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Fair Value Measurements Level 3 (Tables)
 9 Months Ended
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.