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Fair Value of Assets and Liabilities (Tables) | 9 Months Ended
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Sep. 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 September 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 September 30, 2017
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | 3,190 |  |  | $ | 710 |  |  | $ | — |  |  |  |  |  | $ | 3,900 |
Municipal | — |  |  | 7,687 |  |  | 107 |  |  |  |  |  | 7,794 |
Corporate - public | — |  |  | 32,269 |  |  | 104 |  |  |  |  |  | 32,373 |
Corporate - privately placed | — |  |  | 11,923 |  |  | 250 |  |  |  |  | 12,173 |
Foreign government | — |  |  | 1,093 |  |  | — |  |  |  |  |  | 1,093 |
ABS - CDO | — |  |  | 545 |  |  | 19 |  |  |  |  |  | 564 |
ABS - consumer and other | — |  |  | 640 |  |  | 66 |  |  |  |  | 706 |
RMBS | — |  |  | 611 |  |  | — |  |  |  |  |  | 611 |
CMBS | — |  |  | 127 |  |  | 26 |  |  |  |  |  | 153 |
Redeemable preferred stock | — |  |  | 24 |  |  | — |  |  |  |  |  | 24 |
Total fixed income securities | 3,190 |  |  | 55,629 |  |  | 572 |  |  |  |  |  | 59,391 |
Equity securities | 5,938 |  |  | 328 |  |  | 168 |  |  |  |  |  | 6,434 |
Short-term investments | 380 |  |  | 1,818 |  |  | — |  |  |  |  |  | 2,198 |
Other investments: Free-standing derivatives | — |  |  | 109 |  |  | 1 |  |  | $ | (9 | ) |  | 101 |
Separate account assets | 3,422 |  |  | — |  |  | — |  |  |  |  |  | 3,422 |
Other assets | 1 |  |  | — |  |  | — |  |  |  |  |  | 1 |
Total recurring basis assets | 12,931 |  |  | 57,884 |  |  | 741 |  |  | (9 | ) |  | 71,547 |
Non-recurring basis (1) | — |  |  | — |  |  | 24 |  |  |  |  |  | 24 |
Total assets at fair value | $ | 12,931 |  |  | $ | 57,884 |  |  | $ | 765 |  |  | $ | (9 | ) |  | $ | 71,571 |
% of total assets at fair value | 18.0 | % |  | 80.9 | % |  | 1.1 | % |  | — | % |  | 100 | %
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (292 | ) |  |  |  |  | $ | (292 | )
Other liabilities: Free-standing derivatives | (1 | ) |  | (69 | ) |  | — |  |  | $ | 21 |  |  | (49 | )
Total liabilities at fair value | $ | (1 | ) |  | $ | (69 | ) |  | $ | (292 | ) |  | $ | 21 |  |  | $ | (341 | )
% of total liabilities at fair value | 0.3 | % |  | 20.2 | % |  | 85.6 | % |  | (6.1 | )% |  | 100 | %
_______________
(1) | Includes $14 million of limited partnership interests and $10 million of mortgage loans written-down to fair value in connection with recognizing other-than-temporary impairments.
The following table summarizes the Company’s assets and liabilities measured at fair value on a recurring and non-recurring basis as of December 31, 2016.
($ 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
September 30, 2017 |  |  |  |  |  |  |  |  |  |
Derivatives embedded in life and annuity contracts – Equity-indexed and forward starting options | $ | (253 | ) |  | 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 September 30, 2017.
($ in millions) |  |  |  | Total gains (losses) included in: |  |  |  |  |  |  |
| Balance as of June 30, 2017 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 114 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4 | ) |
Corporate - public | 60 |  |  | — |  |  | — |  |  | — |  |  | (4 | ) |
Corporate - privately placed | 266 |  |  | 1 |  |  | 2 |  |  | — |  |  | (34 | ) |
ABS - CDO | 91 |  |  | — |  |  | 1 |  |  | — |  |  | (68 | ) |
ABS - consumer and other | 120 |  |  | — |  |  | — |  |  | — |  |  | (62 | ) |
CMBS | 24 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 675 |  |  | 1 |  |  | 3 |  |  | — |  |  | (172 | ) |
Equity securities | 166 |  |  | 2 |  |  | 1 |  |  | — |  |  | (1 | ) |
Free-standing derivatives, net | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 842 |  |  | $ | 3 |  |  | $ | 4 |  |  | $ | — |  |  | $ | (173 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (285 | ) |  | $ | (9 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (285 | ) |  | $ | (9 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of September 30, 2017 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 1 |  |  | $ | (3 | ) |  | $ | — |  |  | $ | (1 | ) |  | $ | 107 |  |
Corporate - public | 51 |  |  | (1 | ) |  | — |  |  | (2 | ) |  | 104 |  |
Corporate - privately placed | 18 |  |  | (1 | ) |  | — |  |  | (2 | ) |  | 250 |  |
ABS - CDO | — |  |  | — |  |  | — |  |  | (5 | ) |  | 19 |  |
ABS - consumer and other | 10 |  |  | — |  |  | — |  |  | (2 | ) |  | 66 |  |
CMBS | 3 |  |  | — |  |  | — |  |  | (1 | ) |  | 26 |  |
Total fixed income securities | 83 |  |  | (5 | ) |  | — |  |  | (13 | ) |  | 572 |  |
Equity securities | — |  |  | — |  |  | — |  |  | — |  |  | 168 |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  | (2)
Total recurring Level 3 assets | $ | 83 |  |  | $ | (5 | ) |  | $ | — |  |  | $ | (13 | ) |  | $ | 741 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | (292 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | (292 | ) |
_____________
(1) | The effect to net income totals $(6) million and is reported in the Condensed Consolidated Statements of Operations as follows: $3 million in net investment income, $(5) million in interest credited to contractholder funds and $(4) million in life and annuity contract benefits.
(2) | Comprises $1 million of assets.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the nine months ended September 30, 2017.
($ 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 |  |  | $ | — |  |  | $ | (5 | ) |
Corporate - public | 78 |  |  | — |  |  | — |  |  | — |  |  | (20 | ) |
Corporate - privately placed | 263 |  |  | 7 |  |  | — |  |  | 30 |  |  | (34 | ) |
ABS - CDO | 27 |  |  | — |  |  | 3 |  |  | 30 |  |  | (190 | ) |
ABS - consumer and other | 42 |  |  | — |  |  | — |  |  | — |  |  | (69 | ) |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 22 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 558 |  |  | 6 |  |  | 9 |  |  | 60 |  |  | (318 | ) |
Equity securities | 163 |  |  | 15 |  |  | 4 |  |  | — |  |  | (4 | ) |
Short-term investments | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | (2 | ) |  | 3 |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 735 |  |  | $ | 23 |  |  | $ | 13 |  |  | $ | 60 |  |  | $ | (322 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (290 | ) |  | $ | (6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (290 | ) |  | $ | (6 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of September 30, 2017 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 6 |  |  | $ | (23 | ) |  | $ | — |  |  | $ | (1 | ) |  | $ | 107 |  |
Corporate - public | 50 |  |  | — |  |  | — |  |  | (4 | ) |  | 104 |  |
Corporate - privately placed | 22 |  |  | (30 | ) |  | — |  |  | (8 | ) |  | 250 |  |
ABS - CDO | 160 |  |  | — |  |  | — |  |  | (11 | ) |  | 19 |  |
ABS - consumer and other | 99 |  |  | — |  |  | — |  |  | (6 | ) |  | 66 |  |
RMBS | — |  |  | — |  |  | — |  |  | (1 | ) |  | — |  |
CMBS | 6 |  |  | — |  |  | — |  |  | (2 | ) |  | 26 |  |
Total fixed income securities | 343 |  |  | (53 | ) |  | — |  |  | (33 | ) |  | 572 |  |
Equity securities | 3 |  |  | (13 | ) |  | — |  |  | — |  |  | 168 |  |
Short-term investments | 25 |  |  | (40 | ) |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 371 |  |  | $ | (106 | ) |  | $ | — |  |  | $ | (33 | ) |  | $ | 741 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 5 |  |  | $ | (292 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 5 |  |  | $ | (292 | ) |
_____________
(1) | The effect to net income totals $17 million and is reported in the Condensed Consolidated Statements of Operations as follows: $7 million in realized capital gains and losses, $17 million in net investment income, $(11) million in interest credited to contractholder funds and $4 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the three months ended September 30, 2016.
($ in millions) |  |  | Total gains (losses) included in: |  |  |  |  |
| Balance as of June 30, 2016 |  | Net income (1) |  | OCI |  | Transfers into Level 3 |  | Transfers out of Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 149 |  |  | $ | 1 |  |  | $ | (1 | ) |  | $ | — |  |  | $ | — |  |
Corporate - public | 74 |  |  | — |  |  | — |  |  | — |  |  | (6 | ) |
Corporate - privately placed | 585 |  |  | — |  |  | 2 |  |  | — |  |  | (280 | ) |
ABS - CDO | 33 |  |  | — |  |  | 3 |  |  | — |  |  | — |  |
ABS - consumer and other | 45 |  |  | — |  |  | — |  |  | — |  |  | — |  |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 20 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 907 |  |  | 1 |  |  | 4 |  |  | — |  |  | (286 | ) |
Equity securities | 118 |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |
Free-standing derivatives, net | (7 | ) |  | 4 |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 1,019 |  |  | $ | 4 |  |  | $ | 4 |  |  | $ | — |  |  | $ | (286 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (304 | ) |  | $ | (3 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (304 | ) |  | $ | (3 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of September 30, 2016 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | 22 |  |  | $ | (11 | ) |  | $ | — |  |  | $ | — |  |  | $ | 160 |  |
Corporate - public | 40 |  |  | (10 | ) |  | — |  |  | — |  |  | 98 |  |
Corporate - privately placed | 38 |  |  | — |  |  | — |  |  | (29 | ) |  | 316 |  |
ABS - CDO | 40 |  |  | — |  |  | — |  |  | (2 | ) |  | 74 |  |
ABS - consumer and other | 35 |  |  | — |  |  | — |  |  | (1 | ) |  | 79 |  |
RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
CMBS | 3 |  |  | — |  |  | — |  |  | — |  |  | 23 |  |
Total fixed income securities | 178 |  |  | (21 | ) |  | — |  |  | (32 | ) |  | 751 |  |
Equity securities | 43 |  |  | — |  |  | — |  |  | — |  |  | 160 |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | (3 | ) | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
Total recurring Level 3 assets | $ | 221 |  |  | $ | (21 | ) |  | $ | — |  |  | $ | (32 | ) |  | $ | 909 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 1 |  |  | $ | (307 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | 1 |  |  | $ | (307 | ) |
_____________________
(1) | The effect to net income totals $1 million and is reported in the Condensed Consolidated Statements of Operations as follows: $1 million in realized capital gains and losses, $3 million in net investment income, $(6) million in interest credited to contractholder funds and $3 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets and $4 million of liabilities.
The following table presents the rollforward of Level 3 assets and liabilities held at fair value on a recurring basis during the nine months ended September 30, 2016.
($ 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 |  |  | 11 |  |  | (6 | ) |  | 6 |  |  | — |  |
Corporate - public | 46 |  |  | — |  |  | 1 |  |  | 25 |  |  | (13 | ) |
Corporate - privately placed | 502 |  |  | 4 |  |  | 15 |  |  | 16 |  |  | (363 | ) |
ABS - CDO | 61 |  |  | — |  |  | 5 |  |  | 10 |  |  | (3 | ) |
ABS - consumer and other | 50 |  |  | — |  |  | (2 | ) |  | 3 |  |  | — |  |
RMBS | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
CMBS | 20 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total fixed income securities | 846 |  |  | 15 |  |  | 13 |  |  | 60 |  |  | (383 | ) |
Equity securities | 133 |  |  | (33 | ) |  | 8 |  |  | — |  |  | — |  |
Free-standing derivatives, net | (7 | ) |  | 4 |  |  | — |  |  | — |  |  | — |  |
Other assets | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |
Total recurring Level 3 assets | $ | 973 |  |  | $ | (14 | ) |  | $ | 21 |  |  | $ | 60 |  |  | $ | (383 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (299 | ) |  | $ | (11 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
Total recurring Level 3 liabilities | $ | (299 | ) |  | $ | (11 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |
| Purchases |  | Sales |  | Issues |  | Settlements |  | Balance as of September 30, 2016 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government and agencies | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |
Municipal | 22 |  |  | (33 | ) |  | — |  |  | (1 | ) |  | 160 |  |
Corporate - public | 47 |  |  | (6 | ) |  | — |  |  | (2 | ) |  | 98 |  |
Corporate - privately placed | 181 |  |  | — |  |  | — |  |  | (39 | ) |  | 316 |  |
ABS - CDO | 40 |  |  | (2 | ) |  | — |  |  | (37 | ) |  | 74 |  |
ABS - consumer and other | 35 |  |  | (5 | ) |  | — |  |  | (2 | ) |  | 79 |  |
RMBS | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
CMBS | 5 |  |  | — |  |  | — |  |  | (2 | ) |  | 23 |  |
Total fixed income securities | 330 |  |  | (46 | ) |  | — |  |  | (84 | ) |  | 751 |  |
Equity securities | 52 |  |  | — |  |  | — |  |  | — |  |  | 160 |  |
Free-standing derivatives, net | — |  |  | — |  |  | — |  |  | — |  |  | (3 | ) | (2)
Other assets | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |
Total recurring Level 3 assets | $ | 382 |  |  | $ | (46 | ) |  | $ | — |  |  | $ | (84 | ) |  | $ | 909 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | — |  |  | $ | — |  |  | $ | (2 | ) |  | $ | 5 |  |  | $ | (307 | ) |
Total recurring Level 3 liabilities | $ | — |  |  | $ | — |  |  | $ | (2 | ) |  | $ | 5 |  |  | $ | (307 | ) |
_____________________
(1) | The effect to net income totals $(25) million and is reported in the Condensed Consolidated Statements of Operations as follows: $(24) million in realized capital gains and losses, $10 million in net investment income, $(12) million in interest credited to contractholder funds and $1 million in life and annuity contract benefits.
(2) | Comprises $1 million of assets and $4 million of liabilities.
Schedule of gains and losses included in net income for Level 3 assets and liabilities still held at the balance sheet date | The following table provides the change in unrealized gains and losses included in net income for Level 3 assets and liabilities held as of September 30.
($ in millions) | Three months ended September 30, |  | Nine months ended September 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
Assets |  |  |  |  |  |  |  |  |  |  |
Fixed income securities: |  |  |  |  |  |  |  |  |  |  |
Municipal | $ | — |  |  | $ | 1 |  |  | $ | (3 | ) |  | $ | 2 |
Corporate | 1 |  |  | — |  |  | 1 |  |  | 1 |
Total fixed income securities | 1 |  |  | 1 |  |  | (2 | ) |  | 3 |
Equity securities | 2 |  |  | (1 | ) |  | 16 |  |  | (33 | )
Free-standing derivatives, net | (3 | ) |  | 4 |  |  | — |  |  | 4 |
Other assets | — |  |  | — |  |  | (1 | ) |  | — |
Total recurring Level 3 assets | $ | — |  |  | $ | 4 |  |  | $ | 13 |  |  | $ | (26 | )
Liabilities |  |  |  |  |  |  |  |  |  |  |
Contractholder funds: Derivatives embedded in life and annuity contracts | $ | (9 | ) |  | $ | (3 | ) |  | $ | (6 | ) |  | $ | (11 | )
Total recurring Level 3 liabilities | $ | (9 | ) |  | $ | (3 | ) |  | $ | (6 | ) |  | $ | (11 | )
Schedule of carrying values and fair value estimates of financial instruments not carried at fair value | Presented below are the carrying values and fair value estimates of financial instruments not carried at fair value. Financial assets
($ in millions) | September 30, 2017 |  | December 31, 2016
| Carrying value |  | Fair value |  | Carrying value |  | Fair value
Mortgage loans | $ | 4,322 |  |  | $ | 4,535 |  |  | $ | 4,486 |  |  | $ | 4,514 |
Cost method limited partnerships | 1,339 |  |  | 1,579 |  |  | 1,282 |  |  | 1,493 |
Bank loans | 1,731 |  |  | 1,734 |  |  | 1,669 |  |  | 1,677 |
Agent loans | 523 |  |  | 520 |  |  | 467 |  |  | 467 |
Financial liabilities
($ in millions) | September 30, 2017 |  | December 31, 2016
| Carrying value |  | Fair value |  | Carrying value |  | Fair value
Contractholder funds on investment contracts | $ | 10,618 |  |  | $ | 11,203 |  |  | $ | 11,313 |  |  | $ | 12,009 |
Long-term debt | 6,349 |  |  | 7,161 |  |  | 6,347 |  |  | 6,920 |
Liability for collateral | 1,156 |  |  | 1,156 |  |  | 1,129 |  |  | 1,129 |

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- Definition This element represents, for the fair value measurement of assets and liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (net); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs). + References No definition available. + Details
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