Fair Value (Tables)

12 Months Ended

Dec. 31, 2016

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following represents the hierarchy for our assets and liabilities measured at fair value on a recurring basis:



	December 31, 2016
(In millions)	Total		NAV¹		Level 1		Level 2		Level 3
Assets
AFS securities
Fixed maturity securities
U.S. government and agencies	$	60	$	—	$	29	$	31	$	—
U.S. state, municipal and political subdivisions	1,140		—		—		1,135		5
Foreign governments	2,235		—		—		2,221		14
Corporate	30,020		—		—		29,650		370
CLO	4,822		—		—		4,664		158
ABS	2,936		—		—		1,776		1,160
CMBS	1,847		—		—		1,695		152
RMBS	8,973		—		—		8,956		17
Total AFS fixed maturity securities	52,033		—		29		50,128		1,876
Equity securities	353		—		79		269		5
Total AFS securities	52,386		—		108		50,397		1,881
Trading securities
Fixed maturity securities
U.S. government and agencies	3		—		3		—		—
U.S. state, municipal and political subdivisions	137		—		—		120		17
Corporate	1,423		—		—		1,423		—
CLO	43		—		—		—		43
ABS	82		—		—		82		—
CMBS	81		—		—		81		—
RMBS	387		—		—		291		96
Total trading fixed maturity securities	2,156		—		3		1,997		156
Equity securities	425		—		—		425		—
Total trading securities	2,581		—		3		2,422		156
Mortgage loans	44		—		—		—		44
Investment funds	99		99		—		—		—
Funds withheld at interest – embedded derivative	140		—		—		—		140
Derivative assets	1,370		—		9		1,361		—
Short-term investments	189		—		19		170		—
Cash and cash equivalents	2,445		—		2,445		—		—
Restricted cash	57		—		57		—		—
Investments in related parties
AFS, fixed maturity securities
CLO	279		—		—		279		—
ABS	56		—		—		—		56
Total AFS fixed maturity securities	335		—		—		279		56
AFS, equity securities	20		—		20		—		—
Total AFS securities – related party	355		—		20		279		56
Trading securities, CLO	195		—		—		—		195
Reinsurance recoverable	1,692		—		—		—		1,692
Total assets measured at fair value	$	61,553	$	99	$	2,661	$	54,629	$	4,164
									(Continued)



	December 31, 2016
(In millions)	Total		NAV¹		Level 1		Level 2		Level 3
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	5,283	$	—	$	—	$	—	$	5,283
Universal life benefits	883		—		—		—		883
Unit-linked contracts	408		—		—		408		—
Future policy benefits
AmerUs Closed Block	1,606		—		—		—		1,606
ILICO Closed Block and life benefits	794		—		—		—		794
Derivative liabilities	40		—		—		33		7
Funds withheld liability – embedded derivative	6		—		—		6		—
Total liabilities measured at fair value	$	9,020	$	—	$	—	$	447	$	8,573

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.
									(Concluded)



	December 31, 2015
(In millions)	Total		NAV¹		Level 1		Level 2		Level 3
Assets
AFS securities
Fixed maturity securities
U.S. government and agencies	$	45	$	—	$	41	$	4	$	—
U.S. state, municipal and political subdivisions	1,165		—		—		1,165		—
Foreign governments	2,464		—		—		2,447		17
Corporate	26,936		—		—		26,300		636
CLO	4,555		—		—		4,038		517
ABS	2,918		—		—		1,105		1,813
CMBS	1,738		—		—		1,671		67
RMBS	7,995		—		—		7,237		758
Total AFS fixed maturity securities	47,816		—		41		43,967		3,808
Equity securities	407		—		82		316		9
Total AFS securities	48,223		—		123		44,283		3,817
Trading securities
Fixed maturity securities
U.S. government and agencies	1		—		1		—		—
U.S. state, municipal and political subdivisions	133		—		—		116		17
Corporate	1,450		—		—		1,434		16
CLO	108		—		—		—		108
ABS	98		—		—		—		98
CMBS	99		—		—		99		—
RMBS	161		—		—		132		29
Total trading fixed maturity securities	2,050		—		1		1,781		268
Equity securities	418		—		—		418		—
Total trading securities	2,468		—		1		2,199		268
									(Continued)



	December 31, 2015
(In millions)	Total		NAV¹		Level 1		Level 2		Level 3
Mortgage loans	48		—		—		—		48
Investment funds	152		152		—		—		—
Funds withheld at interest – embedded derivative	36		—		—		—		36
Derivative assets	871		—		9		862		—
Short-term investments	135		—		4		131		—
Cash and cash equivalents	2,714		—		2,714		—		—
Restricted cash	116		—		116		—		—
Investments in related parties
AFS, fixed maturity securities
CLO	248		—		—		241		7
ABS	60		—		—		—		60
Total AFS securities – related party	308		—		—		241		67
Trading securities, CLO	217		—		—		26		191
Reinsurance recoverable	2,377		—		—		—		2,377
Total assets measured at fair value	$	57,665	$	152	$	2,967	$	47,742	$	6,804
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	4,477	$	—	$	—	$	—	$	4,477
Universal life benefits	1,464		—		—		—		1,464
Unit-linked contracts	418		—		—		418		—
Future policy benefits
AmerUs Closed Block	1,581		—		—		—		1,581
ILICO Closed Block and life benefits	897		—		—		—		897
Derivative liabilities	17		—		1		9		7
Funds withheld liability – embedded derivative	35		—		—		35		—
Total liabilities measured at fair value	$	8,889	$	—	$	1	$	462	$	8,426

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.
									(Concluded)

Summary of Fair Value Option

The following represents the gains (losses) recorded for instruments for which we have elected the fair value option:



	Years ended December 31,
(In millions)	2016			2015			2014
Trading securities	$	(33	)	$	(313	)	$	254
Mortgage loans	—			—			5
Investment funds	5			(8		)	31
Future policy benefits	(25		)	134			(102		)
Total gains (losses)	$	(53	)	$	(187	)	$	188

The following summarizes information for fair value option mortgage loans:



	December 31,
(In millions)	2016		2015
Unpaid principal balance	$	42	$	46
Mark to fair value	2		2
Fair value	$	44	$	48

Reconciliation of Level 3 Assets Measured on a Recurring Basis

The following is a reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis:



	Year ended December 31, 2016
			Total realized and unrealized gains (losses)											Transfers
(In millions)	Beginning Balance		Included in income			Included in OCI			Purchases		Sales			In		(Out)			Other		Ending Balance		Total gains (losses) included in earnings¹
Assets
AFS securities
Fixed maturity
U.S. state, municipal and political subdivisions	$	—	$	—		$	—		$	—	$	—		$	5	$	—		$	—	$	5	$	—
Foreign governments	17		—			(1		)	—		(2		)	—		—			—		14		—
Corporate	636		—			20			95		(131		)	—		(250		)	—		370		—
CLO	517		4			55			24		(70		)	72		(444		)	—		158		—
ABS	1,813		81			(12		)	261		(896		)	104		(191		)	—		1,160		—
CMBS	67		1			—			40		(1		)	91		(46		)	—		152		—
RMBS	758		3			19			8		(305		)	—		(466		)	—		17		—
Equity securities	9		—			—			—		(4		)	—		—			—		5		—
Trading securities
Fixed maturity
U.S. state, municipal and political subdivisions	17		—			—			—		—			—		—			—		17		—
Corporate	16		—			—			—		(4		)	—		(12		)	—		—		4
CLO	108		(2		)	—			4		(67		)	—		—			—		43		11
ABS	98		(16		)	—			—		—			—		(82		)	—		—		—
RMBS	29		(23		)	—			144		—			—		(54		)	—		96		(9		)
Mortgage loans	48		—			—			—		(4		)	—		—			—		44		—
Funds withheld at interest – embedded derivative	36		104			—			—		—			—		—			—		140		—
Investments in related parties
AFS securities
Fixed maturity
CLO	7		—			1			—		—			—		(8		)	—		—		—
ABS	60		—			—			—		(4		)	—		—			—		56		—
Trading securities, CLO	191		(33		)	—			33		(26		)	30		—			—		195		23
Reinsurance recoverable	2,377		(685		)	—			—		—			—		—			—		1,692		—
Total Level 3 assets	$	6,804	$	(566	)	$	82		$	609	$	(1,514	)	$	302	$	(1,553	)	$	—	$	4,164	$	29
																							(Continued)



	Year ended December 31, 2016
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning Balance			Included in income			Included in OCI		Purchases		Sales		In		(Out)		Other			Ending Balance			Total gains (losses) included in earnings¹
Liabilities
Interest sensitive contract liabilities
Embedded derivative²	$	(4,477	)	$	(311	)	$	—	$	—	$	—	$	—	$	—	$	(495	)	$	(5,283	)	$	—
Universal life liabilities	(1,464		)	581			—		—		—		—		—		—			(883		)	—
Future policy benefits
AmerUs Closed Block	(1,581		)	(25		)	—		—		—		—		—		—			(1,606		)	—
ILICO Closed Block and life benefits	(897		)	103			—		—		—		—		—		—			(794		)	—
Derivative liabilities	(7		)	—			—		—		—		—		—		—			(7		)	—
Total Level 3 liabilities	$	(8,426	)	$	348		$	—	$	—	$	—	$	—	$	—	$	(495	)	$	(8,573	)	$	—

¹ Related to instruments held at end of period.
² Other activity represents the change in fair value due to issuances of $641 million, offset by settlements of $146 million.
																				(Concluded)



	Year ended December 31, 2015
			Total realized and unrealized gains (losses)											Transfers
(In millions)	Beginning balance		Included in income			Included in OCI			Purchases		Sales			In		Out			Other			Ending balance		Total gains (losses) included in earnings¹
Assets
AFS securities
Fixed maturity
U.S. state, municipal and political subdivisions	$	52	$	(1	)	$	1		$	—	$	(35	)	$	—	$	—		$	(17	)	$	—	$	—
Foreign governments	—		—			—			—		—			—		—			17			17		—
Corporate	208		(1		)	(13		)	311		(81		)	225		(13		)	—			636		—
CLO	182		3			(9		)	112		—			337		(108		)	—			517		—
ABS	924		18			(35		)	367		(146		)	703		(18		)	—			1,813		—
CMBS	69		1			(2		)	25		(2		)	23		(47		)	—			67		—
RMBS	654		11			(15		)	91		(138		)	155		—			—			758		—
Equity securities	—		—			—			10		—			—		—			(1		)	9		—
Trading securities
Fixed maturity
U.S. state, municipal and political subdivisions	—		—			—			—		—			17		—			—			17		—
Corporate	—		—			—			—		—			16		—			—			16		—
CLO	146		(16		)	—			26		(48		)	—		—			—			108		(15		)
ABS	—		(2		)	—			100		—			—		—			—			98		(1		)
RMBS	—		(1		)	—			30		—			—		—			—			29		—
Mortgage loans	73		(3		)	—			—		(4		)	—		—			(18		)	48		(3		)
Funds withheld at interest – embedded derivative	127		(91		)	—			—		—			—		—			—			36		—
Investments in related parties
AFS securities
Fixed maturity
CLO	15		(1		)	(2		)	9		(8		)	—		(6		)	—			7		—
ABS	66		—			(1		)	—		(5		)	—		—			—			60		—
Trading securities, CLO	268		(29		)	—			51		(73		)	—		(26		)	—			191		(17		)
Reinsurance recoverable	2,460		(83		)	—			—		—			—		—			—			2,377		—
Total Level 3 assets	$	5,244	$	(195	)	$	(76	)	$	1,132	$	(540	)	$	1,476	$	(218	)	$	(19	)	$	6,804	$	(36	)
																								(Continued)



	Year ended December 31, 2015
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning balance			Included in income			Included in OCI		Purchases		Sales		In		Out		Other			Ending balance			Total gains (losses) included in earnings¹
Liabilities
Interest sensitive contract liabilities
Embedded derivative²	$	(4,437	)	$	158		$	—	$	—	$	—	$	—	$	—	$	(198	)	$	(4,477	)	$	—
Universal life liabilities	(1,417		)	(47		)	—		—		—		—		—		—			(1,464		)	—
Future policy benefits
AmerUs Closed Block	(1,715		)	134			—		—		—		—		—		—			(1,581		)	—
ILICO Closed Block and life benefits	(1,026		)	129			—		—		—		—		—		—			(897		)	—
Derivative liabilities	(8		)	1			—		—		—		—		—		—			(7		)	—
Total Level 3 liabilities	$	(8,603	)	$	375		$	—	$	—	$	—	$	—	$	—	$	(198	)	$	(8,426	)	$	—

¹Related to instruments held at end of period.
² Other activity represents the change in fair value due to issuances of $341 million, offset by settlements of $143 million.
																				(Concluded)

Reconciliation of Level 3 Liabilities Measured on a Recurring Basis

The following is a reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis:



	Year ended December 31, 2016
			Total realized and unrealized gains (losses)											Transfers
(In millions)	Beginning Balance		Included in income			Included in OCI			Purchases		Sales			In		(Out)			Other		Ending Balance		Total gains (losses) included in earnings¹
Assets
AFS securities
Fixed maturity
U.S. state, municipal and political subdivisions	$	—	$	—		$	—		$	—	$	—		$	5	$	—		$	—	$	5	$	—
Foreign governments	17		—			(1		)	—		(2		)	—		—			—		14		—
Corporate	636		—			20			95		(131		)	—		(250		)	—		370		—
CLO	517		4			55			24		(70		)	72		(444		)	—		158		—
ABS	1,813		81			(12		)	261		(896		)	104		(191		)	—		1,160		—
CMBS	67		1			—			40		(1		)	91		(46		)	—		152		—
RMBS	758		3			19			8		(305		)	—		(466		)	—		17		—
Equity securities	9		—			—			—		(4		)	—		—			—		5		—
Trading securities
Fixed maturity
U.S. state, municipal and political subdivisions	17		—			—			—		—			—		—			—		17		—
Corporate	16		—			—			—		(4		)	—		(12		)	—		—		4
CLO	108		(2		)	—			4		(67		)	—		—			—		43		11
ABS	98		(16		)	—			—		—			—		(82		)	—		—		—
RMBS	29		(23		)	—			144		—			—		(54		)	—		96		(9		)
Mortgage loans	48		—			—			—		(4		)	—		—			—		44		—
Funds withheld at interest – embedded derivative	36		104			—			—		—			—		—			—		140		—
Investments in related parties
AFS securities
Fixed maturity
CLO	7		—			1			—		—			—		(8		)	—		—		—
ABS	60		—			—			—		(4		)	—		—			—		56		—
Trading securities, CLO	191		(33		)	—			33		(26		)	30		—			—		195		23
Reinsurance recoverable	2,377		(685		)	—			—		—			—		—			—		1,692		—
Total Level 3 assets	$	6,804	$	(566	)	$	82		$	609	$	(1,514	)	$	302	$	(1,553	)	$	—	$	4,164	$	29
																							(Continued)



	Year ended December 31, 2016
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning Balance			Included in income			Included in OCI		Purchases		Sales		In		(Out)		Other			Ending Balance			Total gains (losses) included in earnings¹
Liabilities
Interest sensitive contract liabilities
Embedded derivative²	$	(4,477	)	$	(311	)	$	—	$	—	$	—	$	—	$	—	$	(495	)	$	(5,283	)	$	—
Universal life liabilities	(1,464		)	581			—		—		—		—		—		—			(883		)	—
Future policy benefits
AmerUs Closed Block	(1,581		)	(25		)	—		—		—		—		—		—			(1,606		)	—
ILICO Closed Block and life benefits	(897		)	103			—		—		—		—		—		—			(794		)	—
Derivative liabilities	(7		)	—			—		—		—		—		—		—			(7		)	—
Total Level 3 liabilities	$	(8,426	)	$	348		$	—	$	—	$	—	$	—	$	—	$	(495	)	$	(8,573	)	$	—

¹ Related to instruments held at end of period.
² Other activity represents the change in fair value due to issuances of $641 million, offset by settlements of $146 million.
																				(Concluded)



	Year ended December 31, 2015
			Total realized and unrealized gains (losses)											Transfers
(In millions)	Beginning balance		Included in income			Included in OCI			Purchases		Sales			In		Out			Other			Ending balance		Total gains (losses) included in earnings¹
Assets
AFS securities
Fixed maturity
U.S. state, municipal and political subdivisions	$	52	$	(1	)	$	1		$	—	$	(35	)	$	—	$	—		$	(17	)	$	—	$	—
Foreign governments	—		—			—			—		—			—		—			17			17		—
Corporate	208		(1		)	(13		)	311		(81		)	225		(13		)	—			636		—
CLO	182		3			(9		)	112		—			337		(108		)	—			517		—
ABS	924		18			(35		)	367		(146		)	703		(18		)	—			1,813		—
CMBS	69		1			(2		)	25		(2		)	23		(47		)	—			67		—
RMBS	654		11			(15		)	91		(138		)	155		—			—			758		—
Equity securities	—		—			—			10		—			—		—			(1		)	9		—
Trading securities
Fixed maturity
U.S. state, municipal and political subdivisions	—		—			—			—		—			17		—			—			17		—
Corporate	—		—			—			—		—			16		—			—			16		—
CLO	146		(16		)	—			26		(48		)	—		—			—			108		(15		)
ABS	—		(2		)	—			100		—			—		—			—			98		(1		)
RMBS	—		(1		)	—			30		—			—		—			—			29		—
Mortgage loans	73		(3		)	—			—		(4		)	—		—			(18		)	48		(3		)
Funds withheld at interest – embedded derivative	127		(91		)	—			—		—			—		—			—			36		—
Investments in related parties
AFS securities
Fixed maturity
CLO	15		(1		)	(2		)	9		(8		)	—		(6		)	—			7		—
ABS	66		—			(1		)	—		(5		)	—		—			—			60		—
Trading securities, CLO	268		(29		)	—			51		(73		)	—		(26		)	—			191		(17		)
Reinsurance recoverable	2,460		(83		)	—			—		—			—		—			—			2,377		—
Total Level 3 assets	$	5,244	$	(195	)	$	(76	)	$	1,132	$	(540	)	$	1,476	$	(218	)	$	(19	)	$	6,804	$	(36	)
																								(Continued)



	Year ended December 31, 2015
				Total realized and unrealized gains (losses)									Transfers
(In millions)	Beginning balance			Included in income			Included in OCI		Purchases		Sales		In		Out		Other			Ending balance			Total gains (losses) included in earnings¹
Liabilities
Interest sensitive contract liabilities
Embedded derivative²	$	(4,437	)	$	158		$	—	$	—	$	—	$	—	$	—	$	(198	)	$	(4,477	)	$	—
Universal life liabilities	(1,417		)	(47		)	—		—		—		—		—		—			(1,464		)	—
Future policy benefits
AmerUs Closed Block	(1,715		)	134			—		—		—		—		—		—			(1,581		)	—
ILICO Closed Block and life benefits	(1,026		)	129			—		—		—		—		—		—			(897		)	—
Derivative liabilities	(8		)	1			—		—		—		—		—		—			(7		)	—
Total Level 3 liabilities	$	(8,603	)	$	375		$	—	$	—	$	—	$	—	$	—	$	(198	)	$	(8,426	)	$	—

¹Related to instruments held at end of period.
² Other activity represents the change in fair value due to issuances of $341 million, offset by settlements of $143 million.
																				(Concluded)

Summary of the Unobservable Inputs for the Embedded Derivative of Fixed Indexed Annuities

The following summarizes the unobservable inputs for the embedded derivatives of fixed indexed annuities:



	December 31, 2016
(In millions, except for percentages)	Fair value		Valuation technique	Unobservable inputs	Input/range of inputs					Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	5,283	Option budget method	Non-performance risk	0.7	%	–	1.5	%	Decrease
				Option budget	0.8	%	–	3.8	%	Increase
				Surrender rate	0.0	%	–	16.3	%	Decrease



	December 31, 2015
(In millions, except for percentages)	Fair value		Valuation technique	Unobservable inputs	Input/range of inputs					Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	4,477	Option budget method	Non-performance risk	0.6	%	–	1.8	%	Decrease
				Option budget	0.8	%	–	3.8	%	Increase
				Surrender rate	0.0	%	–	10.7	%	Decrease

Summary of Financial Instruments Not Carried at Fair Value on the Balance Sheet

The following represents our financial instruments not carried at fair value on the consolidated balance sheets:



		December 31,
		2016				2015
(In millions)	Fair Value Level	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Mortgage loans	3	$	5,426	$	5,560	$	5,452	$	5,567
Investment funds	NAV¹	590		590		581		581
Policy loans	2	602		602		642		642
Funds withheld at interest	3	6,398		6,398		3,446		3,446
Other investments	3	81		81		83		83
Investments in related parties
Investment funds	NAV¹	1,198		1,198		997		997
Short-term investments	2	—		—		55		55
Other investments	3	237		262		245		256
Total assets not carried at fair value		$	14,532	$	14,691	$	11,501	$	11,627
Liabilities
Interest sensitive contract liabilities²	3	$	27,628	$	26,600	$	23,645	$	22,963
Funds withheld liability	2	374		374		353		353
Total liabilities not carried at fair value		$	28,002	$	26,974	$	23,998	$	23,316

¹ Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy.
²During 2016, we changed the disclosure of interest sensitive contract liabilities to exclude insurance contracts, which are not required to be included. We determined contract types that meet the definition of insurance contracts include universal life and traditional fixed and fixed indexed annuities with significant mortality or morbidity risks. In previous periods, all contracts within interest sensitive contract liabilities not held at fair value were included. As such, the carrying and fair values reported for December 31, 2015, were adjusted to be comparable.

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details