XML 39 R25.htm IDEA: XBRL DOCUMENT v3.4.0.3
Investments and Derivative Instruments Level 3 (Tables)
 3 Months Ended
Mar. 31, 2016
Investments and Derivative Instruments [Abstract]  
Gain (Loss) on Investments [Table Text Block]
 
Three Months Ended March 31,
 
2016
2015
Credit impairments
$
18

$
3

Intent-to-sell impairments
2

9

Impairments on equity securities
3

—

Total impairments
$
23

$
12
Investments [Abstract]  
Net Realized Capital Gains (Losses)
Net Realized Capital Gains (Losses)
 
Three Months Ended March 31,
(Before tax)
2016
2015
Gross gains on sales
$
90

$
197

Gross losses on sales
(108
)
(148
)
Net OTTI losses recognized in earnings
(23
)
(12
)
Valuation allowances on mortgage loans
—

(3
)
Periodic net coupon settlements on credit derivatives
—

1

Results of variable annuity hedge program


GMWB derivatives, net
(17
)
1

Macro hedge program
(14
)
(4
)
Total results of variable annuity hedge program
(31
)
(3
)
Other, net [1]
(83
)
(27
)
Net realized capital gains (losses)
$
(155
)
$
5


[1]
Primarily consists of changes in the value of non-qualifying derivatives, transactional foreign currency revaluation gains (losses) on yen denominated fixed payout annuity liabilities and gains (losses) on non-qualifying derivatives used to hedge the foreign currency exposure of the liabilities. For the three months ended March 31, 2016 and 2015, gains (losses) from transactional foreign currency revaluation of $(50) and $0, respectively, were primarily related to the yen denominated fixed payout annuity liabilities. For the three months ended March 31, 2016 and 2015, gains (losses) on instruments used to hedge the foreign currency exposure on the fixed payout annuities were $36 and $(14), respectively.
Net realized capital gains and losses from investment sales are reported as a component of revenues and are determined on a specific identification basis. Before tax, net gains and losses on sales and impairments previously reported as unrealized gains in AOCI were $41 and $37 for the three months ended March 31, 2016 and 2015, respectively. Proceeds from sales of AFS securities totaled $4.9 billion and $6.2 billion for three months ended March 31, 2016 and 2015, respectively.
Other-Than-Temporary Impairment Losses
The following table presents a roll-forward of the Company’s cumulative credit impairments on fixed maturities held.
 
Three Months Ended March 31,
(Before tax)
2016
2015
Balance as of beginning of period
$
(324
)
$
(424
)
Additions for credit impairments recognized on [1]:


Securities not previously impaired
(17
)
(3
)
Securities previously impaired
(1
)
—

Reductions for credit impairments previously recognized on:


Securities that matured or were sold during the period
1

4

Securities the Company made the decision to sell or more likely than not will be required to sell
—

2

Securities due to an increase in expected cash flows
5

9

Balance as of end of period
$
(336
)
$
(412
)
[1]
These additions are included in the net OTTI losses recognized in earnings in the Condensed Consolidated Statements of Operations.
Schedule of Available-for-sale Securities Reconciliation [Table Text Block]
Available-for-Sale Securities
The following table presents the Company’s AFS securities by type.
 
March 31, 2016
 
December 31, 2015
 
Cost or
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Non-Credit
OTTI [1]
 
Cost or
Amortized
Cost
Gross
Unrealized
Gains
Gross
Unrealized
Losses
Fair
Value
Non-Credit
OTTI [1]
ABS
$
2,683

$
29

$
(47
)
$
2,665

$
—

 
$
2,520

$
24

$
(45
)
$
2,499

$
—

CDOs [2]
3,075

68

(37
)
3,107

—

 
2,989

75

(23
)
3,038

—

CMBS
5,132

155

(63
)
5,224

(8
)
 
4,668

105

(56
)
4,717

(8
)
Corporate
25,723

1,818

(244
)
27,297

(17
)
 
25,876

1,342

(416
)
26,802

(3
)
Foreign govt./govt. agencies
1,146

57

(14
)
1,189

—

 
1,321

34

(47
)
1,308

—

Municipal
11,186

1,124

(7
)
12,303

—

 
11,124

1,008

(11
)
12,121

—

RMBS
4,263

103

(28
)
4,338

—

 
3,986

82

(22
)
4,046

—

U.S. Treasuries
4,170

403

(3
)
4,570

—

 
4,481

222

(38
)
4,665

—

Total fixed maturities, AFS
$
57,378

$
3,757

$
(443
)
$
60,693

$
(25
)
 
$
56,965

$
2,892

$
(658
)
$
59,196

$
(11
)
Equity securities, AFS [3]
767

56

(25
)
798

—

 
842

38

(41
)
839

—

Total AFS securities
$
58,145

$
3,813

$
(468
)
$
61,491

$
(25
)
 
$
57,807

$
2,930

$
(699
)
$
60,035

$
(11
)
[1]
Represents the amount of cumulative non-credit OTTI losses recognized in OCI on securities that also had credit impairments. These losses are included in gross unrealized losses as of March 31, 2016, and December 31, 2015.
[2]
Gross unrealized gains (losses) exclude the fair value of bifurcated embedded derivatives within certain securities. Subsequent changes in value are recorded in net realized capital gains (losses).
[3]
Excluded equity securities, FVO, with a cost and fair value of $293 and $282 as of December 31, 2015. The Company held no equity securities, FVO as of March 31, 2016.
Investments Classified by Contractual Maturity Date [Table Text Block]
The following table presents the Company’s fixed maturities, AFS, by contractual maturity year.
 
March 31, 2016
December 31, 2015
Contractual Maturity
Amortized Cost
Fair Value
Amortized Cost
Fair Value
One year or less
$
2,509

$
2,527

$
2,373

$
2,405

Over one year through five years
10,591

10,986

10,929

11,200

Over five years through ten years
8,816

9,242

9,322

9,497

Over ten years
20,309

22,604

20,178

21,794

Subtotal
42,225

45,359

42,802

44,896

Mortgage-backed and asset-backed securities
15,153

15,334

14,163

14,300

Total fixed maturities, AFS
$
57,378

$
60,693

$
56,965

$
59,196


Estimated maturities may differ from contractual maturities due to security call or prepayment provisions. Due to the potential for variability in payment speeds (i.e. prepayments or extensions), mortgage-backed and asset-backed securities are not categorized by contractual maturity.
Unrealized Loss Aging on AFS Securities [Table Text Block]
Unrealized Losses on AFS Securities
The following tables present the Company’s unrealized loss aging for AFS securities by type and length of time the security was in a continuous unrealized loss position.
 
March 31, 2016
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
ABS
$
1,121

$
1,112

$
(9
)
 
$
368

$
330

$
(38
)
 
$
1,489

$
1,442

$
(47
)
CDOs [1]
1,543

1,523

(21
)
 
1,108

1,092

(16
)
 
2,651

2,615

(37
)
CMBS
1,370

1,322

(48
)
 
250

235

(15
)
 
1,620

1,557

(63
)
Corporate
3,810

3,662

(148
)
 
890

794

(96
)
 
4,700

4,456

(244
)
Foreign govt./govt. agencies
217

210

(7
)
 
78

71

(7
)
 
295

281

(14
)
Municipal
272

267

(5
)
 
33

31

(2
)
 
305

298

(7
)
RMBS
919

909

(10
)
 
743

725

(18
)
 
1,662

1,634

(28
)
U.S. Treasuries
248

246

(2
)
 
25

24

(1
)
 
273

270

(3
)
Total fixed maturities, AFS
$
9,500

$
9,251

$
(250
)
 
$
3,495

$
3,302

$
(193
)
 
$
12,995

$
12,553

$
(443
)
Equity securities, AFS [2]
276

257

(19
)
 
56

50

(6
)
 
332

307

(25
)
Total securities in an unrealized loss position
$
9,776

$
9,508

$
(269
)
 
$
3,551

$
3,352

$
(199
)
 
$
13,327

$
12,860

$
(468
)
 
December 31, 2015
 
Less Than 12 Months
 
12 Months or More
 
Total
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
 
Amortized Cost
Fair Value
Unrealized Losses
ABS
$
1,619

$
1,609

$
(10
)
 
$
357

$
322

$
(35
)
 
$
1,976

$
1,931

$
(45
)
CDOs [1]
1,164

1,154

(10
)
 
1,243

1,227

(13
)
 
2,407

2,381

(23
)
CMBS
1,726

1,681

(45
)
 
189

178

(11
)
 
1,915

1,859

(56
)
Corporate
9,206

8,866

(340
)
 
656

580

(76
)
 
9,862

9,446

(416
)
Foreign govt./govt. agencies
679

646

(33
)
 
124

110

(14
)
 
803

756

(47
)
Municipal
440

430

(10
)
 
18

17

(1
)
 
458

447

(11
)
RMBS
1,349

1,340

(9
)
 
415

402

(13
)
 
1,764

1,742

(22
)
U.S. Treasuries
2,432

2,394

(38
)
 
8

8

—

 
2,440

2,402

(38
)
Total fixed maturities, AFS
$
18,615

$
18,120

$
(495
)
 
$
3,010

$
2,844

$
(163
)
 
$
21,625

$
20,964

$
(658
)
Equity securities, AFS [2]
480

449

(31
)
 
62

52

(10
)
 
542

501

(41
)
Total securities in an unrealized loss position
$
19,095

$
18,569

$
(526
)
 
$
3,072

$
2,896

$
(173
)
 
$
22,167

$
21,465

$
(699
)
[1]
Unrealized losses exclude the change in fair value of bifurcated embedded derivatives within certain securities, for which changes in fair value are recorded in net realized capital gains (losses).
[2]
As of March 31, 2016, and December 31, 2015, excludes equity securities, FVO which are included in equity securities, AFS on the Condensed Consolidated Balance Sheets.
As of March 31, 2016, AFS securities in an unrealized loss position, consisted of 3,531 securities, primarily in the corporate sector, which were depressed primarily due to widening of credit spreads and/or an increase in interest rates since the securities were purchased. As of March 31, 2016, 92% of these securities were depressed less than 20% of cost or amortized cost. The decrease in unrealized losses during the first quarter of 2016 was primarily attributable to a decline in interest rates.
Schedule of Variable Interest Entities [Table Text Block]
Consolidated VIEs
The following table presents the carrying value of assets and liabilities, and the maximum exposure to loss relating to the VIEs for which the Company is the primary beneficiary. Creditors have no recourse against the Company in the event of default by these VIEs nor does the Company have any implied or unfunded commitments to these VIEs. The Company’s financial or other support provided to these VIEs is limited to its collateral or investment management services and original investment.
 
March 31, 2016
 
December 31, 2015
 
Total Assets
Total Liabilities [1]
Maximum Exposure to Loss [2]
 
Total Assets
Total Liabilities [1]
Maximum Exposure to Loss [2]
CDO [3]
$
5

$
5

$
—

 
$
5

$
5

$
—

Investment funds [4]
—

—

—

 
159

7

151

Limited partnerships and other alternative investments [5]
458

—

458

 
2

—

2

Total
$
463

$
5

$
458

 
$
166

$
12

$
153

[1]
Included in other liabilities on the Company’s Condensed Consolidated Balance Sheets.
[2]
The maximum exposure to loss represents the maximum loss amount that the Company could recognize as a reduction in net investment income or as a realized capital loss and is the cost basis of the Company’s investment.
[3]
Total assets included in cash on the Company’s Condensed Consolidated Balance Sheets.
[4]
Total assets included in fixed maturities, FVO, short-term investments, equity, AFS, and cash on the Company’s Condensed Consolidated Balance Sheets.
[5]
Total assets included in limited partnerships and other alternative investments, short-term investments, and other assets on the Company’s Condensed Consolidated Balance Sheets.
Effective January 1, 2016, the Company adopted new consolidation guidance which resulted in a hedge fund of funds that is part of limited partnerships and other alternative investments and which was previously consolidated as a voting interest entity, to be consolidated instead as a VIE. Accordingly, this investment in this hedge fund of funds has been included in the above table beginning with the March 31, 2016 reporting. This hedge fund of funds limited partnership is considered a VIE under the updated guidance and the Company has determined it is the primary beneficiary and will continue to consolidate the VIE. As of March 31, 2016, this limited partnership has outstanding commitments totaling $55, which may be called by the underlying partnerships during the commitment period to fund the purchase of new investments. For further information on the adoption, see Note 1 - Basis of Presentation and Significant Accounting Policies of Notes to Condensed Consolidated Financial Statements.
Also as a result of the adoption, the Company determined that two investment funds, that were previously identified as consolidated VIEs and for which the Company has management and control of the investments, are voting interest entities under the new consolidation guidance. The Company still owns a majority interest in the investment funds and the funds are still consolidated on the Company's Condensed Consolidated Financial Statements; however, as of March 31, 2016, these investment funds are not included as VIEs in the table above. CDO represents a structured investment vehicle for which the Company has a controlling financial interest as it provides collateral management services, earns a fee for those services and also holds investments in the security issued by this vehicle.
Non-qualifying Strategies for Hedge Accounting [Abstract]  
Notional and Fair Value for Macro Hedge Program [Table Text Block]
Macro Hedge Program
The Company utilizes equity swaps, options, and futures to partially hedge against a decline in the equity markets and the resulting statutory surplus and capital impact primarily arising from the guaranteed minimum death benefit ("GMDB") and GMWB obligations. The following table presents notional and fair value for the macro hedge program.
 
Notional Amount
Fair Value
 
March 31,
2016
December 31, 2015
March 31,
2016
December 31, 2015
Equity swaps, options, and futures
$
4,605

$
4,548

$
145

$
147

Total
$
4,605

$
4,548

$
145

$
147

 
Notional Amount
Fair Value
 
March 31,
2016
December 31, 2015
March 31,
2016
December 31, 2015
Customized swaps
$
5,622

$
5,877

$
150

$
131

Equity swaps, options, and futures
1,392

1,362

(6
)
2

Interest rate swaps and futures
3,773

3,740

48

25

Total
$
10,787

$
10,979

$
192

$
158
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
Derivative Balance Sheet Classification
The following table summarizes the balance sheet classification of the Company’s derivative related net fair value amounts as well as the gross asset and liability fair value amounts. For reporting purposes, the Company has elected to offset within total assets or total liabilities based upon the net of the fair value amounts, income accruals, and related cash collateral receivables and payables of OTC derivative instruments executed in a legal entity and with the same counterparty under a master netting agreement, which provides the Company with the legal right of offset. The Company has also elected to offset within total assets or total liabilities based upon the net of the fair value amounts, income accruals and related cash collateral receivables and payables of OTC-cleared derivative instruments based on clearing house agreements. The following fair value amounts do not include income accruals or related cash collateral receivables and payables, which are netted with derivative fair value amounts to determine balance sheet presentation. Derivative fair value reported as liabilities after taking into account the master netting agreements was $1.3 billion and $1.1 billion, respectively, as of March 31, 2016, and December 31, 2015. Derivatives in the Company’s separate accounts, where the associated gains and losses accrue directly to policyholders, are not included in the table below. The Company’s derivative instruments are held for risk management purposes, unless otherwise noted in the following table. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and is presented in the table to quantify the volume of the Company’s derivative activity. Notional amounts are not necessarily reflective of credit risk. The following tables exclude investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.
 
Net Derivatives
 
Asset Derivatives
 
Liability Derivatives
 
Notional Amount
 
Fair Value
 
Fair Value
 
Fair Value
Hedge Designation/ Derivative Type
Mar. 31, 2016
Dec. 31, 2015
 
Mar. 31, 2016
Dec. 31, 2015
 
Mar. 31, 2016
Dec. 31, 2015
 
Mar. 31, 2016
Dec. 31, 2015
Cash flow hedges
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
$
3,478

$
3,527

 
$
89

$
17

 
$
94

$
50

 
$
(5
)
$
(33
)
Foreign currency swaps
143

143

 
(18
)
(19
)
 
6

7

 
(24
)
(26
)
Total cash flow hedges
3,621

3,670

 
71

(2
)
 
100

57

 
(29
)
(59
)
Fair value hedges
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
23

23

 
—

—

 
—

—

 
—

—

Total fair value hedges
23

23

 
—

—

 
—

—

 
—

—

Non-qualifying strategies
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps, swaptions, and futures
14,545

14,290

 
(892
)
(814
)
 
475

297

 
(1,367
)
(1,111
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
 
 
 
Foreign currency swaps and forwards
317

653

 
6

17

 
6

17

 
—

—

Fixed payout annuity hedge
1,063

1,063

 
(321
)
(357
)
 
—

—

 
(321
)
(357
)
Credit contracts
 
 
 
 
 
 
 
 
 
 
 
Credit derivatives that purchase credit protection
494

423

 
(11
)
18

 
2

22

 
(13
)
(4
)
Credit derivatives that assume credit risk [1]
1,397

2,458

 
(9
)
(13
)
 
8

9

 
(17
)
(22
)
Credit derivatives in offsetting positions
4,034

4,059

 
(2
)
(2
)
 
43

40

 
(45
)
(42
)
Equity contracts
 
 
 
 
 
 
 
 
 
 
 
Equity index swaps and options
1,429

419

 
5

15

 
34

41

 
(29
)
(26
)
Variable annuity hedge program
 
 
 
 
 
 
 
 
 
 
 
GMWB product derivatives [2]
14,597

15,099

 
(361
)
(262
)
 
—

—

 
(361
)
(262
)
GMWB reinsurance contracts
3,005

3,106

 
99

83

 
99

83

 
—

—

GMWB hedging instruments
10,787

10,979

 
192

158

 
338

264

 
(146
)
(106
)
Macro hedge program
4,605

4,548

 
145

147

 
178

179

 
(33
)
(32
)
Other
 
 
 
 
 
 
 
 
 
 
 
Contingent capital facility put option
500

500

 
5

7

 
5

7

 
—

—

Modified coinsurance reinsurance contracts
905

895

 
57

79

 
57

79

 
—

—

Total non-qualifying strategies
57,678

58,492

 
(1,087
)
(924
)
 
1,245

1,038

 
(2,332
)
(1,962
)
Total cash flow hedges, fair value hedges, and non-qualifying strategies
$
61,322

$
62,185

 
$
(1,016
)
$
(926
)
 
$
1,345

$
1,095

 
$
(2,361
)
$
(2,021
)
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale
$
426

$
425

 
$
1

$
(3
)
 
$
1

$
—

 
$
—

$
(3
)
Other investments
23,359

23,253

 
100

1

 
566

409

 
(466
)
(408
)
Other liabilities
18,980

19,358

 
(887
)
(798
)
 
622

524

 
(1,509
)
(1,322
)
Reinsurance recoverables
3,910

4,000

 
156

162

 
156

162

 
—

—

Other policyholder funds and benefits payable
14,647

15,149

 
(386
)
(288
)
 
—

—

 
(386
)
(288
)
Total derivatives
$
61,322

$
62,185

 
$
(1,016
)
$
(926
)
 
$
1,345

$
1,095

 
$
(2,361
)
$
(2,021
)
[1]
The derivative instruments related to this strategy are held for other investment purposes.
[2]
These derivatives are embedded within liabilities and are not held for risk management purposes.
Offsetting Assets [Table Text Block]
As of March 31, 2016
 
(i)
 
(ii)
 
(iii) = (i) - (ii)
(iv)
 
(v) = (iii) - (iv)
 
 
 
 
 
Net Amounts Presented in the Statement of Financial Position
 
Collateral Disallowed for Offset in the Statement of Financial Position
 
 
 
Gross Amounts of Recognized Assets
 
Gross Amounts Offset in the Statement of Financial Position
 
Derivative Assets [1]
 
Accrued Interest and Cash Collateral Received [2]
 
Financial Collateral Received [4]
 
Net Amount
Description
 
 
 
 
 
 
 
 
 
 
 
Other investments
$
1,188

 
$
998

 
$
100

 
$
90

 
$
111

 
$
79

 
(i)
 
(ii)
 
(iii) = (i) - (ii)
(iv)
 
(v) = (iii) - (iv)
 
 
 
 
 
Net Amounts Presented in the Statement of Financial Position
 
Collateral Disallowed for Offset in the Statement of Financial Position
 
 
 
Gross Amounts of Recognized Assets
 
Gross Amounts Offset in the Statement of Financial Position
 
Derivative Assets [1]
 
Accrued Interest and Cash Collateral Received [2]
 
Financial Collateral Received [4]
 
Net Amount
Description
 
 
 
 
 
 
 
 
 
 
 
Other investments
$
933

 
$
756

 
$
1

 
$
176

 
$
100

 
$
77
Offsetting Liabilities [Table Text Block]
 
Gross Amounts of Recognized Liabilities
 
Gross Amounts Offset in the Statement of Financial Position
 
Derivative Liabilities [3]
 
Accrued Interest and Cash Collateral Pledged [3]
 
Financial Collateral Pledged [4]
 
Net Amount
Description
 
 
 
 
 
 
 
 
 
 
 
Other liabilities
$
(1,730
)
 
$
(818
)
 
$
(798
)
 
$
(114
)
 
$
(889
)
 
$
(23
)
 
Gross Amounts of Recognized Liabilities
 
Gross Amounts Offset in the Statement of Financial Position
 
Derivative Liabilities [3]
 
Accrued Interest and Cash Collateral Pledged [3]
 
Financial Collateral Pledged [4]
 
Net Amount
Description
 
 
 
 
 
 
 
 
 
 
 
Other liabilities
$
(1,975
)
 
$
(961
)
 
$
(887
)
 
$
(127
)
 
$
(950
)
 
$
(64
)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
Cash Flow Hedges
For derivative instruments that are designated and qualify as cash flow hedges, the effective portion of the gain or loss on the derivative is reported as a component of OCI and reclassified into earnings in the same period or periods during which the hedged transaction affects earnings. Gains and losses on the derivative representing hedge ineffectiveness are recognized in current period earnings. All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.
The following tables present the components of the gain or loss on derivatives that qualify as cash flow hedges:
Derivatives in Cash Flow Hedging Relationships
 
Gain (Loss) Recognized in OCI on Derivative (Effective Portion)
 
Net Realized Capital Gains(Losses) Recognized in Income on Derivative (Ineffective Portion)
 
Three Months Ended March 31,
 
Three Months Ended March 31,
 
2016
2015
 
2016
2015
Interest rate swaps
$
106

$
56

 
$
—

$
—

Foreign currency swaps
1

(7
)
 
—

—

Total
$
107

$
49

 
$
—

$
—

 
 
Gain or (Loss) Reclassified from AOCI into Income (Effective Portion)
 
 
Three Months Ended March 31,
 
Location
2016
2015
Interest rate swaps
Net realized capital gains (losses)
$
5

$
1

Interest rate swaps
Net investment income
15

16

Foreign currency swaps
Net realized capital gains (losses)
4

(10
)
Total
 
$
24

$
7
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
Fair Value Hedges
For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative as well as the offsetting loss or gain on the hedged item attributable to the hedged risk are recognized in current period earnings. The Company includes the gain or loss on the derivative in the same line item as the offsetting loss or gain on the hedged item. All components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.
For the three months ended March 31, 2016 and 2015, the Company recognized in income losses of less than $1, respectively, representing the ineffective portion of fair value hedges for the derivative instrument and the hedged item.
Gain or Loss Recognized with in Net Realized Capital Gains Losses on Non Qualifying Strategies [Table Text Block]
Derivatives Used in Non-Qualifying Strategies
Gain or (Loss) Recognized within Net Realized Capital Gains and Losses
 
Three Months Ended March 31,
 
2016
2015
Interest rate contracts
 
 
Interest rate swaps, swaptions, and futures
$
(24
)
$
(12
)
Foreign exchange contracts
 
 
Foreign currency swaps and forwards
3

7

Fixed payout annuity hedge [1]
36

(14
)
Credit contracts
 
 
Credit derivatives that purchase credit protection
(5
)
(2
)
Credit derivatives that assume credit risk
(2
)
9

Equity contracts
 
 
Equity index swaps and options
18

(3
)
Commodity contracts
 
 
Commodity options
—

(5
)
Variable annuity hedge program
 
 
GMWB product derivatives
(79
)
(19
)
GMWB reinsurance contracts
12

7

GMWB hedging instruments
50

13

Macro hedge program
(14
)
(4
)
Other
 
 
Contingent capital facility put option
(2
)
(2
)
Modified coinsurance reinsurance contracts
(22
)
(11
)
Total [2]
$
(29
)
$
(36
)
[1]
Not included in this amount is the associated liability adjustment for changes in foreign exchange spot rates through realized capital gains (losses) of $(44) and $0 for the three months ended March 31, 2016 and 2015, respectively.
[2]
Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements
Disclosure of Credit Derivatives [Table Text Block]
Credit Risk Assumed through Credit Derivatives
The Company enters into credit default swaps that assume credit risk of a single entity or referenced index in order to synthetically replicate investment transactions that would be permissible under the Company's investment policies. The Company will receive periodic payments based on an agreed upon rate and notional amount and will only make a payment if there is a credit event. A credit event payment will typically be equal to the notional value of the swap contract less the value of the referenced security issuer’s debt obligation after the occurrence of the credit event. A credit event is generally defined as a default on contractually obligated interest or principal payments or bankruptcy of the referenced entity. The credit default swaps in which the Company assumes credit risk primarily reference investment grade single corporate issuers and baskets, which include standard diversified portfolios of corporate and CMBS issuers. The diversified portfolios of corporate issuers are established within sector concentration limits and may be divided into tranches that possess different credit ratings.
The following tables present the notional amount, fair value, weighted average years to maturity, underlying referenced credit obligation type and average credit ratings, and offsetting notional amounts and fair value for credit derivatives in which the Company is assuming credit risk as of March 31, 2016, and December 31, 2015.
As of March 31, 2016
 
 
 
 
Underlying Referenced Credit
Obligation(s) [1]
 
 
Credit Derivative Type by Derivative Risk Exposure
Notional
Amount
[2]
Fair
Value
Weighted
Average
Years to
Maturity
Type
Average
Credit
Rating
Offsetting
Notional
Amount [3]
Offsetting
Fair
Value [3]
Single name credit default swaps
 
 
 
 
 
 
 
Investment grade risk exposure
$
102

$
—

2 years
Corporate Credit/
Foreign Gov.
A-
$
88

$
—

Below investment grade risk exposure
153

(1
)
1 year
Corporate Credit
BB-
153

—

Basket credit default swaps [4]
 
 
 
 
 
 
 
Investment grade risk exposure
2,046

18

3 years
Corporate Credit
BBB+
1,417

(12
)
Investment grade risk exposure
610

(18
)
5 years
CMBS Credit
AA+
206

2

Below investment grade risk exposure
153

(30
)
1 year
CMBS Credit
CCC
153

29

Embedded credit derivatives
 
 
 
 
 
 
 
Investment grade risk exposure
350

351

1 year
Corporate Credit
A+
—

—

Total [5]
$
3,414

$
320

 
 
 
$
2,017

$
19

As of December 31, 2015
 
 
 
 
Underlying Referenced
Credit Obligation(s) [1]
 
 
Credit Derivative Type by Derivative Risk Exposure
Notional
Amount [2]
Fair
Value
Weighted
Average
Years to
Maturity
Type
Average
Credit
Rating
Offsetting
Notional
Amount [3]
Offsetting
Fair
Value [3]
Single name credit default swaps
 
 
 
 
 
 
 
Investment grade risk exposure
$
190

$
(1
)
1 year
Corporate Credit/
Foreign Gov.
BBB+
$
176

$
(1
)
Below investment grade risk exposure
77

(2
)
2 years
Corporate Credit
B
77

1

Basket credit default swaps [4]
 
 
 
 
 
 
 
Investment grade risk exposure
3,036

22

4 years
Corporate Credit
BBB+
1,411

(13
)
Investment grade risk exposure
681

(19
)
6 years
CMBS Credit
AA+
212

1

Below investment grade risk exposure
153

(25
)
1 year
CMBS Credit
CCC
153

25

Embedded credit derivatives
 
 
 
 
 
 
 
Investment grade risk exposure
350

346

1 year
Corporate Credit
A+
—

—

Total [5]
$
4,487

$
321

 
 
 
$
2,029

$
13


[1]
The average credit ratings are based on availability and the midpoint of the applicable ratings among Moody’s, S&P, Fitch, and Morningstar. If no rating is available from a rating agency, then an internally developed rating is used.
[2]
Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements, clearing house rules, and applicable law, which include collateral posting requirements. There is no additional specific collateral related to these contracts or recourse provisions included in the contracts to offset losses.
[3]
The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future changes in value of, or losses paid related to, the original swap.
[4]
Includes $2.8 billion and $3.9 billion as of March 31, 2016, and December 31, 2015, respectively, of standard market indices of diversified portfolios of corporate and CMBS issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market index.
[5]
Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements
Schedule of Accounts, Notes, Loans and Financing Receivable [Table Text Block]
Mortgage Loans
Mortgage Loan Valuation Allowances
The Company’s security monitoring process reviews mortgage loans on a quarterly basis to identify potential credit losses. Commercial mortgage loans are considered to be impaired when management estimates that, based upon current information and events, it is probable that the Company will be unable to collect amounts due according to the contractual terms of the loan agreement. Criteria used to determine if an impairment exists include, but are not limited to: current and projected macroeconomic factors, such as unemployment rates, and property-specific factors such as rental rates, occupancy levels, LTV ratios and debt service coverage ratios (“DSCR”). In addition, the Company considers historic, current and projected delinquency rates and property values. These assumptions require the use of significant management judgment and include the probability and timing of borrower default and loss severity estimates. In addition, projections of expected future cash flows may change based upon new information regarding the performance of the borrower and/or underlying collateral such as changes in the projections of the underlying property value estimates.
For mortgage loans that are deemed impaired, a valuation allowance is established for the difference between the carrying amount and the Company’s share of either (a) the present value of the expected future cash flows discounted at the loan’s effective interest rate, (b) the loan’s observable market price or, most frequently, (c) the fair value of the collateral. A valuation allowance has been established for either individual loans or as a projected loss contingency for loans with an LTV ratio of 90% or greater and after consideration of other credit quality factors, including DSCR. Changes in valuation allowances are recorded in net realized capital gains and losses. Interest income on impaired loans is accrued to the extent it is deemed collectible and the loans continue to perform under the original or restructured terms. Interest income ceases to accrue for loans when it is probable that the Company will not receive interest and principal payments according to the contractual terms of the loan agreement. Loans may resume accrual status when it is determined that sufficient collateral exists to satisfy the full amount of the loan and interest payments as well as when it is probable cash will be received in the foreseeable future. Interest income on defaulted loans is recognized when received.
 
March 31, 2016
 
December 31, 2015
 
Amortized Cost [1]
Valuation Allowance
Carrying Value
 
Amortized Cost [1]
Valuation Allowance
Carrying Value
Total commercial mortgage loans
$
5,659

$
(22
)
$
5,637

 
$
5,647

$
(23
)
$
5,624

[1]
Amortized cost represents carrying value prior to valuation allowances, if any.
As of March 31, 2016, and December 31, 2015, the carrying value of mortgage loans associated with the valuation allowance was $34 and $82, respectively. There were no mortgage loans held-for-sale as of March 31, 2016, or December 31, 2015. As of March 31, 2016, loans within the Company’s mortgage loan portfolio that have had extensions or restructurings other than what is allowable under the original terms of the contract are immaterial.
The following table presents the activity within the Company’s valuation allowance for mortgage loans. These loans have been evaluated both individually and collectively for impairment. Loans evaluated collectively for impairment are immaterial.
 
2016
2015
Balance, as of January 1
$
(23
)
$
(18
)
(Additions)/Reversals
—

(3
)
Deductions
1

—

Balance, as of March 31
$
(22
)
$
(21
)
The following tables present the carrying value of the Company’s mortgage loans by region and property type.
Mortgage Loans by Region
 
March 31, 2016
 
December 31, 2015
 
Carrying Value
Percent of Total
 
Carrying Value
Percent of Total
East North Central
$
315

5.6
%
 
$
289

5.1
%
East South Central
14

0.2
%
 
14

0.2
%
Middle Atlantic
383

6.8
%
 
384

6.8
%
Mountain
35

0.6
%
 
32

0.6
%
New England
445

7.9
%
 
446

7.9
%
Pacific
1,636

29.1
%
 
1,669

29.7
%
South Atlantic
1,175

20.8
%
 
1,174

20.9
%
West North Central
29

0.5
%
 
29

0.5
%
West South Central
339

6.0
%
 
318

5.7
%
Other [1]
1,266

22.5
%
 
1,269

22.6
%
Total mortgage loans
$
5,637

100.0
%
 
$
5,624

100.0
%
[1]
Primarily represents loans collateralized by multiple properties in various regions.
The weighted-average LTV ratio of the Company’s commercial mortgage loan portfolio was 55% as of March 31, 2016, while the weighted-average LTV ratio at origination of these loans was 63%. LTV ratios compare the loan amount to the value of the underlying property collateralizing the loan. The loan values are updated no less than annually through property level reviews of the portfolio. Factors considered in the property valuation include, but are not limited to, actual and expected property cash flows, geographic market data and capitalization rates. DSCR compares a property’s net operating income to the borrower’s principal and interest payments. The weighted average DSCR of the Company’s commercial mortgage loan portfolio was 2.64x as of March 31, 2016. As of March 31, 2016, and December 31, 2015, the Company held two delinquent commercial mortgage loans past due by 90 days or more. The loans had a total carrying value and valuation allowance of $17 and $20, respectively, and were not accruing income.
The following table presents the carrying value of the Company’s commercial mortgage loans by LTV and DSCR.
Commercial Mortgage Loans Credit Quality
 
March 31, 2016
 
December 31, 2015
Loan-to-value
Carrying Value
Avg. Debt-Service Coverage Ratio
 
Carrying Value
Avg. Debt-Service Coverage Ratio
Greater than 80%
$
17

0.77x
 
$
24

0.81x
65% - 80%
753

1.94x
 
623

1.82x
Less than 65%
4,867

2.78x
 
4,977

2.75x
Total commercial mortgage loans
$
5,637

2.64x
 
$
5,624

2.63x
Mortgage Loans by Property Type
 
March 31, 2016
 
December 31, 2015
 
Carrying Value
Percent of Total
 
Carrying
Value
Percent of Total
Commercial
 
 
 
 
 
Agricultural
$
19

0.3
%
 
$
26

0.5
%
Industrial
1,444

25.6
%
 
1,422

25.3
%
Lodging
25

0.4
%
 
26

0.5
%
Multifamily
1,397

24.8
%
 
1,345

23.9
%
Office
1,509

26.8
%
 
1,547

27.5
%
Retail
1,093

19.4
%
 
1,109

19.7
%
Other
150

2.7
%
 
149

2.6
%
Total mortgage loans
$
5,637

100.0
%
 
$
5,624

100.0
%