Fair Value (Tables)

3 Months Ended

Mar. 31, 2015

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy, including those items for which the Company has elected the FVO, are presented below.



	March 31, 2015
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	99,014	$	7,321	$	106,335
Foreign corporate	—		54,086		6,408		60,494
U.S. Treasury and agency	34,116		26,356		—		60,472
Foreign government	—		50,977		1,384		52,361
RMBS	2,597		36,642		4,545		43,784
State and political subdivision	—		15,708		2		15,710
CMBS	—		12,667		644		13,311
ABS	—		11,355		2,453		13,808
Total fixed maturity securities	36,713		306,805		22,757		366,275
Equity securities:
Common stock	1,598		883		94		2,575
Non-redeemable preferred stock	—		894		244		1,138
Total equity securities	1,598		1,777		338		3,713
FVO and trading securities:
Actively Traded securities	48		656		10		714
FVO general account securities	527		35		89		651
FVO contractholder-directed unit-linked investments	11,020		3,659		412		15,091
FVO securities held by CSEs	—		5		10		15
Total FVO and trading securities	11,595		4,355		521		16,471
Short-term investments (1)	2,621		8,673		1,358		12,652
Mortgage loans:
Residential mortgage loans — FVO	—		—		329		329
Commercial mortgage loans held by CSEs — FVO	—		272		—		272
Total mortgage loans	—		272		329		601
Other invested assets:
Other investments	187		59		—		246
Derivative assets: (2)
Interest rate	9		10,535		70		10,614
Foreign currency exchange rate	1		3,295		28		3,324
Credit	—		194		11		205
Equity market	34		1,279		335		1,648
Total derivative assets	44		15,303		444		15,791
Total other invested assets	231		15,362		444		16,037
Net embedded derivatives within asset host contracts (3)	—		—		407		407
Separate account assets (4)	86,253		236,415		2,056		324,724
Total assets	$	139,011	$	573,659	$	28,210	$	740,880
Liabilities
Derivative liabilities: (2)
Interest rate	$	6	$	2,686	$	1	$	2,693
Foreign currency exchange rate	2		3,151		95		3,248
Credit	—		52		1		53
Equity market	7		1,129		692		1,828
Total derivative liabilities	15		7,018		789		7,822
Net embedded derivatives within liability host contracts (3)	—		8		129		137
Long-term debt of CSEs — FVO	—		131		12		143
Trading liabilities (5)	206		46		—		252
Total liabilities	$	221	$	7,203	$	930	$	8,354



	December 31, 2014
	Fair Value Hierarchy
	Level 1		Level 2		Level 3			Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	99,012	$	6,942		$	105,954
Foreign corporate	—		55,185		6,490			61,675
U.S. Treasury and agency	36,879		24,637		—			61,516
Foreign government	—		51,355		1,311			52,666
RMBS	—		35,463		4,383			39,846
State and political subdivision	—		15,187		—			15,187
CMBS	—		13,567		765			14,332
ABS	—		12,005		2,244			14,249
Total fixed maturity securities	36,879		306,411		22,135			365,425
Equity securities:
Common stock	1,558		863		95			2,516
Non-redeemable preferred stock	—		865		250			1,115
Total equity securities	1,558		1,728		345			3,631
FVO and trading securities:
Actively Traded securities	22		627		5			654
FVO general account securities	552		57		95			704
FVO contractholder-directed unit-linked investments	11,064		3,797		455			15,316
FVO securities held by CSEs	—		3		12			15
Total FVO and trading securities	11,638		4,484		567			16,689
Short-term investments (1)	2,104		5,223		336			7,663
Mortgage loans:
Residential mortgage loans — FVO	—		—		308			308
Commercial mortgage loans held by CSEs — FVO	—		280		—			280
Total mortgage loans	—		280		308			588
Other invested assets:
Other investments	203		61		—			264
Derivative assets: (2)
Interest rate	4		8,988		63			9,055
Foreign currency exchange rate	2		2,472		25			2,499
Credit	—		175		14			189
Equity market	65		1,287		357			1,709
Total derivative assets	71		12,922		459			13,452
Total other invested assets	274		12,983		459			13,716
Net embedded derivatives within asset host contracts (3)	—		—		377			377
Separate account assets (4)	83,533		231,539		1,922			316,994
Total assets	$	135,986	$	562,648	$	26,449		$	725,083
Liabilities
Derivative liabilities: (2)
Interest rate	$	9	$	2,347	$	—		$	2,356
Foreign currency exchange rate	—		2,755		93			2,848
Credit	—		38		2			40
Equity market	2		1,112		664			1,778
Total derivative liabilities	11		6,252		759			7,022
Net embedded derivatives within liability host contracts (3)	—		7		(53		)	(46		)
Long-term debt of CSEs — FVO	—		138		13			151
Trading liabilities (5)	215		24		—			239
Total liabilities	$	226	$	6,421	$	719		$	7,366

__________________


(1)	Short-term investments as presented in the tables above differ from the amounts presented on the consolidated balance sheets because certain short-term investments are not measured at estimated fair value on a recurring basis.

(2)

Derivative assets are presented within other invested assets on the consolidated balance sheets and derivative liabilities are presented within other liabilities on the consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation on the consolidated balance sheets, but are presented net for purposes of the rollforward in the Fair Value Measurements Using Significant Unobservable Inputs (Level 3) tables.

(3)

Net embedded derivatives within asset host contracts are presented primarily within premiums, reinsurance and other receivables on the consolidated balance sheets. Net embedded derivatives within liability host contracts are presented within policyholder account balances, future policy benefits and other liabilities on the consolidated balance sheets. At March 31, 2015 and December 31, 2014, equity securities also included embedded derivatives of ($303) million and ($217) million, respectively.


(4)	Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders whose liability is reflected within separate account liabilities. Separate account liabilities are set equal to the estimated fair value of separate account assets.


(5)	Trading liabilities are presented within other liabilities on the consolidated balance sheets.

Fair Value Inputs, Quantitative Information

The following table presents certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at:



					March 31, 2015				December 31, 2014				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)	Impact of Increase in Input on Estimated Fair Value (2)
Fixed maturity securities (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Delta spread adjustments (4)	(45)	-	240	43	(40)	-	240	46	Decrease
	•	Market pricing	•	Quoted prices (5)	6	-	531	122	—		750	151	Increase
	•	Consensus pricing	•	Offered quotes (5)	31	-	780	242	31	-	126	99	Increase
Foreign government	•	Market pricing	•	Quoted prices (5)	72	-	195	106	92	-	189	106	Increase
RMBS	•	Market pricing	•	Quoted prices (5)	22	-	120	96	22	-	120	97	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	30	-	114	94	1	-	118	93	Increase (6)
ABS	•	Market pricing	•	Quoted prices (5)	15	-	110	100	15	-	110	100	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	56	-	106	99	56	-	106	102	Increase (6)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (7)	256	-	271		278	-	297		Increase (12)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (7)	(50)	-	1,597		62	-	2,430		Increase (12)
			•	Correlation (8)	40%	-	54%		40%	-	55%
Credit	•	Present value techniques	•	Credit spreads (9)	98	-	100		98	-	100		Decrease (9)
	•	Consensus pricing	•	Offered quotes (10)
Equity market	•	Present value techniques or option pricing models	•	Volatility (11)	11%	-	28%		15%	-	27%		Increase (12)
			•	Correlation (8)	70%	-	70%		70%	-	70%
Embedded derivatives
Direct and assumed guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.28%		0%	-	0.28%		Decrease (13)
				Ages 41 - 60	0.04%	-	0.88%		0.04%	-	0.88%		Decrease (13)
				Ages 61 - 115	0.26%	-	100%		0.26%	-	100%		Decrease (13)
			•	Lapse rates:
				Durations 1 - 10	0.5%	-	100%		0.50%	-	100%		Decrease (14)
				Durations 11 - 20	2%	-	100%		2%	-	100%		Decrease (14)
				Durations 21 - 116	2%	-	100%		2%	-	100%		Decrease (14)
			•	Utilization rates	0%	-	30%		20%	-	50%		Increase (15)
			•	Withdrawal rates	0%	-	20%		0%	-	20%		(16)
			•	Long-term equity volatilities	8.88%	-	33%		7.30%	-	33%		Increase (17)
			•	Nonperformance risk spread	(0.15)%	-	1.00%		(0.35)%	-	0.81%		Decrease (18)

______________


(1)	The weighted average for fixed maturity securities is determined based on the estimated fair value of the securities.


(2)	The impact of a decrease in input would have the opposite impact on the estimated fair value. For embedded derivatives, changes are based on liability positions.


(3)	Significant increases (decreases) in expected default rates in isolation would result in substantially lower (higher) valuations.


(4)	Range and weighted average are presented in basis points.


(5)	Range and weighted average are presented in accordance with the market convention for fixed maturity securities of dollars per hundred dollars of par.


(6)	Changes in the assumptions used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(7)

Ranges represent the rates across different yield curves and are presented in basis points. The swap yield curve is utilized among different types of derivatives to project cash flows, as well as to discount future cash flows to present value. Since this valuation methodology uses a range of inputs across a yield curve to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(8)	Ranges represent the different correlation factors utilized as components within the valuation methodology. Presenting a range of correlation factors is more representative of the unobservable input used in the valuation. Increases (decreases) in correlation in isolation will increase (decrease) the significance of the change in valuations.


(9)	Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.


(10)	At both March 31, 2015 and December 31, 2014, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.


(11)	Ranges represent the underlying equity volatility quoted in percentage points. Since this valuation methodology uses a range of inputs across multiple volatility surfaces to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(12)	Changes are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.


(13)	Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(14)

Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in the money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. For any given contract, lapse rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(15)

The utilization rate assumption estimates the percentage of contract holders with a GMIB or lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible. The rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder. For any given contract, utilization rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(16)

The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.


(17)	Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.


(18)	Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value Inputs, Quantitative Information



					March 31, 2015				December 31, 2014				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)	Impact of Increase in Input on Estimated Fair Value (2)
Fixed maturity securities (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Delta spread adjustments (4)	(45)	-	240	43	(40)	-	240	46	Decrease
	•	Market pricing	•	Quoted prices (5)	6	-	531	122	—		750	151	Increase
	•	Consensus pricing	•	Offered quotes (5)	31	-	780	242	31	-	126	99	Increase
Foreign government	•	Market pricing	•	Quoted prices (5)	72	-	195	106	92	-	189	106	Increase
RMBS	•	Market pricing	•	Quoted prices (5)	22	-	120	96	22	-	120	97	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	30	-	114	94	1	-	118	93	Increase (6)
ABS	•	Market pricing	•	Quoted prices (5)	15	-	110	100	15	-	110	100	Increase (6)
	•	Consensus pricing	•	Offered quotes (5)	56	-	106	99	56	-	106	102	Increase (6)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (7)	256	-	271		278	-	297		Increase (12)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (7)	(50)	-	1,597		62	-	2,430		Increase (12)
			•	Correlation (8)	40%	-	54%		40%	-	55%
Credit	•	Present value techniques	•	Credit spreads (9)	98	-	100		98	-	100		Decrease (9)
	•	Consensus pricing	•	Offered quotes (10)
Equity market	•	Present value techniques or option pricing models	•	Volatility (11)	11%	-	28%		15%	-	27%		Increase (12)
			•	Correlation (8)	70%	-	70%		70%	-	70%
Embedded derivatives
Direct and assumed guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.28%		0%	-	0.28%		Decrease (13)
				Ages 41 - 60	0.04%	-	0.88%		0.04%	-	0.88%		Decrease (13)
				Ages 61 - 115	0.26%	-	100%		0.26%	-	100%		Decrease (13)
			•	Lapse rates:
				Durations 1 - 10	0.5%	-	100%		0.50%	-	100%		Decrease (14)
				Durations 11 - 20	2%	-	100%		2%	-	100%		Decrease (14)
				Durations 21 - 116	2%	-	100%		2%	-	100%		Decrease (14)
			•	Utilization rates	0%	-	30%		20%	-	50%		Increase (15)
			•	Withdrawal rates	0%	-	20%		0%	-	20%		(16)
			•	Long-term equity volatilities	8.88%	-	33%		7.30%	-	33%		Increase (17)
			•	Nonperformance risk spread	(0.15)%	-	1.00%		(0.35)%	-	0.81%		Decrease (18)

______________


(1)	The weighted average for fixed maturity securities is determined based on the estimated fair value of the securities.


(2)	The impact of a decrease in input would have the opposite impact on the estimated fair value. For embedded derivatives, changes are based on liability positions.


(3)	Significant increases (decreases) in expected default rates in isolation would result in substantially lower (higher) valuations.


(4)	Range and weighted average are presented in basis points.


(5)	Range and weighted average are presented in accordance with the market convention for fixed maturity securities of dollars per hundred dollars of par.


(6)	Changes in the assumptions used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(7)


(8)	Ranges represent the different correlation factors utilized as components within the valuation methodology. Presenting a range of correlation factors is more representative of the unobservable input used in the valuation. Increases (decreases) in correlation in isolation will increase (decrease) the significance of the change in valuations.


(9)	Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.


(10)	At both March 31, 2015 and December 31, 2014, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.


(11)	Ranges represent the underlying equity volatility quoted in percentage points. Since this valuation methodology uses a range of inputs across multiple volatility surfaces to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.


(12)	Changes are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.


(13)	Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(14)

(15)

(16)


(17)	Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.


(18)	Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change of all assets and (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3):



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	U.S. Corporate			Foreign Corporate			U.S. Treasury and Agency		Foreign Government			RMBS			State and Political Subdivision		CMBS			ABS
	(In millions)
Three Months Ended March 31, 2015
Balance, beginning of period	$	6,942		$	6,490		$	—	$	1,311		$	4,383		$	—	$	765		$	2,244
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			9			—		4			13			—		—			—
Net investment gains (losses)	—			(11		)	—		(22		)	2			—		—			(7		)
Net derivative gains (losses)	—			—			—		—			—			—		—			—
Policyholder benefits and claims	—			—			—		—			—			—		—			—
OCI	57			(132		)	—		23			(12		)	—		(7		)	(11		)
Purchases (3)	431			178			—		43			509			—		73			868
Sales (3)	(133		)	(109		)	—		(53		)	(240		)	—		(119		)	(212		)
Issuances (3)	—			—			—		—			—			—		—			—
Settlements (3)	—			—			—		—			—			—		—			—
Transfers into Level 3 (4)	128			93			—		215			—			2		—			8
Transfers out of Level 3 (4)	(104		)	(110		)	—		(137		)	(110		)	—		(68		)	(437		)
Balance, end of period	$	7,321		$	6,408		$	—	$	1,384		$	4,545		$	2	$	644		$	2,453
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	6		$	—	$	3		$	12		$	—	$	—		$	1
Net investment gains (losses)	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	—
Net derivative gains (losses)	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	—
Policyholder benefits and claims	$	—		$	—		$	—	$	—		$	—		$	—	$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Equity Securities						FVO and Trading Securities
	Common Stock			Non- redeemable Preferred Stock			Actively Traded Securities		FVO General Account Securities			FVO Contractholder- directed Unit-linked Investments			FVO Securities Held by CSEs			Short-term Investments			Residential Mortgage Loans - FVO
	(In millions)
Three Months Ended March 31, 2015
Balance, beginning of period	$	95		$	250		$	5	$	95		$	455		$	12		$	336		$	308
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			—			—		—			(18		)	—			1			22
Net investment gains (losses)	(1		)	—			—		—			—			—			—			—
Net derivative gains (losses)	—			—			—		—			—			—			—			—
Policyholder benefits and claims	—			—			—		—			—			—			—			—
OCI	2			(4		)	—		—			—			—			(1		)	—
Purchases (3)	5			4			5		—			108			—			1,332			60
Sales (3)	(5		)	—			—		(6		)	(145		)	(1		)	(25		)	(49		)
Issuances (3)	—			—			—		—			—			—			—			—
Settlements (3)	—			—			—		—			—			—			—			(12		)
Transfers into Level 3 (4)	1			—			—		—			39			—			—			—
Transfers out of Level 3 (4)	(3		)	(6		)	—		—			(27		)	(1		)	(285		)	—
Balance, end of period	$	94		$	244		$	10	$	89		$	412		$	10		$	1,358		$	329
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	—		$	—	$	(1	)	$	(15	)	$	—		$	1		$	22
Net investment gains (losses)	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—
Net derivative gains (losses)	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—
Policyholder benefits and claims	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Net Derivatives (6)
	Interest Rate			Foreign Currency Exchange Rate			Credit			Equity Market			Net Embedded Derivatives (7)			Separate Account Assets (8)			Long-term Debt of CSEs — FVO
	(In millions)
Three Months Ended March 31, 2015
Balance, beginning of period	$	63		$	(68	)	$	12		$	(307	)	$	430		$	1,922		$	(13	)
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			—			—			—			—			—			—
Net investment gains (losses)	—			—			—			—			—			36			—
Net derivative gains (losses)	(1		)	(14		)	(2		)	(52		)	27			—			—
Policyholder benefits and claims	—			—			—			1			24			—			—
OCI	15			—			—			—			(2		)	—			—
Purchases (3)	—			—			—			—			—			231			—
Sales (3)	—			—			—			—			—			(127		)	—
Issuances (3)	—			—			—			—			—			—			—
Settlements (3)	(8		)	15			—			1			(201		)	(1		)	1
Transfers into Level 3 (4)	—			—			—			—			—			1			—
Transfers out of Level 3 (4)	—			—			—			—			—			(6		)	—
Balance, end of period	$	69		$	(67	)	$	10		$	(357	)	$	278		$	2,056		$	(12	)
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Net investment gains (losses)	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Net derivative gains (losses)	$	(1	)	$	(11	)	$	(1	)	$	(52	)	$	22		$	—		$	—
Policyholder benefits and claims	$	—		$	—		$	—		$	1		$	25		$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	U.S. Corporate			Foreign Corporate			U.S. Treasury and Agency			Foreign Government			RMBS			State and Political Subdivision			CMBS			ABS
	(In millions)
Three Months Ended March 31, 2014
Balance, beginning of period	$	7,148		$	6,704		$	62		$	2,235		$	2,957		$	10		$	972		$	4,210
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			9			—			6			10			—			—			5
Net investment gains (losses)	(7		)	—			—			(6		)	8			—			1			(43		)
Net derivative gains (losses)	—			—			—			—			—			—			—			—
Policyholder benefits and claims	—			—			—			—			—			—			—			—
OCI	160			120			—			14			(12		)	—			(25		)	75
Purchases (3)	651			471			25			74			571			—			103			652
Sales (3)	(206		)	(109		)	—			(52		)	(192		)	—			(155		)	(315		)
Issuances (3)	—			—			—			—			—			—			—			—
Settlements (3)	—			—			—			—			—			—			—			—
Transfers into Level 3 (4)	459			435			—			231			147			21			24			578
Transfers out of Level 3 (4)	(827		)	(1,129		)	(42		)	(957		)	(50		)	(10		)	(238		)	(2,362		)
Balance, end of period	$	7,378		$	6,501		$	45		$	1,545		$	3,439		$	21		$	682		$	2,800
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	9		$	—		$	5		$	10		$	—		$	—		$	—
Net investment gains (losses)	$	(7	)	$	—		$	—		$	—		$	(1	)	$	—		$	—		$	—
Net derivative gains (losses)	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—
Policyholder benefits and claims	$	—		$	—		$	—		$	—		$	—		$	—		$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Equity Securities					FVO and Trading Securities
	Common Stock			Non- redeemable Preferred Stock		Actively Traded Securities			FVO General Account Securities		FVO Contractholder- directed Unit-linked Investments			FVO Securities Held by CSEs			Short-term Investments			Residential Mortgage Loans - FVO
	(In millions)
Three Months Ended March 31, 2014
Balance, beginning of period	$	177		$	395	$	12		$	29	$	603		$	—		$	254		$	338
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			—		—			—		14			—			1			3
Net investment gains (losses)	19			—		—			—		—			—			—			—
Net derivative gains (losses)	—			—		—			—		—			—			—			—
Policyholder benefits and claims	—			—		—			—		—			—			—			—
OCI	(8		)	6		—			—		—			—			(1		)	—
Purchases (3)	3			—		11			—		237			—			947			28
Sales (3)	(26		)	—		(5		)	—		(300		)	(1		)	(59		)	(5		)
Issuances (3)	—			—		—			—		—			—			—			—
Settlements (3)	—			—		—			—		—			—			—			(12		)
Transfers into Level 3 (4)	38			40		—			—		96			12			—			—
Transfers out of Level 3 (4)	—			—		(7		)	—		(26		)	—			(110		)	—
Balance, end of period	$	203		$	441	$	11		$	29	$	624		$	11		$	1,032		$	352
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	—	$	—		$	—	$	14		$	—		$	1		$	3
Net investment gains (losses)	$	—		$	—	$	—		$	—	$	—		$	—		$	—		$	—
Net derivative gains (losses)	$	—		$	—	$	—		$	—	$	—		$	—		$	—		$	—
Policyholder benefits and claims	$	—		$	—	$	—		$	—	$	—		$	—		$	—		$	—



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Net Derivatives (6)
	Interest Rate			Foreign Currency Exchange Rate			Credit			Equity Market			Net Embedded Derivatives (7)			Separate Account Assets (8)			Long-term Debt of CSEs — FVO
	(In millions)
Three Months Ended March 31, 2014
Balance, beginning of period	$	13		$	(11	)	$	29		$	(317	)	$	1,258		$	1,465		$	(28	)
Total realized/unrealized gains (losses) included in:
Net income (loss): (1), (2)
Net investment income	—			—			—			—			—			—			—
Net investment gains (losses)	—			—			—			—			—			44			—
Net derivative gains (losses)	7			(1		)	(6		)	(43		)	(95		)	—			—
Policyholder benefits and claims	—			—			—			4			15			—			—
OCI	37			(2		)	—			—			(5		)	—			—
Purchases (3)	—			—			—			—			—			321			—
Sales (3)	—			—			—			—			—			(83		)	—
Issuances (3)	—			—			(3		)	—			—			25			—
Settlements (3)	(1		)	1			—			—			(193		)	(2		)	13
Transfers into Level 3 (4)	—			—			—			—			—			18			—
Transfers out of Level 3 (4)	—			—			—			—			—			(58		)	—
Balance, end of period	$	56		$	(13	)	$	20		$	(356	)	$	980		$	1,730		$	(15	)
Changes in unrealized gains (losses) included in net income (loss): (5)
Net investment income	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Net investment gains (losses)	$	—		$	—		$	—		$	—		$	—		$	—		$	—
Net derivative gains (losses)	$	6		$	—		$	(6	)	$	(42	)	$	(94	)	$	—		$	—
Policyholder benefits and claims	$	—		$	—		$	—		$	4		$	16		$	—		$	—

__________________


(1)	Amortization of premium/accretion of discount is included within net investment income. Impairments charged to net income (loss) on securities are included in net investment gains (losses), while changes in estimated fair value of residential mortgage loans - FVO are included in net investment income. Lapses associated with net embedded derivatives are included in net derivative gains (losses).


(2)	Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.


(3)	Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.


(4)	Gains and losses in net income (loss) and OCI are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.


(5)	Changes in unrealized gains (losses) included in net income (loss) relate to assets and liabilities still held at the end of the respective periods.


(6)	Freestanding derivative assets and liabilities are presented net for purposes of the rollforward.


(7)	Embedded derivative assets and liabilities are presented net for purposes of the rollforward.


(8)	Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income. For the purpose of this disclosure, these changes are presented within net investment gains (losses).

Fair Value Option

The following table presents information for certain assets and liabilities accounted for under the FVO. These assets and liabilities were initially measured at fair value.



	Residential Mortgage Loans — FVO						Certain Assets and Liabilities of CSEs — FVO (1)
	March 31, 2015			December 31, 2014			March 31, 2015			December 31, 2014
	(In millions)
Assets
Unpaid principal balance	$	466		$	436		$	218		$	223
Difference between estimated fair value and unpaid principal balance	(137		)	(128		)	54			57
Carrying value at estimated fair value	$	329		$	308		$	272		$	280
Loans in non-accrual status	$	162		$	125		$	—		$	—
Liabilities
Contractual principal balance							$	152		$	159
Difference between estimated fair value and contractual principal balance							(9		)	(8		)
Carrying value at estimated fair value							$	143		$	151

__________________

(1)

These assets and liabilities are comprised of commercial mortgage loans and long-term debt. Changes in estimated fair value on these assets and liabilities and gains or losses on sales of these assets are recognized in net investment gains (losses). Interest income on commercial mortgage loans held by CSEs — FVO is recognized in net investment income. Interest expense from long-term debt of CSEs — FVO is recognized in other expenses.

Nonrecurring Fair Value Measurements

The following table presents information for assets measured at estimated fair value on a nonrecurring basis during the periods and still held at the reporting dates (for example, when there is evidence of impairment). The estimated fair values for these assets were determined using significant unobservable inputs (Level 3).



	At March 31,				Three Months Ended March 31,
	2015		2014		2015			2014
	Carrying Value After Measurement				Gains (Losses)
	(In millions)
Mortgage loans (1)	$	95	$	199	$	4		$	—
Other limited partnership interests (2)	$	22	$	4	$	(11	)	$	(2	)

__________________


(1)	Estimated fair values for impaired mortgage loans are based on independent broker quotations or valuation models using unobservable inputs or, if the loans are in foreclosure or are otherwise determined to be collateral dependent, are based on the estimated fair value of the underlying collateral or the present value of the expected future cash flows.

(2)

For these cost method investments, estimated fair value is determined from information provided in the financial statements of the underlying entities including NAV data. These investments include private equity and debt funds that typically invest primarily in various strategies including domestic and international leveraged buyout funds; power, energy, timber and infrastructure development funds; venture capital funds; and below investment grade debt and mezzanine debt funds. Distributions will be generated from investment gains, from operating income from the underlying investments of the funds and from liquidation of the underlying assets of the funds. It is estimated that the underlying assets of the funds will be liquidated over the next two to 10 years. Unfunded commitments for these investments at both March 31, 2015 and 2014 were not significant.

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:



	March 31, 2015
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	61,808	$	—	$	—	$	64,567	$	64,567
Policy loans	$	11,606	$	—	$	1,664	$	12,403	$	14,067
Real estate joint ventures	$	56	$	—	$	—	$	136	$	136
Other limited partnership interests	$	643	$	—	$	—	$	834	$	834
Other invested assets	$	598	$	157	$	41	$	400	$	598
Premiums, reinsurance and other receivables	$	4,251	$	—	$	1,904	$	2,447	$	4,351
Other assets	$	248	$	—	$	171	$	66	$	237
Liabilities
Policyholder account balances	$	130,996	$	—	$	—	$	136,355	$	136,355
Long-term debt	$	17,564	$	—	$	20,042	$	—	$	20,042
Collateral financing arrangements	$	4,196	$	—	$	—	$	3,958	$	3,958
Junior subordinated debt securities	$	3,193	$	—	$	4,353	$	—	$	4,353
Other liabilities	$	6,305	$	—	$	4,984	$	1,323	$	6,307
Separate account liabilities	$	119,568	$	—	$	119,568	$	—	$	119,568



	December 31, 2014
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	59,530	$	—	$	—	$	62,554	$	62,554
Policy loans	$	11,618	$	—	$	1,647	$	12,287	$	13,934
Real estate joint ventures	$	67	$	—	$	—	$	139	$	139
Other limited partnership interests	$	704	$	—	$	—	$	906	$	906
Other invested assets	$	562	$	172	$	70	$	320	$	562
Premiums, reinsurance and other receivables	$	3,070	$	—	$	713	$	2,444	$	3,157
Other assets	$	251	$	—	$	175	$	68	$	243
Liabilities
Policyholder account balances	$	134,219	$	—	$	—	$	139,359	$	139,359
Long-term debt	$	16,128	$	—	$	18,357	$	—	$	18,357
Collateral financing arrangements	$	4,196	$	—	$	—	$	3,961	$	3,961
Junior subordinated debt securities	$	3,193	$	—	$	4,173	$	—	$	4,173
Other liabilities	$	2,544	$	—	$	1,223	$	1,323	$	2,546
Separate account liabilities	$	116,665	$	—	$	116,665	$	—	$	116,665

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References+ Details