Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2017

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
June 30, 2017
Financial assets at fair value:
Fixed maturities:
Federal government and agency	$	379	$	521	$	-	$	900
State and local government		-		1,381		-		1,381
Foreign government		-		2,274		39		2,313
Corporate		-		16,982		454		17,436
Mortgage and other asset-backed		-		334		149		483
Total fixed maturities⁽¹⁾		379		21,492		642		22,513
Equity securities		410		116		109		635
Subtotal		789		21,608		751		23,148
Short-term investments		-		138		-		138
GMIB assets		-		-		777		777
Other derivative assets		-		3		-		3
Total financial assets at fair value, excluding separate accounts	$	789	$	21,749	$	1,528	$	24,066
Financial liabilities at fair value:
GMIB liabilities	$	-	$	-	$	764	$	764
Other derivative liabilities		-		7		-		7
Total financial liabilities at fair value, excluding separate accounts	$	-	$	7	$	764	$	771

(1) Fixed maturities includes $627 million of net appreciation required to adjust future policy benefits for the run-off settlement annuity business including $18 million of appreciation for securities classified in Level 3. See Note 10 for additional information.

















	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
(In millions)	(Level 1)		(Level 2)		(Level 3)		Total
December 31, 2016
Financial assets at fair value:
Fixed maturities:
Federal government and agency	$	374	$	503	$	-	$	877
State and local government		-		1,435		-		1,435
Foreign government		-		2,066		47		2,113
Corporate		-		15,552		498		16,050
Mortgage and other asset-backed		-		329		157		486
Total fixed maturities⁽¹⁾		374		19,885		702		20,961
Equity securities		396		113		74		583
Subtotal		770		19,998		776		21,544
Short-term investments		-		691		-		691
GMIB assets		-		-		799		799
Other derivative assets		-		10		-		10
Total financial assets at fair value, excluding separate accounts	$	770	$	20,699	$	1,575	$	23,044
Financial liabilities at fair value:
GMIB liabilities	$	-	$	-	$	780	$	780
Other derivative liabilities		-		5		-		5
Total financial liabilities at fair value, excluding separate accounts	$	-	$	5	$	780	$	785

(1) Fixed maturities includes $524 million of net appreciation required to adjust future policy benefits for run-off settlement annuity business including $14 million of appreciation for securities classified in Level 3. See Note 10 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 June 30, 2017
Fixed maturities:
Mortgage and other asset-backed securities	$	149	Liquidity	60 - 350 (90) bps
			Weighting of credit spreads	180 - 280 (220) bps
Corporate and government fixed maturities		470	Liquidity	70 - 980 (260) bps
Total fixed maturities		619
Equity securities:
Private equity securities		76	Price-to-EBITDA multiples	5.0 - 12.0 (8.3)
Hybrid equity securities		33	Liquidity	230 (230) bps
Total equity securities		109
Subtotal		728
Securities not priced by the Company⁽¹⁾		23
Total Level 3 securities	$	751
As of December 31, 2016
Fixed maturities:
Mortgage and other asset-backed securities	$	157	Liquidity	60 - 330 (90) bps
			Weighting of credit spreads	160 - 470 (230) bps
Corporate and government fixed maturities		490	Liquidity	80 - 1,300 (340) bps
Total fixed maturities		647
Private equity securities		74	Price-to-EBITDA multiples	4.2 - 11.6 (8.5)
Subtotal		721
Securities not priced by the Company⁽¹⁾		55
Total Level 3 securities	$	776
(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 June 30, 2017	Changes in Level 3 financial assets and financial liabilities
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at April 1, 2017	$	727	$	777	$	(761)	$	16
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		15		(15)		-
Other		1		-		(3)		(3)
Total gains (losses) included in shareholders' net income		1		15		(18)		(3)
Gains included in other comprehensive income		5		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		9		-		-		-
Purchases, sales and settlements:								-
Purchases		65		-		-		-
Sales		(23)		-		-		-
Settlements		(12)		(15)		15		-
Total purchases, sales and settlements		30		(15)		15		-
Transfers into/(out of) Level 3:								-
Transfers into Level 3		36		-		-		-
Transfers out of Level 3		(57)		-		-		-
Total transfers into/(out of) Level 3		(21)		-		-		-
Balance at June 30, 2017	$	751	$	777	$	(764)	$	13
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	-	$	15	$	(18)	$	(3)

(1) Amounts do not accrue to shareholders.



















For the Three Months Ended June 30, 2016
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at April 1, 2016	$	792	$	957	$	(941)	$	16
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		32		(32)		-
Other		9		-		12		12
Total gains (losses) included in shareholders' net income		9		32		(20)		12
Losses included in other comprehensive income		(1)		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		24		-		-		-
Purchases, sales and settlements:
Purchases		23		-		-		-
Sales		(125)		-		-		-
Settlements		(5)		(14)		14		-
Total purchases, sales and settlements		(107)		(14)		14		-
Transfers into/(out of) Level 3:
Transfers into Level 3		63		-		-		-
Transfers out of Level 3		(37)		-		-		-
Total transfers into/(out of) Level 3		26		-		-		-
Balance at June 30, 2016	$	743	$	975	$	(947)	$	28
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	(1)	$	32	$	(20)	$	12


For the Six Months Ended June 30, 2017
(In millions)	Fixed Maturities & Equity Securities		GMIB Assets		GMIB Liabilities		GMIB Net
Balance at January 1, 2017	$	776	$	799	$	(780)	$	19
Gains (losses) included in shareholders' net income:
GMIB fair value gain/(loss)		-		4		(4)		-
Other		24		1		(7)		(6)
Total gains (losses) included in shareholders' net income		24		5		(11)		(6)
Losses included in other comprehensive income		(3)		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		9		-		-		-
Purchases, sales and settlements:
Purchases		90		-		-		-
Sales		(70)		-		-		-
Settlements		(39)		(27)		27		-
Total purchases, sales and settlements		(19)		(27)		27		-
Transfers into/(out of) Level 3:
Transfers into Level 3		76		-		-		-
Transfers out of Level 3		(112)		-		-		-
Total transfers into/(out of) Level 3		(36)		-		-		-
Balance at June 30, 2017	$	751	$	777	$	(764)	$	13
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	(6)	$	5	$	(11)	$	(6)

(1) Amounts do not accrue to shareholders.







For the Six Months Ended June 30, 2016
(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)		-		93		(93)		-
Other		(16)		(1)		7		6
Total gains (losses) included in shareholders' net income		(16)		92		(86)		6
Losses included in other comprehensive income		(1)		-		-		-
Gains required to adjust future policy benefits for settlement annuities⁽¹⁾		35		-		-		-
Purchases, sales and settlements:
Purchases		47		-		-		-
Sales		(125)		-		-		-
Settlements		(16)		(24)		24		-
Total purchases, sales and settlements		(94)		(24)		24		-
Transfers into/(out of) Level 3:
Transfers into Level 3		191		-		-		-
Transfers out of Level 3		(98)		-		-		-
Total transfers into/(out of) Level 3		93		-		-		-
Balance at June 30, 2016	$	743	$	975	$	(947)	$	28
Total gains (losses) included in shareholders' net income attributable
to instruments held at the reporting date	$	(23)	$	92	$	(86)	$	6

(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
June 30, 2017
Guaranteed separate accounts (See Note 16)	$	229	$	289	$	-	$	518
Non-guaranteed separate accounts⁽¹⁾		1,438		5,363		316		7,117
Subtotal	$	1,667	$	5,652	$	316		7,635
Non-guaranteed separate accounts priced at NAV as a practical expedient⁽¹⁾								833
Total separate account assets							$	8,468
December 31, 2016
Guaranteed separate accounts (See Note 16)	$	238	$	262	$	-	$	500
Non-guaranteed separate accounts⁽¹⁾		1,368		4,885		331		6,584
Subtotal	$	1,606	$	5,147	$	331		7,084
Non-guaranteed separate accounts priced at NAV as a practical expedient⁽¹⁾								856
Total separate account assets							$	7,940

(1) Non-guaranteed separate accounts included $3.9 billion as of June 30, 2017 and $3.7 billion as of December 31, 2016 in assets supporting the Company's pension plans, including $0.3 billion classified in Level 3 for both periods and $0.8 billion as of June 30, 2017 and $0.9 billion as of December 31, 2016 priced at net asset value (“NAV”) as a practical expedient.

Changes in level 3 separate account assets

	Three Months Ended				Six Months Ended
	June 30,				June 30,
(In millions)	2017		2016		2017		2016
Balance, beginning of period	$	330	$	317	$	331	$	297
Policyholder gains		10		2		37		1
Purchases, sales and settlements:
Purchases		7		1		17		5
Sales		(17)		-		(52)		(1)
Settlements		-		-		(1)		(2)
Total purchases, sales and settlements		(10)		1		(36)		2
Transfers into/(out of) Level 3:
Transfers into Level 3		1		16		1		39
Transfers out of Level 3		(15)		(3)		(17)		(6)
Total transfers into/(out of) Level 3		(14)		13		(16)		33
Balance, end of period	$	316	$	333	$	316	$	333

Separate account assets priced at net asset value

	Fair Value as of
(In millions)	June 30, 2017		December 31, 2016		Unfunded Commitments		Redemption Frequency (if currently eligible) ⁽¹⁾	Redemption Notice Period ⁽¹⁾
Security Partnerships	$	390	$	424	$	357	Not applicable	Not applicable
Real Estate Funds		237		231		-	Quarterly	45-90 days
Hedge Funds		206		201		-	Up to Annually, varying by fund	30-90 days
Total	$	833	$	856	$	357

(1) The attributes noted are effective as of June 30, 2017 and December 31, 2016.

Financial instruments not carried at fair value

			June 30, 2017				December 31, 2016
(In millions)	Classification in the Fair Value Hierarchy		Fair Value		Carrying Value		Fair Value		Carrying Value
Commercial mortgage loans	Level 3	$	1,756	$	1,741	$	1,682	$	1,666
Contractholder deposit funds, excluding universal life products	Level 3	$	1,175	$	1,170	$	1,215	$	1,212
Long-term debt, including current maturities, excluding capital leases	Level 2	$	5,422	$	4,738	$	5,460	$	4,991

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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