Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2017

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 September 30, 2017:



	Level 1		Level 2			Level 3		Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	634.0	$	59.4		$	—	$	693.4
U.S. Government agencies and authorities	—		3.5			—		3.5
State, municipalities and political subdivisions	—		870.1			—		870.1
U.S. corporate public securities	—		9,427.7			26.4		9,454.1
U.S. corporate private securities	—		2,843.8			599.0		3,442.8
Foreign corporate public securities and foreign governments⁽¹⁾	—		2,794.3			0.1		2,794.4
Foreign corporate private securities ⁽¹⁾	—		3,187.8			140.5		3,328.3
Residential mortgage-backed securities	—		2,706.4			26.9		2,733.3
Commercial mortgage-backed securities	—		1,390.2			7.8		1,398.0
Other asset-backed securities	—		534.3			44.1		578.4
Total fixed maturities, including securities pledged	634.0		23,817.5			844.8		25,296.3
Equity securities, available-for-sale	34.6		—			50.4		85.0
Derivatives:
Interest rate contracts	0.4		119.1			—		119.5
Foreign exchange contracts	—		—			—		—
Equity contracts	—		5.5			—		5.5
Credit contracts	—		9.6			—		9.6
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,197.2		0.3			—		1,197.5
Assets held in separate accounts	68,623.0		4,529.9			5.6		73,158.5
Total assets	$	70,489.2	$	28,481.9		$	900.8	$	99,871.9
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—	$	—		$	22.3	$	22.3
Stabilizer and MCGs	—		—			133.9		133.9
Other derivatives:
Interest rate contracts	—		16.5			—		16.5
Foreign exchange contracts	—		35.6			—		35.6
Equity contracts	—		3.5			—		3.5
Credit contracts	—		6.0			—		6.0
Embedded derivative on reinsurance	—		(25.2		)	—		(25.2		)
Total liabilities	$	—	$	36.4		$	156.2	$	192.6

⁽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, 2016:



	Level 1		Level 2			Level 3		Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	729.3	$	57.7		$	—	$	787.0
U.S. Government agencies and authorities	—		3.8			—		3.8
State, municipalities and political subdivisions	—		795.4			—		795.4
U.S. corporate public securities	—		9,964.9			7.5		9,972.4
U.S. corporate private securities	—		2,435.9			524.7		2,960.6
Foreign corporate public securities and foreign governments⁽¹⁾	—		2,884.3			0.1		2,884.4
Foreign corporate private securities ⁽¹⁾	—		2,756.0			154.0		2,910.0
Residential mortgage-backed securities	—		2,766.8			21.2		2,788.0
Commercial mortgage-backed securities	—		1,307.9			9.8		1,317.7
Other asset-backed securities	—		449.0			26.7		475.7
Total fixed maturities, including securities pledged	729.3		23,421.7			744.0		24,895.0
Equity securities, available-for-sale	34.4		—			47.9		82.3
Derivatives:
Interest rate contracts	—		437.5			—		437.5
Foreign exchange contracts	—		25.4			—		25.4
Equity contracts	—		2.3			—		2.3
Credit contracts	—		5.6			—		5.6
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	939.8		32.9			—		972.7
Assets held in separate accounts	57,192.4		4,782.9			5.4		61,980.7
Total assets	$	58,895.9	$	28,708.3		$	797.3	$	88,401.5
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—	$	—		$	23.3	$	23.3
Stabilizer and MCGs	—		—			150.5		150.5
Other derivatives:
Interest rate contracts	0.6		153.8			—		154.4
Foreign exchange contracts	—		18.3			—		18.3
Equity contracts	—		—			—		—
Credit contracts	—		0.2			—		0.2
Embedded derivative on reinsurance	—		(43.5		)	—		(43.5		)
Total liabilities	$	0.6	$	128.8		$	173.8	$	303.2

⁽¹⁾Primarily U.S. dollar denominated.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:



	Three Months Ended September 30, 2017
	Fair Value as of July 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	26.5		$	—		$	(0.1	)	$	—	$	—		$	—		$	—		$	—	$	—		$	26.4		$	—
U.S. Corporate private securities	595.1			0.1			1.2			1.8		—			(1.1		)	(9.6		)	11.5		—			599.0			—
Foreign corporate public securities and foreign governments⁽¹⁾	0.1			—			—			—		—			—			—			—		—			0.1			—
Foreign corporate private securities⁽¹⁾	128.4			—			(0.9		)	13.6		—			—			(0.6		)	—		—			140.5			—
Residential mortgage-backed securities	36.8			(1.6		)	0.1			9.0		—			—			—			—		(17.4		)	26.9			(1.6		)
Commercial mortgage-backed securities	6.2			—			—			7.0		—			—			(0.2		)	—		(5.2		)	7.8			—
Other asset-backed securities	35.9			—			0.2			32.8		—			—			(0.4		)	—		(24.4		)	44.1			—
Total fixed maturities, including securities pledged	829.0			(1.5		)	0.5			64.2		—			(1.1		)	(10.8		)	11.5		(47.0		)	844.8			(1.6		)
Equity securities, available-for-sale	50.3			—			0.1			—		—			—			—			—		—			50.4			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(141.2		)	8.1			—			—		(0.8		)	—			—			—		—			(133.9		)	—
FIA⁽²⁾	(23.0		)	(0.9		)	—			—		0.2			—			1.4			—		—			(22.3		)	—
Assets held in separate accounts⁽⁵⁾	3.1			0.1			—			3.8		—			(0.3		)	—			—		(1.1		)	5.6			—
⁽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 capital gains (losses) in the Condensed 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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) 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.



	Nine Months Ended September 30, 2017
	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 September 30			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	7.5		$	—		$	0.4		$	10.9	$	—		$	—		$	(1.0	)	$	8.6	$	—		$	26.4		$	—
U.S. Corporate private securities	524.7			0.1			5.8			46.4		—			(1.1		)	(10.6		)	43.3		(9.6		)	599.0			—
Foreign corporate public securities and foreign governments⁽¹⁾	0.1			—			—			—		—			—			—			—		—			0.1			—
Foreign corporate private securities⁽¹⁾	154.0			0.1			(2.0		)	31.7		—			—			(10.5		)	—		(32.8		)	140.5			0.1
Residential mortgage-backed securities	21.2			(5.2		)	(0.1		)	9.0		—			—			—			2.0		—			26.9			(5.3		)
Commercial mortgage-backed securities	9.8			—			—			8.0		—			—			(0.2		)	—		(9.8		)	7.8			—
Other asset-backed securities	26.7			—			0.7			32.8		—			—			(1.1		)	—		(15.0		)	44.1			—
Total fixed maturities, including securities pledged	744.0			(5.0		)	4.8			138.8		—			(1.1		)	(23.4		)	53.9		(67.2		)	844.8			(5.2		)
Equity securities, available-for-sale	47.9			—			0.8			1.7		—			—			—			—		—			50.4			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(150.5		)	19.7			—			—		(3.1		)	—			—			—		—			(133.9		)	—
FIA⁽²⁾	(23.3		)	(1.5		)	—			—		—			—			2.5			—		—			(22.3		)	—
Assets held in separate accounts⁽⁵⁾	5.4			0.1			—			9.9		—			(3.0		)	—			2.1		(8.9		)	5.6			—
⁽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 capital gains (losses) in the Condensed 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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) 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 tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:



	Three Months Ended September 30, 2016
	Fair Value as of July 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	20.7		$	—		$	—	$	—	$	—		$	—		$	—		$	—	$	(10.4	)	$	10.3		$	—
U.S. Corporate private securities	421.5			—			5.3		59.9		—			—			(14.3		)	—		—			472.4			—
Foreign corporate public securities and foreign governments⁽¹⁾	0.1			—			—		—		—			—			—			—		—			0.1			—
Foreign corporate private securities⁽¹⁾	167.9			(0.6		)	1.6		—		—			—			(4.6		)	—		—			164.3			(0.6		)
Residential mortgage-backed securities	25.4			(1.8		)	0.1		5.0		—			—			—			—		—			28.7			(1.8		)
Commercial mortgage-backed securities	9.2			—			0.1		11.3		—			—			(1.0		)	—		—			19.6			—
Other asset-backed securities	39.4			—			—		66.6		—			—			(0.3		)	—		(26.4		)	79.3			—
Total fixed maturities, including securities pledged	684.2			(2.4		)	7.1		142.8		—			—			(20.2		)	—		(36.8		)	774.7			(2.4		)
Equity securities, available-for-sale	48.8			—			0.6		—		—			—			—			—		—			49.4			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(272.0		)	6.1			—		—		(1.2		)	—			—			—		—			(267.1		)	—
FIA⁽²⁾	(21.2		)	(1.6		)	—		—		(0.1		)	—			1.1			—		—			(21.8		)	—
Assets held in separate accounts⁽⁵⁾	3.4			0.2			—		4.1		—			(0.7		)	—			2.1		—			9.1			—
⁽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 capital gains (losses) in the Condensed 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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) 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.



	Nine Months Ended September 30, 2016
	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 September 30			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	2.3		$	(0.1	)	$	0.6	$	—	$	—		$	(0.6	)	$	(0.5	)	$	8.6	$	—		$	10.3		$	—
U.S. Corporate private securities	396.4			(0.1		)	19.4		103.0		—			(17.5		)	(66.4		)	44.2		(6.6		)	472.4			(0.1		)
Foreign corporate public securities and foreign governments⁽¹⁾	0.5			(0.4		)	—		—		—			—			—			—		—			0.1			(0.4		)
Foreign corporate private securities⁽¹⁾	158.1			(0.6		)	8.6		—		—			(0.1		)	(18.5		)	19.6		(2.8		)	164.3			(0.6		)
Residential mortgage-backed securities	28.2			(4.6		)	0.1		5.0		—			—			—			—		—			28.7			(4.6		)
Commercial mortgage-backed securities	12.6			—			0.2		11.3		—			—			(3.5		)	—		(1.0		)	19.6			—
Other asset-backed securities	13.1			—			—		67.2		—			—			(1.0		)	—		—			79.3			—
Total fixed maturities, including securities pledged	611.2			(5.8		)	28.9		186.5		—			(18.2		)	(89.9		)	72.4		(10.4		)	774.7			(5.7		)
Equity securities, available-for-sale	47.5			—			1.9		—		—			—			—			—		—			49.4			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(161.3		)	(102.3		)	—		—		(3.5		)	—			—			—		—			(267.1		)	—
FIA⁽²⁾	(23.1		)	(1.1		)	—		—		0.1			—			2.3			—		—			(21.8		)	—
Assets held in separate accounts⁽⁵⁾	4.0			0.2			—		4.1		—			(0.7		)	—			5.5		(4.0		)	9.1			—
⁽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 capital gains (losses) in the Condensed 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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) 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 September 30, 2017:



	Range⁽¹⁾
Unobservable Input	FIA		Stabilizer / MCG
Interest rate implied volatility	—		0.1% to 6.6%
Nonperformance risk	0.24% to 1.3%		0.24% to 1.3%
Actuarial Assumptions:
Partial Withdrawals	0% to 7.0%		—
Lapses	0% to 42%	⁽²⁾	0% to 50%	⁽³⁾
Policyholder Deposits⁽⁴⁾	—		0% to 50%	⁽³⁾

⁽¹⁾ Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽²⁾ 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.

⁽³⁾ Stabilizer contracts with recordkeeping agreements have 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	92	%	0-25%	0-15%	0-30%	0-15%
Stabilizer with Recordkeeping Agreements	8	%	0-50%	0-30%	0-50%	0-25%
Aggregate of all plans	100	%	0-50%	0-30%	0-50%	0-25%

⁽⁴⁾ Measured as a percentage of assets under management or assets under administration.

The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2016:



	Range⁽¹⁾
Unobservable Input	FIA		Stabilizer / MCG
Interest rate implied volatility	—		0.1% to 7.5%
Nonperformance risk	0.25% to 1.6%		0.25% to 1.6%
Actuarial Assumptions:
Partial Withdrawals	0% to 7.0%		—
Lapses	0% to 42%	⁽²⁾	0% to 50%	⁽³⁾
Policyholder Deposits⁽⁴⁾	—		0% to 50%	⁽³⁾

⁽¹⁾ Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽³⁾ Stabilizer contracts with recordkeeping agreements have 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	93	%	0-25%	0-15%	0-30%	0-15%
Stabilizer with Recordkeeping Agreements	7	%	0-50%	0-30%	0-50%	0-25%
Aggregate of all plans	100	%	0-50%	0-30%	0-50%	0-25%

⁽⁴⁾ Measured as a percentage of assets under management or assets under administration.

Fair Value, by Balance Sheet Grouping

The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated:



	September 30, 2017						December 31, 2016
	Carrying Value			Fair Value			Carrying Value			Fair Value
Assets:
Fixed maturities, including securities pledged	$	25,296.3		$	25,296.3		$	24,895.0		$	24,895.0
Equity securities, available-for-sale	85.0			85.0			82.3			82.3
Mortgage loans on real estate	4,867.6			4,952.2			4,254.5			4,339.6
Policy loans	214.2			214.2			218.9			218.9
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,197.5			1,197.5			972.7			972.7
Derivatives	134.6			134.6			470.8			470.8
Notes receivable from affiliate	175.0			226.1			175.0			216.2
Assets held in separate accounts	73,158.5			73,158.5			61,980.7			61,980.7
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	25,449.7			29,831.0			24,942.7			28,876.5
Supplementary contracts, immediate annuities and other	366.1			431.9			386.1			437.5
Deposit liabilities	150.0			199.9			172.0			245.8
Derivatives:
Guaranteed benefit derivatives:
FIA	22.3			22.3			23.3			23.3
Stabilizer and MCGs	133.9			133.9			150.5			150.5
Other derivatives	61.6			61.6			172.9			172.9
Long-term debt	4.8			4.8			4.9			4.9
Embedded derivatives on reinsurance	(25.2		)	(25.2		)	(43.5		)	(43.5		)

⁽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.