XML 1031 R55.htm IDEA: XBRL DOCUMENT v2.4.1.9
Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2014
Fair Value Of Financial Instruments [Abstract]  
Carrying And Estimated Fair Values Of Financial Instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2014

 

As of December 31, 2013

 

 

Carrying

 

Fair

 

Carrying

 

Fair

 

 

Value

 

Value

 

Value

 

Value

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity securities

$
86,240

 

$
86,240

 

$
80,078

 

$
80,078

 

VIEs’ fixed maturity securities

 
598

 

 
598

 

 
697

 

 
697

 

Equity securities

 
231

 

 
231

 

 
201

 

 
201

 

Trading securities

 
2,065

 

 
2,065

 

 
2,282

 

 
2,282

 

Mortgage loans on real estate

 
7,574

 

 
8,038

 

 
7,210

 

 
7,386

 

Derivative investments (1)

 
1,860

 

 
1,860

 

 
881

 

 
881

 

Other investments

 
1,709

 

 
1,709

 

 
1,218

 

 
1,218

 

Cash and invested cash

 
3,919

 

 
3,919

 

 
2,364

 

 
2,364

 

Other assets - reinsurance recoverable

 
154

 

 
154

 

 

 -

 

 

 -

 

Separate account assets

 
125,265

 

 
125,265

 

 
117,135

 

 
117,135

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Future contract benefits:

 

 

 

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL contracts embedded derivatives

 
(1,170

)

 
(1,170

)

 
(1,048

)

 
(1,048

)

GLB reserves embedded derivatives (2)

 

 -

 

 

 -

 

 
1,244

 

 
1,244

 

Other contract holder funds:

 

 

 

 

 

 

 

 

 

 

 

 

Remaining guaranteed interest and similar contracts

 
(699

)

 
(699

)

 
(809

)

 
(809

)

Account values of certain investment contracts

 
(29,156

)

 
(33,079

)

 
(29,078

)

 
(30,574

)

Short-term debt (3)

 
(250

)

 
(253

)

 
(501

)

 
(500

)

Long-term debt

 
(5,270

)

 
(5,707

)

 
(5,320

)

 
(5,762

)

Reinsurance related embedded derivatives

 
(150

)

 
(150

)

 
(108

)

 
(108

)

VIEs’ liabilities – derivative instruments

 
(13

)

 
(13

)

 
(27

)

 
(27

)

Other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Credit default swaps

 
(3

)

 
(3

)

 
(2

)

 
(2

)

Derivative liabilities (1)

 
(77

)

 
(77

)

 
(187

)

 
(187

)

GLB reserves embedded derivatives (2)

 
(174

)

 
(174

)

 

 -

 

 

 -

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Benefit Plans' Assets (4)

 
1,570

 

 
1,570

 

 
1,471

 

 
1,471

 

 

(1)

We have master netting agreements with each of our derivative counterparties, which allow for the netting of our derivative asset and liability positions by counterparty.

(2)

Portions of our GLB reserves embedded derivatives are ceded to third-party reinsurance counterparties.  Refer to Note 6 for additional detail.  

(3)

The difference between the carrying value and fair value of short-term debt as of December 31, 2014 and 2013, related to current maturities of long-term debt.

(4)

Included in the funded statuses of the benefit plans, which is reported in other liabilities on our Consolidated Balance Sheets.  Refer to Note 17 for additional detail. 

 

Fair Value Of Assets And Liabilities On A Recurring Basis

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2014

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prices

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

in Active

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markets for

Significant

Significant

 

 

 

 

 

 

Identical

 

Observable

Unobservable

 

Total

 

 

 

Assets

 

 

Inputs

 

 

Inputs

 

 

Fair

 

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Value

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

 

$
63

 

 

$
71,400

 

 

$
1,953

 

 

$
73,416

 

ABS

 

 

 -

 

 

 
1,097

 

 

 
33

 

 

 
1,130

 

U.S. government bonds

 

 
399

 

 

 
36

 

 

 

 -

 

 

 
435

 

Foreign government bonds

 

 

 -

 

 

 
432

 

 

 
109

 

 

 
541

 

RMBS

 

 

 -

 

 

 
4,225

 

 

 
1

 

 

 
4,226

 

CMBS

 

 

 -

 

 

 
555

 

 

 
15

 

 

 
570

 

CLOs

 

 

 -

 

 

 
7

 

 

 
368

 

 

 
375

 

State and municipal bonds

 

 

 -

 

 

 
4,593

 

 

 

 -

 

 

 
4,593

 

Hybrid and redeemable preferred securities

 

 
45

 

 

 
854

 

 

 
55

 

 

 
954

 

VIEs’ fixed maturity securities

 

 

 -

 

 

 
598

 

 

 

 -

 

 

 
598

 

Equity AFS securities

 

 
7

 

 

 
67

 

 

 
157

 

 

 
231

 

Trading securities

 

 

 -

 

 

 
1,992

 

 

 
73

 

 

 
2,065

 

Other investments

 

 
150

 

 

 

 -

 

 

 

 -

 

 

 
150

 

Derivative investments (1)

 

 

 -

 

 

 
1,356

 

 

 
1,231

 

 

 
2,587

 

Cash and invested cash

 

 

 -

 

 

 
3,919

 

 

 

 -

 

 

 
3,919

 

Other assets - reinsurance recoverable

 

 

 -

 

 

 

 -

 

 

 
154

 

 

 
154

 

Separate account assets

 

 
1,539

 

 

 
123,726

 

 

 

 -

 

 

 
125,265

 

Total assets

 

$
2,203

 

 

$
214,857

 

 

$
4,149

 

 

$
221,209

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Future contract benefits – indexed annuity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and IUL contracts embedded derivatives

 

$

 -

 

 

$

 -

 

 

$
(1,170

)

 

$
(1,170

)

Long-term debt

 

 

 -

 

 

 
(1,203

)

 

 

 -

 

 

 
(1,203

)

Reinsurance related embedded derivatives

 

 

 -

 

 

 
(150

)

 

 

 -

 

 

 
(150

)

VIEs’ liabilities – derivative instruments

 

 

 -

 

 

 

 -

 

 

 
(13

)

 

 
(13

)

Other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit default swaps

 

 

 -

 

 

 

 -

 

 

 
(3

)

 

 
(3

)

Derivative liabilities (1)

 

 

 -

 

 

 
(562

)

 

 
(242

)

 

 
(804

)

GLB reserves embedded derivatives

 

 

 -

 

 

 

 -

 

 

 
(174

)

 

 
(174

)

Total liabilities

 

$

 -

 

 

$
(1,915

)

 

$
(1,602

)

 

$
(3,517

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Benefit Plans' Assets

 

$
116

 

 

$
1,454

 

 

$

 -

 

 

$
1,570

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2013

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prices

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

in Active

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Markets for

Significant

Significant

 

 

 

 

 

 

Identical

 

Observable

Unobservable

 

Total

 

 

 

Assets

 

 

Inputs

 

 

Inputs

 

 

Fair

 

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

 

Value

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

 

$
60

 

 

$
66,014

 

 

$
1,701

 

 

$
67,775

 

ABS

 

 

 -

 

 

 
1,150

 

 

 
10

 

 

 
1,160

 

U.S. government bonds

 

 
346

 

 

 
21

 

 

 

 -

 

 

 
367

 

Foreign government bonds

 

 

 -

 

 

 
470

 

 

 
79

 

 

 
549

 

RMBS

 

 

 -

 

 

 
4,349

 

 

 
1

 

 

 
4,350

 

CMBS

 

 

 -

 

 

 
708

 

 

 
20

 

 

 
728

 

CLOs

 

 

 -

 

 

 
46

 

 

 
179

 

 

 
225

 

State and municipal bonds

 

 

 -

 

 

 
3,891

 

 

 
28

 

 

 
3,919

 

Hybrid and redeemable preferred securities

 

 
40

 

 

 
899

 

 

 
66

 

 

 
1,005

 

VIEs’ fixed maturity securities

 

 
102

 

 

 
595

 

 

 

 -

 

 

 
697

 

Equity AFS securities

 

 
3

 

 

 
37

 

 

 
161

 

 

 
201

 

Trading securities

 

 

 -

 

 

 
2,230

 

 

 
52

 

 

 
2,282

 

Derivative investments (1)

 

 

 -

 

 

 
340

 

 

 
1,518

 

 

 
1,858

 

Cash and invested cash

 

 

 -

 

 

 
2,364

 

 

 

 -

 

 

 
2,364

 

Separate account assets

 

 
1,767

 

 

 
115,368

 

 

 

 -

 

 

 
117,135

 

Total assets

 

$
2,318

 

 

$
198,482

 

 

$
3,815

 

 

$
204,615

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Future contract benefits:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL contracts embedded derivatives

 

$

 -

 

 

$

 -

 

 

$
(1,048

)

 

$
(1,048

)

GLB reserves embedded derivatives

 

 

 -

 

 

 

 -

 

 

 
1,244

 

 

 
1,244

 

Long-term debt

 

 

 -

 

 

 
(1,203

)

 

 

 -

 

 

 
(1,203

)

Reinsurance related embedded derivatives

 

 

 -

 

 

 
(108

)

 

 

 -

 

 

 
(108

)

VIEs’ liabilities – derivative instruments

 

 

 -

 

 

 

 -

 

 

 
(27

)

 

 
(27

)

Other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit default swaps

 

 

 -

 

 

 

 -

 

 

 
(2

)

 

 
(2

)

Derivative liabilities (1)

 

 

 -

 

 

 
(912

)

 

 
(252

)

 

 
(1,164

)

Total liabilities

 

$

 -

 

 

$
(2,223

)

 

$
(85

)

 

$
(2,308

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Benefit Plans' Assets

 

$
114

 

 

$
1,357

 

 

$

 -

 

 

$
1,471

 

 

Fair Value Measured On A Recurring Basis Reconciliation

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2014

 

 

 

 

 

 

 

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains

Issuances,

Transfers

 

 

 

 

 

 

 

 

Items

 

(Losses)

Sales,

Into or

 

 

 

 

 

 

 

 

Included

 

in

Maturities,

Out

 

 

 

 

 

Beginning

 

in

 

OCI

Settlements,

of

 

Ending

 

 

Fair

 

Net

 

and

 

Calls,

 

Level 3,

 

Fair

 

 

Value

 

Income

 

Other (1)

 

Net

 

Net (2)(3)

 

Value

 

Investments: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
1,701

 

$
9

 

$
27

 

$
197

 

$
19

 

$
1,953

 

ABS

 
10

 

 

 -

 

 
1

 

 

 -

 

 
22

 

 
33

 

Foreign government bonds

 
79

 

 

 -

 

 
5

 

 

 -

 

 
25

 

 
109

 

RMBS

 
1

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 
1

 

CMBS

 
20

 

 

 -

 

 
2

 

 
(13

)

 
6

 

 
15

 

CLOs

 
179

 

 
(3

)

 
7

 

 
136

 

 
49

 

 
368

 

State and municipal bonds

 
28

 

 

 -

 

 
1

 

 

 -

 

 
(29

)

 

 -

 

Hybrid and redeemable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

preferred securities

 
66

 

 

 -

 

 
(1

)

 
(5

)

 
(5

)

 
55

 

Equity AFS securities

 
161

 

 
4

 

 
(3

)

 
(5

)

 

 -

 

 
157

 

Trading securities

 
52

 

 
4

 

 
8

 

 
10

 

 
(1

)

 
73

 

Derivative investments

 
1,266

 

 
72

 

 
356

 

 
(279

)

 
(426

)

 
989

 

Other assets - reinsurance recoverable

 
27

 

 
127

 

 

 -

 

 

 -

 

 

 -

 

 
154

 

Future contract benefits: (5)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

contracts embedded derivatives

 
(1,048

)

 
(210

)

 

 -

 

 
88

 

 

 -

 

 
(1,170

)

GLB reserves embedded derivatives

 
1,244

 

 

 -

 

 

 -

 

 

 -

 

 
(1,244

)

 

 -

 

VIEs’ liabilities – derivative instruments (6)

 
(27

)

 
14

 

 

 -

 

 

 -

 

 

 -

 

 
(13

)

Other liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Credit default swaps (7)

 
(2

)

 
(1

)

 

 -

 

 

 -

 

 

 -

 

 
(3

)

GLB reserves embedded derivatives (5)

 
(27

)

 
(1,391

)

 

 -

 

 

 -

 

 
1,244

 

 
(174

)

Total, net

$
3,730

 

$
(1,375

)

$
403

 

$
129

 

$
(340

)

$
2,547

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2013

 

 

 

 

 

 

 

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains

Issuances,

Transfers

 

 

 

 

 

 

 

 

Items

 

(Losses)

Sales,

Into or

 

 

 

 

 

 

 

 

Included

 

in

Maturities,

Out

 

 

 

 

 

Beginning

 

in

 

OCI

Settlements,

of

 

Ending

 

 

Fair

 

Net

 

and

 

Calls,

 

Level 3,

 

Fair

 

 

Value

 

Income

 

Other (1)

 

Net

 

Net (2)

 

Value

 

Investments: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
1,491

 

$
(18

)

$
(2

)

$
316

 

$
(86

)

$
1,701

 

ABS

 
14

 

 

 -

 

 
1

 

 
29

 

 
(34

)

 
10

 

U.S. government bonds

 
1

 

 

 -

 

 

 -

 

 
(1

)

 

 -

 

 

 -

 

Foreign government bonds

 
46

 

 

 -

 

 

 -

 

 
33

 

 

 -

 

 
79

 

RMBS

 
3

 

 

 -

 

 

 -

 

 
(2

)

 

 -

 

 
1

 

CMBS

 
27

 

 
1

 

 
6

 

 
(6

)

 
(8

)

 
20

 

CLOs

 
154

 

 
(1

)

 
4

 

 
50

 

 
(28

)

 
179

 

State and municipal bonds

 
32

 

 

 -

 

 
(4

)

 

 -

 

 

 -

 

 
28

 

Hybrid and redeemable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

preferred securities

 
118

 

 

 -

 

 
13

 

 
(35

)

 
(30

)

 
66

 

Equity AFS securities

 
87

 

 
(1

)

 
2

 

 
73

 

 

 -

 

 
161

 

Trading securities

 
56

 

 
3

 

 
(7

)

 
(6

)

 
6

 

 
52

 

Derivative investments

 
2,026

 

 
(681

)

 
96

 

 
(175

)

 

 -

 

 
1,266

 

Future contract benefits: (5)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

contracts embedded derivatives

 
(732

)

 
(356

)

 

 -

 

 
40

 

 

 -

 

 
(1,048

)

GLB reserves embedded derivatives

 
(909

)

 
2,153

 

 

 -

 

 

 -

 

 

 -

 

 
1,244

 

VIEs' liabilities – derivative instruments (6)

 
(128

)

 
101

 

 

 -

 

 

 -

 

 

 -

 

 
(27

)

Other liabilities – credit default swaps (7)

 
(11

)

 
9

 

 

 -

 

 

 -

 

 

 -

 

 
(2

)

Total, net

$
2,275

 

$
1,210

 

$
109

 

$
316

 

$
(180

)

$
3,730

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2012

 

 

 

 

 

 

 

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

 

 

 

 

Gains

Issuances,

Transfers

 

 

 

 

 

 

 

 

Items

 

(Losses)

Sales,

Into or

 

 

 

 

 

 

 

 

Included

 

in

Maturities,

Out

 

 

 

 

 

Beginning

 

in

 

OCI

Settlements,

of

 

Ending

 

 

Fair

 

Net

 

and

 

Calls,

 

Level 3,

 

Fair

 

 

Value

 

Income

 

Other (1)

 

Net

 

Net (2)

 

Value

 

Investments: (4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
1,830

 

$
(27

)

$
33

 

$
269

 

$
(614

)

$
1,491

 

ABS

 
58

 

 

 -

 

 
1

 

 
(3

)

 
(42

)

 
14

 

U.S. government bonds

 
1

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 
1

 

Foreign government bonds

 
97

 

 

 -

 

 

 -

 

 
(5

)

 
(46

)

 
46

 

RMBS

 
158

 

 
(3

)

 
3

 

 
(8

)

 
(147

)

 
3

 

CMBS

 
34

 

 
(11

)

 
18

 

 
(12

)

 
(2

)

 
27

 

CLOs

 
102

 

 
(2

)

 
8

 

 
61

 

 
(15

)

 
154

 

State and municipal bonds

 

 -

 

 

 -

 

 

 -

 

 
32

 

 

 -

 

 
32

 

Hybrid and redeemable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

preferred securities

 
100

 

 
(1

)

 
24

 

 

 -

 

 
(5

)

 
118

 

Equity AFS securities

 
56

 

 
(8

)

 
13

 

 
26

 

 

 -

 

 
87

 

Trading securities

 
68

 

 
3

 

 
4

 

 
(2

)

 
(17

)

 
56

 

Derivative investments

 
2,470

 

 
(790

)

 
158

 

 
188

 

 

 -

 

 
2,026

 

Future contract benefits: (5)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

contracts embedded derivatives

 
(399

)

 
(136

)

 

 -

 

 
(197

)

 

 -

 

 
(732

)

GLB reserves embedded derivatives

 
(2,217

)

 
1,308

 

 

 -

 

 

 -

 

 

 -

 

 
(909

)

VIEs' liabilities – derivative instruments (6)

 
(291

)

 
163

 

 

 -

 

 

 -

 

 

 -

 

 
(128

)

Other liabilities – credit default swaps (7)

 
(16

)

 
5

 

 

 -

 

 

 -

 

 

 -

 

 
(11

)

Total, net

$
2,051

 

$
501

 

$
262

 

$
349

 

$
(888

)

$
2,275

 

 

(1)

The changes in fair value of the interest rate swaps are offset by an adjustment to derivative investments (see Note 6).

(2)

Transfers into or out of Level 3 for AFS and trading securities are displayed at amortized cost as of the beginning-of-year.  For AFS and trading securities, the difference between beginning-of-year amortized cost and beginning-of-year fair value was included in OCI and earnings, respectively, in prior years.

(3)

Transfers into or out of Level 3 for GLB reserves embedded derivatives between future contract benefits, other assets and other liabilities on our Consolidated Balance Sheets.

(4)

Amortization and accretion of premiums and discounts are included in net investment income on our Consolidated Statements of Comprehensive Income (Loss).  Gains (losses) from sales, maturities, settlements and calls and OTTI are included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss). 

(5)

Gains (losses) from sales, maturities, settlements and calls are included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

(6)

Gains (losses) from sales, maturities, settlements and calls are included in net investment income on our Consolidated Statements of Comprehensive Income (Loss).

(7)

The changes in fair value of the credit default swaps and contingency forwards are included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).
Schedule Of Investment Holdings Movements

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2014

 

 

Issuances

 

Sales

 

Maturities

Settlements

Calls

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
600

 

$
(75

)

$
(115

)

$
(51

)

$
(162

)

$
197

 

ABS

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

CMBS

 

 -

 

 

 -

 

 

 -

 

 
(13

)

 

 -

 

 
(13

)

CLOs

 
187

 

 

 -

 

 

 -

 

 
(46

)

 
(5

)

 
136

 

Hybrid and redeemable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

preferred securities

 

 -

 

 
(5

)

 

 -

 

 

 -

 

 

 -

 

 
(5

)

Equity AFS securities

 

 -

 

 
(5

)

 

 -

 

 

 -

 

 

 -

 

 
(5

)

Trading securities

 
14

 

 

 -

 

 

 -

 

 
(4

)

 

 -

 

 
10

 

Derivative investments

 
160

 

 
(87

)

 
(352

)

 

 -

 

 

 -

 

 
(279

)

Future contract benefits – indexed annuity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and IUL contracts embedded derivatives

 
(69

)

 

 -

 

 

 -

 

 
157

 

 

 -

 

 
88

 

Total, net

$
892

 

$
(172

)

$
(467

)

$
43

 

$
(167

)

$
129

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2013

 

 

Issuances

 

Sales

 

Maturities

Settlements

Calls

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
533

 

$
(51

)

$
(47

)

$
(49

)

$
(70

)

$
316

 

ABS

 
30

 

 

 -

 

 

 -

 

 
(1

)

 

 -

 

 
29

 

U.S. government bonds

 

 -

 

 

 -

 

 

 -

 

 
(1

)

 

 -

 

 
(1

)

Foreign government bonds

 
50

 

 

 -

 

 
(17

)

 

 -

 

 

 -

 

 
33

 

RMBS

 

 -

 

 

 -

 

 

 -

 

 
(2

)

 

 -

 

 
(2

)

CMBS

 

 -

 

 

 -

 

 

 -

 

 
(4

)

 
(2

)

 
(6

)

CLOs

 
74

 

 

 -

 

 

 -

 

 
(24

)

 

 -

 

 
50

 

Hybrid and redeemable preferred

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

securities

 

 -

 

 
(35

)

 

 -

 

 

 -

 

 

 -

 

 
(35

)

Equity AFS securities

 
78

 

 
(5

)

 

 -

 

 

 -

 

 

 -

 

 
73

 

Trading securities

 

 -

 

 
(3

)

 
(1

)

 
(2

)

 

 -

 

 
(6

)

Derivative investments

 
152

 

 
(23

)

 
(304

)

 

 -

 

 

 -

 

 
(175

)

Future contract benefits – indexed annuity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and IUL contracts embedded derivatives

 
(68

)

 

 -

 

 

 -

 

 
108

 

 

 -

 

 
40

 

Total, net

$
849

 

$
(117

)

$
(369

)

$
25

 

$
(72

)

$
316

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2012

 

 

Issuances

 

Sales

 

Maturities

Settlements

Calls

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
364

 

$
(30

)

$
(6

)

$
(52

)

$
(7

)

$
269

 

ABS

 

 -

 

 

 -

 

 

 -

 

 
(3

)

 

 -

 

 
(3

)

Foreign government bonds

 

 -

 

 

 -

 

 
(5

)

 

 -

 

 

 -

 

 
(5

)

RMBS

 

 -

 

 

 -

 

 
(7

)

 
(1

)

 

 -

 

 
(8

)

CMBS

 

 -

 

 

 -

 

 

 -

 

 
(12

)

 

 -

 

 
(12

)

CLOs

 
72

 

 

 -

 

 

 -

 

 
(11

)

 

 -

 

 
61

 

State and municipal bonds

 
32

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 
32

 

Equity AFS securities

 
26

 

 

 -

 

 

 -

 

 

 -

 

 

 -

 

 
26

 

Trading securities

 

 -

 

 

 -

 

 

 -

 

 
(2

)

 

 -

 

 
(2

)

Derivative investments

 
454

 

 
(28

)

 
(238

)

 

 -

 

 

 -

 

 
188

 

Future contract benefits – indexed annuity

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and IUL contracts embedded derivatives

 
(99

)

 

 -

 

 

 -

 

 
(98

)

 

 -

 

 
(197

)

Total, net

$
849

 

$
(58

)

$
(256

)

$
(179

)

$
(7

)

$
349

 

 

Changes In Unrealized Gains (Losses) Within Level 3 Financial Instruments Carried At Fair Value And Still Held

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Years Ended December 31,

 

 

2014

 

2013

 

2012

 

Derivative investments (1)

$
(15

)

$
(752

)

$
823

 

Embedded derivatives: (1)

 

 

 

 

 

 

 

 

 

Indexed annuity and IUL contracts

 

 

 

 

 

 

 

 

 

embedded derivatives

 
(37

)

 
(44

)

 
(10

)

GLB reserves

 
(678

)

 
2,444

 

 
1,472

 

VIEs’ liabilities – derivative instruments (2)

 
14

 

 
101

 

 
163

 

Credit default swaps (1)

 
(1

)

 
9

 

 
6

 

Total, net

$
(717

)

$
1,758

 

$
2,454

 

 

(1)

Included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).    

(2)

Included in net investment income on our Consolidated Statements of Comprehensive Income (Loss).    
Components Of The Transfers In And Out Of Level 3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2014

 

 

Transfers

 

Transfers

 

 

 

 

 

Into

 

Out of

 

 

 

 

 

Level 3

 

Level 3

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

Corporate bonds

$
475

 

$
(456

)

$
19

 

ABS

 
26

 

 
(4

)

 
22

 

Foreign government bonds

 
25

 

 

 -

 

 
25

 

CMBS

 
6

 

 

 -

 

 
6

 

CLOs

 
53

 

 
(4

)

 
49

 

State and municipal bonds

 

 -

 

 
(29

)

 
(29

)

Hybrid and redeemable preferred

 

 

 

 

 

 

 

 

 

securities

 
17

 

 
(22

)

 
(5

)

Trading securities

 
10

 

 
(11

)

 
(1

)

Derivative investments

 

 -

 

 
(426

)

 
(426

)

Future contract benefits – GLB reserves

 

 

 

 

 

 

 

 

 

embedded derivatives

 

 -

 

 
(1,244

)

 
(1,244

)

Other liabilities – GLB reserves

 

 

 

 

 

 

 

 

 

embedded derivatives

 
1,244

 

 

 -

 

 
1,244

 

Total, net

$
1,856

 

$
(2,196

)

$
(340

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

For the Year Ended December 31, 2013

 

 

Transfers

 

Transfers

 

 

 

 

 

Into

 

Out of

 

 

 

 

 

Level 3

 

Level 3

 

Total

 

Investments:

 

 

 

 

 

 

 

 

 

Fixed maturity AFS securities:

 

 

 

 

 

 

 

 

 

Corporate bonds

$
373

 

$
(459

)

$
(86

)

ABS

 

 

 

 
(34

)

 
(34

)

CMBS

 

 -

 

 
(8

)

 
(8

)

CLOs

 

 -

 

 
(28

)

 
(28

)

Hybrid and redeemable preferred securities

 
20

 

 
(50

)

 
(30

)

Trading securities

 
8

 

 
(2

)

 
6

 

Total, net

$
401

 

$
(581

)

$
(180

)

 

 

 

 

Fair Value Inputs Quantitative Information

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair

 

Valuation

 

Significant

 

Assumption or

 

 

Value

 

Technique

 

Unobservable Inputs

 

Input Ranges

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed maturity AFS and trading

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate bonds

$
1,262

 

Discounted cash flow

 

Liquidity/duration adjustment (1)

 
0.5

%

 

-
11.6

%

 

ABS

 
64

 

Discounted cash flow

 

Liquidity/duration adjustment (1)

 
2.8

%

 

 
3.0

%

 

Foreign government bonds

 
80

 

Discounted cash flow

 

Liquidity/duration adjustment (1)

 
2.0

%

 

-
3.5

%

 

Hybrid and redeemable

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

preferred securities

 
20

 

Discounted cash flow

 

Liquidity/duration adjustment (1)

 
2.1

%

 

-
2.1

%

 

Equity AFS and trading securities

 
27

 

Discounted cash flow

 

Liquidity/duration adjustment (1)

 
4.3

%

 

-
7.3

%

 

Other assets – reinsurance

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

recoverable

 
154

 

Discounted cash flow

 

Long-term lapse rate (2)

 
1

%

 

-
30

%

 

 

 

 

 

 

 

 

Utilization of guaranteed withdrawals (3)
90

%

 

-
100

%

 

 

 

 

 

 

 

 

Claims utilization factor (4)

 
60

%

 

-
100

%

 

 

 

 

 

 

 

 

Premiums utilization factor (4)

 
70

%

 

-
140

%

 

 

 

 

 

 

 

 

NPR (5)

 
0.00

%

 

-
0.35

%

 

 

 

 

 

 

 

 

Mortality rate (6)

 

 

 

 

 

(8)

 

 

 

 

 

 

 

 

 

Volatility (7)

 
1

%

 

-
28

%

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Future contract benefits – indexed

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

annuity and IUL contracts

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

embedded derivatives

 
(1,170

)

Discounted cash flow

 

Lapse rate (2)

 
1

%

 

-
15

%

 

 

 

 

 

 

 

 

Mortality rate (6)

 

 

 

 

 

(9)

 

 

Other liabilities – GLB reserves

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

embedded derivatives

 
(174

)

Discounted cash flow

 

Long-term lapse rate (2)

 
1

%

 

-
30

%

 

 

 

 

 

 

 

 

Utilization of guaranteed withdrawals (3)
90

%

 

-
100

%

 

 

 

 

 

 

 

 

Claims utilization factor (4)

 
60

%

 

-
100

%

 

 

 

 

 

 

 

 

Premiums utilization factor (4)

 
70

%

 

-
140

%

 

 

 

 

 

 

 

 

NPR (5)

 
0.00

%

 

-
0.35

%

 

 

 

 

 

 

 

 

Mortality rate (6)(8)

 

 

 

 

 

(9)

 

 

 

 

 

 

 

 

 

Volatility (7)

 
1

%

 

-
28

%

 

 

(1)

The liquidity/duration adjustment input represents an estimated market participant composite of adjustments attributable to liquidity premiums, expected durations, structures and credit quality that would be applied to the market observable information of an investment.

(2)

The lapse rate input represents the estimated probability of a contract surrendering during a year, and thereby forgoing any future benefits.  The range for indexed annuity and IUL contracts represents the lapse rates during the surrender charge period.

(3)

The utilization of guaranteed withdrawals input represents the estimated percentage of contract holders that utilize the guaranteed withdrawal feature.

(4)

The utilization factors are applied to the present value of claims or premiums, as appropriate, in the GLB reserve calculation to estimate the impact of inefficient withdrawal behavior, including taking less than or more than the maximum guaranteed withdrawal.

(5)

The NPR input represents the estimated additional credit spread that market participants would apply to the market observable discount rate when pricing a contract.

(6)

The mortality rate input represents the estimated probability of when an individual belonging to a particular group, categorized according to age or some other factor such as gender, will die. 

(7)

The volatility input represents overall volatilities assumed for the underlying variable annuity funds, which include a mixture of equity and fixed-income assets.  Fair value of the variable annuity GLB embedded derivatives would increase if higher volatilities were used for valuation.

(8)

The mortality rate is based on a combination of company and industry experience, adjusted for improvement factors.

(9)

Based on the “Annuity 2000 Mortality Table” developed by the Society of Actuaries Committee on Life Insurance Research that was adopted by the National Association of Insurance Commissioners in 1996 for our mortality input.