,313 |  |  | $ | 12,009 |
Long-term debt | 6,348 |  |  | 7,118 |  |  | 6,347 |  |  | 6,920 |
Liability for collateral | 1,126 |  |  | 1,126 |  |  | 1,129 |  |  | 1,129 |
Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value. Financial assets
($ in millions) | June 30, 2017 |  | December 31, 2016
| Carrying value |  | Fair value |  | Carrying value |  | Fair value
Mortgage loans | $ | 4,336 |  |  | $ | 4,483 |  |  | $ | 4,486 |  |  | $ | 4,514 |
Cost method limited partnerships | 1,269 |  |  | 1,511 |  |  | 1,282 |  |  | 1,493 |
Bank loans | 1,754 |  |  | 1,759 |  |  | 1,669 |  |  | 1,677 |
Agent loans | 499 |  |  | 495 |  |  | 467 |  |  | 467 |

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