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Fair Value Measurements Level 3 (Tables) | 6 Months Ended
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Jun. 30, 2017
Fair Value Disclosures [Abstract] |
Assets and (liabilities) carried at fair value by hierarchy level |
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of June 30, 2017
| Total | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis |  |  |  |
Fixed maturities, AFS |  |  |  |
Asset-backed-securities ("ABS") | $ | 2,354 |  | $ | — |  | $ | 2,258 |  | $ | 96 |
Collateralized debt obligations ("CDOs") | 2,457 |  | — |  | 2,118 |  | 339 |
Commercial mortgage-backed securities ("CMBS") | 5,173 |  | — |  | 5,075 |  | 98 |
Corporate | 26,044 |  | — |  | 24,908 |  | 1,136 |
Foreign government/government agencies | 1,297 |  | — |  | 1,268 |  | 29 |
Bonds of municipalities and political subdivisions ("municipal bonds") | 12,284 |  | — |  | 12,198 |  | 86 |
Residential mortgage-backed securities ("RMBS") | 4,219 |  | — |  | 2,208 |  | 2,011 |
U.S. Treasuries | 4,006 |  | 463 |  | 3,543 |  | — |
Total fixed maturities | 57,834 |  | 463 |  | 53,576 |  | 3,795 |
Fixed maturities, FVO | 146 |  | — |  | 146 |  | — |
Equity securities, trading [1] | 11 |  | 11 |  | — |  | — |
Equity securities, AFS | 1,055 |  | 789 |  | 168 |  | 98 |
Derivative assets |  |  |  |
Credit derivatives | 8 |  | — |  | 8 |  | — |
Equity derivatives | 2 |  | — |  | 1 |  | 1 |
Interest rate derivatives | 2 |  | — |  | 2 |  | — |
GMWB hedging instruments | 45 |  | — |  | — |  | 45 |
Macro hedge program | 94 |  | — |  | 8 |  | 86 |
Total derivative assets [2] | 151 |  | — |  | 19 |  | 132 |
Short-term investments | 4,716 |  | 1,916 |  | 2,800 |  | — |
Reinsurance recoverable for GMWB | 57 |  | — |  | — |  | 57 |
Modified coinsurance reinsurance contracts | 58 |  | — |  | 58 |  | — |
Separate account assets [3] | 112,559 |  | 73,019 |  | 38,466 |  | 192 |
Total assets accounted for at fair value on a recurring basis | $ | 176,587 |  | $ | 76,198 |  | $ | 95,233 |  | $ | 4,274 |
Liabilities accounted for at fair value on a recurring basis |  |  |  |
Other policyholder funds and benefits payable |  |  |  |
GMWB embedded derivative | $ | (134 | ) | $ | — |  | $ | — |  | $ | (134 | )
Equity linked notes | (37 | ) | — |  | — |  | (37 | )
Total other policyholder funds and benefits payable | (171 | ) | — |  | — |  | (171 | )
Derivative liabilities |  |  |  |
Credit derivatives | (6 | ) | — |  | (6 | ) | — |
Equity derivatives | 38 |  | — |  | 37 |  | 1 |
Foreign exchange derivatives | (267 | ) | — |  | (267 | ) | — |
Interest rate derivatives | (488 | ) | — |  | (462 | ) | (26 | )
GMWB hedging instruments | 40 |  | — |  | 45 |  | (5 | )
Macro hedge program | 74 |  | — |  | — |  | 74 |
Total derivative liabilities [4] | (609 | ) | — |  | (653 | ) | 44 |
Contingent consideration [5] | (27 | ) | — |  | — |  | (27 | )
Total liabilities accounted for at fair value on a recurring basis | $ | (807 | ) | $ | — |  | $ | (653 | ) | $ | (154 | )
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2016
| Total | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis |  |  |  |
Fixed maturities, AFS |  |  |  |
ABS | $ | 2,382 |  | $ | — |  | $ | 2,300 |  | $ | 82 |
CDOs | 1,916 |  | — |  | 1,502 |  | 414 |
CMBS | 4,936 |  | — |  | 4,856 |  | 80 |
Corporate | 25,666 |  | — |  | 24,586 |  | 1,080 |
Foreign government/government agencies | 1,171 |  | — |  | 1,107 |  | 64 |
Municipal bonds | 11,486 |  | — |  | 11,368 |  | 118 |
RMBS | 4,767 |  | — |  | 2,795 |  | 1,972 |
U.S. Treasuries | 3,679 |  | 620 |  | 3,059 |  | — |
Total fixed maturities | 56,003 |  | 620 |  | 51,573 |  | 3,810 |
Fixed maturities, FVO | 293 |  | 1 |  | 281 |  | 11 |
Equity securities, trading [1] | 11 |  | 11 |  | — |  | — |
Equity securities, AFS | 1,097 |  | 821 |  | 177 |  | 99 |
Derivative assets |  |  |  |
Credit derivatives | 17 |  | — |  | 17 |  | — |
Foreign exchange derivatives | 27 |  | — |  | 27 |  | — |
Interest rate derivatives | (427 | ) | — |  | (427 | ) | — |
GMWB hedging instruments | 74 |  | — |  | 14 |  | 60 |
Macro hedge program | 128 |  | — |  | 8 |  | 120 |
Other derivative contracts | 1 |  | — |  | — |  | 1 |
Total derivative assets [2] | (180 | ) | — |  | (361 | ) | 181 |
Short-term investments | 3,244 |  | 878 |  | 2,366 |  | — |
Reinsurance recoverable for GMWB | 73 |  | — |  | — |  | 73 |
Modified coinsurance reinsurance contracts | 68 |  | — |  | 68 |  | — |
Separate account assets [3] | 111,634 |  | 71,606 |  | 38,856 |  | 201 |
Total assets accounted for at fair value on a recurring basis | $ | 172,243 |  | $ | 73,937 |  | $ | 92,960 |  | $ | 4,375 |
Liabilities accounted for at fair value on a recurring basis |  |  |  |
Other policyholder funds and benefits payable |  |  |  |
GMWB embedded derivative | $ | (241 | ) | $ | — |  | $ | — |  | $ | (241 | )
Equity linked notes | (33 | ) | — |  | — |  | (33 | )
Total other policyholder funds and benefits payable | (274 | ) | — |  | — |  | (274 | )
Derivative liabilities |  |  |  |
Credit derivatives | (13 | ) | — |  | (13 | ) | — |
Equity derivatives | 33 |  | — |  | 33 |  | — |
Foreign exchange derivatives | (237 | ) | — |  | (237 | ) | — |
Interest rate derivatives | (542 | ) | — |  | (521 | ) | (21 | )
GMWB hedging instruments | 20 |  | — |  | (1 | ) | 21 |
Macro hedge program | 50 |  | — |  | 3 |  | 47 |
Total derivative liabilities [4] | (689 | ) | — |  | (736 | ) | 47 |
Contingent consideration [5] | (25 | ) | — |  | — |  | (25 | )
Total liabilities accounted for at fair value on a recurring basis | $ | (988 | ) | $ | — |  | $ | (736 | ) | $ | (252 | )
[1] | Included in other investments on the Condensed Consolidated Balance Sheets.
[2] | Includes OTC and OTC-cleared derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules and applicable law. See footnote 4 to this table for derivative liabilities.
[3] | Approximately $4.2 billion and $4.0 billion of investment sales receivable, as of June 30, 2017, and December 31, 2016, respectively, are excluded from this disclosure requirement because they are trade receivables in the ordinary course of business where the carrying amount approximates fair value. Included in the total fair value amount are $882 and $1.0 billion of investments, as of June 30, 2017 and December 31, 2016, for which the fair value is estimated using the net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy.
[4] | Includes OTC and OTC-cleared derivative instruments in a net negative fair value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements, which may be imposed by agreements, clearing house rules and applicable law.
[5] | For additional information see the Contingent Consideration section below.
Information about significant unobservable inputs used in Level 3 assets measured at fair value |
Significant Unobservable Inputs for Level 3 - Freestanding Derivatives
| Fair Value | Predominant Valuation Technique | Significant Unobservable Input | Minimum | Maximum | Impact of Increase in Input on Fair Value [1]
As of June 30, 2017
Interest rate derivatives |  |  |  |  |  |
Interest rate swaps | $ | (29 | ) | Discounted cash flows | Swap curve beyond 30 years | 3 | % | 3 | % | Decrease
Interest rate swaptions [2] | 3 |  | Option model | Interest rate volatility | 2 | % | 2 | % | Increase
GMWB hedging instruments |  |  |  |  |  |
Equity variance swaps | (39 | ) | Option model | Equity volatility | 16 | % | 20 | % | Increase
Equity options | 6 |  | Option model | Equity volatility | 26 | % | 28 | % | Increase
Customized swaps | 73 |  | Discounted cash flows | Equity volatility | 9 | % | 30 | % | Increase
Macro hedge program [3] |  |  |  |  |  |
Equity options | 171 |  | Option model | Equity volatility | 15 | % | 26 | % | Increase
As of December 31, 2016
Interest rate derivatives |  |  |  |  |  |
Interest rate swaps | $ | (29 | ) | Discounted cash flows | Swap curve beyond 30 years | 3 | % | 3 | % | Decrease
Interest rate swaptions [2] | 8 |  | Option model | Interest rate volatility | 2 | % | 2 | % | Increase
GMWB hedging instruments |  |  |  |  |  |
Equity variance swaps | (36 | ) | Option model | Equity volatility | 20 | % | 23 | % | Increase
Equity options | 17 |  | Option model | Equity volatility | 27 | % | 30 | % | Increase
Customized swaps | 100 |  | Discounted cash flows | Equity volatility | 12 | % | 30 | % | Increase
Macro hedge program [3] |  |  |  |  |  |
Equity options | 188 |  | Option model | Equity volatility | 17 | % | 28 | % | Increase
[1] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.
[2] | The swaptions presented are purchased options that have the right to enter into a pay-fixed swap.
[3] | Excludes derivatives for which the Company bases fair value on broker quotations
Significant Unobservable Inputs for Level 3 - Securities
Assets accounted for at fair value on a recurring basis | Fair Value | Predominant Valuation Technique | Significant Unobservable Input | Minimum | Maximum | Weighted Average [1] | Impact of Increase in Input on Fair Value [2]
As of June 30, 2017
CMBS [3] | $ | 51 |  | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 9 bps | 1,816 bps | 466 bps | Decrease
Corporate [4] | 489 |  | Discounted cash flows | Spread | 108 bps | 944 bps | 303 bps | Decrease
Municipal [3] | 70 |  | Discounted cash flows | Spread | 166 bps | 222 bps | 183 bps | Decrease
RMBS [3] | 2,002 |  | Discounted cash flows | Spread | 40 bps | 624 bps | 126 bps | Decrease
|  |  | Constant prepayment rate | —% | 14% | 5% | Decrease [5]
|  |  | Constant default rate | 2% | 10% | 5% | Decrease
|  |  | Loss severity | —% | 100% | 71% | Decrease
As of December 31, 2016
CMBS [3] | $ | 52 |  | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 10 bps | 1,273 bps | 366 bps | Decrease
Corporate [4] | 510 |  | Discounted cash flows | Spread | 122 bps | 1,302 bps | 359 bps | Decrease
Municipal [3] | 101 |  | Discounted cash flows | Spread | 135 bps | 286 bps | 221 bps | Decrease
RMBS [3] | 1,963 |  | Discounted cash flows | Spread | 16 bps | 1,830 bps | 192 bps | Decrease
|  |  | Constant prepayment rate | —% | 20% | 4% | Decrease [5]
|  |  | Constant default rate | —% | 11% | 5% | Decrease
|  |  | Loss severity | —% | 100% | 75% | Decrease
[1] | The weighted average is determined based on the fair value of the securities.
[2] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.
[3] | Excludes securities for which the Company based fair value on broker quotations.
[4] | Excludes securities for which the Company bases fair value on broker quotations; however, included are broker priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value.
[5] | Decrease for above market rate coupons and increase for below market rate coupons.
Significant Unobservable Inputs for Level 3 GMWB Embedded Customized and Reinsurance Derivatives
As of June 30, 2017
Significant Unobservable Input | Unobservable Inputs (Minimum) | Unobservable Inputs (Maximum) | Impact of Increase in Input on Fair Value Measurement [1]
Withdrawal Utilization [2] | 15% | 100% | Increase
Withdrawal Rates [3] | —% | 8% | Increase
Lapse Rates [4] | —% | 40% | Decrease
Reset Elections [5] | 20% | 75% | Increase
Equity Volatility [6] | 9% | 30% | Increase
As of December 31, 2016
Significant Unobservable Input | Unobservable Inputs (Minimum) | Unobservable Inputs (Maximum) | Impact of Increase in Input on Fair Value Measurement [1]
Withdrawal Utilization [2] | 15% | 100% | Increase
Withdrawal Rates [3] | —% | 8% | Increase
Lapse Rates [4] | —% | 40% | Decrease
Reset Elections [5] | 20% | 75% | Increase
Equity Volatility [6] | 12% | 30% | Increase
[1] | Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.
[2] | Range represents assumed cumulative percentages of policyholders taking withdrawals.
[3] | Range represents assumed cumulative annual amount withdrawn by policyholders.
[4] | Range represents assumed annual percentages of full surrender of the underlying variable annuity contracts across all policy durations for in force business.
[5] | Range represents assumed cumulative percentages of policyholders that would elect to reset their guaranteed benefit base.
[6] | Range represents implied market volatilities for equity indices based on multiple pricing sources.
Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3) | The Company uses derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instrument may not be classified with the same fair value hierarchy level as the associated asset or liability. Therefore, the realized and unrealized gains and losses on derivatives reported in the Level 3 roll-forward may be offset by realized and unrealized gains and losses of the associated assets and liabilities in other line items of the financial statements.
Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Three Months Ended June 30, 2017
| Total realized/unrealized gains (losses) |  |  |  |  |  |
|  | Fair value as of March 31, 2017 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of June 30, 2017
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 125 |  | $ | — |  | $ | — |  | $ | 25 |  | $ | (1 | ) | $ | — |  | $ | — |  | $ | (53 | ) | $ | 96 |
| CDOs | 319 |  | — |  | (5 | ) | 300 |  | (207 | ) | — |  | — |  | (68 | ) | 339 |
| CMBS | 117 |  | — |  | 1 |  | 19 |  | (3 | ) | — |  | — |  | (36 | ) | 98 |
| Corporate | 1,078 |  | (12 | ) | 14 |  | 46 |  | (4 | ) | (30 | ) | 52 |  | (8 | ) | 1,136 |
| Foreign Govt./Govt. Agencies | 66 |  | — |  | — |  | 6 |  | (1 | ) | (2 | ) | — |  | (40 | ) | 29 |
| Municipal | 117 |  | 4 |  | (1 | ) | — |  | — |  | (34 | ) | — |  | — |  | 86 |
| RMBS | 2,048 |  | — |  | 27 |  | 50 |  | (114 | ) | — |  | — |  | — |  | 2,011 |
Total Fixed Maturities, AFS | 3,870 |  | (8 | ) | 36 |  | 446 |  | (330 | ) | (66 | ) | 52 |  | (205 | ) | 3,795 |
Equity Securities, AFS | 99 |  | — |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | 98 |
Freestanding Derivatives, net [5] |  |  |  |  |  |  |  |  |
| Equity | 4 |  | (2 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 2 |
| Interest rate | (24 | ) | (2 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (26 | )
| GMWB hedging instruments | 46 |  | (6 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 40 |
| Macro hedge program | 159 |  | 1 |  | — |  | — |  | — |  | — |  | — |  | — |  | 160 |
| Other contracts | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total Freestanding Derivatives, net [5] | 185 |  | (9 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 176 |
Reinsurance Recoverable for GMWB | 60 |  | (7 | ) | — |  | — |  | 4 |  | — |  | — |  | — |  | 57 |
Separate Accounts | 277 |  | 2 |  | — |  | 13 |  | (2 | ) | (34 | ) | 7 |  | (71 | ) | 192 |
Total Assets | $ | 4,491 |  | $ | (22 | ) | $ | 35 |  | $ | 459 |  | $ | (328 | ) | $ | (100 | ) | $ | 59 |  | $ | (276 | ) | $ | 4,318 |
Liabilities |  |  |  |  |  |  |  |  |
Other Policyholder Funds and Benefits Payable |  |  |  |  |  |  |  |  |
| Guaranteed Withdrawal Benefits | $ | (157 | ) | $ | 40 |  | $ | — |  | $ | — |  | $ | (17 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (134 | )
| Equity Linked Notes | (36 | ) | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (37 | )
Total Other Policyholder Funds and Benefits Payable | (193 | ) | 39 |  | — |  | — |  | (17 | ) | — |  | — |  | — |  | (171 | )
Contingent Consideration [7] | (26 | ) | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (27 | )
Total Liabilities | $ | (219 | ) | $ | 38 |  | $ | — |  | $ | — |  | $ | (17 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (198 | )
Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 2017
| Total realized/unrealized gains (losses) |  |  |  |  |  |
|  | Fair value as of January 1, 2017 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of June 30, 2017
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 82 |  | $ | — |  | $ | — |  | $ | 70 |  | $ | (6 | ) | $ | — |  | $ | 26 |  | $ | (76 | ) | $ | 96 |
| CDOs | 414 |  | — |  | (1 | ) | 300 |  | (208 | ) | — |  | — |  | (166 | ) | 339 |
| CMBS | 80 |  | (1 | ) | 1 |  | 75 |  | (6 | ) | — |  | — |  | (51 | ) | 98 |
| Corporate | 1,080 |  | (6 | ) | 30 |  | 215 |  | (40 | ) | (190 | ) | 92 |  | (45 | ) | 1,136 |
| Foreign Govt./Govt. Agencies | 64 |  | — |  | 3 |  | 6 |  | (2 | ) | (2 | ) | — |  | (40 | ) | 29 |
| Municipal | 118 |  | 4 |  | 4 |  | — |  | — |  | (40 | ) | — |  | — |  | 86 |
| RMBS | 1,972 |  | — |  | 33 |  | 223 |  | (210 | ) | (7 | ) | — |  | — |  | 2,011 |
Total Fixed Maturities, AFS | 3,810 |  | (3 | ) | 70 |  | 889 |  | (472 | ) | (239 | ) | 118 |  | (378 | ) | 3,795 |
Fixed Maturities, FVO | 11 |  | — |  | — |  | 4 |  | (2 | ) | (13 | ) | — |  | — |  | — |
Equity Securities, AFS | 99 |  | — |  | (5 | ) | 4 |  | — |  | — |  | — |  | — |  | 98 |
Freestanding Derivatives, net [5] |  |  |  |  |  |  |  |  |
| Equity | — |  | (3 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 2 |
| Interest rate | (21 | ) | (5 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (26 | )
| GMWB hedging instruments | 81 |  | (41 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 40 |
| Macro hedge program | 167 |  | (7 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 160 |
| Other contracts | 1 |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total Freestanding Derivatives, net [5] | 228 |  | (57 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 176 |
Reinsurance Recoverable for GMWB | 73 |  | (23 | ) | — |  | — |  | 7 |  | — |  | — |  | — |  | 57 |
Separate Accounts | 201 |  | 3 |  | 2 |  | 111 |  | (7 | ) | (42 | ) | 10 |  | (86 | ) | 192 |
Total Assets | $ | 4,422 |  | $ | (80 | ) | $ | 67 |  | $ | 1,013 |  | $ | (474 | ) | $ | (294 | ) | $ | 128 |  | $ | (464 | ) | $ | 4,318 |
Liabilities |  |  |  |  |  |  |  |  |
Other Policyholder Funds and Benefits Payable |  |  |  |  |  |  |  |  |
| Guaranteed Withdrawal Benefits | $ | (241 | ) | $ | 140 |  | $ | — |  | $ | — |  | $ | (33 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (134 | )
| Equity Linked Notes | (33 | ) | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (37 | )
Total Other Policyholder Funds and Benefits Payable | (274 | ) | 136 |  | — |  | — |  | (33 | ) | — |  | — |  | — |  | (171 | )
Contingent Consideration [7] | (25 | ) | (2 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (27 | )
Total Liabilities | $ | (299 | ) | $ | 134 |  | $ | — |  | $ | — |  | $ | (33 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (198 | )
Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Three Months Ended June 30, 2016
| Total realized/unrealized gains (losses) |  |  |  |  |  |
|  | Fair value as of March 31, 2016 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of June 30, 2016
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 32 |  | $ | — |  | $ | — |  | $ | — |  | $ | (4 | ) | $ | — |  | $ | 13 |  | $ | — |  | $ | 41 |
| CDOs | 542 |  | (1 | ) | (2 | ) | — |  | (61 | ) | — |  | — |  | — |  | 478 |
| CMBS | 134 |  | — |  | 5 |  | 10 |  | (9 | ) | (3 | ) | 1 |  | (59 | ) | 79 |
| Corporate | 834 |  | (1 | ) | 19 |  | 37 |  | (50 | ) | (66 | ) | 455 |  | (92 | ) | 1,136 |
| Foreign Govt./Govt. Agencies | 76 |  | 1 |  | 4 |  | 1 |  | (1 | ) | (9 | ) | — |  | — |  | 72 |
| Municipal | 50 |  | — |  | 4 |  | 20 |  | — |  | — |  | 16 |  | — |  | 90 |
| RMBS | 1,886 |  | — |  | 10 |  | 97 |  | (101 | ) | — |  | 3 |  | (22 | ) | 1,873 |
Total Fixed Maturities, AFS | 3,554 |  | (1 | ) | 40 |  | 165 |  | (226 | ) | (78 | ) | 488 |  | (173 | ) | 3,769 |
Fixed Maturities, FVO | 14 |  | 1 |  | — |  | 1 |  | (1 | ) | (3 | ) | — |  | (6 | ) | 6 |
Equity Securities, AFS | 92 |  | 1 |  | 5 |  | 2 |  | — |  | (3 | ) | — |  | — |  | 97 |
Freestanding Derivatives, net [5] |  |  |  |  |  |  |  |  |
| Equity | 5 |  | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 1 |
| Interest rate | (28 | ) | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (32 | )
| GMWB hedging instruments | 144 |  | 15 |  | — |  | — |  | — |  | — |  | — |  | 6 |  | 165 |
| Macro hedge program | 145 |  | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 141 |
| Other contracts | 5 |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 4 |
Total Freestanding Derivatives, net [5] | 271 |  | 2 |  | — |  | — |  | — |  | — |  | — |  | 6 |  | 279 |
Reinsurance Recoverable for GMWB | 99 |  | 3 |  | — |  | — |  | 4 |  | — |  | — |  | — |  | 106 |
Separate Accounts | 154 |  | — |  | 3 |  | 22 |  | (3 | ) | (6 | ) | 3 |  | (2 | ) | 171 |
Total Assets | $ | 4,184 |  | $ | 6 |  | $ | 48 |  | $ | 190 |  | $ | (226 | ) | $ | (90 | ) | $ | 491 |  | $ | (175 | ) | $ | 4,428 |
Liabilities |  |  |  |  |  |  |  |  |
Other Policyholder Funds and Benefits Payable |  |  |  |  |  |  |  |  |
| Guaranteed Withdrawal Benefits | $ | (361 | ) | $ | (35 | ) | $ | — |  | $ | — |  | $ | (16 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (412 | )
| Equity Linked Notes | (25 | ) | (3 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (28 | )
Total Other Policyholder Funds and Benefits Payable | (386 | ) | (38 | ) | — |  | — |  | (16 | ) | — |  | — |  | — |  | (440 | )
Total Liabilities | $ | (386 | ) | $ | (38 | ) | $ | — |  | $ | — |  | $ | (16 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (440 | )
Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 2016
| Total realized/unrealized gains (losses) |  |  |  |  |  |
|  | Fair value as of January 1, 2016 | Included in net income [1] [2] [6] | Included in OCI [3] | Purchases [8] | Settlements | Sales | Transfers into Level 3 [4] | Transfers out of Level 3 [4] | Fair value as of June 30, 2016
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 37 |  | $ | — |  | $ | — |  | $ | — |  | $ | (7 | ) | $ | — |  | $ | 18 |  | $ | (7 | ) | $ | 41 |
| CDOs | 541 |  | (1 | ) | (2 | ) | — |  | (60 | ) | — |  | — |  | — |  | 478 |
| CMBS | 150 |  | (1 | ) | (3 | ) | 50 |  | (18 | ) | (3 | ) | 1 |  | (97 | ) | 79 |
| Corporate | 854 |  | (14 | ) | 12 |  | 67 |  | (55 | ) | (91 | ) | 513 |  | (150 | ) | 1,136 |
| Foreign Govt./Govt. Agencies | 60 |  | 1 |  | 9 |  | 15 |  | (2 | ) | (11 | ) | — |  | — |  | 72 |
| Municipal | 49 |  | — |  | 5 |  | 20 |  | — |  | — |  | 16 |  | — |  | 90 |
| RMBS | 1,622 |  | — |  | (4 | ) | 430 |  | (158 | ) | — |  | 5 |  | (22 | ) | 1,873 |
Total Fixed Maturities, AFS | 3,313 |  | (15 | ) | 17 |  | 582 |  | (300 | ) | (105 | ) | 553 |  | (276 | ) | 3,769 |
Fixed Maturities, FVO | 16 |  | (1 | ) | — |  | 6 |  | (2 | ) | (3 | ) | — |  | (10 | ) | 6 |
Equity Securities, AFS | 93 |  | — |  | 7 |  | 2 |  | — |  | (5 | ) | — |  | — |  | 97 |
Freestanding Derivatives, net [5] |  |  |  |  |  |  |  |  |
| Equity | — |  | (15 | ) | — |  | 16 |  | — |  | — |  | — |  | — |  | 1 |
| Interest rate | (22 | ) | (10 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (32 | )
| GMWB hedging instruments | 135 |  | 24 |  | — |  | — |  | — |  | — |  | — |  | 6 |  | 165 |
| Macro hedge program | 147 |  | (4 | ) | — |  | — |  | (2 | ) | — |  | — |  | — |  | 141 |
| Other contracts | 7 |  | (3 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 4 |
Total Freestanding Derivatives, net [5] | 267 |  | (8 | ) | — |  | 16 |  | (2 | ) | — |  | — |  | 6 |  | 279 |
Reinsurance Recoverable for GMWB | 83 |  | 16 |  | — |  | — |  | 7 |  | — |  | — |  | — |  | 106 |
Separate Accounts | 139 |  | — |  | 7 |  | 61 |  | (9 | ) | (16 | ) | 6 |  | (17 | ) | 171 |
Total Assets | $ | 3,911 |  | $ | (8 | ) | $ | 31 |  | $ | 667 |  | $ | (306 | ) | $ | (129 | ) | $ | 559 |  | $ | (297 | ) | $ | 4,428 |
Liabilities |  |  |  |  |  |  |  |  |
Other Policyholder Funds and Benefits Payable |  |  |  |  |  |  |  |  |
| Guaranteed Withdrawal Benefits | $ | (262 | ) | $ | (117 | ) | $ | — |  | $ | — |  | $ | (33 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (412 | )
| Equity Linked Notes | (26 | ) | (2 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (28 | )
Total Other Policyholder Funds and Benefits Payable | (288 | ) | (119 | ) | — |  | — |  | (33 | ) | — |  | — |  | — |  | (440 | )
Total Liabilities | $ | (288 | ) | $ | (119 | ) | $ | — |  | $ | — |  | $ | (33 | ) | $ | — |  | $ | — |  | $ | — |  | $ | (440 | )
[1] | The Company classifies realized and unrealized gains (losses) on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives.
[2] | Amounts in these rows are generally reported in net realized capital gains (losses). The realized/unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on net income for the Company. All amounts are before income taxes and amortization of DAC.
[3] | All amounts are before income taxes and amortization of DAC.
[4] | Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.
[5] | Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported in the Condensed Consolidated Balance Sheets in other investments and other liabilities.
[6] | Includes both market and non-market impacts in deriving realized and unrealized gains (losses).
[7] | For additional information, see the Contingent Consideration section of Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.
[8] | Includes issuance of contingent consideration associated with the Lattice acquisition, see Note 2 - Business Disposition of Notes to Condensed Consolidated Financial Statements for additional discussion.
Changes in Unrealized Gains (Losses) Included in Net Income for Financial Instruments Classified as Level 3 Still Held at End of Period
|  | Three months ended June 30, | Six months ended June 30,
|  | 2017 [1] [2] | 2016 [1] [2] | 2017 [1] [2] | 2016 [1] [2]
Assets |  |  |  |
Fixed Maturities, AFS |  |  |  |
| CMBS | $ | — |  | $ | — |  | $ | (1 | ) | $ | (1 | )
| Corporate | (12 | ) | (1 | ) | (12 | ) | (1 | )
Total Fixed Maturities, AFS | (12 | ) | (1 | ) | (13 | ) | (2 | )
Fixed Maturities, FVO | — |  | — |  | — |  | (1 | )
Freestanding Derivatives, net |  |  |  |
| Equity | (2 | ) | (4 | ) | (2 | ) | (15 | )
| Interest rate | (2 | ) | (4 | ) | (2 | ) | (10 | )
| GMWB hedging instruments | (6 | ) | 15 |  | (42 | ) | 24 |
| Macro hedge program | 2 |  | (4 | ) | (6 | ) | (4 | )
| Other Contracts | — |  | (1 | ) | — |  | (3 | )
Total Freestanding Derivatives, net | (8 | ) | 2 |  | (52 | ) | (8 | )
Reinsurance Recoverable for GMWB | (7 | ) | 3 |  | (23 | ) | 16 |
Separate Accounts | — |  | — |  | 1 |  | — |
Total Assets | $ | (27 | ) | $ | 4 |  | $ | (87 | ) | $ | 5 |
Liabilities |  |  |  |
Other Policyholder Funds and Benefits Payable |  |  |  |
| Guaranteed Withdrawal Benefits | $ | 40 |  | $ | (35 | ) | $ | 140 |  | $ | (117 | )
| Equity Linked Notes | (1 | ) | (3 | ) | (4 | ) | (2 | )
Total Other Policyholder Funds and Benefits Payable | 39 |  | (38 | ) | 136 |  | (119 | )
Contingent Consideration [3] | (1 | ) | — |  | (2 | ) | — |
Total Liabilities | $ | 38 |  | $ | (38 | ) | $ | 134 |  | $ | (119 | )
[1] | All amounts in these rows are reported in net realized capital gains (losses). The realized/unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on net income for the Company. All amounts are before income taxes and amortization of DAC.
[2] | Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.
[3] | For additional information, see the Contingent Consideration section of Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.
Fair value of assets and liabilities accounted for using the fair value option |
Changes in Fair Value of Assets using Fair Value Option
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2017 | 2016 |  | 2017 | 2016
Assets |  |  |  |  |
Fixed maturities, FVO |  |  |  |  |
Corporate | $ | — |  | $ | — |  |  | $ | (1 | ) | $ | — |
Foreign government | — |  | — |  |  | — |  | (1 | )
RMBS | — |  | 4 |  |  | 1 |  | 5 |
Total fixed maturities, FVO | $ | — |  | $ | 4 |  |  | $ | — |  | $ | 4 |
Equity, FVO | 3 |  | — |  |  | 2 |  | (34 | )
Total realized capital gains (losses) | $ | 3 |  | $ | 4 |  |  | $ | 2 |  | $ | (30 | )
Fair value of assets and liabilities accounted for using the fair value option |
Fair Value of Assets and Liabilities using the Fair Value Option
| June 30, 2017 | December 31, 2016
Assets |  |
Fixed maturities, FVO |  |
ABS | $ | — |  | $ | 7 |
CDOs | — |  | 3 |
CMBS | — |  | 8 |
Corporate | — |  | 40 |
U.S government | — |  | 7 |
RMBS | 146 |  | 228 |
Total fixed maturities, FVO | $ | 146 |  | $ | 293 |
Financial Instruments Not Carried at Fair Value |
Financial Assets and Liabilities Not Carried at Fair Value
| Fair Value Hierarchy Level | Carrying Amount | Fair Value
June 30, 2017
Assets |  |  |
Policy loans | Level 3 | $ | 1,433 |  | $ | 1,433 |
Mortgage loans | Level 3 | 5,796 |  | 5,871 |
Liabilities |  |  |
Other policyholder funds and benefits payable [1] | Level 3 | $ | 6,403 |  | $ | 6,603 |
Senior notes [2] | Level 2 | 3,555 |  | 4,200 |
Junior subordinated debentures [2] | Level 2 | 1,582 |  | 1,756 |
Consumer notes [3] [4] | Level 3 | 10 |  | 10 |
Assumed investment contracts [3] | Level 3 | 514 |  | 541 |
December 31, 2016
Assets |  |  |
Policy loans | Level 3 | $ | 1,444 |  | $ | 1,444 |
Mortgage loans | Level 3 | 5,697 |  | 5,721 |
Liabilities |  |  |
Other policyholder funds and benefits payable [1] | Level 3 | $ | 6,714 |  | $ | 6,906 |
Senior notes [2] | Level 2 | 3,969 |  | 4,487 |
Junior subordinated debentures [2] | Level 2 | 1,083 |  | 1,246 |
Consumer notes [3] [4] | Level 3 | 20 |  | 20 |
Assumed investment contracts [3] | Level 3 | 487 |  | 526 |
[1] | Excludes guarantees on variable annuities, group accident and health and universal life insurance contracts, including corporate owned life insurance.
[2] | Included in long-term debt in the Condensed Consolidated Balance Sheets, except for current maturities, which are included in short-term debt.
[3] | Excludes amounts carried at fair value and included in preceding disclosures.
[4] | Included in other liabilities in the Condensed Consolidated Balance Sheets.

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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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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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