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Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value, Assets and Liabilities Measured on Recurring Basis

The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.



	As of December 31, 2019
	Level 1		Level 2		Level 3		Netting(1)			Total
	(in millions)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	35,554	$	105	$			$	35,659
Obligations of U.S. states and their political subdivisions	0		11,493		4					11,497
Foreign government bonds	0		119,032		22					119,054
U.S. corporate public securities	0		97,959		380					98,339
U.S. corporate private securities(2)	0		34,749		1,784					36,533
Foreign corporate public securities	0		29,756		69					29,825
Foreign corporate private securities	0		27,237		1,003					28,240
Asset-backed securities(3)	0		12,238		936					13,174
Commercial mortgage-backed securities	0		15,574		0					15,574
Residential mortgage-backed securities	0		3,189		12					3,201
Subtotal	0		386,781		4,315					391,096
Assets supporting experience-rated contractholder liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	0		185		0					185
Obligations of U.S. states and their political subdivisions	0		212		0					212
Foreign government bonds	0		790		24					814
Corporate securities	0		12,966		637					13,603
Asset-backed securities(3)	0		1,593		69					1,662
Commercial mortgage-backed securities	0		1,896		0					1,896
Residential mortgage-backed securities	0		1,158		0					1,158
Equity securities	1,505		285		0					1,790
All other(4)	0		261		0					261
Subtotal	1,505		19,346		730					21,581
Fixed maturities, trading	0		3,597		287					3,884
Equity securities	5,813		939		633					7,385
Commercial mortgage and other loans	0		228		0					228
Other invested assets(5)	6		14,379		567		(13,519		)	1,433
Short-term investments	1,806		1,975		155					3,936
Cash equivalents	2,079		6,796		131					9,006
Other assets	0		0		113					113
Separate account assets(6)(7)	46,574		240,433		1,717					288,724
Total assets	$	57,783	$	674,474	$	8,648	$	(13,519	)	$	727,386
Future policy benefits(8)	$	0	$	0	$	12,831	$			$	12,831
Policyholders’ account balances	0		0		1,316					1,316
Other liabilities	41		7,495		105		(6,705		)	936
Notes issued by consolidated VIEs	0		0		800					800
Total liabilities	$	41	$	7,495	$	15,052	$	(6,705	)	$	15,883



	As of December 31, 2018
	Level 1		Level 2		Level 3		Netting(1)			Total
	(in millions)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	30,513	$	81	$			$	30,594
Obligations of U.S. states and their political subdivisions	0		10,488		5					10,493
Foreign government bonds	0		112,985		125					113,110
U.S. corporate public securities	0		83,282		133					83,415
U.S. corporate private securities(2)	0		31,265		1,755					33,020
Foreign corporate public securities	0		29,148		53					29,201
Foreign corporate private securities	0		23,787		744					24,531
Asset-backed securities(3)	0		11,726		1,247					12,973
Commercial mortgage-backed securities	0		13,302		13					13,315
Residential mortgage-backed securities	0		2,925		79					3,004
Subtotal	0		349,421		4,235					353,656
Assets supporting experience-rated contractholder liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	0		381		0					381
Obligations of U.S. states and their political subdivisions	0		196		0					196
Foreign government bonds	0		858		225					1,083
Corporate securities	0		12,675		444					13,119
Asset-backed securities(3)	0		1,516		149					1,665
Commercial mortgage-backed securities	0		2,324		0					2,324
Residential mortgage-backed securities	0		811		0					811
Equity securities	1,222		237		1					1,460
All other(4)	0		215		0					215
Subtotal	1,222		19,213		819					21,254
Fixed maturities, trading	0		3,037		206					3,243
Equity securities	4,819		610		671					6,100
Commercial mortgage and other loans	0		763		0					763
Other invested assets(5)	23		10,454		263		(9,331		)	1,409
Short-term investments	2,713		2,691		89					5,493
Cash equivalents	2,848		6,553		77					9,478
Other assets	0		0		25					25
Separate account assets(6)(7)	39,534		212,998		1,534					254,066
Total assets	$	51,159	$	605,740	$	7,919	$	(9,331	)	$	655,487
Future policy benefits(8)	$	0	$	0	$	8,926	$			$	8,926
Policyholders’ account balances	0		0		56					56
Other liabilities	18		5,398		0		(5,281		)	135
Notes issued by consolidated VIEs	0		0		595					595
Total liabilities	$	18	$	5,398	$	9,577	$	(5,281	)	$	9,712

__________


(1)	“Netting” amounts represent cash collateral of $6,814 million and $4,050 million as of December 31, 2019 and 2018, respectively.


(2)	Excludes notes with fair value of $4,757 million (carrying amount of $4,751 million) and $4,216 million (carrying amount of $4,216 million) as of December 31, 2019 and 2018, respectively, which have been offset with the associated payables under a netting agreement.


(3)	Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.


(4)	All other represents cash equivalents and short-term investments.


(5)	Other invested assets excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value (“NAV”) per share (or its equivalent) as a practical expedient. At December 31, 2019 and 2018, the fair values of such investments were $4,213 million and $4,115 million respectively.

(6)

Separate account assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate, hedge funds and other invested assets. At December 31, 2019 and 2018, the fair value of such investments were $23,557 million and $25,070 million, respectively.

(7)

Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Consolidated Statements of Financial Position.

(8)

As of December 31, 2019, the net embedded derivative liability position of $12.8 billion includes $0.7 billion of embedded derivatives in an asset position and $13.5 billion of embedded derivatives in a liability position. As of December 31, 2018, the net embedded derivative liability position of $8.9 billion includes $0.7 billion of embedded derivatives in an asset position and $9.6 billion of embedded derivatives in a liability position.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.



	As of December 31, 2019
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum	Maximum	Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in millions)
Assets:
Corporate securities(2)	$	1,424	Discounted cash flow(4)	Discount rate	0.49%	20%	7.41	%	Decrease
			Market comparables	EBITDA multiples(3)	5.7X	9.2X	7.3X		Increase
			Liquidation	Liquidation value	14.25%	83.61%	59.47	%	Increase
Equity securities	$	210	Discounted cash flow(4)	Discount rate	10%	30%			Decrease
			Market comparables	EBITDA multiples(3)	1X	10.1X	5.4X		Increase
			Net Asset Value	Share price	$5	$1,353	$451		Increase
Separate account assets-commercial mortgage loans(5)	$	796	Discounted cash flow	Spread	1.11%	1.85%	1.26	%	Decrease
Liabilities:
Future policy benefits(6)	$	12,831	Discounted cash flow	Lapse rate(8)	1%	18%			Decrease
				Spread over LIBOR(9)	0.10%	1.23%			Decrease
				Utilization rate(10)	43%	97%			Increase
				Withdrawal rate	See table footnote (11) below.
				Mortality rate(12)	0%	15%			Decrease
				Equity volatility curve	13%	23%			Increase
Policyholders’ account balances(7)	$	1,316	Discounted cash flow	Lapse rate(8)	1%	42%			Decrease
				Spread over LIBOR(9)	0.1%	1.23%			Decrease
				Mortality rate(12)	0%	24%			Decrease
				Equity volatility curve	6%	25%			Increase

As of December 31, 2018

Fair Value

Valuation

Techniques

Unobservable Inputs

Minimum

Maximum

Weighted

Average

Impact of

Increase in

Input on

Fair

Value(1)

(in millions)

Assets:

Corporate securities(2)

1,392

Discounted cash flow

Discount rate

0.57%

20%

8.58%

Decrease

Market comparables

EBITDA multiples(3)

4.5X

8.5X

8.1X

Increase

Liquidation

Liquidation value

11.77%

94%

32.16%

Increase

Separate account assets-commercial mortgage loans(5)

785

Discounted cash flow

Spread

1.12%

2.55%

1.29%

Decrease

Liabilities:

Future policy benefits(6)

8,926

Discounted cash flow

Lapse rate(8)

13%

Decrease

Spread over LIBOR(9)

0.36%

1.60%

Decrease

Utilization rate(10)

50%

97%

Increase

Withdrawal rate

See table footnote (11) below.

Mortality rate(12)

15%

Decrease

Equity volatility curve

18%

22%

Increase

__________


(1)	Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.


(2)	Includes assets classified as fixed maturities available-for-sale, assets supporting experience-rated contractholder liabilities and fixed maturities, trading.


(3)	Represents multiples of earnings before interest, taxes, depreciation and amortization (“EBITDA”), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.


(4)	Includes certain investments where enterprise value is less than the amount needed to support senior and subordinated claims. These investments typically use a range of discount rates (10% to 20%), therefore presenting a range, rather than a weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.


(5)	Changes in the fair value of separate account assets are borne by customers and thus are offset by changes in separate account liabilities on the Company’s Consolidated Statements of Financial Position. As a result, changes in value associated with these investments are not reflected in the Company’s Consolidated Statements of Operations.

(6)

Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than a weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(7)

Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life and annuity products that are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than a weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(8)

Lapse rates for contracts with living benefit guarantees are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(9)

The spread over the London Inter-Bank Offered Rate (“LIBOR”) swap curve represents the premium added to the proxy for the risk-free rate (LIBOR) to reflect the Company’s estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(10)

The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration, and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status, and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

(11)

The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of both December 31, 2019 and 2018, the minimum withdrawal rate assumption is 78% and the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(12)

The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods. When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.



	Year Ended December 31, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)			Purchases		Sales			Issuances			Settlements			Other(1)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	81		$	0		$	24	$	0		$	0		$	0		$	0		$	0	$	0		$	105		$	0
U.S. states	5			0			0		0			0			(1		)	0			0		0			4			0
Foreign government	125			0			0		0			0			0			(1		)	10		(112		)	22			(2		)
Corporate securities(3)	2,685			(3		)	1,462		(47		)	0			(1,137		)	10			353		(87		)	3,236			(96		)
Structured securities(4)	1,339			40			952		(67		)	0			(507		)	(4		)	755		(1,560		)	948			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	225			0			0		0			0			(5		)	(196		)	0		0			24			0
Corporate securities(3)	444			4			146		0			0			(189		)	196			46		(10		)	637			(6		)
Structured securities(4)	149			0			29		0			0			(35		)	0			0		(74		)	69			0
Equity securities	1			1			0		(2		)	0			0			0			0		0			0			1
All other activity	0			0			8		0			0			(8		)	0			0		0			0			0
Other assets:
Fixed maturities, trading	206			(26		)	105		(31		)	0			0			(7		)	41		(1		)	287			(27		)
Equity securities	671			42			79		(52		)	0			(85		)	1			1		(24		)	633			34
Other invested assets	263			11			341		0			0			(42		)	(6		)	0		0			567			(1		)
Short-term investments	89			0			597		0			0			(526		)	(5		)	0		0			155			0
Cash equivalents	77			0			131		0			0			(77		)	0			0		0			131			0
Other assets	25			44			44		0			0			0			0			0		0			113			44
Separate account assets(5)	1,534			184			346		(111		)	0			(144		)	0			55		(147		)	1,717			170
Liabilities:
Future policy benefits	(8,926		)	(2,685		)	0		0			(1,221		)	0			1			0		0			(12,831		)	(2,999		)
Policyholders’ account balances(6)	(56		)	(933		)	0		0			(324		)	0			(3		)	0		0			(1,316		)	(917		)
Other liabilities	0			(5		)	0		0			(100		)	0			0			0		0			(105		)	(5		)
Notes issued by consolidated VIEs	(595		)	15			0		0			(858		)	638			0			0		0			(800		)	15



	Year Ended December 31, 2019
	Total realized and unrealized gains (losses)												Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances		Included in other comprehensive income (losses)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(67	)	$	0		$	0	$	86	$	18	$	(98	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(4		)	0		0		9		0			(5		)	0
Other assets:
Fixed maturities, trading	0			(27		)	0		0		1		0			(27		)	0
Equity securities	0			42			0		0		0		0			34			0
Other invested assets	(1		)	12			0		0		0		(1		)	0			0
Short-term investments	0			0			0		0		0		0			0			0
Cash equivalents	0			0			0		0		0		0			0			0
Other assets	44			0			0		0		0		44			0			0
Separate account assets(5)	0			0			180		0		4		0			0			170
Liabilities:
Future policy benefits	(2,685		)	0			0		0		0		(2,999		)	0			0
Policyholders’ account balances	(933		)	0			0		0		0		(917		)	0			0
Other liabilities	0			(5		)	0		0		0		0			(5		)	0
Notes issued by consolidated VIEs	15			0			0		0		0		15			0			0



	Year Ended December 31, 2018
	Fair Value, beginning of period			Total realized and unrealized gains (losses)			Purchases		Sales			Issuances			Settlements			Other(1)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	52		$	0		$	29	$	0		$	0		$	0		$	0		$	0	$	0		$	81		$	0
U.S. states	5			0			0		0			0			0			0			0		0			5			0
Foreign government	148			(3		)	5		0			0			0			(9		)	20		(36		)	125			0
Corporate securities(3)	2,776			(110		)	919		(25		)	0			(991		)	(15		)	485		(354		)	2,685			(60		)
Structured securities(4)	6,715			(40		)	2,808		(612		)	0			(1,589		)	1			1,212		(7,156		)	1,339			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	223			7			0		0			0			(5		)	0			0		0			225			1
Corporate securities(3)	462			(35		)	147		0			0			(179		)	0			72		(23		)	444			(37		)
Structured securities(4)	723			(1		)	97		0			0			(165		)	0			33		(538		)	149			(2		)
Equity securities	4			0			0		(3		)	0			0			0			0		0			1			0
All other activity	7			(2		)	91		(3		)	0			(93		)	0			0		0			0			0
Other assets:
Fixed maturities, trading	156			6			96		(59		)	0			(3		)	3			13		(6		)	206			8
Equity securities	795			(6		)	66		(100		)	0			(82		)	18			5		(25		)	671			(19		)
Other invested assets	137			4			136		(18		)	0			0			4			0		0			263			3
Short-term investments	8			0			287		0			0			(201		)	(5		)	0		0			89			(1		)
Cash equivalents	0			(1		)	95		(2		)	0			(15		)	0			0		0			77			0
Other assets	13			(34		)	46		0			0			0			0			0		0			25			(34		)
Separate account assets(5)	2,122			(64		)	587		(36		)	0			(358		)	0			287		(1,004		)	1,534			(52		)
Liabilities:
Future policy benefits	(8,720		)	947			0		0			(1,153		)	0			0			0		0			(8,926		)	611
Policyholders’ account balances(6)	(47		)	30			0		0			(39		)	0			0			0		0			(56		)	30
Other liabilities	(3		)	2			0		0			0			0			1			0		0			0			3
Notes issued by consolidated VIEs	(1,196		)	14			0		0			0			0			587			0		0			(595		)	14



	Year Ended December 31, 2018
	Total realized and unrealized gains (losses)														Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances			Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(29	)	$	0		$	0		$	(141	)	$	17	$	(60	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(39		)	0			0			8		0			(38		)	0
Other assets:
Fixed maturities, trading	0			5			0			0			1		0			8			0
Equity securities	0			(6		)	0			0			0		0			(19		)	0
Other invested assets	4			0			0			0			0		2			1			0
Short-term investments	0			0			0			0			0		(1		)	0			0
Cash equivalents	(1		)	0			0			0			0		0			0			0
Other assets	(34		)	0			0			0			0		(34		)	0			0
Separate account assets(5)	0			0			(66		)	0			2		0			0			(52		)
Liabilities:
Future policy benefits	947			0			0			0			0		611			0			0
Policyholders’ account balances	30			0			0			0			0		30			0			0
Other liabilities	2			0			0			0			0		3			0			0
Notes issued by consolidated VIEs	14			0			0			0			0		14			0			0

The following tables summarize the portion of changes in fair values of Level 3 assets and liabilities included in earnings and OCI for the year ended December 31, 2017, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held as of December 31, 2017.



	Year Ended December 31, 2017
	Total realized and unrealized gains (losses)													Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances		Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(23	)	$	0		$	0	$	(12	)	$	26	$	(154	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(35		)	0		0			8		0			(34		)	0
Other assets:
Fixed maturities, trading	0			(2		)	0		0			1		0			(1		)	0
Equity securities	2			25			0		17			0		(4		)	38			0
Other invested assets	1			0			0		0			0		0			0			0
Short-term investments	0			0			0		0			0		0			0			0
Cash equivalents	0			0			0		0			2		0			0			0
Other assets	(20		)	0			0		0			0		(21		)	0			0
Separate account assets(5)	0			0			81		0			2		0			0			78
Liabilities:
Future policy benefits	637			0			0		0			0		372			0			0
Policyholders’ account balances	(31		)	0			0		0			0		(31		)	0			0
Other liabilities	(6		)	0			0		0			0		(6		)	0			0
Notes issued by consolidated VIEs	(4		)	0			0		0			0		(4		)	0			0

__________


(1)	“Other,” for the periods ended December 31, 2019 and 2018, primarily represent deconsolidation of VIE, reclassifications of certain assets between reporting categories and foreign currency translation.


(2)	Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.


(3)	Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.


(4)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(5)

(6)

Issuances and settlements for Policyholders’ account balances are presented net in the rollforward. Prior period amounts have been updated to conform to current period presentation.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation



	Year Ended December 31, 2019
	Fair Value, beginning of period			Total realized and unrealized gains (losses)			Purchases		Sales			Issuances			Settlements			Other(1)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	81		$	0		$	24	$	0		$	0		$	0		$	0		$	0	$	0		$	105		$	0
U.S. states	5			0			0		0			0			(1		)	0			0		0			4			0
Foreign government	125			0			0		0			0			0			(1		)	10		(112		)	22			(2		)
Corporate securities(3)	2,685			(3		)	1,462		(47		)	0			(1,137		)	10			353		(87		)	3,236			(96		)
Structured securities(4)	1,339			40			952		(67		)	0			(507		)	(4		)	755		(1,560		)	948			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	225			0			0		0			0			(5		)	(196		)	0		0			24			0
Corporate securities(3)	444			4			146		0			0			(189		)	196			46		(10		)	637			(6		)
Structured securities(4)	149			0			29		0			0			(35		)	0			0		(74		)	69			0
Equity securities	1			1			0		(2		)	0			0			0			0		0			0			1
All other activity	0			0			8		0			0			(8		)	0			0		0			0			0
Other assets:
Fixed maturities, trading	206			(26		)	105		(31		)	0			0			(7		)	41		(1		)	287			(27		)
Equity securities	671			42			79		(52		)	0			(85		)	1			1		(24		)	633			34
Other invested assets	263			11			341		0			0			(42		)	(6		)	0		0			567			(1		)
Short-term investments	89			0			597		0			0			(526		)	(5		)	0		0			155			0
Cash equivalents	77			0			131		0			0			(77		)	0			0		0			131			0
Other assets	25			44			44		0			0			0			0			0		0			113			44
Separate account assets(5)	1,534			184			346		(111		)	0			(144		)	0			55		(147		)	1,717			170
Liabilities:
Future policy benefits	(8,926		)	(2,685		)	0		0			(1,221		)	0			1			0		0			(12,831		)	(2,999		)
Policyholders’ account balances(6)	(56		)	(933		)	0		0			(324		)	0			(3		)	0		0			(1,316		)	(917		)
Other liabilities	0			(5		)	0		0			(100		)	0			0			0		0			(105		)	(5		)
Notes issued by consolidated VIEs	(595		)	15			0		0			(858		)	638			0			0		0			(800		)	15



	Year Ended December 31, 2019
	Total realized and unrealized gains (losses)												Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances		Included in other comprehensive income (losses)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(67	)	$	0		$	0	$	86	$	18	$	(98	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(4		)	0		0		9		0			(5		)	0
Other assets:
Fixed maturities, trading	0			(27		)	0		0		1		0			(27		)	0
Equity securities	0			42			0		0		0		0			34			0
Other invested assets	(1		)	12			0		0		0		(1		)	0			0
Short-term investments	0			0			0		0		0		0			0			0
Cash equivalents	0			0			0		0		0		0			0			0
Other assets	44			0			0		0		0		44			0			0
Separate account assets(5)	0			0			180		0		4		0			0			170
Liabilities:
Future policy benefits	(2,685		)	0			0		0		0		(2,999		)	0			0
Policyholders’ account balances	(933		)	0			0		0		0		(917		)	0			0
Other liabilities	0			(5		)	0		0		0		0			(5		)	0
Notes issued by consolidated VIEs	15			0			0		0		0		15			0			0



	Year Ended December 31, 2018
	Fair Value, beginning of period			Total realized and unrealized gains (losses)			Purchases		Sales			Issuances			Settlements			Other(1)			Transfers into Level 3		Transfers out of Level 3			Fair Value, end of period			Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	52		$	0		$	29	$	0		$	0		$	0		$	0		$	0	$	0		$	81		$	0
U.S. states	5			0			0		0			0			0			0			0		0			5			0
Foreign government	148			(3		)	5		0			0			0			(9		)	20		(36		)	125			0
Corporate securities(3)	2,776			(110		)	919		(25		)	0			(991		)	(15		)	485		(354		)	2,685			(60		)
Structured securities(4)	6,715			(40		)	2,808		(612		)	0			(1,589		)	1			1,212		(7,156		)	1,339			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	223			7			0		0			0			(5		)	0			0		0			225			1
Corporate securities(3)	462			(35		)	147		0			0			(179		)	0			72		(23		)	444			(37		)
Structured securities(4)	723			(1		)	97		0			0			(165		)	0			33		(538		)	149			(2		)
Equity securities	4			0			0		(3		)	0			0			0			0		0			1			0
All other activity	7			(2		)	91		(3		)	0			(93		)	0			0		0			0			0
Other assets:
Fixed maturities, trading	156			6			96		(59		)	0			(3		)	3			13		(6		)	206			8
Equity securities	795			(6		)	66		(100		)	0			(82		)	18			5		(25		)	671			(19		)
Other invested assets	137			4			136		(18		)	0			0			4			0		0			263			3
Short-term investments	8			0			287		0			0			(201		)	(5		)	0		0			89			(1		)
Cash equivalents	0			(1		)	95		(2		)	0			(15		)	0			0		0			77			0
Other assets	13			(34		)	46		0			0			0			0			0		0			25			(34		)
Separate account assets(5)	2,122			(64		)	587		(36		)	0			(358		)	0			287		(1,004		)	1,534			(52		)
Liabilities:
Future policy benefits	(8,720		)	947			0		0			(1,153		)	0			0			0		0			(8,926		)	611
Policyholders’ account balances(6)	(47		)	30			0		0			(39		)	0			0			0		0			(56		)	30
Other liabilities	(3		)	2			0		0			0			0			1			0		0			0			3
Notes issued by consolidated VIEs	(1,196		)	14			0		0			0			0			587			0		0			(595		)	14



	Year Ended December 31, 2018
	Total realized and unrealized gains (losses)														Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances			Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(29	)	$	0		$	0		$	(141	)	$	17	$	(60	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(39		)	0			0			8		0			(38		)	0
Other assets:
Fixed maturities, trading	0			5			0			0			1		0			8			0
Equity securities	0			(6		)	0			0			0		0			(19		)	0
Other invested assets	4			0			0			0			0		2			1			0
Short-term investments	0			0			0			0			0		(1		)	0			0
Cash equivalents	(1		)	0			0			0			0		0			0			0
Other assets	(34		)	0			0			0			0		(34		)	0			0
Separate account assets(5)	0			0			(66		)	0			2		0			0			(52		)
Liabilities:
Future policy benefits	947			0			0			0			0		611			0			0
Policyholders’ account balances	30			0			0			0			0		30			0			0
Other liabilities	2			0			0			0			0		3			0			0
Notes issued by consolidated VIEs	14			0			0			0			0		14			0			0



	Year Ended December 31, 2017
	Total realized and unrealized gains (losses)													Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances		Included in other comprehensive income (losses)			Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(23	)	$	0		$	0	$	(12	)	$	26	$	(154	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			(35		)	0		0			8		0			(34		)	0
Other assets:
Fixed maturities, trading	0			(2		)	0		0			1		0			(1		)	0
Equity securities	2			25			0		17			0		(4		)	38			0
Other invested assets	1			0			0		0			0		0			0			0
Short-term investments	0			0			0		0			0		0			0			0
Cash equivalents	0			0			0		0			2		0			0			0
Other assets	(20		)	0			0		0			0		(21		)	0			0
Separate account assets(5)	0			0			81		0			2		0			0			78
Liabilities:
Future policy benefits	637			0			0		0			0		372			0			0
Policyholders’ account balances	(31		)	0			0		0			0		(31		)	0			0
Other liabilities	(6		)	0			0		0			0		(6		)	0			0
Notes issued by consolidated VIEs	(4		)	0			0		0			0		(4		)	0			0

__________


(1)	“Other,” for the periods ended December 31, 2019 and 2018, primarily represent deconsolidation of VIE, reclassifications of certain assets between reporting categories and foreign currency translation.


(2)	Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.


(3)	Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.


(4)	Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(5)

(6)

Issuances and settlements for Policyholders’ account balances are presented net in the rollforward. Prior period amounts have been updated to conform to current period presentation.

Fair Value Assets and Liabilities Measured on Recurring Basis, Derivatives

The following tables present the balances of derivative assets and liabilities measured at fair value on a recurring basis, as of the date indicated, by primary underlying risks.These tables exclude embedded derivatives and associated reinsurance recoverables. The derivative assets and liabilities shown below are included in “Other invested assets” or “Other liabilities” in the tables contained within the sections “—Assets and Liabilities by Hierarchy Level” and “—Changes in Level 3 Assets and Liabilities,” above.



	As of December 31, 2019
	Level 1		Level 2		Level 3		Netting(1)			Total

	(in millions)
Derivative assets:
Interest Rate	$	4	$	11,238	$	1	$			$	11,243
Currency	0		230		0					230
Credit	0		21		0					21
Currency/Interest Rate	0		2,207		0					2,207
Equity	2		683		0					685
Commodity	0		0		0					0
Netting(1)							(13,519		)	(13,519		)
Total derivative assets	$	6	$	14,379	$	1	$	(13,519	)	$	867
Derivative liabilities:
Interest Rate	$	38	$	5,176	$	0	$			$	5,214
Currency	0		271		0					271
Credit	0		0		0					0
Currency/Interest Rate	0		647		0					647
Equity	3		1,401		0					1,404
Commodity	0		0		0					0
Netting(1)							(6,705		)	(6,705		)
Total derivative liabilities	$	41	$	7,495	$	0	$	(6,705	)	$	831



	As of December 31, 2018
	Level 1		Level 2		Level 3		Netting(1)			Total

	(in millions)
Derivative assets:
Interest Rate	$	23	$	6,341	$	2	$			$	6,366
Currency	0		273		0					273
Credit	0		33		0					33
Currency/Interest Rate	0		2,292		0					2,292
Equity	0		1,515		0					1,515
Commodity	0		0		0					0
Netting(1)							(9,331		)	(9,331		)
Total derivative assets	$	23	$	10,454	$	2	$	(9,331	)	$	1,148
Derivative liabilities:
Interest Rate	$	2	$	3,818	$	0	$			$	3,820
Currency	0		140		0					140
Credit	0		23		0					23
Currency/Interest Rate	0		778		0					778
Equity	7		640		0					647
Commodity	0		0		0					0
Netting(1)							(5,281		)	(5,281		)
Total derivative liabilities	$	9	$	5,399	0		$	(5,281	)	$	127

__________

(1)

“Netting” amounts represent cash collateral and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting agreement.

Fair Value Assets and Liabilities Measured on Recurring Basis Unobservable Input Reconciliation, Derivatives

The following tables provide a summary of the changes in fair value of Level 3 derivative assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.



	Year Ended December 31, 2019
	Fair Value, beginning of period		Total realized and unrealized gains (losses) (4)			Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3 (2)		Transfers out of Level 3 (2)		Fair Value, end of period		Unrealized gains (losses) for assets still held (4)
	(in millions)
Net Derivative - Equity	$	0	$	0		$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Net Derivative - Interest Rate	2		(1		)	0		0		0		0		0		0		0		1		(2		)



	Year Ended December 31, 2018
	Fair Value, beginning of period			Total realized and unrealized gains (losses) (4)		Purchases		Sales		Issuances		Settlements		Other(1)			Transfers into Level 3 (2)		Transfers out of Level 3 (2)		Fair Value, end of period		Unrealized gains (losses) for assets still held (4)
	(in millions)
Net Derivative - Equity	$	10		$	1	$	0	$	0	$	0	$	0	$	(11	)	$	0	$	0	$	0	$	0
Net Derivative - Interest Rate	(3		)	5		0		0		0		0		0			0		0		2		5



	Year Ended December 31, 2017
	Fair Value, beginning of period		Total realized and unrealized gains (losses) (4)			Purchases		Sales		Issuances		Settlements		Other(3)		Transfers into Level 3 (2)		Transfers out of Level 3 (2)		Fair Value, end of period			Unrealized gains (losses) for assets still held (4)
	(in millions)
Net Derivative - Equity	$	0	$	0		$	0	$	0	$	0	$	0	$	10	$	0	$	0	$	10		$	0
Net Derivative - Interest Rate	4		(7		)	0		0		0		0		0		0		0		(3		)	(7		)

__________


(1)	Represents conversion of warrants to equity shares.


(2)	Transfers into or out of Level 3 are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such positions still held at the end of the quarter.


(3)	Related to warrants received in restructuring a certain asset that resulted in reclassification of reporting category.

(4)

Total realized and unrealized gains (losses) as well as unrealized gains (losses) for assets still held at the end of the period are recorded in “Realized investment gains (losses), net.”

Fair Value Measurements, Nonrecurring

The following tables represent information for assets measured at fair value on a nonrecurring basis. The fair value measurement is nonrecurring as these assets are measured at fair value only when there is a triggering event (e.g., an evidence of impairment). Assets included in the table are those that were impaired during the respective reporting periods and that are still held as of the reporting date. The estimated fair values for these amounts were determined using significant unobservable inputs (Level 3).



	Year Ended December 31,
	2019		2018			2017
	(in millions)
Realized investment gains (losses) net:
Commercial mortgage loans(1)	$	2	$	(12	)	$	(2	)
Mortgage servicing rights(2)	$	11	$	10		$	7



	Year Ended December 31,
	2019		2018
	(in millions)
Carrying value after measurement as of period end
Commercial mortgage loans(1):	$	15	$	47
Mortgage servicing rights(2):	$	87	$	73

__________


(1)	Commercial mortgage loans are valued based on discounted cash flows utilizing market rates or the fair value of the underlying real estate collateral.

(2)

Mortgage servicing rights are valued using a discounted cash flow model. The model incorporates assumptions for servicing revenues, which are adjusted for expected prepayments, delinquency rates, escrow deposit income and estimated loan servicing expenses. The discount rates incorporated into the model are determined based on the estimated returns a market participant would require for this business plus a liquidity and risk premium. This estimate includes available relevant data from any active market sales of mortgage servicing rights.

Fair Value, Option

The following tables present information regarding assets and liabilities where the fair value option has been elected.



	Year Ended December 31,
	2019			2018			2017
	(in millions)
Liabilities:
Notes issued by consolidated VIEs:
Changes in fair value	$	(15	)	$	(14	)	$	4



	Year Ended December 31,
	2019		2018		2017
	(in millions)
Commercial mortgage and other loans:
Interest income	$	20	$	18	$	13
Notes issued by consolidated VIEs:
Interest expense	$	45	$	36	$	75



	Year Ended December 31,
	2019		2018
	(in millions)
Commercial mortgage and other loans(1):
Fair value as of period end	$	228	$	763
Aggregate contractual principal as of period end	$	224	$	754
Other assets:
Fair value as of period end	10		10
Notes issued by consolidated VIEs:
Fair value as of period end	$	800	$	595
Aggregate contractual principal as of period end	$	857	$	632

__________

(1)

As of December 31, 2019, for loans for which the fair value option has been elected, there were no loans in non-accrual status and none of the loans were more than 90 days past due and still accruing.

Fair Value Disclosure Financial Instruments Not Carried at Fair Value

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Consolidated Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.



	December 31, 2019
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Fixed maturities, held-to-maturity(2)	$	0	$	2,217	$	85	$	2,302	$	1,933
Assets supporting experience-rated contractholder liabilities	16		0		0		16		16
Commercial mortgage and other loans	0		107		65,558		65,665		63,331
Policy loans	0		0		12,096		12,096		12,096
Other invested assets	0		36		0		36		36
Short-term investments	1,492		39		0		1,531		1,531
Cash and cash equivalents	6,278		1,043		0		7,321		7,321
Accrued investment income	0		3,330		0		3,330		3,330
Other assets	147		2,526		643		3,316		3,315
Total assets	$	7,933	$	9,298	$	78,382	$	95,613	$	92,909
Liabilities:
Policyholders’ account balances—investment contracts	$	0	$	32,940	$	69,216	$	102,156	$	101,241
Securities sold under agreements to repurchase	0		9,681		0		9,681		9,681
Cash collateral for loaned securities	0		4,213		0		4,213		4,213
Short-term debt	0		1,748		205		1,953		1,933
Long-term debt(3)	1,950		18,188		1,186		21,324		18,646
Notes issued by consolidated VIEs	0		0		474		474		474
Other liabilities	0		6,403		579		6,982		6,982
Separate account liabilities—investment contracts	0		77,134		24,407		101,541		101,541
Total liabilities	$	1,950	$	150,307	$	96,067	$	248,324	$	244,711



	December 31, 2018
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Fixed maturities, held-to-maturity(2)	$	0	$	1,468	$	904	$	2,372	$	2,013
Assets supporting experience-rated contractholder liabilities	0		0		0		0		0
Commercial mortgage and other loans	0		109		59,106		59,215		59,067
Policy loans	0		0		12,016		12,016		12,016
Other invested assets	0		40		0		40		40
Short-term investments	951		25		0		976		976
Cash and cash equivalents	4,871		1,004		0		5,875		5,875
Accrued investment income	0		3,318		0		3,318		3,318
Other assets	141		2,189		483		2,813		2,813
Total assets	$	5,963	$	8,153	$	72,509	$	86,625	$	86,118
Liabilities:
Policyholders’ account balances—investment contracts	$	0	$	31,422	$	67,006	$	98,428	$	99,829
Securities sold under agreements to repurchase	0		9,950		0		9,950		9,950
Cash collateral for loaned securities	0		3,929		0		3,929		3,929
Short-term debt	0		1,854		658		2,512		2,451
Long-term debt(3)	1,734		15,057		1,181		17,972		17,378
Notes issued by consolidated VIEs	0		0		360		360		360
Other liabilities	0		6,338		510		6,848		6,848
Separate account liabilities—investment contracts	0		66,914		26,022		92,936		92,936
Total liabilities	$	1,734	$	135,464	$	95,737	$	232,935	$	233,681

__________


(1)	Carrying values presented herein differ from those in the Company’s Consolidated Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.


(2)	Excludes notes with fair value of $5,401 million (carrying amount of $4,998 million) and $4,879 million (carrying amount of $4,879 million) as of December 31, 2019 and 2018, respectively, which have been offset with the associated payables under a netting agreement.


(3)	Includes notes with fair value of $10,158 million (carrying amount of $9,749 million) and $9,095 million (carrying amount of $9,095 million) as of December 31, 2019 and 2018, respectively, which have been offset with the associated receivables under a netting agreement.