v3.8.0.1

Fair Value of Assets and Liabilities (Tables) | 12 Months Ended
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Dec. 31, 2017
Fair Value Disclosures [Abstract] |
Fair Value, Assets and Liabilities Measured on Recurring Basis | The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.
| As of December 31, 2017
| Level 1 |  | Level 2 |  | Level 3 |  | Netting(1) |  | Total
| (in millions)
Fixed maturities, available-for-sale: |  |  |  |  |  |  |  |  |
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 |  |  | $ | 26,086 |  |  | $ | 52 |  |  | $ |  | $ | 26,138 |
Obligations of U.S. states and their political subdivisions | 0 |  |  | 10,466 |  |  | 5 |  |  |  |  | 10,471 |
Foreign government bonds | 0 |  |  | 103,271 |  |  | 148 |  |  |  |  | 103,419 |
U.S. corporate public securities | 0 |  |  | 90,115 |  |  | 109 |  |  |  |  | 90,224 |
U.S. corporate private securities(2) | 0 |  |  | 31,845 |  |  | 1,889 |  |  |  |  | 33,734 |
Foreign corporate public securities | 0 |  |  | 29,329 |  |  | 79 |  |  |  |  | 29,408 |
Foreign corporate private securities | 0 |  |  | 23,528 |  |  | 699 |  |  |  |  | 24,227 |
Asset-backed securities(3) | 0 |  |  | 5,629 |  |  | 6,604 |  |  |  |  | 12,233 |
Commercial mortgage-backed securities | 0 |  |  | 13,268 |  |  | 13 |  |  |  |  | 13,281 |
Residential mortgage-backed securities | 0 |  |  | 3,547 |  |  | 98 |  |  |  |  | 3,645 |
Subtotal | 0 |  |  | 337,084 |  |  | 9,696 |  |  |  |  | 346,780 |
Trading account assets:(4) |  |  |  |  |  |  |  |  |
U.S. Treasury securities and obligations of U.S. government authorities and agencies | 0 |  |  | 328 |  |  | 0 |  |  |  |  | 328 |
Obligations of U.S. states and their political subdivisions | 0 |  |  | 208 |  |  | 0 |  |  |  |  | 208 |
Foreign government bonds | 0 |  |  | 857 |  |  | 223 |  |  |  |  | 1,080 |
Corporate securities | 0 |  |  | 16,712 |  |  | 552 |  |  |  |  | 17,264 |
Asset-backed securities(3) | 0 |  |  | 697 |  |  | 788 |  |  |  |  | 1,485 |
Commercial mortgage-backed securities | 0 |  |  | 2,321 |  |  | 0 |  |  |  |  | 2,321 |
Residential mortgage-backed securities | 0 |  |  | 1,029 |  |  | 1 |  |  |  |  | 1,030 |
Equity securities | 2,015 |  |  | 274 |  |  | 509 |  |  |  |  | 2,798 |
All other(5) | 56 |  |  | 10,763 |  |  | 8 |  |  | (9,601 | ) |  | 1,226 |
Subtotal | 2,071 |  |  | 33,189 |  |  | 2,081 |  |  | (9,601 | ) |  | 27,740 |
Equity securities, available-for-sale | 5,344 |  |  | 540 |  |  | 290 |  |  |  |  | 6,174 |
Commercial mortgage and other loans | 0 |  |  | 593 |  |  | 0 |  |  |  |  | 593 |
Other long-term investments(6) | 24 |  |  | 111 |  |  | 136 |  |  | 1 |  |  | 272 |
Short-term investments | 3,906 |  |  | 1,850 |  |  | 8 |  |  |  |  | 5,764 |
Cash equivalents | 1,900 |  |  | 6,398 |  |  | 0 |  |  |  |  | 8,298 |
Other assets | 0 |  |  | 1 |  |  | 13 |  |  |  |  | 14 |
Separate account assets(7)(8) | 45,397 |  |  | 232,874 |  |  | 2,122 |  |  |  |  | 280,393 |
Total assets | $ | 58,642 |  |  | $ | 612,640 |  |  | $ | 14,346 |  |  | $ | (9,600 | ) |  | $ | 676,028 |
Future policy benefits(9) | $ | 0 |  |  | $ | 0 |  |  | $ | 8,720 |  |  | $ |  | $ | 8,720 |
Other liabilities | 4 |  |  | 5,946 |  |  | 50 |  |  | (5,312 | ) |  | 688 |
Notes issued by consolidated VIEs | 0 |  |  | 0 |  |  | 1,196 |  |  |  |  | 1,196 |
Total liabilities | $ | 4 |  |  | $ | 5,946 |  |  | $ | 9,966 |  |  | $ | (5,312 | ) |  | $ | 10,604 |
| As of December 31, 2016
| Level 1 |  | Level 2 |  | Level 3 |  | Netting(1) |  | Total
| (in millions)
Fixed maturities, available-for-sale: |  |  |  |  |  |  |  |  |
U.S. Treasury securities and obligations of U.S. government authorities and agencies | $ | 0 |  |  | $ | 23,784 |  |  | $ | 0 |  |  | $ |  | $ | 23,784 |
Obligations of U.S. states and their political subdivisions | 0 |  |  | 9,687 |  |  | 5 |  |  |  |  | 9,692 |
Foreign government bonds | 0 |  |  | 96,132 |  |  | 124 |  |  |  |  | 96,256 |
U.S. corporate public securities | 0 |  |  | 81,350 |  |  | 261 |  |  |  |  | 81,611 |
U.S. corporate private securities(2) | 0 |  |  | 30,434 |  |  | 1,354 |  |  |  |  | 31,788 |
Foreign corporate public securities | 0 |  |  | 28,166 |  |  | 71 |  |  |  |  | 28,237 |
Foreign corporate private securities | 0 |  |  | 20,393 |  |  | 487 |  |  |  |  | 20,880 |
Asset-backed securities(3) | 0 |  |  | 7,591 |  |  | 4,344 |  |  |  |  | 11,935 |
Commercial mortgage-backed securities | 0 |  |  | 12,690 |  |  | 14 |  |  |  |  | 12,704 |
Residential mortgage-backed securities | 0 |  |  | 4,335 |  |  | 197 |  |  |  |  | 4,532 |
Subtotal | 0 |  |  | 314,562 |  |  | 6,857 |  |  |  |  | 321,419 |
Trading account assets:(4) |  |  |  |  |  |  |  |  |
U.S. Treasury securities and obligations of U.S. government authorities and agencies | 0 |  |  | 301 |  |  | 0 |  |  |  |  | 301 |
Obligations of U.S. states and their political subdivisions | 0 |  |  | 194 |  |  | 0 |  |  |  |  | 194 |
Foreign government bonds | 0 |  |  | 714 |  |  | 227 |  |  |  |  | 941 |
Corporate securities | 0 |  |  | 16,992 |  |  | 188 |  |  |  |  | 17,180 |
Asset-backed securities(3) | 0 |  |  | 1,086 |  |  | 329 |  |  |  |  | 1,415 |
Commercial mortgage-backed securities | 0 |  |  | 2,061 |  |  | 1 |  |  |  |  | 2,062 |
Residential mortgage-backed securities | 0 |  |  | 1,208 |  |  | 2 |  |  |  |  | 1,210 |
Equity securities | 1,690 |  |  | 214 |  |  | 487 |  |  |  |  | 2,391 |
All other(5) | 208 |  |  | 13,259 |  |  | 1 |  |  | (11,708 | ) |  | 1,760 |
Subtotal | 1,898 |  |  | 36,029 |  |  | 1,235 |  |  | (11,708 | ) |  | 27,454 |
Equity securities, available-for-sale | 6,033 |  |  | 3,450 |  |  | 265 |  |  |  |  | 9,748 |
Commercial mortgage and other loans | 0 |  |  | 519 |  |  | 0 |  |  |  |  | 519 |
Other long-term investments(6) | 44 |  |  | 106 |  |  | 7 |  |  | (8 | ) |  | 149 |
Short-term investments | 5,623 |  |  | 1,558 |  |  | 1 |  |  |  |  | 7,182 |
Cash equivalents | 3,885 |  |  | 4,421 |  |  | 0 |  |  |  |  | 8,306 |
Other assets | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |
Separate account assets(7)(8) | 38,915 |  |  | 221,253 |  |  | 1,849 |  |  |  |  | 262,017 |
Total assets | $ | 56,398 |  |  | $ | 581,898 |  |  | $ | 10,214 |  |  | $ | (11,716 | ) |  | $ | 636,794 |
Future policy benefits(9) | $ | 0 |  |  | $ | 0 |  |  | $ | 8,238 |  |  | $ |  | $ | 8,238 |
Other liabilities | 8 |  |  | 6,284 |  |  | 22 |  |  | (5,945 | ) |  | 369 |
Notes issued by consolidated VIEs | 0 |  |  | 0 |  |  | 1,839 |  |  |  |  | 1,839 |
Total liabilities | $ | 8 |  |  | $ | 6,284 |  |  | $ | 10,099 |  |  | $ | (5,945 | ) |  | $ | 10,446 |
__________
(1) | “Netting” amounts represent cash collateral of $4,288 million and $5,771 million as of December 31, 2017 and 2016, respectively, and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting arrangements.
(2) | Excludes notes with both fair value and carrying amount of $2,660 million and $1,456 million, as of December 31, 2017 and 2016, respectively, which have been offset with the associated payables under a netting agreement.
(3) | Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.
(4) | Includes “Trading account assets supporting insurance liabilities” and “Other trading account assets.”
(5) | Level 1 represents cash equivalents and short term investments. All other amounts primarily represent derivative assets.
(6) | Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at NAV per share (or its equivalent) as a practical expedient. At December 31, 2017 and 2016, the fair values of such investments were $1,969 million and $1,579 million respectively.
(7) | Separate account assets included in the fair value hierarchy exclude investments in entities that calculate net asset value per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, hedge funds and other invested assets, for which fair value is measured at NAV per share (or its equivalent). At December 31, 2017 and 2016, the fair value of such investments was $26,224 million and $25,619 million, respectively.
(8) | Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Consolidated Statements of Financial Position.
(9) | As of December 31, 2017, the net embedded derivative liability position of $8.7 billion includes $0.9 billion of embedded derivatives in an asset position and $9.6 billion of embedded derivatives in a liability position. As of December 31, 2016, the net embedded derivative liability position of $8.2 billion includes $1.2 billion of embedded derivatives in an asset position and $9.4 billion of embedded derivatives in a liability position.
Fair Value, Transfers Between Level 1 and Level 2 | The following table presents the transfers between Level 1 and Level 2 for dates indicated below:
| Year Ended December 31,
| 2017 |  | 2016
| (in millions)
Transferred from Level 1 to Level 2 | $ | 111 |  |  | $ | 86 |
Transferred from Level 2 to Level 1 | $ | 207 |  |  | $ | 40 |
Fair Value Inputs, Assets, Quantitative Information | The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.
|  | As of December 31, 2017
|  | Fair Value |  | Valuation Techniques |  | Unobservable Inputs |  | Minimum |  | Maximum |  | Weighted Average |  | Impact of Increase in Input on Fair Value(1)
|  | (in millions) |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities(2) |  | $ | 1,352 |  |  | Discounted cash flow |  | Discount rate |  | 0.65% | — |  | 22% |  | 7.20 | % |  | Decrease
|  |  |  | Market comparables |  | EBITDA multiples(3) |  | 7.4X | — |  | 7.4X |  | 7.4X |  | Increase
|  |  |  | Liquidation |  | Liquidation value |  | 13.10% | — |  | 25.00% |  | 14.68 | % |  | Increase
Separate account assets-commercial mortgage loans(4) |  | $ | 821 |  |  | Discounted cash flow |  | Spread |  | 1.08% | — |  | 2.78% |  | 1.20 | % |  | Decrease
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits(5) |  | $ | 8,720 |  |  | Discounted cash flow |  | Lapse rate(6) |  | 1% | — |  | 12% |  |  |  | Decrease
|  |  |  |  |  | Spread over LIBOR(7) |  | 0.12% | — |  | 1.10% |  |  |  | Decrease
|  |  |  |  |  | Utilization rate(8) |  | 52% | — |  | 97% |  |  |  | Increase
|  |  |  |  |  | Withdrawal rate |  | See table footnote (9) below.
|  |  |  |  |  | Mortality rate(10) |  | 0% | — |  | 14% |  |  |  | Decrease
|  |  |  |  |  | Equity volatility curve |  | 13% | — |  | 24% |  |  |  | Increase
|  | As of December 31, 2016
|  | Fair Value |  | Valuation Techniques |  | Unobservable Inputs |  | Minimum |  | Maximum |  | Weighted Average |  | Impact of Increase in Input on Fair Value(1)
|  | (in millions) |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities(2) |  | $ | 1,848 |  |  | Discounted cash flow |  | Discount rate |  | 0.70% | — |  | 20% |  | 7.12% |  | Decrease
|  |  |  | Market comparables |  | EBITDA multiples(3) |  | 4.0X | — |  | 4.0X |  | 4.0X |  | Increase
|  |  |  | Liquidation |  | Liquidation value |  | 15.19% | — |  | 98.68% |  | 91.72% |  | Increase
Separate account assets-commercial mortgage loans(4) |  | $ | 971 |  |  | Discounted cash flow |  | Spread |  | 1.19% | — |  | 2.90% |  | 1.37% |  | Decrease
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits(5) |  | $ | 8,238 |  |  | Discounted cash flow |  | Lapse rate(6) |  | 0% | — |  | 13% |  |  |  | Decrease
|  |  |  |  |  | Spread over LIBOR(7) |  | 0.25% | — |  | 1.50% |  |  |  | Decrease
|  |  |  |  |  | Utilization rate(8) |  | 52% | — |  | 96% |  |  |  | Increase
|  |  |  |  |  | Withdrawal rate |  | See table footnote (9) below.
|  |  |  |  |  | Mortality rate(10) |  | 0% | — |  | 14% |  |  |  | Decrease
|  |  |  |  |  | Equity volatility curve |  | 16% | — |  | 25% |  |  |  | Increase
__________
(1) | Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.
(2) | Includes assets classified as fixed maturities available-for-sale, trading account assets supporting insurance liabilities and other trading account assets.
(3) | Represents multiples of earnings before interest, taxes, depreciation and amortization (“EBITDA”), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.
(4) | Changes in the fair value of separate account assets are borne by customers and thus are offset by changes in separate account liabilities on the Company’s Consolidated Statements of Financial Position. As a result, changes in value associated with these investments are not reflected in the Company’s Consolidated Statements of Operations.
(5) | Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.
(6) | Lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.
(7) | The spread over LIBOR swap curve represents the premium added to the risk-free discount rate (i.e., LIBOR) to reflect our estimates of rates that a market participant would use to value the living benefit contracts in both the accumulation and payout phases. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because both funding agreements and living benefit contracts are insurance liabilities and are therefore senior to debt.
(8) | The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status, and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.
(9) | The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of December 31, 2017 and 2016, the minimum withdrawal rate assumption is 78% and the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.
(10) | Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table.
Fair Value Inputs, Liabilities, Quantitative Information | The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.
|  | As of December 31, 2017
|  | Fair Value |  | Valuation Techniques |  | Unobservable Inputs |  | Minimum |  | Maximum |  | Weighted Average |  | Impact of Increase in Input on Fair Value(1)
|  | (in millions) |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities(2) |  | $ | 1,352 |  |  | Discounted cash flow |  | Discount rate |  | 0.65% | — |  | 22% |  | 7.20 | % |  | Decrease
|  |  |  | Market comparables |  | EBITDA multiples(3) |  | 7.4X | — |  | 7.4X |  | 7.4X |  | Increase
|  |  |  | Liquidation |  | Liquidation value |  | 13.10% | — |  | 25.00% |  | 14.68 | % |  | Increase
Separate account assets-commercial mortgage loans(4) |  | $ | 821 |  |  | Discounted cash flow |  | Spread |  | 1.08% | — |  | 2.78% |  | 1.20 | % |  | Decrease
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits(5) |  | $ | 8,720 |  |  | Discounted cash flow |  | Lapse rate(6) |  | 1% | — |  | 12% |  |  |  | Decrease
|  |  |  |  |  | Spread over LIBOR(7) |  | 0.12% | — |  | 1.10% |  |  |  | Decrease
|  |  |  |  |  | Utilization rate(8) |  | 52% | — |  | 97% |  |  |  | Increase
|  |  |  |  |  | Withdrawal rate |  | See table footnote (9) below.
|  |  |  |  |  | Mortality rate(10) |  | 0% | — |  | 14% |  |  |  | Decrease
|  |  |  |  |  | Equity volatility curve |  | 13% | — |  | 24% |  |  |  | Increase
|  | As of December 31, 2016
|  | Fair Value |  | Valuation Techniques |  | Unobservable Inputs |  | Minimum |  | Maximum |  | Weighted Average |  | Impact of Increase in Input on Fair Value(1)
|  | (in millions) |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate securities(2) |  | $ | 1,848 |  |  | Discounted cash flow |  | Discount rate |  | 0.70% | — |  | 20% |  | 7.12% |  | Decrease
|  |  |  | Market comparables |  | EBITDA multiples(3) |  | 4.0X | — |  | 4.0X |  | 4.0X |  | Increase
|  |  |  | Liquidation |  | Liquidation value |  | 15.19% | — |  | 98.68% |  | 91.72% |  | Increase
Separate account assets-commercial mortgage loans(4) |  | $ | 971 |  |  | Discounted cash flow |  | Spread |  | 1.19% | — |  | 2.90% |  | 1.37% |  | Decrease
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits(5) |  | $ | 8,238 |  |  | Discounted cash flow |  | Lapse rate(6) |  | 0% | — |  | 13% |  |  |  | Decrease
|  |  |  |  |  | Spread over LIBOR(7) |  | 0.25% | — |  | 1.50% |  |  |  | Decrease
|  |  |  |  |  | Utilization rate(8) |  | 52% | — |  | 96% |  |  |  | Increase
|  |  |  |  |  | Withdrawal rate |  | See table footnote (9) below.
|  |  |  |  |  | Mortality rate(10) |  | 0% | — |  | 14% |  |  |  | Decrease
|  |  |  |  |  | Equity volatility curve |  | 16% | — |  | 25% |  |  |  | Increase
__________
(1) | Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.
(2) | Includes assets classified as fixed maturities available-for-sale, trading account assets supporting insurance liabilities and other trading account assets.
(3) | Represents multiples of earnings before interest, taxes, depreciation and amortization (“EBITDA”), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.
(4) | Changes in the fair value of separate account assets are borne by customers and thus are offset by changes in separate account liabilities on the Company’s Consolidated Statements of Financial Position. As a result, changes in value associated with these investments are not reflected in the Company’s Consolidated Statements of Operations.
(5) | Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.
(6) | Lapse rates are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates are also generally assumed to be lower for the period where surrender charges apply.
(7) | The spread over LIBOR swap curve represents the premium added to the risk-free discount rate (i.e., LIBOR) to reflect our estimates of rates that a market participant would use to value the living benefit contracts in both the accumulation and payout phases. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because both funding agreements and living benefit contracts are insurance liabilities and are therefore senior to debt.
(8) | The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status, and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.
(9) | The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of December 31, 2017 and 2016, the minimum withdrawal rate assumption is 78% and the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.
(10) | Range reflects the mortality rate for the vast majority of business with living benefits, with policyholders ranging from 35 to 90 years old. While the majority of living benefits have a minimum age requirement, certain benefits do not have an age restriction. This results in contractholders for certain benefits with mortality rates approaching 0%. Based on historical experience, the Company applies a set of age and duration specific mortality rate adjustments compared to standard industry tables. A mortality improvement assumption is also incorporated into the overall mortality table.
Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | –The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.
| Year Ended December 31, 2017
| Fixed Maturities Available-For-Sale
| U.S. Government |  | U.S. States |  | Foreign Government |  | Corporate Securities(1) |  | Structured Securities(2)
| (in millions)
Fair Value, beginning of period | $ | 0 |  |  | $ | 5 |  |  | $ | 124 |  |  | $ | 2,173 |  |  | $ | 4,555 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | 0 |  |  | 0 |  |  | 0 |  |  | (93 | ) |  | 70 |
Included in other comprehensive income (loss) | 0 |  |  | 0 |  |  | (1 | ) |  | (22 | ) |  | 11 |
Net investment income | 0 |  |  | 0 |  |  | 0 |  |  | 19 |  |  | 7 |
Purchases | 42 |  |  | 7 |  |  | 0 |  |  | 525 |  |  | 4,967 |
Sales | 0 |  |  | 0 |  |  | 0 |  |  | (173 | ) |  | (645 | )
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | 0 |  |  | 0 |  |  | 0 |  |  | (781 | ) |  | (2,756 | )
Foreign currency translation | 0 |  |  | 0 |  |  | 3 |  |  | 7 |  |  | 38 |
Other(4) | 10 |  |  | 0 |  |  | 0 |  |  | (55 | ) |  | (2 | )
Transfers into Level 3(5) | 0 |  |  | 0 |  |  | 39 |  |  | 1,498 |  |  | 3,933 |
Transfers out of Level 3(5) | 0 |  |  | (7 | ) |  | (17 | ) |  | (322 | ) |  | (3,463 | )
Fair Value, end of period | $ | 52 |  |  | $ | 5 |  |  | $ | 148 |  |  | $ | 2,776 |  |  | $ | 6,715 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (154 | ) |  | $ | 0 |
| Year Ended December 31, 2017
| Trading Account Assets
| Foreign Government |  | Corporate Securities |  | Structured Securities(2) |  | Equity |  | All Other Activity
| (in millions)
Fair Value, beginning of period | $ | 227 |  |  | $ | 188 |  |  | $ | 332 |  |  | $ | 487 |  |  | $ | 1 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other income | (5 | ) |  | (32 | ) |  | 0 |  |  | 25 |  |  | 0 |
Net investment income | 5 |  |  | 3 |  |  | 1 |  |  | 0 |  |  | 0 |
Purchases | 0 |  |  | 154 |  |  | 656 |  |  | 28 |  |  | 46 |
Sales | 0 |  |  | (7 | ) |  | (25 | ) |  | (17 | ) |  | 0 |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | (4 | ) |  | (119 | ) |  | (355 | ) |  | (47 | ) |  | (39 | )
Foreign currency translation | 0 |  |  | 0 |  |  | 5 |  |  | 6 |  |  | 0 |
Other(4) | 0 |  |  | 0 |  |  | 1 |  |  | 29 |  |  | 0 |
Transfers into Level 3(5) | 0 |  |  | 383 |  |  | 602 |  |  | 31 |  |  | 0 |
Transfers out of Level 3(5) | 0 |  |  | (18 | ) |  | (428 | ) |  | (33 | ) |  | 0 |
Fair Value, end of period | $ | 223 |  |  | $ | 552 |  |  | $ | 789 |  |  | $ | 509 |  |  | $ | 8 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other income | $ | (5 | ) |  | $ | (33 | ) |  | $ | 3 |  |  | $ | 38 |  |  | $ | 0 |
| Year Ended December 31, 2017
| Equity Securities Available- For-Sale |  | Other Long-term Investments |  | Short-term Investments |  | Cash Equivalents |  | Other Assets
| (in millions)
Fair Value, beginning of period | $ | 265 |  |  | $ | 7 |  |  | $ | 1 |  |  | $ | 0 |  |  | $ | 0 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | 2 |  |  | 1 |  |  | 0 |  |  | 0 |  |  | (20 | )
Included in other comprehensive income (loss) | 17 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Net investment income | 0 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | 0 |
Purchases | 33 |  |  | 0 |  |  | 30 |  |  | 93 |  |  | 33 |
Sales | (35 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Issuances | 0 |  |  | 39 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | 0 |  |  | (1 | ) |  | (23 | ) |  | (99 | ) |  | 0 |
Foreign currency translation | 3 |  |  | (1 | ) |  | 0 |  |  | 0 |  |  | 0 |
Other(4) | (1 | ) |  | 77 |  |  | (1 | ) |  | 0 |  |  | 0 |
Transfers into Level 3(5) | 7 |  |  | 14 |  |  | 1 |  |  | 4 |  |  | 0 |
Transfers out of Level 3(5) | (1 | ) |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Fair Value, end of period | $ | 290 |  |  | $ | 136 |  |  | $ | 8 |  |  | $ | 0 |  |  | $ | 13 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | (4 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (21 | )
| Year Ended December 31, 2017
| Separate Account Assets(3) |  | Future Policy Benefits |  | Other Liabilities |  | Notes Issued by Consolidated VIEs
| (in millions)
Fair Value, beginning of period | $ | 1,849 |  |  | $ | (8,238 | ) |  | $ | (22 | ) |  | $ | (1,839 | )
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | 0 |  |  | 637 |  |  | (37 | ) |  | (4 | )
Interest credited to policyholders’ account balances | 81 |  |  | 0 |  |  | 0 |  |  | 0 |
Net investment income | 2 |  |  | 0 |  |  | 0 |  |  | 0 |
Purchases | 1,122 |  |  | 0 |  |  | 0 |  |  | 0 |
Sales | (98 | ) |  | 0 |  |  | 0 |  |  | 0 |
Issuances | 0 |  |  | (1,117 | ) |  | 0 |  |  | 0 |
Settlements | (725 | ) |  | 0 |  |  | 4 |  |  | 0 |
Foreign currency translation | 0 |  |  | (2 | ) |  | 0 |  |  | 0 |
Other(4) | 0 |  |  | 0 |  |  | 5 |  |  | 647 |
Transfers into Level 3(5) | 353 |  |  | 0 |  |  | 0 |  |  | 0 |
Transfers out of Level 3(5) | (462 | ) |  | 0 |  |  | 0 |  |  | 0 |
Fair Value, end of period | $ | 2,122 |  |  | $ | (8,720 | ) |  | $ | (50 | ) |  | $ | (1,196 | )
Unrealized gains (losses) for assets/liabilities still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 372 |  |  | $ | (37 | ) |  | $ | (4 | )
Interest credited to policyholders’ account balances | $ | 78 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
| Year Ended December 31, 2016
| Fixed Maturities Available-For-Sale
| U.S. States |  | Foreign Government |  | Corporate Securities(1) |  | Structured Securities(2)
| (in millions)
Fair Value, beginning of period | $ | 6 |  |  | $ | 123 |  |  | $ | 1,222 |  |  | $ | 4,269 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | 0 |  |  | 0 |  |  | (131 | ) |  | 10 |
Included in other comprehensive income (loss) | 0 |  |  | (3 | ) |  | 76 |  |  | (23 | )
Net investment income | 0 |  |  | 0 |  |  | 11 |  |  | 13 |
Purchases | 0 |  |  | 0 |  |  | 318 |  |  | 3,582 |
Sales | 0 |  |  | 0 |  |  | (18 | ) |  | (444 | )
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | (1 | ) |  | 0 |  |  | (323 | ) |  | (700 | )
Foreign currency translation | 0 |  |  | 3 |  |  | 5 |  |  | 35 |
Other(4) | 0 |  |  | 0 |  |  | 0 |  |  | 159 |
Transfers into Level 3(5) | 0 |  |  | 1 |  |  | 1,486 |  |  | 1,787 |
Transfers out of Level 3(5) | 0 |  |  | 0 |  |  | (473 | ) |  | (4,133 | )
Fair Value, end of period | $ | 5 |  |  | $ | 124 |  |  | $ | 2,173 |  |  | $ | 4,555 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | (110 | ) |  | $ | 0 |
| Year Ended December 31, 2016
| Trading Account Assets
| Foreign Government |  | Corporate Securities |  | Structured Securities(2) |  | Equity |  | All Other Activity
| (in millions)
Fair Value, beginning of period | $ | 34 |  |  | $ | 203 |  |  | $ | 603 |  |  | $ | 589 |  |  | $ | 5 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other income | (5 | ) |  | (9 | ) |  | (12 | ) |  | 8 |  |  | 1 |
Net investment income | 1 |  |  | 2 |  |  | 2 |  |  | 0 |  |  | 0 |
Purchases | 201 |  |  | 11 |  |  | 185 |  |  | 20 |  |  | 0 |
Sales | 0 |  |  | (3 | ) |  | (49 | ) |  | (65 | ) |  | 0 |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | (4 | ) |  | (41 | ) |  | (122 | ) |  | (108 | ) |  | 0 |
Foreign currency translation | 0 |  |  | 0 |  |  | (2 | ) |  | 31 |  |  | 0 |
Other(4) | 0 |  |  | (15 | ) |  | 141 |  |  | 14 |  |  | (5 | )
Transfers into Level 3(5) | 0 |  |  | 151 |  |  | 252 |  |  | 28 |  |  | 0 |
Transfers out of Level 3(5) | 0 |  |  | (111 | ) |  | (666 | ) |  | (30 | ) |  | 0 |
Fair Value, end of period | $ | 227 |  |  | $ | 188 |  |  | $ | 332 |  |  | $ | 487 |  |  | $ | 1 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other income | $ | (5 | ) |  | $ | (10 | ) |  | $ | (4 | ) |  | $ | 3 |  |  | $ | 1 |
| Year Ended December 31, 2016
| Equity Securities Available- For-Sale |  | Other Long-term Investments |  | Short-term Investments |  | Other Assets
| (in millions)
Fair Value, beginning of period | $ | 266 |  |  | $ | 49 |  |  | $ | 0 |  |  | $ | 7 |
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | 52 |  |  | (1 | ) |  | 0 |  |  | (30 | )
Other income | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Included in other comprehensive income (loss) | (75 | ) |  | 0 |  |  | 0 |  |  | 0 |
Net investment income | 0 |  |  | (1 | ) |  | 0 |  |  | 0 |
Purchases | 99 |  |  | 1 |  |  | 1 |  |  | 23 |
Sales | (79 | ) |  | 0 |  |  | 0 |  |  | 0 |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Settlements | (13 | ) |  | 0 |  |  | 0 |  |  | 0 |
Foreign currency translation | 13 |  |  | 0 |  |  | 0 |  |  | 0 |
Other(4) | 0 |  |  | (33 | ) |  | 0 |  |  | 0 |
Transfers into Level 3(5) | 9 |  |  | 0 |  |  | 0 |  |  | 0 |
Transfers out of Level 3(5) | (7 | ) |  | (8 | ) |  | 0 |  |  | 0 |
Fair Value, end of period | $ | 265 |  |  | $ | 7 |  |  | $ | 1 |  |  | $ | 0 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | (1 | ) |  | $ | 0 |  |  | $ | (30 | )
Other income | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
| Year Ended December 31, 2016
| Separate Account Assets(3) |  | Future Policy Benefits |  | Other Liabilities |  | Notes Issued by Consolidated VIEs
| (in millions)
Fair Value, beginning of period | $ | 1,995 |  |  | $ | (8,434 | ) |  | $ | (2 | ) |  | $ | (8,597 | )
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | 1 |  |  | 1,252 |  |  | (8 | ) |  | (23 | )
Other income | 0 |  |  | 0 |  |  | 0 |  |  | (14 | )
Interest credited to policyholders’ account balances | 22 |  |  | 0 |  |  | 0 |  |  | 0 |
Net investment income | 17 |  |  | 0 |  |  | 0 |  |  | 0 |
Purchases | 555 |  |  | 0 |  |  | 0 |  |  | 0 |
Sales | (141 | ) |  | 0 |  |  | 0 |  |  | 0 |
Issuances | 0 |  |  | (1,056 | ) |  | 0 |  |  | (2,187 | )
Settlements | (485 | ) |  | 0 |  |  | (6 | ) |  | 697 |
Foreign currency translation | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other(4) | 0 |  |  | 0 |  |  | (6 | ) |  | 8,285 |
Transfers into Level 3(5) | 344 |  |  | 0 |  |  | 0 |  |  | 0 |
Transfers out of Level 3(5) | (459 | ) |  | 0 |  |  | 0 |  |  | 0 |
Fair Value, end of period | $ | 1,849 |  |  | $ | (8,238 | ) |  | $ | (22 | ) |  | $ | (1,839 | )
Unrealized gains (losses) for assets/liabilities still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 1,046 |  |  | $ | (9 | ) |  | $ | (23 | )
Other income | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (14 | )
Interest credited to policyholders’ account balances | $ | 3 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
The following tables summarize the portion of changes in fair values of Level 3 assets and liabilities included in earnings and other comprehensive income for the year ended December 31, 2015, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held as of December 31, 2015.
| Year Ended December 31, 2015
| Fixed Maturities Available-For-Sale
| Foreign Government |  | Corporate Securities(1) |  | Structured Securities(2)
| (in millions)
Total gains (losses) (realized/unrealized): |  |  |  |  |
Included in earnings: |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | (95 | ) |  | $ | 41 |
Included in other comprehensive income (loss) | $ | (3 | ) |  | $ | 7 |  |  | $ | (40 | )
Net investment income | $ | 0 |  |  | $ | 17 |  |  | $ | 20 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |
Included in earnings: |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | (87 | ) |  | $ | 4 |
| Year Ended December 31, 2015
| Trading Account Assets
| Corporate Securities |  | Structured Securities(2) |  | Equity |  | All Other Activity
| (in millions)
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other income | $ | (28 | ) |  | $ | (7 | ) |  | $ | (15 | ) |  | $ | (1 | )
Net investment income | $ | 1 |  |  | $ | 1 |  |  | $ | 0 |  |  | $ | 0 |
Unrealized gains (losses) for assets still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other income | $ | 9 |  |  | $ | (7 | ) |  | $ | 6 |  |  | $ | (1 | )
| Year Ended December 31, 2015
| Equity Securities Available- For-Sale |  | Other Long-term Investments |  | Other Assets
| (in millions)
Total gains (losses) (realized/unrealized): |  |  |  |  |
Included in earnings: |  |  |  |  |
Realized investment gains (losses), net | $ | 15 |  |  | $ | 21 |  |  | $ | 0 |
Included in other comprehensive income (loss) | $ | 1 |  |  | $ | 0 |  |  | $ | 0 |
Net investment income | $ | 0 |  |  | $ | (1 | ) |  | $ | 0 |
Unrealized gains (losses) for assets/liabilities still held(6): |  |  |  |  |
Included in earnings: |  |  |  |  |
Realized investment gains (losses), net | $ | (3 | ) |  | $ | 19 |  |  | $ | 2 |
| Year Ended December 31, 2015
| Separate Account Assets(3) |  | Future Policy Benefits |  | Other Liabilities |  | Notes Issued by Consolidated VIEs
| (in millions)
Total gains (losses) (realized/unrealized): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 717 |  |  | $ | 1 |  |  | $ | 287 |
Other income | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 146 |
Interest credited to policyholders’ account balances | $ | (38 | ) |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Net investment income | $ | 24 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Unrealized gains (losses) for assets/liabilities still held(6): |  |  |  |  |  |  |
Included in earnings: |  |  |  |  |  |  |
Realized investment gains (losses), net | $ | 0 |  |  | $ | 485 |  |  | $ | 1 |  |  | $ | 287 |
Other income | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 146 |
Interest credited to policyholders’ account balances | $ | 318 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
__________
(1) | Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities. Prior period amounts were aggregated to conform to current period presentation.
(2) | Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities. Prior period information has been revised to conform to current period presentation.
(3) | Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Consolidated Statements of Financial Position.
(4) | Other, for the period ended December 31, 2017 primarily represents deconsolidations of certain previously consolidated collateralized loan obligations and reclassifications of certain assets between reporting categories. Other, for the period ended December 31, 2016 primarily represents deconsolidations of certain previously consolidated collateralized loan obligations.
(5) | Transfers into or out of Level 3 are generally reported as the value as of the beginning of the quarter in which the transfers occur for any such assets still held at the end of the quarter.
(6) | Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.
Fair Value Assets and Liabilities Measured on Recurring Basis, Derivatives | The following tables present the balance of derivative assets and liabilities measured at fair value on a recurring basis, as of the date indicated, by primary underlying. These tables include NPR and exclude embedded derivatives and associated reinsurance recoverables. The derivative assets and liabilities shown below are included in “Trading account assets-All Other Activity,” “Other long-term investments” or “Other liabilities” in the tables contained within the section “—Assets and Liabilities by Hierarchy Level” and “—Changes in Level 3 Assets and Liabilities”, above.
|  | As of December 31, 2017
|  | Level 1 |  | Level 2 |  | Level 3 |  | Netting(1) |  | Total
|  | (in millions)
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest Rate |  | $ | 25 |  |  | $ | 8,399 |  |  | $ | 0 |  |  | $ |  | $ | 8,424 |
Currency |  | 0 |  |  | 165 |  |  | 0 |  |  |  |  | 165 |
Credit |  | 0 |  |  | 21 |  |  | 0 |  |  |  |  | 21 |
Currency/Interest Rate |  | 0 |  |  | 1,588 |  |  | 0 |  |  |  |  | 1,588 |
Equity |  | 2 |  |  | 595 |  |  | 10 |  |  |  |  | 607 |
Commodity |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |
Netting(1) |  |  |  |  |  |  |  | (9,600 | ) |  | (9,600 | )
Total derivative assets |  | $ | 27 |  |  | $ | 10,768 |  |  | $ | 10 |  |  | $ | (9,600 | ) |  | $ | 1,205 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Interest Rate |  | $ | 1 |  |  | $ | 3,800 |  |  | $ | 3 |  |  | $ |  | $ | 3,804 |
Currency |  | 0 |  |  | 262 |  |  | 0 |  |  |  |  | 262 |
Credit |  | 0 |  |  | 5 |  |  | 0 |  |  |  |  | 5 |
Currency/Interest Rate |  | 0 |  |  | 1,149 |  |  | 0 |  |  |  |  | 1,149 |
Equity |  | 2 |  |  | 733 |  |  | 0 |  |  |  |  | 735 |
Commodity |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |
Netting(1) |  |  |  |  |  |  |  | (5,312 | ) |  | (5,312 | )
Total derivative liabilities |  | $ | 3 |  |  | $ | 5,949 |  |  | $ | 3 |  |  | $ | (5,312 | ) |  | $ | 643 |
|  | As of December 31, 2016
|  | Level 1 |  | Level 2 |  | Level 3 |  | Netting(1) |  | Total
|  | (in millions)
Derivative assets: |  |  |  |  |  |  |  |  |  |
Interest Rate |  | $ | 55 |  |  | $ | 9,269 |  |  | $ | 6 |  |  | $ |  | $ | 9,330 |
Currency |  | 0 |  |  | 375 |  |  | 0 |  |  |  |  | 375 |
Credit |  | 0 |  |  | 1 |  |  | 0 |  |  |  |  | 1 |
Currency/Interest Rate |  | 0 |  |  | 3,174 |  |  | 0 |  |  |  |  | 3,174 |
Equity |  | 0 |  |  | 203 |  |  | 0 |  |  |  |  | 203 |
Commodity |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |
Netting(1) |  |  |  |  |  |  |  | (11,716 | ) |  | (11,716 | )
Total derivative assets |  | $ | 55 |  |  | $ | 13,022 |  |  | $ | 6 |  |  | $ | (11,716 | ) |  | $ | 1,367 |
Derivative liabilities: |  |  |  |  |  |  |  |  |  |
Interest Rate |  | $ | 1 |  |  | $ | 4,515 |  |  | $ | 2 |  |  | $ |  | $ | 4,518 |
Currency |  | 0 |  |  | 893 |  |  | 0 |  |  |  |  | 893 |
Credit |  | 0 |  |  | 25 |  |  | 0 |  |  |  |  | 25 |
Currency/Interest Rate |  | 0 |  |  | 365 |  |  | 0 |  |  |  |  | 365 |
Equity |  | 6 |  |  | 483 |  |  | 0 |  |  |  |  | 489 |
Commodity |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |
Netting(1) |  |  |  |  |  |  |  | (5,945 | ) |  | (5,945 | )
Total derivative liabilities |  | $ | 7 |  |  | $ | 6,281 |  |  | $ | 2 |  |  | $ | (5,945 | ) |  | $ | 345 |
__________
(1) | “Netting” amounts represent cash collateral and the impact of offsetting asset and liability positions held with the same counterparty.
Fair Value Assets and Liabilities Measured on Recurring Basis Unobservable Input Reconciliation, Derivatives | The following tables provide a summary of the changes in fair value of Level 3 derivative assets and liabilities for the year ended December 31, 2017, as well as the portion of gains or losses included in income for the year ended December 31, 2017, attributable to unrealized gains or losses related to those assets and liabilities still held at December 31, 2017.
|  | Year Ended December 31, 2017
|  | Net Derivative– Equity |  | Net Derivative– Interest Rate
|  | (in millions)
Fair Value, beginning of period |  | $ | 0 |  |  | $ | 4 |
Total gains (losses) (realized/unrealized): |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | 0 |  |  | (7 | )
Other income |  | 0 |  |  | 0 |
Purchases |  | 0 |  |  | 0 |
Sales |  | 0 |  |  | 0 |
Issuances |  | 0 |  |  | 0 |
Settlements |  | 0 |  |  | 0 |
Foreign currency translation |  | 0 |  |  | 0 |
Other(1) |  | 10 |  |  | 0 |
Transfers into Level 3(3) |  | 0 |  |  | 0 |
Transfers out of Level 3(3) |  | 0 |  |  | 0 |
Fair Value, end of period |  | $ | 10 |  |  | $ | (3 | )
Unrealized gains (losses) for the period relating to those Level 3 assets that were still held at the end of the period: |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | $ | 0 |  |  | $ | (7 | )
Other income |  | $ | 0 |  |  | $ | 0 |
|  | Year Ended December 31, 2016
|  | Net Derivative– Equity |  | Net Derivative– Interest Rate
|  | (in millions)
Fair Value, beginning of period |  | $ | 32 |  |  | $ | 5 |
Total gains (losses) (realized/unrealized): |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | 0 |  |  | (1 | )
Other income |  | 0 |  |  | 0 |
Purchases |  | 0 |  |  | 0 |
Sales |  | 0 |  |  | 0 |
Issuances |  | 0 |  |  | 0 |
Settlements |  | 0 |  |  | 0 |
Other(2) |  | (32 | ) |  | 0 |
Transfers into Level 3(3) |  | 0 |  |  | 0 |
Transfers out of Level 3(3) |  | 0 |  |  | 0 |
Fair Value, end of period |  | $ | 0 |  |  | $ | 4 |
Unrealized gains (losses) for the period relating to those Level 3 assets that were still held at the end of the period: |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | $ | 0 |  |  | $ | 0 |
Other income |  | $ | 0 |  |  | $ | 0 |
|  | Year Ended December 31, 2015
|  | Net Derivative– Equity |  | Net Derivative– Interest Rate
|  | (in millions)
Fair Value, beginning of period |  | $ | 6 |  |  | $ | 3 |
Total gains (losses) (realized/unrealized): |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | 20 |  |  | 2 |
Other income |  | 0 |  |  | 0 |
Purchases |  | 9 |  |  | 0 |
Sales |  | (2 | ) |  | 0 |
Issuances |  | 0 |  |  | 0 |
Settlements |  | 0 |  |  | 0 |
Other |  | 0 |  |  | 0 |
Transfers into Level 3(3) |  | 0 |  |  | 0 |
Transfers out of Level 3(3) |  | (1 | ) |  | 0 |
Fair Value, end of period |  | $ | 32 |  |  | $ | 5 |
Unrealized gains (losses) for the period relating to those Level 3 assets that were still held at the end of the period: |  |  |  |
Included in earnings: |  |  |  |
Realized investment gains (losses), net |  | $ | 20 |  |  | $ | 2 |
Other income |  | $ | 0 |  |  | $ | 0 |
__________
(1) | Relates to warrants received in an asset restructuring that resulted in reclassification of reporting category.
(2) | Relates to private warrants reclassified from derivatives to trading securities.
(3) | Transfers into or out of Level 3 are generally reported at the value as of the beginning of the quarter in which the transfer occurs.
Fair Value Measurements, Nonrecurring | The following table represents information for assets measured at fair value on a nonrecurring basis. The fair value measurement is nonrecurring as these assets are measured at fair value only when there is evidence of impairment. Assets included in the table are those that were impaired, and therefore measured at fair value, during the respective reporting periods and that are still held as of the reporting date. The estimated fair values for these amounts were determined using significant unobservable inputs (Level 3).
| Year Ended December 31,
| 2017 |  | 2016 |  | 2015
| (in millions)
Commercial mortgage loans(1): |  |  |  |  |
Carrying value after measurement as of period end | $ | 64 |  |  | $ | 47 |  |  | $ | 0 |
Realized investment gains (losses) net | $ | (2 | ) |  | $ | (5 | ) |  | $ | 0 |
Mortgage servicing rights(2): |  |  |  |  |
Carrying value after measurement as of period end | $ | 60 |  |  | $ | 84 |  |  | $ | 90 |
Realized investment gains (losses) net | $ | 7 |  |  | $ | (1 | ) |  | $ | (7 | )
Cost method investments(3): |  |  |  |  |
Carrying value after measurement as of period end | $ | 150 |  |  | $ | 284 |  |  | $ | 239 |
Realized investment gains (losses) net | $ | (29 | ) |  | $ | (85 | ) |  | $ | (123 | )
__________
(1) | Commercial mortgage loans are valued based on discounted cash flows utilizing market rates or the fair value of the underlying real estate collateral.
(2) | Mortgage servicing rights are valued using a discounted cash flow model. The model incorporates assumptions for servicing revenues, which are adjusted for expected prepayments, delinquency rates, escrow deposit income and estimated loan servicing expenses. The discount rates incorporated into the model are determined based on the estimated returns a market participant would require for this business plus a liquidity and risk premium. This estimate includes available relevant data from any active market sales of mortgage servicing rights.
(3) | For cost method impairments, the methodologies utilized are primarily discounted cash flow and, where appropriate, valuations provided by the general partners taking into consideration investment-related expenses.
Fair Value, Option | The following tables present information regarding assets and liabilities where the fair value option has been elected.
| Year Ended December 31,
| 2017 |  | 2016 |  | 2015
| (in millions)
Assets: |  |  |  |  |
Commercial mortgage and other loans: |  |  |  |  |
Changes in instrument-specific credit risk | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other changes in fair value | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |
Other long-term investments: |  |  |  |  |
Changes in fair value | $ | 147 |  |  | $ | 58 |  |  | $ | 2 |
Liabilities: |  |  |  |  |
Notes issued by consolidated VIEs: |  |  |  |  |
Changes in fair value | $ | 4 |  |  | $ | 37 |  |  | $ | (434 | )
| Year Ended December 31,
| 2017 |  | 2016 |  | 2015
| (in millions)
Commercial mortgage and other loans: |  |  |  |  |
Interest income | $ | 13 |  |  | $ | 10 |  |  | $ | 11 |
Notes issued by consolidated VIEs: |  |  |  |  |
Interest expense | $ | 75 |  |  | $ | 120 |  |  | $ | 351 |
| Year Ended December 31,
| 2017 |  | 2016
| (in millions)
Commercial mortgage and other loans(1): |  |  |
Fair value as of period end | $ | 593 |  |  | $ | 519 |
Aggregate contractual principal as of period end | $ | 582 |  |  | $ | 508 |
Other long-term investments: |  |  |
Fair value as of period end | $ | 1,945 |  |  | $ | 1,556 |
Notes issued by consolidated VIEs: |  |  |
Fair value as of period end | $ | 1,196 |  |  | $ | 1,839 |
Aggregate contractual principal as of period end | $ | 1,233 |  |  | $ | 1,886 |
__________
(1) | As of December 31, 2017, for loans for which the fair value option has been elected, there were no loans in non-accrual status and none of the loans were more than 90 days past due and still accruing.
Fair Value Disclosure Financial Instruments Not Carried at Fair Value | The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Consolidated Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.
| December 31, 2017(1)
| Fair Value |  | Carrying Amount(2)
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, held-to-maturity(3) | $ | 0 |  |  | $ | 1,484 |  |  | $ | 946 |  |  | $ | 2,430 |  |  | $ | 2,049 |
Trading account assets | 58 |  |  | 51 |  |  | 0 |  |  | 109 |  |  | 109 |
Commercial mortgage and other loans | 0 |  |  | 129 |  |  | 56,619 |  |  | 56,748 |  |  | 55,452 |
Policy loans | 1 |  |  | 0 |  |  | 11,890 |  |  | 11,891 |  |  | 11,891 |
Short-term investments | 989 |  |  | 22 |  |  | 0 |  |  | 1,011 |  |  | 1,011 |
Cash and cash equivalents | 5,997 |  |  | 195 |  |  | 0 |  |  | 6,192 |  |  | 6,192 |
Accrued investment income | 0 |  |  | 3,325 |  |  | 0 |  |  | 3,325 |  |  | 3,325 |
Other assets | 45 |  |  | 2,385 |  |  | 685 |  |  | 3,115 |  |  | 3,115 |
Total assets | $ | 7,090 |  |  | $ | 7,591 |  |  | $ | 70,140 |  |  | $ | 84,821 |  |  | $ | 83,144 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholders’ account balances—investment contracts | $ | 0 |  |  | $ | 33,045 |  |  | $ | 67,141 |  |  | $ | 100,186 |  |  | $ | 99,948 |
Securities sold under agreements to repurchase | 0 |  |  | 8,400 |  |  | 0 |  |  | 8,400 |  |  | 8,400 |
Cash collateral for loaned securities | 0 |  |  | 4,354 |  |  | 0 |  |  | 4,354 |  |  | 4,354 |
Short-term debt | 0 |  |  | 1,384 |  |  | 0 |  |  | 1,384 |  |  | 1,380 |
Long-term debt(4) | 1,296 |  |  | 16,369 |  |  | 2,095 |  |  | 19,760 |  |  | 17,172 |
Notes issued by consolidated VIEs | 0 |  |  | 0 |  |  | 322 |  |  | 322 |  |  | 322 |
Other liabilities | 0 |  |  | 6,002 |  |  | 715 |  |  | 6,717 |  |  | 6,717 |
Separate account liabilities—investment contracts | 0 |  |  | 71,336 |  |  | 30,490 |  |  | 101,826 |  |  | 101,826 |
Total liabilities | $ | 1,296 |  |  | $ | 140,890 |  |  | $ | 100,763 |  |  | $ | 242,949 |  |  | $ | 240,119 |
| December 31, 2016(1)
| Fair Value |  | Carrying Amount(2)
| Level 1 |  | Level 2 |  | Level 3 |  | Total |  | Total
| (in millions)
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities, held-to-maturity(3) | $ | 0 |  |  | $ | 1,526 |  |  | $ | 998 |  |  | $ | 2,524 |  |  | $ | 2,144 |
Trading account assets | 0 |  |  | 150 |  |  | 0 |  |  | 150 |  |  | 150 |
Commercial mortgage and other loans | 0 |  |  | 139 |  |  | 53,625 |  |  | 53,764 |  |  | 52,260 |
Policy loans | 1 |  |  | 0 |  |  | 11,754 |  |  | 11,755 |  |  | 11,755 |
Short-term investments | 0 |  |  | 326 |  |  | 0 |  |  | 326 |  |  | 326 |
Cash and cash equivalents | 4,945 |  |  | 876 |  |  | 0 |  |  | 5,821 |  |  | 5,821 |
Accrued investment income | 0 |  |  | 3,204 |  |  | 0 |  |  | 3,204 |  |  | 3,204 |
Other assets | 54 |  |  | 1,976 |  |  | 658 |  |  | 2,688 |  |  | 2,688 |
Total assets | $ | 5,000 |  |  | $ | 8,197 |  |  | $ | 67,035 |  |  | $ | 80,232 |  |  | $ | 78,348 |
Liabilities: |  |  |  |  |  |  |  |  |
Policyholders’ account balances—investment contracts | $ | 0 |  |  | $ | 41,653 |  |  | $ | 58,392 |  |  | $ | 100,045 |  |  | $ | 99,719 |
Securities sold under agreements to repurchase | 0 |  |  | 7,606 |  |  | 0 |  |  | 7,606 |  |  | 7,606 |
Cash collateral for loaned securities | 0 |  |  | 4,333 |  |  | 0 |  |  | 4,333 |  |  | 4,333 |
Short-term debt | 0 |  |  | 1,077 |  |  | 73 |  |  | 1,150 |  |  | 1,133 |
Long-term debt(4) | 1,267 |  |  | 15,705 |  |  | 2,957 |  |  | 19,929 |  |  | 18,041 |
Notes issued by consolidated VIEs(5) | 0 |  |  | 0 |  |  | 311 |  |  | 311 |  |  | 311 |
Other liabilities | 0 |  |  | 6,540 |  |  | 696 |  |  | 7,236 |  |  | 7,236 |
Separate account liabilities—investment contracts | 0 |  |  | 71,010 |  |  | 27,578 |  |  | 98,588 |  |  | 98,588 |
Total liabilities | $ | 1,267 |  |  | $ | 147,924 |  |  | $ | 90,007 |  |  | $ | 239,198 |  |  | $ | 236,967 |
__________
(1) | Other long-term investments excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at NAV per share (or its equivalent) as a practical expedient. At December 31, 2017 and 2016, the fair values of these cost method investments were $1,795 million and $1,514 million, respectively. The carrying value of these investments were $1,571 million and $1,478 million as of December 31, 2017 and 2016, respectively.
(2) | Carrying values presented herein differ from those in the Company’s Consolidated Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments. Financial statement captions excluded from the above table are not considered financial instruments.
(3) | As of December 31, 2017, excludes notes with fair value and carrying amount of $4,913 million and $4,627 million, respectively. As of December 31, 2016, excludes notes with both fair value and carrying amount of $4,403 million. These amounts have been offset with the associated payables under a netting agreement.
(4) | As of December 31, 2017, includes notes with fair value and carrying amount of $7,577 million and $7,287 million, respectively. As of December 31, 2016, includes notes with both fair value and carrying amount of $5,859 million. These amounts have been offset with the associated receivables under a netting agreement.
(5) | The amount as of December 31, 2016 was added to the table to correct the previously reported amounts.

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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=75031198&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=75031198&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=75031198&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=75031198&loc=d3e14172-108612 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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