12. Fair Value of Financial Instruments

The carrying values and estimated fair values of our financial instruments (in millions) were as follows:



	As of June 30, 2016						As of December 31, 2015
	Carrying			Fair			Carrying			Fair
	Value			Value			Value			Value
Assets
AFS securities:
Fixed maturity securities	$	91,461		$	91,461		$	84,964		$	84,964
VIEs’ fixed maturity securities		600			600			598			598
Equity securities		277			277			237			237
Trading securities		1,812			1,812			1,854			1,854
Mortgage loans on real estate		9,257			9,821			8,678			8,936
Derivative investments (1)		2,613			2,613			1,537			1,537
Other investments (2)		2,039			2,039			1,778			1,778
Cash and invested cash		4,113			4,113			3,146			3,146
Other assets – reinsurance recoverable		539			539			268			268
Separate account assets		125,033			125,033			123,619			123,619

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(1,102	)		(1,102	)		(1,100	)		(1,100	)
Other contract holder funds:
Remaining guaranteed interest and similar contracts		(660	)		(660	)		(687	)		(687	)
Account values of certain investment contracts		(31,068	)		(37,486	)		(30,392	)		(34,618	)
Short-term debt (3)		(250	)		(249	)		-			-
Long-term debt		(5,460	)		(5,211	)		(5,553	)		(5,505	)
Reinsurance related embedded derivatives		(134	)		(134	)		(87	)		(87	)
VIEs’ liabilities – derivative instruments		-			-			(4	)		(4	)
Other liabilities:
Credit default swaps		(16	)		(16	)		(9	)		(9	)
Derivative liabilities (1)		(122	)		(122	)		(69	)		(69	)
GLB reserves embedded derivatives (4)		(2,458	)		(2,458	)		(953	)		(953	)

⁽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⁾

Includes credit default swaps in an asset position associated with consolidated VIEs.

⁽³⁾

The difference between the carrying value and fair value of short-term debt as of June 30, 2016, related to current maturities of long-term debt.

⁽⁴⁾

Portions of our GLB reserves embedded derivatives are ceded to third-party reinsurance counterparties. Refer to Note 5 for additional detail.

Valuation Methodologies and Associated Inputs for Financial Instruments Not Carried at Fair Value

The following discussion outlines the methodologies and assumptions used to determine the fair value of our financial instruments not carried at fair value on our Consolidated Balance Sheets. Considerable judgment is required to develop these assumptions used to measure fair value. Accordingly, the estimates shown are not necessarily indicative of the amounts that would be realized in a one-time, current market exchange of all of our financial instruments.

Mortgage Loans on Real Estate

The fair value of mortgage loans on real estate is established using a discounted cash flow method based on credit rating, maturity and future income. The ratings for mortgages in good standing are based on property type, location, market conditions, occupancy, debt-service coverage, loan-to-value, quality of tenancy, borrower and payment record. The fair value for impaired mortgage loans is based on the present value of expected future cash flows discounted at the loan’s effective interest rate, the loan’s market price or the fair value of the collateral if the loan is collateral dependent. The inputs used to measure the fair value of our mortgage loans on real estate are classified as Level 2 within the fair value hierarchy.

Other Investments

The carrying value of our assets classified as other investments approximates fair value. Other investments includes primarily LPs and other privately held investments that are accounted for using the equity method of accounting and the carrying value is based on our proportional share of the net assets of the LPs. The inputs used to measure the fair value of our LPs and other privately held investments are classified as Level 3 within the fair value hierarchy. Other investments also includes securities that are not LPs or other privately held investments and the inputs used to measure the fair value of these securities are classified as Level 1 within the fair value hierarchy.

Other Contract Holder Funds

Other contract holder funds include remaining guaranteed interest and similar contracts and account values of certain investment contracts. The fair value for the remaining guaranteed interest and similar contracts is estimated using discounted cash flow calculations as of the balance sheet date. These calculations are based on interest rates currently offered on similar contracts with maturities that are consistent with those remaining for the contracts being valued. As of June 30, 2016, and December 31, 2015, the remaining guaranteed interest and similar contracts carrying value approximated fair value. The fair value of the account values of certain investment contracts is based on their approximate surrender value as of the balance sheet date. The inputs used to measure the fair value of our other contract holder funds are classified as Level 3 within the fair value hierarchy.

Short-Term and Long-Term Debt

The fair value of short-term and long-term debt is based on quoted market prices. The inputs used to measure the fair value of our short-term and long-term debt are classified as Level 2 within the fair value hierarchy.

Financial Instruments Carried at Fair Value

We did not have any assets or liabilities measured at fair value on a nonrecurring basis as of June 30, 2016, or December 31, 2015, and we noted no changes in our valuation methodologies between these periods.

The following summarizes our financial instruments carried at fair value (in millions) on a recurring basis by the fair value hierarchy levels described in “Summary of Significant Accounting Policies” in Note 1 of our 2015 Form 10-K:



		As of June 30, 2016
		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		$	-			76,626			$	2,425		$	79,051
ABS			-			1,016				62			1,078
U.S. government bonds			450			4				10			464
Foreign government bonds			-			418				112			530
RMBS			-			3,621				16			3,637
CMBS			-			330				8			338
CLOs			-			642				45			687
State and municipal bonds			-			4,985				-			4,985
Hybrid and redeemable preferred securities			50			552				89			691
VIEs’ fixed maturity securities			-			600				-			600
Equity AFS securities			7			100				170			277
Trading securities			103			1,644				65			1,812
Derivative investments (1)			-			3,026				899			3,925
Other investments (2)			149			-				1			150
Cash and invested cash			-			4,113				-			4,113
Other assets – reinsurance recoverable			-			-				539			539
Separate account assets			1,046			123,987				-			125,033
Total assets		$	1,805		$	221,664			$	4,441		$	227,910

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(1,102	)	$	(1,102	)
Long-term debt			-			(1,203	)			-			(1,203	)
Reinsurance related embedded derivatives			-			(134	)			-			(134	)
Other liabilities:
Credit default swaps			-			-				(16	)		(16	)
Derivative liabilities (1)			-			(958	)			(476	)		(1,434	)
GLB reserves embedded derivatives			-			-				(2,458	)		(2,458	)
Total liabilities		$	-		$	(2,295	)		$	(4,052	)	$	(6,347	)



		As of December 31, 2015
		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		$	70,878			$	1,993		$	72,931
ABS			-			1,056				45			1,101
U.S. government bonds			412			17				-			429
Foreign government bonds			-			413				111			524
RMBS			-			3,727				1			3,728
CMBS			-			366				10			376
CLOs			-			38				551			589
State and municipal bonds			-			4,480				-			4,480
Hybrid and redeemable preferred securities			48			664				94			806
VIEs’ fixed maturity securities			-			598				-			598
Equity AFS securities			8			65				164			237
Trading securities			160			1,621				73			1,854
Other investments			148			-				-			148
Derivative investments (1)			-			1,459				853			2,312
Cash and invested cash			-			3,146				-			3,146
Other assets – reinsurance recoverable			-			-				268			268
Separate account assets			1,053			122,566				-			123,619
Total assets		$	1,889		$	211,094			$	4,163		$	217,146

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(1,100	)	$	(1,100	)
Long-term debt			-			(1,203	)			-			(1,203	)
Reinsurance related embedded derivatives			-			(87	)			-			(87	)
VIEs’ liabilities – derivative instruments			-			-				(4	)		(4	)
Other liabilities:
Credit default swaps			-			-				(9	)		(9	)
Derivative liabilities (1)			-			(546	)			(298	)		(844	)
GLB reserves embedded derivatives			-			-				(953	)		(953	)
Total liabilities		$	-		$	(1,836	)		$	(2,364	)	$	(4,200	)

⁽¹⁾

Derivative investment assets and liabilities presented within the fair value hierarchy are presented on a gross basis by derivative type and not on a master netting basis by counterparty.

⁽²⁾

Includes credit default swaps in an asset position associated with consolidated VIEs.

The following summarizes changes to our financial instruments carried at fair value (in millions) and classified within Level 3 of the fair value hierarchy. This summary excludes any effect of amortization of deferred acquisition costs (“DAC”), value of business acquired (“VOBA”), deferred sales inducements (“DSI”) and deferred front-end loads (“DFEL”). The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.



	For the Three Months Ended June 30, 2016
							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: (3)
Fixed maturity AFS securities:
Corporate bonds	$	2,185		$	(6	)	$	46		$	118		$	82		$	2,425
ABS		44			-			-			14			4			62
U.S. government bonds		-			-			-			10			-			10
Foreign government bonds		111			-			1			-			-			112
RMBS		1			-			-			15			-			16
CMBS		9			2			(1	)		(2	)		-			8
CLOs		591			-			-			40			(586	)		45
Hybrid and redeemable
preferred securities		92			-			(3	)		-			-			89
Equity AFS securities		167			-			3			-			-			170
Trading securities		74			1			(1	)		-			(9	)		65
Derivative investments		190			183			79			(29	)		-			423
Other investments (4)		2			(1	)		-			-			-			1
Other assets – reinsurance recoverable (5)		433			106			-			-			-			539
Future contract benefits – indexed annuity
and IUL contracts embedded
derivatives (5)		(1,088	)		(19	)		-			5			-			(1,102	)
Other liabilities:
Credit default swaps (4)		(12	)		(4	)		-			-			-			(16	)
GLB reserves embedded derivatives (5)		(1,916	)		(542	)		-			-			-			(2,458	)
Total, net	$	883		$	(280	)	$	124		$	171		$	(509	)	$	389



	For the Three Months Ended June 30, 2015
							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: (3)
Fixed maturity AFS securities:
Corporate bonds	$	2,033		$	-		$	(58	)	$	61		$	3		$	2,039
ABS		33			-			-			-			-			33
Foreign government bonds		113			-			1			-			-			114
RMBS		1			-			-			-			-			1
CMBS		15			1			2			(6	)		-			12
CLOs		416			-			-			57			(12	)		461
Hybrid and redeemable
preferred securities		75			(1	)		(1	)		-			23			96
Equity AFS securities		135			1			(2	)		8			(1	)		141
Trading securities		75			-			(4	)		1			-			72
Derivative investments		849			122			(123	)		(108	)		-			740
Other assets: (5)
GLB reserves embedded derivatives		-			254			-			-			-			254
Reinsurance recoverable		204			(102	)		-			-			-			102
Future contract benefits – indexed annuity
and IUL contracts embedded
derivatives (5)		(1,180	)		(9	)		-			34			-			(1,155	)
VIEs’ liabilities – derivative instruments (4)		(5	)		2			-			-			-			(3	)
Other liabilities:
Credit default swaps (4)		(3	)		1			-			-			-			(2	)
GLB reserves embedded derivatives (5)		(552	)		450			-			-			-			(102	)
Total, net	$	2,209		$	719		$	(185	)	$	47		$	13		$	2,803



	For the Six Months Ended June 30, 2016
									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: (3)
Fixed maturity AFS securities:
Corporate bonds	$	1,993		$	-		$	64		$	146		$	222		$	2,425
ABS		45			-			(1	)		14			4			62
U.S. government bonds		-			-			-			10			-			10
Foreign government bonds		111			-			1			-			-			112
RMBS		1			-			-			15			-			16
CMBS		10			2			(1	)		(3	)		-			8
CLOs		551			-			2			78			(586	)		45
Hybrid and redeemable
preferred securities		94			-			(5	)		-			-			89
Equity AFS securities		164			-			2			4			-			170
Trading securities		73			2			1			(1	)		(10	)		65
Derivative investments		555			(258	)		171			(45	)		-			423
Other investments (4)		-			1			-			-			-			1
Other assets – reinsurance recoverable (5)		268			271			-			-			-			539
Future contract benefits – indexed annuity
and IUL contracts embedded
derivatives (5)		(1,100	)		(12	)		-			10			-			(1,102	)
VIEs’ liabilities – derivative instruments (4)		(4	)		4			-			-			-			-
Other liabilities:
Credit default swaps (4)		(9	)		(7	)		-			-			-			(16	)
GLB reserves embedded derivatives (5)		(953	)		(1,505	)		-			-			-			(2,458	)
Total, net	$	1,799		$	(1,502	)	$	234		$	228		$	(370	)	$	389



	For the Six Months Ended June 30, 2015
									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: (3)
Fixed maturity AFS securities:
Corporate bonds	$	1,953		$	3		$	(89	)	$	90		$	82		$	2,039
ABS		33			-			-			-			-			33
Foreign government bonds		109			-			5			-			-			114
RMBS		1			-			-			-			-			1
CMBS		15			2			4			(9	)		-			12
CLOs		368			-			3			102			(12	)		461
Hybrid and redeemable
preferred securities		55			(1	)		(1	)		-			43			96
Equity AFS securities		157			1			-			(16	)		(1	)		141
Trading securities		73			1			(2	)		-			-			72
Derivative investments		989			28			(76	)		(201	)		-			740
Other assets: (5)
GLB reserves embedded derivatives		-			254			-			-			-			254
Reinsurance recoverable		154			(52	)		-			-			-			102
Future contract benefits – indexed annuity
and IUL contracts embedded
derivatives (5)		(1,170	)		(47	)		-			62			-			(1,155	)
VIEs’ liabilities – derivative instruments (4)		(13	)		10			-			-			-			(3	)
Other liabilities:
Credit default swaps (4)		(3	)		1			-			-			-			(2	)
GLB reserves embedded derivatives (5)		(174	)		72			-			-			-			(102	)
Total, net	$	2,547		$	272		$	(156	)	$	28		$	112		$	2,803

⁽¹⁾

The changes in fair value of the interest rate swaps are offset by an adjustment to derivative investments (see Note 5).

⁽²⁾

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

⁽³⁾

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).

⁽⁴⁾

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).

⁽⁵⁾

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

The following provides the components of the items included in issuances, sales, maturities, settlements and calls, net, excluding any effect of amortization of DAC, VOBA, DSI and DFEL and changes in future contract benefits, (in millions) as reported above:



	For the Three Months Ended June 30, 2016
	Issuances			Sales			Maturities		Settlements				Calls		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	172		$	(8	)	$	-		$	(46	)	$	-	$	118
ABS		15			-			-			(1	)		-		14
U.S. government bonds		-			-			-			10			-		10
RMBS		15			-			-			-			-		15
CMBS		-			(1	)		-			(1	)		-		(2	)
CLOs		40			-			-			-			-		40
Derivative investments		45			(43	)		(31	)		-			-		(29	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(19	)		-			-			24			-		5
Total, net	$	268		$	(52	)	$	(31	)	$	(14	)	$	-	$	171



	For the Three Months Ended June 30, 2015
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	131		$	(19	)	$	(15	)	$	(25	)	$	(11	)	$	61
CMBS		-			-			-			(6	)		-			(6	)
CLOs		62			-			-			(5	)		-			57
Equity AFS securities		10			(2	)		-			-			-			8
Trading securities		1			-			-			-			-			1
Derivative investments		47			(49	)		(106	)		-			-			(108	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(16	)		-			50			-			-			34
Total, net	$	235		$	(70	)	$	(71	)	$	(36	)	$	(11	)	$	47



	For the Six Months Ended June 30, 2016
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	289		$	-		$	(3	)	$	(83	)	$	(57	)	$	146
ABS		15			-			-			(1	)		-			14
U.S. government bonds		-			-			-			10			-			10
RMBS		15			-			-			-			-			15
CMBS		-			(1	)		-			(2	)		-			(3	)
CLOs		80			-			-			(2	)		-			78
Equity AFS securities		4			-			-			-			-			4
Trading securities		-			-			-			(1	)		-			(1	)
Derivative investments		85			(85	)		(45	)		-			-			(45	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(45	)		-			-			55			-			10
Total, net	$	443		$	(86	)	$	(48	)	$	(24	)	$	(57	)	$	228



	For the Six Months Ended June 30, 2015
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	194		$	(20	)	$	(15	)	$	(51	)	$	(18	)	$	90
CMBS		-			-			-			(8	)		(1	)		(9	)
CLOs		109			-			-			(7	)		-			102
Equity AFS securities		10			(26	)		-			-			-			(16	)
Derivative investments		88			(193	)		(96	)		-			-			(201	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(30	)		-			-			92			-			62
Total, net	$	371		$	(239	)	$	(111	)	$	26		$	(19	)	$	28

The following summarizes changes in unrealized gains (losses) included in net income, excluding any effect of amortization of DAC, VOBA, DSI and DFEL and changes in future contract benefits, related to financial instruments carried at fair value classified within Level 3 that we still held (in millions):



	For the Three						For the Six
	Months Ended						Months Ended
	June 30,						June 30,
	2016			2015			2016			2015
Derivative investments	$	216		$	111		$	(177	)	$	16
Other investments		(1	)		-			1			-
Embedded derivatives:
Indexed annuity and IUL contracts		(1	)		(8	)		(24	)		(34	)
GLB reserves		(409	)		615			(1,233	)		454
VIEs’ liabilities – derivative instruments		-			2			4			10
Credit default swaps		(3	)		1			(7	)		1
Total, net (1)	$	(198	)	$	721		$	(1,436	)	$	447

⁽¹⁾

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

The following provides the components of the transfers into and out of Level 3 (in millions) as reported above:



	For the Three								For the Three
	Months Ended								Months Ended
	June 30, 2016								June 30, 2015
	Transfers		Transfers						Transfers		Transfers
	Into		Out of						Into		Out of
	Level 3		Level 3			Total			Level 3		Level 3			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	165	$	(83	)	$	82		$	79	$	(76	)	$	3
ABS		4		-			4			-		-			-
CLOs		-		(586	)		(586	)		4		(16	)		(12	)
Hybrid and redeemable preferred
securities		-		-			-			23		-			23
Equity AFS securities		-		-			-			-		(1	)		(1	)
Trading securities		1		(10	)		(9	)		-		-			-
Total, net	$	170	$	(679	)	$	(509	)	$	106	$	(93	)	$	13



	For the Six Months Ended June 30, 2016								For the Six Months Ended June 30, 2015
	Transfers		Transfers						Transfers		Transfers
	Into		Out of						Into		Out of
	Level 3		Level 3			Total			Level 3		Level 3			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	329	$	(107	)	$	222		$	159	$	(77	)	$	82
ABS		4		-			4			-		-			-
CLOs		-		(586	)		(586	)		4		(16	)		(12	)
Hybrid and redeemable preferred
securities		-		-			-			48		(5	)		43
Equity AFS securities		-		-			-			-		(1	)		(1	)
Trading securities		1		(11	)		(10	)		-		-			-
Total, net	$	334	$	(704	)	$	(370	)	$	211	$	(99	)	$	112

Transfers into and out of Level 3 are generally the result of observable market information on a security no longer being available or becoming available to our pricing vendors. For the six months ended June 30, 2016 and 2015, transfers in and out of Level 3 were attributable primarily to the securities’ observable market information no longer being available or becoming available. Transfers into and out of Levels 1 and 2 are generally the result of a change in the type of input used to measure the fair value of an asset or liability at the end of the reporting period. When quoted prices in active markets become available, transfers from Level 2 to Level 1 will result. When quoted prices in active markets become unavailable, but we are able to employ a valuation methodology using significant observable inputs, transfers from Level 1 to Level 2 will result. For the six months ended June 30, 2016, the transfers between Levels 1 and 2 of the fair value hierarchy were less than $1 million for our financial instruments carried at fair value. For the six months ended June 30, 2015, the transfers between Levels 1 and 2 of the fair value hierarchy were $172 million for our financial instruments carried at fair value, which was attributable to quoted market prices being available.

The following summarizes the fair value (in millions), valuation techniques and significant unobservable inputs of the Level 3 fair value measurements as of June 30, 2016:



	Fair			Valuation	Significant	Assumption or
	Value			Technique	Unobservable Inputs	Input Ranges
Assets
Investments:
Fixed maturity AFS and trading
securities:
Corporate bonds	$	1,723		Discounted cash flow	Liquidity/duration adjustment (1)	0.7	%		12.0	%
ABS		25		Discounted cash flow	Liquidity/duration adjustment (1)	4.1	%	-	4.1	%
U.S. government bonds		10		Discounted cash flow	Liquidity/duration adjustment (1)	1.4	%	-	1.4	%
Foreign government bonds		78		Discounted cash flow	Liquidity/duration adjustment (1)	2.0	%	-	4.2	%
Hybrid and redeemable
preferred securities		20		Discounted cash flow	Liquidity/duration adjustment (1)	2.3	%	-	2.3	%
Equity AFS securities		27		Discounted cash flow	Liquidity/duration adjustment (1)	4.3	%	-	5.5	%
Other assets – reinsurance
recoverable		539		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	%	-	120	%
					NPR (5)	0.05	%	-	0.53	%
					Mortality rate (6)				(8)
					Volatility (7)	1	%	-	29	%
Liabilities
Future contract benefits – indexed
annuity and IUL contracts
embedded derivatives	$	(1,102	)	Discounted cash flow	Lapse rate (2)	1	%	-	15	%
					Mortality rate (6)				(8)
Other liabilities – GLB reserves
embedded derivatives		(2,458	)	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	%	-	120	%
					NPR (5)	0.05	%	-	0.53	%
					Mortality rate (6)				(8)
					Volatility (7)	1	%	-	29	%

⁽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.

From the table above, we have excluded Level 3 fair value measurements obtained from independent, third-party pricing sources. We do not develop the significant inputs used to measure the fair value of these assets and liabilities, and the information regarding the significant inputs is not readily available to us. Independent broker-quoted fair values are non-binding quotes developed by market makers or broker-dealers obtained from third-party sources recognized as market participants. The fair value of a broker-quoted asset or liability is based solely on the receipt of an updated quote from a single market maker or a broker-dealer recognized as a market participant as we do not adjust broker quotes when used as the fair value measurement for an asset or liability. Significant increases or decreases in any of the quotes received from a third-party broker-dealer may result in a significantly higher or lower fair value measurement.

Changes in any of the significant inputs presented in the table above may result in a significant change in the fair value measurement of the asset or liability as follows:

Investments – An increase in the liquidity/duration adjustment input would result in a decrease in the fair value measurement.

Indexed annuity and IUL contracts embedded derivatives – An increase in the lapse rate or mortality rate inputs would result in a decrease in the fair value measurement.

GLB reserves embedded derivatives – Assuming our GLB reserves embedded derivatives are in a liability position: an increase in our lapse rate, NPR or mortality rate inputs would result in a decrease in the fair value measurement; and an increase in the utilization of guarantee withdrawal or volatility inputs would result in an increase in the fair value measurement.

For each category discussed above, the unobservable inputs are not inter-related; therefore, a directional change in one input will not affect the other inputs.

As part of our ongoing valuation process, we assess the reasonableness of our valuation techniques or models and make adjustments as necessary. For more information, see “Summary of Significant Accounting Policies” in Note 1 of our 2015 Form 10-K.