Fair Value Measurements (excluding Consolidated Investment Entities) (Tables)
|
12 Months Ended |
Dec. 31, 2015 |
Fair Value Disclosures [Abstract] |
|
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2015: | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | Assets: | | | | | | | | Fixed maturities, including securities pledged: | | | | | | | | U.S. Treasuries | $ | 3,030.6 |
| | $ | 618.4 |
| | $ | — |
| | $ | 3,649.0 |
| U.S. Government agencies and authorities | — |
| | 352.6 |
| | — |
| | 352.6 |
| State, municipalities and political subdivisions | — |
| | 1,346.2 |
| | — |
| | 1,346.2 |
| U.S. corporate public securities | — |
| | 33,609.1 |
| | 6.9 |
| | 33,616.0 |
| U.S. corporate private securities | — |
| | 5,600.8 |
| | 1,040.3 |
| | 6,641.1 |
| Foreign corporate public securities and foreign governments(1) | — |
| | 8,009.8 |
| | 13.8 |
| | 8,023.6 |
| Foreign corporate private securities(1) | — |
| | 6,918.2 |
| | 430.4 |
| | 7,348.6 |
| Residential mortgage-backed securities | — |
| | 5,764.4 |
| | 96.1 |
| | 5,860.5 |
| Commercial mortgage-backed securities | — |
| | 4,061.2 |
| | 31.4 |
| | 4,092.6 |
| Other asset-backed securities | — |
| | 1,097.9 |
| | 44.5 |
| | 1,142.4 |
| Total fixed maturities, including securities pledged | 3,030.6 |
| | 67,378.6 |
| | 1,663.4 |
| | 72,072.6 |
| Equity securities, available-for-sale | 234.3 |
| | — |
| | 97.4 |
| | 331.7 |
| Derivatives: | | | | | | | | Interest rate contracts | — |
| | 1,129.1 |
| | — |
| | 1,129.1 |
| Foreign exchange contracts | — |
| | 96.9 |
| | — |
| | 96.9 |
| Equity contracts | 57.6 |
| | 168.1 |
| | 60.5 |
| | 286.2 |
| Credit contracts | — |
| | 18.0 |
| | 8.3 |
| | 26.3 |
| Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | 4,617.7 |
| | 51.7 |
| | — |
| | 4,669.4 |
| Assets held in separate accounts | 91,887.2 |
| | 4,623.7 |
| | 3.9 |
| | 96,514.8 |
| Total assets | $ | 99,827.4 |
| | $ | 73,466.1 |
| | $ | 1,833.5 |
| | $ | 175,127.0 |
| Percentage of Level to total | 57.0 | % | | 42.0 | % | | 1.0 | % | | 100.0 | % | Liabilities: | | | | | | | | Derivatives: | | | | | | | | Guaranteed benefit derivatives: | | | | | | | | FIA | $ | — |
| | $ | — |
| | $ | 1,820.1 |
| | $ | 1,820.1 |
| IUL | — |
| | — |
| | 52.6 |
| | 52.6 |
| GMAB/GMWB/GMWBL | — |
| | — |
| | 1,873.5 |
| | 1,873.5 |
| Stabilizer and MCGs | — |
| | — |
| | 161.3 |
| | 161.3 |
| Other derivatives: | | | | | | | | Interest rate contracts | 1.9 |
| | 360.1 |
| | — |
| | 362.0 |
| Foreign exchange contracts | — |
| | 37.0 |
| | — |
| | 37.0 |
| Equity contracts | 11.9 |
| | 53.9 |
| | — |
| | 65.8 |
| Credit contracts | — |
| | 6.3 |
| | 16.4 |
| | 22.7 |
| Embedded derivative on reinsurance | — |
| | 25.2 |
| | — |
| | 25.2 |
| Total liabilities | $ | 13.8 |
| | $ | 482.5 |
| | $ | 3,923.9 |
| | $ | 4,420.2 |
|
(1) Primarily U.S. dollar denominated.
The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2014: | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | Assets: | | | | | | | | Fixed maturities, including securities pledged: | | | | | | | | U.S. Treasuries | $ | 3,262.0 |
| | $ | 642.0 |
| | $ | — |
| | $ | 3,904.0 |
| U.S. Government agencies and authorities | — |
| | 435.9 |
| | — |
| | 435.9 |
| State, municipalities and political subdivisions | — |
| | 694.4 |
| | — |
| | 694.4 |
| U.S. corporate public securities | — |
| | 34,239.9 |
| | 103.8 |
| | 34,343.7 |
| U.S. corporate private securities | — |
| | 5,418.3 |
| | 978.8 |
| | 6,397.1 |
| Foreign corporate public securities and foreign governments(1) | — |
| | 8,375.7 |
| | 13.5 |
| | 8,389.2 |
| Foreign corporate private securities(1) | — |
| | 7,619.8 |
| | 435.2 |
| | 8,055.0 |
| Residential mortgage-backed securities | — |
| | 6,562.6 |
| | 94.2 |
| | 6,656.8 |
| Commercial mortgage-backed securities | — |
| | 4,166.2 |
| | 22.0 |
| | 4,188.2 |
| Other asset-backed securities | — |
| | 1,585.0 |
| | 10.1 |
| | 1,595.1 |
| Total fixed maturities, including securities pledged | 3,262.0 |
| | 69,739.8 |
| | 1,657.6 |
| | 74,659.4 |
| Equity securities, available-for-sale | 215.5 |
| | — |
| | 56.3 |
| | 271.8 |
| Derivatives: | | | | | | | | Interest rate contracts | — |
| | 1,225.0 |
| | — |
| | 1,225.0 |
| Foreign exchange contracts | — |
| | 70.6 |
| | — |
| | 70.6 |
| Equity contracts | 104.7 |
| | 296.6 |
| | 81.8 |
| | 483.1 |
| Credit contracts | — |
| | 30.9 |
| | 10.0 |
| | 40.9 |
| Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | 4,924.8 |
| | 138.5 |
| | 6.0 |
| | 5,069.3 |
| Assets held in separate accounts | 100,692.4 |
| | 5,313.1 |
| | 2.3 |
| | 106,007.8 |
| Total assets | $ | 109,199.4 |
| | $ | 76,814.5 |
| | $ | 1,814.0 |
| | $ | 187,827.9 |
| Percentage of Level to total | 58.1 | % | | 40.9 | % | | 1.0 | % | | 100.0 | % | Liabilities: | | | | | | | | Derivatives: | | | | | | | | Guaranteed benefit derivatives: | | | | | | | | FIA | $ | — |
| | $ | — |
| | $ | 1,970.0 |
| | $ | 1,970.0 |
| IUL | — |
| | — |
| | — |
| | — |
| GMAB/GMWB/GMWBL | — |
| | — |
| | 1,527.7 |
| | 1,527.7 |
| Stabilizer and MCGs | — |
| | — |
| | 102.9 |
| | 102.9 |
| Other derivatives: | | | | | | | | Interest rate contracts | — |
| | 576.6 |
| | — |
| | 576.6 |
| Foreign exchange contracts | — |
| | 26.8 |
| | — |
| | 26.8 |
| Equity contracts | 8.2 |
| | 201.7 |
| | — |
| | 209.9 |
| Credit contracts | — |
| | 16.3 |
| | 19.7 |
| | 36.0 |
| Embedded derivative on reinsurance | — |
| | 139.6 |
| | — |
| | 139.6 |
| Total liabilities | $ | 8.2 |
| | $ | 961.0 |
| | $ | 3,620.3 |
| | $ | 4,589.5 |
|
(1) Primarily U.S. dollar denominated.
|
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year Ended December 31, 2015 | | Fair Value as of January 1 | | Total Realized/Unrealized Gains (Losses) Included in: | | Purchases | | Issuances | | Sales | |
Settlements | | Transfers into Level 3(3) | | Transfers out of Level 3(3) | | Fair Value as of December 31 | | Change In Unrealized Gains (Losses) Included in Earnings(4) | | | Net Income | | OCI | | | | | | | | | Fixed maturities, including securities pledged: | | | | | | | | | | | | | | | | | | | | | | U.S. Government agencies and authorities | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| U.S. corporate public securities | 103.8 |
| | — |
| | (0.6 | ) | | — |
| | — |
| | — |
| | (2.0 | ) | | — |
| | (94.3 | ) | | 6.9 |
| | — |
| U.S. corporate private securities | 978.8 |
| | 0.5 |
| | (41.0 | ) | | 308.9 |
| | — |
| | (10.2 | ) | | (263.6 | ) | | 66.9 |
| | — |
| | 1,040.3 |
| | 0.2 |
| Foreign corporate public securities and foreign governments(1) | 13.5 |
| | (5.9 | ) | | (1.4 | ) | | — |
| | — |
| | — |
| | (7.6 | ) | | 15.2 |
| | — |
| | 13.8 |
| | (5.9 | ) | Foreign corporate private securities(1) | 435.2 |
| | (1.2 | ) | | (8.9 | ) | | 15.1 |
| | — |
| | — |
| | (103.7 | ) | | 93.9 |
| | — |
| | 430.4 |
| | (1.8 | ) | Residential mortgage-backed securities | 94.2 |
| | (7.1 | ) | | (4.7 | ) | | 9.9 |
| | — |
| | (5.6 | ) | | (0.6 | ) | | 12.6 |
| | (2.6 | ) | | 96.1 |
| | (10.8 | ) | Commercial mortgage-backed securities | 22.0 |
| | — |
| | (0.2 | ) | | 37.6 |
| | — |
| | — |
| | (6.0 | ) | | — |
| | (22.0 | ) | | 31.4 |
| | — |
| Other asset-backed securities | 10.1 |
| | — |
| | 0.1 |
| | 39.0 |
| | — |
| | — |
| | (2.5 | ) | | 34.9 |
| | (37.1 | ) | | 44.5 |
| | — |
| Total fixed maturities including securities pledged | 1,657.6 |
| | (13.7 | ) | | (56.7 | ) | | 410.5 |
| | — |
| | (15.8 | ) | | (386.0 | ) | | 223.5 |
| | (156.0 | ) | | 1,663.4 |
| | (18.3 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year Ended December 31, 2015 (continued) | | Fair Value as of January 1 | | Total Realized/Unrealized Gains (Losses) Included in: | | Purchases | | Issuances | | Sales | |
Settlements | | Transfers into Level 3(3) | | Transfers out of Level 3(3) | | Fair Value as of December 31 | | Change In Unrealized Gains (Losses) Included in Earnings(4) | | | Net Income | | OCI | | | | | | | | | Equity securities, available-for-sale | $ | 56.3 |
| | $ | 2.6 |
| | $ | 1.6 |
| | $ | 39.9 |
| | $ | — |
| | $ | (3.0 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 97.4 |
| | $ | (0.1 | ) | Derivatives: | | | | | | | | | | | | | | | | | | | | | | Guaranteed benefit derivatives: | | | | | | | | | | | | | | | | | | | | | | FIA(2) | (1,970.0 | ) | | 229.2 |
| | — |
| | — |
| | (253.6 | ) | | — |
| | 174.3 |
| | — |
| | — |
| | (1,820.1 | ) | | — |
| IUL(2) | — |
| | 8.7 |
| | — |
| | — |
| | (64.6 | ) | | — |
| | 3.3 |
| | — |
| | — |
| | (52.6 | ) | | — |
| GMAB/GMWB/GMWBL(2) | (1,527.7 | ) | | (191.4 | ) | | — |
| | — |
| | (155.0 | ) | | — |
| | 0.6 |
| | — |
| | — |
| | (1,873.5 | ) | | — |
| Stabilizer and MCGs(2) | (102.9 | ) | | (53.7 | ) | | — |
| | — |
| | (4.7 | ) | | — |
| | — |
| | — |
| | — |
| | (161.3 | ) | | — |
| Other derivatives, net | 72.1 |
| | (37.8 | ) | | — |
| | 39.7 |
| | — |
| | — |
| | (21.6 | ) | | — |
| | — |
| | 52.4 |
| | (19.6 | ) | Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | 6.0 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | (6.0 | ) | | — |
| | — |
| | — |
| | — |
| Assets held in separate accounts(5) | 2.3 |
| | (0.1 | ) | | — |
| | 4.1 |
| | — |
| | (0.1 | ) | | — |
| | — |
| | (2.3 | ) | | 3.9 |
| | — |
|
(1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis. These amounts are included in Other net realized gains (losses) in the Consolidated Statements of Operations. (3) The Company's policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of December 31 amounts are included in Net investment income and Total net realized capital gains (losses) in the Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.
The following table summarizes the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year Ended December 31, 2014 | | Fair Value as of January 1 | | Total Realized/Unrealized Gains (Losses) Included in: | | Purchases | | Issuances | | Sales | |
Settlements | | Transfers into Level 3(3) | | Transfers out of Level 3(3) | | Fair Value as of December 31 | | Change In Unrealized Gains (Losses) Included in Earnings(4) | | | Net Income | | OCI | | | | | | | | | Fixed maturities, including securities pledged: | | | | | | | | | | | | | | | | | | | | | | U.S. Government agencies and authorities | $ | 14.4 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (14.4 | ) | | $ | — |
| | $ | — |
| U.S. corporate public securities | 129.0 |
| | (0.2 | ) | | (0.3 | ) | | 16.2 |
| | — |
| | (4.3 | ) | | (60.0 | ) | | 26.4 |
| | (3.0 | ) | | 103.8 |
| | 0.1 |
| U.S. corporate private securities | 327.5 |
| | (0.1 | ) | | (6.7 | ) | | 266.8 |
| | — |
| | — |
| | (67.3 | ) | | 458.6 |
| | — |
| | 978.8 |
| | (0.2 | ) | Foreign corporate public securities and foreign governments(1) | 19.2 |
| | — |
| | (5.3 | ) | | — |
| | — |
| | — |
| | (0.4 | ) | | — |
| | — |
| | 13.5 |
| | — |
| Foreign corporate private securities(1) | 135.1 |
| | 0.2 |
| | (9.4 | ) | | 94.0 |
| | — |
| | — |
| | (10.9 | ) | | 262.2 |
| | (36.0 | ) | | 435.2 |
| | 0.2 |
| Residential mortgage-backed securities | 98.6 |
| | (9.8 | ) | | 1.7 |
| | 15.9 |
| | — |
| | — |
| | (1.9 | ) | | 8.8 |
| | (19.1 | ) | | 94.2 |
| | (9.8 | ) | Commercial mortgage-backed securities | — |
| | — |
| | — |
| | 22.0 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 22.0 |
| | — |
| Other asset-backed securities | 59.2 |
| | 6.9 |
| | (5.9 | ) | | — |
| | — |
| | — |
| | (38.4 | ) | | — |
| | (11.7 | ) | | 10.1 |
| | 0.1 |
| Total fixed maturities including securities pledged | 783.0 |
| | (3.0 | ) | | (25.9 | ) | | 414.9 |
| | — |
| | (4.3 | ) | | (178.9 | ) | | 756.0 |
| | (84.2 | ) | | 1,657.6 |
| | (9.6 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year Ended December 31, 2014 (continued) | | Fair Value as of January 1 | | Total Realized/Unrealized Gains (Losses) Included in: | | Purchases | | Issuances | | Sales | |
Settlements | | Transfers into Level 3(3) | | Transfers out of Level 3(3) | | Fair Value as of December 31 | | Change In Unrealized Gains (Losses) Included in Earnings(4) | | | Net Income | | OCI | | | | | | | | | Equity securities, available-for-sale | $ | 55.3 |
| | $ | (0.9 | ) | | $ | 2.0 |
| | $ | — |
| | $ | — |
| | $ | (0.1 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | 56.3 |
| | $ | (0.9 | ) | Derivatives: | | | | | | | | | | | | | | | | | | | | | | Guaranteed benefit derivatives: | | | | | | | | | | | | | | | | | | | | | | FIA(2) | (1,736.7 | ) | | (198.0 | ) | | — |
| | — |
| | (166.2 | ) | | — |
| | 130.9 |
| | — |
| | — |
| | (1,970.0 | ) | | — |
| IUL(2) | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| GMAB/GMWB/GMWBL(2) | (865.9 | ) | | (508.2 | ) | | — |
| | — |
| | (154.3 | ) | | — |
| | 0.7 |
| | — |
| | — |
| | (1,527.7 | ) | | — |
| Stabilizer and MCGs(2) | — |
| | (98.2 | ) | | — |
| | — |
| | (4.7 | ) | | — |
| | — |
| | — |
| | — |
| | (102.9 | ) | | — |
| Other derivatives, net | 80.3 |
| | 37.2 |
| | — |
| | 32.7 |
| | — |
| | — |
| | (78.1 | ) | | — |
| | — |
| | 72.1 |
| | (8.2 | ) | Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements | — |
| | — |
| | (0.1 | ) | | 6.1 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | 6.0 |
| | — |
| Assets held in separate accounts(5) | 13.1 |
| | 0.1 |
| | — |
| | 1.2 |
| | — |
| | (4.4 | ) | | — |
| | 0.2 |
| | (7.9 | ) | | 2.3 |
| | (0.1 | ) |
(1) Primarily U.S. dollar denominated. (2) All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis. These amounts are included in Other net realized gains (losses) in the Consolidated Statements of Operations. (3) The Company's policy is to recognize transfers in and transfers out as of the beginning of the reporting period. (4) For financial instruments still held as of December 31 amounts are included in Net investment income and Total net realized capital gains (losses) in the Consolidated Statements of Operations. (5) The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.
|
Fair Value Inputs, Liabilities, Quantitative Information |
The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2015:
| | | | | | | | | | | | | | | | | | | | Range(1) | Unobservable Input | | GMWB / GMWBL | | GMAB | | FIA | | IUL | | Stabilizer/MCGs | | Long-term equity implied volatility | | 15% to 25% |
| | 15% to 25% |
| | — |
| | — |
| | — |
| | Interest rate implied volatility | | 0.1% to 18% |
| | 0.1% to 18% |
| | — |
| | — |
| | 0.1% to 7.3% |
| | Correlations between: | | | | | | | | | | | | Equity Funds | | 48% to 98% |
| | 48% to 98% |
| | — |
| | — |
| | — |
| | Equity and Fixed Income Funds | | -38% to 62% |
| | -38% to 62% |
| | — |
| | — |
| | — |
| | Interest Rates and Equity Funds | | -32% to 16% |
| | -32% to 16% |
| | — |
| | — |
| | — |
| | Nonperformance risk | | 0.23% to 1.3% |
| | 0.23% to 1.3% |
| | 0.23% to 1.3% |
| | 0.23% to 0.9% |
| | 0.23% to 1.3% |
| | Actuarial Assumptions: | | | | | | | | | | | | Benefit Utilization | | 85% to 100% |
| (2) | — |
| | — |
| | — |
| | — |
| | Partial Withdrawals | | 0% to 10% |
| | 0% to 10% |
| | 0% to 10% |
| | — |
| | — |
| | Lapses | | 0.08% to 22% |
| (3) (4) | 0.08% to 25% |
| (3) (4) | 0% to 60% |
| (3) | 2% to 10% |
| | 0% to 50% |
| (5) | Policyholder Deposits(6) | | — |
| | — |
| | — |
| | — |
| | 0% to 50% |
| (5) | Mortality | | — |
| (7) | — |
| (7) | — |
| (7) | — |
| (8) | — |
| |
| | (1) | Represents the range of reasonable assumptions that management has used in its fair value calculations. |
| | (2) | Those policyholders who have elected systematic withdrawals are assumed to continue taking withdrawals. As a percent of account value, 36% are taking systematic withdrawals. Of those policyholders who are not taking withdrawals, the Company assumes that 85% will begin systematic withdrawals after a delay period. The utilization function varies by policyholder age and policy duration. Interactions with lapse and mortality also affect utilization. The utilization rate for GMWB and GMWBL tends to be lower for younger contract owners and contracts that have not reached their maximum accumulated GMWB and GMWBL benefit amount. There is also a lower utilization rate, though indirectly, for contracts that are less "in the money" (i.e., where the notional benefit amount is in excess of the account value) due to higher lapses. Conversely, the utilization rate tends to be higher for contract owners near or beyond retirement age and contracts that have accumulated their maximum GMWB or GMWBL benefit amount. There is also a higher utilization rate, though indirectly, for contracts which are highly "in the money". The chart below provides the GMWBL account value by current age group and average expected delay times from the associated attained age group as of December 31, 2015 (account value amounts are in $ billions). |
| | | | | | | | | | | | | | | | | | | Account Values | | | | Attained Age Group | | In the Money | | Out of the Money | | Total | | Average Expected Delay (Years)** | | < 60 | | $ | 2.3 |
| | $ | — |
| * | $ | 2.3 |
| | 9.0 | | 60-69 | | 6.2 |
| | — |
| * | 6.2 |
| | 4.2 | | 70+ | | 5.5 |
| | — |
| * | 5.5 |
| | 2.4 | | | | $ | 14.0 |
| | $ | — |
| * | $ | 14.0 |
| | 4.9 | |
* Less than $0.1 ** For population expected to withdraw in future. Excludes policies taking systematic withdraws and 15% of policies the Company assumes will never withdraw.
| | (3) | Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. |
| | (4) | The Company makes dynamic adjustments to lower the lapse rates for contracts that are more "in the money." The table below shows an analysis of policy account values according to whether they are in or out of the surrender charge period and to whether they are "in the money" or "out of the money" as of December 31, 2015 (account value amounts are in $ billions). |
| | | | | | | | | | | | | | | | | | GMAB | | GMWB/GMWBL | | Moneyness | | Account Value | | Lapse Range | | Account Value | | Lapse Range | During Surrender Charge Period | | | | | | | | | | | In the Money** | | $ | — |
| * | 0.08% to 7.2% | | $ | 5.0 |
| | 0.08% to 5.6% | | Out of the Money | | — |
| * | 0.41% to 7.9% | | — |
| * | 0.36% to 5.9% | | | | | | | | | | | After Surrender Charge Period | | | | | | | | | | | In the Money** | | $ | — |
| * | 2.5% to 22.5% | | $ | 9.1 |
| | 1.4% to 20.7% | | Out of the Money | | — |
| * | 11.9% to 24.8% | | 0.6 |
| | 5.0% to 21.7% |
* Less than $0.1. ** The low end of the range corresponds to policies that are highly "in the money." The high end of the range corresponds to the policies that are close to zero in terms of "in the moneyness." | | (5) | Stabilizer contracts with recordkeeping agreements have a different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: |
| | | | | | | | | | | | | Percentage of Plans | | Overall Range of Lapse Rates | | Range of Lapse Rates for 85% of Plans | | Overall Range of Policyholder Deposits | | Range of Policyholder Deposits for 85% of Plans | Stabilizer (Investment Only) and MCG Contracts | 90 | % | | 0-25% | | 0-15% | | 0-30% | | 0-15% | Stabilizer with Recordkeeping Agreements | 10 | % | | 0-50% | | 0-30% | | 0-50% | | 0-25% | Aggregate of all plans | 100 | % | | 0-50% | | 0-30% | | 0-50% | | 0-25% |
| | (6) | Measured as a percentage of assets under management or assets under administration. |
| | (7) | The mortality rate is based on the 2012 Individual Annuity Mortality Basic table with mortality improvements. |
| | (8) | The mortality rate, along with the associated cost of insurance charges, are based on the 2001 Commissioner's Standard Ordinary table with mortality improvements. |
The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2014: | | | | | | | | | | | | | | | | | | | | Range(1) | | Unobservable Input | | GMWB / GMWBL | | GMAB | | FIA | | IUL | | Stabilizer/MCGs | | Long-term equity implied volatility | | 15% to 25% |
| | 15% to 25% |
| | — |
| | — |
| | — |
| | Interest rate implied volatility | | 0.2% to 16% |
| | 0.2% to 16% |
| | — |
| | — |
| | 0.2% to 7.6% |
| | Correlations between: | | | | | | | | | | | | Equity Funds | | 49% to 98% |
| | 49% to 98% |
| | — |
| | — |
| | — |
| | Equity and Fixed Income Funds | | -38% to 62% |
| | -38% to 62% |
| | — |
| | — |
| | — |
| | Interest Rates and Equity Funds | | -32% to -4% |
| | -32% to -4% |
| | — |
| | — |
| | — |
| | Nonperformance risk | | 0.13% to 1.1% |
| | 0.13% to 1.1% |
| | 0.13% to 1.1% |
| | — |
| | 0.13% to 1.1% |
| | Actuarial Assumptions: | | | | | | | | | | | | Benefit Utilization | | 85% to 100% |
| (2) | — |
| | — |
| | — |
| | — |
| | Partial Withdrawals | | 0% to 10% |
| | 0% to 10% |
| | 0% to 5 % |
| | — |
| | — |
| | Lapses | | 0.08% to 24% |
| (3) (4) | 0.08% to 31% |
| (3) (4) | 0% to 60% |
| (3) | — |
| | 0% to 50% |
| (5) | Policyholder Deposits(5) | | — |
| | — |
| | — |
| | — |
| | 0% to 65% |
| (5) | Mortality | | — |
| (7) | — |
| (7) | — |
| (8) | — |
| | — |
| |
| | (1) | Represents the range of reasonable assumptions that management has used in its fair value calculations. |
(2) Those policyholders who have elected systematic withdrawals are assumed to continue taking withdrawals. As a percent of account value, 33% are taking systematic withdrawals. Of those policyholders who are not taking withdrawals, the Company assumes that 85% will begin systematic withdrawals after a delay period. The utilization function varies by policyholder age and policy duration. Interactions with lapse and mortality also affect utilization. The utilization rate for GMWB and GMWBL tends to be lower for younger contract owners and contracts that have not reached their maximum accumulated GMWB and GMWBL benefit amount. There is also a lower utilization rate, though indirectly, for contracts that are less "in the money" (i.e., where the notional benefit amount is in excess of the account value) due to higher lapses. Conversely, the utilization rate tends to be higher for contract owners near or beyond retirement age and contracts that have accumulated their maximum GMWB or GMWBL benefit amount. There is also a higher utilization rate, though indirectly, for contracts which are highly "in the money". The chart below provides the GMWBL account value by current age group and average expected delay times from the associated attained age group as of December 31, 2014 (account value amounts are in $ billions). | | | | | | | | | | | | | | | | | | | Account Values | | | | Attained Age Group | | In the Money | | Out of the Money | | Total | | Average Expected Delay (Years)* | | < 60 | | $ | 2.4 |
| | $ | 0.5 |
| | $ | 2.9 |
| | 9.5 | | 60-69 | | 6.2 |
| | 1.0 |
| | 7.2 |
| | 4.9 | | 70+ | | 5.2 |
| | 0.5 |
| | 5.7 |
| | 3.1 | | | | $ | 13.8 |
| | $ | 2.0 |
| | $ | 15.8 |
| | 5.8 | |
* For population expected to withdraw in future. Excludes policies taking systematic withdraws and 15% of policies the Company assumes will never withdraw.
| | (3) | Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period. |
| | (4) | The Company makes dynamic adjustments to lower the lapse rates for contracts that are more "in the money." The table below shows an analysis of policy account values according to whether they are in or out of the surrender charge period and to whether they are "in the money" or "out of the money" as of December 31, 2014 (account value amounts are in $ billions): |
| | | | | | | | | | | | | | | | | | GMAB | | GMWB/GMWBL | | Moneyness | | Account Value | | Lapse Range | | Account Value | | Lapse Range | During Surrender Charge Period | | | | | | | | | | | In the Money** | | $ | — |
| * | 0.08% to 8.2% | | $ | 6.7 |
| | 0.08% to 6.3% | | Out of the Money | | — |
| * | 0.41% to 12% | | 1.2 |
| | 0.36% to 7% | | | | | | | | | | | After Surrender Charge Period | | | | | | | | | | | In the Money** | | $ | — |
| * | 2.5% to 21% | | $ | 7.2 |
| | 1.7% to 21% | | Out of the Money | | 0.1 |
| | 12.3% to 31% | | 1.4 |
| | 5.6% to 24% |
* Less than $0.1. ** The low end of the range corresponds to policies that are highly "in the money." The high end of the range corresponds to the policies that are close to zero in terms of "in the moneyness."
| | (5) | Stabilizer contracts with recordkeeping agreements have a different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below: |
| | | | | | | | | | | | | Percentage of Plans | | Overall Range of Lapse Rates | | Range of Lapse Rates for 85% of Plans | | Overall Range of Policyholder Deposits | | Range of Policyholder Deposits for 85% of Plans | Stabilizer (Investment Only) and MCG Contracts | 87 | % | | 0-30% | | 0-15% | | 0-45% | | 0-15% | Stabilizer with Recordkeeping Agreements | 13 | % | | 0-50% | | 0-25% | | 0-65% | | 0-25% | Aggregate of all plans | 100 | % | | 0-50% | | 0-25% | | 0-65% | | 0-25% |
| | (6) | Measured as a percentage of assets under management or assets under administration. |
| | (7) | The mortality rate is based on the Annuity 2000 Basic table with mortality improvements. |
(8) The mortality rate is based on the 2012 Individual Annuity Mortality Basic table with mortality improvements.
|
Fair Value, by Balance Sheet Grouping |
The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated: | | | | | | | | | | | | | | | | | | December 31, 2015 | | December 31, 2014 | | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | Assets: | | | | | | | | Fixed maturities, including securities pledged | $ | 72,072.6 |
| | $ | 72,072.6 |
| | $ | 74,659.4 |
| | $ | 74,659.4 |
| Equity securities, available-for-sale | 331.7 |
| | 331.7 |
| | 271.8 |
| | 271.8 |
| Mortgage loans on real estate | 10,447.5 |
| | 10,881.4 |
| | 9,794.1 |
| | 10,286.6 |
| Policy loans | 2,002.7 |
| | 2,002.7 |
| | 2,104.0 |
| | 2,104.0 |
| Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements | 4,669.4 |
| | 4,669.4 |
| | 5,069.3 |
| | 5,069.3 |
| Derivatives | 1,538.5 |
| | 1,538.5 |
| | 1,819.6 |
| | 1,819.6 |
| Other investments | 91.6 |
| | 101.5 |
| | 110.3 |
| | 120.4 |
| Assets held in separate accounts | 96,514.8 |
| | 96,514.8 |
| | 106,007.8 |
| | 106,007.8 |
| Liabilities: | | | | | | | | Investment contract liabilities: | | | | | | | | Funding agreements without fixed maturities and deferred annuities(1) | 51,361.7 |
| | 56,884.4 |
| | 49,791.9 |
| | 55,112.4 |
| Funding agreements with fixed maturities and guaranteed investment contracts | 1,488.5 |
| | 1,463.1 |
| | 1,593.0 |
| | 1,564.8 |
| Supplementary contracts, immediate annuities and other | 2,948.1 |
| | 3,162.8 |
| | 2,535.3 |
| | 2,706.2 |
| Derivatives: | | | | | | | | Guaranteed benefit derivatives: | | | | | | | | FIA | 1,820.1 |
| | 1,820.1 |
| | 1,970.0 |
| | 1,970.0 |
| IUL | 52.6 |
| | 52.6 |
| | — |
| | — |
| GMAB / GMWB / GMWBL | 1,873.5 |
| | 1,873.5 |
| | 1,527.7 |
| | 1,527.7 |
| Stabilizer and MCGs | 161.3 |
| | 161.3 |
| | 102.9 |
| | 102.9 |
| Other derivatives | 487.5 |
| | 487.5 |
| | 849.3 |
| | 849.3 |
| Long-term debt | 3,485.9 |
| | 3,772.7 |
| | 3,515.7 |
| | 3,875.4 |
| Embedded derivative on reinsurance | 25.2 |
| | 25.2 |
| | 139.6 |
| | 139.6 |
|
(1) Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above.
|