XML 39 R26.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value Measurements Level 3 (Tables)
 6 Months Ended
Jun. 30, 2016
Fair Value Disclosures [Abstract]  
Assets and (liabilities) carried at fair value by hierarchy level
 
June 30, 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
 
 
 
 
Asset-backed-securities ("ABS")
$
2,777

$
—

$
2,736

$
41

Collateralized debt obligations ("CDOs")
2,867

—

2,389

478

Commercial mortgage-backed securities ("CMBS")
5,195

—

5,116

79

Corporate
27,158

—

26,022

1,136

Foreign government/government agencies
1,188

—

1,116

72

Municipal
12,611

—

12,521

90

Residential mortgage-backed securities ("RMBS")
4,826

—

2,953

1,873

U.S. Treasuries
4,619

509

4,110

—

Total fixed maturities
61,241

509

56,963

3,769

Fixed maturities, FVO
411

—

405

6

Equity securities, trading [1]
11

11

—

—

Equity securities, AFS
827

564

166

97

Derivative assets
 
 
 
 
Credit derivatives
29

—

29

—

Foreign exchange derivatives
27

—

27

—

Interest rate derivatives
115

—

115

—

Guaranteed minimum withdrawal benefit ("GMWB") hedging instruments
85

—

(2
)
87

Macro hedge program
49

—

—

49

Other derivative contracts
4

—

—

4

Total derivative assets [2]
309

—

169

140

Short-term investments
2,497

457

2,040

—

Limited partnerships and other alternative investments [3]
5

—

—

—

Reinsurance recoverable for GMWB
106

—

—

106

Modified coinsurance reinsurance contracts
32

—

32

—

Separate account assets [4]
114,607

73,805

39,605

171

Total assets accounted for at fair value on a recurring basis
$
180,046

$
75,346

$
99,380

$
4,289

Liabilities accounted for at fair value on a recurring basis
 
 
 
 
Other policyholder funds and benefits payable
 
 
 
 
GMWB
$
(412
)
$
—

$
—

$
(412
)
Equity linked notes
(28
)
—

—

(28
)
Total other policyholder funds and benefits payable
(440
)
—

—

(440
)
Derivative liabilities
 
 
 
 
Credit derivatives
(36
)
—

(36
)
—

Equity derivatives
28

—

27

1

Foreign exchange derivatives
(281
)
—

(281
)
—

Interest rate derivatives
(919
)
—

(887
)
(32
)
GMWB hedging instruments
118

—

40

78

Macro hedge program
98

—

6

92

Total derivative liabilities [5]
(992
)
—

(1,131
)
139

Total liabilities accounted for at fair value on a recurring basis
$
(1,432
)
$
—

$
(1,131
)
$
(301
)
 
December 31, 2015
 
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
$
2,499

$
—

$
2,462

$
37

CDOs
3,038

—

2,497

541

CMBS
4,717

—

4,567

150

Corporate
26,802

—

25,948

854

Foreign government/government agencies
1,308

—

1,248

60

Municipal
12,121

—

12,072

49

RMBS
4,046

—

2,424

1,622

U.S. Treasuries
4,665

740

3,925

—

Total fixed maturities
59,196

740

55,143

3,313

Fixed maturities, FVO
503

2

485

16

Equity securities, trading [1]
11

11





Equity securities, AFS
1,121

874

154

93

Derivative assets
 
 
 
 
Credit derivatives
21

—

21

—

Foreign exchange derivatives
15

—

15

—

Interest rate derivatives
(227
)
—

(227
)
—

GMWB hedging instruments
111

—

27

84

Macro hedge program
74

—

—

74

Other derivative contracts
7

—

—

7

Total derivative assets [2]
1

—

(164
)
165

Short-term investments
1,843

333

1,510

—

Limited partnerships and other alternative investments [3]
622

—

—

—

Reinsurance recoverable for GMWB
83

—

—

83

Modified coinsurance reinsurance contracts
79

—

79

—

Separate account assets [4]
118,174

78,110

38,700

140

Total assets accounted for at fair value on a recurring basis
$
181,633

$
80,070

$
95,907

$
3,810

Liabilities accounted for at fair value on a recurring basis
 
 
 
 
Other policyholder funds and benefits payable
 
 
 
 
GMWB
$
(262
)
$
—

$
—

$
(262
)
Equity linked notes
(26
)
—

—

(26
)
Total other policyholder funds and benefits payable
(288
)
—

—

(288
)
Derivative liabilities
 
 
 
 
Credit derivatives
(16
)
—

(16
)
—

Equity derivatives
41

—

41

—

Foreign exchange derivatives
(374
)
—

(374
)
—

Interest rate derivatives
(569
)
—

(547
)
(22
)
GMWB hedging instruments
47

—

(4
)
51

Macro hedge program
73

—

—

73

Total derivative liabilities [5]
(798
)
—

(900
)
102

Total liabilities accounted for at fair value on a recurring basis
$
(1,086
)
$
—

$
(900
)
$
(186
)
[1]
Included in other investments on the Condensed Consolidated Balance Sheets.
[2]
Includes over-the-counter ("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 the following footnote 5 for derivative liabilities.
[3]
Represents hedge funds where investment company accounting has been applied to a wholly-owned fund of funds measured at fair value. The fair value is estimated using the net asset value per unit as a practical expedient and is excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the retrospective adoption of ASU 2015-07, Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent), on January 1, 2016.
[4]
Approximately $3.2 billion and $1.8 billion of investment sales receivable, as of June 30, 2016, and December 31, 2015, 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 $1.0 billion and $1.2 billion of investments, as of June 30, 2016 and December 31, 2015, for which the fair value is estimated using the net asset value per unit as a practical expedient and which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy in connection with the retrospective adoption of ASU 2015-07, Disclosure for Investments in Certain Entities That Calculate Net Asset Value per Share (or its Equivalent), on January 1, 2016.
[5]
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.
Information about significant unobservable inputs used in Level 3 assets measured at fair value
The following tables present information about significant unobservable inputs used in Level 3 assets measured at fair value. The tables exclude ABS, CRE CDOs, certain CMBS, corporate and municipal securities as well as index options for which fair values are based on broker quotations.
Securities
Unobservable Inputs

As of June 30, 2016
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]
CMBS [3]
$
58

Discounted cash flows
Spread (encompasses prepayment, default risk and loss severity)
10 bps
1,275 bps
344 bps
Decrease
Corporate [3]
590

Discounted cash flows
Spread
158 bps
1,750 bps
401 bps
Decrease
Municipal [3]
72

Discounted cash flows
Spread
223 bps
283 bps
245 bps
Decrease
RMBS
1,873

Discounted cash flows
Spread
54 bps
1,896 bps
212 bps
Decrease
 
 
 
Constant prepayment rate
—%
20%
3%
 Decrease [4]
 
 
 
Constant default rate
1%
11%
6%
Decrease
 
 
 
Loss severity
—%
100%
79%
Decrease
 
As of December 31, 2015
CMBS [3]
$
122

Discounted cash flows
Spread (encompasses prepayment, default risk and loss severity)
31 bps
1,505 bps
266 bps
Decrease
Corporate [3]
339

Discounted cash flows
Spread
63 bps
800 bps
306 bps
Decrease
Municipal [3]
31

Discounted cash flows
Spread
193 bps
193 bps
193 bps
Decrease
RMBS
1,622

Discounted cash flows
Spread
30 bps
1,696 bps
178 bps
Decrease
 
 
 
Constant prepayment rate
—%
20%
2%
Decrease [4]
 
 
 
Constant default rate
1%
10%
6%
Decrease
 
 
 
Loss severity
—%
100%
78%
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 bases fair value on broker quotations as noted in the following discussion.
[4]
Decrease for above market rate coupons and increase for below market rate coupons.
Freestanding Derivatives
Unobservable Inputs

As of June 30, 2016
 
Fair
Value
Predominant
Valuation 
Technique
Significant Unobservable Input
Minimum
Maximum
Impact of 
Increase in Input on 
Fair Value [1]
Interest rate derivative
 
 
 
 
 
 
Interest rate swaps
$
(34
)
Discounted cash flows
Swap curve beyond 30 years
2
%
2
%
Decrease
Interest rate swaptions [2]
2

Option model
Interest rate volatility
1
%
1
%
Increase
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(34
)
Option model
Equity volatility
22
%
24
%
Increase
Equity options
33

Option model
Equity volatility
27
%
30
%
Increase
Customized swaps
166

Discounted cash flows
Equity volatility
12
%
30
%
Increase
Macro hedge program [3]
 
 
 
 
 
 
Equity options
175

Option model
Equity volatility
12
%
28
%
Increase
 
As of December 31, 2015
Interest rate derivative
 
 
 
 
 
 
Interest rate swaps
$
(30
)
Discounted cash flows
Swap curve beyond 30 years
3
%
3
%
Decrease
Interest rate swaptions [2]
8

Option model
Interest rate volatility
1
%
2
%
Increase
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(31
)
Option model
Equity volatility
19
%
21
%
Increase
Equity options
35

Option model
Equity volatility
27
%
29
%
Increase
Customized swaps
131

Discounted cash flows
Equity volatility
10
%
40
%
Increase
Macro hedge program [3]
 
 
 
 
 
 
Equity options
179

Option model
Equity volatility
14
%
28
%
Increase

Freestanding Derivatives
Unobservable Inputs

As of June 30, 2016
 
Fair
Value
Predominant
Valuation 
Technique
Significant Unobservable Input
Minimum
Maximum
Impact of 
Increase in Input on 
Fair Value [1]
Interest rate derivative
 
 
 
 
 
 
Interest rate swaps
$
(34
)
Discounted cash flows
Swap curve beyond 30 years
2
%
2
%
Decrease
Interest rate swaptions [2]
2

Option model
Interest rate volatility
1
%
1
%
Increase
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(34
)
Option model
Equity volatility
22
%
24
%
Increase
Equity options
33

Option model
Equity volatility
27
%
30
%
Increase
Customized swaps
166

Discounted cash flows
Equity volatility
12
%
30
%
Increase
Macro hedge program [3]
 
 
 
 
 
 
Equity options
175

Option model
Equity volatility
12
%
28
%
Increase
 
As of December 31, 2015
Interest rate derivative
 
 
 
 
 
 
Interest rate swaps
$
(30
)
Discounted cash flows
Swap curve beyond 30 years
3
%
3
%
Decrease
Interest rate swaptions [2]
8

Option model
Interest rate volatility
1
%
2
%
Increase
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(31
)
Option model
Equity volatility
19
%
21
%
Increase
Equity options
35

Option model
Equity volatility
27
%
29
%
Increase
Customized swaps
131

Discounted cash flows
Equity volatility
10
%
40
%
Increase
Macro hedge program [3]
 
 
 
 
 
 
Equity options
179

Option model
Equity volatility
14
%
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.
 
As of June 30, 2016
Significant Unobservable Input
Unobservable Inputs (Minimum)
Unobservable Inputs (Maximum)
Impact of Increase in Input
on Fair Value Measurement [1]
Withdrawal Utilization [2]
20%
100%
Increase
Withdrawal Rates [3]
—%
8%
Increase
Lapse Rates [4]
—%
75%
Decrease
Reset Elections [5]
20%
75%
Increase
Equity Volatility [6]
12%
30%
Increase
 
As of December 31, 2015
Significant Unobservable Input
Unobservable Inputs (Minimum)
Unobservable Inputs (Maximum)
Impact of Increase in Input
on Fair Value Measurement [1]
Withdrawal Utilization [2]
20%
100%
Increase
Withdrawal Rates [3]
—%
8%
Increase
Lapse Rates [4]
—%
75%
Decrease
Reset Elections [5]
20%
75%
Increase
Equity Volatility [6]
10%
40%
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.
Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
For the three months ended June 30, 2016
 
Fixed Maturities, AFS
 
Assets
ABS
CDOs
CMBS
Corporate
Foreign
Govt./Govt.
Agencies
Municipal
RMBS
Total  Fixed
Maturities,
AFS
Fixed
Maturities,
FVO
Fair value as of March 31, 2016
$
32

$
542

$
134

$
834

$
76

$
50

$
1,886

$
3,554

$
14

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
—

(1
)
—

(1
)
1

—

—

(1
)
1

Included in OCI [3]
—

(2
)
5

19

4

4

10

40

—

Purchases
—

—

10

37

1

20

97

165

1

Settlements
(4
)
(61
)
(9
)
(50
)
(1
)
—

(101
)
(226
)
(1
)
Sales
—

—

(3
)
(66
)
(9
)
—

—

(78
)
(3
)
Transfers into Level 3 [4]
13

—

1

455

—

16

3

488

—

Transfers out of Level 3 [4]
—

—

(59
)
(92
)
—

—

(22
)
(173
)
(6
)
Fair value as of June 30, 2016
$
41

$
478

$
79

$
1,136

$
72

$
90

$
1,873

$
3,769

$
6

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
—

$
—

$
—

$
(1
)
$
—

$
—

$
—

$
(1
)
$
—

 
 
Freestanding Derivatives [5]
Assets (Liabilities)
Equity
Securities,
AFS
Equity
Interest
Rate
GMWB
Hedging
Macro
Hedge
Program
Other
Contracts
Total Free-
Standing
Derivatives [5]
Fair value as of March 31, 2016
$
92

$
5

$
(28
)
$
144

$
145

$
5

$
271

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
1

(4
)
(4
)
15

(4
)
(1
)
2

Included in OCI [3]
5

—

—

—

—

—

—

Purchases
2

—

—

—

—

—

—

Settlements
—

—

—

—

—

—

—

Sales
(3
)
—

—

—

—

—

—

Transfers into Level 3 [4]
—

—

—

—

—

—

—

Transfers out of Level 3 [4]
—

—

—

6

—

—

6

Fair value as of June 30, 2016
$
97

$
1

$
(32
)
$
165

$
141

$
4

$
279

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
—

$
(4
)
$
(4
)
$
15

$
(4
)
$
(1
)
$
2

Assets
Reinsurance Recoverable for GMWB
Separate Accounts
Fair value as of March 31, 2016
$
99

$
154

Total realized/unrealized gains (losses)
 
 
Included in net income [1] [2] [6]
3

—

Included in OCI [3]
—

3

Purchases
—

22

Settlements
4

(3
)
Sales
—

(6
)
Transfers into Level 3 [4]
—

3

Transfers out of Level 3 [4]
—

(2
)
Fair value as of June 30, 2016
$
106

$
171

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
3

$
—

 
Other Policyholder Funds and Benefits Payable
Liabilities
Guaranteed Withdrawal Benefits
Equity Linked Notes
Total Other Policyholder Funds and Benefits Payable
Fair value as of March 31, 2016
$
(361
)
$
(25
)
$
(386
)
Total realized/unrealized gains (losses)
 
 
$
—

Included in net income [1] [2] [6]
(35
)
(3
)
$
(38
)
Settlements
(16
)
—

$
(16
)
Fair value as of June 30, 2016
$
(412
)
$
(28
)
$
(440
)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
(35
)
$
(3
)
$
(38
)

For the six months ended June 30, 2016
 
Fixed Maturities, AFS
 
Assets
ABS
CDOs
CMBS
Corporate
Foreign Govt./Govt. Agencies
Municipal
RMBS
Total Fixed Maturities, AFS
Fixed Maturities, FVO
Fair value as of January 1, 2016
$
37

$
541

$
150

$
854

$
60

$
49

$
1,622

$
3,313

$
16

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
—

(1
)
(1
)
(14
)
1

—

—

(15
)
(1
)
Included in OCI [3]
—

(2
)
(3
)
12

9

5

(4
)
17

—

Purchases
—

—

50

67

15

20

430

582

6

Settlements
(7
)
(60
)
(18
)
(55
)
(2
)
—

(158
)
(300
)
(2
)
Sales
—

—

(3
)
(91
)
(11
)
—

—

(105
)
(3
)
Transfers into Level 3 [4]
18

—

1

513

—

16

5

553

—

Transfers out of Level 3 [4]
(7
)
—

(97
)
(150
)
—

—

(22
)
(276
)
(10
)
Fair value as of June 30, 2016
$
41

$
478

$
79

$
1,136

$
72

$
90

$
1,873

$
3,769

$
6

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
—

$
—

$
(1
)
$
(1
)
$
—

$
—

$
—

$
(2
)
$
(1
)
 
 
Freestanding Derivatives [5]
Assets (Liabilities)
Equity Securities, AFS
Equity
Interest Rate
GMWB Hedging
Macro Hedge Program
Other Contracts
Total Free-Standing Derivatives [5]
Fair value as of January 1, 2016
$
93

$
—

$
(22
)
$
135

$
147

$
7

$
267

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
—

(15
)
(10
)
24

(4
)
(3
)
(8
)
Included in OCI [3]
7

—

—

—

—

—

—

Purchases
2

16

—

—

—

—

16

Settlements
—

—

—

—

(2
)
—

(2
)
Sales
(5
)
—

—

—

—

—

—

Transfers out of Level 3 [4]
—

—

—

6

—

—

6

Fair value as of June 30, 2016
$
97

$
1

$
(32
)
$
165

$
141

$
4

$
279

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
—

$
(15
)
$
(10
)
$
24

$
(4
)
$
(3
)
$
(8
)
Assets
Reinsurance  Recoverable for GMWB
Separate Accounts
Fair value as of January 1, 2016
$
83

$
139

Total realized/unrealized gains (losses)
 
 
Included in net income [1] [2] [6]
16

—

Included in OCI [3]
—

7

Purchases
—

61

Settlements
7

(9
)
Sales
—

(16
)
Transfers into Level 3 [4]
—

6

Transfers out of Level 3 [4]
—

(17
)
Fair value as of June 30, 2016
$
106

$
171

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
16

$
—

 
Other Policyholder Funds and Benefits Payable
Liabilities
Guaranteed Withdrawal Benefits
Equity Linked Notes
Total Other Policyholder Funds and Benefits Payable
Fair value as of January 1, 2016
$
(262
)
$
(26
)
$
(288
)
Total realized/unrealized gains (losses)
 
 


Included in net income [1] [2] [6]
(117
)
(2
)
$
(119
)
Settlements
(33
)
—

$
(33
)
Fair value as of June 30, 2016
$
(412
)
$
(28
)
$
(440
)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2016 [2] [7]
$
(117
)
$
(2
)
$
(119
)

For the three months ended June 30, 2015
 
Fixed Maturities, AFS
 
Assets
ABS
CDOs
CMBS
Corporate
Foreign Govt./Govt. Agencies
Municipal
RMBS
Total Fixed Maturities, AFS
Fixed Maturities, FVO
Fair value as of March 31, 2015
$
161

$
584

$
268

$
1,112

$
48

$
64

$
1,463

$
3,700

$
85

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
1

(2
)
2

—

—

1

(1
)
1

(2
)
Included in OCI [3]
(2
)
(2
)
—

(14
)
(4
)
(3
)
1

(24
)
—

Purchases
28

—

18

18

7

—

135

206

7

Settlements
(3
)
(16
)
(25
)
(30
)
(1
)
(13
)
(47
)
(135
)
—

Sales
(13
)
—

(6
)
(26
)
(10
)
—

(54
)
(109
)
(3
)
Transfers into Level 3 [4]
—

—

—

12

—

—

43

55

—

Transfers out of Level 3 [4]
(119
)
—

(43
)
(141
)
—

—

—

(303
)
(1
)
Fair value as of June 30, 2015
$
53

$
564

$
214

$
931

$
40

$
49

$
1,540

$
3,391

$
86

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
1

$
(2
)
$
(1
)
$
1

$
—

$
—

$
—

$
(1
)
$
(3
)
 
 
Freestanding Derivatives [5]
Assets (Liabilities)
Equity Securities, AFS
Credit
Commodity
Equity
Interest Rate
GMWB Hedging
Macro Hedge Program
Other Contracts
Total Free-Standing Derivatives [5]
Fair value as of March 31, 2015
$
102

$
(11
)
$
—

$
8

$
(18
)
$
159

$
187

$
11

$
336

Total realized/unrealized gains (losses)
 
 

 
 
 
 
 
 
Included in net income [1] [2] [6]
11

(6
)
(7
)
(5
)
9

(34
)
(22
)
(2
)
(67
)
Included in OCI [3]
(1
)
—

—

—

—

—

—

—

—

Purchases
4

(6
)
—

—

—

—

—

—

(6
)
Settlements
—

—

—

—

(5
)
—

—

—

(5
)
Sales
(14
)
—

—

—

—

—

—

—

—

Transfers into Level 3 [4]
—

—

10

—

—

—

—

—

10

Transfers out of Level 3 [4]
(5
)
23

—

—

—

—

—

—

23

Fair value as of June 30, 2015
$
97

$
—

$
3

$
3

$
(14
)
$
125

$
165

$
9

$
291

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
—

$
(3
)
$
(8
)
$
—

$
7

$
(32
)
$
(18
)
$
(3
)
$
(57
)
Assets
Reinsurance Recoverable for GMWB
Separate Accounts
Fair value as of March 31, 2015
$
65

$
137

Total realized/unrealized gains (losses)
 
 
Included in net income [1] [2] [6]
(20
)
—

Included in OCI [3]
—

(1
)
Purchases
—

222

Settlements
5

(5
)
Sales
—

(19
)
Transfers into Level 3 [4]
—

5

Transfers out of Level 3 [4]
—

(53
)
Fair value as of June 30, 2015
$
50

$
286

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
(20
)
$
—

 
Other Policyholder Funds and Benefits Payable
 
Liabilities
Guaranteed Withdrawal Benefits
Equity Linked Notes
Total Other Policyholder Funds and Benefits Payable
Consumer Notes
Fair value as of March 31, 2015
$
(176
)
$
(26
)
$
(202
)
$
(3
)
Total realized/unrealized gains (losses)
 
 


 
Included in net income [1] [2] [6]
78

—

$
78

—

Settlements
(14
)
—

$
(14
)
—

Fair value as of June 30, 2015
$
(112
)
$
(26
)
$
(138
)
$
(3
)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
78

$
—

$
78

$
—


For the six months ended June 30, 2015
 
Fixed Maturities, AFS
 
Assets
ABS
CDOs
CMBS
Corporate
Foreign Govt./Govt. Agencies
Municipal
RMBS
Total Fixed Maturities, AFS
Fixed Maturities, FVO
Fair value as of January 1, 2015
$
122

$
623

$
284

$
1,040

$
59

$
66

$
1,281

$
3,475

$
92

Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
 
Included in net income [1] [2] [6]
1

(4
)
1

(4
)
—

1

(2
)
(7
)
(7
)
Included in OCI [3]
(2
)
17

(3
)
(42
)
(3
)
(5
)
—

(38
)
—

Purchases
71

—

39

23

12

—

445

590

19

Settlements
(4
)
(25
)
(38
)
(29
)
(2
)
(13
)
(93
)
(204
)
—

Sales
(13
)
—

(6
)
(33
)
(26
)
—

(85
)
(163
)
(7
)
Transfers into Level 3 [4]
1

—

5

151

—

—

47

204

—

Transfers out of Level 3 [4]
(123
)
(47
)
(68
)
(175
)
—

—

(53
)
(466
)
(11
)
Fair value as of June 30, 2015
$
53

$
564

$
214

$
931

$
40

$
49

$
1,540

$
3,391

$
86

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
1

$
(4
)
$
(1
)
$
(1
)
$
—

$
—

$
—

$
(5
)
$
(5
)
 
 
Freestanding Derivatives [5]
Assets (Liabilities)
Equity Securities, AFS
Credit
Commodity
Equity
Interest Rate
GMWB Hedging
Macro Hedge Program
Other Contracts
Total Free-Standing Derivatives [5]
Fair value as of January 1, 2015
$
98

$
(9
)
$
—

$
6

$
(7
)
$
170

$
141

$
12

$
313

Total realized/unrealized gains (losses)
 
 

 
 
 
 
 
 
Included in net income [1] [2] [6]
12

(1
)
(7
)
12

(2
)
(25
)
(23
)
(3
)
(49
)
Included in OCI [3]
(4
)
—

—

—

—

—

—

—

—

Purchases
12

(13
)
—

—

—

—

47

—

34

Settlements
—

—

—

(15
)
(5
)
(20
)
—

—

(40
)
Sales
(16
)
—

—

—

—

—

—

—

—

Transfers into Level 3 [4]
—

—

10

—

—

—

—

—

10

Transfers out of Level 3 [4]
(5
)
23

—

—

—

—

—

—

23

Fair value as of June 30, 2015
$
97

$
—

$
3

$
3

$
(14
)
$
125

$
165

$
9

$
291

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
1

$
2

$
(8
)
$
3

$
(12
)
$
(16
)
$
(15
)
$
(4
)
$
(50
)
Assets
Reinsurance  Recoverable for GMWB
Separate Accounts
Fair value as of January 1, 2015
$
56

$
112

Total realized/unrealized gains (losses)
 
 
Included in net income [1] [2] [6]
(15
)
1

Included in OCI [3]
—

(1
)
Purchases
—

260

Settlements
9

(10
)
Sales
—

(25
)
Transfers into Level 3 [4]
—

6

Transfers out of Level 3 [4]
—

(57
)
Fair value as of June 30, 2015
$
50

$
286

Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
(15
)
$
1

 
Other Policyholder Funds and Benefits Payable
 
Liabilities
Guaranteed Withdrawal Benefits
Equity Linked Notes
Total Other Policyholder Funds and Benefits Payable
Consumer Notes
Fair value as of January 1, 2015
$
(139
)
$
(26
)
$
(165
)
$
(3
)
Total realized/unrealized gains (losses)
 
 


 
Included in net income [1] [2] [6]
59

—

$
59

—

Settlements
(32
)
—

(32
)
—

Fair value as of June 30, 2015
$
(112
)
$
(26
)
$
(138
)
$
(3
)
Changes in unrealized gains (losses) included in net income related to financial instruments still held at June 30, 2015 [2] [7]
$
59

$
—

$
59

$
—


[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]
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.
[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]
Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.
Fair value of assets and liabilities accounted for using the fair value option
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2016
2015
 
2016
2015
Assets
 
 
 
 
 
Fixed maturities, FVO
 
 
 
 
 
Corporate
$
—

$
(3
)
 
$
—

$
(3
)
CDOs
—

—

 
—

1

Foreign government
—

(1
)
 
(1
)
(1
)
RMBS
4

(1
)
 
5

—

Total fixed maturities, FVO
$
4

$
(5
)
 
$
4

$
(3
)
Equity, FVO
—

1

 
(34
)
3

Total realized capital gains (losses)
$
4

$
(4
)
 
$
(30
)
$
—
Fair value of assets and liabilities accounted for using the fair value option
 
June 30, 2016
December 31, 2015
Assets
 
 
Fixed maturities, FVO
 
 
ABS
$
6

$
13

CDOs
4

6

CMBS
8

24

Corporate
35

87

Foreign government
—

2

U.S government
2

3

RMBS
356

368

Total fixed maturities, FVO
$
411

$
503

Equity, FVO [1]
$
—

$
282
Financial Instruments Not Carried at Fair Value
The following table presents carrying amounts and fair values of the Company’s financial instruments not carried at fair value.
 
 
June 30, 2016
December 31, 2015
 
Fair Value Hierarchy Level
Carrying Amount
Fair Value
Carrying Amount
Fair Value
Assets
 
 
 
 
 
Policy loans
Level 3
$
1,436

$
1,436

$
1,447

$
1,447

Mortgage loans
Level 3
5,659

6,000

5,624

5,736

Liabilities
 
 
 
 
 
Other policyholder funds and benefits payable [1]
Level 3
$
6,492

$
6,787

$
6,706

$
6,898

Senior notes [2]
Level 2
4,241

4,942

4,259

4,811

Junior subordinated debentures [2]
Level 2
1,083

1,292

1,100

1,304

Consumer notes [3]
Level 3
32

32

38

38

Assumed investment contracts [3]
Level 3
738

795

619

682

[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]
Included in other liabilities in the Condensed Consolidated Balance Sheets.