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Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020
	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	$	43,528	$	115	$			$	43,643
Obligations of U.S. states and their political subdivisions	0		11,485		4					11,489
Foreign government bonds	0		117,062		21					117,083
U.S. corporate public securities	0		95,434		488					95,922
U.S. corporate private securities(2)	0		33,755		1,690					35,445
Foreign corporate public securities	0		27,915		61					27,976
Foreign corporate private securities	0		23,554		2,257					25,811
Asset-backed securities(3)	0		12,639		741					13,380
Commercial mortgage-backed securities	0		15,572		0					15,572
Residential mortgage-backed securities	0		3,186		207					3,393
Subtotal	0		384,130		5,584					389,714
Assets supporting experience-rated contractholder liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	0		200		0					200
Obligations of U.S. states and their political subdivisions	0		211		0					211
Foreign government bonds	0		767		24					791
Corporate securities	0		12,507		603					13,110
Asset-backed securities(3)	0		1,543		64					1,607
Commercial mortgage-backed securities	0		1,869		0					1,869
Residential mortgage-backed securities	0		1,130		113					1,243
Equity securities	1,233		233		0					1,466
All other(4)	0		886		7					893
Subtotal	1,233		19,346		811					21,390
Fixed maturities, trading	0		3,372		249					3,621
Equity securities	4,571		874		594					6,039
Commercial mortgage and other loans	0		670		0					670
Other invested assets(5)	133		34,930		581		(31,880		)	3,764
Short-term investments	2,096		3,963		53					6,112
Cash equivalents	1,442		19,729		1					21,172
Other assets	0		0		382					382
Separate account assets(6)(7)	39,056		208,460		1,528					249,044
Total assets	$	48,531	$	675,474	$	9,783	$	(31,880	)	$	701,908
Future policy benefits(8)	$	0	$	0	$	27,935	$			$	27,935
Policyholders’ account balances	0		0		1,206					1,206
Other liabilities	135		13,149		47		(12,381		)	950
Notes issued by consolidated VIEs	0		0		799					799
Total liabilities	$	135	$	13,149	$	29,987	$	(12,381	)	$	30,890



	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

__________


(1)	“Netting” amounts represent cash collateral of $19,499 million and $6,814 million as of March 31, 2020 and December 31, 2019, respectively.


(2)	Excludes notes with fair value of $5,616 million (carrying amount of $5,616 million) and $4,757 million (carrying amount of $4,751 million) as of March 31, 2020 and December 31, 2019, 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. As of March 31, 2020 and December 31, 2019, the fair values of such investments were $4,131 million and $4,213 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. As of March 31, 2020 and December 31, 2019, the fair value of such investments was $23,623 million and $23,557 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 Unaudited Interim Consolidated Statements of Financial Position.

(8)

As of March 31, 2020, the net embedded derivative liability position of $27.9 billion includes $0.2 billion of embedded derivatives in an asset position and $28.1 billion of embedded derivatives in a liability position. 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.

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 March 31, 2020

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)

2,929

Discounted

cash flow(4)

Discount rate

0.48%

25%

6.61%

Decrease

Market comparables

EBITDA multiples(3)

5.7X

9.2X

7.1X

Increase

Liquidation

Liquidation value

14.12%

74.63%

54.70%

Increase

Equity securities

187

Discounted cash flow(4)

Discount rate

10%

30%

Decrease

Market comparables

EBITDA multiples(3)

9.8X

5.0X

Increase

Net Asset Value

Share price

$1,353

$723

Increase

Separate account assets-commercial mortgage loans(5)

773

Discounted

cash flow

Spread

2.44%

3.59%

2.65%

Decrease

Liabilities:

Future policy benefits(6)

27,935

Discounted

cash flow

Lapse rate(8)

18%

Decrease

Spread over LIBOR(9)

1.40%

2.02%

Decrease

Utilization rate(10)

43%

97%

Increase

Withdrawal rate

See table footnote (11) below.

Mortality rate(12)

15%

Decrease

Equity volatility curve

18%

33%

Increase

Policyholders’ account balances(7)

1,206

Discounted

cash flow

Lapse rate(8)

42%

Decrease

Spread over LIBOR(9)

1.40%

2.02%

Decrease

Mortality rate(12)

24%

Decrease

Equity volatility curve

53%

Increase

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)

10.1X

5.4X

Increase

Net Asset Value

Share price

$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)

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)

15%

Decrease

Equity volatility curve

13%

23%

Increase

Policyholders’ account balances(7)

1,316

Discounted

cash flow

Lapse rate(8)

42%

Decrease

Spread over LIBOR(9)

0.10%

1.23%

Decrease

Mortality rate(12)

24%

Decrease

Equity volatility curve

25%

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)	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 Unaudited Interim Consolidated Statements of Financial Position. As a result, changes in value associated with these investments are not reflected in the Company’s Unaudited Interim 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 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 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 March 31, 2020 and December 31, 2019, 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.



	Three Months Ended March 31, 2020
	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	$	105		$	0		$	10	$	0		$	0		$	0		$	0		$	0	$	0		$	115		$	0
U.S. states	4			0			0		0			0			0			0			0		0			4			0
Foreign government	22			(1		)	0		0			0			0			0			0		0			21			0
Corporate securities(3)	3,236			(500		)	294		(113		)	0			(235		)	1			1,827		(14		)	4,496			(492		)
Structured securities(4)	948			(7		)	315		(17		)	0			(100		)	155			12		(358		)	948			(16		)
Assets supporting experience-rated contractholder liabilities:
Foreign government	24			0			0		0			0			0			0			0		0			24			0
Corporate securities(3)	637			(46		)	4		(10		)	0			(45		)	0			63		0			603			(44		)
Structured securities(4)	69			(4		)	116		0			0			(4		)	0			0		0			177			0
Equity securities	0			0			0		0			0			0			0			0		0			0			0
All other activity	0			0			7		0			0			0			0			0		0			7			0
Other assets:
Fixed maturities, trading	287			(15		)	18		(6		)	0			0			(2		)	15		(48		)	249			(16		)
Equity securities	633			(44		)	9		(5		)	0			0			1			0		0			594			(44		)
Other invested assets	567			8			27		0			0			(1		)	(20		)	0		0			581			8
Short-term investments	155			2			43		0			0			(110		)	(37		)	0		0			53			0
Cash equivalents	131			0			0		0			0			0			(130		)	0		0			1			0
Other assets	113			252			17		0			0			0			0			0		0			382			252
Separate account assets(5)	1,717			(140		)	56		(13		)	0			(18		)	0			7		(81		)	1,528			(128		)
Liabilities:
Future policy benefits	(12,831		)	(14,789		)	0		0			(319		)	0			4			0		0			(27,935		)	(14,923		)
Policyholders’ account balances(6)	(1,316		)	206			0		0			(96		)	0			0			0		0			(1,206		)	209
Other liabilities	(105		)	58			0		0			0			0			0			0		0			(47		)	58
Notes issued by consolidated VIEs	(800		)	1			0		0			0			0			0			0		0			(799		)	0



	Three Months Ended March 31, 2020
	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 (loss)			Net investment income			Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances			Included in other comprehensive income (loss)(7)
	(in millions)
Fixed maturities, available-for-sale	$	(27	)	$	0		$	0		$	(483	)	$	2		$	(27	)	$	0		$	0		$	(481	)
Assets supporting experience-rated contractholder liabilities	0			(47		)	0			0			(3		)	0			(44		)	0			0
Other assets:
Fixed maturities, trading	0			(15		)	0			0			0			0			(16		)	0			0
Equity securities	0			(44		)	0			0			0			0			(44		)	0			0
Other invested assets	0			8			0			0			0			0			8			0			0
Short-term investments	2			0			0			0			0			0			0			0			0
Cash equivalents	0			0			0			0			0			0			0			0			0
Other assets	252			0			0			0			0			252			0			0			0
Separate account assets(5)	0			0			(140		)	0			0			0			0			(128		)	0
Liabilities:
Future policy benefits	(14,789		)	0			0			0			0			(14,923		)	0			0			0
Policyholders’ account balances	206			0			0			0			0			209			0			0			0
Other liabilities	0			58			0			0			0			0			58			0			0
Notes issued by consolidated VIEs	1			0			0			0			0			0			0			0			0



	Three Months Ended March 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		$	7	$	0		$	0		$	0		$	0		$	0	$	0		$	88		$	0
U.S. states	5			0			0		0			0			(1		)	0			0		0			4			0
Foreign government	125			3			0		0			0			0			1			9		0			138			0
Corporate securities(3)	2,685			4			319		(12		)	0			(379		)	(2		)	164		(22		)	2,757			(21		)
Structured securities(4)	1,339			17			318		0			0			(231		)	(2		)	733		(259		)	1,915			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	225			0			0		0			0			0			(196		)	0		0			29			0
Corporate securities(3)	444			5			27		0			0			(76		)	196			0		(4		)	592			(5		)
Structured securities(4)	149			0			6		0			0			(21		)	0			0		(74		)	60			0
Equity securities	1			0			0		0			0			0			0			0		0			1			0
All other activity	0			0			0		0			0			0			0			0		0			0			0
Other assets:
Fixed maturities, trading	206			(4		)	38		(1		)	0			0			2			0		(1		)	240			0
Equity securities	671			8			23		(11		)	0			(15		)	(2		)	0		0			674			7
Other invested assets	263			(1		)	157		0			0			(42		)	(4		)	0		0			373			(1		)
Short-term investments	89			0			153		0			0			(74		)	0			0		0			168			0
Cash equivalents	77			0			1		0			0			(77		)	0			0		0			1			0
Other assets	25			14			9		0			0			0			0			0		0			48			14
Separate account assets(5)	1,534			81			89		(11		)	0			(23		)	0			0		(35		)	1,635			74
Liabilities:
Future policy benefits	(8,926		)	(810		)	0		0			(290		)	0			1			0		0			(10,025		)	(879		)
Policyholders’ account balances(6)	(56		)	(51		)	0		0			(36		)	0			(3		)	0		0			(146		)	(51		)
Other liabilities	0			0			0		0			0			0			0			0		0			0			0
Notes issued by consolidated VIEs	(595		)	(2		)	0		0			(858		)	638			0			0		0			(817		)	(2		)



	Three Months Ended March 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 (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(2	)	$	0		$	0	$	22	$	4	$	(21	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			3			0		0		2		0			(5		)	0
Other assets:
Fixed maturities, trading	0			(4		)	0		0		0		0			0			0
Equity securities	0			8			0		0		0		0			7			0
Other invested assets	(1		)	0			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	14			0			0		0		0		14			0			0
Separate account assets(5)	0			0			80		0		1		0			0			74
Liabilities:
Future policy benefits	(810		)	0			0		0		0		(879		)	0			0
Policyholders’ account balances	(51		)	0			0		0		0		(51		)	0			0
Other liabilities	0			0			0		0		0		0			0			0
Notes issued by consolidated VIEs	(2		)	0			0		0		0		(2		)	0			0

__________


(1)	“Other,” for the periods ended March 31, 2020 and March 31, 2019, 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 have been updated to conform to current period presentation.

(7)

Effective January 1, 2020, the changes in unrealized gains and losses for the period included in other comprehensive income for recurring Level 3 fair value measurements held at the end of the reporting period were added prospectively due to adoption of ASU 2018-13. Fair Value Measurement (Topic 820): Disclosure Framework - Changes to the Disclosure Requirements for Fair Value Measurement.

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



	Three Months Ended March 31, 2020
	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	$	105		$	0		$	10	$	0		$	0		$	0		$	0		$	0	$	0		$	115		$	0
U.S. states	4			0			0		0			0			0			0			0		0			4			0
Foreign government	22			(1		)	0		0			0			0			0			0		0			21			0
Corporate securities(3)	3,236			(500		)	294		(113		)	0			(235		)	1			1,827		(14		)	4,496			(492		)
Structured securities(4)	948			(7		)	315		(17		)	0			(100		)	155			12		(358		)	948			(16		)
Assets supporting experience-rated contractholder liabilities:
Foreign government	24			0			0		0			0			0			0			0		0			24			0
Corporate securities(3)	637			(46		)	4		(10		)	0			(45		)	0			63		0			603			(44		)
Structured securities(4)	69			(4		)	116		0			0			(4		)	0			0		0			177			0
Equity securities	0			0			0		0			0			0			0			0		0			0			0
All other activity	0			0			7		0			0			0			0			0		0			7			0
Other assets:
Fixed maturities, trading	287			(15		)	18		(6		)	0			0			(2		)	15		(48		)	249			(16		)
Equity securities	633			(44		)	9		(5		)	0			0			1			0		0			594			(44		)
Other invested assets	567			8			27		0			0			(1		)	(20		)	0		0			581			8
Short-term investments	155			2			43		0			0			(110		)	(37		)	0		0			53			0
Cash equivalents	131			0			0		0			0			0			(130		)	0		0			1			0
Other assets	113			252			17		0			0			0			0			0		0			382			252
Separate account assets(5)	1,717			(140		)	56		(13		)	0			(18		)	0			7		(81		)	1,528			(128		)
Liabilities:
Future policy benefits	(12,831		)	(14,789		)	0		0			(319		)	0			4			0		0			(27,935		)	(14,923		)
Policyholders’ account balances(6)	(1,316		)	206			0		0			(96		)	0			0			0		0			(1,206		)	209
Other liabilities	(105		)	58			0		0			0			0			0			0		0			(47		)	58
Notes issued by consolidated VIEs	(800		)	1			0		0			0			0			0			0		0			(799		)	0



	Three Months Ended March 31, 2020
	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 (loss)			Net investment income			Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances			Included in other comprehensive income (loss)(7)
	(in millions)
Fixed maturities, available-for-sale	$	(27	)	$	0		$	0		$	(483	)	$	2		$	(27	)	$	0		$	0		$	(481	)
Assets supporting experience-rated contractholder liabilities	0			(47		)	0			0			(3		)	0			(44		)	0			0
Other assets:
Fixed maturities, trading	0			(15		)	0			0			0			0			(16		)	0			0
Equity securities	0			(44		)	0			0			0			0			(44		)	0			0
Other invested assets	0			8			0			0			0			0			8			0			0
Short-term investments	2			0			0			0			0			0			0			0			0
Cash equivalents	0			0			0			0			0			0			0			0			0
Other assets	252			0			0			0			0			252			0			0			0
Separate account assets(5)	0			0			(140		)	0			0			0			0			(128		)	0
Liabilities:
Future policy benefits	(14,789		)	0			0			0			0			(14,923		)	0			0			0
Policyholders’ account balances	206			0			0			0			0			209			0			0			0
Other liabilities	0			58			0			0			0			0			58			0			0
Notes issued by consolidated VIEs	1			0			0			0			0			0			0			0			0



	Three Months Ended March 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		$	7	$	0		$	0		$	0		$	0		$	0	$	0		$	88		$	0
U.S. states	5			0			0		0			0			(1		)	0			0		0			4			0
Foreign government	125			3			0		0			0			0			1			9		0			138			0
Corporate securities(3)	2,685			4			319		(12		)	0			(379		)	(2		)	164		(22		)	2,757			(21		)
Structured securities(4)	1,339			17			318		0			0			(231		)	(2		)	733		(259		)	1,915			0
Assets supporting experience-rated contractholder liabilities:
Foreign government	225			0			0		0			0			0			(196		)	0		0			29			0
Corporate securities(3)	444			5			27		0			0			(76		)	196			0		(4		)	592			(5		)
Structured securities(4)	149			0			6		0			0			(21		)	0			0		(74		)	60			0
Equity securities	1			0			0		0			0			0			0			0		0			1			0
All other activity	0			0			0		0			0			0			0			0		0			0			0
Other assets:
Fixed maturities, trading	206			(4		)	38		(1		)	0			0			2			0		(1		)	240			0
Equity securities	671			8			23		(11		)	0			(15		)	(2		)	0		0			674			7
Other invested assets	263			(1		)	157		0			0			(42		)	(4		)	0		0			373			(1		)
Short-term investments	89			0			153		0			0			(74		)	0			0		0			168			0
Cash equivalents	77			0			1		0			0			(77		)	0			0		0			1			0
Other assets	25			14			9		0			0			0			0			0		0			48			14
Separate account assets(5)	1,534			81			89		(11		)	0			(23		)	0			0		(35		)	1,635			74
Liabilities:
Future policy benefits	(8,926		)	(810		)	0		0			(290		)	0			1			0		0			(10,025		)	(879		)
Policyholders’ account balances(6)	(56		)	(51		)	0		0			(36		)	0			(3		)	0		0			(146		)	(51		)
Other liabilities	0			0			0		0			0			0			0			0		0			0			0
Notes issued by consolidated VIEs	(595		)	(2		)	0		0			(858		)	638			0			0		0			(817		)	(2		)



	Three Months Ended March 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 (loss)		Net investment income		Realized investment gains (losses), net			Other income (loss)			Interest credited to policyholders’ account balances
	(in millions)
Fixed maturities, available-for-sale	$	(2	)	$	0		$	0	$	22	$	4	$	(21	)	$	0		$	0
Assets supporting experience-rated contractholder liabilities	0			3			0		0		2		0			(5		)	0
Other assets:
Fixed maturities, trading	0			(4		)	0		0		0		0			0			0
Equity securities	0			8			0		0		0		0			7			0
Other invested assets	(1		)	0			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	14			0			0		0		0		14			0			0
Separate account assets(5)	0			0			80		0		1		0			0			74
Liabilities:
Future policy benefits	(810		)	0			0		0		0		(879		)	0			0
Policyholders’ account balances	(51		)	0			0		0		0		(51		)	0			0
Other liabilities	0			0			0		0		0		0			0			0
Notes issued by consolidated VIEs	(2		)	0			0		0		0		(2		)	0			0

__________


(1)	“Other,” for the periods ended March 31, 2020 and March 31, 2019, 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 have been updated to conform to current period presentation.

(7)

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 risk. These tables include NPR and 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 March 31, 2020
	Level 1		Level 2		Level 3		Netting(1)			Total
	(in millions)
Derivative Assets:
Interest Rate	$	42	$	25,929	$	1	$			$	25,972
Currency	0		537		0					537
Credit	0		2		0					2
Currency/Interest Rate	0		5,204		0					5,204
Equity	90		3,259		0					3,349
Other	0		0		0					0
Netting(1)							(31,880		)	(31,880		)
Total derivative assets	$	132	$	34,931	$	1	$	(31,880	)	$	3,184
Derivative Liabilities:
Interest Rate	$	131	$	11,579	$	0	$			$	11,710
Currency	0		166		0					166
Credit	0		29		0					29
Currency/Interest Rate	0		457		0					457
Equity	1		922		0					923
Other	0		0		0					0
Netting(1)							(12,381		)	(12,381		)
Total derivative liabilities	$	132	$	13,153	$	0	$	(12,381	)	$	904



	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
Other	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
Other	0		0		0					0
Netting(1)							(6,705		)	(6,705		)
Total derivative liabilities	$	41	$	7,495	$	0	$	(6,705	)	$	831

__________

(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.



	Three Months Ended March 31, 2020
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3(2)		Transfers out of Level 3(2)		Fair Value, end of period		Unrealized gains (losses) for assets still held(1)
	(in millions)
Net Derivative - Equity	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Net Derivative - Interest Rate	1		0		0		0		0		0		0		0		0		1		0



	Three Months Ended March 31, 2019
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)			Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3(2)		Transfers out of Level 3(2)		Fair Value, end of period		Unrealized gains (losses) for assets still held(1)
	(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		(1		)

______


(1)	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.”


(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.

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).



	Three Months Ended March 31,
	2020			2019
	(in millions)
Realized investment gains (losses) net:
Commercial mortgage loans(1)	$	1		$	0
Mortgage servicing rights(2)	$	(3	)	$	(1	)



	March 31, 2020		December 31, 2019
	(in millions)
Carrying value after measurement as of period end:
Commercial mortgage loans(1)	$	15	$	15
Mortgage servicing rights(2)	$	80	$	87

__________


(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 including 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.



	Three Months Ended March 31,
	2020		2019
	(in millions)
Liabilities:
Notes issued by consolidated VIEs:
Changes in fair value	$	0	$	2



	Three Months Ended March 31,
	2020		2019
	(in millions)
Commercial mortgage and other loans:
Interest income	$	2	$	6
Notes issued by consolidated VIEs:
Interest expense	$	11	$	9



	March 31, 2020		December 31, 2019
	(in millions)
Commercial mortgage and other loans(1):
Fair value as of period end	$	670	$	228
Aggregate contractual principal as of period end	$	662	$	224
Other assets:
Fair value as of period end	$	10	$	10
Notes issued by consolidated VIEs:
Fair value as of period end	$	799	$	800
Aggregate contractual principal as of period end	$	857	$	857

__________

(1)

As of March 31, 2020, 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 Unaudited Interim Consolidated Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.



	March 31, 2020
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Fixed maturities, held-to-maturity(2)	$	0	$	2,164	$	85	$	2,249	$	1,895
Assets supporting experience-rated contractholder liabilities	110		80		0		190		190
Commercial mortgage and other loans	0		109		64,261		64,370		62,889
Policy loans	0		0		12,099		12,099		12,099
Other invested assets	0		196		0		196		196
Short-term investments	1,764		85		0		1,849		1,849
Cash and cash equivalents	10,216		258		0		10,474		10,474
Accrued investment income	0		3,221		0		3,221		3,221
Other assets	151		2,584		177		2,912		2,910
Total assets	$	12,241	$	8,697	$	76,622	$	97,560	$	95,723
Liabilities:
Policyholders’ account balances—investment contracts	$	0	$	36,747	$	68,583	$	105,330	$	104,660
Securities sold under agreements to repurchase	0		10,557		0		10,557		10,557
Cash collateral for loaned securities	0		3,396		0		3,396		3,396
Short-term debt	0		2,339		208		2,547		2,539
Long-term debt(3)	1,836		17,488		1,157		20,481		20,149
Notes issued by consolidated VIEs	0		0		452		452		452
Other liabilities	0		6,806		47		6,853		6,853
Separate account liabilities—investment contracts	0		67,654		23,928		91,582		91,582
Total liabilities	$	1,836	$	144,987	$	94,375	$	241,198	$	240,188



	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

__________


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


(2)	Excludes notes with fair value of $5,001 million (carrying amount of $4,998 million) and $5,401 million (carrying amount of $4,998 million) as of March 31, 2020 and December 31, 2019, respectively, which have been offset with the associated payables under a netting agreement.


(3)	Includes notes with fair value of $10,617 million (carrying amount of $10,614 million) and $10,158 million (carrying amount of $9,749 million) as of March 31, 2020 and December 31, 2019, respectively, which have been offset with the associated receivables under a netting agreement.