Fair Value Measurements Level 3 (Tables)
|
3 Months Ended |
Mar. 31, 2017 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Assets and (liabilities) carried at fair value by hierarchy level |
| | | | | | | | | | | | | | Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of March 31, 2017 | | Total | Quoted Prices in
Active Markets
for Identical
Assets
(Level 1) | Significant
Observable
Inputs
(Level 2) | Significant
Unobservable
Inputs
(Level 3) | Assets accounted for at fair value on a recurring basis | | | | | Fixed maturities, AFS | | | | | Asset-backed-securities ("ABS") | $ | 2,265 |
| $ | — |
| $ | 2,140 |
| $ | 125 |
| Collateralized debt obligations ("CDOs") | 2,311 |
| — |
| 1,992 |
| 319 |
| Commercial mortgage-backed securities ("CMBS") | 5,099 |
| — |
| 4,982 |
| 117 |
| Corporate | 25,730 |
| — |
| 24,652 |
| 1,078 |
| Foreign government/government agencies | 1,187 |
| — |
| 1,121 |
| 66 |
| Bonds of municipalities and political subdivisions ("municipal bonds") | 11,780 |
| — |
| 11,663 |
| 117 |
| Residential mortgage-backed securities ("RMBS") | 3,921 |
| — |
| 1,873 |
| 2,048 |
| U.S. Treasuries | 4,033 |
| 688 |
| 3,345 |
| — |
| Total fixed maturities | 56,326 |
| 688 |
| 51,768 |
| 3,870 |
| Fixed maturities, FVO | 160 |
| — |
| 160 |
| — |
| Equity securities, trading [1] | 11 |
| 11 |
| — |
| — |
| Equity securities, AFS | 1,223 |
| 936 |
| 188 |
| 99 |
| Derivative assets | | | | | Credit derivatives | 2 |
| — |
| 2 |
| — |
| Equity derivatives | 4 |
| — |
| — |
| 4 |
| Foreign exchange derivatives | 3 |
| — |
| 3 |
| — |
| Interest rate derivatives | 48 |
| — |
| 43 |
| 5 |
| GMWB hedging instruments | 80 |
| — |
| 36 |
| 44 |
| Macro hedge program | 113 |
| — |
| 9 |
| 104 |
| Total derivative assets [2] | 250 |
| — |
| 93 |
| 157 |
| Short-term investments | 4,595 |
| 2,077 |
| 2,518 |
| — |
| Reinsurance recoverable for GMWB | 60 |
| — |
| — |
| 60 |
| Modified coinsurance reinsurance contracts | 66 |
| — |
| 66 |
| — |
| Separate account assets [3] | 113,585 |
| 73,539 |
| 38,882 |
| 277 |
| Total assets accounted for at fair value on a recurring basis | $ | 176,276 |
| $ | 77,251 |
| $ | 93,675 |
| $ | 4,463 |
| Liabilities accounted for at fair value on a recurring basis | | | | | Other policyholder funds and benefits payable | | | | | GMWB embedded derivative | $ | (157 | ) | $ | — |
| $ | — |
| $ | (157 | ) | Equity linked notes | (36 | ) | — |
| — |
| (36 | ) | Total other policyholder funds and benefits payable | (193 | ) | — |
| — |
| (193 | ) | Derivative liabilities | | | | | Credit derivatives | (2 | ) | — |
| (2 | ) | — |
| Equity derivatives | 37 |
| — |
| 37 |
| — |
| Foreign exchange derivatives | (262 | ) | — |
| (262 | ) | — |
| Interest rate derivatives | (517 | ) | — |
| (488 | ) | (29 | ) | GMWB hedging instruments | 3 |
| — |
| 1 |
| 2 |
| Macro hedge program | 58 |
| — |
| 3 |
| 55 |
| Total derivative liabilities [4] | (683 | ) | — |
| (711 | ) | 28 |
| Contingent consideration [5] | (26 | ) | — |
| — |
| (26 | ) | Total liabilities accounted for at fair value on a recurring basis | $ | (902 | ) | $ | — |
| $ | (711 | ) | $ | (191 | ) |
| | | | | | | | | | | | | | Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2016 | | Total | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Assets accounted for at fair value on a recurring basis | | | | | Fixed maturities, AFS | | | | | ABS | $ | 2,382 |
| $ | — |
| $ | 2,300 |
| $ | 82 |
| CDOs | 1,916 |
| — |
| 1,502 |
| 414 |
| CMBS | 4,936 |
| — |
| 4,856 |
| 80 |
| Corporate | 25,666 |
| — |
| 24,586 |
| 1,080 |
| Foreign government/government agencies | 1,171 |
| — |
| 1,107 |
| 64 |
| Municipal bonds | 11,486 |
| — |
| 11,368 |
| 118 |
| RMBS | 4,767 |
| — |
| 2,795 |
| 1,972 |
| U.S. Treasuries | 3,679 |
| 620 |
| 3,059 |
| — |
| Total fixed maturities | 56,003 |
| 620 |
| 51,573 |
| 3,810 |
| Fixed maturities, FVO | 293 |
| 1 |
| 281 |
| 11 |
| Equity securities, trading [1] | 11 |
| 11 |
| — |
| — |
| Equity securities, AFS | 1,097 |
| 821 |
| 177 |
| 99 |
| Derivative assets | | | | | Credit derivatives | 17 |
| — |
| 17 |
| — |
| Foreign exchange derivatives | 27 |
| — |
| 27 |
| — |
| Interest rate derivatives | (427 | ) | — |
| (427 | ) | — |
| GMWB hedging instruments | 74 |
| — |
| 14 |
| 60 |
| Macro hedge program | 128 |
| — |
| 8 |
| 120 |
| Other derivative contracts | 1 |
| — |
| — |
| 1 |
| Total derivative assets [2] | (180 | ) | — |
| (361 | ) | 181 |
| Short-term investments | 3,244 |
| 878 |
| 2,366 |
| — |
| Reinsurance recoverable for GMWB | 73 |
| — |
| — |
| 73 |
| Modified coinsurance reinsurance contracts | 68 |
| — |
| 68 |
| — |
| Separate account assets [3] | 111,634 |
| 71,606 |
| 38,856 |
| 201 |
| Total assets accounted for at fair value on a recurring basis | $ | 172,243 |
| $ | 73,937 |
| $ | 92,960 |
| $ | 4,375 |
| Liabilities accounted for at fair value on a recurring basis | | | | | Other policyholder funds and benefits payable | | | | | GMWB embedded derivative | $ | (241 | ) | $ | — |
| $ | — |
| $ | (241 | ) | Equity linked notes | (33 | ) | — |
| — |
| (33 | ) | Total other policyholder funds and benefits payable | (274 | ) | — |
| — |
| (274 | ) | Derivative liabilities | | | | | Credit derivatives | (13 | ) | — |
| (13 | ) | — |
| Equity derivatives | 33 |
| — |
| 33 |
| — |
| Foreign exchange derivatives | (237 | ) | — |
| (237 | ) | — |
| Interest rate derivatives | (542 | ) | — |
| (521 | ) | (21 | ) | GMWB hedging instruments | 20 |
| — |
| (1 | ) | 21 |
| Macro hedge program | 50 |
| — |
| 3 |
| 47 |
| Total derivative liabilities [4] | (689 | ) | — |
| (736 | ) | 47 |
| Contingent consideration [5] | (25 | ) | — |
| — |
| (25 | ) | Total liabilities accounted for at fair value on a recurring basis | $ | (988 | ) | $ | — |
| $ | (736 | ) | $ | (252 | ) |
| | [1] | Included in other investments on the Condensed Consolidated Balance Sheets. |
| | [2] | Includes OTC and OTC-cleared derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules and applicable law. See footnote 4 to this table for derivative liabilities. |
| | [3] | Approximately $3.0 billion and $4.0 billion of investment sales receivable, as of March 31, 2017, and December 31, 2016, respectively, are excluded from this disclosure requirement because they are trade receivables in the ordinary course of business where the carrying amount approximates fair value. Included in the total fair value amount are $887 and $1.0 billion of investments, as of March 31, 2017 and December 31, 2016, for which the fair value is estimated using the net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy. |
| | [4] | Includes OTC and OTC-cleared derivative instruments in a net negative fair value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements, which may be imposed by agreements, clearing house rules and applicable law. |
| | [5] | For additional information see the Contingent Consideration section below. |
|
| Information about significant unobservable inputs used in Level 3 assets measured at fair value |
| | | | | Significant Unobservable Inputs for Level 3 GMWB Embedded Customized and Reinsurance Derivatives | | As of March 31, 2017 | Significant Unobservable Input | Unobservable Inputs (Minimum) | Unobservable Inputs (Maximum) | Impact of Increase in Input
on Fair Value Measurement [1] | Withdrawal Utilization [2] | 15% | 100% | Increase | Withdrawal Rates [3] | —% | 8% | Increase | Lapse Rates [4] | —% | 40% | Decrease | Reset Elections [5] | 20% | 75% | Increase | Equity Volatility [6] | 9% | 30% | Increase | | As of December 31, 2016 | Significant Unobservable Input | Unobservable Inputs (Minimum) | Unobservable Inputs (Maximum) | Impact of Increase in Input
on Fair Value Measurement [1] | Withdrawal Utilization [2] | 15% | 100% | Increase | Withdrawal Rates [3] | —% | 8% | Increase | Lapse Rates [4] | —% | 40% | Decrease | Reset Elections [5] | 20% | 75% | Increase | Equity Volatility [6] | 12% | 30% | Increase |
| | [1] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. |
| | [2] | Range represents assumed cumulative percentages of policyholders taking withdrawals. |
| | [3] | Range represents assumed cumulative annual amount withdrawn by policyholders. |
| | [4] | Range represents assumed annual percentages of full surrender of the underlying variable annuity contracts across all policy durations for in force business. |
| | [5] | Range represents assumed cumulative percentages of policyholders that would elect to reset their guaranteed benefit base. |
| | [6] | Range represents implied market volatilities for equity indices based on multiple pricing sources. |
| | | | | | | | | | | | Significant Unobservable Inputs for Level 3 - Freestanding Derivatives | | Fair
Value | Predominant
Valuation
Technique | Significant Unobservable Input | Minimum | Maximum | Impact of
Increase in Input on
Fair Value [1] | As of March 31, 2017 | Interest rate derivatives | | | | | | | Interest rate swaps | $ | (29 | ) | Discounted cash flows | Swap curve beyond 30 years | 3 | % | 3 | % | Decrease | Interest rate swaptions [2] | 5 |
| Option model | Interest rate volatility | 2 | % | 2 | % | Increase | GMWB hedging instruments | | | | | | | Equity variance swaps | (39 | ) | Option model | Equity volatility | 16 | % | 20 | % | Increase | Equity options | 9 |
| Option model | Equity volatility | 26 | % | 28 | % | Increase | Customized swaps | 76 |
| Discounted cash flows | Equity volatility | 9 | % | 30 | % | Increase | Macro hedge program [3] | | | | | | | Equity options | 164 |
| Option model | Equity volatility | 15 | % | 32 | % | Increase | As of December 31, 2016 | Interest rate derivatives | | | | | | | Interest rate swaps | $ | (29 | ) | Discounted cash flows | Swap curve beyond 30 years | 3 | % | 3 | % | Decrease | Interest rate swaptions [2] | 8 |
| Option model | Interest rate volatility | 2 | % | 2 | % | Increase | GMWB hedging instruments | | | | | | | Equity variance swaps | (36 | ) | Option model | Equity volatility | 20 | % | 23 | % | Increase | Equity options | 17 |
| Option model | Equity volatility | 27 | % | 30 | % | Increase | Customized swaps | 100 |
| Discounted cash flows | Equity volatility | 12 | % | 30 | % | Increase | Macro hedge program [3] | | | | | | | Equity options | 188 |
| Option model | Equity volatility | 17 | % | 28 | % | Increase |
| | [1] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions. |
| | [2] | The swaptions presented are purchased options that have the right to enter into a pay-fixed swap. |
| | [3] | Excludes derivatives for which the Company bases fair value on broker quotations |
| | | | | | | | | | | Significant Unobservable Inputs for Level 3 - Securities | Assets accounted for at fair value on a recurring basis | Fair
Value | Predominant
Valuation
Technique | Significant Unobservable Input | Minimum | Maximum | Weighted Average [1] | Impact of
Increase in Input
on Fair Value [2] | As of March 31, 2017 | CMBS [3] | $ | 76 |
| Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 9 bps | 1,272 bps | 463 bps | Decrease | Corporate [4] | 438 |
| Discounted cash flows | Spread | 107 bps | 963 bps | 328 bps | Decrease | Municipal [3] | 101 |
| Discounted cash flows | Spread | 186 bps | 241 bps | 208 bps | Decrease | RMBS [3] | 2,038 |
| Discounted cash flows | Spread | 34 bps | 1,371 bps | 179 bps | Decrease | | | | Constant prepayment rate | —% | 20% | 4% | Decrease [5] | | | | Constant default rate | 1% | 10% | 5% | Decrease | | | | Loss severity | —% | 100% | 73% | Decrease | As of December 31, 2016 | CMBS [3] | $ | 52 |
| Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 10 bps | 1,273 bps | 366 bps | Decrease | Corporate [4] | 510 |
| Discounted cash flows | Spread | 122 bps | 1,302 bps | 359 bps | Decrease | Municipal [3] | 101 |
| Discounted cash flows | Spread | 135 bps | 286 bps | 221 bps | Decrease | RMBS [3] | 1,963 |
| Discounted cash flows | Spread | 16 bps | 1,830 bps | 192 bps | Decrease | | | | Constant prepayment rate | —% | 20% | 4% | Decrease [5] | | | | Constant default rate | —% | 11% | 5% | Decrease | | | | Loss severity | —% | 100% | 75% | Decrease |
| | [1] | The weighted average is determined based on the fair value of the securities. |
| | [2] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. |
| | [3] | Excludes securities for which the Company based fair value on broker quotations. |
| | [4] | Excludes securities for which the Company bases fair value on broker quotations; however, included are broker priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value. |
| | [5] | Decrease for above market rate coupons and increase for below market rate coupons. |
|
| Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 2017 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2017 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of March 31, 2017 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 82 |
| $ | — |
| $ | — |
| $ | 45 |
| $ | (5 | ) | $ | — |
| $ | 26 |
| $ | (23 | ) | $ | 125 |
| | CDOs | 414 |
| — |
| 4 |
| — |
| (1 | ) | — |
| — |
| (98 | ) | 319 |
| | CMBS | 80 |
| (1 | ) | — |
| 56 |
| (3 | ) | — |
| — |
| (15 | ) | 117 |
| | Corporate | 1,080 |
| 6 |
| 16 |
| 169 |
| (36 | ) | (160 | ) | 40 |
| (37 | ) | 1,078 |
| | Foreign Govt./Govt. Agencies | 64 |
| — |
| 3 |
| — |
| (1 | ) | — |
| — |
| — |
| 66 |
| | Municipal | 118 |
| — |
| 5 |
| — |
| — |
| (6 | ) | — |
| — |
| 117 |
| | RMBS | 1,972 |
| — |
| 6 |
| 173 |
| (96 | ) | (7 | ) | — |
| — |
| 2,048 |
| Total Fixed Maturities, AFS | 3,810 |
| 5 |
| 34 |
| 443 |
| (142 | ) | (173 | ) | 66 |
| (173 | ) | 3,870 |
| Fixed Maturities, FVO | 11 |
| — |
| — |
| 4 |
| (2 | ) | (13 | ) | — |
| — |
| — |
| Equity Securities, AFS | 99 |
| — |
| (4 | ) | 4 |
| — |
| — |
| — |
| — |
| 99 |
| Freestanding Derivatives, net [5] | | | | | | | | | | | Equity | — |
| (1 | ) | — |
| 5 |
| — |
| — |
| — |
| — |
| 4 |
| | Interest rate | (21 | ) | (3 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (24 | ) | | GMWB hedging instruments | 81 |
| (35 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 46 |
| | Macro hedge program | 167 |
| (8 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 159 |
| | Other contracts | 1 |
| (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| Total Freestanding Derivatives, net [5] | 228 |
| (48 | ) | — |
| 5 |
| — |
| — |
| — |
| — |
| 185 |
| Reinsurance Recoverable for GMWB | 73 |
| (17 | ) | — |
| — |
| 4 |
| — |
| — |
| — |
| 60 |
| Separate Accounts | 201 |
| — |
| 3 |
| 97 |
| (4 | ) | (8 | ) | 3 |
| (15 | ) | 277 |
| Total Assets | $ | 4,422 |
| $ | (60 | ) | $ | 33 |
| $ | 553 |
| $ | (144 | ) | $ | (194 | ) | $ | 69 |
| $ | (188 | ) | $ | 4,491 |
| Liabilities | | | | | | | | | | Other Policyholder Funds and Benefits Payable | | | | | | | | | | | Guaranteed Withdrawal Benefits | $ | (241 | ) | $ | 100 |
| $ | — |
| $ | — |
| $ | (16 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (157 | ) | | Equity Linked Notes | (33 | ) | (3 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (36 | ) | Total Other Policyholder Funds and Benefits Payable | (274 | ) | 97 |
| — |
| — |
| (16 | ) | — |
| — |
| — |
| (193 | ) | Contingent Consideration [7] | (25 | ) | (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (26 | ) | Total Liabilities | $ | (299 | ) | $ | 96 |
| $ | — |
| $ | — |
| $ | (16 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (219 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 2016 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2016 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of March 31, 2016 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 37 |
| $ | — |
| $ | — |
| $ | — |
| $ | (3 | ) | $ | — |
| $ | 5 |
| $ | (7 | ) | $ | 32 |
| | CDOs | 541 |
| — |
| — |
| — |
| 1 |
| — |
| — |
| — |
| 542 |
| | CMBS | 150 |
| (1 | ) | (8 | ) | 40 |
| (9 | ) | — |
| — |
| (38 | ) | 134 |
| | Corporate | 854 |
| (13 | ) | (7 | ) | 30 |
| (5 | ) | (25 | ) | 58 |
| (58 | ) | 834 |
| | Foreign Govt./Govt. Agencies | 60 |
| — |
| 5 |
| 14 |
| (1 | ) | (2 | ) | — |
| — |
| 76 |
| | Municipal | 49 |
| — |
| 1 |
| — |
| — |
| — |
| — |
| — |
| 50 |
| | RMBS | 1,622 |
| — |
| (14 | ) | 333 |
| (57 | ) | — |
| 2 |
| — |
| 1,886 |
| Total Fixed Maturities, AFS | 3,313 |
| (14 | ) | (23 | ) | 417 |
| (74 | ) | (27 | ) | 65 |
| (103 | ) | 3,554 |
| Fixed Maturities, FVO | 16 |
| (2 | ) | — |
| 5 |
| (1 | ) | — |
| — |
| (4 | ) | 14 |
| Equity Securities, AFS | 93 |
| (1 | ) | 2 |
| — |
| — |
| (2 | ) | — |
| — |
| 92 |
| Freestanding Derivatives, net [5] | | | | | | | | | | | Equity | — |
| (11 | ) | — |
| 16 |
| — |
| — |
| — |
| — |
| 5 |
| | Interest rate | (22 | ) | (6 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (28 | ) | | GMWB hedging instruments | 135 |
| 9 |
| — |
| — |
| — |
| — |
| — |
| — |
| 144 |
| | Macro hedge program | 147 |
| — |
| — |
| — |
| (2 | ) | — |
| — |
| — |
| 145 |
| | Other contracts | 7 |
| (2 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 5 |
| Total Freestanding Derivatives, net [5] | 267 |
| (10 | ) | — |
| 16 |
| (2 | ) | — |
| — |
| — |
| 271 |
| Reinsurance Recoverable for GMWB | 83 |
| 12 |
| — |
| — |
| 4 |
| — |
| — |
| — |
| 99 |
| Separate Accounts | 139 |
| — |
| 4 |
| 38 |
| (5 | ) | (10 | ) | 3 |
| (15 | ) | 154 |
| Total Assets | $ | 3,911 |
| $ | (15 | ) | $ | (17 | ) | $ | 476 |
| $ | (78 | ) | $ | (39 | ) | $ | 68 |
| $ | (122 | ) | $ | 4,184 |
| Liabilities | | | | | | | | | | Other Policyholder Funds and Benefits Payable | | | | | | | | | | | Guaranteed Withdrawal Benefits | $ | (262 | ) | $ | (82 | ) | $ | — |
| $ | — |
| $ | (17 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (361 | ) | | Equity Linked Notes | (26 | ) | 1 |
| — |
| — |
| — |
| — |
| — |
| — |
| (25 | ) | Total Other Policyholder Funds and Benefits Payable | (288 | ) | (81 | ) | — |
| — |
| (17 | ) | — |
| — |
| — |
| (386 | ) | Total Liabilities | $ | (288 | ) | $ | (81 | ) | $ | — |
| $ | — |
| $ | (17 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (386 | ) |
| | [1] | The Company classifies realized and unrealized gains (losses) on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives. |
| | [2] | Amounts in these rows are generally reported in net realized capital gains (losses). The realized/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 for the Company. All amounts are before income taxes and amortization of DAC. |
| | [3] | All amounts are before income taxes and amortization of DAC. |
| | [4] | Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs. |
| | [5] | Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported in the Condensed Consolidated Balance Sheets in other investments and other liabilities. |
| | [6] | Includes both market and non-market impacts in deriving realized and unrealized gains (losses). |
| | [7] | For additional information, see the Contingent Consideration section of Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements. |
| | [8] | Includes issuance of contingent consideration associated with the Lattice acquisition, see Note 2 - Business Disposition of Notes to Condensed Consolidated Financial Statements for additional discussion. |
| | | | | | | | | Changes in Unrealized Gains (Losses) Included in Net Income for Financial Instruments Classified as Level 3 Still Held at: | | | March 31, 2017 [1] [2] | March 31, 2016 [1] [2] | Assets | | | Fixed Maturities, AFS | | | | ABS | $ | — |
| $ | — |
| | CDOs | — |
| — |
| | CMBS | (1 | ) | (1 | ) | | Corporate | — |
| (13 | ) | | Foreign Govt./Govt. Agencies | — |
| — |
| | Municipal | — |
| — |
| | RMBS | — |
| — |
| Total Fixed Maturities, AFS | (1 | ) | (14 | ) | Fixed Maturities, FVO | — |
| (1 | ) | Equity Securities, AFS | — |
| (1 | ) | Freestanding Derivatives, net | | | | Equity | (1 | ) | (11 | ) | | Interest rate | (3 | ) | (6 | ) | | GMWB hedging instruments | (36 | ) | 9 |
| | Macro hedge program | (8 | ) | (1 | ) | | Other Contracts | — |
| (2 | ) | Total Freestanding Derivatives, net | (48 | ) | (11 | ) | Reinsurance Recoverable for GMWB | (17 | ) | 12 |
| Separate Accounts | — |
| — |
| Total Assets | $ | (66 | ) | $ | (15 | ) | Liabilities | | | Other Policyholder Funds and Benefits Payable | | | | Guaranteed Withdrawal Benefits | $ | 100 |
| $ | (82 | ) | | Equity Linked Notes | (3 | ) | 1 |
| Total Other Policyholder Funds and Benefits Payable | 97 |
| (81 | ) | Contingent Consideration [3] | (1 | ) | — |
| Total Liabilities | $ | 96 |
| $ | (81 | ) |
| | [1] | All amounts in these rows are reported in net realized capital gains (losses). The realized/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 for the Company. All amounts are before income taxes and amortization of DAC. |
| | [2] | Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein. |
| | [3] | For additional information, see the Contingent Consideration section of Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements. |
|
| Fair value of assets and liabilities accounted for using the fair value option |
| | | | | | | | Changes in Fair Value of Assets using Fair Value Option | | Three Months Ended March 31, | | 2017 | 2016 | Assets | | | Fixed maturities, FVO | | | Corporate | $ | (1 | ) | $ | — |
| Foreign government | — |
| (1 | ) | RMBS | 1 |
| 1 |
| Total fixed maturities, FVO | $ | — |
| $ | — |
| Equity, FVO | (1 | ) | (34 | ) | Total realized capital gains (losses) | $ | (1 | ) | $ | (34 | ) |
|
| Fair value of assets and liabilities accounted for using the fair value option |
| | | | | | | | Fair Value of Assets and Liabilities using the Fair Value Option | | March 31, 2017 | December 31, 2016 | Assets | | | Fixed maturities, FVO | | | ABS | $ | — |
| $ | 7 |
| CDOs | — |
| 3 |
| CMBS | — |
| 8 |
| Corporate | — |
| 40 |
| U.S government | — |
| 7 |
| RMBS | 160 |
| 228 |
| Total fixed maturities, FVO | $ | 160 |
| $ | 293 |
| Equity, FVO [1] | $ | 123 |
| $ | — |
|
| | [1] | Included in equity securities, AFS on the Condensed Consolidated Balance Sheets. |
|
| Financial Instruments Not Carried at Fair Value |
| | | | | | | | | Financial Assets and Liabilities Not Carried at Fair Value | | Fair Value Hierarchy Level | Carrying Amount | Fair Value | | March 31, 2017 | Assets | | | | Policy loans | Level 3 | $ | 1,442 |
| $ | 1,442 |
| Mortgage loans | Level 3 | 5,685 |
| 5,689 |
| Liabilities | | | | Other policyholder funds and benefits payable [1] | Level 3 | $ | 6,626 |
| $ | 6,809 |
| Senior notes [2] | Level 2 | 3,554 |
| 4,110 |
| Junior subordinated debentures [2] | Level 2 | 1,583 |
| 1,708 |
| Consumer notes [3] [4] | Level 3 | 14 |
| 14 |
| Assumed investment contracts [3] | Level 3 | 514 |
| 547 |
| | December 31, 2016 | Assets | | | | Policy loans | Level 3 | $ | 1,444 |
| $ | 1,444 |
| Mortgage loans | Level 3 | 5,697 |
| 5,721 |
| Liabilities | | | | Other policyholder funds and benefits payable [1] | Level 3 | $ | 6,714 |
| $ | 6,906 |
| Senior notes [2] | Level 2 | 3,969 |
| 4,487 |
| Junior subordinated debentures [2] | Level 2 | 1,083 |
| 1,246 |
| Consumer notes [3] [4] | Level 3 | 20 |
| 20 |
| Assumed investment contracts [3] | Level 3 | 487 |
| 526 |
|
| | [1] | Excludes guarantees on variable annuities, group accident and health and universal life insurance contracts, including corporate owned life insurance. |
| | [2] | Included in long-term debt in the Condensed Consolidated Balance Sheets, except for current maturities, which are included in short-term debt. |
| | [3] | Excludes amounts carried at fair value and included in preceding disclosures. |
| | [4] | Included in other liabilities in the Condensed Consolidated Balance Sheets. |
|