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Fair Value Measurements (Tables)
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12 Months Ended |
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Dec. 31, 2014
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| Fair Value Disclosures [Abstract] |
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| Assets and liabilities measured at fair value |
Assets and liabilities measured and carried at fair value in the financial statements are summarized below (in millions): | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | December 31, 2014 | | | | | | | | Assets: | | | | | | | | Available for sale (“AFS”) fixed maturities: | | | | | | | | U.S. Government and government agencies | $ | 164 |
| | $ | 174 |
| | $ | 15 |
| | $ | 353 |
| States, municipalities and political subdivisions | — |
| | 6,647 |
| | 100 |
| | 6,747 |
| Foreign government | — |
| | 194 |
| | — |
| | 194 |
| Residential MBS | — |
| | 4,142 |
| | 300 |
| | 4,442 |
| Commercial MBS | — |
| | 2,407 |
| | 44 |
| | 2,451 |
| Asset-backed securities (“ABS”) | — |
| | 3,661 |
| | 226 |
| | 3,887 |
| Corporate and other | 36 |
| | 12,078 |
| | 546 |
| | 12,660 |
| Total AFS fixed maturities | 200 |
| | 29,303 |
| | 1,231 |
| | 30,734 |
| Trading fixed maturities | 12 |
| | 254 |
| | — |
| | 266 |
| Equity securities | 1,306 |
| | 297 |
| | 93 |
| | 1,696 |
| Assets of managed investment entities (“MIE”) | 174 |
| | 2,903 |
| | 31 |
| | 3,108 |
| Variable annuity assets (separate accounts) (*) | — |
| | 662 |
| | — |
| | 662 |
| Other investments — derivatives | — |
| | 322 |
| | — |
| | 322 |
| Total assets accounted for at fair value | $ | 1,692 |
| | $ | 33,741 |
| | $ | 1,355 |
| | $ | 36,788 |
| Liabilities: | | | | | | | | Liabilities of managed investment entities | $ | 118 |
| | $ | — |
| | $ | 2,701 |
| | $ | 2,819 |
| Derivatives in annuity benefits accumulated | — |
| | — |
| | 1,160 |
| | 1,160 |
| Other liabilities — derivatives | — |
| | 13 |
| | — |
| | 13 |
| Total liabilities accounted for at fair value | $ | 118 |
| | $ | 13 |
| | $ | 3,861 |
| | $ | 3,992 |
| | | | | | | | | December 31, 2013 | | | | | | | | Assets: | | | | | | | | Available for sale fixed maturities: | | | | | | | | U.S. Government and government agencies | $ | 147 |
| | $ | 152 |
| | $ | 15 |
| | $ | 314 |
| States, municipalities and political subdivisions | — |
| | 5,311 |
| | 61 |
| | 5,372 |
| Foreign government | — |
| | 208 |
| | — |
| | 208 |
| Residential MBS | — |
| | 3,994 |
| | 316 |
| | 4,310 |
| Commercial MBS | — |
| | 2,696 |
| | 28 |
| | 2,724 |
| Asset-backed securities | — |
| | 2,418 |
| | 75 |
| | 2,493 |
| Corporate and other | 28 |
| | 10,672 |
| | 335 |
| | 11,035 |
| Total AFS fixed maturities | 175 |
| | 25,451 |
| | 830 |
| | 26,456 |
| Trading fixed maturities | — |
| | 305 |
| | — |
| | 305 |
| Equity securities | 1,023 |
| | 125 |
| | 31 |
| | 1,179 |
| Assets of managed investment entities | 266 |
| | 2,592 |
| | 30 |
| | 2,888 |
| Variable annuity assets (separate accounts) (*) | — |
| | 665 |
| | — |
| | 665 |
| Other investments — derivatives | — |
| | 274 |
| | — |
| | 274 |
| Total assets accounted for at fair value | $ | 1,464 |
| | $ | 29,412 |
| | $ | 891 |
| | $ | 31,767 |
| Liabilities: | | | | | | | | Liabilities of managed investment entities | $ | 156 |
| | $ | — |
| | $ | 2,411 |
| | $ | 2,567 |
| Derivatives in annuity benefits accumulated | — |
| | — |
| | 804 |
| | 804 |
| Other liabilities — derivatives | — |
| | 10 |
| | — |
| | 10 |
| Total liabilities accounted for at fair value | $ | 156 |
| | $ | 10 |
| | $ | 3,215 |
| | $ | 3,381 |
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(*) Variable annuity liabilities equal the fair value of variable annuity assets.
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| Fair value measurements, Levels 1 and 2 transfers |
The transfers between Level 1 and Level 2 for the years ended December 31, 2014, 2013 and 2012 are reflected in the table below at fair value as of the end of the reporting period (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Level 2 To Level 1 Transfers | | Level 1 To Level 2 Transfers | | # of Transfers | | Fair Value | | # of Transfers | | Fair Value | | 2014 | | 2013 | | 2012 | | 2014 | | 2013 | | 2012 | | 2014 | | 2013 | | 2012 | | 2014 | | 2013 | | 2012 | Perpetual preferred stocks | 14 |
| | 15 |
| | 2 |
| | $ | 96 |
| | $ | 70 |
| | $ | 16 |
| | 13 |
| | 2 |
| | 7 |
| | $ | 83 |
| | $ | 10 |
| | $ | 41 |
| Common stocks | — |
| | 2 |
| | — |
| | — |
| | 35 |
| | — |
| | 7 |
| | — |
| | — |
| | 26 |
| | — |
| | — |
| Redeemable preferred stocks | 1 |
| | 3 |
| | 1 |
| | 5 |
| | 21 |
| | 2 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | — |
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| Unobservable inputs used by management in determining fair value of embedded derivatives |
The following table presents information about the unobservable inputs used by management in determining fair value of these embedded derivatives. See Note F — “Derivatives.”
| | | | Unobservable Input | | Range | Adjustment for insurance subsidiary’s credit risk | | 0.40% – 1.75% over the risk free rate | Risk margin for uncertainty in cash flows | | 0.52% reduction in the discount rate | Surrenders | | 4% – 16% of indexed account value | Partial surrenders | | 2% – 6% of indexed account value | Annuitizations | | 1% – 1.5% of indexed account value | Deaths | | 1.5% – 3.0% of indexed account value | Budgeted option costs | | 2.25% – 3.5% of indexed account value |
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| Changes in balances of Level 3 financial assets and liabilities |
Changes in balances of Level 3 financial assets and liabilities carried at fair value during 2014, 2013 and 2012 are presented below (in millions). The transfers into and out of Level 3 were due to changes in the availability of market observable inputs. All transfers are reflected in the table at fair value as of the end of the reporting period. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total realized/unrealized gains (losses) included in | | | | | | | | | | | Balance at December 31, 2013 | | Net income | | Other comprehensive income (loss) | | Purchases and issuances | | Sales and settlements | | Transfer into Level 3 | | Transfer out of Level 3 | | Balance at December 31, 2014 | AFS fixed maturities: | | | | | | | | | | | | | | | | U.S. government agency | $ | 15 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 15 |
| State and municipal | 61 |
| | (1 | ) | | — |
| | 30 |
| | — |
| | 10 |
| | — |
| | 100 |
| Residential MBS | 316 |
| | 4 |
| | 3 |
| | 13 |
| | (31 | ) | | 111 |
| | (116 | ) | | 300 |
| Commercial MBS | 28 |
| | (1 | ) | | — |
| | — |
| | — |
| | 17 |
| | — |
| | 44 |
| Asset-backed securities | 75 |
| | 3 |
| | (2 | ) | | 99 |
| | (39 | ) | | 117 |
| | (27 | ) | | 226 |
| Corporate and other | 335 |
| | 2 |
| | 13 |
| | 102 |
| | (73 | ) | | 172 |
| | (5 | ) | | 546 |
| Equity securities | 31 |
| | 1 |
| | 2 |
| | 62 |
| | (9 | ) | | 22 |
| | (16 | ) | | 93 |
| Assets of MIE | 30 |
| | (3 | ) | | — |
| | 6 |
| | (2 | ) | | — |
| | — |
| | 31 |
| Liabilities of MIE (a) | (2,411 | ) | | 22 |
| | — |
| | (817 | ) | | 505 |
| | — |
| | — |
| | (2,701 | ) | Embedded derivatives (b) | (804 | ) | | (182 | ) | | — |
| | (221 | ) | | 47 |
| | — |
| | — |
| | (1,160 | ) |
| | (a) | Total realized/unrealized gains (losses) included in net income includes gains of $50 million related to liabilities outstanding as of December 31, 2014. See Note H — “Managed Investment Entities.” |
| | (b) | Total realized/unrealized gains (losses) included in net income for the embedded derivatives reflects gains related to the unlocking of actuarial assumptions of $58 million in 2014. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total realized/unrealized gains (losses) included in | | | | | | | | | | | Balance at December 31, 2012 | | Net income | | Other comprehensive income (loss) | | Purchases and issuances | | Sales and settlements | | Transfer into Level 3 | | Transfer out of Level 3 | | Balance at December 31, 2013 | AFS fixed maturities: | | | | | | | | | | | | | | | | U.S. government agency | $ | 20 |
| | $ | (2 | ) | | $ | (3 | ) | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 15 |
| State and municipal | 58 |
| | (1 | ) | | (2 | ) | | 10 |
| | — |
| | — |
| | (4 | ) | | 61 |
| Residential MBS | 371 |
| | 5 |
| | 24 |
| | 6 |
| | (53 | ) | | 86 |
| | (123 | ) | | 316 |
| Commercial MBS | 22 |
| | (1 | ) | | (1 | ) | | — |
| | — |
| | 8 |
| | — |
| | 28 |
| Asset-backed securities | 253 |
| | 4 |
| | (3 | ) | | 12 |
| | (57 | ) | | 11 |
| | (145 | ) | | 75 |
| Corporate and other | 236 |
| | 1 |
| | (14 | ) | | 113 |
| | (17 | ) | | 24 |
| | (8 | ) | | 335 |
| Equity securities | 37 |
| | (1 | ) | | 6 |
| | 53 |
| | (12 | ) | | — |
| | (52 | ) | | 31 |
| Assets of MIE | 40 |
| | (5 | ) | | — |
| | 8 |
| | (7 | ) | | — |
| | (6 | ) | | 30 |
| Liabilities of MIE (a) | (2,745 | ) | | (25 | ) | | — |
| | (728 | ) | | 1,068 |
| | — |
| | 19 |
| | (2,411 | ) | Embedded derivatives (b) | (465 | ) | | (182 | ) | | — |
| | (192 | ) | | 35 |
| | — |
| | — |
| | (804 | ) |
| | (a) | Total realized/unrealized gains (losses) included in net income includes gains of $7 million related to liabilities outstanding as of December 31, 2013. See Note H — “Managed Investment Entities.” |
| | (b) | Total realized/unrealized gains (losses) included in net income for the embedded derivatives reflects gains related to the unlocking of actuarial assumptions of $2 million in 2013. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total realized/unrealized gains (losses) included in | | | | | | | | | | | Balance at December 31, 2011 | | Net income | | Other comprehensive income (loss) | | Purchases and issuances | | Sales and settlements | | Transfer into Level 3 | | Transfer out of Level 3 | | Balance at December 31, 2012 | AFS fixed maturities: | | | | | | | | | | | | | | | | U.S. government agency | $ | — |
| | $ | — |
| | $ | — |
| | $ | 20 |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | 20 |
| State and municipal | 83 |
| | — |
| | 4 |
| | 19 |
| | (7 | ) | | 8 |
| | (49 | ) | | 58 |
| Residential MBS | 361 |
| | 5 |
| | 17 |
| | 96 |
| | (45 | ) | | 228 |
| | (291 | ) | | 371 |
| Commercial MBS | 19 |
| | 1 |
| | 2 |
| | — |
| | — |
| | — |
| | — |
| | 22 |
| Asset-backed securities | 228 |
| | 7 |
| | 8 |
| | 55 |
| | (36 | ) | | 14 |
| | (23 | ) | | 253 |
| Corporate and other | 291 |
| | 3 |
| | 9 |
| | 86 |
| | (35 | ) | | 15 |
| | (133 | ) | | 236 |
| Trading fixed maturities | 1 |
| | — |
| | — |
| | — |
| | — |
| | — |
| | (1 | ) | | — |
| Equity securities | 11 |
| | — |
| | 2 |
| | 30 |
| | — |
| | 13 |
| | (19 | ) | | 37 |
| Assets of MIE | 44 |
| | — |
| | — |
| | 20 |
| | (14 | ) | | 13 |
| | (23 | ) | | 40 |
| Liabilities of MIE (a) | (2,593 | ) | | (189 | ) | | — |
| | (793 | ) | | 830 |
| | — |
| | — |
| | (2,745 | ) | Embedded derivatives (b) | (361 | ) | | (57 | ) | | — |
| | (73 | ) | | 26 |
| | — |
| | — |
| | (465 | ) |
| | (a) | Total realized/unrealized gains (losses) included in net income includes losses of $125 million related to liabilities outstanding as of December 31, 2012. See Note H — “Managed Investment Entities.” |
| | (b) | Total realized/unrealized gains (losses) included in net income for the embedded derivatives reflects gains related to the unlocking of actuarial assumptions of $36 million in 2012. |
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| Fair value of financial instruments |
The carrying value and fair value of financial instruments that are not carried at fair value in the financial statements at December 31 are summarized below (in millions): | | | | | | | | | | | | | | | | | | | | | | Carrying Value | | Fair Value | | Level 1 | | Level 2 | | Level 3 | 2014 | | | | | | | | | | Financial assets: | | | | | | | | | | Cash and cash equivalents | $ | 1,343 |
| | $ | 1,343 |
| | $ | 1,343 |
| | $ | — |
| | $ | — |
| Mortgage loans | 1,117 |
| | 1,124 |
| | — |
| | — |
| | 1,124 |
| Policy loans | 228 |
| | 228 |
| | — |
| | — |
| | 228 |
| Total financial assets not accounted for at fair value | $ | 2,688 |
| | $ | 2,695 |
| | $ | 1,343 |
| | $ | — |
| | $ | 1,352 |
| Financial liabilities: | | | | | | | | | | Annuity benefits accumulated (*) | $ | 23,561 |
| | $ | 23,187 |
| | $ | — |
| | $ | — |
| | $ | 23,187 |
| Long-term debt | 1,061 |
| | 1,180 |
| | — |
| | 1,106 |
| | 74 |
| Total financial liabilities not accounted for at fair value | $ | 24,622 |
| | $ | 24,367 |
| | $ | — |
| | $ | 1,106 |
| | $ | 23,261 |
| | | | | | | | | | | 2013 | | | | | | | | | | Financial assets: | | | | | | | | | | Cash and cash equivalents | $ | 1,639 |
| | $ | 1,639 |
| | $ | 1,639 |
| | $ | — |
| | $ | — |
| Mortgage loans | 781 |
| | 779 |
| | — |
| | — |
| | 779 |
| Policy loans | 238 |
| | 238 |
| | — |
| | — |
| | 238 |
| Total financial assets not accounted for at fair value | $ | 2,658 |
| | $ | 2,656 |
| | $ | 1,639 |
| | $ | — |
| | $ | 1,017 |
| Financial liabilities: | | | | | | | | | | Annuity benefits accumulated (*) | $ | 20,741 |
| | $ | 19,959 |
| | $ | — |
| | $ | — |
| | $ | 19,959 |
| Long-term debt | 913 |
| | 985 |
| | — |
| | 909 |
| | 76 |
| Total financial liabilities not accounted for at fair value | $ | 21,654 |
| | $ | 20,944 |
| | $ | — |
| | $ | 909 |
| | $ | 20,035 |
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| | (*) | Excludes life contingent annuities in the payout phase. |
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