Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

Financial assets and liabilities carried at fair value

	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(In millions)	(Level 1)		(Level 2)		(Level 3)		Total
March 31, 2016
Financial assets at fair value:
Fixed maturities:
Federal government and agency	$	183	$	569	$	-	$	752
State and local government		-		1,603		-		1,603
Foreign government		-		2,068		4		2,072
Corporate		-		14,661		406		15,067
Mortgage-backed		-		40		1		41
Other asset-backed		-		243		309		552
Total fixed maturities⁽¹⁾		183		19,184		720		20,087
Equity securities		33		89		72		194
Subtotal		216		19,273		792		20,281
Short-term investments		-		465		-		465
GMIB assets⁽²⁾		-		-		957		957
Other derivative assets⁽³⁾		-		11		-		11
Total financial assets at fair value, excluding separate accounts	$	216	$	19,749	$	1,749	$	21,714
Financial liabilities at fair value:
GMIB liabilities	$	-	$	-	$	941	$	941
Other derivative liabilities		-		1		-		1
Total financial liabilities at fair value	$	-	$	1	$	941	$	942
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⁽³⁾		-		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 $622 million as of March 31, 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 $42 million as of March 31, 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.

(3) Other derivative assets included $10 million as of March 31, 2016 and $15 million as of December 31, 2015 of interest rate and foreign currency swaps qualifying as cash flow hedges and $1 million as of March 31, 2016 and December 31, 2015 of interest rate swaps qualifying as fair value hedges. See Note 9 for additional information.

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	Unobservable Input	Unobservable Adjustment Range (Weighted Average)
As of March 31, 2016
Fixed maturities:
Other asset and mortgage-backed securities	$	310	Liquidity	60 - 450 (190) bps
			Weighting of credit spreads	180 - 680 (230) bps
Corporate and government fixed maturities		360	Liquidity	70 - 1,150 (360) bps
Total fixed maturities		670
Equity securities		72	Price-to-earnings multiples	4.2 - 11.6 (8.2)
Subtotal		742
Securities not priced by the Company⁽¹⁾		50
Total Level 3 securities	$	792
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 March 31, 2016	Changes in Level 3 financial assets and financial liabilities
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at January 1, 2016	$	726	$	907	$	(885)	$	22
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		61		(61)		-
Other		(25)		(1)		(5)		(6)
Total gains (losses) included in shareholders' net income		(25)		60		(66)		(6)
Gains included in other comprehensive income		-		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		11		-		-		-
Purchases, sales and settlements:
Purchases		24		-		-		-
Sales		-		-		-		-
Settlements		(11)		(10)		10		-
Total purchases, sales and settlements		13		(10)		10		-
Transfers into/(out of) Level 3:
Transfers into Level 3		128		-		-		-
Transfers out of Level 3		(61)		-		-		-
Total transfers into/(out of) Level 3		67		-		-		-
Balance at March 31, 2016	$	792	$	957	$	(941)	$	16
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	(25)	$	60	$	(66)	$	(6)

For the Three Months Ended March 31, 2015	Changes in Level 3 financial assets and financial liabilities
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at January 1, 2015	$	857	$	953	$	(929)	$	24
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		27		(27)		-
Other		13		(1)		(1)		(2)
Total gains (losses) included in shareholders' net income		13		26		(28)		(2)
Gains included in other comprehensive income		2		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		6		-		-		-
Purchases, sales and settlements:
Purchases		11		-		-		-
Sales		(18)		-		-		-
Settlements		(3)		(9)		9		-
Total purchases, sales and settlements		(10)		(9)		9		-
Transfers into/(out of) Level 3:
Transfers into Level 3		1		-		-		-
Transfers out of Level 3		(51)		-		-		-
Total transfers into/(out of) Level 3		(50)		-		-		-
Balance at March 31, 2015	$	818	$	970	$	(948)	$	22
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	-	$	26	$	(28)	$	(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
March 31, 2016
Guaranteed separate accounts (See Note 16)	$	231	$	273	$	-	$	504
Non-guaranteed separate accounts⁽¹⁾		1,372		4,862		317		6,551
Subtotal	$	1,603	$	5,135	$	317		7,055
Non-guaranteed separate accounts priced at NAV as a practical expedient⁽¹⁾								930
Total separate account assets							$	7,985
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 as of March 31, 2016 and December 31, 2015 included $3.6 billion in assets supporting the Company's pension plans, with $0.3 billion classified in Level 3 and $0.9 billion priced at NAV, as a practical expedient.

Changes in level 3 separate account assets

	Three Months Ended
	March 31,
(In millions)	2016		2015
Balance, beginning of period	$	297	$	255
Policyholder gains (losses)		(1)		1
Purchases, sales and settlements:
Purchases		4		10
Sales		(1)		-
Settlements		(2)		(3)
Total purchases, sales and settlements		1		7
Transfers into/(out of) Level 3:
Transfers into Level 3		23		-
Transfers out of Level 3		(3)		(4)
Total transfers into/(out of) Level 3		20		(4)
Balance, end of period	$	317	$	259

Separate account assets priced at net asset value

	Fair Value as of
(In millions)	March 31, 2016		December 31, 2015		Unfunded Commitments		Redemption Frequency (if currently eligible)*	Redemption Notice Period*
Security Partnerships	$	432	$	406	$	274	Not applicable	Not applicable
Real Estate Funds		266		261	0		Quarterly	45-90 days
Hedge Funds		232		261		0	Up to Annually, varying by fund	30-90 days
Total	$	930	$	928	$	274

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

Financial instruments not carried at fair value

(In millions)			March 31, 2016				December 31, 2015
	Classification in the Fair Value Hierarchy		Fair Value		Carrying Value		Fair Value		Carrying Value
Commercial mortgage loans	Level 3	$	1,903	$	1,848	$	1,911	$	1,864
Contractholder deposit funds, excluding universal life products	Level 3	$	1,195	$	1,187	$	1,151	$	1,148
Long-term debt, including current maturities, excluding capital leases	Level 2	$	5,573	$	5,040	$	5,515	$	5,020