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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2015
Fair Value Disclosures [Abstract] |
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
June 30, 2015 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Available for sale (“AFS”) fixed maturities: |  |  |  |  |  |  |
U.S. Government and government agencies | $ | 142 |  |  | $ | 204 |  |  | $ | 15 |  |  | $ | 361 |
States, municipalities and political subdivisions | — |  |  | 6,996 |  |  | 84 |  |  | 7,080 |
Foreign government | — |  |  | 177 |  |  | — |  |  | 177 |
Residential MBS | — |  |  | 3,818 |  |  | 296 |  |  | 4,114 |
Commercial MBS | — |  |  | 2,275 |  |  | 48 |  |  | 2,323 |
Asset-backed securities (“ABS”) | — |  |  | 4,051 |  |  | 332 |  |  | 4,383 |
Corporate and other | 48 |  |  | 13,177 |  |  | 597 |  |  | 13,822 |
Total AFS fixed maturities | 190 |  |  | 30,698 |  |  | 1,372 |  |  | 32,260 |
Trading fixed maturities | 13 |  |  | 266 |  |  | — |  |  | 279 |
Equity securities | 1,396 |  |  | 190 |  |  | 118 |  |  | 1,704 |
Assets of managed investment entities (“MIE”) | 243 |  |  | 3,357 |  |  | 29 |  |  | 3,629 |
Variable annuity assets (separate accounts) (*) | — |  |  | 655 |  |  | — |  |  | 655 |
Other investments — derivatives | — |  |  | 278 |  |  | — |  |  | 278 |
Other assets — derivatives | — |  |  | 1 |  |  | — |  |  | 1 |
Total assets accounted for at fair value | $ | 1,842 |  |  | $ | 35,445 |  |  | $ | 1,519 |  |  | $ | 38,806 |
Liabilities: |  |  |  |  |  |  |
Liabilities of managed investment entities | $ | 222 |  |  | $ | 3,061 |  |  | $ | 26 |  |  | $ | 3,309 |
Derivatives in annuity benefits accumulated | — |  |  | — |  |  | 1,258 |  |  | 1,258 |
Derivatives in long-term debt | — |  |  | (2 | ) |  | — |  |  | (2 | )
Other liabilities — derivatives | — |  |  | 10 |  |  | — |  |  | 10 |
Total liabilities accounted for at fair value | $ | 222 |  |  | $ | 3,069 |  |  | $ | 1,284 |  |  | $ | 4,575 |
December 31, 2014 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Available for sale 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 | — |  |  | 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 | 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 |
(*) Variable annuity liabilities equal the fair value of variable annuity assets.
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 |  | 0.30% – 2.10% 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% – 10% of indexed account value
Annuitizations |  | 1% – 1.5% of indexed account value
Deaths |  | 1.5% – 3.0% of indexed account value
Budgeted option costs |  | 2.0% – 3.25% of indexed account value
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 the second quarter and first six months of 2015 and 2014 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 March 31, 2015 |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at June 30, 2015
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 61 |  |  | — |  |  | (2 | ) |  | 25 |  |  | — |  |  | — |  |  | — |  |  | 84 |
Residential MBS | 306 |  |  | (1 | ) |  | (2 | ) |  | — |  |  | (9 | ) |  | 16 |  |  | (14 | ) |  | 296 |
Commercial MBS | 44 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |  |  | 48 |
Asset-backed securities | 211 |  |  | 1 |  |  | — |  |  | 115 |  |  | (7 | ) |  | 12 |  |  | — |  |  | 332 |
Corporate and other | 583 |  |  | (3 | ) |  | (17 | ) |  | 35 |  |  | (11 | ) |  | 10 |  |  | — |  |  | 597 |
Equity securities | 84 |  |  | (4 | ) |  | 3 |  |  | 35 |  |  | — |  |  | — |  |  | — |  |  | 118 |
Assets of MIE | 29 |  |  | (4 | ) |  | — |  |  | 4 |  |  | — |  |  | — |  |  | — |  |  | 29 |
Embedded derivatives | (1,243 | ) |  | 19 |  |  | — |  |  | (48 | ) |  | 14 |  |  | — |  |  | — |  |  | (1,258 | )
|  |  | Total realized/unrealized gains (losses) included in |  |  |  |  |  |  |  |  |  |
Balance at March 31, 2014 |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at June 30, 2014
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 61 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 61 |
Residential MBS | 272 |  |  | 2 |  |  | 2 |  |  | — |  |  | (7 | ) |  | 6 |  |  | (19 | ) |  | 256 |
Commercial MBS | 28 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 28 |
Asset-backed securities | 206 |  |  | 3 |  |  | — |  |  | 10 |  |  | (15 | ) |  | — |  |  | — |  |  | 204 |
Corporate and other | 322 |  |  | 4 |  |  | — |  |  | 20 |  |  | (30 | ) |  | — |  |  | (3 | ) |  | 313 |
Equity securities | 41 |  |  | — |  |  | 2 |  |  | 16 |  |  | — |  |  | 22 |  |  | — |  |  | 81 |
Assets of MIE | 29 |  |  | (1 | ) |  | — |  |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | 27 |
Liabilities of MIE (*) | (2,322 | ) |  | (9 | ) |  | — |  |  | (155 | ) |  | 164 |  |  | — |  |  | — |  |  | (2,322 | )
Embedded derivatives | (904 | ) |  | (78 | ) |  | — |  |  | (56 | ) |  | 12 |  |  | — |  |  | — |  |  | (1,026 | )
(*) | Total realized/unrealized gains (losses) included in net income includes gains of $1 million related to liabilities outstanding as of June 30, 2014. See Note H — “Managed Investment Entities.”
|  |  |  |  | Total realized/unrealized gains (losses) included in |  |  |  |  |  |  |  |  |  |
Balance at December 31, 2014 |  | Impact of accounting change (*) |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at June 30, 2015
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 100 |  |  | — |  |  | — |  |  | (2 | ) |  | 25 |  |  | — |  |  | — |  |  | (39 | ) |  | 84 |
Residential MBS | 300 |  |  | — |  |  | (2 | ) |  | 1 |  |  | — |  |  | (16 | ) |  | 57 |  |  | (44 | ) |  | 296 |
Commercial MBS | 44 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |  |  | 48 |
Asset-backed securities | 226 |  |  | — |  |  | 1 |  |  | — |  |  | 120 |  |  | (48 | ) |  | 33 |  |  | — |  |  | 332 |
Corporate and other | 546 |  |  | — |  |  | (3 | ) |  | (11 | ) |  | 79 |  |  | (24 | ) |  | 10 |  |  | — |  |  | 597 |
Equity securities | 93 |  |  | — |  |  | (4 | ) |  | 1 |  |  | 45 |  |  | — |  |  | — |  |  | (17 | ) |  | 118 |
Assets of MIE | 31 |  |  | — |  |  | (6 | ) |  | — |  |  | 4 |  |  | — |  |  | — |  |  | — |  |  | 29 |
Liabilities of MIE | (2,701 | ) |  | 2,701 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Embedded derivatives | (1,160 | ) |  | — |  |  | (31 | ) |  | — |  |  | (95 | ) |  | 28 |  |  | — |  |  | — |  |  | (1,258 | )
(*) | The impact of implementing new guidance adopted in 2015, as discussed above and in Note A — “Accounting Policies — Managed Investment Entities.”
|  |  | 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 June 30, 2014
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 61 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 61 |
Residential MBS | 316 |  |  | 3 |  |  | 6 |  |  | — |  |  | (15 | ) |  | 38 |  |  | (92 | ) |  | 256 |
Commercial MBS | 28 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 28 |
Asset-backed securities | 75 |  |  | 3 |  |  | 1 |  |  | 60 |  |  | (16 | ) |  | 81 |  |  | — |  |  | 204 |
Corporate and other | 335 |  |  | 5 |  |  | 3 |  |  | 21 |  |  | (46 | ) |  | — |  |  | (5 | ) |  | 313 |
Equity securities | 31 |  |  | 1 |  |  | 4 |  |  | 46 |  |  | (9 | ) |  | 22 |  |  | (14 | ) |  | 81 |
Assets of MIE | 30 |  |  | (2 | ) |  | — |  |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | 27 |
Liabilities of MIE (*) | (2,411 | ) |  | (8 | ) |  | — |  |  | (200 | ) |  | 297 |  |  | — |  |  | — |  |  | (2,322 | )
Embedded derivatives | (804 | ) |  | (132 | ) |  | — |  |  | (111 | ) |  | 21 |  |  | — |  |  | — |  |  | (1,026 | )
(*) | Total realized/unrealized gains (losses) included in net income includes gains of $5 million related to liabilities outstanding as of June 30, 2014. See Note H — “Managed Investment Entities.”
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 are summarized below (in millions):
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
June 30, 2015 |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 1,216 |  |  | $ | 1,216 |  |  | $ | 1,216 |  |  | $ | — |  |  | $ | — |
Mortgage loans | 1,054 |  |  | 1,058 |  |  | — |  |  | — |  |  | 1,058 |
Policy loans | 223 |  |  | 223 |  |  | — |  |  | — |  |  | 223 |
Total financial assets not accounted for at fair value | $ | 2,493 |  |  | $ | 2,497 |  |  | $ | 1,216 |  |  | $ | — |  |  | $ | 1,281 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Annuity benefits accumulated (*) | $ | 25,002 |  |  | $ | 24,291 |  |  | $ | — |  |  | $ | — |  |  | $ | 24,291 |
Long-term debt | 1,026 |  |  | 1,120 |  |  | — |  |  | 1,083 |  |  | 37 |
Total financial liabilities not accounted for at fair value | $ | 26,028 |  |  | $ | 25,411 |  |  | $ | — |  |  | $ | 1,083 |  |  | $ | 24,328 |
December 31, 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 |
(*) | Excludes $201 million and $203 million of life contingent annuities in the payout phase at June 30, 2015 and December 31, 2014, respectively.

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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 12 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13476-108611 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13467-108611 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 45 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=35750535&loc=d3e13433-108611 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=36462937&loc=d3e19190-110258 + Details
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