Fair Value (Tables)
|
6 Months Ended |
Jun. 30, 2017 |
|---|
| Fair Value Disclosures [Abstract] |
|
| 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: | | | | | | | | | | | | | | | | | | | | | | June 30, 2017 | (In millions) | Total | | NAV1 | | Level 1 | | Level 2 | | Level 3 | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity securities | | | | | | | | | | U.S. government and agencies | $ | 57 |
| | $ | — |
| | $ | 28 |
| | $ | 29 |
| | $ | — |
| U.S. state, municipal and political subdivisions | 1,156 |
| | — |
| | — |
| | 1,156 |
| | — |
| Foreign governments | 2,213 |
| | — |
| | — |
| | 2,199 |
| | 14 |
| Corporate | 33,220 |
| | — |
| | — |
| | 32,768 |
| | 452 |
| CLO | 5,170 |
| | — |
| | — |
| | 5,089 |
| | 81 |
| ABS | 3,604 |
| | — |
| | — |
| | 2,511 |
| | 1,093 |
| CMBS | 1,865 |
| | — |
| | — |
| | 1,743 |
| | 122 |
| RMBS | 9,528 |
| | — |
| | — |
| | 9,216 |
| | 312 |
| Total AFS fixed maturity securities | 56,813 |
| | — |
| | 28 |
| | 54,711 |
| | 2,074 |
| Equity securities | 429 |
| | — |
| | 182 |
| | 241 |
| | 6 |
| Total AFS securities | 57,242 |
| | — |
| | 210 |
|
| 54,952 |
| | 2,080 |
| Trading securities | | | | | | | | | | Fixed maturity securities | | | | | | | | | | U.S. government and agencies | 3 |
| | — |
| | 3 |
| | — |
| | — |
| U.S. state, municipal and political subdivisions | 136 |
| | — |
| | — |
| | 119 |
| | 17 |
| Corporate | 1,479 |
| | — |
| | — |
| | 1,479 |
| | — |
| CLO | 27 |
| | — |
| | — |
| | 5 |
| | 22 |
| ABS | 87 |
| | — |
| | — |
| | 87 |
| | — |
| CMBS | 64 |
| | — |
| | — |
| | 64 |
| | — |
| RMBS | 418 |
| | — |
| | — |
| | 318 |
| | 100 |
| Total trading fixed maturity securities | 2,214 |
| | — |
| | 3 |
| | 2,072 |
| | 139 |
| Equity securities | 478 |
| | — |
| | — |
| | 478 |
| | — |
| Total trading securities | 2,692 |
| | — |
| | 3 |
| | 2,550 |
| | 139 |
| Mortgage loans | 43 |
| | — |
| | — |
| | — |
| | 43 |
| Investment funds | 94 |
| | 94 |
| | — |
| | — |
| | — |
| Funds withheld at interest – embedded derivative | 279 |
| | — |
| | — |
| | — |
| | 279 |
| Derivative assets | 1,808 |
| | — |
| | 6 |
| | 1,802 |
| | — |
| Short-term investments | 106 |
| | — |
| | 34 |
| | 72 |
| | — |
| Cash and cash equivalents | 3,478 |
| | — |
| | 3,478 |
| | — |
| | — |
| Restricted cash | 105 |
| | — |
| | 105 |
| | — |
| | — |
| Investments in related parties | | | | | | | | | | AFS, fixed maturity securities | | | | | | | | | | CLO | 283 |
| | — |
| | — |
| | 283 |
| | — |
| ABS | 54 |
| | — |
| | — |
| | 54 |
| | — |
| Total AFS securities – related party | 337 |
| | — |
| | — |
| | 337 |
| | — |
| Trading securities, CLO | 166 |
| | — |
| | — |
| | 43 |
| | 123 |
| Investment funds | 22 |
| | 22 |
| | — |
| | — |
| | — |
| Short-term investments | 28 |
| | — |
| | — |
| | — |
| | 28 |
| Reinsurance recoverable | 1,782 |
| | — |
| | — |
| | — |
| | 1,782 |
| Total assets measured at fair value | $ | 68,182 |
| | $ | 116 |
| | $ | 3,836 |
| | $ | 59,756 |
| | $ | 4,474 |
| | | | | | | | | | (Continued) |
|
| | | | | | | | | | | | | | | | | | | | | | June 30, 2017 | (In millions) | Total | | NAV1 | | Level 1 | | Level 2 | | Level 3 | Liabilities | | | | | | | | | | Interest sensitive contract liabilities |
|
| | | | | | | | | Embedded derivative | $ | 6,207 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 6,207 |
| Universal life benefits | 954 |
| | — |
| | — |
| | — |
| | 954 |
| Unit-linked contracts | 458 |
| | — |
| | — |
| | 458 |
| | — |
| Future policy benefits | | | | | | | | | | AmerUs Closed Block | 1,621 |
| | — |
| | — |
| | — |
| | 1,621 |
| ILICO Closed Block and life benefits | 812 |
| | — |
| | — |
| | — |
| | 812 |
| Derivative liabilities | 63 |
| | — |
| | 1 |
| | 56 |
| | 6 |
| Funds withheld liability – embedded derivative | 15 |
| | — |
| | — |
| | 15 |
| | — |
| Total liabilities measured at fair value | $ | 10,130 |
| | $ | — |
| | $ | 1 |
| | $ | 529 |
| | $ | 9,600 |
| | | | | | | | | | | 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, 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 |
| | | | | | | | | | (Continued) |
|
| | | | | | | | | | | | | | | | | | | | | | December 31, 2016 | (In millions) | Total | | NAV1 | | Level 1 | | Level 2 | | Level 3 | 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 |
| 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) |
|
|
| Summary of Fair Value Option |
The following represents the gains (losses) recorded for instruments for which we have elected the fair value option: | | | | | | | | | | | | | | | | | | Three months ended June 30, | | Six months ended June 30, | (In millions) | 2017 | | 2016 | | 2017 | | 2016 | Trading securities | $ | 44 |
| | $ | 53 |
| | $ | 46 |
| | $ | 65 |
| Investment funds | 7 |
| | (3 | ) | | 14 |
| | — |
| Future policy benefits | (19 | ) | | (48 | ) | | (15 | ) | | (101 | ) | Total gains (losses) | $ | 32 |
| | $ | 2 |
| | $ | 45 |
| | $ | (36 | ) |
The following summarizes information for fair value option mortgage loans: | | | | | | | | | (In millions) | June 30, 2017 | | December 31, 2016 | Unpaid principal balance | $ | 41 |
| | $ | 42 |
| Mark to fair value | 2 |
| | 2 |
| Fair value | $ | 43 |
| | $ | 44 |
|
|
| 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2017 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning Balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | (Out) | | Ending Balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 13 |
| | $ | 1 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 14 |
| | $ | — |
| Corporate | 490 |
| | 3 |
| | 4 |
| | 28 |
| | — |
| | (73 | ) | | 452 |
| | — |
| CLO | 100 |
| | — |
| | 4 |
| | 17 |
| | 11 |
| | (51 | ) | | 81 |
| | — |
| ABS | 1,222 |
| | 5 |
| | 3 |
| | 11 |
| | — |
| | (148 | ) | | 1,093 |
| | — |
| CMBS | 147 |
| | 1 |
| | — |
| | 13 |
| | 48 |
| | (87 | ) | | 122 |
| | — |
| RMBS | 60 |
| | 1 |
| | 2 |
| | 6 |
| | 243 |
| | — |
| | 312 |
| | — |
| Equity securities | 5 |
| | — |
| | — |
| | 1 |
| | — |
| | — |
| | 6 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| CLO | 27 |
| | — |
| | — |
| | — |
| | — |
| | (5 | ) | | 22 |
| | 1 |
| RMBS | 82 |
| | (4 | ) | | — |
| | 22 |
| | — |
| | — |
| | 100 |
| | — |
| Mortgage loans | 44 |
| | — |
| | — |
| | (1) |
| | — |
| | — |
| | 43 |
| | — |
| Funds withheld at interest – embedded derivative | 212 |
| | 67 |
| | — |
| | — |
| | — |
| | — |
| | 279 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | Trading securities, CLO | 131 |
| | 5 |
| | — |
| | (12 | ) | | 31 |
| | (32 | ) | | 123 |
| | 5 |
| Short-term investments | 20 |
| | — |
| | — |
| | 8 |
| | — |
| | — |
| | 28 |
| | — |
| Reinsurance recoverable | 1,738 |
| | 44 |
| | — |
| | — |
| | — |
| | — |
| | 1,782 |
| | — |
| Total Level 3 assets | $ | 4,308 |
| | $ | 123 |
| | $ | 13 |
| | $ | 93 |
| | $ | 333 |
| | $ | (396 | ) | | $ | 4,474 |
| | $ | 6 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (5,793 | ) | | $ | (302 | ) | | $ | — |
| | $ | (112 | ) | | $ | — |
| | $ | — |
| | $ | (6,207 | ) | | $ | — |
| Universal life liabilities | (910 | ) | | (44 | ) | | — |
| | — |
| | — |
| | — |
| | (954 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,602 | ) | | (19 | ) | | — |
| | — |
| | — |
| | — |
| | (1,621 | ) | | — |
| ILICO Closed Block and life benefits | (813 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (812 | ) | | — |
| Derivative liabilities | (7 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (6 | ) | | — |
| Total Level 3 liabilities | $ | (9,125 | ) | | $ | (363 | ) | | $ | — |
| | $ | (112 | ) | | $ | — |
| | $ | — |
| | $ | (9,600 | ) | | $ | — |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2016 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | Out | | Ending balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 17 |
| | $ | — |
| | $ | (1 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 16 |
| | $ | — |
| Corporate | 449 |
| | 3 |
| | 3 |
| | 3 |
| | 35 |
| | (91 | ) | | 402 |
| | — |
| CLO | 1,037 |
| | 1 |
| | 53 |
| | 17 |
| | 89 |
| | (912 | ) | | 285 |
| | — |
| ABS | 1,361 |
| | 24 |
| | 1 |
| | (86 | ) | | 2 |
| | (64 | ) | | 1,238 |
| | — |
| CMBS | 83 |
| | — |
| | 3 |
| | — |
| | 50 |
| | (56 | ) | | 80 |
| | — |
| RMBS | 689 |
| | — |
| | 13 |
| | (32 | ) | | — |
| | (670 | ) | | — |
| | — |
| Equity securities | 10 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 10 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| Corporate | — |
| — |
| — |
| | — |
| | — |
| | 1 |
| | — |
| | 1 |
| | — |
| CLO | 97 |
| | 8 |
| | — |
| | (1 | ) | | — |
| | — |
| | 104 |
| | 12 |
| ABS | 96 |
| | (7 | ) | | — |
| | — |
| | — |
| | — |
| | 89 |
| | — |
| RMBS | 71 |
| | — |
| | — |
| | 61 |
| | — |
| | (10 | ) | | 122 |
| | 3 |
| Mortgage loans | 45 |
| | 1 |
| | — |
| | (1 | ) | | — |
| | — |
| | 45 |
| | — |
| Funds withheld at interest – embedded derivative | 37 |
| | 85 |
| | — |
| | — |
| | — |
| | — |
| | 122 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | CLO | 46 |
| | — |
| | 1 |
| | — |
| | — |
| | (47 | ) | | — |
| | — |
| ABS | 59 |
| | — |
| | — |
| | (1 | ) | | — |
| | — |
| | 58 |
| | — |
| Trading securities, CLO | 213 |
| | (10 | ) | | — |
| | 8 |
| | — |
| | — |
| | 211 |
| | 6 |
| Reinsurance recoverable | 2,012 |
| | (114 | ) | | — |
| | — |
| | — |
| | — |
| | 1,898 |
| | — |
| Total Level 3 assets | $ | 6,339 |
| | $ | (9 | ) | | $ | 73 |
| | $ | (32 | ) | | $ | 177 |
| | $ | (1,850 | ) | | $ | 4,698 |
| | $ | 21 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (4,583 | ) | | $ | (132 | ) | | $ | — |
| | $ | (92 | ) | | $ | — |
| | $ | — |
| | $ | (4,807 | ) | | $ | — |
| Universal life liabilities | (1,119 | ) | | 60 |
| | — |
| | — |
| | — |
| | — |
| | (1,059 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,634 | ) | | (48 | ) | | — |
| | — |
| | — |
| | — |
| | (1,682 | ) | | — |
| ILICO Closed Block and life benefits | (877 | ) | | 54 |
| | — |
| | — |
| | — |
| | — |
| | (823 | ) | | — |
| Derivative liabilities | (8 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | (8 | ) | | — |
| Total Level 3 liabilities | $ | (8,221 | ) | | $ | (66 | ) | | $ | — |
| | $ | (92 | ) | | $ | — |
| | $ | — |
| | $ | (8,379 | ) | | $ | — |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2017 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning Balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | (Out) | | Ending Balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | $ | 5 |
| | $ | 16 |
| | $ | (1 | ) | | $ | (20 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| Foreign governments | 14 |
| | 1 |
| | — |
| | (1 | ) | | — |
| | — |
| | 14 |
| | — |
| Corporate | 370 |
| | 4 |
| | 10 |
| | 105 |
| | — |
| | (37 | ) | | 452 |
| | — |
| CLO | 158 |
| | — |
| | 9 |
| | 7 |
| | 11 |
| | (104 | ) | | 81 |
| | — |
| ABS | 1,160 |
| | 9 |
| | 17 |
| | 42 |
| | — |
| | (135 | ) | | 1,093 |
| | — |
| CMBS | 152 |
| | 1 |
| | (3 | ) | | 13 |
| | 17 |
| | (58 | ) | | 122 |
| | — |
| RMBS | 17 |
| | 1 |
| | — |
| | 6 |
| | 296 |
| | (8 | ) | | 312 |
| | — |
| Equity securities | 5 |
| | — |
| | — |
| | 1 |
| | — |
| | — |
| | 6 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| CLO | 43 |
| | (1 | ) | | — |
| | (15 | ) | | — |
| | (5 | ) | | 22 |
| | 2 |
| RMBS | 96 |
| | (9 | ) | | — |
| | 24 |
| | — |
| | (11 | ) | | 100 |
| | (1 | ) | Mortgage loans | 44 |
| | — |
| | — |
| | (1 | ) | | — |
| | — |
| | 43 |
| | — |
| Funds withheld at interest – embedded derivative | 140 |
| | 139 |
| | — |
| | — |
| | — |
| | — |
| | 279 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | ABS | 56 |
| | — |
| | 1 |
| | (4 | ) | | — |
| | (53 | ) | | — |
| | — |
| Trading securities, CLO | 195 |
| | (3 | ) | | — |
| | (26 | ) | | — |
| | (43 | ) | | 123 |
| | (1 | ) | Short-term investments | — |
| | — |
| | — |
| | 28 |
| | — |
| | — |
| | 28 |
| | — |
| Reinsurance recoverable | 1,692 |
| | 90 |
| | — |
| | — |
| | — |
| | — |
| | 1,782 |
| | — |
| Total Level 3 assets | $ | 4,164 |
| | $ | 248 |
| | $ | 33 |
| | $ | 159 |
| | $ | 324 |
| | $ | (454 | ) | | $ | 4,474 |
| | $ | — |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (5,283 | ) | | $ | (733 | ) | | $ | — |
| | $ | (191 | ) | | $ | — |
| | $ | — |
| | $ | (6,207 | ) | | $ | — |
| Universal life liabilities | (883 | ) | | (71 | ) | | — |
| | — |
| | — |
| | — |
| | (954 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,606 | ) | | (15 | ) | | — |
| | — |
| | — |
| | — |
| | (1,621 | ) | | — |
| ILICO Closed Block and life benefits | (794 | ) | | (18 | ) | | — |
| | — |
| | — |
| | — |
| | (812 | ) | | — |
| Derivative liabilities | (7 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (6 | ) | | 1 |
| Total Level 3 liabilities | $ | (8,573 | ) | | $ | (836 | ) | | $ | — |
| | $ | (191 | ) | | $ | — |
| | $ | — |
| | $ | (9,600 | ) | | $ | 1 |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2016 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | Out | | Ending balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 17 |
| | $ | 1 |
| | $ | (1 | ) | | $ | (1 | ) | | $ | — |
| | $ | — |
| | $ | 16 |
| | $ | — |
| Corporate | 636 |
| | 3 |
| | 19 |
| | (16 | ) | | 47 |
| | (287 | ) | | 402 |
| | — |
| CLO | 517 |
| | 2 |
| | (1 | ) | | 16 |
| | 136 |
| | (385 | ) | | 285 |
| | — |
| ABS | 1,813 |
| | 76 |
| | (13 | ) | | (615 | ) | | 105 |
| | (128 | ) | | 1,238 |
| | — |
| CMBS | 67 |
| | — |
| | 1 |
| | 7 |
| | 50 |
| | (45 | ) | | 80 |
| | — |
| RMBS | 758 |
| | 1 |
| | 6 |
| | (108 | ) | | — |
| | (657 | ) | | — |
| | — |
| Equity securities | 9 |
| | — |
| | 1 |
| | — |
| | — |
| | — |
| | 10 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| Corporate | 16 |
| | — |
| | — |
| | (4 | ) | | 1 |
| | (12 | ) | | 1 |
| | 4 |
| CLO | 108 |
| | (3 | ) | | — |
| | (1 | ) | | — |
| | — |
| | 104 |
| | 4 |
| ABS | 98 |
| | (9 | ) | | — |
| | — |
| | — |
| | — |
| | 89 |
| | — |
| RMBS | 29 |
| | (2 | ) | | — |
| | 100 |
| | — |
| | (5 | ) | | 122 |
| | 2 |
| Mortgage loans | 48 |
| | — |
| | — |
| | (3 | ) | | — |
| | — |
| | 45 |
| | — |
| Funds withheld at interest – embedded derivative | 36 |
| | 86 |
| | — |
| | — |
| | — |
| | — |
| | 122 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | CLO | 7 |
| | — |
| | (1 | ) | | — |
| | — |
| | (6 | ) | | — |
| | — |
| ABS | 60 |
| | — |
| | — |
| | (2 | ) | | — |
| | — |
| | 58 |
| | — |
| Trading securities, CLO | 191 |
| | (23 | ) | | — |
| | 17 |
| | 26 |
| | — |
| | 211 |
| | 16 |
| Reinsurance recoverable | 2,377 |
| | (479 | ) | | — |
| | — |
| | — |
| | — |
| | 1,898 |
| | — |
| Total Level 3 assets | $ | 6,804 |
| | $ | (347 | ) | | $ | 11 |
| | $ | (610 | ) | | $ | 365 |
| | $ | (1,525 | ) | | $ | 4,698 |
| | $ | 26 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (4,464 | ) | | $ | (147 | ) | | $ | — |
| | $ | (196 | ) | | $ | — |
| | $ | — |
| | $ | (4,807 | ) | | $ | — |
| Universal life liabilities | (1,464 | ) | | 405 |
| | — |
| | — |
| | — |
| | — |
| | (1,059 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,581 | ) | | (101 | ) | | — |
| | — |
| | — |
| | — |
| | (1,682 | ) | | — |
| ILICO Closed Block and life benefits | (897 | ) | | 74 |
| | — |
| | — |
| | — |
| | — |
| | (823 | ) | | — |
| Derivative liabilities | (7 | ) | | (1 | ) | | — |
| | — |
| | — |
| | — |
| | (8 | ) | | (1 | ) | Total Level 3 liabilities | $ | (8,413 | ) | | $ | 230 |
| | $ | — |
| | $ | (196 | ) | | $ | — |
| | $ | — |
| | $ | (8,379 | ) | | $ | (1 | ) | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2017 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Corporate | $ | 30 |
| | $ | — |
| | $ | (1 | ) | | $ | (1 | ) | | $ | 28 |
| CLO | 24 |
| | — |
| | (5 | ) | | (2 | ) | | 17 |
| ABS | 99 |
| | — |
| | — |
| | (88 | ) | | 11 |
| CMBS | 13 |
| | — |
| | — |
| | — |
| | 13 |
| RMBS | 7 |
| | — |
| | — |
| | (1 | ) | | 6 |
| Equity securities | 1 |
| | — |
| | — |
| | — |
| | 1 |
| Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | RMBS | 22 |
| | — |
| | — |
| | — |
| | 22 |
| Mortgage loans | — |
| | — |
| | — |
| | (1) |
| | (1 | ) | Investments in related parties | | | | | | | | | | Trading securities, CLO | — |
| | — |
| | (12 | ) | | — |
| | (12 | ) | Short-term investments | 8 |
| | — |
| | — |
| | — |
| | 8 |
| Total Level 3 assets | $ | 204 |
| | $ | — |
| | $ | (18 | ) | | $ | (93 | ) | | $ | 93 |
| | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (160 | ) | | $ | — |
| | $ | 48 |
| | $ | (112 | ) | Total Level 3 liabilities | $ | — |
| | $ | (160 | ) | | $ | — |
| | $ | 48 |
| | $ | (112 | ) |
| | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2016 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Corporate | $ | 28 |
| | $ | — |
| | $ | (23 | ) | | $ | (2 | ) | | $ | 3 |
| CLO | 20 |
| | — |
| | (3 | ) | | — |
| | 17 |
| ABS | 216 |
| | — |
| | (34 | ) | | (268 | ) | | (86 | ) | RMBS | — |
| | — |
| | — |
| | (32 | ) | | (32 | ) | Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | CLO | — |
| | — |
| | (1 | ) | | — |
| | (1 | ) | RMBS | 61 |
| | — |
| | — |
| | — |
| | 61 |
| Mortgage loans | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Investments in related parties | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | ABS | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Trading securities, CLO | 8 |
| | — |
| | — |
| | — |
| | 8 |
| Total Level 3 assets | $ | 333 |
| | $ | — |
| | $ | (61 | ) | | $ | (304 | ) | | $ | (32 | ) | | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (129 | ) | | $ | — |
| | $ | 37 |
| | $ | (92 | ) | Total Level 3 liabilities | $ | — |
| | $ | (129 | ) | | $ | — |
| | $ | 37 |
| | $ | (92 | ) |
|
| 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: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2017 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning Balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | (Out) | | Ending Balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 13 |
| | $ | 1 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 14 |
| | $ | — |
| Corporate | 490 |
| | 3 |
| | 4 |
| | 28 |
| | — |
| | (73 | ) | | 452 |
| | — |
| CLO | 100 |
| | — |
| | 4 |
| | 17 |
| | 11 |
| | (51 | ) | | 81 |
| | — |
| ABS | 1,222 |
| | 5 |
| | 3 |
| | 11 |
| | — |
| | (148 | ) | | 1,093 |
| | — |
| CMBS | 147 |
| | 1 |
| | — |
| | 13 |
| | 48 |
| | (87 | ) | | 122 |
| | — |
| RMBS | 60 |
| | 1 |
| | 2 |
| | 6 |
| | 243 |
| | — |
| | 312 |
| | — |
| Equity securities | 5 |
| | — |
| | — |
| | 1 |
| | — |
| | — |
| | 6 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| CLO | 27 |
| | — |
| | — |
| | — |
| | — |
| | (5 | ) | | 22 |
| | 1 |
| RMBS | 82 |
| | (4 | ) | | — |
| | 22 |
| | — |
| | — |
| | 100 |
| | — |
| Mortgage loans | 44 |
| | — |
| | — |
| | (1) |
| | — |
| | — |
| | 43 |
| | — |
| Funds withheld at interest – embedded derivative | 212 |
| | 67 |
| | — |
| | — |
| | — |
| | — |
| | 279 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | Trading securities, CLO | 131 |
| | 5 |
| | — |
| | (12 | ) | | 31 |
| | (32 | ) | | 123 |
| | 5 |
| Short-term investments | 20 |
| | — |
| | — |
| | 8 |
| | — |
| | — |
| | 28 |
| | — |
| Reinsurance recoverable | 1,738 |
| | 44 |
| | — |
| | — |
| | — |
| | — |
| | 1,782 |
| | — |
| Total Level 3 assets | $ | 4,308 |
| | $ | 123 |
| | $ | 13 |
| | $ | 93 |
| | $ | 333 |
| | $ | (396 | ) | | $ | 4,474 |
| | $ | 6 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (5,793 | ) | | $ | (302 | ) | | $ | — |
| | $ | (112 | ) | | $ | — |
| | $ | — |
| | $ | (6,207 | ) | | $ | — |
| Universal life liabilities | (910 | ) | | (44 | ) | | — |
| | — |
| | — |
| | — |
| | (954 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,602 | ) | | (19 | ) | | — |
| | — |
| | — |
| | — |
| | (1,621 | ) | | — |
| ILICO Closed Block and life benefits | (813 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (812 | ) | | — |
| Derivative liabilities | (7 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (6 | ) | | — |
| Total Level 3 liabilities | $ | (9,125 | ) | | $ | (363 | ) | | $ | — |
| | $ | (112 | ) | | $ | — |
| | $ | — |
| | $ | (9,600 | ) | | $ | — |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2016 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | Out | | Ending balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 17 |
| | $ | — |
| | $ | (1 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 16 |
| | $ | — |
| Corporate | 449 |
| | 3 |
| | 3 |
| | 3 |
| | 35 |
| | (91 | ) | | 402 |
| | — |
| CLO | 1,037 |
| | 1 |
| | 53 |
| | 17 |
| | 89 |
| | (912 | ) | | 285 |
| | — |
| ABS | 1,361 |
| | 24 |
| | 1 |
| | (86 | ) | | 2 |
| | (64 | ) | | 1,238 |
| | — |
| CMBS | 83 |
| | — |
| | 3 |
| | — |
| | 50 |
| | (56 | ) | | 80 |
| | — |
| RMBS | 689 |
| | — |
| | 13 |
| | (32 | ) | | — |
| | (670 | ) | | — |
| | — |
| Equity securities | 10 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 10 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| Corporate | — |
| — |
| — |
| | — |
| | — |
| | 1 |
| | — |
| | 1 |
| | — |
| CLO | 97 |
| | 8 |
| | — |
| | (1 | ) | | — |
| | — |
| | 104 |
| | 12 |
| ABS | 96 |
| | (7 | ) | | — |
| | — |
| | — |
| | — |
| | 89 |
| | — |
| RMBS | 71 |
| | — |
| | — |
| | 61 |
| | — |
| | (10 | ) | | 122 |
| | 3 |
| Mortgage loans | 45 |
| | 1 |
| | — |
| | (1 | ) | | — |
| | — |
| | 45 |
| | — |
| Funds withheld at interest – embedded derivative | 37 |
| | 85 |
| | — |
| | — |
| | — |
| | — |
| | 122 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | CLO | 46 |
| | — |
| | 1 |
| | — |
| | — |
| | (47 | ) | | — |
| | — |
| ABS | 59 |
| | — |
| | — |
| | (1 | ) | | — |
| | — |
| | 58 |
| | — |
| Trading securities, CLO | 213 |
| | (10 | ) | | — |
| | 8 |
| | — |
| | — |
| | 211 |
| | 6 |
| Reinsurance recoverable | 2,012 |
| | (114 | ) | | — |
| | — |
| | — |
| | — |
| | 1,898 |
| | — |
| Total Level 3 assets | $ | 6,339 |
| | $ | (9 | ) | | $ | 73 |
| | $ | (32 | ) | | $ | 177 |
| | $ | (1,850 | ) | | $ | 4,698 |
| | $ | 21 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (4,583 | ) | | $ | (132 | ) | | $ | — |
| | $ | (92 | ) | | $ | — |
| | $ | — |
| | $ | (4,807 | ) | | $ | — |
| Universal life liabilities | (1,119 | ) | | 60 |
| | — |
| | — |
| | — |
| | — |
| | (1,059 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,634 | ) | | (48 | ) | | — |
| | — |
| | — |
| | — |
| | (1,682 | ) | | — |
| ILICO Closed Block and life benefits | (877 | ) | | 54 |
| | — |
| | — |
| | — |
| | — |
| | (823 | ) | | — |
| Derivative liabilities | (8 | ) | | — |
| | — |
| | — |
| | — |
| | — |
| | (8 | ) | | — |
| Total Level 3 liabilities | $ | (8,221 | ) | | $ | (66 | ) | | $ | — |
| | $ | (92 | ) | | $ | — |
| | $ | — |
| | $ | (8,379 | ) | | $ | — |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2017 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning Balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | (Out) | | Ending Balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | $ | 5 |
| | $ | 16 |
| | $ | (1 | ) | | $ | (20 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| Foreign governments | 14 |
| | 1 |
| | — |
| | (1 | ) | | — |
| | — |
| | 14 |
| | — |
| Corporate | 370 |
| | 4 |
| | 10 |
| | 105 |
| | — |
| | (37 | ) | | 452 |
| | — |
| CLO | 158 |
| | — |
| | 9 |
| | 7 |
| | 11 |
| | (104 | ) | | 81 |
| | — |
| ABS | 1,160 |
| | 9 |
| | 17 |
| | 42 |
| | — |
| | (135 | ) | | 1,093 |
| | — |
| CMBS | 152 |
| | 1 |
| | (3 | ) | | 13 |
| | 17 |
| | (58 | ) | | 122 |
| | — |
| RMBS | 17 |
| | 1 |
| | — |
| | 6 |
| | 296 |
| | (8 | ) | | 312 |
| | — |
| Equity securities | 5 |
| | — |
| | — |
| | 1 |
| | — |
| | — |
| | 6 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| CLO | 43 |
| | (1 | ) | | — |
| | (15 | ) | | — |
| | (5 | ) | | 22 |
| | 2 |
| RMBS | 96 |
| | (9 | ) | | — |
| | 24 |
| | — |
| | (11 | ) | | 100 |
| | (1 | ) | Mortgage loans | 44 |
| | — |
| | — |
| | (1 | ) | | — |
| | — |
| | 43 |
| | — |
| Funds withheld at interest – embedded derivative | 140 |
| | 139 |
| | — |
| | — |
| | — |
| | — |
| | 279 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | ABS | 56 |
| | — |
| | 1 |
| | (4 | ) | | — |
| | (53 | ) | | — |
| | — |
| Trading securities, CLO | 195 |
| | (3 | ) | | — |
| | (26 | ) | | — |
| | (43 | ) | | 123 |
| | (1 | ) | Short-term investments | — |
| | — |
| | — |
| | 28 |
| | — |
| | — |
| | 28 |
| | — |
| Reinsurance recoverable | 1,692 |
| | 90 |
| | — |
| | — |
| | — |
| | — |
| | 1,782 |
| | — |
| Total Level 3 assets | $ | 4,164 |
| | $ | 248 |
| | $ | 33 |
| | $ | 159 |
| | $ | 324 |
| | $ | (454 | ) | | $ | 4,474 |
| | $ | — |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (5,283 | ) | | $ | (733 | ) | | $ | — |
| | $ | (191 | ) | | $ | — |
| | $ | — |
| | $ | (6,207 | ) | | $ | — |
| Universal life liabilities | (883 | ) | | (71 | ) | | — |
| | — |
| | — |
| | — |
| | (954 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,606 | ) | | (15 | ) | | — |
| | — |
| | — |
| | — |
| | (1,621 | ) | | — |
| ILICO Closed Block and life benefits | (794 | ) | | (18 | ) | | — |
| | — |
| | — |
| | — |
| | (812 | ) | | — |
| Derivative liabilities | (7 | ) | | 1 |
| | — |
| | — |
| | — |
| | — |
| | (6 | ) | | 1 |
| Total Level 3 liabilities | $ | (8,573 | ) | | $ | (836 | ) | | $ | — |
| | $ | (191 | ) | | $ | — |
| | $ | — |
| | $ | (9,600 | ) | | $ | 1 |
| | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2016 | | | | Total realized and unrealized gains (losses) | | | | Transfers | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Purchases, issuances, sales and settlements, net | | In | | Out | | Ending balance | | Total gains (losses) included in earnings1 | Assets | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | Foreign governments | $ | 17 |
| | $ | 1 |
| | $ | (1 | ) | | $ | (1 | ) | | $ | — |
| | $ | — |
| | $ | 16 |
| | $ | — |
| Corporate | 636 |
| | 3 |
| | 19 |
| | (16 | ) | | 47 |
| | (287 | ) | | 402 |
| | — |
| CLO | 517 |
| | 2 |
| | (1 | ) | | 16 |
| | 136 |
| | (385 | ) | | 285 |
| | — |
| ABS | 1,813 |
| | 76 |
| | (13 | ) | | (615 | ) | | 105 |
| | (128 | ) | | 1,238 |
| | — |
| CMBS | 67 |
| | — |
| | 1 |
| | 7 |
| | 50 |
| | (45 | ) | | 80 |
| | — |
| RMBS | 758 |
| | 1 |
| | 6 |
| | (108 | ) | | — |
| | (657 | ) | | — |
| | — |
| Equity securities | 9 |
| | — |
| | 1 |
| | — |
| | — |
| | — |
| | 10 |
| | — |
| Trading securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | U.S. state, municipal and political subdivisions | 17 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 17 |
| | — |
| Corporate | 16 |
| | — |
| | — |
| | (4 | ) | | 1 |
| | (12 | ) | | 1 |
| | 4 |
| CLO | 108 |
| | (3 | ) | | — |
| | (1 | ) | | — |
| | — |
| | 104 |
| | 4 |
| ABS | 98 |
| | (9 | ) | | — |
| | — |
| | — |
| | — |
| | 89 |
| | — |
| RMBS | 29 |
| | (2 | ) | | — |
| | 100 |
| | — |
| | (5 | ) | | 122 |
| | 2 |
| Mortgage loans | 48 |
| | — |
| | — |
| | (3 | ) | | — |
| | — |
| | 45 |
| | — |
| Funds withheld at interest – embedded derivative | 36 |
| | 86 |
| | — |
| | — |
| | — |
| | — |
| | 122 |
| | — |
| Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Fixed maturity | | | | | | | | | | | | | | | | CLO | 7 |
| | — |
| | (1 | ) | | — |
| | — |
| | (6 | ) | | — |
| | — |
| ABS | 60 |
| | — |
| | — |
| | (2 | ) | | — |
| | — |
| | 58 |
| | — |
| Trading securities, CLO | 191 |
| | (23 | ) | | — |
| | 17 |
| | 26 |
| | — |
| | 211 |
| | 16 |
| Reinsurance recoverable | 2,377 |
| | (479 | ) | | — |
| | — |
| | — |
| | — |
| | 1,898 |
| | — |
| Total Level 3 assets | $ | 6,804 |
| | $ | (347 | ) | | $ | 11 |
| | $ | (610 | ) | | $ | 365 |
| | $ | (1,525 | ) | | $ | 4,698 |
| | $ | 26 |
| | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (4,464 | ) | | $ | (147 | ) | | $ | — |
| | $ | (196 | ) | | $ | — |
| | $ | — |
| | $ | (4,807 | ) | | $ | — |
| Universal life liabilities | (1,464 | ) | | 405 |
| | — |
| | — |
| | — |
| | — |
| | (1,059 | ) | | — |
| Future policy benefits | | | | | | | | | | | | | | | | AmerUs Closed Block | (1,581 | ) | | (101 | ) | | — |
| | — |
| | — |
| | — |
| | (1,682 | ) | | — |
| ILICO Closed Block and life benefits | (897 | ) | | 74 |
| | — |
| | — |
| | — |
| | — |
| | (823 | ) | | — |
| Derivative liabilities | (7 | ) | | (1 | ) | | — |
| | — |
| | — |
| | — |
| | (8 | ) | | (1 | ) | Total Level 3 liabilities | $ | (8,413 | ) | | $ | 230 |
| | $ | — |
| | $ | (196 | ) | | $ | — |
| | $ | — |
| | $ | (8,379 | ) | | $ | (1 | ) | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. |
| | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2017 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Corporate | $ | 30 |
| | $ | — |
| | $ | (1 | ) | | $ | (1 | ) | | $ | 28 |
| CLO | 24 |
| | — |
| | (5 | ) | | (2 | ) | | 17 |
| ABS | 99 |
| | — |
| | — |
| | (88 | ) | | 11 |
| CMBS | 13 |
| | — |
| | — |
| | — |
| | 13 |
| RMBS | 7 |
| | — |
| | — |
| | (1 | ) | | 6 |
| Equity securities | 1 |
| | — |
| | — |
| | — |
| | 1 |
| Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | RMBS | 22 |
| | — |
| | — |
| | — |
| | 22 |
| Mortgage loans | — |
| | — |
| | — |
| | (1) |
| | (1 | ) | Investments in related parties | | | | | | | | | | Trading securities, CLO | — |
| | — |
| | (12 | ) | | — |
| | (12 | ) | Short-term investments | 8 |
| | — |
| | — |
| | — |
| | 8 |
| Total Level 3 assets | $ | 204 |
| | $ | — |
| | $ | (18 | ) | | $ | (93 | ) | | $ | 93 |
| | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (160 | ) | | $ | — |
| | $ | 48 |
| | $ | (112 | ) | Total Level 3 liabilities | $ | — |
| | $ | (160 | ) | | $ | — |
| | $ | 48 |
| | $ | (112 | ) |
| | | | | | | | | | | | | | | | | | | | | | Three months ended June 30, 2016 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Corporate | $ | 28 |
| | $ | — |
| | $ | (23 | ) | | $ | (2 | ) | | $ | 3 |
| CLO | 20 |
| | — |
| | (3 | ) | | — |
| | 17 |
| ABS | 216 |
| | — |
| | (34 | ) | | (268 | ) | | (86 | ) | RMBS | — |
| | — |
| | — |
| | (32 | ) | | (32 | ) | Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | CLO | — |
| | — |
| | (1 | ) | | — |
| | (1 | ) | RMBS | 61 |
| | — |
| | — |
| | — |
| | 61 |
| Mortgage loans | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Investments in related parties | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | ABS | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Trading securities, CLO | 8 |
| | — |
| | — |
| | — |
| | 8 |
| Total Level 3 assets | $ | 333 |
| | $ | — |
| | $ | (61 | ) | | $ | (304 | ) | | $ | (32 | ) | | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (129 | ) | | $ | — |
| | $ | 37 |
| | $ | (92 | ) | Total Level 3 liabilities | $ | — |
| | $ | (129 | ) | | $ | — |
| | $ | 37 |
| | $ | (92 | ) |
|
| Gross Components of Purchases, Sales, Issuances and Settlements, net |
The following represents the gross components of purchases, issuances, sales and settlements, net, shown above: | | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2017 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | U.S. state, municipal and political subdivisions | $ | — |
| | $ | — |
| | $ | — |
| | $ | (20 | ) | | $ | (20 | ) | Foreign governments | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Corporate | 110 |
| | — |
| | (2 | ) | | (3 | ) | | 105 |
| CLO | 24 |
| | — |
| | (2 | ) | | (15 | ) | | 7 |
| ABS | 182 |
| | — |
| | — |
| | (140 | ) | | 42 |
| CMBS | 13 |
| | — |
| | — |
| | — |
| | 13 |
| RMBS | 7 |
| | — |
| | — |
| | (1 | ) | | 6 |
| Equity securities | 1 |
| | — |
| | — |
| | — |
| | 1 |
| Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | CLO | — |
| | — |
| | (15 | ) | | — |
| | (15 | ) | RMBS | 24 |
| | — |
| | — |
| | — |
| | 24 |
| Mortgage loans | — |
| | — |
| | — |
| | (1 | ) | | (1 | ) | Investments in related parties | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | ABS | 5 |
| | — |
| | — |
| | (9 | ) | | (4 | ) | Trading securities, CLO | — |
| | — |
| | (26 | ) | | — |
| | (26 | ) | Short-term investments | 28 |
| | — |
| | — |
| | — |
| | 28 |
| Total Level 3 assets | $ | 394 |
| | $ | — |
| | $ | (45 | ) | | $ | (190 | ) | | $ | 159 |
| | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (270 | ) | | $ | — |
| | $ | 79 |
| | $ | (191 | ) | Total Level 3 liabilities | $ | — |
| | $ | (270 | ) | | $ | — |
| | $ | 79 |
| | $ | (191 | ) |
| | | | | | | | | | | | | | | | | | | | | | Six months ended June 30, 2016 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Purchases, issuances, sales and settlements, net | Assets | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Foreign governments | $ | — |
| | $ | — |
| | $ | — |
| | $ | (1 | ) | | $ | (1 | ) | Corporate | 40 |
| | — |
| | (54 | ) | | (2 | ) | | (16 | ) | CLO | 19 |
| | — |
| | (3 | ) | | — |
| | 16 |
| ABS | 239 |
| | — |
| | (34 | ) | | (820 | ) | | (615 | ) | CMBS | 7 |
| | — |
| | — |
| | — |
| | 7 |
| RMBS | — |
| | — |
| | — |
| | (108 | ) | | (108 | ) | Trading securities | | | | | | | | | | Fixed maturity | | | | | | | | | | Corporate | — |
| | — |
| | (4 | ) | | — |
| | (4 | ) | CLO | — |
| | — |
| | (1 | ) | | — |
| | (1 | ) | RMBS | 100 |
| | — |
| | — |
| | — |
| | 100 |
| Mortgage loans | — |
| | — |
| | — |
| | (3 | ) | | (3 | ) | Investments in related parties | | | | | | | | | | AFS securities | | | | | | | | | | Fixed maturity | | | | | | | | | | ABS | — |
| | — |
| | — |
| | (2 | ) | | (2 | ) | Trading securities, CLO | 33 |
| | — |
| | (16 | ) | | — |
| | 17 |
| Total Level 3 assets | $ | 438 |
| | $ | — |
| | $ | (112 | ) | | $ | (936 | ) | | $ | (610 | ) | | | | | | | | | | | Liabilities | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | $ | — |
| | $ | (273 | ) | | $ | — |
| | $ | 77 |
| | $ | (196 | ) | Total Level 3 liabilities | $ | — |
| | $ | (273 | ) | | $ | — |
| | $ | 77 |
| | $ | (196 | ) |
|
| 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: | | | | | | | | | | | | | June 30, 2017 | (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 | $ | 6,207 |
| Option budget method | Non-performance risk | 0.3 | % | – | 1.4% | Decrease | | | | Option budget | 0.8 | % | – | 3.8% | Increase | | | | Surrender rate | 0.0 | % | – | 16.5% | Decrease |
| | | | | | | | | | | | | 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 |
|
| 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 condensed consolidated balance sheets: | | | | | | | | | | | | | | | | | | | | | | June 30, 2017 | | December 31, 2016 | (In millions) | Fair Value Level | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | Assets | | | | | | | | | | Mortgage loans | 3 | | $ | 5,981 |
| | $ | 6,152 |
| | $ | 5,426 |
| | $ | 5,560 |
| Investment funds | NAV1 | | 603 |
| | 603 |
| | 590 |
| | 590 |
| Policy loans | 2 | | 579 |
| | 579 |
| | 602 |
| | 602 |
| Funds withheld at interest | 3 | | 6,555 |
| | 6,555 |
| | 6,398 |
| | 6,398 |
| Other investments | 3 | | 91 |
| | 91 |
| | 81 |
| | 81 |
| Investments in related parties | | | | | | | | | | Investment funds | NAV1 | | 1,238 |
| | 1,238 |
| | 1,198 |
| | 1,198 |
| Other investments | 3 | | 238 |
| | 266 |
| | 237 |
| | 262 |
| Total assets not carried at fair value | | | $ | 15,285 |
| | $ | 15,484 |
| | $ | 14,532 |
| | $ | 14,691 |
| Liabilities | | | | | | | | | | Interest sensitive contract liabilities | 3 | | $ | 29,786 |
| | $ | 29,249 |
| | $ | 27,628 |
| | $ | 26,930 |
| Funds withheld liability | 2 | | 376 |
| | 376 |
| | 374 |
| | 374 |
| Total liabilities not carried at fair value | | | $ | 30,162 |
| | $ | 29,625 |
| | $ | 28,002 |
| | $ | 27,304 |
| | | | | | | | | | | 1 Investments measured at NAV as a practical expedient in determining fair value have not been classified in the fair value hierarchy. |
|