XML 41 R29.htm IDEA: XBRL DOCUMENT v3.5.0.2
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Financial assets and liabilities carried at fair value
 Quoted Prices in Active Markets for Identical AssetsSignificant Other Observable InputsSignificant Unobservable Inputs  
(In millions)(Level 1)(Level 2)(Level 3)Total
September 30, 2016        
Financial assets at fair value:        
Fixed maturities:        
Federal government and agency $ 180$ 570$ -$ 750
State and local government  -  1,508  -  1,508
Foreign government  -  2,278  44  2,322
Corporate   -  15,714  451  16,165
Mortgage-backed   -  36  -  36
Other asset-backed   -  299  164  463
Total fixed maturities (1)  180  20,405  659  21,244
Equity securities   4  110  74  188
Subtotal  184  20,515  733  21,432
Short-term investments  -  997  -  997
GMIB assets (2)  -  -  931  931
Other derivative assets   -  7  -  7
Total financial assets at fair value, excluding separate accounts$ 184$ 21,519$ 1,664$ 23,367
Financial liabilities at fair value:        
GMIB liabilities $ -$ -$ 908$ 908
Other derivative liabilities   -  4  -  4
Total financial liabilities at fair value$ -$ 4$ 908$ 912
December 31, 2015        
Financial assets at fair value:        
Fixed maturities:        
Federal government and agency $ 251$ 528$ -$ 779
State and local government  -  1,641  -  1,641
Foreign government  -  2,010  4  2,014
Corporate   -  14,122  326  14,448
Mortgage-backed   -  48  1  49
Other asset-backed   -  198  326  524
Total fixed maturities (1)  251  18,547  657  19,455
Equity securities   32  89  69  190
Subtotal  283  18,636  726  19,645
Short-term investments  -  381  -  381
GMIB assets (2)  -  -  907  907
Other derivative assets   -  16  -  16
Total financial assets at fair value, excluding separate accounts$ 283$ 19,033$ 1,633$ 20,949
Financial liabilities at fair value:        
GMIB liabilities $ -$ -$ 885$ 885
Total financial liabilities at fair value$ -$ -$ 885$ 885

(1) Fixed maturities included $750 million as of September 30, 2016 and $483 million as of December 31, 2015 of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $19 million as of September 30, 2016 and $30 million as of December 31, 2015 of appreciation for securities classified in Level 3. See Note 8 for additional information.

(2) The GMIB assets represent retrocessional contracts in place from three external reinsurers that cover the exposures on these contracts.

 
Level 3 fixed maturities and equity securities priced using significant unobservable inputs
       
    Unobservable Input Unobservable Adjustment Range (Weighted Average)
(Fair value in millions) Fair Value  
As of September 30, 2016      
Fixed maturities:      
Other asset and mortgage-backed securities$ 164 Liquidity 60 - 330 (90) bps
    Weighting of credit spreads 200 - 610 (280) bps
Corporate and government fixed maturities  457 Liquidity 80 - 1,310 (370) bps
Total fixed maturities  621    
Equity securities  74 Price-to-earnings multiples 4.2 - 11.6 (8.2)
Subtotal  695    
Securities not priced by the Company(1)  38    
Total Level 3 securities$ 733    
As of December 31, 2015      
Fixed maturities:      
Other asset and mortgage-backed securities$ 327 Liquidity 60 - 440 (200) bps
    Weighting of credit spreads 170 - 630 (220) bps
Corporate and government fixed maturities  285 Liquidity 70 - 930 (280) bps
Total fixed maturities  612    
Equity securities  69 Price-to-earnings multiples 4.2 - 11.6 (8.3)
Subtotal  681    
Securities not priced by the Company(1)  45    
Total Level 3 securities$ 726    
(1) The fair values for these securities use single, unadjusted non-binding broker quotes not developed directly by the Company.
Changes in level 3 financial assets and liabilities carried at fair value
For the Three Months Ended September 30, 2016Changes in Level 3 financial assets and financial liabilities
(In millions)Fixed Maturities & Equity Securities GMIB AssetsGMIB LiabilitiesGMIB Net
Balance at July 1, 2016$ 743 $ 975$ (947)$ 28
Gains (losses) included in shareholders' net income:         
GMIB fair value gain/(loss)  -   (22)  22  -
Other  -   1  (6)  (5)
Total gains (losses) included in shareholders' net income  -   (21)  16  (5)
Gains included in other comprehensive income  12   -  -  -
Gains required to adjust future policy benefits for settlement annuities (1)  -   -  -  -
Purchases, sales and settlements:          
Purchases  20   -  -  -
Sales  (1)   -  -  -
Settlements  (55)   (23)  23  -
Total purchases, sales and settlements  (36)   (23)  23  -
Transfers into/(out of) Level 3:         
Transfers into Level 3  44   -  -  -
Transfers out of Level 3  (30)   -  -  -
Total transfers into/(out of) Level 3  14   -  -  -
Balance at September 30, 2016 $ 733 $ 931$ (908)$ 23
Total gains (losses) included in shareholders' net income attributable          
to instruments held at the reporting date$ - $ (21)$ 16$ (5)
          
For the Three Months Ended September 30, 2015 
(In millions)Fixed Maturities & Equity Securities GMIB AssetsGMIB LiabilitiesGMIB Net
Balance at July 1, 2015$ 666 $ 867$ (841)$ 26
Gains (losses) included in shareholders' net income:         
GMIB fair value gain/(loss)  -   104  (104)  -
Other  1   -  -  -
Total gains (losses) included in shareholders' net income  1   104  (104)  -
Losses included in other comprehensive income  (1)   -  -  -
Gains required to adjust future policy benefits for settlement annuities (1)  4   -  -  -
Purchases, sales and settlements:          
Purchases  25   -  -  -
Sales  (1)   -  -  -
Settlements  (13)   (10)  10  -
Total purchases, sales and settlements  11   (10)  10  -
Transfers into/(out of) Level 3:         
Transfers into Level 3  48   -  -  -
Transfers out of Level 3  (8)   -  -  -
Total transfers into/(out of) Level 3  40   -  -  -
Balance at September 30, 2015 $ 721 $ 961$ (935)$ 26
Total gains (losses) included in shareholders' net income attributable          
to instruments held at the reporting date$ (1) $ 104$ (104)$ -
          
(1) Amounts do not accrue to shareholders.

For the Nine Months Ended September 30, 2016Changes in Level 3 financial assets and financial liabilities
 Fixed Maturities & Equity SecuritiesGMIB AssetsGMIB LiabilitiesGMIB Net
(In millions)    
Balance at January 1, 2016$ 726$ 907$ (885)$ 22
Gains (losses) included in shareholders' net income:        
GMIB fair value gain/(loss)  -  71  (71)  -
Other  (16)  -  1  1
Total gains (losses) included in shareholders' net income  (16)  71  (70)  1
Gains included in other comprehensive income  11  -  -  -
Gains required to adjust future policy benefits for settlement annuities (1)  35  -  -  -
Purchases, sales and settlements:        
Purchases  67  -  -  -
Sales  (126)  -  -  -
Settlements  (71)  (47)  47  -
Total purchases, sales and settlements  (130)  (47)  47  -
Transfers into/(out of) Level 3:        
Transfers into Level 3  235  -  -  -
Transfers out of Level 3  (128)  -  -  -
Total transfers into/(out of) Level 3  107  -  -  -
Balance at September 30, 2016 $ 733$ 931$ (908)$ 23
Total gains (losses) included in shareholders' net income attributable        
to instruments held at the reporting date$ (11)$ 71$ (70)$ 1
For the Nine Months Ended September 30, 2015        
 Fixed Maturities & Equity SecuritiesGMIB AssetsGMIB LiabilitiesGMIB Net
(In millions)    
Balance at January 1, 2015$ 857$ 953$ (929)$ 24
Gains (losses) included in shareholders' net income:        
GMIB fair value gain/(loss)  -  37  (37)  -
Other  29  -  2  2
Total gains (losses) included in shareholders' net income  29  37  (35)  2
Losses included in other comprehensive income  (18)  -  -  -
Gains required to adjust future policy benefits for settlement annuities (1)  6  -  -  -
Purchases, sales and settlements:        
Purchases  136  -  -  -
Sales  (229)  -  -  -
Settlements  (20)  (29)  29  -
Total purchases, sales and settlements  (113)  (29)  29  -
Transfers into/(out of) Level 3:        
Transfers into Level 3  49  -  -  -
Transfers out of Level 3  (89)  -  -  -
Total transfers into/(out of) Level 3  (40)  -  -  -
Balance at September 30, 2015$ 721$ 961$ (935)$ 26
Total gains (losses) included in shareholders' net income attributable        
to instruments held at the reporting date$ (1)$ 37$ (35)$ 2
         
(1) Amounts do not accrue to shareholders.
Separate account assets schedule
(In millions)Quoted Prices in Active Markets for Identical Assets (Level 1)Significant Other Observable Inputs (Level 2)Significant Unobservable Inputs (Level 3)Total
September 30, 2016        
Guaranteed separate accounts (See Note 16)$ 246$ 271$ -$ 517
Non-guaranteed separate accounts (1)  1,407  4,947  346  6,700
Subtotal$ 1,653$ 5,218$ 346  7,217
Non-guaranteed separate accounts priced at NAV as a practical expedient (1)        939
Total separate account assets      $ 8,156
December 31, 2015     
Guaranteed separate accounts (See Note 16)$ 235$ 274$ -$ 509
Non-guaranteed separate accounts (1)  1,401  4,698  297  6,396
Subtotal$ 1,636$ 4,972$ 297  6,905
Non-guaranteed separate accounts priced at NAV as a practical expedient (1)        928
Total separate account assets      $ 7,833

(1) Non-guaranteed separate accounts included $3.7 billion as of September 30, 2016 and $3.6 billion as of December 31, 2015 in assets supporting the Company's pension plans, including $0.3 billion classified in Level 3 and $0.9 billion priced at NAV as a practical expedient for both periods.
Changes in level 3 separate account assets
  Three Months Ended Nine Months Ended
  September 30, September 30,
(In millions) 20162015 20162015
Balance, beginning of period $ 333$ 273 $ 297$ 255
Policyholder gains (losses)    2  (1)   3  (3)
Purchases, sales and settlements:          
Purchases   7  4   12  33
Sales   -  -   (1)  -
Settlements   (3)  (3)   (5)  (8)
Total purchases, sales and settlements   4  1   6  25
Transfers into/(out of) Level 3:          
Transfers into Level 3   7  16   46  16
Transfers out of Level 3   -  (3)   (6)  (7)
Total transfers into/(out of) Level 3   7  13   40  9
Balance, end of period $ 346$ 286 $ 346$ 286
           
Separate account assets priced at net asset value
 Fair Value as of     
(In millions)September 30, 2016December 31, 2015 Unfunded CommitmentsRedemption Frequency (if currently eligible)*Redemption Notice Period*
Security Partnerships$ 460 $ 406 $ 279Not applicableNot applicable
Real Estate Funds  281   261   -Quarterly45-90 days
Hedge Funds  198   261   -Up to Annually, varying by fund30-90 days
Total$ 939 $ 928 $ 279  

* The attributes noted are effective as of September 30, 2016 and December 31, 2015.

 
Financial instruments not carried at fair value
   September 30, 2016 December 31, 2015
(In millions)Classification in the Fair Value Hierarchy Fair Value Carrying Value Fair Value Carrying Value
Commercial mortgage loans Level 3$ 1,887$ 1,822$ 1,911$ 1,864
Contractholder deposit funds, excluding universal life productsLevel 3$ 1,229$ 1,218$ 1,151$ 1,148
Long-term debt, including current maturities, excluding capital leasesLevel 2$ 5,802$ 5,012$ 5,515$ 5,020