XML 48 R30.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2014

Financial assets and liabilities carried at fair value

March 31, 2014
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Financial assets at fair value:
Fixed maturities:
Federal government and agency	$	497	$	631	$	-	$	1,128
State and local government		-		2,096		-		2,096
Foreign government		-		1,557		26		1,583
Corporate		-		11,309		505		11,814
Federal agency mortgage-backed		-		71		-		71
Other mortgage-backed		-		79		1		80
Other asset-backed		-		260		618		878
Total fixed maturities⁽¹⁾		497		16,003		1,150		17,650
Equity securities		1		78		48		127
Subtotal		498		16,081		1,198		17,777
Short-term investments		-		394		-		394
GMIB assets⁽²⁾		-		-		815		815
Other derivative assets⁽³⁾		-		2		-		2
Total financial assets at fair value, excluding separate accounts	$	498	$	16,477	$	2,013	$	18,988
Financial liabilities at fair value:
GMIB liabilities	$	-	$	-	$	794	$	794
Other derivative liabilities⁽³⁾		-		16		-		16
Total financial liabilities at fair value	$	-	$	16	$	794	$	810

(1) Fixed maturities included $605 million of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $82 million of appreciation for securities classified in Level 3.

(2) The GMIB assets represent retrocessional contracts in place from three external reinsurers that cover the exposures on these contracts. See Note 5 for additional information.

(3) Other derivative assets and other derivative liabilities reflected foreign currency and interest rate swaps qualifying as cash flow hedges. See Note 9 for additional information.

December 31, 2013
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Financial assets at fair value:
Fixed maturities:
Federal government and agency	$	297	$	583	$	-	$	880
State and local government		-		2,144		-		2,144
Foreign government		-		1,421		23		1,444
Corporate		-		10,476		505		10,981
Federal agency mortgage-backed		-		76		-		76
Other mortgage-backed		-		76		1		77
Other asset-backed		-		282		602		884
Total fixed maturities⁽¹⁾		297		15,058		1,131		16,486
Equity securities		8		74		59		141
Subtotal		305		15,132		1,190		16,627
Short-term investments		-		631		-		631
GMIB assets⁽²⁾		-		-		751		751
Other derivative assets⁽³⁾		-		3		-		3
Total financial assets at fair value, excluding separate accounts	$	305	$	15,766	$	1,941	$	18,012
Financial liabilities at fair value:
GMIB liabilities	$	-	$	-	$	741	$	741
Other derivative liabilities⁽³⁾		-		16		-		16
Total financial liabilities at fair value	$	-	$	16	$	741	$	757

(1) Fixed maturities included $458 million of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $60 million of appreciation for securities classified in Level 3.

(2) The GMIB assets represented retrocessional contracts in place from three external reinsurers that cover the exposures on these contracts. See Note 5 for additional information.

(3) Other derivative assets reflected interest rate and foreign currency swaps qualifying as cash flow hedges. Other derivative liabilities included $15 million of interest rate and foreign currency swaps qualifying as cash flow hedges and $1 million of interest rate and foreign currency swaps not designated as accounting hedges. See Note 9 for additional information.

Level 3 fixed maturities and equity securities priced using significant unobservable inputs

	March 31,		December 31,
(In millions)	2014		2013
Other asset and mortgage-backed securities - valued using pricing models	$	619	$	603
Corporate and government fixed maturities - valued using pricing models		443		417
Corporate fixed maturities - valued at transaction price		88		111
Equity securities - valued at transaction price		48		59
Total	$	1,198	$	1,190

Level 3 fixed maturities and equity securities priced using significant unobservable inputs developed directly by the Company


As of March 31, 2014			Unobservable Input	Unobservable Adjustment to Discount Rates Range (Weighted Average) in Basis Points
(In millions except basis points)		Fair Value	Unobservable Input
Other asset and mortgage-backed securities	$	610	Liquidity	40-530 (160)
			Weighting of credit spreads	130-2,410 (300)
Corporate and government fixed maturities	$	366	Liquidity	80-490 (190)


As of December 31, 2013			Unobservable Input	Unobservable Adjustment to Discount Rates Range (Weighted Average) in Basis Points
(In millions except basis points)		Fair Value	Unobservable Input
Other asset and mortgage-backed securities	$	593	Liquidity	60 - 620 (170)
			Weighting of credit spreads	120 - 2,090 (290)
Corporate and government fixed maturities	$	305	Liquidity	80 - 370 (200)

Changes in level 3 financial assets and liabilities carried at fair value

For the Three Months Ended March 31, 2014
	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at January 1, 2014	$	1,190	$	751	$	(741)	$	10
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		77		(77)		-
Other		12		(1)		12		11
Total gains (losses) included in shareholders' net income		12		76		(65)		11
Gains included in other comprehensive income		8		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		22		-		-		-
Purchases, sales and settlements:
Purchases		24		-		-		-
Sales		(24)		-		-		-
Settlements		(61)		(12)		12		-
Total purchases, sales and settlements		(61)		(12)		12		-
Transfers into/(out of) Level 3:
Transfers into Level 3		124		-		-		-
Transfers out of Level 3		(97)		-		-		-
Total transfers into/(out of) Level 3		27		-		-		-
Balance at March 31, 2014	$	1,198	$	815	$	(794)	$	21
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	1	$	76	$	(65)	$	11

(1) Amounts do not accrue to shareholders.

For the Three Months Ended March 31, 2013
	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at January 1, 2013	$	1,351	$	622	$	(1,170)	$	(548)
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		(49)		49		-
Other		6		1		-		1
Total gains (losses) included in shareholders' net income		6		(48)		49		1
Losses included in other comprehensive income		(1)		-		-		-
Losses required to adjust future policy benefits for settlement annuities⁽¹⁾		(5)		-		-		-
Purchases, sales and settlements:
Purchases		5		-		-		-
Sales		(12)		-		-		-
Settlements		(51)		543		22		565
Total purchases, sales and settlements		(58)		543		22		565
Transfers into/(out of) Level 3:
Transfers into Level 3		54		-		-		-
Transfers out of Level 3		(59)		-		-		-
Total transfers into/(out of) Level 3		(5)		-		-		-
Balance at March 31, 2013	$	1,288	$	1,117	$	(1,099)	$	18
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	2	$	(48)	$	49	$	1

(1) Amounts do not accrue to shareholders.

Separate account assets schedule

March 31, 2014
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Guaranteed separate accounts (See Note 16)	$	276	$	272	$	-	$	548
Non-guaranteed separate accounts⁽¹⁾		1,847		4,924		1,069		7,840
Total separate account assets	$	2,123	$	5,196	$	1,069	$	8,388

(1) As of March 31, 2014, non-guaranteed separate accounts included $3.9 billion in assets supporting the Company's pension plans, including $1,015 million classified in Level 3.

December 31, 2013
(In millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Guaranteed separate accounts (See Note 16)	$	264	$	284	$	-	$	548
Non-guaranteed separate accounts⁽¹⁾		1,844		4,825		1,035		7,704
Total separate account assets	$	2,108	$	5,109	$	1,035	$	8,252

(1) As of December 31, 2013, non-guaranteed separate accounts included $3.8 billion in assets supporting the Company's pension plans, including $983 million classified in Level 3.

Changes in level 3 separate account assets

	Three Months Ended
	March 31,
(In millions)	2014		2013
Balance at January 1	$	1,035	$	1,005
Policyholder gains⁽¹⁾		32		7
Purchases, sales and settlements:
Purchases		44		31
Sales		-		-
Settlements		(47)		(30)
Total purchases, sales and settlements		(3)		1
Transfers into/(out of) Level 3:
Transfers into Level 3		7		-
Transfers out of Level 3		(2)		(2)
Total transfers into/(out of) Level 3		5		(2)
Balance at March 31,	$	1,069	$	1,011

(1) Included in this amount are gains of $32 million attributable to instruments still held at March 31, 2014 and gains of $7 million attributable to instruments still held at March 31, 2013.

Financial instruments not carried at fair value

(In millions)			March 31, 2014				December 31, 2013
	Classification in the Fair Value Hierarchy		Fair Value		Carrying Value		Fair Value		Carrying Value
Commercial mortgage loans	Level 3	$	2,222	$	2,125	$	2,338	$	2,252
Contractholder deposit funds, excluding universal life products	Level 3	$	1,131	$	1,119	$	1,081	$	1,072
Long-term debt, including current maturities, excluding capital leases	Level 2	$	5,629	$	4,981	$	5,550	$	4,997

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ 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