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

 
$
13,052

 
$
87

 
$
13,139

Private Corporate
—

 
6,231

 
1,059

 
7,290

U.S. Treasury, government and agency
—

 
10,936

 
—

 
10,936

States and political subdivisions
—

 
440

 
41

 
481

Foreign governments
—

 
393

 
—

 
393

Commercial mortgage-backed
—

 
14

 
248

 
262

Residential mortgage-backed(1)
—

 
265

 
—

 
265

Asset-backed(2)
—

 
22

 
8

 
30

Redeemable preferred stock
180

 
323

 
1

 
504

Subtotal
180

 
31,676

 
1,444

 
33,300

Other equity investments
4

 
—

 
1

 
5

Trading securities
481

 
11,572

 
—

 
12,053

Other invested assets:
 
 
 
 
 
 
 
Short-term investments
—

 
770

 
—

 
770

Assets of consolidated VIEs/VOEs
670

 
130

 
2

 
802

Swaps
—

 
(125
)
 
—

 
(125
)
Credit Default Swaps
—

 
30

 
—

 
30

Options
—

 
1,517

 
—

 
1,517

Subtotal
670

 
2,322

 
2

 
2,994

Cash equivalents
3,271

 
—

 
—

 
3,271

Segregated securities
—

 
789

 
—

 
789

GMIB reinsurance contract asset
—

 
—

 
10,933

 
10,933

Separate Accounts’ assets
115,810

 
2,918

 
337

 
119,065

Total Assets
$
120,416

 
$
49,277

 
$
12,717

 
$
182,410

Liabilities
 
 
 
 
 
 
 
GMxB derivative features’ liability
$
—

 
$
—

 
$
4,375

 
$
4,375

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

 
1,437

 
—

 
1,437

Liabilities of consolidated VIEs/VOEs
584

 
3

 
—

 
587

Contingent payment arrangements
—

 
—

 
12

 
12

Total Liabilities
$
584

 
$
1,440

 
$
4,387

 
$
6,411


(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:
 
 
 
 
 
 
 
GMxB derivative features’ liability
$
—

 
$
—

 
$
5,289

 
$
5,289

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

 
875

 
—

 
875

Liabilities of consolidated VIEs/VOEs
248

 
2

 
—

 
250

Foreign currency contracts
—

 
—

 
—

 
—

Contingent payment arrangements
—

 
—

 
18

 
18

Total Liabilities
$
248

 
$
877

 
$
5,307

 
$
6,432


(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 third quarter and first nine months of 2017 and 2016:

Level 3 Instruments
Fair Value Measurements
 
Corporate
 
State and
Political
Sub-
divisions
 
Foreign
Govts
 
Commercial
Mortgage-
backed
 
 
Asset-
backed
 
(in millions)
Balance, July 1, 2017
$
1,068

 
$
42

 
$
—

 
$
290

 
 
$
12

Total gains (losses), realized and unrealized, included in:
 
 
 
 
 
 
 
 
 
 
Income (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
2

 
—

 
—

 
—

 
 
—

Investment gains (losses), net
—

 
—

 
—

 
(9
)
 
 
—

Subtotal
2

 
—

 
—

 
(9
)
 
 
—

Other comprehensive income (loss)
6

 
—

 
—

 
8

 
 
(3
)
Purchases
196

 
—

 
—

 
—

 
 
—

Sales
(119
)
 
(1
)
 
—

 
(40
)
 
 
(1
)
Settlements
—

 
—

 
—

 
—

 
 
—

Transfers into Level 3(1)
—

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(7
)
 
—

 
—

 
(1
)
 
 
—

Balance, September 30, 2017
$
1,146

 
$
41

 
$
—

 
$
248

 
 
$
8

Balance, July 1, 2016
$
495

 
$
45

 
$
—

 
$
402

 
 
$
26

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

 
—

 
—

 
1

 
 
—

Investment gains (losses), net
1

 
—

 
—

 
(12
)
 
 
—

Subtotal
1

 
—

 
—

 
(11
)
 
 
—

Other comprehensive income (loss)
(2
)
 
—

 
—

 
10

 
 
(1
)
Purchases
256

 
—

 
—

 
—

 
 
—

Sales
(21
)
 
(1
)
 
—

 
(21
)
 
 
—

Transfers into Level 3(1)
11

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(1
)
 
—

 
—

 
(6
)
 
 
—

Balance, September 30, 2016
$
739

 
$
44

 
$
—

 
$
374

 
 
$
25

 
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:
 
 
 
 
 
 
 
 
 
 
Income (loss) as:
 
 
 
 
 
 
 
 
 
 
Net investment income (loss)
6

 
—

 
—

 
1

 
 
—

Investment gains (losses), net
—

 
—

 
—

 
(29
)
 
 
15

Subtotal
6

 
—

 
—

 
(28
)
 
 
15

Other comprehensive income (loss)
—

 
—

 
—

 
27

 
 
(10
)
Purchases
518

 
—

 
—

 
—

 
 
—

Sales
(224
)
 
(1
)
 
—

 
(99
)
 
 
(20
)
Settlements
—

 
—

 
—

 
—

 
 
—

Transfers into Level 3(1)
6

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(5
)
 
—

 
—

 
(1
)
 
 
(1
)
Balance, September 30, 2017
$
1,146

 
$
41

 
$
—

 
$
248

 
 
$
8

Balance, January 1, 2016
$
420

 
$
45

 
$
1

 
$
503

 
 
$
40

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

 
—

 
1

 
 
—

Investment gains (losses), net
1

 
—

 
—

 
(36
)
 
 
—

Subtotal
—

 
—

 
—

 
(35
)
 
 
—

Other comprehensive income (loss)
8

 
—

 
—

 
(1
)
 
 
1

Purchases
399

 
—

 
—

 
—

 
 
—

Sales
(89
)
 
(1
)
 
—

 
(81
)
 
 
(7
)
Transfers into Level 3(1)
29

 
—

 
—

 
—

 
 
—

Transfers out of Level 3(1)
(28
)
 
—

 
(1
)
 
(12
)
 
 
(9
)
Balance, September 30, 2016
$
739

 
$
44

 
$
—

 
$
374

 
 
$
25

 
Redeemable
Preferred
Stock
 
Other
Equity
Investments(2)
 
GMIB
Reinsurance
Asset
 
Separate
Accounts
Assets
 
GMxB derivative features liability
 
Contingent
Payment
Arrangement
 
(in millions)
 
 
Balance, July 1, 2017
$
1

 
$
8

 
$
11,290

 
$
333

 
$
(4,606
)
 
$
17

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

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
(4
)
 
—

 
4

 
—

 
—

Net derivative gains (losses)
—

 
—

 
(368
)
 
—

 
208

 
—

Subtotal
—

 
(4
)
 
(368
)
 
4

 
208

 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
55

 
1

 
23

 
—

Sales(4) 
—

 
(1
)
 
(44
)
 
—

 
—

 
—

Settlements(5)
—

 
—

 
—

 
(1
)
 
—

 
(5
)
Activity related to consolidated VIEs
—

 
—

 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Balance, September 30, 2017
$
1

 
$
3

 
$
10,933

 
$
337

 
$
(4,375
)
 
$
12

Balance, July 1, 2016
$
—

 
$
18

 
$
13,311

 
$
307

 
$
(7,286
)
 
$
31

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

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
—

 
—

 
7

 
—

 
—

Net derivative gains (losses)
—

 
—

 
(79
)
 
—

 
187

 
—

Subtotal
—

 
—

 
(79
)
 
7

 
187

 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
57

 
3

 
1

 
11

Sales(4) 
—

 
—

 
(176
)
 
—

 
—

 
—

Settlements(5)
—

 
—

 
—

 
(1
)
 
—

 
(24
)
Activity related to consolidated VIEs
—

 
15

 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3(1)
—

 
(24
)
 
—

 
(1
)
 
—

 
—

Balance, September 30, 2016
$
—

 
$
9

 
$
13,113

 
$
315

 
$
(7,098
)
 
$
18

 
Redeemable
Preferred
Stock
 
Other
Equity
Investments(2)
 
GMIB
Reinsurance
Asset
 
Separate
Accounts
Assets
 
GMxB derivative features liability
 
Contingent
Payment
Arrangement
 
(in millions)
 
 
Balance, January 1, 2017
$
1

 
$
11

 
$
10,309

 
$
313

 
$
(5,289
)
 
$
18

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

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
(4
)
 
—

 
22

 
—

 
—

Net derivative gains (losses)
—

 
—

 
537

 
—

 
1,151

 
—

Subtotal
—

 
(4
)
 
537

 
22

 
1,151

 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
5

 
166

 
7

 
(237
)
 
—

Sales(4) 
—

 
(3
)
 
(79
)
 
(2
)
 
—

 
—

Settlements(5)
—

 
—

 
—

 
(4
)
 
—

 
(6
)
Activity related to consolidated VIEs
—

 
(7
)
 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
1

 
—

 
1

 
—

 
—

Transfers out of Level 3(1)
—

 
—

 
—

 
—

 
—

 
—

Balance, September 30, 2017
$
1

 
$
3

 
$
10,933

 
$
337

 
$
(4,375
)
 
$
12

Balance, January 1, 2016
$
—

 
$
17

 
$
10,578

 
$
313

 
$
(5,150
)
 
$
31

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

 
—

 
—

 
—

 
—

 
—

Investment gains (losses), net
—

 
(1
)
 
—

 
19

 
—

 
—

Net derivative gains (losses)
—

 
—

 
2,576

 
—

 
(1,712
)
 
—

Subtotal
—

 
(1
)
 
2,576

 
19

 
(1,712
)
 
—

Other comprehensive income (loss)
—

 
—

 
—

 
—

 
—

 
—

Purchases(3)
—

 
—

 
166

 
12

 
(236
)
 
11

Sales(4) 
—

 
—

 
(207
)
 
—

 
—

 
—

Settlements(5)
—

 
—

 
—

 
(6
)
 
—

 
(24
)
Activity related to consolidated VIEs
—

 
17

 
—

 
—

 
—

 
—

Transfers into Level 3(1)
—

 
—

 
—

 
1

 
—

 
—

Transfers out of Level 3(1)
—

 
(24
)
 
—

 
(24
)
 
—

 
—

Balance, September 30, 2016
$
—

 
$
9

 
$
13,113

 
$
315

 
$
(7,098
)
 
$
18

 

(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 third quarter and first nine months of 2017 and 2016 by category for Level 3 assets and liabilities still held at September 30, 2017 and 2016, respectively:

 
Income (Loss)
 
 
Investment
Gains
(Losses),
Net
 
Net Derivative Gains (losses)
 
OCI        
 
(in millions)
Level 3 Instruments
 
 
 
 
 
Third Quarter 2017
 
 
 
 
 
Held at September 30, 2017:
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
Corporate
$
—

 
$
—

 
$
4

Commercial mortgage-backed
—

 
—

 
9

Asset-backed
—

 
—

 
(2
)
Subtotal
$
—

 
$
—

 
$
11

GMIB reinsurance contracts
—

 
(368
)
 
—

Separate Accounts’ assets(1)
4

 
—

 
—

GMxB derivative features' liability
—

 
208

 
—

Total
$
4

 
$
(160
)
 
$
11

Level 3 Instruments
 
 
 
 
 
Third Quarter 2016
 
 
 
 
 
Held at September 30, 2016:
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
Commercial mortgage-backed
—

 
—

 
10

Asset-backed
—

 
—

 
(1
)
Subtotal
$
—

 
$
—

 
$
9

GMIB reinsurance contracts
—

 
(79
)
 
—

Separate Accounts’ assets(1)
6

 
—

 
—

GMxB derivative features' liability
—

 
187

 
—

Total
$
6

 
$
108

 
$
9




 
Income (Loss)
 
 
 
Net
Investment
Income
(Loss)
 
Investment
Gains
(Losses),
Net
 
OCI        
 
 
 
Level 3 Instruments
 
 
 
 
 
 
First Nine Months of 2017
 
 
 
 
 
 
Held at September 30, 2017:
 
 
 
 
 
 
Change in unrealized gains (losses):
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
Commercial mortgage-backed
—

 
—

 
26

 
Asset-backed
—

 
—

 
(9
)
 
Subtotal
$
—

 
$
—

 
$
17

 
GMIB reinsurance contracts
—

 
537

 
—

 
Separate Accounts’ assets(1)
22

 
—

 
—

 
GMxB derivative features' liability
—

 
1,151

 
—

 
Total
$
22

 
$
1,688

 
$
17

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

 
$
—

 
$
9

 
State and political subdivisions
—

 
—

 
1

 
Commercial mortgage-backed
—

 
—

 
(6
)
 
Asset-backed
—

 
—

 
1

 
Subtotal
$
—

 
$
—

 
$
5

 
GMIB reinsurance contracts
—

 
2,576

 
—

 
Separate Accounts’ assets(1)
19

 
—

 
—

 
GMxB derivative features' liability
—

 
(1,712
)
 
—

 
Total
$
19

 
$
864

 
$
5

 


(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 September 30, 2017 and December 31, 2016, respectively.

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

 
Fair
Value
 
Valuation
Technique
 
Significant
Unobservable Input
 
Range
Weighted Average
 
(in millions)
 
Assets:
 
 
 
 
 
 
 
 
Investments:
 
 
 
 
 
 
 
 
Fixed maturities, available-for-sale:
 
 
 
 
 
 
 
 
Corporate
$
41

 
Matrix pricing model
 
Spread over the industry-specific benchmark yield curve
 
100 bps - 565 bps
173 bps
 
779

 
Market comparable 
companies
 
EBITDA multiples
Discount rate
Cash flow multiples
 
5.1x- 27.3x
7.2%-17.0%
9.0x- 17.7x
12.2x
11.2%
13.1x
Separate Accounts’ assets
318

 
Third party appraisal
 
Capitalization rate
 
4.6%
 
 
 
 
 
 
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
10,933

 
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
 
5 bps - 10 bps
 
 
 
 
 
 
Volatility rates - Equity
 
10.0% - 30.0%
 
Liabilities:
 
 
 
 
 
 
 
 
GMIBNLG
4,289

 
Discounted cash flow
 
Non-performance risk
Lapse Rates
Withdrawal Rates
Annuitization
NLG Forfeiture Rates
Long-term equity Volatility





 
1.0%
0.8% - 26.2%
0.0% - 12.4%
0.0% - 16.0%
0.55% - 2.1%
20.0%
 
GWBL/GMWB
85

 
Discounted cash flow
 
Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
 
0.9% - 5.7%
0.0% - 7.0%
100% after delay
10.0% - 30.0%
 
GIB
(6
)
 
Discounted cash flow
 
Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
 
0.9% - 5.7%
0.0% - 8.0%
0.0% - 16.0%
10.0% - 30.0%
 
GMAB
8

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

 
Fair
Value
 
Valuation
Technique
 
Significant
Unobservable Input
 
Range
Weighted Average
 
(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
143 bps
 
636

 
Market comparable companies
 
EBITDA multiples
Discount Rate
Cash flow Multiples
 
4.3x-25.6x
7.0% - 17.8%
14.0x - 16.5x
11.7x
11.4%
15.6x
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
283 bps
 
 
 
 
 
Discount factor
 
1.1% - 7.0%
4.3%
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:
 
 
 
 
 
 
 
 
GMIBNLG
5,125

 
Discounted cash flow
 
Non-performance risk
Lapse Rates
Withdrawal Rates
Annuitization
NLG Forfeiture Rates
Long-term equity Volatility





 
1.1%
1.2% - 26.2%
0.0% - 8.0%
0.0% - 16.0%
0.55% - 2.1%
20.0%
 
GWBL/GMWB
114

 
Discounted cash flow
 
Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
 
1.0% - 5.7%
0.0% - 7.0%
100% after delay
9.0% - 35.0%
 
GIB
30

 
Discounted cash flow
 
Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
 
1.0% - 5.7%
0.0% - 8.0%
100% after delay
9.0% - 35.0%
 
GMAB
20

 
Discounted cash flow
 
Lapse Rates
Volatility rates - Equity
 
1.0% - 11.0%
9.0% - 35.0%
 
Fair Value Disclosure Financial Instruments Not Carried At Fair Value
The carrying values and fair values at September 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)
September 30, 2017:
 
 
 
 
 
 
 
 
Mortgage loans on real estate
$
10,605

 
$
—

 
$
—

 
$
10,686

 
$
10,686

Loans to affiliates
703

 
—

 
772

 
—

 
772

Policyholders’ liabilities: Investment contracts
2,122

 
—

 
—

 
2,236

 
2,236

Funding Agreements
2,715

 
—

 
2,727

 
—

 
2,727

Policy loans
3,322

 
—

 
—

 
4,220

 
4,220

Short-term debt
500

 
—

 
500

 
—

 
500

Separate Account Liabilities
7,083

 
—

 
—

 
7,083

 
7,083

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