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Fair Value Measurements Level 3 (Tables) | 9 Months Ended
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Sep. 30, 2016
Fair Value Disclosures [Abstract] |
Assets and (liabilities) carried at fair value by hierarchy level |
| September 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") | $ | 2,685 |  | $ | — |  | $ | 2,654 |  | $ | 31 |
Collateralized debt obligations ("CDOs") | 2,573 |  | — |  | 2,104 |  | 469 |
Commercial mortgage-backed securities ("CMBS") | 5,268 |  | — |  | 5,191 |  | 77 |
Corporate | 26,904 |  | — |  | 25,810 |  | 1,094 |
Foreign government/government agencies | 1,186 |  | — |  | 1,112 |  | 74 |
Municipal | 12,594 |  | — |  | 12,468 |  | 126 |
Residential mortgage-backed securities ("RMBS") | 4,936 |  | — |  | 2,881 |  | 2,055 |
U.S. Treasuries | 4,079 |  | 348 |  | 3,731 |  | — |
Total fixed maturities | 60,225 |  | 348 |  | 55,951 |  | 3,926 |
Fixed maturities, FVO | 360 |  | — |  | 351 |  | 9 |
Equity securities, trading [1] | 11 |  | 11 |  | — |  | — |
Equity securities, AFS | 875 |  | 645 |  | 130 |  | 100 |
Derivative assets |  |  |  |
Credit derivatives | 8 |  | — |  | 8 |  | — |
Foreign exchange derivatives | 2 |  | — |  | 2 |  | — |
Interest rate derivatives | 104 |  | — |  | 104 |  | — |
Guaranteed minimum withdrawal benefit ("GMWB") hedging instruments | 66 |  | — |  | (15 | ) | 81 |
Macro hedge program | 96 |  | — |  | — |  | 96 |
Other derivative contracts | 2 |  | — |  | — |  | 2 |
Total derivative assets [2] | 278 |  | — |  | 99 |  | 179 |
Short-term investments | 2,219 |  | 494 |  | 1,725 |  | — |
Limited partnerships and other alternative investments [3] | — |  | — |  | — |  | — |
Reinsurance recoverable for GMWB | 98 |  | — |  | — |  | 98 |
Modified coinsurance reinsurance contracts | 31 |  | — |  | 31 |  | — |
Separate account assets [4] | 116,163 |  | 74,870 |  | 40,028 |  | 325 |
Total assets accounted for at fair value on a recurring basis | $ | 180,260 |  | $ | 76,368 |  | $ | 98,315 |  | $ | 4,637 |
Liabilities accounted for at fair value on a recurring basis |  |  |  |
Other policyholder funds and benefits payable |  |  |  |
GMWB | $ | (348 | ) | $ | — |  | $ | — |  | $ | (348 | )
Equity linked notes | (31 | ) | — |  | — |  | (31 | )
Total other policyholder funds and benefits payable | (379 | ) | — |  | — |  | (379 | )
Derivative liabilities |  |  |  |
Credit derivatives | (10 | ) | — |  | (10 | ) | — |
Equity derivatives | 30 |  | — |  | 30 |  | — |
Foreign exchange derivatives | (257 | ) | — |  | (257 | ) | — |
Interest rate derivatives | (961 | ) | — |  | (929 | ) | (32 | )
GMWB hedging instruments | 103 |  | — |  | 53 |  | 50 |
Macro hedge program | 40 |  | — |  | (32 | ) | 72 |
Total derivative liabilities [5] | (1,055 | ) | — |  | (1,145 | ) | 90 |
Contingent consideration [6] | 23 |  | — |  | — |  | 23 |
Total liabilities accounted for at fair value on a recurring basis | $ | (1,411 | ) | $ | — |  | $ | (1,145 | ) | $ | (266 | )
| 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 was applied to a wholly-owned fund of funds measured at fair value. During 2016, the Company liquidated this fund of funds.
[4] | Approximately $2.5 billion and $1.8 billion of investment sales receivable, as of September 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 $0.9 billion and $1.2 billion of investments, as of September 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.
[6] | For additional information on the Lattice acquisition, see Note 2 - Business Acquisitions and Dispositions of Notes to Condensed Consolidated Financial Statements.
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 September 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] | $ | 53 |  | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 11 bps | 1,274 bps | 331 bps | Decrease
Corporate [3] | 508 |  | Discounted cash flows | Spread | 87 bps | 1,364 bps | 421 bps | Decrease
Municipal [3] | 109 |  | Discounted cash flows | Spread | 195 bps | 326 bps | 252 bps | Decrease
RMBS | 2,055 |  | Discounted cash flows | Spread | 43 bps | 1,736 bps | 194 bps | Decrease
|  |  | Constant prepayment rate | —% | 20% | 3% | Decrease [4]
|  |  | Constant default rate | —% | 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; however, included are broker priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value.
[4] | Decrease for above market rate coupons and increase for below market rate coupons.
Freestanding Derivatives | Unobservable Inputs
| As of September 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 | (36 | ) | Option model | Equity volatility | 20 | % | 23 | % | Increase
Equity options | 25 |  | Option model | Equity volatility | 27 | % | 29 | % | Increase
Customized swaps | 142 |  | Discounted cash flows | Equity volatility | 12 | % | 30 | % | Increase
Macro hedge program [3] |  |  |  |  |  |
Equity options | 195 |  | Option model | Equity volatility | 15 | % | 27 | % | 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 September 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 | (36 | ) | Option model | Equity volatility | 20 | % | 23 | % | Increase
Equity options | 25 |  | Option model | Equity volatility | 27 | % | 29 | % | Increase
Customized swaps | 142 |  | Discounted cash flows | Equity volatility | 12 | % | 30 | % | Increase
Macro hedge program [3] |  |  |  |  |  |
Equity options | 195 |  | Option model | Equity volatility | 15 | % | 27 | % | 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.
[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 as noted in the following discussion
| As of September 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 September 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 June 30, 2016 | $ | 41 |  | $ | 478 |  | $ | 79 |  | $ | 1,136 |  | $ | 72 |  | $ | 90 |  | $ | 1,873 |  | $ | 3,769 |  | $ | 6 |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |  |  |
Included in net income [1] [2] [6] | — |  | — |  | (1 | ) | (12 | ) | — |  | — |  | — |  | (13 | ) | — |
Included in OCI [3] | — |  | (3 | ) | — |  | 27 |  | 2 |  | 2 |  | 15 |  | 43 |  | — |
Purchases | 18 |  | 1 |  | 15 |  | 69 |  | 9 |  | 34 |  | 253 |  | 399 |  | 5 |
Settlements | — |  | (7 | ) | (6 | ) | 3 |  | (1 | ) | — |  | (78 | ) | (89 | ) | (1 | )
Sales | (2 | ) | — |  | — |  | (52 | ) | (8 | ) | — |  | (8 | ) | (70 | ) | (1 | )
Transfers into Level 3 [4] | — |  | — |  | — |  | 115 |  | — |  | — |  | — |  | 115 |  | — |
Transfers out of Level 3 [4] | (26 | ) | — |  | (10 | ) | (192 | ) | — |  | — |  | — |  | (228 | ) | — |
Fair value as of September 30, 2016 | $ | 31 |  | $ | 469 |  | $ | 77 |  | $ | 1,094 |  | $ | 74 |  | $ | 126 |  | $ | 2,055 |  | $ | 3,926 |  | $ | 9 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | — |  | $ | — |  | $ | — |  | $ | (13 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (13 | ) | $ | — |
|  | 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 June 30, 2016 | $ | 97 |  | $ | 1 |  | $ | (32 | ) | $ | 165 |  | $ | 141 |  | $ | 4 |  | $ | 279 |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |
Included in net income [1] [2] [6] | (1 | ) | (1 | ) | — |  | (34 | ) | (32 | ) | (2 | ) | (69 | )
Included in OCI [3] | — |  | — |  | — |  | — |  | — |  | — |  | — |
Purchases | 4 |  | — |  | — |  | — |  | 63 |  | — |  | 63 |
Settlements | — |  | — |  | — |  | — |  | (4 | ) | — |  | (4 | )
Sales | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers into Level 3 [4] | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers out of Level 3 [4] | — |  | — |  | — |  | — |  | — |  | — |  | — |
Fair value as of September 30, 2016 | $ | 100 |  | $ | — |  | $ | (32 | ) | $ | 131 |  | $ | 168 |  | $ | 2 |  | $ | 269 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | (1 | ) | $ | — |  | $ | — |  | $ | (34 | ) | $ | (34 | ) | $ | (2 | ) | $ | (70 | )
Assets | Reinsurance Recoverable for GMWB | Separate Accounts
Fair value as of June 30, 2016 | $ | 106 |  | $ | 171 |
Total realized/unrealized gains (losses) |  |
Included in net income [1] [2] [6] | (12 | ) | 1 |
Included in OCI [3] | — |  | (1 | )
Purchases | — |  | 165 |
Settlements | 4 |  | (3 | )
Sales | — |  | (11 | )
Transfers into Level 3 [4] | — |  | 10 |
Transfers out of Level 3 [4] | — |  | (7 | )
Fair value as of September 30, 2016 | $ | 98 |  | $ | 325 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | (12 | ) | $ | — |
| Other Policyholder Funds and Benefits Payable |
Liabilities | Guaranteed Withdrawal Benefits | Equity Linked Notes | Total Other Policyholder Funds and Benefits Payable | Contingent Consideration [8]
Fair value as of June 30, 2016 | $ | (412 | ) | $ | (28 | ) | $ | (440 | ) | $ | — |
Issuance | — |  | — |  | — |  | 23 |
Total realized/unrealized gains (losses) |  |  |  |  |  |
Included in net income [1] [2] [6] | 81 |  | (3 | ) | 78 |  | — |
Insurance operating costs and other expenses | — |  | — |  | — |  | — |
Settlements | (17 | ) | — |  | (17 | ) | — |
Fair value as of September 30, 2016 | $ | (348 | ) | $ | (31 | ) | $ | (379 | ) | $ | 23 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | 81 |  | $ | (3 | ) | $ | 78 |  | $ | — |
For the nine months ended September 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 | ) | (2 | ) | (26 | ) | 1 |  | — |  | — |  | (28 | ) | (1 | )
Included in OCI [3] | — |  | (5 | ) | (3 | ) | 39 |  | 11 |  | 7 |  | 11 |  | 60 |  | — |
Purchases | 18 |  | 1 |  | 65 |  | 136 |  | 24 |  | 54 |  | 683 |  | 981 |  | 11 |
Settlements | (7 | ) | (67 | ) | (24 | ) | (52 | ) | (3 | ) | — |  | (236 | ) | (389 | ) | (3 | )
Sales | (2 | ) | — |  | (3 | ) | (143 | ) | (19 | ) | — |  | (8 | ) | (175 | ) | (4 | )
Transfers into Level 3 [4] | 18 |  | — |  | 1 |  | 628 |  | — |  | 16 |  | 5 |  | 668 |  | — |
Transfers out of Level 3 [4] | (33 | ) | — |  | (107 | ) | (342 | ) | — |  | — |  | (22 | ) | (504 | ) | (10 | )
Fair value as of September 30, 2016 | $ | 31 |  | $ | 469 |  | $ | 77 |  | $ | 1,094 |  | $ | 74 |  | $ | 126 |  | $ | 2,055 |  | $ | 3,926 |  | $ | 9 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | — |  | $ | — |  | $ | (1 | ) | $ | (14 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (15 | ) | $ | — |
|  | 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] | (1 | ) | (16 | ) | (10 | ) | (10 | ) | (36 | ) | (5 | ) | (77 | )
Included in OCI [3] | 7 |  | — |  | — |  | — |  | — |  | — |  | — |
Purchases | 6 |  | 16 |  | — |  | — |  | 63 |  | — |  | 79 |
Settlements | — |  | — |  | — |  | — |  | (6 | ) | — |  | (6 | )
Sales | (5 | ) | — |  | — |  | — |  | — |  | — |  | — |
Transfers into Level 3 [4] | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers out of Level 3 [4] | — |  | — |  | — |  | 6 |  | — |  | — |  | 6 |
Fair value as of September 30, 2016 | $ | 100 |  | $ | — |  | $ | (32 | ) | $ | 131 |  | $ | 168 |  | $ | 2 |  | $ | 269 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | (1 | ) | $ | — |  | $ | (10 | ) | $ | (2 | ) | $ | (31 | ) | $ | (5 | ) | $ | (48 | )
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] | 4 |  | 1 |
Included in OCI [3] | — |  | 5 |
Purchases | — |  | 226 |
Settlements | 11 |  | (12 | )
Sales | — |  | (27 | )
Transfers into Level 3 [4] | — |  | 16 |
Transfers out of Level 3 [4] | — |  | (23 | )
Fair value as of September 30, 2016 | $ | 98 |  | $ | 325 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | 4 |  | $ | — |
| Other Policyholder Funds and Benefits Payable |
Liabilities | Guaranteed Withdrawal Benefits | Equity Linked Notes | Total Other Policyholder Funds and Benefits Payable | Contingent Consideration [8]
Fair value as of January 1, 2016 | $ | (262 | ) | $ | (26 | ) | $ | (288 | ) | $ | — |
Issuance | — |  | — |  | — |  | 23 |
Total realized/unrealized gains (losses) |  |  |  |  |  |
Included in net income [1] [2] [6] | (36 | ) | (5 | ) | (41 | ) | — |
Included in OCI [3] | — |  | — |  | — |  | — |
Insurance operating costs and other expenses | — |  | — |  | — |  | — |
Settlements | (50 | ) | — |  | (50 | ) | — |
Fair value as of September 30, 2016 | $ | (348 | ) | $ | (31 | ) | $ | (379 | ) | $ | 23 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2016 [2] [7] | $ | (36 | ) | $ | (5 | ) | $ | (41 | ) | $ | — |
For the three months ended September 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 June 30, 2015 | $ | 53 |  | $ | 564 |  | $ | 214 |  | $ | 931 |  | $ | 40 |  | $ | 49 |  | $ | 1,540 |  | $ | 3,391 |  | $ | 86 |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |  |  |
Included in net income [1] [2] [6] | — |  | (1 | ) | 1 |  | (9 | ) | — |  | — |  | — |  | (9 | ) | — |
Included in OCI [3] | — |  | (9 | ) | (5 | ) | 1 |  | (1 | ) | 1 |  | (6 | ) | (19 | ) | — |
Purchases | 8 |  | — |  | 6 |  | 38 |  | 3 |  | — |  | 71 |  | 126 |  | 2 |
Settlements | (2 | ) | (9 | ) | (26 | ) | (22 | ) | (1 | ) | — |  | (56 | ) | (116 | ) | (24 | )
Sales | (3 | ) | — |  | — |  | (47 | ) | (2 | ) | — |  | (57 | ) | (109 | ) | (1 | )
Transfers into Level 3 [4] | — |  | — |  | 2 |  | 51 |  | 11 |  | — |  | — |  | 64 |  | — |
Transfers out of Level 3 [4] | (29 | ) | — |  | (23 | ) | (38 | ) | — |  | — |  | — |  | (90 | ) | (2 | )
Fair value as of September 30, 2015 | $ | 27 |  | $ | 545 |  | $ | 169 |  | $ | 905 |  | $ | 50 |  | $ | 50 |  | $ | 1,492 |  | $ | 3,238 |  | $ | 61 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | — |  | $ | — |  | $ | (1 | ) | $ | (11 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (12 | ) | $ | — |
|  | 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 June 30, 2015 | $ | 97 |  | $ | — |  | $ | 3 |  | $ | 3 |  | $ | (14 | ) | $ | 125 |  | $ | 165 |  | $ | 9 |  | $ | 291 |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |  |  |
Included in net income [1] [2] [6] | (6 | ) | — |  | 4 |  | (3 | ) | (6 | ) | 46 |  | 18 |  | (1 | ) | 58 |
Included in OCI [3] | 5 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Purchases | 4 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Settlements | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Sales | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers into Level 3 [4] | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers out of Level 3 [4] | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Fair value as of September 30, 2015 | $ | 99 |  | $ | — |  | $ | 7 |  | $ | — |  | $ | (20 | ) | $ | 171 |  | $ | 183 |  | $ | 8 |  | $ | 349 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | (6 | ) | $ | — |  | $ | 4 |  | $ | — |  | $ | (5 | ) | $ | 48 |  | $ | 12 |  | $ | (1 | ) | $ | 58 |
Assets | Reinsurance Recoverable for GMWB | Separate Accounts
Fair value as of June 30, 2015 | $ | 50 |  | $ | 285 |
Total realized/unrealized gains (losses) |  |
Included in net income [1] [2] [6] | 46 |  | 28 |
Included in OCI [3] | — |  | (2 | )
Purchases | — |  | 57 |
Settlements | (23 | ) | (6 | )
Sales | — |  | (200 | )
Transfers into Level 3 [4] | — |  | 1 |
Transfers out of Level 3 [4] | — |  | 1 |
Fair value as of September 30, 2015 | $ | 73 |  | $ | 164 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | 46 |  | $ | 31 |
| 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 June 30, 2015 | $ | (112 | ) | $ | (26 | ) | $ | (138 | ) | $ | (3 | )
Total realized/unrealized gains (losses) |  |  |  |  |
Included in net income [1] [2] [6] | (177 | ) | 5 |  | (172 | ) | 3 |
Included in OCI [3] | — |  | — |  | — |  | — |
Settlements | 19 |  | — |  | 19 |  | — |
Fair value as of September 30, 2015 | $ | (270 | ) | $ | (21 | ) | $ | (291 | ) | $ | — |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | (177 | ) | $ | 5 |  | $ | (172 | ) | $ | 3 |
For the nine months ended September 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 |  | (5 | ) | 2 |  | (13 | ) | — |  | 1 |  | (2 | ) | (16 | ) | (7 | )
Included in OCI [3] | (2 | ) | 8 |  | (8 | ) | (41 | ) | (4 | ) | (4 | ) | (6 | ) | (57 | ) | — |
Purchases | 79 |  | — |  | 45 |  | 61 |  | 15 |  | — |  | 516 |  | 716 |  | 21 |
Settlements | (6 | ) | (34 | ) | (64 | ) | (51 | ) | (3 | ) | (13 | ) | (149 | ) | (320 | ) | (24 | )
Sales | (16 | ) | — |  | (6 | ) | (80 | ) | (28 | ) | — |  | (142 | ) | (272 | ) | (8 | )
Transfers into Level 3 [4] | 1 |  | — |  | 7 |  | 202 |  | 11 |  | — |  | 47 |  | 268 |  | — |
Transfers out of Level 3 [4] | (152 | ) | (47 | ) | (91 | ) | (213 | ) | — |  | — |  | (53 | ) | (556 | ) | (13 | )
Fair value as of September 30, 2015 | $ | 27 |  | $ | 545 |  | $ | 169 |  | $ | 905 |  | $ | 50 |  | $ | 50 |  | $ | 1,492 |  | $ | 3,238 |  | $ | 61 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | 1 |  | $ | (1 | ) | $ | (2 | ) | $ | (11 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (13 | ) | $ | (2 | )
|  | 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] | 6 |  | (1 | ) | (3 | ) | 9 |  | (8 | ) | 21 |  | (5 | ) | (4 | ) | 9 |
Included in OCI [3] | 1 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Purchases | 16 |  | (13 | ) | — |  | — |  | — |  | — |  | 47 |  | — |  | 34 |
Settlements | — |  | — |  | — |  | (15 | ) | (5 | ) | (20 | ) | — |  | — |  | (40 | )
Sales | (17 | ) | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Transfers into Level 3 [4] | — |  | — |  | 10 |  | — |  | — |  | — |  | — |  | — |  | 10 |
Transfers out of Level 3 [4] | (5 | ) | 23 |  | — |  | — |  | — |  | — |  | — |  | — |  | 23 |
Fair value as of September 30, 2015 | $ | 99 |  | $ | — |  | $ | 7 |  | $ | — |  | $ | (20 | ) | $ | 171 |  | $ | 183 |  | $ | 8 |  | $ | 349 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | (6 | ) | $ | 2 |  | $ | (4 | ) | $ | 3 |  | $ | (17 | ) | $ | 32 |  | $ | (3 | ) | $ | (5 | ) | $ | 8 |
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] | 31 |  | 29 |
Included in OCI [3] | — |  | (3 | )
Purchases | — |  | 317 |
Settlements | (14 | ) | (16 | )
Sales | — |  | (226 | )
Transfers into Level 3 [4] | — |  | 7 |
Transfers out of Level 3 [4] | — |  | (56 | )
Fair value as of September 30, 2015 | $ | 73 |  | $ | 164 |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | 31 |  | $ | 32 |
| 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] | (118 | ) | 5 |  | (113 | ) | 3 |
Settlements | (13 | ) | — |  | (13 | ) | — |
Fair value as of September 30, 2015 | $ | (270 | ) | $ | (21 | ) | $ | (291 | ) | $ | — |
Changes in unrealized gains (losses) included in net income related to financial instruments still held at September 30, 2015 [2] [7] | $ | (118 | ) | $ | 5 |  | $ | (113 | ) | $ | 3 |
[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.
[8] | For additional information, see Note 2 - Business Acquisitions and Dispositions of Notes to Condensed Consolidated Financial Statements for discussion of the contingent consideration in connection with the acquisition of Lattice.
Fair value of assets and liabilities accounted for using the fair value option |
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2016 | 2015 |  | 2016 | 2015
Assets |  |  |  |  |
Fixed maturities, FVO |  |  |  |  |
Corporate | $ | 1 |  | $ | (2 | ) |  | $ | 1 |  | $ | (5 | )
CDOs | — |  | 1 |  |  | — |  | 2 |
Foreign government | — |  | (3 | ) |  | (1 | ) | (4 | )
RMBS | 3 |  | — |  |  | 8 |  | — |
Total fixed maturities, FVO | $ | 4 |  | $ | (4 | ) |  | $ | 8 |  | $ | (7 | )
Equity, FVO | — |  | — |  |  | (34 | ) | 3 |
Total realized capital gains (losses) | $ | 4 |  | $ | (4 | ) |  | $ | (26 | ) | $ | (4 | )
Fair value of assets and liabilities accounted for using the fair value option |
| September 30, 2016 | December 31, 2015
Assets |  |
Fixed maturities, FVO |  |
ABS | $ | 6 |  | $ | 13 |
CDOs | 3 |  | 6 |
CMBS | 8 |  | 24 |
Corporate | 34 |  | 87 |
Foreign government | — |  | 2 |
U.S government | 2 |  | 3 |
RMBS | 307 |  | 368 |
Total fixed maturities, FVO | $ | 360 |  | $ | 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.
|  | September 30, 2016 |  | December 31, 2015
| Fair Value Hierarchy Level | Carrying Amount | Fair Value |  | Carrying Amount | Fair Value
Assets |  |  |  |  |  |
Policy loans | Level 3 | $ | 1,432 |  | $ | 1,432 |  |  | $ | 1,447 |  | $ | 1,447 |
Mortgage loans | Level 3 | 5,611 |  | 5,857 |  |  | 5,624 |  | 5,736 |
Liabilities |  |  |  |  |  |
Other policyholder funds and benefits payable [1] | Level 3 | $ | 6,607 |  | $ | 6,887 |  |  | $ | 6,706 |  | $ | 6,898 |
Senior notes [2] | Level 2 | 4,242 |  | 4,894 |  |  | 4,259 |  | 4,811 |
Junior subordinated debentures [2] | Level 2 | 1,083 |  | 1,299 |  |  | 1,100 |  | 1,304 |
Consumer notes [3] | Level 3 | 24 |  | 24 |  |  | 38 |  | 38 |
Assumed investment contracts [3] | Level 3 | 754 |  | 806 |  |  | 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.

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- Definition Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 32 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14217-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -Subparagraph (c)(2),(d),(e) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a),(c)(1),(d)(1) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 + Details
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