FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2017

Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value Measurements at March 31, 2017



	Level 1			Level 2			Level 3		Total
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Public Corporate	$	—		$	13,289		$	28	$	13,317
Private Corporate	—			6,385			986		7,371
U.S. Treasury, government and agency	—			10,330			—		10,330
States and political subdivisions	—			438			42		480
Foreign governments	—			355			—		355
Commercial mortgage-backed	—			17			324		341
Residential mortgage-backed⁽¹⁾	—			297			—		297
Asset-backed⁽²⁾	—			26			31		57
Redeemable preferred stock	228			319			1		548
Subtotal	228			31,456			1,412		33,096
Other equity investments	53			—			5		58
Trading securities	439			9,852			—		10,291
Other invested assets:
Short-term investments	—			250			—		250
Assets of consolidated VIEs/VOEs	506			242			10		758
Swaps	—			(240		)	—		(240		)
Credit Default Swaps	—			12			—		12
Futures	(1		)	—			—		(1		)
Options	—			1,179			—		1,179
Floors	—			—			—		—
Currency Contracts	—			—			—		—
Subtotal	505			1,443			10		1,958
Cash equivalents	1,264			—			—		1,264
Segregated securities	—			1,256			—		1,256
GMIB reinsurance contract asset	—			—			9,795		9,795
Separate Accounts’ assets	111,549			2,831			325		114,705
Total Assets	$	114,038		$	46,838		$	11,547	$	172,423
Liabilities
GWBL and Other Features’ liability	$	—		$	—		$	106	$	106
SCS, SIO, MSO and IUL indexed features’ liability	—			1,099			—		1,099
Liabilities of consolidated VIEs/VOEs	382			5			—		387
Contingent payment arrangements	—			—			17		17
Total Liabilities	$	382		$	1,104		$	123	$	1,609


(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, 2016



	Level 1		Level 2			Level 3		Total
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Public Corporate	$	—	$	12,984		$	28	$	13,012
Private Corporate	—		6,223			817		7,040
U.S. Treasury, government and agency	—		10,336			—		10,336
States and political subdivisions	—		451			42		493
Foreign governments	—		390			—		390
Commercial mortgage-backed	—		22			349		371
Residential mortgage-backed⁽¹⁾	—		314			—		314
Asset-backed⁽²⁾	—		36			24		60
Redeemable preferred stock	218		335			1		554
Subtotal	218		31,091			1,261		32,570
Other equity investments	3		—			5		8
Trading securities	478		8,656			—		9,134
Other invested assets:
Short-term investments	—		574			—		574
Assets of consolidated VIEs	342		205			6		553
Swaps	—		(925		)	—		(925		)
Credit Default Swaps	—		5			—		5
Options	—		960			—		960
Floors	—		11			—		11
Subtotal	342		830			6		1,178
Cash equivalents	1,529		—			—		1,529
Segregated securities	—		946			—		946
GMIB reinsurance contract asset	—		—			10,309		10,309
Separate Accounts’ assets	108,085		2,818			313		111,216
Total Assets	$	110,655	$	44,341		$	11,894	$	166,890
Liabilities:
GWBL and Other Features’ liability	$	—	$	—		$	164	$	164
SCS, SIO, MSO and IUL indexed features’ liability	—		887			—		887
Liabilities of consolidated VIEs	248		2			—		250
Contingent payment arrangements	—		—			18		18
Total Liabilities	$	248	$	889		$	182	$	1,319


(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 2017 and 2016, 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, 2017	$	845		$	42	$	—		$	349		$	—	$	24
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	1			—		—			—			—		—
Investment gains (losses), net	—			—		—			31			—		—
Subtotal	1			—		—			31			—		—
Other comprehensive income (loss)	45			—		—			12			—		4
Purchases	169			—		—			—			—		—
Issues	—			—		—			—			—		—
Sales	(57		)	—		—			(68		)	—		(1		)
Settlements	—			—		—			—			—		—
Transfers into Level 3⁽¹⁾	11			—		—			—			—		4
Transfers out of Level 3⁽¹⁾	—			—		—			—			—		—
Balance, March 31, 2017	$	1,014		$	42	$	—		$	324		$	—	$	31
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			—		—			—			—		—
Sales	(36		)	—		—			(34		)	—		(3		)
Transfers into Level 3⁽¹⁾	42			—		—			—			—		—
Transfers out of Level 3⁽¹⁾	—			—		(1		)	(3		)	—		—
Balance, March 31, 2016	$	498		$	45	$	—		$	448		$	—	$	37



	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, 2017	$	1	$	11		$	10,309		$	313		$	164		$	18
Total gains (losses), realized and unrealized, included in:
Earnings (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			10			—			—
Increase (decrease) in the fair value of the reinsurance contracts	—		—			(540		)	—			—			—
Policyholders’ benefits	—		—			—			—			(118		)	—
Subtotal	—		—			(540		)	10			(118		)	—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		4			40			3			60			—
Sales⁽⁴⁾	—		(1		)	(14		)	(1		)	—			—
Settlements⁽⁵⁾	—		—			—			(1		)	—			(1		)
Activity related to consolidated VIEs	—		—			—			—			—			—
Transfers into Level 3⁽¹⁾	—		1			—			1			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, March 31, 2017	$	1	$	15		$	9,795		$	325		$	106		$	17
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 contracts	—		—			1,598			—			—			—
Policyholders’ benefits	—		—			—			—			30			—
Subtotal	—		—			1,598			7			30			1
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		2			55			6			51			—
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


(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 first quarters of 2017 and 2016 by category for Level 3 assets and liabilities still held at March 31, 2017 and 2016, respectively:



	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 Three Months of 2017
Held at March 31, 2017:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	—		$	41		$	—
State and political subdivisions	—		—		—			—			—
Commercial mortgage-backed	—		—		—			12			—
Asset-backed	—		—		—			4			—
Other fixed maturities, available-for-sale	—		—		—			—			—
Subtotal	$	—	$	—	$	—		$	57		$	—
GMIB reinsurance contracts	—		—		(514		)	—			—
Separate Accounts’ assets⁽¹⁾	—		10		—			—			—
GWBL and other features’ liability	—		—		—			—			(58		)
Total	$	—	$	10	$	(514	)	$	57		$	(58	)
Level 3 Instruments
First Three Months of 2016
Held at March 31, 2016:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—	$	—		$	11		$	—
State and political subdivisions	—		—		—			—			—
Commercial mortgage-backed	—		—		—			(12		)	—
Asset-backed	—		—		—			—			—
Other fixed maturities, available-for-sale	—		—		—			—			—
Subtotal	$	—	$	—	$	—		$	(1	)	$	—
Other equity investments	—		—		—			—			—
GMIB reinsurance contracts	—		—		1,637			—			—
Separate Accounts’ assets⁽¹⁾	—		7		—			—			—
GWBL and other features’ liability	—		—		—			—			81
Total	$	—	$	7	$	1,637		$	(1	)	$	81


(1)	There is an investment expense that offsets this investment gain (loss).

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, 2017 and December 31, 2016, respectively.

Quantitative Information about Level 3 Fair Value Measurements

March 31, 2017



	Fair Value		Valuation Technique	Significant Unobservable Input	Range
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	41	Matrix pricing model	Spread over the industry-specific benchmark yield curve	125 bps - 565 bps
	753		Market comparable companies	EBITDA multiples Discount rate Cash flow multiples	4.3x- 40.0x 7.2%-17.8% 14.0x- 16.5x
Separate Accounts’ assets	306		Third party appraisal	Capitalization rate	4.7%
				Exit capitalization rate	5.7%
				Discount rate	6.6%
	2		Discounted cash flow	Spread over U.S. Treasury curve	253 bps - 492 bps
				Discount factor	4.2%- 6.7%
GMIB reinsurance contract asset	9,795		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 - 16 bps
				Volatility rates - Equity	10.0% - 37.0%
Liabilities:
GIB, GWBLand other features liability	106		Discounted Cash flow	Lapse Rates	1.0% - 11.0%
				Withdrawal Rates	0.0% - 8.0%
				Volatility rates - Equity	10.0% - 37.0%

Quantitative Information about Level 3 Fair Value Measurements

December 31, 2016



	Fair Value		Valuation Technique	Significant Unobservable Input	Range
	(In Millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	55	Matrix pricing model	Spread over the industry-specific benchmark yield curve	0 bps - 565 bps
	636		Market comparable companies	EBITDA multiples Discount Rate Cash flow Multiples	4.3x-25.6x 7.0% - 17.8% 14.0x - 16.5x
Asset-backed	2		Matrix pricing model	Spread over U.S. Treasury curve	25 bps - 687 bps
Separate Accounts’ assets	295		Third party appraisal	Capitalization rate	4.8%
				Exit capitalization rate	5.7%
				Discount rate	6.6%
	3		Discounted cash flow	Spread over U.S. Treasury curve	273 bps - 512 bps
				Discount factor	1.1% - 7.0%
GMIB reinsurance contract asset	10,309		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 - 17 bps
				Volatility rates - Equity	11.0%- 38.0%
Liabilities:
GIB, GWBL and other features liability	164		Discounted Cash flow	Lapse Rates	1.0% - 11.0%
				Withdrawal Rates	0.0% - 8.0%
				Volatility rates - Equity	11.0% -38.0%

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at March 31, 2017 and December 31, 2016 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, 2017:
Mortgage loans on real estate	$	10,181	$	—	$	—	$	10,138	$	10,138
Loans to affiliates	703		—		775		—		775
Policyholders’ liabilities: Investment contracts	2,173		—		—		2,274		2,274
Funding Agreements	2,528		—		2,491		—		2,491
Policy loans	3,325		—		—		4,214		4,214
Short-term debt	608		—		608		—		608
Separate Account Liabilities	6,555		—		—		6,555		6,555
December 31, 2016:
Mortgage loans on real estate	$	9,757	$	—	$	—	$	9,608	$	9,608
Loans to affiliates	703		—		775		—		775
Policyholders’ liabilities: Investment contracts	2,226		—		—		2,337		2,337
Funding Agreements	2,255		—		2,202		—		2,202
Policy loans	3,361		—		—		4,257		4,257
Short-term debt	513		—		513		—		513
Separate Account Liabilities	6,194		—		—		6,194		6,194