Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2016

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of June 30, 2016:



	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	751.7	$	66.5	$	—	$	818.2
U.S. Government agencies and authorities	—		4.2		—		4.2
State, municipalities and political subdivisions	—		766.3		—		766.3
U.S. corporate public securities	—		10,230.3		20.7		10,251.0
U.S. corporate private securities	—		2,162.2		421.5		2,583.7
Foreign corporate public securities and foreign governments⁽¹⁾	—		2,886.1		0.1		2,886.2
Foreign corporate private securities ⁽¹⁾	—		2,706.9		167.9		2,874.8
Residential mortgage-backed securities	—		2,642.4		25.4		2,667.8
Commercial mortgage-backed securities	—		1,391.7		9.2		1,400.9
Other asset-backed securities	—		238.4		39.4		277.8
Total fixed maturities, including securities pledged	751.7		23,095.0		684.2		24,530.9
Equity securities, available-for-sale	35.1		—		48.8		83.9
Derivatives:
Interest rate contracts	0.1		637.7		—		637.8
Foreign exchange contracts	—		15.6		—		15.6
Equity contracts	—		2.1		—		2.1
Credit contracts	—		2.6		—		2.6
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,160.6		—		—		1,160.6
Assets held in separate accounts	55,210.0		4,815.4		3.4		60,028.8
Total assets	$	57,157.5	$	28,568.4	$	736.4	$	86,462.3
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—	$	—	$	21.2	$	21.2
Stabilizer and MCGs	—		—		272.0		272.0
Other derivatives:
Interest rate contracts	0.3		251.4		—		251.7
Foreign exchange contracts	—		9.5		—		9.5
Equity contracts	—		—		—		—
Credit contracts	—		0.3		—		0.3
Embedded derivative on reinsurance	—		0.8		—		0.8
Total liabilities	$	0.3	$	262.0	$	293.2	$	555.5

⁽¹⁾Primarily U.S. dollar denominated.

The following table presents the Company’s hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2015:



	Level 1		Level 2			Level 3		Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	660.4	$	61.0		$	—	$	721.4
U.S. Government agencies and authorities	—		4.3			—		4.3
State, municipalities and political subdivisions	—		595.8			—		595.8
U.S. corporate public securities	—		9,598.2			2.3		9,600.5
U.S. corporate private securities	—		1,963.5			396.4		2,359.9
Foreign corporate public securities and foreign governments⁽¹⁾	—		2,811.7			0.5		2,812.2
Foreign corporate private securities ⁽¹⁾	—		2,553.3			158.1		2,711.4
Residential mortgage-backed securities	—		1,901.0			28.2		1,929.2
Commercial mortgage-backed securities	—		1,262.3			12.6		1,274.9
Other asset-backed securities	—		236.1			13.1		249.2
Total fixed maturities, including securities pledged	660.4		20,987.2			611.2		22,258.8
Equity securities, available-for-sale	83.8		—			47.5		131.3
Derivatives:
Interest rate contracts	—		422.4			—		422.4
Foreign exchange contracts	—		24.6			—		24.6
Equity contracts	—		—			—		—
Credit contracts	—		3.3			—		3.3
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	902.6		—			—		902.6
Assets held in separate accounts	54,283.0		4,623.6			4.0		58,910.6
Total assets	$	55,929.8	$	26,061.1		$	662.7	$	82,653.6
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—	$	—		$	23.1	$	23.1
Stabilizer and MCGs	—		—			161.3		161.3
Other derivatives:
Interest rate contracts	0.6		103.4			—		104.0
Foreign exchange contracts	—		10.7			—		10.7
Equity contracts	0.1		—			—		0.1
Credit contracts	—		0.3			—		0.3
Embedded derivative on reinsurance	—		(71.6		)	—		(71.6		)
Total liabilities	$	0.7	$	42.8		$	184.4	$	227.9

⁽¹⁾Primarily U.S. dollar denominated.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:



	Three Months Ended June 30, 2016
	Fair Value as of April 1			Total Realized/Unrealized Gains (Losses) Included in:					Purchases		Issuances			Sales			Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of June 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	1.7		$	(0.1	)	$	0.4	$	—	$	—		$	(0.7	)	$	—		$	19.4	$	—		$	20.7		$	—
U.S. Corporate private securities	393.5			(0.1		)	5.9		37.0		—			—			(20.8		)	6.0		—			421.5			—
Foreign corporate public securities and foreign governments⁽¹⁾	0.5			(0.4		)	—		—		—			—			—			—		—			0.1			(0.4		)
Foreign corporate private securities⁽¹⁾	179.6			(1.7		)	5.9		—		—			(14.6		)	(4.1		)	2.8		—			167.9			(0.1		)
Residential mortgage-backed securities	26.9			(1.5		)	—		—		—			—			—			—		—			25.4			(1.5		)
Commercial mortgage-backed securities	0.1			—			0.1		—		—			—			(1.1		)	10.2		(0.1		)	9.2			—
Other asset-backed securities	12.6			—			0.2		26.9		—			—			(0.3		)	—		—			39.4			—
Total fixed maturities, including securities pledged	614.9			(3.8		)	12.5		63.9		—			(15.3		)	(26.3		)	38.4		(0.1		)	684.2			(2.0		)
Equity securities, available-for-sale	48.2			—			0.6		—		—			—			—			—		—			48.8			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(226.0		)	(44.8		)	—		—		(1.2		)	—			—			—		—			(272.0		)	—
FIA⁽²⁾	(21.7		)	(0.3		)	—		—		0.1			—			0.7			—		—			(21.2		)	—
Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreement	—			—			—		—		—			—			—			—		—			—			—
Assets held in separate accounts⁽⁵⁾	1.2			—			—		—		—			—			—			3.4		(1.2		)	3.4			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.



	Six Months Ended June 30, 2016
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:					Purchases		Issuances			Sales			Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of June 30			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	2.3		$	(0.1	)	$	0.9	$	—	$	—		$	(0.7	)	$	(0.5	)	$	18.8	$	—		$	20.7		$	—
U.S. Corporate private securities	396.4			(0.1		)	14.2		43.1		—			(17.5		)	(52.2		)	44.2		(6.6		)	421.5			(0.1		)
Foreign corporate public securities and foreign governments⁽¹⁾	0.5			(0.4		)	—		—		—			—			—			—		—			0.1			(0.4		)
Foreign corporate private securities⁽¹⁾	158.1			—			6.9		—		—			(0.1		)	(13.9		)	19.6		(2.7		)	167.9			—
Residential mortgage-backed securities	28.2			(2.8		)	—		—		—			—			—			—		—			25.4			(2.8		)
Commercial mortgage-backed securities	12.6			—			0.1		—		—			—			(2.5		)	—		(1.0		)	9.2			—
Other asset-backed securities	13.1			—			—		26.9		—			—			(0.6		)	—		—			39.4			—
Total fixed maturities, including securities pledged	611.2			(3.4		)	22.1		70.0		—			(18.3		)	(69.7		)	82.6		(10.3		)	684.2			(3.3		)
Equity securities, available-for-sale	47.5			—			1.3		—		—			—			—			—		—			48.8			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(161.3		)	(108.4		)	—		—		(2.3		)	—			—			—		—			(272.0		)	—
FIA⁽²⁾	(23.1		)	0.5			—		—		0.2			—			1.2			—		—			(21.2		)	—
Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements	—			—			—		—		—			—			—			—		—			—			—
Assets held in separate accounts⁽⁵⁾	4.0			—			—		—		—			—			—			3.4		(4.0		)	3.4			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.



	Three Months Ended June 30, 2015
	Fair Value as of April 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances			Sales		Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of June 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	18.3		$	—		$	—		$	—	$	—		$	—	$	—		$	—	$	(6.2	)	$	12.1		$	—
U.S. Corporate private securities	368.2			—			(7.8		)	26.3		—			—		(17.3		)	—		—			369.4			—
Foreign corporate public securities and foreign governments⁽¹⁾	1.2			(1.7		)	0.1			—		—			—		(0.2		)	3.6		(1.3		)	1.7			(1.7		)
Foreign corporate private securities⁽¹⁾	181.2			(0.5		)	(1.9		)	—		—			—		(15.1		)	3.3		—			167.0			(0.5		)
Residential mortgage-backed securities	23.0			(0.9		)	(0.6		)	—		—			—		—			—		—			21.5			(0.9		)
Commercial mortgage-backed securities	—			—			—			—		—			—		—			—		—			—			—
Other asset-backed securities	2.1			—			—			12.4		—			—		(0.1		)	—		(0.6		)	13.8			—
Total fixed maturities, including securities pledged	594.0			(3.1		)	(10.2		)	38.7		—			—		(32.7		)	6.9		(8.1		)	585.5			(3.1		)
Equity securities, available-for-sale	38.0			—			(1.0		)	—		—			—		—			—		—			37.0			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(148.1		)	57.3			—			—		(1.2		)	—		—			—		—			(92.0		)	—
FIA⁽²⁾	(27.5		)	0.2			—			—		—			—		0.1			—		—			(27.2		)	—
Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreement	1.5			—			—			—		—			—		—			—		—			1.5			—
Assets held in separate accounts⁽⁵⁾	0.7			—			—			—		—			—		—			—		(0.7		)	—			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.



	Six Months Ended June 30, 2015
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances			Sales		Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of June 30			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	19.3		$	—		$	(0.1	)	$	—	$	—		$	—	$	(0.8	)	$	—	$	(6.3	)	$	12.1		$	—
U.S. Corporate private securities	355.5			(0.1		)	(5.3		)	73.4		—			—		(54.1		)	—		—			369.4			(0.1		)
Foreign corporate public securities and foreign governments⁽¹⁾	—			(1.7		)	(0.1		)	—		—			—		(0.9		)	4.4		—			1.7			(1.7		)
Foreign corporate private securities⁽¹⁾	165.7			(0.3		)	(0.4		)	1.7		—			—		(19.1		)	19.4		—			167.0			(0.5		)
Residential mortgage-backed securities	17.3			(1.5		)	(0.9		)	—		—			—		—			6.6		—			21.5			(1.5		)
Commercial mortgage-backed securities	19.0			—			—			—		—			—		—			—		(19.0		)	—			—
Other asset-backed securities	2.4			—			(0.1		)	12.4		—			—		(0.1		)	—		(0.8		)	13.8			—
Total fixed maturities, including securities pledged	579.2			(3.6		)	(6.9		)	87.5		—			—		(75.0		)	30.4		(26.1		)	585.5			(3.8		)
Equity securities, available-for-sale	36.6			—			0.4			—		—			—		—			—		—			37.0			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(102.9		)	13.2			—			—		(2.3		)	—		—			—		—			(92.0		)	—
FIA⁽²⁾	(26.3		)	(1.2		)	—			—		—			—		0.3			—		—			(27.2		)	—
Cash and cash equivalents, short-term investments, and short-term investments under securities loan agreements	1.5			—			—			—		—			—		—			—		—			1.5			—
Assets held in separate accounts⁽⁵⁾	2.4			—			—			—		—			—		—			—		(2.4		)	—			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of June 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.

Fair Value Inputs, Liabilities, Quantitative Information

The following table presents the unobservable inputs for Level 3 fair value measurements as of June 30, 2016:



	Range⁽¹⁾
Unobservable Input	FIA		Stabilizer / MCG
Interest rate implied volatility	—		0.2% to 7.6%
Nonperformance risk	0.26% to 1.9%		0.26% to 1.9%
Actuarial Assumptions:
Partial Withdrawals	0.4% to 3.2%		—
Lapses	0% to 45%	⁽²⁾	0% to 50%	⁽³⁾
Policyholder Deposits⁽⁴⁾	—		0% to 50%	⁽³⁾

⁽¹⁾ Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽²⁾ Lapse rates tend to be lower during the contractual surrender charge period and higher after the surrender charge period ends; the highest lapse rates occur in the year immediately after the end of the surrender charge period.

⁽³⁾ Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below:



	Percentage of Plans		Overall Range of Lapse Rates	Range of Lapse Rates for 85% of Plans	Overall Range of Policyholder Deposits	Range of Policyholder Deposits for 85% of Plans
Stabilizer (Investment Only) and MCG Contracts	93	%	0-25%	0-15%	0-30%	0-15%
Stabilizer with Recordkeeping Agreements	7	%	0-50%	0-30%	0-50%	0-25%
Aggregate of all plans	100	%	0-50%	0-30%	0-50%	0-25%

⁽⁴⁾ Measured as a percentage of assets under management or assets under administration.

The following table presents the unobservable inputs for Level 3 fair value measurements as of December 31, 2015:



	Range⁽¹⁾
Unobservable Input	FIA		Stabilizer / MCG
Interest rate implied volatility	—		0.1% to 7.3%
Nonperformance risk	0.23% to 1.3%		0.23% to 1.3%
Actuarial Assumptions:
Partial Withdrawals	0.4% to 3.2%		—
Lapses	0% to 45%	⁽²⁾	0% to 50%	⁽³⁾
Policyholder Deposits⁽⁴⁾	—		0% to 50%	⁽³⁾

⁽¹⁾ Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽³⁾ Stabilizer contracts with recordkeeping agreements have different range of lapse and policyholder deposit assumptions from Stabilizer (Investment only) and MCG contracts as shown below:



	Percentage of Plans		Overall Range of Lapse Rates	Range of Lapse Rates for 85% of Plans	Overall Range of Policyholder Deposits	Range of Policyholder Deposits for 85% of Plans
Stabilizer (Investment Only) and MCG Contracts	90	%	0-25%	0-15%	0-30%	0-15%
Stabilizer with Recordkeeping Agreements	10	%	0-50%	0-30%	0-50%	0-25%
Aggregate of all plans	100	%	0-50%	0-30%	0-50%	0-25%

⁽⁴⁾ Measured as a percentage of assets under management or assets under administration.

Fair Value, by Balance Sheet Grouping

The carrying values and estimated fair values of the Company’s financial instruments as of the dates indicated:



	June 30, 2016				December 31, 2015
	Carrying Value		Fair Value		Carrying Value			Fair Value
Assets:
Fixed maturities, including securities pledged	$	24,530.9	$	24,530.9	$	22,258.8		$	22,258.8
Equity securities, available-for-sale	83.9		83.9		131.3			131.3
Mortgage loans on real estate	4,029.1		4,172.9		3,729.1			3,881.1
Policy loans	222.7		222.7		229.8			229.8
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,160.6		1,160.6		902.6			902.5
Derivatives	658.1		658.1		450.3			450.3
Notes receivable from affiliate	175.0		224.0		175.0			208.4
Assets held in separate accounts	60,028.8		60,028.8		58,910.6			58,910.6
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	23,861.4		29,089.4		22,979.4			27,612.3
Supplementary contracts, immediate annuities and other	403.2		488.7		411.8			479.2
Deposit liabilities	190.7		288.1		194.8			194.8
Derivatives:
Guaranteed benefit derivatives:
FIA	21.2		21.2		23.1			23.1
Stabilizer and MCGs	272.0		272.0		161.3			161.3
Other derivatives	261.5		261.5		115.1			115.1
Long-term debt	4.9		4.9		4.9			4.9
Embedded derivatives on reinsurance	0.8		0.8		(71.6		)	(71.6		)

⁽¹⁾ Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above.