FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2016

Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value Measurements at March 31, 2016



	Level 1			Level 2			Level 3		Total
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	—		$	20,342		$	498	$	20,840
U.S. Treasury, government and agency	—			11,006			—		11,006
States and political subdivisions	—			472			45		517
Foreign governments	—			372			—		372
Commercial mortgage-backed	—			23			448		471
Residential mortgage-backed⁽¹⁾	—			617			—		617
Asset-backed⁽²⁾	—			31			37		68
Redeemable preferred stock	237			392			—		629
Subtotal	237			33,255			1,028		34,520
Other equity investments	85			—			8		93
Assets of consolidated VIEs:
Investments	77			151			15		243
Other asset - derivatives	—			66			—		66
Trading securities	559			6,563			2		7,124
Other invested assets:
Short-term investments	—			463			—		463
Swaps	—			468			—		468
Credit Default Swaps	—			(11		)	—		(11		)
Futures	(3		)	—			—		(3		)
Options	—			419			—		419
Floors	—			50			—		50
Margin	(5		)	—			—		(5		)
Currency Contracts	—			(1		)	—		(1		)
Subtotal	(8		)	1,388			—		1,380
Cash equivalents	2,463			—			—		2,463
Segregated securities	—			724			—		724
GMIB reinsurance contract asset	—			—			12,207		12,207
Separate Accounts’ assets	103,537			2,841			323		106,701
Total Assets	$	106,950		$	44,988		$	13,583	$	165,521
Liabilities
GWBL and Other Features’ liability	$	—		$	—		$	265	$	265
SCS, SIO, MSO and IUL indexed features’ liability	—			336			—		336
Liabilities of consolidated VIEs - Derivatives	—			66			—		66
Contingent payment arrangements							31		31
Total Liabilities	$	—		$	402		$	296	$	698


(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, 2015



	Level 1			Level 2			Level 3		Total
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	—		$	19,882		$	420	$	20,302
U.S. Treasury, government and agency	—			8,775			—		8,775
States and political subdivisions	—			459			45		504
Foreign governments	—			414			1		415
Commercial mortgage-backed	—			30			503		533
Residential mortgage-backed⁽¹⁾	—			640			—		640
Asset-backed⁽²⁾	—			37			40		77
Redeemable preferred stock	258			389			—		647
Subtotal	258			30,626			1,009		31,893
Other equity investments	97			—			49		146
Trading securities	654			6,151			—		6,805
Other invested assets:
Short-term investments	—			369			—		369
Swaps	—			230			—		230
Credit Default Swaps	—			(22		)	—		(22		)
Futures	(1		)	—			—		(1		)
Options	—			390			—		390
Floors	—			61			—		61
Currency Contracts	—			1			—		1
Subtotal	(1		)	1,029			—		1,028
Cash equivalents	2,150			—			—		2,150
Segregated securities	—			565			—		565
GMIB reinsurance contract asset	—			—			10,570		10,570
Separate Accounts’ assets	104,058			2,964			313		107,335
Total Assets	$	107,216		$	41,335		$	11,941	$	160,492
Liabilities:
GWBL and Other Features’ liability	$	—		$	—		$	184	$	184
SCS, SIO, MSO and IUL indexed features’ liability	—			310			—		310
Contingent payment arrangements	—			—			31		31
Total Liabilities	$	—		$	310		$	215	$	525


(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 first quarters of 2016 and 2015, respectively:

Level 3 Instruments

Fair Value Measurements



	Corporate			State and Political Sub- divisions		Foreign Govts		Commercial Mortgage- backed		Residential Mortgage- backed		Asset- backed
	(In Millions)
Balance, January 1, 2016	$	420		$	45	1		503		$	—	$	40
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—			—		—		—		—		—
Investment gains (losses), net	—			—		—		(6	)	—		—
Subtotal	—			—		—		(6	)	—		—
Other comprehensive income (loss)	10			—		—		(12	)	—		—
Purchases	62			—		—		—		—		—
Issues	—			—		—		—		—		—
Sales	(36		)	—		—		(34	)	—		(3		)
Settlements	—			—		—		—		—		—
Transfers into Level 3⁽¹⁾	42			—		—		—		—		—
Transfers out of Level 3⁽¹⁾	—			—		(1	)	(3	)	—		—
Balance, March 31, 2016	$	498		$	45	—		448		$	—	$	37
Balance, January 1, 2015	$	380		$	47	—		715		$	2	$	53
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—			—		—		—		—		—
Investment gains (losses), net	—			—		—		(2	)	—		—
Subtotal	—			—		—		(2	)	—		—
Other comprehensive income (loss)	4			1		—		13		—		(1		)
Purchases	30			—		—		—		—		—
Issues	—			—		—		—		—		—
Sales	(8		)	—		—		(25	)	—		(1		)
Transfers into Level 3⁽¹⁾	39			—		2		—		—		—
Transfers out of Level 3⁽¹⁾	(46		)	—		—		(15	)	—		—
Balance, March 31, 2015	$	399		$	48	2		686		$	2	$	51



	Redeemable Preferred Stock		Other Equity Investments⁽²⁾			GMIB Reinsurance Asset			Separate Accounts Assets			GWBL and Other Features’ Liability			Contingent Payment Arrangement
	(In Millions)
Balance, January 1, 2016	$	—	$	17		$	10,570		$	313		$	184		$	31
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—		—			—			—			—			1
Investment gains (losses), net	—		—			—			7			—			—
Increase (decrease) in the fair value of the reinsurance contract asset	—		—			1,598			—			—			—
Policyholders’ benefits	—		—			—			—			30			—
Subtotal	—		—			1,598			7			30			1
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		2			55			6			51			—
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		—			(16		)	—			—			—
Settlements⁽⁵⁾	—		—			—			(3		)	—			(1		)
Transfers into Level 3⁽¹⁾	—		6			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, March 31, 2016	$	—	$	25		$	12,207		$	323		$	265		31
Balance, January 1, 2015	$	—	$	61		$	10,711		$	260		$	128		42
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—		—			—			—			—			1
Investment gains (losses), net	—		(5		)	—			8			—			—
Increase (decrease) in the fair value of the reinsurance contract asset	—		—			645			—			—			—
Policyholders’ benefits	—		—			—			—			(2		)	—
Subtotal	—		(5		)	645			8			(2		)	1
Other comprehensive income (loss)	—		3			—			—			—			—
Purchases⁽³⁾	—		—			56			3			41			—
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		—			(11		)	(1		)	—			—
Settlements⁽⁵⁾	—		—			—			(1		)	—			(1		)
Transfers into Level 3⁽¹⁾	—		—			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			(2		)	—			—
Balance, March 31, 2015	$	—	$	59		$	11,401		$	267		$	167		42


(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 payments under the arrangement.

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 first quarters of 2016 and 2015 by category for Level 3 assets and liabilities still held at March 31, 2016 and 2015, respectively:



	Earnings (Loss)
	Investment Gains (Losses), Net		Increase (Decrease) in the Fair Value of the Reinsurance Contract Asset		OCI			Policy- holders’ Benefits
	(In Millions)
Level 3 Instruments
First Quarter 2016
Held at March 31, 2016:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	11		$	—
Commercial mortgage-backed	—		—		(12		)	—
Asset-backed	—		—		—			—
Other fixed maturities, available-for-sale	—		—		—			—
Subtotal	$	—	$	—	$	(1	)	$	—
GMIB reinsurance contracts	—		1,637		—			—
Separate Accounts’ assets	7		—		—			—
GWBL and Other Features’ liability	—		—		—			81
Total	$	7	$	1,637	$	(1	)	$	81
Level 3 Instruments
First Quarter 2015
Held at March 31, 2015:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	5		$	—
State and political subdivisions	—		—		1			—
Commercial mortgage-backed	—		—		12			—
Asset-backed	—		—		(1		)	—
Other fixed maturities, available-for-sale	—		—		—			—
Subtotal	$	—	$	—	$	17		$	—
GMIB reinsurance contracts	—		690		—			—
Separate Accounts’ assets	8		—		—			—
GWBL and Other Features’ liability	—		—		—			(39		)
Total	$	8	$	690	$	17		$	(39	)

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 March 31, 2016 and December 31, 2015, respectively.

Quantitative Information about Level 3 Fair Value Measurements

March 31, 2016



	Fair Value		Valuation Technique	Significant Unobservable Input	Range
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	70	Matrix pricing model	Spread over the industry-specific benchmark yield curve	25 bps - 565 bps
	182		Market comparable companies	EBITDA multiples Discount rate Cash flow multiples	5.9x- 18.3x 7.0%-13.5% 14.0x-16.5x
Asset-backed	3		Matrix pricing model	Spread over U.S. Treasury curve	30 bps - 687 bps
Other equity investments	10		Market comparable companies	Revenue multiple Marketablility discount	2.7x - 4.4x 30.0%
Separate Accounts’ assets	280		Third party appraisal	Capitalization rate	4.8%
				Exit capitalization rate	5.8%
				Discount rate	6.7%
	6		Discounted cash flow	Spread over U.S. Treasury curve	287 bps - 424 bps
				Gross domestic product rate	0%- 0%
				Discount factor	2.12%- 5.50%
GMIB reinsurance contract asset	12,207		Discounted cash flow	Lapse Rates	1.5%- 5.7%
				Withdrawal Rates	0.0% - 8.0%
				GMIB Utilization Rates	0.0% - 8.0%
				Non-performance risk	4 bps - 16 bps
				Volatility rates - Equity	8% - 34%
Liabilities:
GWBLand other features liability	$	265	Discounted Cash flow	Lapse Rates	1.0% - 11.0%
				Withdrawal Rates	0.0% - 8.0%
				Volatility rates - Equity	8% - 34%

Quantitative Information about Level 3 Fair Value Measurements

December 31, 2015



	Fair Value		Valuation Technique	Significant Unobservable Input	Range
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	61	Matrix pricing model	Spread over the industry-specific benchmark yield curve	50 bps - 565 bps
	154		Market comparable companies	EBITDA multiples Discount Rate Cash flow Multiples	7.8x-19.1x 7.0% - 12.6% 14.0x - 16.5x
Asset-backed	3		Matrix pricing model	Spread over U.S. Treasury curve	30 bps - 687 bps
Other equity investments	10		Market comparable companies	Revenue multiple Marketable Discount	2.5x - 4.8x 30.0%
Separate Accounts’ assets	271		Third party appraisal	Capitalization rate	4.9%
				Exit capitalization rate	5.9%
				Discount rate	6.7%
	7		Discounted cash flow	Spread over U.S. Treasury curve	280 bps - 411 bps
				Gross domestic product rate	0.0% - 1.09%
				Discount factor	2.3% - 5.9%
GMIB reinsurance contract asset	10,570		Discounted Cash flow	Lapse Rates	0.6% - 5.7%
				Withdrawal Rates	0.2% - 8.0%
				GMIB Utilization Rates	0.0% - 15.0%
				Non-performance risk	5 bps - 18 bps
				Volatility rates - Equity	9.0%- 35.0%
Liabilities:
GWBL and other features liability	$	184	Discounted Cash flow	Lapse Rates	1.0% - 11.0%
				Withdrawal Rates	0.0% - 8.0%
				Volatility rates - Equity	9.0% -35.0%

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at March 31, 2016 and December 31, 2015 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
	Carrying Value		Level 1		Level 2		Level 3		Total
	(In Millions)
March 31, 2016:
Mortgage loans on real estate	$	7,696	$	—	$	—	$	7,865	$	7,865
Policy loans	3,381		—		—		4,451		4,451
Loans to affiliates	704		—		795		—		795
Policyholders’ account balances: Investment contracts	2,700		—		—		2,868		2,868
Short-term debt	486		—		486		—		486
Separate Account Liabilities	5,310		—		—		5,310		5,310
December 31, 2015:
Mortgage loans on real estate	$	7,171	$	—	$	—	$	7,257	$	7,257
Policy loans	3,393		—		—		4,343		4,343
Loans to affiliates	1,087		—		795		390		1,185
Policyholders’ account balances: Investment contracts	2,701		—		—		2,806		2,806
Short-term debt	584		—		584		—		584
Separate Account Liabilities	5,124		—		—		5,124		5,124