FAIR VALUE DISCLOSURES (Tables)

9 Months Ended

Sep. 30, 2016

Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value Measurements at September 30, 2016



	Level 1		Level 2			Level 3		Total
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Public Corporate	$	—	$	14,204		$	56	$	14,260
Private Corporate	—		6,652			683		7,335
U.S. Treasury, government and agency	—		12,357			—		12,357
States and political subdivisions	—		480			44		524
Foreign governments	—		394			—		394
Commercial mortgage-backed	—		22			374		396
Residential mortgage-backed⁽¹⁾	—		552			—		552
Asset-backed⁽²⁾	—		36			25		61
Redeemable preferred stock	238		363			—		601
Subtotal	238		35,060			1,182		36,480
Other equity investments	75		—			6		81
Assets of consolidated VIEs:
Investments	29		173			3		205
Other asset - derivatives	—		4			—		4
Trading securities	499		8,203			—		8,702
Other invested assets:
Short-term investments	—		297			—		297
Swaps	—		77			—		77
Credit Default Swaps	—		—			—		—
Futures	—		—			—		—
Options	—		742			—		742
Floors	—		23			—		23
Currency Contracts	—		(11		)	—		(11		)
Subtotal	—		1,128			—		1,128
Cash equivalents	2,696		—			—		2,696
Segregated securities	—		492			—		492
GMIB reinsurance contract asset	—		—			13,113		13,113
Separate Accounts’ assets	107,335		2,296			315		109,946
Total Assets	$	110,872	$	47,356		$	14,619	$	172,847
Liabilities
GWBL and Other Features’ liability	$	—	$	—		$	301	$	301
SCS, SIO, MSO and IUL indexed features’ liability	—		649			—		649
Liabilities of consolidated VIEs - Derivatives	—		4			—		4
Contingent payment arrangements	—		—			18		18
Total Liabilities	$	—	$	653		$	319	$	972


(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:
Public Corporate	$	—		$	13,345		$	31	$	13,376
Private Corporate	—			6,537			389		6,926
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 third quarter and first nine months 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, July 1, 2016	$	495		$	45		$	—	$	402		$	—	$	26
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—			—			—		1			—		—
Investment gains (losses), net	1			—			—		(12		)	—		—
Subtotal	1			—			—		(11		)	—		—
Other comprehensive income (loss)	(2		)	—			—		10			—		(1		)
Purchases	256			—			—		—			—		—
Issues	—			—			—		—			—		—
Sales	(21		)	(1		)	—		(21		)	—		—
Transfers into Level 3⁽¹⁾	11			—			—		—			—		—
Transfers out of Level 3⁽¹⁾	(1		)	—			—		(6		)	—		—
Balance, September 30, 2016	$	739		$	44		$	—	$	374		$	—	$	25
Balance, July 1, 2015	$	373		$	46		$	—	$	627		$	1	$	48
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—			—			—		1			—		—
Investment gains (losses), net	—			—			—		(7		)	—		—
Subtotal	—			—			—		(6		)	—		—
Other comprehensive income (loss)	(2		)	—			—		12			—		(3		)
Purchases	96			—			—		—			—		—
Issues	—			—			—		—			—		—
Sales	2			(1		)	—		(63		)	—		—
Transfers into Level 3⁽¹⁾	—			—			—		—			—		—
Transfers out of Level 3⁽¹⁾	(25		)	—			—		(30		)	—		—
Balance, September 30, 2015	$	444		$	45		$	—	$	540		$	1	$	45



	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)	(1		)	—			—			1			—			—
Investment gains (losses), net	1			—			—			(36		)	—			—
Subtotal	—			—			—			(35		)	—			—
Other comprehensive income (loss)	8			—			—			(1		)	—			1
Purchases	399			—			—			—			—			—
Issues	—			—			—			—			—			—
Sales	(89		)	(1		)	—			(81		)	—			(7		)
Settlements	—			—			—			—			—			—
Transfers into Level 3⁽¹⁾	29			—			—			—			—			—
Transfers out of Level 3⁽¹⁾	(28		)	—			(1		)	(12		)	—			(9		)
Balance, September 30, 2016	$	739		$	44		$	—		$	374		$	—		$	25
Balance, January 1, 2015	$	380		$	47		$	—		$	715		$	2		$	53
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	1			—			—			1			—			—
Investment gains (losses), net	1			—			—			(27		)	—			—
Subtotal	2			—			—			(26		)	—			—
Other comprehensive income (loss)	(3		)	(1		)	—			46			—			(3		)
Purchases	129			—			—			—			—			—
Sales	(33		)	(1		)	—			(145		)	(1		)	(5		)
Transfers into Level 3⁽¹⁾	31			—			—			—			—			—
Transfers out of Level 3⁽¹⁾	(62		)	—			—			(50		)	—			—
Balance, September 30, 2015	$	444		$	45		$	—		$	540		$	1		$	45



	Redeemable Preferred Stock		Other Equity Investments⁽²⁾			GMIB Reinsurance Asset			Separate Accounts Assets			GWBL and Other Features’ Liability			Contingent Payment Arrangement
	(In Millions)
Balance, July 1, 2016	$	—	$	18		$	13,311		$	307		$	330		$	31
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			7			—			—
Increase (decrease) in the fair value of the reinsurance contract asset	—		—			(235		)	—			—			—
Policyholders’ benefits	—		—			—			—			(88		)	—
Subtotal	—		—			(235		)	7			(88		)	—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		—			56			3			59			11
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		—			(19		)	—			—			—
Settlements⁽⁵⁾	—		—			—			(1		)	—			(24		)
Activity related to consolidated VIEs	—		15			—			—			—			—
Transfers into Level 3⁽¹⁾	—		—			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		(24		)	—			(1		)	—			—
Balance, September 30, 2016	$	—	$	9		$	13,113		$	315		$	301		$	18
Balance, July 1, 2015	$	—	$	51		$	9,951		$	283		$	109		$	(42	)
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			8			—			—
Increase (decrease) in the fair value of the reinsurance contract asset	—		—			2,214			—			—			—
Policyholders’ benefits	—		—			—			—			68			—
Subtotal	—		—			2,214			8			68			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		—			58			5			48			—
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		—			(9		)	—			—			—
Settlements⁽⁵⁾	—		—			—			(1		)	—			3
Transfers into Level 3⁽¹⁾	—		—			—			1			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			(1		)	—			—
Balance, September 30, 2015	$	—	$	51		$	12,214		$	295		$	225		$	(39	)



	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)	—		—			—			—			—			—
Investment gains (losses), net	—		(1		)	—			19			—			—
Increase (decrease) in the fair value of the reinsurance contracts	—		—			2,426			—			—			—
Policyholders’ benefits	—		—			—			—			(48		)	—
Subtotal	—		(1		)	2,426			19			(48		)	—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		—			167			12			165			11
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		—			(50		)	—			—			—
Settlements⁽⁵⁾	—		—			—			(6		)	—			(24		)
Activity related to consolidated VIEs	—		17			—			—			—			—
Transfers into Level 3⁽¹⁾	—		—			—			1			—			—
Transfers out of Level 3⁽¹⁾	—		(24		)	—			(24		)	—			—
Balance, September 30, 2016	$	—	$	9		$	13,113		$	315		$	301		$	18
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)	—		5			—			—			—			(2		)
Investment gains (losses), net	—		5			—			25			—			—
Increase (decrease) in the fair value of the reinsurance contracts	—		—			1,363			—			—			—
Policyholders’ benefits	—		—			—			—			(37		)	—
Subtotal	—		10			1,363			25			(37		)	(2		)
Other comprehensive income (loss)	—		(2		)	—			—			—			—
Purchases⁽³⁾	—		—			171			17			134			—
Issues	—		—			—			—			—			—
Sales⁽⁴⁾	—		(18		)	(31		)	(2		)	—			—
Settlements⁽⁵⁾	—		—			—			(3		)	—			5
Transfers into Level 3⁽¹⁾	—		—			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			(2		)	—			—
Balance, September 30, 2015	$	—	$	51		$	12,214		$	295		$	225		$	(39	)


(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 change in estimates.

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 third quarter and first nine months of 2016 and 2015 by category for Level 3 assets and liabilities still held at September 30, 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
Third Quarter 2016
Held at September 30, 2016:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	—		$	—
State and political subdivisions	—		—			—			—
Commercial mortgage-backed	—		—			10			—
Asset-backed	—		—			(1		)	—
Other fixed maturities, available-for-sale	—		—			—			—
Subtotal	$	—	$	—		$	9		$	—
GMIB reinsurance contracts	—		(198		)	—			—
Separate Accounts’ assets	6		—			—			—
GWBL and other features’ liability	—		—			—			(29		)
Total	$	6	$	(198	)	$	9		$	(29	)
Level 3 Instruments
Third Quarter 2015
Held at September 30, 2015:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	(2	)	$	—
State and political subdivisions	—		—			—			—
Commercial mortgage-backed	—		—			11			—
Asset-backed	—		—			(3		)	—
Other fixed maturities, available-for-sale	—		—			—			—
Subtotal	$	—	$	—		$	6		$	—
GMIB reinsurance contracts	—		2,263			—			—
Separate Accounts’ assets	8		—			—			—
GWBL and other features’ liability	—		—			—			116
Total	$	8	$	2,263		$	6		$	116



	Earnings (Loss)
	Net Investment Income (Loss)		Investment Gains (Losses), Net		Increase (Decrease) in Fair Value of Reinsurance Contracts		OCI			Policy- holders’ Benefits
	(In Millions)
Level 3 Instruments
First Nine Months of 2016
Held at September 30, 2016:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	—	$	9		$	—
State and political subdivisions	—		—		—		1			—
Commercial mortgage-backed	—		—		—		(6		)	—
Asset-backed	—		—		—		1			—
Other fixed maturities, available-for-sale	—		—		—		—			—
Subtotal	$	—	$	—	$	—	$	5		$	—
GMIB reinsurance contracts	—		—		2,543		—			—
Separate Accounts’ assets	—		19		—		—			—
GWBL and other features’ liability	—		—		—		—			117
Total	$	—	$	19	$	2,543	$	5		$	117
Level 3 Instruments
First Nine Months of 2015
Held at September 30, 2015:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	—	$	(3	)	$	—
State and political subdivisions	—		—		—		(1		)	—
Commercial mortgage-backed	—		—		—		44			—
Asset-backed	—		—		—		(3		)	—
Other fixed maturities, available-for-sale	—		—		—		—			—
Subtotal	$	—	$	—	$	—	$	37		$	—
Other equity investments	—		—		—		—			—
GMIB reinsurance contracts	—		—		1,503		—			—
Separate Accounts’ assets	—		25		—		—			—
GWBL and other features’ liability	—		—		—		—			97
Total	$	—	$	25	$	1,503	$	37		$	97

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 September 30, 2016 and December 31, 2015, respectively.

Quantitative Information about Level 3 Fair Value Measurements

September 30, 2016



	Fair Value		Valuation Technique	Significant Unobservable Input	Range
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	53	Matrix pricing model	Spread over the industry-specific benchmark yield curve	75 bps - 565 bps
	475		Market comparable companies	EBITDA multiples Discount rate Cash flow multiples	4.9x- 22.2x 7%-16.5% 14x- 16.5x
Asset-backed	2		Matrix pricing model	Spread over U.S. Treasury curve	25 bps - 687 bps
Separate Accounts’ assets	292		Third party appraisal	Capitalization rate	4.8%
				Exit capitalization rate	5.8%
				Discount rate	6.6%
	6		Discounted cash flow	Spread over U.S. Treasury curve	269 bps - 448 bps
				Discount factor	1.4%- 5.6%
GMIB reinsurance contract asset	13,113		Discounted cash flow	Lapse Rates	1.5%- 5.7%
				Withdrawal Rates	0.0% - 8.0%
				GMIB Utilization Rates	0.0% - 16.0%
				Non-performance risk	5 bps - 19 bps
				Volatility rates - Equity	9.0% - 35.0%
Liabilities:
GIB, GWBLand other features liability	301		Discounted Cash flow	Lapse Rates	1.0% - 11.0%
				Withdrawal Rates	0.0% - 8.0%
				Volatility rates - Equity	9.0% - 35.0%

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:
GIB, 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 September 30, 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)
September 30, 2016:
Mortgage loans on real estate	$	8,769	$	—	$	—	$	8,994	$	8,994
Policy loans	3,371		—		—		4,468		4,468
Loans to affiliates	704		—		795		—		795
Policyholders’ account balances: Investment contracts	3,717		—		—		3,912		3,912
Short-term debt	387		—		387		—		387
Separate Account Liabilities	5,980		—		—		5,980		5,980
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