Fair Value (Tables)

9 Months Ended

Sep. 30, 2016

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy, including those items for which the Company has elected the FVO, are presented below at:



	September 30, 2016
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	98,569	$	7,107	$	105,676
U.S. government and agency	40,780		28,688		317		69,785
Foreign corporate	—		53,667		6,752		60,419
Foreign government	—		63,443		322		63,765
RMBS	4,349		35,510		5,450		45,309
State and political subdivision	—		17,417		46		17,463
ABS	—		14,506		1,078		15,584
CMBS	—		11,909		532		12,441
Total fixed maturity securities	45,129		323,709		21,604		390,442
Equity securities	1,364		1,270		655		3,289
FVO and trading securities:
Actively traded securities	—		—		—		—
FVO general account securities	578		30		113		721
FVO contractholder-directed unit-linked investments	11,061		2,816		123		14,000
FVO securities held by CSEs	—		2		7		9
Total FVO and trading securities	11,639		2,848		243		14,730
Short-term investments (1)	5,561		4,310		673		10,544
Mortgage loans:
Residential mortgage loans — FVO	—		—		481		481
Commercial mortgage loans held by CSEs — FVO	—		143		—		143
Total mortgage loans	—		143		481		624
Other investments	92		63		—		155
Derivative assets: (2)
Interest rate	4		15,272		156		15,432
Foreign currency exchange rate	—		4,369		62		4,431
Credit	—		141		19		160
Equity market	14		1,417		334		1,765
Total derivative assets	18		21,199		571		21,788
Net embedded derivatives within asset host contracts (3)	—		—		578		578
Separate account assets (4)	87,035		227,343		1,270		315,648
Total assets	$	150,838	$	580,885	$	26,075	$	757,798
Liabilities
Derivative liabilities: (2)
Interest rate	$	41	$	3,084	$	47	$	3,172
Foreign currency exchange rate	2		2,795		52		2,849
Credit	—		54		—		54
Equity market	68		1,448		761		2,277
Total derivative liabilities	111		7,381		860		8,352
Net embedded derivatives within liability host contracts (3)	—		—		6,883		6,883
Long-term debt of CSEs — FVO	—		26		12		38
Trading liabilities (5)	—		—		—		—
Separate account liabilities (4)	1		75		6		82
Total liabilities	$	112	$	7,482	$	7,761	$	15,355



	December 31, 2015
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	93,758	$	7,036	$	100,794
U.S. government and agency	37,660		23,986		—		61,646
Foreign corporate	—		51,438		5,760		57,198
Foreign government	—		49,643		856		50,499
RMBS	—		34,088		4,709		38,797
State and political subdivision	—		15,395		46		15,441
ABS	—		12,731		1,663		14,394
CMBS	—		11,889		744		12,633
Total fixed maturity securities	37,660		292,928		20,814		351,402
Equity securities	1,274		1,615		432		3,321
FVO and trading securities:
Actively traded securities	—		400		4		404
FVO general account securities	506		32		89		627
FVO contractholder-directed unit-linked investments	10,829		2,985		167		13,981
FVO securities held by CSEs	—		2		10		12
Total FVO and trading securities	11,335		3,419		270		15,024
Short-term investments (1)	2,543		5,985		291		8,819
Mortgage loans:
Residential mortgage loans — FVO	—		—		314		314
Commercial mortgage loans held by CSEs — FVO	—		172		—		172
Total mortgage loans	—		172		314		486
Other investments	109		53		—		162
Derivative assets: (2)
Interest rate	4		9,405		25		9,434
Foreign currency exchange rate	—		3,003		16		3,019
Credit	—		99		7		106
Equity market	63		1,435		349		1,847
Total derivative assets	67		13,942		397		14,406
Net embedded derivatives within asset host contracts (3)	—		—		391		391
Separate account assets (4)	77,080		222,814		1,704		301,598
Total assets	$	130,068	$	540,928	$	24,613	$	695,609
Liabilities
Derivative liabilities: (2)
Interest rate	$	7	$	2,340	$	—	$	2,347
Foreign currency exchange rate	—		2,754		148		2,902
Credit	—		45		2		47
Equity market	18		1,077		658		1,753
Total derivative liabilities	25		6,216		808		7,049
Net embedded derivatives within liability host contracts (3)	—		—		935		935
Long-term debt of CSEs — FVO	—		49		11		60
Trading liabilities (5)	103		50		—		153
Separate account liabilities (4)	—		—		—		—
Total liabilities	$	128	$	6,315	$	1,754	$	8,197

__________________


(1)	Short-term investments as presented in the tables above differ from the amounts presented on the consolidated balance sheets because certain short-term investments are not measured at estimated fair value on a recurring basis.

(2)

Derivative assets are presented within other invested assets on the consolidated balance sheets and derivative liabilities are presented within other liabilities on the consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation on the consolidated balance sheets, but are presented net for purposes of the rollforward in the Fair Value Measurements Using Significant Unobservable Inputs (Level 3) tables.

(3)

Net embedded derivatives within asset host contracts are presented within premiums, reinsurance and other receivables and other invested assets on the consolidated balance sheets. Net embedded derivatives within liability host contracts are presented within policyholder account balances, future policy benefits and other liabilities on the consolidated balance sheets. At September 30, 2016 and December 31, 2015, debt and equity securities also included embedded derivatives of ($240) million and ($220) million, respectively.


(4)	Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders whose liability is reflected within separate account liabilities. Separate account liabilities are set equal to the estimated fair value of separate account assets. Separate account liabilities presented in the tables above represent derivative liabilities.


(5)	Trading liabilities are presented within other liabilities on the consolidated balance sheets.

Fair Value Inputs, Quantitative Information

The following table presents certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at:



					September 30, 2016				December 31, 2015				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)	Impact of Increase in Input on Estimated Fair Value (2)
Fixed maturity securities (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Delta spread adjustments (4)	(269)	-	603	(4)	(65)	-	240	39	Decrease
	•	Market pricing	•	Quoted prices (5)	6	-	788	123	—	-	780	156	Increase
	•	Consensus pricing	•	Offered quotes (5)	23	-	121	98	68	-	121	98	Increase
Foreign government	•	Market pricing	•	Quoted prices (5)	100	-	124	104	96	-	135	113	Increase
RMBS	•	Market pricing	•	Quoted prices (5)	7	-	131	90	19	-	292	92	Increase (6)
ABS	•	Market pricing	•	Quoted prices (5)	5	-	105	99	16	-	109	100	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	98	-	107	100	66	-	105	99	Increase (6)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (7)	200	-	300		307	-	317		Increase (8)
			•	Repurchase rates (9)	(6)	-	17						Decrease (8)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (7)	50	-	328		28	-	381		Increase (8)
Credit	•	Present value techniques	•	Credit spreads (10)	97	-	100		98	-	100		Decrease (8)
	•	Consensus pricing	•	Offered quotes (11)
Equity market	•	Present value techniques or option pricing models	•	Volatility (12)	13%	-	36%		15%	-	36%		Increase (8)
			•	Correlation (13)	40%	-	40%		70%	-	70%
Embedded derivatives
Direct, assumed and ceded guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.21%		0%	-	0.21%		Decrease (14)
				Ages 41 - 60	0.01%	-	0.78%		0.01%	-	0.78%		Decrease (14)
				Ages 61 - 115	0%	-	100%		0.04%	-	100%		Decrease (14)
			•	Lapse rates:
				Durations 1 - 10	0.25%	-	100%		0.25%	-	100%		Decrease (15)
				Durations 11 - 20	2%	-	100%		2%	-	100%		Decrease (15)
				Durations 21 - 116	1.25%	-	100%		1%	-	100%		Decrease (15)
			•	Utilization rates	0%	-	25%		0%	-	25%		Increase (16)
			•	Withdrawal rates	0%	-	20%		0%	-	20%		(17)
			•	Long-term equity volatilities	9.95%	-	33%		8.79%	-	33%		Increase (18)
			•	Nonperformance risk spread	0.05%	-	2.03%		(0.47)%	-	1.31%		Decrease (19)

__________________


(1)	The weighted average for fixed maturity securities is determined based on the estimated fair value of the securities.


(2)	The impact of a decrease in input would have the opposite impact on estimated fair value. For embedded derivatives, changes to direct and assumed guaranteed minimum benefits are based on liability positions; changes to ceded guaranteed minimum benefits are based on asset positions.


(3)	Significant increases (decreases) in expected default rates in isolation would result in substantially lower (higher) valuations.


(4)	Range and weighted average are presented in basis points.


(5)	Range and weighted average are presented in accordance with the market convention for fixed maturity securities of dollars per hundred dollars of par.


(6)	Changes in the assumptions used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(7)

Ranges represent the rates across different yield curves and are presented in basis points. The swap yield curves are utilized among different types of derivatives to project cash flows, as well as to discount future cash flows to present value. Since this valuation methodology uses a range of inputs across a yield curve to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(8)	Changes in estimated fair value are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.


(9)	Ranges represent different repurchase rates utilized as components within the valuation methodology and are presented in basis points.


(10)	Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.


(11)	At both September 30, 2016 and December 31, 2015, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.


(12)	Ranges represent the underlying equity volatility quoted in percentage points. Since this valuation methodology uses a range of inputs across multiple volatility surfaces to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(13)	Ranges represent the different correlation factors utilized as components within the valuation methodology. Presenting a range of correlation factors is more representative of the unobservable input used in the valuation. Increases (decreases) in correlation in isolation will increase (decrease) the significance of the change in valuations.


(14)	Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(15)

Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in the money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. For any given contract, lapse rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(16)

The utilization rate assumption estimates the percentage of contract holders with a GMIB or lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible. The rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder. For any given contract, utilization rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(17)

The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.


(18)	Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.


(19)	Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value Inputs, Quantitative Information



					September 30, 2016				December 31, 2015				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)	Impact of Increase in Input on Estimated Fair Value (2)
Fixed maturity securities (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Delta spread adjustments (4)	(269)	-	603	(4)	(65)	-	240	39	Decrease
	•	Market pricing	•	Quoted prices (5)	6	-	788	123	—	-	780	156	Increase
	•	Consensus pricing	•	Offered quotes (5)	23	-	121	98	68	-	121	98	Increase
Foreign government	•	Market pricing	•	Quoted prices (5)	100	-	124	104	96	-	135	113	Increase
RMBS	•	Market pricing	•	Quoted prices (5)	7	-	131	90	19	-	292	92	Increase (6)
ABS	•	Market pricing	•	Quoted prices (5)	5	-	105	99	16	-	109	100	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	98	-	107	100	66	-	105	99	Increase (6)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (7)	200	-	300		307	-	317		Increase (8)
			•	Repurchase rates (9)	(6)	-	17						Decrease (8)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (7)	50	-	328		28	-	381		Increase (8)
Credit	•	Present value techniques	•	Credit spreads (10)	97	-	100		98	-	100		Decrease (8)
	•	Consensus pricing	•	Offered quotes (11)
Equity market	•	Present value techniques or option pricing models	•	Volatility (12)	13%	-	36%		15%	-	36%		Increase (8)
			•	Correlation (13)	40%	-	40%		70%	-	70%
Embedded derivatives
Direct, assumed and ceded guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.21%		0%	-	0.21%		Decrease (14)
				Ages 41 - 60	0.01%	-	0.78%		0.01%	-	0.78%		Decrease (14)
				Ages 61 - 115	0%	-	100%		0.04%	-	100%		Decrease (14)
			•	Lapse rates:
				Durations 1 - 10	0.25%	-	100%		0.25%	-	100%		Decrease (15)
				Durations 11 - 20	2%	-	100%		2%	-	100%		Decrease (15)
				Durations 21 - 116	1.25%	-	100%		1%	-	100%		Decrease (15)
			•	Utilization rates	0%	-	25%		0%	-	25%		Increase (16)
			•	Withdrawal rates	0%	-	20%		0%	-	20%		(17)
			•	Long-term equity volatilities	9.95%	-	33%		8.79%	-	33%		Increase (18)
			•	Nonperformance risk spread	0.05%	-	2.03%		(0.47)%	-	1.31%		Decrease (19)

__________________


(1)	The weighted average for fixed maturity securities is determined based on the estimated fair value of the securities.


(2)	The impact of a decrease in input would have the opposite impact on estimated fair value. For embedded derivatives, changes to direct and assumed guaranteed minimum benefits are based on liability positions; changes to ceded guaranteed minimum benefits are based on asset positions.


(3)	Significant increases (decreases) in expected default rates in isolation would result in substantially lower (higher) valuations.


(4)	Range and weighted average are presented in basis points.


(5)	Range and weighted average are presented in accordance with the market convention for fixed maturity securities of dollars per hundred dollars of par.


(6)	Changes in the assumptions used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(7)


(8)	Changes in estimated fair value are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.


(9)	Ranges represent different repurchase rates utilized as components within the valuation methodology and are presented in basis points.


(10)	Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.


(11)	At both September 30, 2016 and December 31, 2015, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.


(12)	Ranges represent the underlying equity volatility quoted in percentage points. Since this valuation methodology uses a range of inputs across multiple volatility surfaces to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(13)	Ranges represent the different correlation factors utilized as components within the valuation methodology. Presenting a range of correlation factors is more representative of the unobservable input used in the valuation. Increases (decreases) in correlation in isolation will increase (decrease) the significance of the change in valuations.


(14)	Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(15)

(16)

(17)


(18)	Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.


(19)	Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change of all assets and (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3):



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	Corporate (1)			U.S. Government and Agency			Foreign Government			Structured Securities			State and Political Subdivision			Equity Securities			FVO and Trading Securities (2)
	(In millions)
Three Months Ended September 30, 2016
Balance, beginning of period	$	13,710		$	323		$	376		$	6,700		$	53		$	682		$	231
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	15			—			2			34			—			5			4
Total realized/unrealized gains (losses) included in AOCI	98			(1		)	1			39			3			(9		)	—
Purchases (5)	680			99			21			1,034			—			4			18
Sales (5)	(595		)	—			(7		)	(512		)	—			(20		)	(6		)
Issuances (5)	—			—			—			—			—			—			—
Settlements (5)	—			—			—			—			—			—			—
Transfers into Level 3 (6)	424			—			—			81			7			1			—
Transfers out of Level 3 (6)	(473		)	(104		)	(71		)	(316		)	(17		)	(8		)	(4		)
Balance, end of period	$	13,859		$	317		$	322		$	7,060		$	46		$	655		$	243
Three Months Ended September 30, 2015
Balance, beginning of period	$	13,520		$	55		$	1,336		$	7,018		$	55		$	489		$	475
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	25			—			4			29			—			6			(16		)
Total realized/unrealized gains (losses) included in AOCI	(296		)	—			(1		)	(46		)	1			(14		)	—
Purchases (5)	955			—			17			2,544			20			12			91
Sales (5)	(351		)	(1		)	(17		)	(418		)	—			(13		)	(41		)
Issuances (5)	—			—			—			—			—			—			—
Settlements (5)	—			—			—			—			—			—			—
Transfers into Level 3 (6)	699			18			11			361			—			—			80
Transfers out of Level 3 (6)	(1,850		)	(55		)	(659		)	(955		)	(30		)	(30		)	(191		)
Balance, end of period	$	12,702		$	17		$	691		$	8,533		$	46		$	450		$	398
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2016 (7)	$	1		$	—		$	2		$	33		$	—		$	(1	)	$	4
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2015 (7)	$	10		$	—		$	4		$	33		$	—		$	—		$	(16	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Short-term Investments			Residential Mortgage Loans — FVO			Net Derivatives (8)			Net Embedded Derivatives (9)			Separate Accounts (10)			Long-term Debt of CSEs — FVO			Trading Liabilities
	(In millions)
Three Months Ended September 30, 2016
Balance, beginning of period	$	175		$	449		$	(132	)	$	(6,804	)	$	1,627		$	(12	)	$	—
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	1			10			(116		)	765			(25		)	—			—
Total realized/unrealized gains (losses) included in AOCI	(1		)	—			(7		)	(27		)	—			—			—
Purchases (5)	664			42			—			—			4			—			—
Sales (5)	(55		)	(5		)	—			—			(155		)	—			—
Issuances (5)	—			—			(1		)	—			30			—			—
Settlements (5)	—			(15		)	(33		)	(239		)	(45		)	—			—
Transfers into Level 3 (6)	—			—			—			—			8			—			—
Transfers out of Level 3 (6)	(111		)	—			—			—			(180		)	—			—
Balance, end of period	$	673		$	481		$	(289	)	$	(6,305	)	$	1,264		$	(12	)	$	—
Three Months Ended September 30, 2015
Balance, beginning of period	$	1,809		$	345		$	(372	)	$	841		$	1,925		$	(12	)	$	(4	)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	—			(2		)	(97		)	(1,753		)	24			—			—
Total realized/unrealized gains (losses) included in AOCI	—			—			7			(38		)	—			—			—
Purchases (5)	1,296			18			—			—			95			—			(2		)
Sales (5)	(11		)	(37		)	—			—			(93		)	—			—
Issuances (5)	—			—			(1		)	—			—			—			—
Settlements (5)	—			(9		)	24			(216		)	—			1			—
Transfers into Level 3 (6)	5			—			—			—			2			—			—
Transfers out of Level 3 (6)	(1,786		)	—			—			—			(271		)	—			4
Balance, end of period	$	1,313		$	315		$	(439	)	$	(1,166	)	$	1,682		$	(11	)	$	(2	)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2016 (7)	$	1		$	10		$	(103	)	$	750		$	—		$	—		$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2015 (7)	$	—		$	(2	)	$	(103	)	$	(1,743	)	$	—		$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	Corporate (1)			U.S. Government and Agency			Foreign Government			Structured Securities			State and Political Subdivision			Equity Securities			FVO and Trading Securities (2)
	(In millions)
Nine Months Ended September 30, 2016
Balance, beginning of period	$	12,796		$	—		$	856		$	7,116		$	46		$	432		$	270
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	(4		)	—			9			101			1			(21		)	9
Total realized/unrealized gains (losses) included in AOCI	1,027			17			(2		)	28			2			43			—
Purchases (5)	1,893			111			58			2,291			—			20			43
Sales (5)	(1,034		)	—			(36		)	(1,357		)	—			(25		)	(29		)
Issuances (5)	—			—			—			—			—			—			—
Settlements (5)	—			—			—			—			—			—			—
Transfers into Level 3 (6)	711			200			41			43			7			455			18
Transfers out of Level 3 (6)	(1,530		)	(11		)	(604		)	(1,162		)	(10		)	(249		)	(68		)
Balance, end of period	$	13,859		$	317		$	322		$	7,060		$	46		$	655		$	243
Nine Months Ended September 30, 2015
Balance, beginning of period	$	13,432		$	—		$	1,311		$	7,392		$	—		$	345		$	567
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	62			—			10			88			—			7			(27		)
Total realized/unrealized gains (losses) included in AOCI	(759		)	(1		)	1			(68		)	—			(22		)	—
Purchases (5)	1,884			—			30			4,062			46			57			130
Sales (5)	(964		)	(1		)	(39		)	(1,304		)	—			(34		)	(130		)
Issuances (5)	—			—			—			—			—			—			—
Settlements (5)	—			—			—			—			—			—			—
Transfers into Level 3 (6)	844			19			7			355			—			107			82
Transfers out of Level 3 (6)	(1,797		)	—			(629		)	(1,992		)	—			(10		)	(224		)
Balance, end of period	$	12,702		$	17		$	691		$	8,533		$	46		$	450		$	398
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2016 (7)	$	2		$	—		$	9		$	96		$	1		$	(27	)	$	9
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2015 (7)	$	21		$	—		$	10		$	89		$	—		$	—		$	(25	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Short-term Investments			Residential Mortgage Loans — FVO			Net Derivatives (8)			Net Embedded Derivatives (9)			Separate Accounts (10)			Long-term Debt of CSEs — FVO			Trading Liabilities
	(In millions)
Nine Months Ended September 30, 2016
Balance, beginning of period	$	291		$	314		$	(411	)	$	(544	)	$	1,704		$	(11	)	$	—
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	1			22			110			(4,851		)	7			—			—
Total realized/unrealized gains (losses) included in AOCI	4			—			36			(237		)	—			—			—
Purchases (5)	673			187			12			—			108			—			—
Sales (5)	(294		)	(12		)	—			—			(233		)	—			—
Issuances (5)	—			—			(1		)	—			27			—			—
Settlements (5)	—			(30		)	(33		)	(673		)	(58		)	(1		)	—
Transfers into Level 3 (6)	1			—			—			—			9			—			—
Transfers out of Level 3 (6)	(3		)	—			(2		)	—			(300		)	—			—
Balance, end of period	$	673		$	481		$	(289	)	$	(6,305	)	$	1,264		$	(12	)	$	—
Nine Months Ended September 30, 2015
Balance, beginning of period	$	336		$	308		$	(300	)	$	430		$	1,922		$	(13	)	$	—
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	1			18			(163		)	(964		)	5			—			—
Total realized/unrealized gains (losses) included in AOCI	—			—			3			(19		)	—			—			—
Purchases (5)	1,313			114			4			—			297			—			(2		)
Sales (5)	(28		)	(100		)	—			—			(232		)	—			—
Issuances (5)	—			—			(1		)	—			—			—			—
Settlements (5)	—			(25		)	18			(613		)	(2		)	2			—
Transfers into Level 3 (6)	—			—			—			—			3			—			—
Transfers out of Level 3 (6)	(309		)	—			—			—			(311		)	—			—
Balance, end of period	$	1,313		$	315		$	(439	)	$	(1,166	)	$	1,682		$	(11	)	$	(2	)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2016 (7)	$	1		$	22		$	90		$	(4,884	)	$	—		$	—		$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at September 30, 2015 (7)	$	—		$	18		$	(141	)	$	(973	)	$	—		$	—		$	—

__________________


(1)	Comprised of U.S. and foreign corporate securities.


(2)	Comprised of actively traded securities, FVO general account securities, FVO contractholder-directed unit-linked investments and FVO securities held by CSEs.

(3)

Amortization of premium/accretion of discount is included within net investment income. Impairments charged to net income (loss) on securities are included in net investment gains (losses), while changes in estimated fair value of residential mortgage loans — FVO are included in net investment income. Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivatives gains (losses).


(4)	Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.


(5)	Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.


(6)	Gains and losses, in net income (loss) and OCI, are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.


(7)	Changes in unrealized gains (losses) included in net income (loss) relate to assets and liabilities still held at the end of the respective periods. Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).


(8)	Freestanding derivative assets and liabilities are presented net for purposes of the rollforward.


(9)	Embedded derivative assets and liabilities are presented net for purposes of the rollforward.

(10)

Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income (loss). For the purpose of this disclosure, these changes are presented within net investment gains (losses). Separate account assets and liabilities are presented net for the purposes of the rollforward.

Fair Value Option

The following table presents information for certain assets and liabilities accounted for under the FVO. These assets and liabilities were initially measured at fair value.



	Residential Mortgage Loans — FVO						Certain Assets and Liabilities of CSEs — FVO (1)
	September 30, 2016			December 31, 2015			September 30, 2016			December 31, 2015
	(In millions)
Assets
Unpaid principal balance	$	641		$	436		$	95		$	121
Difference between estimated fair value and unpaid principal balance	(160		)	(122		)	48			51
Carrying value at estimated fair value	$	481		$	314		$	143		$	172
Loans in non-accrual status	$	186		$	122		$	—		$	—
Liabilities
Contractual principal balance							$	50		$	71
Difference between estimated fair value and contractual principal balance							(12		)	(11		)
Carrying value at estimated fair value							$	38		$	60

__________________

(1)

These assets and liabilities are comprised of commercial mortgage loans and long-term debt. Changes in estimated fair value on these assets and liabilities and gains or losses on sales of these assets are recognized in net investment gains (losses). Interest income on commercial mortgage loans held by CSEs — FVO is recognized in net investment income. Interest expense from long-term debt of CSEs — FVO is recognized in other expenses.

Nonrecurring Fair Value Measurements

The following table presents information for assets measured at estimated fair value on a nonrecurring basis during the periods and still held at the reporting dates (for example, when there is evidence of impairment). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).



	At September 30,				Three Months Ended September 30,						Nine Months Ended September 30,
	2016		2015		2016			2015			2016			2015
	Carrying Value After Measurement				Gains (Losses)
	(In millions)
Mortgage loans (1)	$	12	$	44	$	—		$	—		$	—		$	(1	)
Other limited partnership interests (2)	$	78	$	53	$	(9	)	$	(8	)	$	(45	)	$	(27	)
Other assets (3)	$	—	$	—	$	—		$	—		$	(44	)	$	—
Goodwill (4)	$	—	$	—	$	(260	)	$	—		$	(260	)	$	—

__________________


(1)	Estimated fair values for impaired mortgage loans are based on independent broker quotations or valuation models using unobservable inputs or, if the loans are in foreclosure or are otherwise determined to be collateral dependent, are based on the estimated fair value of the underlying collateral or the present value of the expected future cash flows.

(2)

For these cost method investments, estimated fair value is determined from information provided on the financial statements of the underlying entities including NAV data. These investments include private equity and debt funds that typically invest primarily in various strategies including domestic and international leveraged buyout funds; power, energy, timber and infrastructure development funds; venture capital funds; and below investment grade debt and mezzanine debt funds. Distributions will be generated from investment gains, from operating income from the underlying investments of the funds and from liquidation of the underlying assets of the funds. It is estimated that the underlying assets of the funds will be liquidated over the next two to 10 years. Unfunded commitments for these investments at both September 30, 2016 and 2015 were not significant.


(3)	During the nine months ended September 30, 2016, the Company recognized an impairment of computer software in connection with the U.S. Retail Advisor Force Divestiture. See Note 3.


(4)	As discussed in Note 10, for both the three months and nine months ended September 30, 2016, the Company recorded an impairment of goodwill associated with the reporting units within the Brighthouse Financial segment.

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:



	September 30, 2016
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	70,532	$	—	$	—	$	73,585	$	73,585
Policy loans	$	11,177	$	—	$	1,107	$	12,594	$	13,701
Real estate joint ventures	$	25	$	—	$	—	$	87	$	87
Other limited partnership interests	$	414	$	—	$	—	$	461	$	461
Other invested assets	$	559	$	169	$	—	$	390	$	559
Premiums, reinsurance and other receivables	$	4,030	$	—	$	910	$	3,218	$	4,128
Other assets	$	243	$	—	$	205	$	76	$	281
Liabilities
Policyholder account balances	$	126,417	$	—	$	—	$	133,084	$	133,084
Long-term debt	$	16,505	$	—	$	18,526	$	—	$	18,526
Collateral financing arrangements	$	4,084	$	—	$	—	$	3,749	$	3,749
Junior subordinated debt securities	$	3,168	$	—	$	4,142	$	—	$	4,142
Other liabilities	$	6,919	$	—	$	6,429	$	492	$	6,921
Separate account liabilities	$	123,253	$	—	$	123,253	$	—	$	123,253



	December 31, 2015
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	66,616	$	—	$	—	$	68,539	$	68,539
Policy loans	$	11,258	$	—	$	1,279	$	12,072	$	13,351
Real estate joint ventures	$	35	$	—	$	—	$	104	$	104
Other limited partnership interests	$	524	$	—	$	—	$	615	$	615
Other invested assets	$	537	$	155	$	2	$	380	$	537
Premiums, reinsurance and other receivables	$	2,822	$	—	$	484	$	2,421	$	2,905
Other assets	$	235	$	—	$	207	$	60	$	267
Liabilities
Policyholder account balances	$	125,040	$	—	$	—	$	130,125	$	130,125
Long-term debt	$	17,954	$	—	$	19,360	$	—	$	19,360
Collateral financing arrangements	$	4,139	$	—	$	—	$	3,899	$	3,899
Junior subordinated debt securities	$	3,194	$	—	$	4,029	$	—	$	4,029
Other liabilities	$	2,249	$	—	$	865	$	1,385	$	2,250
Separate account liabilities	$	112,119	$	—	$	112,119	$	—	$	112,119

- 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 + Details