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.