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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2016
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
September 30, 2016 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Available for sale (“AFS”) fixed maturities: |  |  |  |  |  |  |
U.S. Government and government agencies | $ | 133 |  |  | $ | 191 |  |  | $ | 8 |  |  | $ | 332 |
States, municipalities and political subdivisions | — |  |  | 6,956 |  |  | 91 |  |  | 7,047 |
Foreign government | — |  |  | 141 |  |  | — |  |  | 141 |
Residential MBS | — |  |  | 3,597 |  |  | 219 |  |  | 3,816 |
Commercial MBS | — |  |  | 1,815 |  |  | 34 |  |  | 1,849 |
Asset-backed securities (“ABS”) | — |  |  | 5,422 |  |  | 467 |  |  | 5,889 |
Corporate and other | 35 |  |  | 15,576 |  |  | 709 |  |  | 16,320 |
Total AFS fixed maturities | 168 |  |  | 33,698 |  |  | 1,528 |  |  | 35,394 |
Trading fixed maturities | 12 |  |  | 336 |  |  | — |  |  | 348 |
Equity securities — AFS and trading | 1,373 |  |  | 101 |  |  | 165 |  |  | 1,639 |
Assets of managed investment entities (“MIE”) | 328 |  |  | 3,960 |  |  | 24 |  |  | 4,312 |
Variable annuity assets (separate accounts) (*) | — |  |  | 606 |  |  | — |  |  | 606 |
Other investments — equity index call options | — |  |  | 447 |  |  | — |  |  | 447 |
Other assets — derivatives | — |  |  | 14 |  |  | — |  |  | 14 |
Total assets accounted for at fair value | $ | 1,881 |  |  | $ | 39,162 |  |  | $ | 1,717 |  |  | $ | 42,760 |
Liabilities: |  |  |  |  |  |  |
Liabilities of managed investment entities | $ | 310 |  |  | $ | 3,734 |  |  | $ | 23 |  |  | $ | 4,067 |
Derivatives in annuity benefits accumulated | — |  |  | — |  |  | 1,688 |  |  | 1,688 |
Derivatives in long-term debt | — |  |  | (6 | ) |  | — |  |  | (6 | )
Other liabilities — derivatives | — |  |  | 13 |  |  | — |  |  | 13 |
Total liabilities accounted for at fair value | $ | 310 |  |  | $ | 3,741 |  |  | $ | 1,711 |  |  | $ | 5,762 |
December 31, 2015 |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |
Available for sale fixed maturities: |  |  |  |  |  |  |
U.S. Government and government agencies | $ | 100 |  |  | $ | 192 |  |  | $ | 15 |  |  | $ | 307 |
States, municipalities and political subdivisions | — |  |  | 6,767 |  |  | 89 |  |  | 6,856 |
Foreign government | — |  |  | 154 |  |  | — |  |  | 154 |
Residential MBS | — |  |  | 3,305 |  |  | 224 |  |  | 3,529 |
Commercial MBS | — |  |  | 2,148 |  |  | 39 |  |  | 2,187 |
Asset-backed securities | — |  |  | 4,464 |  |  | 470 |  |  | 4,934 |
Corporate and other | 50 |  |  | 13,634 |  |  | 633 |  |  | 14,317 |
Total AFS fixed maturities | 150 |  |  | 30,664 |  |  | 1,470 |  |  | 32,284 |
Trading fixed maturities | 13 |  |  | 241 |  |  | — |  |  | 254 |
Equity securities — AFS and trading | 1,362 |  |  | 217 |  |  | 140 |  |  | 1,719 |
Assets of managed investment entities | 309 |  |  | 3,712 |  |  | 26 |  |  | 4,047 |
Variable annuity assets (separate accounts) (*) | — |  |  | 608 |  |  | — |  |  | 608 |
Other investments — equity index call options | — |  |  | 241 |  |  | — |  |  | 241 |
Other assets — derivatives | — |  |  | 2 |  |  | — |  |  | 2 |
Total assets accounted for at fair value | $ | 1,834 |  |  | $ | 35,685 |  |  | $ | 1,636 |  |  | $ | 39,155 |
Liabilities: |  |  |  |  |  |  |
Liabilities of managed investment entities | $ | 289 |  |  | $ | 3,468 |  |  | $ | 24 |  |  | $ | 3,781 |
Derivatives in annuity benefits accumulated | — |  |  | — |  |  | 1,369 |  |  | 1,369 |
Derivatives in long-term debt | — |  |  | (2 | ) |  | — |  |  | (2 | )
Other liabilities — derivatives | — |  |  | 8 |  |  | — |  |  | 8 |
Total liabilities accounted for at fair value | $ | 289 |  |  | $ | 3,474 |  |  | $ | 1,393 |  |  | $ | 5,156 |
(*) | 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 |  | 0.4% – 2.9% over the risk free rate |
| Risk margin for uncertainty in cash flows |  | 0.58% reduction in the discount rate |
| Surrenders |  | 3% – 21% of indexed account value |
| Partial surrenders |  | 2% – 10% of indexed account value |
| Annuitizations |  | 0.25% – 1% of indexed account value |
| Deaths |  | 1.5% – 4.0% of indexed account value |
| Budgeted option costs |  | 1.75% – 3.5% 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 third quarter and first nine months of 2016 and 2015 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 June 30, 2016 |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at September 30, 2016
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 8 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 8 |
State and municipal | 91 |  |  | — |  |  | 1 |  |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | 91 |
Residential MBS | 231 |  |  | (2 | ) |  | — |  |  | — |  |  | (8 | ) |  | — |  |  | (2 | ) |  | 219 |
Commercial MBS | 36 |  |  | — |  |  | — |  |  | — |  |  | (2 | ) |  | — |  |  | — |  |  | 34 |
Asset-backed securities | 478 |  |  | (1 | ) |  | 4 |  |  | — |  |  | (5 | ) |  | — |  |  | (9 | ) |  | 467 |
Corporate and other | 689 |  |  | — |  |  | (3 | ) |  | 37 |  |  | (14 | ) |  | — |  |  | — |  |  | 709 |
Total AFS fixed maturities | 1,533 |  |  | (3 | ) |  | 2 |  |  | 37 |  |  | (30 | ) |  | — |  |  | (11 | ) |  | 1,528 |
Equity securities | 166 |  |  | 5 |  |  | 5 |  |  | 10 |  |  | (21 | ) |  | — |  |  | — |  |  | 165 |
Assets of MIE | 26 |  |  | (2 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 24 |
Total Level 3 assets | $ | 1,725 |  |  | $ | — |  |  | $ | 7 |  |  | $ | 47 |  |  | $ | (51 | ) |  | $ | — |  |  | $ | (11 | ) |  | $ | 1,717 |
Embedded derivatives | $ | (1,557 | ) |  | $ | (109 | ) |  | $ | — |  |  | $ | (53 | ) |  | $ | 31 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,688 | )
Total Level 3 liabilities (*) | $ | (1,557 | ) |  | $ | (109 | ) |  | $ | — |  |  | $ | (53 | ) |  | $ | 31 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,688 | )
|  |  | Total realized/unrealized gains (losses) included in |  |  |  |  |  |  |  |  |  |
Balance at June 30, 2015 |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at September 30, 2015
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 84 |  |  | — |  |  | 1 |  |  | 9 |  |  | (1 | ) |  | — |  |  | — |  |  | 93 |
Residential MBS | 296 |  |  | (3 | ) |  | (1 | ) |  | — |  |  | (8 | ) |  | 10 |  |  | — |  |  | 294 |
Commercial MBS | 48 |  |  | — |  |  | (1 | ) |  | — |  |  | (1 | ) |  | — |  |  | (1 | ) |  | 45 |
Asset-backed securities | 332 |  |  | — |  |  | — |  |  | 110 |  |  | (3 | ) |  | 20 |  |  | (10 | ) |  | 449 |
Corporate and other | 597 |  |  | — |  |  | 7 |  |  | 24 |  |  | (13 | ) |  | 31 |  |  | — |  |  | 646 |
Total AFS fixed maturities | 1,372 |  |  | (3 | ) |  | 6 |  |  | 143 |  |  | (26 | ) |  | 61 |  |  | (11 | ) |  | 1,542 |
Equity securities | 118 |  |  | — |  |  | (2 | ) |  | 7 |  |  | — |  |  | — |  |  | — |  |  | 123 |
Assets of MIE | 29 |  |  | (3 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 26 |
Total Level 3 assets | $ | 1,519 |  |  | $ | (6 | ) |  | $ | 4 |  |  | $ | 150 |  |  | $ | (26 | ) |  | $ | 61 |  |  | $ | (11 | ) |  | $ | 1,691 |
Embedded derivatives | $ | (1,258 | ) |  | $ | 130 |  |  | $ | — |  |  | $ | (88 | ) |  | $ | 18 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,198 | )
Total Level 3 liabilities (*) | $ | (1,258 | ) |  | $ | 130 |  |  | $ | — |  |  | $ | (88 | ) |  | $ | 18 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,198 | )
(*) | As discussed previously, these tables exclude the portion of MIE liabilities allocated to Level 3, which are derived from the fair value of the MIE assets.
|  |  | Total realized/unrealized gains (losses) included in |  |  |  |  |  |  |  |  |  |
Balance at December 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 September 30, 2016
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | (8 | ) |  | $ | 1 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 8 |
State and municipal | 89 |  |  | — |  |  | 4 |  |  | — |  |  | (2 | ) |  | — |  |  | — |  |  | 91 |
Residential MBS | 224 |  |  | — |  |  | 1 |  |  | — |  |  | (21 | ) |  | 33 |  |  | (18 | ) |  | 219 |
Commercial MBS | 39 |  |  | (1 | ) |  | — |  |  | — |  |  | (4 | ) |  | — |  |  | — |  |  | 34 |
Asset-backed securities | 470 |  |  | (1 | ) |  | 1 |  |  | 15 |  |  | (24 | ) |  | 41 |  |  | (35 | ) |  | 467 |
Corporate and other | 633 |  |  | — |  |  | 24 |  |  | 131 |  |  | (89 | ) |  | 15 |  |  | (5 | ) |  | 709 |
Total AFS fixed maturities | 1,470 |  |  | (10 | ) |  | 31 |  |  | 146 |  |  | (140 | ) |  | 89 |  |  | (58 | ) |  | 1,528 |
Equity securities | 140 |  |  | (12 | ) |  | 21 |  |  | 22 |  |  | (21 | ) |  | 15 |  |  | — |  |  | 165 |
Assets of MIE | 26 |  |  | (6 | ) |  | — |  |  | 4 |  |  | — |  |  | — |  |  | — |  |  | 24 |
Total Level 3 assets | $ | 1,636 |  |  | $ | (28 | ) |  | $ | 52 |  |  | $ | 172 |  |  | $ | (161 | ) |  | $ | 104 |  |  | $ | (58 | ) |  | $ | 1,717 |
Embedded derivatives | $ | (1,369 | ) |  | $ | (188 | ) |  | $ | — |  |  | $ | (207 | ) |  | $ | 76 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,688 | )
Total Level 3 liabilities (a) | $ | (1,369 | ) |  | $ | (188 | ) |  | $ | — |  |  | $ | (207 | ) |  | $ | 76 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,688 | )
|  |  |  |  | Total realized/unrealized gains (losses) included in |  |  |  |  |  |  |  |  |  |
Balance at December 31, 2014 |  | Impact of accounting change (b) |  | Net income |  | Other comprehensive income (loss) |  | Purchases and issuances |  | Sales and settlements |  | Transfer into Level 3 |  | Transfer out of Level 3 |  | Balance at September 30, 2015
AFS fixed maturities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. government agency | $ | 15 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 15 |
State and municipal | 100 |  |  | — |  |  | — |  |  | (1 | ) |  | 34 |  |  | (1 | ) |  | — |  |  | (39 | ) |  | 93 |
Residential MBS | 300 |  |  | — |  |  | (5 | ) |  | — |  |  | — |  |  | (24 | ) |  | 67 |  |  | (44 | ) |  | 294 |
Commercial MBS | 44 |  |  | — |  |  | — |  |  | (1 | ) |  | — |  |  | (1 | ) |  | 4 |  |  | (1 | ) |  | 45 |
Asset-backed securities | 226 |  |  | — |  |  | 1 |  |  | — |  |  | 230 |  |  | (51 | ) |  | 53 |  |  | (10 | ) |  | 449 |
Corporate and other | 546 |  |  | — |  |  | (3 | ) |  | (4 | ) |  | 103 |  |  | (37 | ) |  | 41 |  |  | — |  |  | 646 |
Total AFS fixed maturities | 1,231 |  |  | — |  |  | (7 | ) |  | (6 | ) |  | 367 |  |  | (114 | ) |  | 165 |  |  | (94 | ) |  | 1,542 |
Equity securities | 93 |  |  | — |  |  | (4 | ) |  | (1 | ) |  | 52 |  |  | — |  |  | — |  |  | (17 | ) |  | 123 |
Assets of MIE | 31 |  |  | — |  |  | (9 | ) |  | — |  |  | 4 |  |  | — |  |  | — |  |  | — |  |  | 26 |
Total Level 3 assets | $ | 1,355 |  |  | $ | — |  |  | $ | (20 | ) |  | $ | (7 | ) |  | $ | 423 |  |  | $ | (114 | ) |  | $ | 165 |  |  | $ | (111 | ) |  | $ | 1,691 |
Liabilities of MIE | $ | (2,701 | ) |  | $ | 2,701 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Embedded derivatives | (1,160 | ) |  | — |  |  | 99 |  |  | — |  |  | (183 | ) |  | 46 |  |  | — |  |  | — |  |  | (1,198 | )
Total Level 3 liabilities (a) | $ | (3,861 | ) |  | $ | 2,701 |  |  | $ | 99 |  |  | $ | — |  |  | $ | (183 | ) |  | $ | 46 |  |  | $ | — |  |  | $ | — |  |  | $ | (1,198 | )
(a) | As discussed previously, these tables exclude the portion of MIE liabilities allocated to Level 3, which are derived from the fair value of the MIE assets.
(b) | The impact of implementing new guidance adopted in 2015, as discussed above and in Note A — “Accounting Policies — 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 |  | Fair Value
| Value |  | Total |  | Level 1 |  | Level 2 |  | Level 3
September 30, 2016 |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 1,639 |  |  | $ | 1,639 |  |  | $ | 1,639 |  |  | $ | — |  |  | $ | — |
Mortgage loans | 1,180 |  |  | 1,193 |  |  | — |  |  | — |  |  | 1,193 |
Policy loans | 194 |  |  | 194 |  |  | — |  |  | — |  |  | 194 |
Total financial assets not accounted for at fair value | $ | 3,013 |  |  | $ | 3,026 |  |  | $ | 1,639 |  |  | $ | — |  |  | $ | 1,387 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Annuity benefits accumulated (*) | $ | 29,018 |  |  | $ | 29,020 |  |  | $ | — |  |  | $ | — |  |  | $ | 29,020 |
Long-term debt | 1,306 |  |  | 1,438 |  |  | — |  |  | 1,417 |  |  | 21 |
Total financial liabilities not accounted for at fair value | $ | 30,324 |  |  | $ | 30,458 |  |  | $ | — |  |  | $ | 1,417 |  |  | $ | 29,041 |
December 31, 2015 |  |  |  |  |  |  |  |  |
Financial assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 1,220 |  |  | $ | 1,220 |  |  | $ | 1,220 |  |  | $ | — |  |  | $ | — |
Mortgage loans | 1,067 |  |  | 1,074 |  |  | — |  |  | — |  |  | 1,074 |
Policy loans | 201 |  |  | 201 |  |  | — |  |  | — |  |  | 201 |
Total financial assets not accounted for at fair value | $ | 2,488 |  |  | $ | 2,495 |  |  | $ | 1,220 |  |  | $ | — |  |  | $ | 1,275 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Annuity benefits accumulated (*) | $ | 26,422 |  |  | $ | 25,488 |  |  | $ | — |  |  | $ | — |  |  | $ | 25,488 |
Long-term debt | 1,000 |  |  | 1,120 |  |  | — |  |  | 1,105 |  |  | 15 |
Total financial liabilities not accounted for at fair value | $ | 27,422 |  |  | $ | 26,608 |  |  | $ | — |  |  | $ | 1,105 |  |  | $ | 25,503 |
(*) | Excludes $204 million and $200 million of life contingent annuities in the payout phase at September 30, 2016 and December 31, 2015, respectively.

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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=66048111&loc=d3e19190-110258 + Details
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