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FAIR VALUE DISCLOSURES (Tables)
6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis
Fair Value Measurements at June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Total
 
(In Millions)
Assets:
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Public Corporate
$
—

 
$
13,157

 
$
73

 
$
13,230

Private Corporate
—

 
6,292

 
995

 
7,287

U.S. Treasury, government and agency
—

 
10,849

 
—

 
10,849

States and political subdivisions
—

 
442

 
42

 
484

Foreign governments
—

 
367

 
—

 
367

Commercial mortgage-backed
—

 
13

 
290

 
303

Residential mortgage-backed(1)
—

 
281

 
—

 
281

Asset-backed(2)
—

 
28

 
12

 
40

Redeemable preferred stock
214

 
322

 
1

 
537

Subtotal
214

 
31,751

 
1,413

 
33,378

Other equity investments
3

 
—

 
5

 
8

Trading securities
509

 
10,460

 
—

 
10,969

Other invested assets:
 
 
 
 
 
 
 
Short-term investments
—

 
1,261

 
—

 
1,261

Assets of consolidated VIEs/VOEs
539

 
119

 
3

 
661

Swaps
—

 
111

 
—

 
111

Credit Default Swaps
—

 
20

 
—

 
20

Options
—

 
1,249

 
—

 
1,249

Subtotal
539

 
2,760

 
3

 
3,302

Cash equivalents
2,175

 
—

 
—

 
2,175

Segregated securities
—

 
1,078

 
—

 
1,078

GMIB reinsurance contract asset
—

 
—

 
11,290

 
11,290

Separate Accounts’ assets
113,282

 
3,010

 
333

 
116,625

Total Assets
$
116,722

 
$
49,059

 
$
13,044

 
$
178,825

Liabilities
 
 
 
 
 
 
 
GWBL and Other Features’ liability
$
—

 
$
—

 
$
121

 
$
121

SCS, SIO, MSO and IUL indexed features’ liability
—

 
1,169

 
—

 
1,169

Liabilities of consolidated VIEs/VOEs
407

 
3

 
—

 
410

Contingent payment arrangements
—

 
—

 
17

 
17

Total Liabilities
$
407

 
$
1,172

 
$
138

 
$
1,717


(1)
Includes publicly-traded agency pass-through securities and collateralized obligations.
(2)
Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.
Fair Value Measurements at December 31, 2016

 
Level 1
 
Level 2
 
Level 3
 
Total
 
(In Millions)
Assets:
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Public Corporate
$
—

 
$
12,984

 
$
28

 
$
13,012

Private Corporate
—

 
6,223

 
817

 
7,040

U.S. Treasury, government and agency
—

 
10,336

 
—

 
10,336

States and political subdivisions
—

 
451

 
42

 
493

Foreign governments
—

 
390

 
—

 
390

Commercial mortgage-backed
—

 
22

 
349

 
371

Residential mortgage-backed(1)
—

 
314

 
—

 
314

Asset-backed(2)
—

 
36

 
24

 
60

Redeemable preferred stock
218

 
335

 
1

 
554

Subtotal
218

 
31,091

 
1,261

 
32,570

Other equity investments
3

 
—

 
5

 
8

Trading securities
478

 
8,656

 
—

 
9,134

Other invested assets:
 
 
 
 
 
 
 
Short-term investments
—

 
574

 
—

 
574

Assets of consolidated VIEs
342

 
205

 
6

 
553

Swaps
—

 
(925
)
 
—

 
(925
)
Credit Default Swaps
—

 
5

 
—

 
5

Options
—

 
960

 
—

 
960

Floors
—

 
11

 
—

 
11

Subtotal
342

 
830

 
6

 
1,178

Cash equivalents
1,529

 
—

 
—

 
1,529

Segregated securities
—

 
946

 
—

 
946

GMIB reinsurance contract asset
—

 
—

 
10,309

 
10,309

Separate Accounts’ assets
108,085

 
2,818

 
313

 
111,216

Total Assets
$
110,655

 
$
44,341

 
$
11,894

 
$
166,890

Liabilities:
 
 
 
 
 
 
 
GWBL and Other Features’ liability
$
—

 
$
—

 
$
164

 
$
164

SCS, SIO, MSO and IUL indexed features’ liability
—

 
887

 
—

 
887

Liabilities of consolidated VIEs
248

 
2

 
—

 
250

Contingent payment arrangements
—

 
—

 
18

 
18

Total Liabilities
$
248

 
$
889

 
$
182

 
$
1,319


(1)
Includes publicly-traded agency pass-through securities and collateralized obligations.
(2)
Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The table below presents a reconciliation for all Level 3 assets and liabilities for the second quarter and first six months of 2017 and 2016, respectively:

Level 3 Instruments
Fair Value Measurements
 
Corporate
 
State and
Political
Sub-
divisions
 
Foreign
Govts
 
Commercial
Mortgage-
backed
 
 
Asset-
backed
 
(In Millions)
Balance, April 1, 2017
$
1,014

 
$
42

 
$
—

 
$
324

 
 
$
31

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
3

 
—

 
—

 
1

 
 
—

Investment gains (losses), net
—

 
—

 
—

 
(9
)
 
 
15

Subtotal
3

 
—

 
—

 
(8
)
 
 
15

Other comprehensive income (loss)
(51
)
 
—

 
—

 
7

 
 
(11
)
Purchases
169

 
—

 
—

 
—

 
 
—

Sales
(39
)
 
—

 
—

 
(33
)
 
 
(18
)
Settlements
—

 
—

 
—

 
—

 
 
—

Transfers into Level 3(1)
6

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(34
)
 
—

 
—

 
—

 
 
(5
)
Balance, June 30, 2017
$
1,068

 
$
42

 
$
—

 
$
290

 
 
$
12

Balance, April 1, 2016
$
498

 
$
45

 
$
—

 
$
448

 
 
$
37

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
—

 
—

 
—

 
—

 
 
—

Investment gains (losses), net
1

 
—

 
—

 
(18
)
 
 
—

Subtotal
1

 
—

 
—

 
(18
)
 
 
—

Other comprehensive income (loss)
(1
)
 
1

 
—

 
1

 
 
2

Purchases
97

 
—

 
—

 
—

 
 
—

Sales
(58
)
 
(1
)
 
—

 
(27
)
 
 
(4
)
Transfers into Level 3(1)
3

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(45
)
 
—

 
—

 
(2
)
 
 
(9
)
Balance, June 30, 2016
$
495

 
$
45

 
$
—

 
$
402

 
 
$
26

 
Corporate
 
State and
Political
Sub-
divisions
 
Foreign
Govts
 
Commercial
Mortgage-
backed
 
 
Asset-
backed
 
(In Millions)
Balance, January 1, 2017
$
845

 
$
42

 
$
—

 
$
349

 
 
$
24

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
4

 
—

 
—

 
1

 
 
—

Investment gains (losses), net
—

 
—

 
—

 
(20
)
 
 
15

Subtotal
4

 
—

 
—

 
(19
)
 
 
15

Other comprehensive income (loss)
(6
)
 
—

 
—

 
19

 
 
(7
)
Purchases
322

 
—

 
—

 
—

 
 
—

Sales
(105
)
 
—

 
—

 
(59
)
 
 
(19
)
Settlements
—

 
—

 
—

 
—

 
 
—

Transfers into Level 3(1)
13

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(5
)
 
—

 
—

 
—

 
 
(1
)
Balance, June 30, 2017
$
1,068

 
$
42

 
$
—

 
$
290

 
 
$
12

Balance, January 1, 2016
$
420

 
$
45

 
$
1

 
$
503

 
 
$
40

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
(1
)
 
—

 
—

 
—

 
 
—

Investment gains (losses), net
—

 
—

 
—

 
(24
)
 
 
—

Subtotal
(1
)
 
—

 
—

 
(24
)
 
 
—

Other comprehensive income (loss)
8

 
1

 
—

 
(11
)
 
 
2

Purchases
150

 
—

 
—

 
—

 
 
—

Sales
(72
)
 
(1
)
 
—

 
(60
)
 
 
(7
)
Transfers into Level 3(1)
17

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(27
)
 
—

 
(1
)
 
(6
)
 
 
(9
)
Balance, June 30, 2016
$
495

 
$
45

 
$
—

 
$
402

 
 
$
26

 
Redeemable
Preferred
Stock
 
Other
Equity
Investments(2)
 
GMIB
Reinsurance
Asset
 
Separate
Accounts
Assets
 
GWBL
and Other
Features’
Liability
 
Contingent
Payment
Arrangement
 
(In Millions)
 
 
Balance, April 1, 2017
$
1

 
$
15

 
$
9,795

 
$
325

 
$
106

 
$
17

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
—

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
—

 
—

 
8

 
—

 
—

Increase (decrease) in the fair value of the reinsurance contract asset
—

 
—

 
1,446

 
—

 
—

 
—

Policyholders’ benefits
—

 
—

 
—

 
—

 
(48
)
 
—

Subtotal
—

 
—

 
1,446

 
8

 
(48
)
 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
70

 
2

 
63

 
—

Sales(4) 
—

 
—

 
(21
)
 
(1
)
 
—

 
—

Settlements(5)
—

 
—

 
—

 
(1
)
 
—

 
—

Activity related to consolidated VIEs
—

 
(7
)
 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Balance, June 30, 2017
$
1

 
$
8

 
$
11,290

 
$
333

 
$
121

 
$
17

Balance, April 1, 2016
$
—

 
$
25

 
$
12,207

 
$
323

 
$
265

 
$
31

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
—

 
—

 
—

 
—

 
—

 
1

Investment gains (losses), net
—

 
(1
)
 
—

 
5

 
—

 
—

Increase (decrease) in the fair value of the reinsurance contract asset
—

 
—

 
1,065

 
—

 
—

 
—

Policyholders’ benefits
—

 
—

 
—

 
—

 
10

 
—

Subtotal
—

 
(1
)
 
1,065

 
5

 
10

 
1

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
55

 
10

 
55

 
—

Sales(4) 
—

 
—

 
(16
)
 
(1
)
 
—

 
—

Settlements(5)
—

 
—

 
—

 
(1
)
 
—

 
(1
)
Transfers into Level 3(1)
—

 
—

 
—

 
1

 
—

 
—

Transfers out of Level 3(1)
—

 
(6
)
 
—

 
(30
)
 
—

 
—

Balance, June 30, 2016
$
—

 
$
18

 
$
13,311

 
$
307

 
$
330

 
$
31

 
Redeemable
Preferred
Stock
 
Other
Equity
Investments
(2)
 
GMIB
Reinsurance
Asset
 
Separate
Accounts
Assets
 
GWBL
and
Other
Features’
Liability
 
Contingent
Payment
Arrangement
 
(In Millions)
 
 
Balance, January 1, 2017
$
1

 
$
11

 
$
10,309

 
$
313

 
$
164

 
$
18

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
—

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
—

 
—

 
18

 
—

 
—

Increase (decrease) in the fair value of the reinsurance contracts
—

 
—

 
906

 
—

 
—

 
—

Policyholders’ benefits
—

 
—

 
—

 
—

 
(166
)
 
—

Subtotal
—

 
—

 
906

 
18

 
(166
)
 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
4

 
110

 
6

 
123

 
—

Sales(4) 
—

 
(1
)
 
(35
)
 
(2
)
 
—

 
—

Settlements(5)
—

 
—

 
—

 
(2
)
 
—

 
(1
)
Activity related to consolidated VIEs
—

 
(7
)
 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
1

 
—

 
—

 
—

 
—

Transfers out of Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Balance, June 30, 2017
$
1

 
$
8

 
$
11,290

 
$
333

 
$
121

 
$
17

Balance, January 1, 2016
$
—

 
$
17

 
$
10,570

 
$
313

 
$
184

 
$
31

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
 
Earnings (loss) as:
 
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
—

 
—

 
—

 
—

 
—

 
1

Investment gains (losses), net
—

 
(1
)
 
—

 
13

 
—

 
—

Increase (decrease) in the fair value of the reinsurance contracts
—

 
—

 
2,662

 
—

 
—

 
—

Policyholders’ benefits
—

 
—

 
—

 
—

 
40

 
—

Subtotal
—

 
(1
)
 
2,662

 
13

 
40

 
1

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
110

 
10

 
106

 
—

Sales(4) 
—

 
—

 
(31
)
 
(1
)
 
—

 
—

Settlements(5)
—

 
—

 
—

 
(2
)
 
—

 
(1
)
Transfers into Level 3(1)
—

 
2

 
—

 
1

 
—

 
—

Transfers out of Level 3(1)
—

 
—

 
—

 
(27
)
 
—

 
—

Balance, June 30, 2016
$
—

 
$
18

 
$
13,311

 
$
307

 
$
330

 
$
31

 

(1)
Transfers into/out of Level 3 classification are reflected at beginning-of-period fair values.
(2)
Includes Level 3 amounts for Trading securities and consolidated VIE investments.
(3)
For the GMIB reinsurance contract asset and GWBL and other features reserves, represents premiums.
(4)
For the GMIB reinsurance contract asset, represents recoveries from reinsurers and for GWBL and other features reserves represents benefits paid.
(5)
For contingent payment arrangements, it represents change in estimates.
Fair Value Assets Unrealized Gains Losses By Category For Level 3 Assets And Liabilities Still Held
The table below details changes in unrealized gains (losses) for the second quarter and first six months of 2017 and 2016 by category for Level 3 assets and liabilities still held at June 30, 2017 and 2016, respectively:



 
Earnings (Loss)
 
 
 
 
 
Net
Investment
Income
(Loss)
 
Investment
Gains
(Losses),
Net
 
Increase
(Decrease) in
Fair Value of
Reinsurance
Contracts
 
OCI        
 
Policy-
holders’ Benefits    
 
(In Millions)
Level 3 Instruments
 
 
 
 
 
 
 
 
 
Second Quarter 2017
 
 
 
 
 
 
 
 
 
Held at June 30, 2017:
 
 
 
 
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
Corporate
$
—

 
$
—

 
$
—

 
$
(45
)
 
$
—

State and political subdivisions
—

 
—

 
—

 
—

 
—

Commercial mortgage-backed
—

 
—

 
—

 
5

 
—

Asset-backed
—

 
—

 
—

 
(11
)
 
—

Other fixed maturities, available-for-sale
—

 
—

 
—

 
—

 
—

Subtotal
$
—

 
$
—

 
$
—

 
$
(51
)
 
$
—

GMIB reinsurance contracts
—

 
—

 
1,495

 
—

 
—

Separate Accounts’ assets(1)
—

 
8

 
—

 
—

 


GWBL and other features’ liability
—

 
—

 
—

 
—

 
15

Total
$
—

 
$
8

 
$
1,495

 
$
(51
)
 
$
15

Level 3 Instruments
 
 
 
 
 
 
 
 
 
Second Quarter 2016
 
 
 
 
 
 
 
 
 
Held at June 30, 2016:
 
 
 
 
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
Corporate
$
—

 
$
—

 
$
—

 
$
(2
)
 
$
—

State and political subdivisions
—

 
—

 
—

 
1

 
—

Commercial mortgage-backed
—

 
—

 
—

 
(4
)
 
—

Asset-backed
—

 
—

 
—

 
2

 
—

Other fixed maturities, available-for-sale
—

 
—

 
—

 
—

 
—

Subtotal
$
—

 
$
—

 
$
—

 
$
(3
)
 
$
—

Other equity investments
—

 
—

 
—

 
—

 
—

GMIB reinsurance contracts
—

 
—

 
1,104

 
—

 
—

Separate Accounts’ assets(1)
—

 
6

 
—

 
—

 
—

GWBL and other features’ liability
—

 
—

 
—

 
—

 
65

Total
$
—

 
$
6

 
$
1,104

 
$
(3
)
 
$
65




 
Earnings (Loss)
 
 
 
 
 
Net
Investment
Income
(Loss)
 
Investment
Gains
(Losses),
Net
 
Increase
(Decrease) in
Fair Value of
Reinsurance
Contracts
 
OCI        
 
Policy-
holders’ Benefits    
 
(In Millions)
Level 3 Instruments
 
 
 
 
 
 
 
 
 
First Six Months of 2017
 
 
 
 
 
 
 
 
 
Held at June 30, 2017:
 
 
 
 
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
Corporate
$
—

 
$
—

 
$
—

 
$
(4
)
 
$
—

State and political subdivisions
—

 
—

 
—

 
—

 
—

Commercial mortgage-backed
—

 
—

 
—

 
17

 
—

Asset-backed
—

 
—

 
—

 
(7
)
 
—

Other fixed maturities, available-for-sale
—

 
—

 
—

 
—

 
—

Subtotal
$
—

 
$
—

 
$
—

 
$
6

 
$
—

GMIB reinsurance contracts
—

 
—

 
981

 
—

 
—

Separate Accounts’ assets(1)
—

 
18

 
—

 
—

 
—

GWBL and other features’ liability
—

 
—

 
—

 
—

 
(43
)
Total
$
—

 
$
18

 
$
981

 
$
6

 
$
(43
)
Level 3 Instruments
 
 
 
 
 
 
 
 
 
First Six Months of 2016
 
 
 
 
 
 
 
 
 
Held at June 30, 2016:
 
 
 
 
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
 
Corporate
$
—

 
$
—

 
$
—

 
$
9

 
$
—

State and political subdivisions
—

 
—

 
—

 
1

 
—

Commercial mortgage-backed
—

 
—

 
—

 
(16
)
 
—

Asset-backed
—

 
—

 
—

 
2

 
—

Other fixed maturities, available-for-sale
—

 
—

 
—

 
—

 
—

Subtotal
$
—

 
$
—

 
$
—

 
$
(4
)
 
$
—

Other equity investments
—

 
—

 
—

 
—

 
—

GMIB reinsurance contracts
—

 
—

 
2,733

 
—

 
—

Separate Accounts’ assets(1)
—

 
13

 
—

 
—

 
—

GWBL and other features’ liability
—

 
—

 
—

 
—

 
146

Total
$
—

 
$
13

 
$
2,733

 
$
(4
)
 
$
146



(1)
There is an investment expense that offsets this investment gain (loss).
Fair Value Inputs Quantitative Information
The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities as of June 30, 2017 and December 31, 2016, respectively.

Quantitative Information about Level 3 Fair Value Measurements
June 30, 2017

 
Fair
Value
 
Valuation
Technique
 
Significant
Unobservable Input
 
Range
 
(In Millions)
Assets:
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Corporate
$
46

 
Matrix pricing model
 
Spread over the industry-specific benchmark yield curve
 
25 bps - 565 bps
 
774

 
Market comparable 
companies
 
EBITDA multiples
Discount rate
Cash flow multiples
 
5.1x- 27.3x
7.2%-17.8%
9.0x- 17.7x
Separate Accounts’ assets
314

 
Third party appraisal
 
Capitalization rate
 
4.7%
 
 
 
 
 
Exit capitalization rate
 
5.7%
 
 
 
 
 
Discount rate
 
6.6%
 
1

 
Discounted cash flow
 
Spread over U.S. Treasury curve
 
243 bps
 
 
 
 
 
Discount factor
 
4.0%
GMIB reinsurance contract asset
11,290

 
Discounted cash flow
 
Lapse Rates
 
1.0%- 6.3%
 
 
 
 
 
Withdrawal Rates
 
0.0% - 8.0%
 
 
 
 
 
GMIB Utilization Rates
 
0.0% - 16.0%
 
 
 
 
 
Non-performance risk
 
4 bps - 9 bps
 
 
 
 
 
Volatility rates - Equity
 
10.0% - 30.0%
Liabilities:
 
 
 
 
 
 
 
GIB, GWBL and other features liability
121

 
Discounted Cash flow
 
Lapse Rates
 
0.5% - 11.0%
 
 
 
 
 
Withdrawal Rates
 
0.0% - 8.0%
 
 
 
 
 
Volatility rates - Equity
 
10.0% - 30.0%
Quantitative Information about Level 3 Fair Value Measurements
December 31, 2016

 
Fair
Value
 
Valuation
Technique
 
Significant
Unobservable Input
 
Range
 
(In Millions)
Assets:
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
Corporate
$
55

 
Matrix pricing model
 
Spread over the industry-specific benchmark yield curve
 
0 bps - 565 bps
 
636

 
Market comparable companies
 
EBITDA multiples
Discount Rate
Cash flow Multiples
 
4.3x-25.6x
7.0% - 17.8%
14.0x - 16.5x
Asset-backed
2

 
Matrix pricing model
 
Spread over U.S. Treasury curve
 
25 bps - 687 bps
Separate Accounts’ assets
295

 
Third party appraisal
 
Capitalization rate
 
4.8%
 
 
 
 
 
Exit capitalization rate
 
5.7%
 
 
 
 
 
Discount rate
 
6.6%
 
3

 
Discounted cash flow
 
Spread over U.S. Treasury curve
 
273 bps - 512 bps
 
 
 
 
 
Discount factor
 
1.1% - 7.0%
GMIB reinsurance contract asset
10,309

 
Discounted Cash flow
 
Lapse Rates
 
1.5% - 5.7%
 
 
 
 
 
Withdrawal Rates
 
0.0% - 8.0%
 
 
 
 
 
GMIB Utilization Rates
 
0.0% - 16.0%
 
 
 
 
 
Non-performance risk
 
5 bps - 17 bps
 
 
 
 
 
Volatility rates - Equity
 
11.0%- 38.0%
Liabilities:
 
 
 
 
 
 
 
GIB, GWBL and other features liability
164

 
Discounted Cash flow
 
Lapse Rates
 
1.0% - 11.0%
 
 
 
 
 
Withdrawal Rates
 
0.0% - 8.0%
 
 
 
 
 
Volatility rates - Equity
 
11.0% -38.0%
Fair Value Disclosure Financial Instruments Not Carried At Fair Value
The carrying values and fair values at June 30, 2017 and December 31, 2016 for financial instruments not otherwise disclosed in Note 3 are presented in the table below. Certain financial instruments are exempt from the requirements for fair value disclosure, such as insurance liabilities other than financial guarantees and investment contracts, limited partnerships accounted for under the equity method and pension and other postretirement obligations.

 
Carrying Value
 
Fair Value
 
 
Level 1
 
Level 2
 
Level 3
 
Total
 
(In Millions)
June 30, 2017:
 
 
 
 
 
 
 
 
Mortgage loans on real estate
$
10,403

 
$
—

 
$
—

 
$
10,493

 
$
10,493

Loans to affiliates
703

 
—

 
774

 
—

 
774

Policyholders’ liabilities: Investment contracts
2,146

 
—

 
—

 
2,260

 
2,260

Funding Agreements
2,637

 
—

 
2,624

 
—

 
2,624

Policy loans
3,322

 
—

 
—

 
4,224

 
4,224

Short-term debt
512

 
—

 
512

 
—

 
512

Separate Account Liabilities
6,846

 
—

 
—

 
6,846

 
6,846

December 31, 2016:
 
 
 
 
 
 
 
 
 
Mortgage loans on real estate
$
9,757

 
$
—

 
$
—

 
$
9,608

 
$
9,608

Loans to affiliates
703

 
—

 
775

 
—

 
775

Policyholders’ liabilities: Investment contracts
2,226

 
—

 
—

 
2,337

 
2,337

Funding Agreements
2,255

 
—

 
2,202

 
—

 
2,202

Policy loans
3,361

 
—

 
—

 
4,257

 
4,257

Short-term debt
513

 
—

 
513

 
—

 
513

Separate Account Liabilities
6,194

 
—

 
—

 
6,194

 
6,194