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Fair Value (Tables)
 9 Months Ended
Sep. 30, 2018
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:
 
September 30, 2018
(In millions)
Total
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
142

 
$
—

 
$
140

 
$
2

 
$
—

U.S. state, municipal and political subdivisions
1,237

 
—

 
—

 
1,237

 
—

Foreign governments
180

 
—

 
—

 
180

 
—

Corporate
37,319

 
—

 
—

 
36,355

 
964

CLO
5,302

 
—

 
—

 
4,962

 
340

ABS
4,855

 
—

 
—

 
3,357

 
1,498

CMBS
2,324

 
—

 
—

 
2,142

 
182

RMBS
8,523

 
—

 
—

 
8,523

 
—

Total AFS securities
59,882

 
—

 
140

 
56,758

 
2,984

Trading securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
5

 
—

 
3

 
2

 
—

U.S. state, municipal and political subdivisions
124

 
—

 
—

 
107

 
17

Corporate
1,298

 
—

 
—

 
1,298

 
—

CLO
13

 
—

 
—

 
10

 
3

ABS
89

 
—

 
—

 
89

 
—

CMBS
49

 
—

 
—

 
49

 
—

RMBS
399

 
—

 
—

 
114

 
285

Total trading securities
1,977

 
—

 
3

 
1,669

 
305

Equity securities
292

 
—

 
4

 
286

 
2

Mortgage loans
37

 
—

 
—

 
—

 
37

Investment funds
127

 
97

 
—

 
—

 
30

Funds withheld at interest – embedded derivative
151

 
—

 
—

 
—

 
151

Derivative assets
2,515

 
—

 
5

 
2,510

 
—

Short-term investments
234

 
—

 
64

 
170

 
—

Other investments
43

 
—

 
—

 
43

 
—

Cash and cash equivalents
3,723

 
—

 
3,723

 
—

 
—

Restricted cash
218

 
—

 
218

 
—

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
CLO
609

 
—

 
—

 
571

 
38

ABS
634

 
—

 
—

 
430

 
204

Total AFS securities – related party
1,243

 
—

 
—

 
1,001

 
242

Trading securities
 
 
 
 
 
 
 
 
 
CLO
108

 
—

 
—

 
32

 
76

ABS
151

 
—

 
—

 
—

 
151

Total trading securities – related party
259

 
—

 
—

 
32

 
227

Investment funds
197

 
92

 
—

 
—

 
105

Funds withheld at interest – embedded derivative
91

 
—

 
—

 
—

 
91

Short-term investments
10

 
—

 
—

 
—

 
10

Reinsurance recoverable
1,679

 
—

 
—

 
—

 
1,679

Total assets measured at fair value
$
72,678

 
$
189

 
$
4,157

 
$
62,469

 
$
5,863

 
 
 
 
 
 
 
 
 
(Continued)

 
September 30, 2018
(In millions)
Total
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
8,656

 
$
—

 
$
—

 
$
—

 
$
8,656

Universal life benefits
901

 
—

 
—

 
—

 
901

Future policy benefits
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
1,469

 
—

 
—

 
—

 
1,469

ILICO Closed Block and life benefits
764

 
—

 
—

 
—

 
764

Derivative liabilities
124

 
—

 
—

 
120

 
4

Funds withheld liability – embedded derivative
3

 
—

 
—

 
3

 
—

Total liabilities measured at fair value
$
11,917

 
$
—

 
$
—

 
$
123

 
$
11,794

 
 
 
 
 
 
 
 
 
 
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, 2017
(In millions)
Total
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
62

 
$
—

 
$
26

 
$
36

 
$
—

U.S. state, municipal and political subdivisions
1,165

 
—

 
—

 
1,165

 
—

Foreign governments
2,683

 
—

 
—

 
2,683

 
—

Corporate
36,660

 
—

 
—

 
36,082

 
578

CLO
5,084

 
—

 
—

 
5,020

 
64

ABS
3,971

 
—

 
—

 
2,510

 
1,461

CMBS
2,021

 
—

 
—

 
1,884

 
137

RMBS
9,366

 
—

 
—

 
9,065

 
301

Total AFS securities
61,012

 
—

 
26

 
58,445

 
2,541

Trading securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
3

 
—

 
3

 
—

 
—

U.S. state, municipal and political subdivisions
138

 
—

 
—

 
121

 
17

Corporate
1,475

 
—

 
—

 
1,475

 
—

CLO
27

 
—

 
—

 
10

 
17

ABS
94

 
—

 
—

 
17

 
77

CMBS
51

 
—

 
—

 
51

 
—

RMBS
408

 
—

 
—

 
66

 
342

Total trading securities
2,196

 
—

 
3

 
1,740

 
453

 
 
 
 
 
 
 
 
 
(Continued)

 
December 31, 2017
(In millions)
Total
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Equity securities
790

 
—

 
18

 
764

 
8

Mortgage loans
41

 
—

 
—

 
—

 
41

Investment funds
145

 
104

 
—

 
—

 
41

Funds withheld at interest – embedded derivative
312

 
—

 
—

 
—

 
312

Derivative assets
2,551

 
—

 
7

 
2,544

 
—

Short-term investments
201

 
—

 
40

 
161

 
—

Cash and cash equivalents
4,888

 
—

 
4,888

 
—

 
—

Restricted cash
105

 
—

 
105

 
—

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
CLO
360

 
—

 
—

 
360

 
—

ABS
46

 
—

 
—

 
46

 
—

Total AFS securities – related party
406

 
—

 
—

 
406

 
—

Trading securities
 
 
 
 
 
 
 
 
 
CLO
132

 
—

 
—

 
27

 
105

ABS
175

 
—

 
—

 
175

 
—

Total trading securities – related party
307

 
—

 
—

 
202

 
105

Investment funds
30

 
30

 
—

 
—

 
—

Short-term investments
52

 
—

 
—

 
52

 
—

Reinsurance recoverable
1,824

 
—

 
—

 
—

 
1,824

Total assets measured at fair value
$
74,860

 
$
134

 
$
5,087

 
$
64,314

 
$
5,325

Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
7,436

 
$
—

 
$
—

 
$
—

 
$
7,436

Universal life benefits
1,005

 
—

 
—

 
—

 
1,005

Unit-linked contracts
488

 
—

 
—

 
488

 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
1,625

 
—

 
—

 
—

 
1,625

ILICO Closed Block and life benefits
803

 
—

 
—

 
—

 
803

Derivative liabilities
134

 
—

 
—

 
129

 
5

Funds withheld liability – embedded derivative
22

 
—

 
—

 
22

 
—

Total liabilities measured at fair value
$
11,513

 
$
—

 
$
—

 
$
639

 
$
10,874

 
 
 
 
 
 
 
 
 
 
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 summarizes information for fair value option mortgage loans:
(In millions)
September 30, 2018
 
December 31, 2017
Unpaid principal balance
$
36

 
$
40

Mark to fair value
1

 
1

Fair value
$
37

 
$
41

The following represents the gains (losses) recorded for instruments for which we have elected the fair value option:
 
Three months ended September 30,
 
Nine months ended September 30,
(In millions)
2018
 
2017
 
2018
 
2017
Trading securities
$
(43
)
 
$
(2
)
 
$
(208
)
 
$
25

Mortgage loans
—

 
(1
)
 
—

 
(1
)
Investment funds, including related party investment funds
4

 
5

 
10

 
19

Future policy benefits
21

 
5

 
156

 
(10
)
Total gains (losses)
$
(18
)
 
$
7

 
$
(42
)
 
$
33
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 September 30, 2018
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning Balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
(Out)
 
Ending Balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
962

 
$
(1
)
 
$
(3
)
 
$
110

 
$
5

 
$
(109
)
 
$
964

 
$
—

CLO
281

 
—

 
(1
)
 
52

 
8

 
—

 
340

 
—

ABS
1,451

 
1

 
1

 
178

 
161

 
(294
)
 
1,498

 
—

CMBS
197

 
—

 
(1
)
 
—

 
—

 
(14
)
 
182

 
—

RMBS
7

 
—

 
—

 
—

 
—

 
(7
)
 
—

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
—

 
—

 
—

 
—

 
—

 
17

 
—

Corporate
4

 
—

 
—

 
—

 
—

 
(4
)
 
—

 
—

CLO
26

 
(2
)
 
—

 
(11
)
 
—

 
(10
)
 
3

 
1

ABS
89

 
1

 
—

 
—

 
—

 
(90
)
 
—

 
1

RMBS
304

 
(19
)
 
—

 
—

 
—

 
—

 
285

 
2

Equity securities
2

 
—

 
—

 
—

 
—

 
—

 
2

 
—

Mortgage loans
38

 
—

 
—

 
(1)

 
—

 
—

 
37

 
—

Investment funds
31

 
(1
)
 
—

 
—

 
—

 
—

 
30

 
(1
)
Funds withheld at interest – embedded derivative
150

 
1

 
—

 
—

 
—

 
—

 
151

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
39

 
—

 
(1)

 
—

 
—

 
—

 
38

 
—

ABS
46

 
—

 
—

 
158

 
—

 
—

 
204

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
114

 
(7
)
 
—

 
—

 
—

 
(31
)
 
76

 
(5
)
ABS
164

 
(4
)
 
—

 
(9
)
 
—

 
—

 
151

 
(4
)
Investment funds
105

 
—

 
—

 
—

 
—

 
—

 
105

 
—

Funds withheld at interest – embedded derivative
162

 
(71
)
 
—

 
—

 
—

 
—

 
91

 
—

Short-term investments
10

 
—

 
—

 
—

 
—

 
—

 
10

 
—

Reinsurance recoverable
1,717

 
(38
)
 
—

 
—

 
—

 
—

 
1,679

 
—

Total Level 3 assets
$
5,916

 
$
(140
)
 
$
(5
)
 
$
477

 
$
174

 
$
(559
)
 
$
5,863

 
$
(6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(8,065
)
 
$
(324
)
 
$
—

 
$
(267
)
 
$
—

 
$
—

 
$
(8,656
)
 
$
—

Universal life benefits
(943
)
 
42

 
—

 
—

 
—

 
—

 
(901
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,490
)
 
21

 
—

 
—

 
—

 
—

 
(1,469
)
 
—

ILICO Closed Block and life benefits
(759
)
 
(5
)
 
—

 
—

 
—

 
—

 
(764
)
 
—

Derivative liabilities
(5
)
 
1

 
—

 
—

 
—

 
—

 
(4
)
 
—

Total Level 3 liabilities
$
(11,262
)
 
$
(265
)
 
$
—

 
$
(267
)
 
$
—

 
$
—

 
$
(11,794
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.

 
Three months ended September 30, 2017
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning Balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
(Out)
 
Ending Balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign governments
$
14

 
$
—

 
$
—

 
$
—

 
$
—

 
$
(14
)
 
$
—

 
$
—

Corporate
452

 
5

 
—

 
(13
)
 
37

 
(12
)
 
469

 
—

CLO
81

 
—

 
1

 
47

 
86

 
(19
)
 
196

 
—

ABS
1,093

 
3

 
1

 
240

 
83

 
(41
)
 
1,379

 
—

CMBS
122

 
1

 
(1
)
 
(18
)
 
26

 
(43
)
 
87

 
—

RMBS
312

 
1

 
13

 
(11
)
 
14

 
(7
)
 
322

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
—

 
—

 
—

 
—

 
—

 
17

 
—

CLO
22

 
(4
)
 
—

 
—

 
11

 
(8
)
 
21

 
(3
)
RMBS
100

 
(2
)
 
—

 
4

 
15

 
(16
)
 
101

 
3

Equity securities
6

 
(1
)
 
—

 
—

 
—

 
—

 
5

 
—

Mortgage loans
43

 
(1
)
 
—

 
—

 
—

 
—

 
42

 
(1
)
Funds withheld at interest – embedded derivative
279

 
24

 
—

 
—

 
—

 
—

 
303

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities, CLO
—

 
—

 
—

 
10

 
—

 
—

 
10

 
—

Trading securities, CLO
123

 
3

 
—

 
(24
)
 
19

 
(30
)
 
91

 
2

Short-term investments
28

 
—

 
—

 
(20
)
 
—

 
—

 
8

 
—

Reinsurance recoverable
1,782

 
1

 
—

 
—

 
—

 
—

 
1,783

 
—

Total Level 3 assets
$
4,474

 
$
30

 
$
14

 
$
215

 
$
291

 
$
(190
)
 
$
4,834

 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(6,207
)
 
$
(344
)
 
$
—

 
$
(101
)
 
$
—

 
$
—

 
$
(6,652
)
 
$
—

Universal life benefits
(954
)
 
(3
)
 
—

 
—

 
—

 
—

 
(957
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,621
)
 
5

 
—

 
—

 
—

 
—

 
(1,616
)
 
—

ILICO Closed Block and life benefits
(812
)
 
1

 
—

 
—

 
—

 
—

 
(811
)
 
—

Derivative liabilities
(6
)
 
—

 
—

 
—

 
—

 
—

 
(6
)
 
—

Total Level 3 liabilities
$
(9,600
)
 
$
(341
)
 
$
—

 
$
(101
)
 
$
—

 
$
—

 
$
(10,042
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.

 
Nine months ended September 30, 2018
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning Balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
(Out)
 
Ending Balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
578

 
$
(3
)
 
$
(12
)
 
$
385

 
$
24

 
$
(8
)
 
$
964

 
$
—

CLO
64

 
2

 
—

 
264

 
10

 
—

 
340

 
—

ABS
1,461

 
6

 
(17
)
 
67

 
161

 
(180
)
 
1,498

 
—

CMBS
137

 
1

 
(2
)
 
137

 
—

 
(91
)
 
182

 
—

RMBS
301

 
3

 
(11
)
 
(26
)
 
—

 
(267
)
 
—

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
—

 
—

 
—

 
—

 
—

 
17

 
—

CLO
17

 
(5
)
 
—

 
—

 
—

 
(9
)
 
3

 
(3
)
ABS
77

 
(4
)
 
—

 
—

 
—

 
(73
)
 
—

 
(2
)
RMBS
342

 
(57
)
 
—

 
—

 
—

 
—

 
285

 
4

Equity securities
8

 
—

 
1

 
(7)

 
—

 
—

 
2

 
1

Mortgage loans
41

 
—

 
—

 
(4
)
 
—

 
—

 
37

 
—

Investment funds
41

 
(4
)
 
—

 
(7
)
 
—

 
—

 
30

 
—

Funds withheld at interest – embedded derivative
312

 
(161
)
 
—

 
—

 
—

 
—

 
151

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
—

 
—

 
—

 
38

 
—

 
—

 
38

 
—

ABS
—

 
—

 
—

 
204

 
—

 
—

 
204

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
105

 
(8
)
 
—

 
(18
)
 
18

 
(21
)
 
76

 
(4
)
ABS
—

 
—

 
—

 
—

 
151

 
—

 
151

 
—

Investment funds
—

 
(3
)
 
—

 
108

 
—

 
—

 
105

 
—

Funds withheld at interest – embedded derivative
—

 
91

 
—

 
—

 
—

 
—

 
91

 
—

Short-term investments
—

 
—

 
—

 
10

 
—

 
—

 
10

 
—

Reinsurance recoverable
1,824

 
(145
)
 
—

 
—

 
—

 
—

 
1,679

 
—

Total Level 3 assets
$
5,325

 
$
(287
)
 
$
(41
)
 
$
1,151

 
$
364

 
$
(649
)
 
$
5,863

 
$
(4
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(7,436
)
 
$
(140
)
 
$
—

 
$
(1,080
)
 
$
—

 
$
—

 
$
(8,656
)
 
$
—

Universal life benefits
(1,005
)
 
104

 
—

 
—

 
—

 
—

 
(901
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,625
)
 
156

 
—

 
—

 
—

 
—

 
(1,469
)
 
—

ILICO Closed Block and life benefits
(803
)
 
39

 
—

 
—

 
—

 
—

 
(764
)
 
—

Derivative liabilities
(5
)
 
1

 
—

 
—

 
—

 
—

 
(4
)
 
—

Total Level 3 liabilities
$
(10,874
)
 
$
160

 
$
—

 
$
(1,080
)
 
$
—

 
$
—

 
$
(11,794
)
 
$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.

 
Nine months ended September 30, 2017
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
Out
 
Ending balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
5

 
$
17

 
$
(1
)
 
$
(21
)
 
$
—

 
$
—

 
$
—

 
$
—

Foreign governments
14

 
—

 
—

 
—

 
—

 
(14
)
 
—

 
—

Corporate
370

 
10

 
10

 
107

 
23

 
(51
)
 
469

 
—

CLO
158

 
1

 
9

 
40

 
53

 
(65
)
 
196

 
—

ABS
1,160

 
11

 
18

 
237

 
6

 
(53
)
 
1,379

 
—

CMBS
152

 
1

 
(4
)
 
28

 
—

 
(90
)
 
87

 
—

RMBS
17

 
1

 
1

 
12

 
300

 
(9
)
 
322

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
—

 
—

 
—

 
—

 
—

 
17

 
—

CLO
43

 
(2
)
 
—

 
(12
)
 
—

 
(8
)
 
21

 
1

RMBS
96

 
(11
)
 
—

 
26

 
7

 
(17
)
 
101

 
2

Equity Securities
5

 
(1
)
 
1

 
—

 
—

 
—

 
5

 
—

Mortgage loans
44

 
(1
)
 
—

 
(1
)
 
—

 
—

 
42

 
(1
)
Funds withheld at interest – embedded derivative
140

 
163

 
—

 
—

 
—

 
—

 
303

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS Securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
—

 
—

 
—

 
10

 
—

 
—

 
10

 
—

ABS
56

 
—

 
2

 
(5
)
 
—

 
(53
)
 
—

 
—

Trading securities, CLO
195

 
(3
)
 
—

 
(52
)
 
—

 
(49
)
 
91

 
(1
)
Short-term investments
—

 
—

 
—

 
8

 
—

 
—

 
8

 
—

Reinsurance recoverable
1,692

 
91

 
—

 
—

 
—

 
—

 
1,783

 
—

Total Level 3 assets
$
4,164

 
$
277

 
$
36

 
$
377

 
$
389

 
$
(409
)
 
$
4,834

 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(5,283
)
 
$
(1,077
)
 
$
—

 
$
(292
)
 
$
—

 
$
—

 
$
(6,652
)
 
$
—

Universal life benefits
(883
)
 
(74
)
 
—

 
—

 
—

 
—

 
(957
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,606
)
 
(10
)
 
—

 
—

 
—

 
—

 
(1,616
)
 
—

ILICO Closed Block and life benefits
(794
)
 
(17
)
 
—

 
—

 
—

 
—

 
(811
)
 
—

Derivative liabilities
(7
)
 
1

 
—

 
—

 
—

 
—

 
(6
)
 
1

Total Level 3 liabilities
$
(8,573
)
 
$
(1,177
)
 
$
—

 
$
(292
)
 
$
—

 
$
—

 
$
(10,042
)
 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.
Gross Components of Purchases, Sales, Issuances and Settlements, net
The following represents the gross components of purchases, issuances, sales and settlements, net, shown above:
 
Three months ended September 30, 2018
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
Corporate
$
156

 
$
—

 
$
(15
)
 
$
(31
)
 
$
110

CLO
79

 
—

 
(8
)
 
(19
)
 
52

ABS
234

 
—

 
—

 
(56
)
 
178

CMBS
1

 
—

 
—

 
(1
)
 
—

Trading securities, CLO
—

 
—

 
(11
)
 
—

 
(11
)
Mortgage loans
—

 
—

 
—

 
(1
)
 
(1
)
Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities, ABS
158

 
—

 
—

 
—

 
158

Trading securities, ABS
—

 
—

 
—

 
(9
)
 
(9
)
Total Level 3 assets
$
628

 
$
—

 
$
(34
)
 
$
(117
)
 
$
477

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
—

 
$
(376
)
 
$
—

 
$
109

 
$
(267
)
Total Level 3 liabilities
$
—

 
$
(376
)
 
$
—

 
$
109

 
$
(267
)

 
Three months ended September 30, 2017
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
Corporate
$
27

 
$
—

 
$
(36
)
 
$
(4
)
 
$
(13
)
CLO
72

 
—

 
—

 
(25
)
 
47

ABS
275

 
—

 
—

 
(35
)
 
240

CMBS
—

 
—

 
(18
)
 
—

 
(18
)
RMBS
—

 
—

 
—

 
(11
)
 
(11
)
Trading securities
 
 
 
 
 
 
 
 
 
RMBS
4

 
—

 
—

 
—

 
4

Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities, CLO
10

 
—

 
—

 
—

 
10

Trading securities, CLO
—

 
—

 
(24
)
 
—

 
(24
)
Short-term investments
8

 
—

 
—

 
(28
)
 
(20
)
Total Level 3 assets
$
396

 
$
—

 
$
(78
)
 
$
(103
)
 
$
215

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
—

 
$
(142
)
 
$
—

 
$
41

 
$
(101
)
Total Level 3 liabilities
$
—

 
$
(142
)
 
$
—

 
$
41

 
$
(101
)

 
Nine months ended September 30, 2018
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
Corporate
$
460

 
$
—

 
$
(29
)
 
$
(46
)
 
$
385

CLO
314

 
—

 
(8
)
 
(42
)
 
264

ABS
476

 
—

 
(21
)
 
(388
)
 
67

CMBS
138

 
—

 
—

 
(1
)
 
137

RMBS
—

 
—

 
—

 
(26
)
 
(26
)
Trading securities
 
 
 
 
 
 
 
 
 
CLO
7

 
—

 
(7
)
 
—

 
—

Equity securities
1

 
—

 
(8)

 
—

 
(7
)
Mortgage loans
—

 
—

 
—

 
(4
)
 
(4
)
Investment funds
—

 
—

 
—

 
(7
)
 
(7
)
Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
CLO
38

 
—

 
—

 
—

 
38

ABS
204

 
—

 
—

 
—

 
204

Trading securities, CLO
30

 
—

 
(48
)
 
—

 
(18
)
Investment funds
108

 
—

 
—

 
—

 
108

Short-term investments
10

 
—

 
—

 
—

 
10

Total Level 3 assets
$
1,786

 
$
—

 
$
(121
)
 
$
(514
)
 
$
1,151

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
—

 
$
(1,360
)
 
$
—

 
$
280

 
$
(1,080
)
Total Level 3 liabilities
$
—

 
$
(1,360
)
 
$
—

 
$
280

 
$
(1,080
)


 
Nine months ended September 30, 2017
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
—

 
$
—

 
$
—

 
$
(21
)
 
$
(21
)
Corporate
152

 
—

 
(37
)
 
(8
)
 
107

CLO
83

 
—

 
(2
)
 
(41
)
 
40

ABS
495

 
—

 
—

 
(258
)
 
237

CMBS
29

 
—

 
—

 
(1
)
 
28

RMBS
14

 
—

 
—

 
(2
)
 
12

Trading securities
 
 
 
 
 
 
 
 
 
CLO
4

 
—

 
(16
)
 
—

 
(12
)
RMBS
26

 
—

 
—

 
—

 
26

Mortgage loans
—

 
—

 
—

 
(1
)
 
(1
)
Investments in related parties
 
 
 
 
 
 
 
 
 
Fixed maturity securities
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
CLO
10

 
—

 
—

 
—

 
10

ABS
5

 
—

 
—

 
(10
)
 
(5
)
Trading securities, CLO
—

 
—

 
(52
)
 
—

 
(52
)
Short-term investments
37

 
—

 
—

 
(29
)
 
8

Total Level 3 assets
$
855

 
$
—

 
$
(107
)
 
$
(371
)
 
$
377

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
—

 
$
(412
)
 
$
—

 
$
120

 
$
(292
)
Total Level 3 liabilities
$
—

 
$
(412
)
 
$
—

 
$
120

 
$
(292
)
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:
 
September 30, 2018
(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
$
8,656

Option budget method
Non-performance risk
0.2
%
–
1.3%
Decrease
 
 
 
Option budget
0.8
%
–
3.7%
Increase
 
 
 
Surrender rate
4.4
%
–
7.6%
Decrease


 
December 31, 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
$
7,436

Option budget method
Non-performance risk
0.2
%
–
1.2%
Decrease
 
 
 
Option budget
0.7
%
–
3.7%
Increase
 
 
 
Surrender rate
1.5
%
–
19.4%
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:
 
September 30, 2018
(In millions)
Carrying Value
 
Fair Value
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Financial Assets
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
$
8,945

 
$
9,018

 
$
—

 
$
—

 
$
—

 
$
9,018

Investment funds
565

 
565

 
565

 
—

 
—

 
—

Policy loans
512

 
512

 
—

 
—

 
512

 
—

Funds withheld at interest
7,690

 
7,690

 
—

 
—

 
—

 
7,690

Other investments
71

 
71

 
—

 
—

 
—

 
71

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
389

 
382

 
—

 
—

 
—

 
382

Investment funds
1,896

 
1,896

 
1,896

 
—

 
—

 
—

Funds withheld at interest
13,872

 
13,872

 
—

 
—

 
—

 
13,872

Other investments
386

 
382

 
—

 
—

 
—

 
382

Total financial assets not carried at fair value
$
34,326

 
$
34,388

 
$
2,461

 
$
—

 
$
512

 
$
31,415

 
 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
$
47,206

 
$
44,174

 
$
—

 
$
—

 
$
—

 
$
44,174

Long-term debt
991

 
936

 
—

 
—

 
936

 
—

Funds withheld liability
386

 
386

 
—

 
—

 
386

 
—

Total financial liabilities not carried at fair value
$
48,583

 
$
45,496

 
$
—

 
$
—

 
$
1,322

 
$
44,174

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


 
December 31, 2017
(In millions)
Carrying Value
 
Fair Value
 
NAV1
 
Level 1
 
Level 2
 
Level 3
Financial Assets
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
$
6,192

 
$
6,342

 
$
—

 
$
—

 
$
—

 
$
6,342

Investment funds
554

 
554

 
554

 
—

 
—

 
—

Policy loans
530

 
530

 
—

 
—

 
530

 
—

Funds withheld at interest
6,773

 
6,773

 
—

 
—

 
—

 
6,773

Other investments
133

 
133

 
—

 
—

 
58

 
75

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
Investment funds
1,280

 
1,280

 
1,280

 
—

 
—

 
—

Other investments
238

 
259

 
—

 
—

 
—

 
259

Total financial assets not carried at fair value
$
15,700

 
$
15,871

 
$
1,834

 
$
—

 
$
588

 
$
13,449

 
 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
$
31,586

 
$
31,656

 
$
—

 
$
—

 
$
—

 
$
31,656

Funds withheld liability
385

 
385

 
—

 
—

 
385

 
—

Total financial liabilities not carried at fair value
$
31,971

 
$
32,041

 
$
—

 
$
—

 
$
385

 
$
31,656

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