XML 44 R29.htm IDEA: XBRL DOCUMENT v3.8.0.1
Fair Value Measurements Level 3 (Tables)
 12 Months Ended
Dec. 31, 2017
Dec. 31, 2016
Fair Value Disclosures [Abstract]    
Assets and (liabilities) carried at fair value by hierarchy level
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2017
 
Total
Quoted Prices in Active Markets for Identical Assets (Level 1)
Significant Observable Inputs (Level 2)
Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
 
 
 
 
Fixed maturities, AFS
 
 
 
 
Asset backed securities ("ABS")
$
819

$
—

$
806

$
13

Collateralized debt obligations ("CDOs")
888

—

815

73

Commercial mortgage-backed securities ("CMBS")
2,084

—

2,058

26

Corporate
14,038

—

13,595

443

Foreign government/government agencies
407

—

406

1

Municipal
1,266

—

1,228

38

Residential mortgage-backed securities ("RMBS")
1,427

—

735

692

U.S. Treasuries
1,870

284

1,586

—

Total fixed maturities
22,799

284

21,229

1,286

Fixed maturities, FVO
32

—

32

—

Equity securities, trading [1]
12

12

—

—

Equity securities, AFS
154

61

47

46

Derivative assets
 
 
 
 
Credit derivatives
1

—

1

—

Foreign exchange derivatives
(1
)
—

(1
)
—

Interest rate derivatives
47

—

47

—

GMWB hedging instruments
69

—

35

34

Macro hedge program
19

—

—

19

Total derivative assets [2]
135

—

82

53

Short-term investments
1,094

807

287

—

Reinsurance recoverable for GMWB
36

—

—

36

Modified coinsurance reinsurance contracts
55

—

55

—

Separate account assets [3]
113,302

73,538

38,677

185

Total assets accounted for at fair value on a recurring basis
$
137,619

$
74,702

$
60,409

$
1,606

Liabilities accounted for at fair value on a recurring basis
 
 
 
 
Other policyholder funds and benefits payable
 
 
 
 
GMWB embedded derivative
$
(75
)
$
—

$
—

$
(75
)
Total other policyholder funds and benefits payable
(75
)
—

—

(75
)
Derivative liabilities
 
 
 
 
Foreign exchange derivatives
(187
)
—

(187
)
—

Interest rate derivatives
(403
)
—

(374
)
(29
)
GMWB hedging instruments
(2
)
—

(2
)
—

Macro hedge program
4

—

—

4

Total derivative liabilities [4]
(588
)
—

(563
)
(25
)
Total liabilities accounted for at fair value on a recurring basis
$
(663
)
$
—

$
(563
)
$
(100
)
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2016
 
Total
Quoted Prices in Active Markets for Identical Assets (Level 1)
Significant Observable Inputs (Level 2)
Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
 
 
 
 
Fixed maturities, AFS
 
 
 
 
ABS
$
993

$
—

$
956

$
37

CDOs
940

—

680

260

CMBS
2,146

—

2,125

21

Corporate
14,693

—

14,127

566

Foreign government/government agencies
345

—

328

17

Municipal
1,189

—

1,117

72

RMBS
1,760

—

1,049

711

U.S. Treasuries
1,753

230

1,523

—

Total fixed maturities
23,819

230

21,905

1,684

Fixed maturities, FVO
82

—

82

—

Equity securities, trading [1]
11

11

—

—

Equity securities, AFS
152

20

88

44

Derivative assets
 
 
 
 
Credit derivatives
(1
)
—

(1
)
—

Foreign exchange derivatives
4

—

4

—

Interest rate derivatives
30

—

30

—

GMWB hedging instruments
74

—

14

60

Macro hedge program
128

—

8

120

Total derivative assets [2]
235

—

55

180

Short-term investments
1,349

637

712

—

Reinsurance recoverable for GMWB
73

—

—

73

Modified coinsurance reinsurance contracts
68

—

68

—

Separate account assets [3]
111,634

71,606

38,856

201

Total assets accounted for at fair value on a recurring basis
$
137,423

$
72,504

$
61,766

$
2,182

Liabilities accounted for at fair value on a recurring basis
 
 
 
 
Other policyholder funds and benefits payable
 
 
 
 
GMWB embedded derivative
$
(241
)
$
—

$
—

$
(241
)
Equity linked notes
(33
)
—

—

(33
)
Total other policyholder funds and benefits payable
(274
)
—

—

(274
)
Derivative liabilities
 
 
 
 
Credit derivatives
1

—

1

—

Equity derivatives
33

—

33

—

Foreign exchange derivatives
(247
)
—

(247
)
—

Interest rate derivatives
(434
)
—

(404
)
(30
)
GMWB hedging instruments
20

—

(1
)
21

Macro hedge program
50

—

3

47

Total derivative liabilities [4]
(577
)
—

(615
)
38

Total liabilities accounted for at fair value on a recurring basis
$
(851
)
$
—

$
(615
)
$
(236
)
[1]
Included in other investments on the Consolidated Balance Sheets.
[2]
Includes OTC and OTC-cleared derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules, and applicable law. See footnote 4 to this table for derivative liabilities.
[3]
Approximately $2.5 billion and $4.0 billion of investment sales receivable, as of December 31, 2017 and December 31, 2016, respectively, are excluded from this disclosure requirement because they are trade receivables in the ordinary course of business where the carrying amount approximates fair value. Included in the total fair value amount are $0.9 billion and $1.0 billion of investments, as of December 31, 2017 and December 31, 2016, respectively, for which the fair value is estimated using the net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy.
[4]
Includes OTC and OTC-cleared derivative instruments in a net negative fair value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements, clearing house rules and applicable law.
  
Fair Value Inputs, Assets, Quantitative Information [Table Text Block]
 
Significant Unobservable Inputs for Level 3 - Freestanding Derivatives
 
Fair Value
Predominant Valuation Technique
Significant Unobservable Input
Minimum
Maximum
Impact of Increase in Input on Fair Value [1]
As of December 31, 2017
Interest rate derivatives
 
 
 
 
 
 
Interest rate swaps
$
(29
)
Discounted  cash flows
Swap curve 
beyond 30 years
2%
3%
Decrease
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(26
)
Option model
Equity volatility
19%
19%
Increase
Equity options
1

Option model
Equity volatility
27%
30%
Increase
Customized swaps
59

Discounted  cash flows
Equity volatility
7%
30%
Increase
Macro hedge program
 
 
 
 
 
 
Equity options [2]
29

Option model
Equity volatility
18%
31%
Increase
As of December 31, 2016
Interest rate derivatives
 
 
 
 
 
 
Interest rate swaps
$
(29
)
Discounted  cash flows
Swap curve 
beyond 30 years
3%
3%
Decrease
GMWB hedging instruments
 
 
 
 
 
 
Equity variance swaps
(36
)
Option model
Equity volatility
20%
23%
Increase
Equity options
17

Option model
Equity volatility
27%
30%
Increase
Customized swaps
100

Discounted  cash flows
Equity volatility
12%
30%
Increase
Macro hedge program
 
 
 
 
 
 
Equity options
188

Option model
Equity volatility
17%
28%
Increase
[1]
Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.
[2]
Excludes derivatives for which the Company bases fair value on broker quotations.
Significant Unobservable Inputs for Level 3 - Securities
Assets accounted for at fair value on a recurring basis
Fair Value
Predominant
Valuation
Technique
Significant Unobservable Input
Minimum
Maximum
Weighted Average [1]
Impact of Increase in Input on Fair Value [2]
As of December 31, 2017
CMBS [3]
$
15

Discounted cash flows
Spread (encompasses
prepayment, default risk and loss severity)
9bps
1,816bps
457bps
Decrease
Corporate [4]
190

Discounted cash flows
Spread
103bps
1,000bps
355bps
Decrease
Municipal [3]
22

Discounted cash flows
Spread
192bps
250bps
228bps
Decrease
RMBS [3]
692

Discounted cash flows
Spread
24bps
463bps
77bps
Decrease
 
 
 
Constant prepayment rate
—
%
25
%
6
%
Decrease [5]
 
 
 
Constant default rate
—
%
7
%
4
%
Decrease
 
 
 
Loss severity
—
%
100
%
65
%
Decrease
As of December 31, 2016
CMBS [3]
$
9

Discounted cash flows
Spread (encompasses
prepayment, default risk and loss severity)
10bps
1,273bps
249bps
Decrease
Corporate [4]
265

Discounted cash flows
Spread
122bps
1,021bps
373bps
Decrease
Municipal [3]
56

Discounted cash flows
Spread
135bps
286bps
195bps
Decrease
RMBS [3]
704

Discounted cash flows
Spread
16bps
1,830bps
189bps
Decrease
 
 
 
Constant prepayment rate
—
%
20
%
4
%
Decrease [5]
 
 
 
Constant default rate
1
%
10
%
5
%
Decrease
 
 
 
Loss severity
—
%
100
%
75
%
Decrease
[1]
The weighted average is determined based on the fair value of the securities.
[2]
Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.
[3]
Excludes securities for which the Company based fair value on broker quotations.
[4]
Excludes securities for which the Company bases fair value on broker quotations; however, included are broker-priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value.
[5]
Decrease for above market rate coupons and increase for below market rate coupons. 
  
Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)
Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Year Ended December 31, 2017
 
 
 
Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
Fair value as of January 1, 2017
Included in net income [1] [2] [6]
Included in OCI [3]
Purchases
Settlements
Sales
Transfers into Level 3 [4]
Transfers out of Level 3 [4]
Fair value as of December 31, 2017
Assets
 
 
 
 
 
 
 
 
 
Fixed Maturities, AFS
 
 
 
 
 
 
 
 
 
 
ABS
$
37

$
—

$
—

$
14

$
(6
)
$
—

$
6

$
(38
)
$
13

 
CDOs
260

14

(17
)
147

(107
)
(19
)
—

(205
)
73

 
CMBS
21

—

1

33

(4
)
—

—

(25
)
26

 
Corporate
566

(8
)
23

111

(7
)
(95
)
78

(225
)
443

 
Foreign Govt./Govt. Agencies
17

—

1

3

(2
)
—

—

(18
)
1

 
Municipal
72

—

4

—

(1
)
(5
)
—

(32
)
38

 
RMBS
711

—

19

155

(185
)
—

—

(8
)
692

Total Fixed Maturities, AFS
1,684

6

31

463

(312
)
(119
)
84

(551
)
1,286

Equity Securities, AFS
44

—

(4
)
6

—

—

—

—

46

Freestanding Derivatives
 
 
 
 
 
 
 
 
 
 
Interest rate
(30
)
1

—

—

—

—

—

—

(29
)
 
GMWB hedging instruments
81

(47
)
—

—

—

—

—

—

34

 
Macro hedge program
167

10

—

9

—

(163
)
—

—

23

Total Freestanding Derivatives [5]
218

(36
)
—

9

—

(163
)
—

—

28

Reinsurance Recoverable for GMWB
73

(52
)
—

—

15

—

—

—

36

Separate Accounts
201

3

6

152

(8
)
(53
)
11

(127
)
185

Total Assets
$
2,220

$
(79
)
$
33

$
630

$
(305
)
$
(335
)
$
95

$
(678
)
$
1,581

(Liabilities)
 
 
 
 
 
 
 
 
 
Other Policyholder Funds and Benefits Payable
 
 
 
 
 
 
 
 
 
 
Guaranteed Withdrawal Benefits
(241
)
231

—

—

(65
)
—

—

—

(75
)
 
Equity Linked Notes
(33
)
(4
)
—

—

37

—

—

—

—

Total Other Policyholder Funds and Benefits Payable
(274
)
227

—

—

(28
)
—

—

—

(75
)
Total Liabilities
$
(274
)
$
227

$
—

$
—

$
(28
)
$
—

$
—

$
—

$
(75
)
Changes in Unrealized Gains (Losses) included in Net Income for Financial Instruments Classified as Level 3 Still Held at Year End
 
 
December 31, 2017 [1] [2]
December 31, 2016 [1] [2]
Assets
 
 
Fixed Maturities, AFS
 
 
 
CMBS
$
—

$
(1
)
 
Corporate
(1
)
(13
)
Total Fixed Maturities, AFS
(1
)
(14
)
Equity Securities, AFS
—

(1
)
Freestanding Derivatives
 
 
 
Interest Rate
1

—

 
GMWB hedging instruments
(61
)
(52
)
 
Macro hedge program
(77
)
(33
)
Total Freestanding Derivatives
(137
)
(85
)
Reinsurance Recoverable for GMWB
(52
)
(24
)
Separate Accounts
1

—

Total Assets
$
(189
)
$
(124
)
(Liabilities)
 
 
Other Policyholder Funds and Benefits Payable
 
 
 
Guaranteed Withdrawal Benefits
$
231

$
88

 
Equity Linked Notes
(4
)
(7
)
Total Other Policyholder Funds and Benefits Payable
227

81

Total Liabilities
$
227

$
81

[1]
All amounts in these rows are reported in net realized capital gains (losses). The realized/unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on net income for the Company. All amounts are before income taxes and amortization of DAC.
[2]
Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.

Fair Value Roll-forwards for Financial Instruments Classified as Level 3 for the Year Ended December 31, 2016
 
 
 
Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
Fair value as of January 1, 2016
Included in net income [1] [2] [6]
Included in OCI [3]
Purchases
Settlements
Sales
Transfers into Level 3 [4]
Transfers out of Level 3 [4]
Fair value as of December 31, 2016
Assets
 
 
 
 
 
 
 
 
 
Fixed Maturities, AFS
 
 
 
 
 
 
 
 
 
 
ABS
$
5

$
—

$
—

$
35

$
(2
)
$
(2
)
$
5

$
(4
)
$
37

 
CDOs
330

(1
)
(14
)
62

(117
)
—

—

—

260

 
CMBS
62

—

(2
)
43

(13
)
(2
)
—

(67
)
21

 
Corporate
534

(6
)
10

87

(63
)
(126
)
368

(238
)
566

 
Foreign Govt./Govt. Agencies
17

—

1

8

(4
)
(5
)
—

—

17

 
Municipal
49

—

—

16

(1
)
—

8

—

72

 
RMBS
628

(1
)
4

268

(154
)
(26
)
2

(10
)
711

Total Fixed Maturities, AFS
1,625

(8
)
(1
)
519

(354
)
(161
)
383

(319
)
1,684

Fixed Maturities, FVO
2

—

—

1

—

(1
)
—

(2
)
—

Equity Securities, AFS
38

(1
)
6

4

—

(3
)
—

—

44

Freestanding Derivatives
 
 
 
 
 
 
 
 
 
 
Equity
—

(8
)
—

8

—

—

—

—

—

 
Interest rate
(29
)
(1
)
—

—

—

—

—

—

(30
)
 
GMWB hedging instruments
135

(60
)
—

—

—

—

—

6

81

 
Macro hedge program
147

(38
)
—

63

(6
)
—

—

1

167

Total Freestanding Derivatives [5]
253

(107
)
—

71

(6
)
—

—

7

218

Reinsurance Recoverable for GMWB
83

(24
)
—

—

14

—

—

—

73

Separate Accounts
139

(1
)
(3
)
320

(15
)
(78
)
17

(178
)
201

Total Assets
$
2,140

$
(141
)
$
2

$
915

$
(361
)
$
(243
)
$
400

$
(492
)
$
2,220

(Liabilities)
 
 
 
 
 
 
 
 
 
Other Policyholder Funds and Benefits Payable
 
 
 
 
 
 
 
 
 
 
Guaranteed Withdrawal Benefits
(262
)
88

—

—

(67
)
—

—

—

(241
)
 
Equity Linked Notes
(26
)
(7
)
—

—

—

—

—

—

(33
)
Total Other Policyholder Funds and Benefits Payable
(288
)
81

—

—

(67
)
—

—

—

(274
)
Total Liabilities
$
(288
)
$
81

$
—

$
—

$
(67
)
$
—

$
—

$
—

$
(274
)
[1]
The Company classifies realized and unrealized gains (losses) on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives.
[2]
Amounts in these rows are generally reported in net realized capital gains (losses). The realized/unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on net income for the Company. All amounts are before income taxes and amortization of DAC.
[3]
All amounts are before income taxes and amortization of DAC.
[4]
Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.
[5]
Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported in the Consolidated Balance Sheets in other investments and other liabilities.
[6]
Includes both market and non-market impacts in deriving realized and unrealized gains (losses).
Fair Value, by Balance Sheet Grouping [Table Text Block]
Fair Value of Assets and Liabilities using the Fair Value Option
 
As of December 31,
 
2017
2016
Assets
 
 
Fixed maturities, FVO
 
 
RMBS
$
32

$
82

Total fixed maturities, FVO
$
32

$
82


Financial Assets and Liabilities Not Carried at Fair Value
 
Fair Value Hierarchy Level
Carrying Amount
Fair Value
 
December 31, 2017
Assets
 
 
 
Policy loans
Level 3
$
1,432

$
1,432

Mortgage loans
Level 3
$
2,872

$
2,941

Liabilities
 
 
 
Other policyholder funds and benefits payable [1]
Level 3
$
5,905

$
6,095

Consumer notes [2] [3]
Level 3
$
8

$
8

Assumed investment contracts [3]
Level 3
$
342

$
361

 
December 31, 2016
Assets
 
 
 
Policy loans
Level 3
$
1,442

$
1,442

Mortgage loans
Level 3
$
2,811

$
2,843

Liabilities
 
 
 
Other policyholder funds and benefits payable [1]
Level 3
$
6,436

$
6,626

Consumer notes [2] [3]
Level 3
$
20

$
20

Assumed investment contracts [3]
Level 3
$
487

$
526


Changes in Fair Value of Assets using the Fair Value Option
 
For the year ended December 31,
 
2017
2016
2015
Assets
 
 
 
Fixed maturities, FVO
 
 
 
CDOs
$
—

$
—

$
1

Corporate
—

—

(3
)
Foreign government
—

—

2

RMBS
—

3

—

Total fixed maturities, FVO
$
—

$
3

$
—

Equity, FVO
1

(34
)
(12
)
Total realized capital gains (losses)
$
1

$
(31
)
$
(12
)
  
Financial Instruments Not Carried at Fair Value
Financial Assets and Liabilities Not Carried at Fair Value
 
Fair Value Hierarchy Level
Carrying Amount
Fair Value
 
December 31, 2017
Assets
 
 
 
Policy loans
Level 3
$
1,432

$
1,432

Mortgage loans
Level 3
$
2,872

$
2,941

Liabilities
 
 
 
Other policyholder funds and benefits payable [1]
Level 3
$
5,905

$
6,095

Consumer notes [2] [3]
Level 3
$
8

$
8

Assumed investment contracts [3]
Level 3
$
342

$
361

 
December 31, 2016
Assets
 
 
 
Policy loans
Level 3
$
1,442

$
1,442

Mortgage loans
Level 3
$
2,811

$
2,843

Liabilities
 
 
 
Other policyholder funds and benefits payable [1]
Level 3
$
6,436

$
6,626

Consumer notes [2] [3]
Level 3
$
20

$
20

Assumed investment contracts [3]
Level 3
$
487

$
526


[1]
Excludes group accident and health and universal life insurance contracts, including corporate owned life insurance.
[2]
Excludes amounts carried at fair value and included in preceding disclosures.
[3]
Included in other liabilities in the Consolidated Balance Sheets.