FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value Measurements at March 31, 2020 (1)

	Level 1			Level 2			Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, AFS:
Corporate (2)	$	—		$	47,137		$	1,185	$	48,322
U.S. Treasury, government and agency	—			18,633			—		18,633
States and political subdivisions	—			689			36		725
Foreign governments	—			498			—		498
Residential mortgage-backed (3)	—			184			—		184
Asset-backed (4)	—			1,356			40		1,396
Commercial mortgage-backed	—			39			—		39
Redeemable preferred stock	252			272			—		524
Total fixed maturities, AFS	252			68,808			1,261		70,321
Other equity investments	12			—			87		99
Trading securities	438			6,059			37		6,534
Other invested assets:
Short-term investments	—			142			—		142
Assets of consolidated VIEs/VOEs	98			365			16		479
Swaps	—			2,594			—		2,594
Credit default swaps	—			4			—		4
Futures	(3		)	—			—		(3		)
Options	—			(539		)	—		(539		)
Swaptions	—			—			—		—
Total other invested assets	95			2,566			16		2,677
Cash equivalents	9,026			—			—		9,026
Segregated securities	—			2,013			—		2,013
GMIB reinsurance contracts asset	—			—			2,823		2,823
Separate Accounts assets (5)	102,853			2,632			—		105,485
Total Assets	$	112,676		$	82,078		$	4,224	$	198,978
Liabilities
GMxB derivative features’ liability	$	—		$	—		$	9,727	$	9,727
SCS, SIO, MSO and IUL indexed features’ liability	—			(940		)	—		(940		)
Liabilities of consolidated VIEs and VOEs	1			19			—		20
Contingent payment arrangements	—			—			24		24
Total Liabilities	$	1		$	(921	)	$	9,751	$	8,831

______________

(1) Excludes amounts reclassified as Held-for-Sale.

(2) Corporate fixed maturities includes both public and private issues.

(3) Includes publicly traded agency pass-through securities and collateralized obligations.

(4) Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.

(5) Separate Accounts 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 and commercial mortgages. At March 31, 2020, the fair value of such investments was $361 million.

Fair Value Measurements at December 31, 2019 (1)

	Level 1		Level 2			Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, AFS:
Corporate (2)	$	—	$	46,942		$	1,257	$	48,199
U.S. Treasury, government and agency	—		15,394			—		15,394
States and political subdivisions	—		666			39		705
Foreign governments	—		492			—		492
Residential mortgage-backed (3)	—		191			—		191
Asset-backed (4)	—		749			100		849
Commercial mortgage-backed (3)	—		—			—		—
Redeemable preferred stock	239		274			—		513
Total fixed maturities, AFS	239		64,708			1,396		66,343
Other equity investments	13		—			97		110
Trading securities	500		6,495			36		7,031
Other invested assets:
Short-term investments	—		490			—		490
Assets of consolidated VIEs/VOEs	132		457			17		606
Swaps	—		(327		)	—		(327		)
Credit default swaps	—		15			—		15
Options	—		3,346			—		3,346
Swaptions	—		16			—		16
Total other invested assets	132		3,997			17		4,146
Cash equivalents	3,497		—			—		3,497
Segregated securities	—		1,095			—		1,095
GMIB reinsurance contracts asset	—		—			2,139		2,139
Separate Accounts assets (5)	123,432		2,892			—		126,324
Total Assets	$	127,813	$	79,187		$	3,685	$	210,685
Liabilities
GMxB derivative features’ liability	$	—	$	—		$	8,432	$	8,432
SCS, SIO, MSO and IUL indexed features’ liability	—		3,268			—		3,268
Liabilities of consolidated VIEs and VOEs	1		9			—		10
Contingent payment arrangements	—		—			23		23
Total Liabilities	$	1	$	3,277		$	8,455	$	11,733

______________

(1) Excludes amounts reclassified as Held-for-Sale.

(2) Corporate fixed maturities includes both public and private issues.

(3) Includes publicly traded agency pass-through securities and collateralized obligations.

(4) Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.

(5)

Separate Accounts 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 and commercial mortgages. At December 31, 2019, the fair value of such investments was $356 million.

Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities at March 31, 2020 and 2019, respectively:

Level 3 Instruments - Fair Value Measurements

	Corporate			State and Political Subdivisions			Asset- backed
	(in millions)
Balance, January 1, 2020	$	1,257		$	39		$	100
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1			—			—
Investment gains (losses), net	(2		)	—			—
Subtotal	(1		)	—			—
Other comprehensive income (loss)	(61		)	(3		)	(8		)
Purchases	61			—			48
Sales	(45		)	—			—
Transfers into Level 3 (1)	—			—			—
Transfers out of Level 3 (1)	(26		)	—			(100		)
Balance, March 31, 2020	$	1,185		$	36		$	40
Balance, January 1, 2019	$	1,186		$	39		$	519
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1			—			—
Investment gains (losses), net	—			—			—
Subtotal	1			—			—
Other comprehensive income (loss)	9			1			4
Purchases	70			—			11
Sales	(34		)	—			—
Transfers into Level 3 (1)	17			—			—
Transfers out of Level 3 (1)	(69		)	—			—
Balance, March 31, 2019	$	1,180		$	40		$	534

_____________

(1) Transfers into/out of the Level 3 classification are reflected at beginning of period fair values.

	Other Equity Investments			GMIB Reinsurance  Contract Asset			Separate Accounts Assets			GMxB Derivative Features Liability			Contingent Payment Arrangement
	(in millions)
Balance, January 1, 2020	$	150		$	2,139		$	—		$	(8,432	)	$	(23	)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	7			—			—			—			—
Net derivative gains (losses), excluding non-performance risk	—			955			—			(3,884		)	—
Non-performance risk (1)	—			(229		)	—			2,686			—
Total realized and unrealized gains (losses)	7			726			—			(1,198		)	—
Other comprehensive income (loss)	(7		)	—			—			—			—
Purchases (2)	2			10			—			(111		)	—
Sales (3)	(11		)	(20		)	—			14			—
Settlements (4)	—			—			—			—			—
Change in estimate (5)	—			(32		)	—			—			—
Activity related to consolidated VIEs/VOEs	(1		)	—			—			—			(1		)
Transfers into Level 3 (6)	—			—			—			—			—
Transfers out of Level 3 (6)	—			—			—			—			—
Balance, March 31, 2020	$	140		$	2,823		$	—		$	(9,727	)	$	(24	)
Balance, January 1, 2019	$	165		$	1,732		$	21		$	(5,614	)	$	(7	)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—			—			—			—			—
Net derivative gains (losses), excluding non-performance risk	—			(11		)	—			63			—
Non-performance risk (1)	—			29			—			(470		)	—
Total realized and unrealized gains (losses)	—			18			—			(407		)	—
Other comprehensive income (loss)	—			—			—			—			—
Purchases (2)	2			11			4			(111		)	—
Sales (3)	—			(21		)	—			6			—
Settlements (4)	—			—			(1		)	—			—
Change in estimate	—			—			—			—			—
Activity related to consolidated VIEs/VOEs	(1		)	—			—			—			—
Transfers into Level 3 (6)	—			—			—			—			—
Transfers out of Level 3 (6)	(29		)	—			(1		)	—			—
Balance, March 31, 2019	$	137		$	1,740		$	23		$	(6,126	)	$	(7	)

______________

(1) The Company’s non-performance risk is recorded through Net derivative gains (losses).

(2) For the GMIB reinsurance contract asset, and GMxB derivative features liability, represents attributed fee.

(3) For the GMIB reinsurance contract asset, represents recoveries from reinsurers and for GMxB derivative features liability represents benefits paid.

(4) For contingent payment arrangements, it represents payments under the arrangement.

(5) For the GMIB reinsurance contract asset, represents a transfer from amounts due from reinsurers.

(6) Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

The table below details changes in unrealized gains (losses) for the three months ended March 31, 2020 and 2019 by category for Level 3 assets and liabilities still held at March 31, 2020 and 2019, respectively.

Change in Unrealized Gains (Losses) for Level 3 Instruments

	Net Income (Loss)
	Net Derivative Gains (Losses)			OCI
	(in millions)
Held at March 31, 2020:
Change in unrealized gains (losses):
Fixed maturities, AFS
Corporate	$	—		$	(61	)
State and political subdivisions	—			(2		)
Asset-backed	—			(8		)
Total fixed maturities, AFS	—			(71		)
GMIB reinsurance contracts	726			—
GMxB derivative features liability	(1,198		)	—
Total	$	(472	)	$	(71	)
Held at March 31, 2019:
Change in unrealized gains (losses):
Fixed maturities, AFS
Corporate	$	—		$	9
State and political subdivisions	—			1
Asset-backed	—			4
Total fixed maturities, AFS	—			14
GMIB reinsurance contracts	18			—
GMxB derivative features liability	(408		)	—
Total	$	(390	)	$	14

Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities at March 31, 2020 and December 31, 2019, respectively.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2020

	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average (2)
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate	$	63	Matrix pricing model	Spread over Benchmark	15 - 580 bps	264 bps
	1,034		Market comparable  companies	EBITDA multiples Discount rate Cash flow multiples	3.2x - 31.5x 6.0% - 25.2% 0.8x - 25.8x	14.0x 10.1% 11.1x
Other equity investments	37		Discounted cash flow	Earnings multiple Discount factor Discount years	8.0x 10.0% 11
GMIB reinsurance contract asset	2,823		Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity Mortality rates (1): Ages 0 - 40 Ages 41 - 60 Ages 61 - 115	144 - 293 bps 0.8% - 10% 0.0% - 8.0% 0.0% - 49.0% 20.0% - 37.0% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.20%	233 bps 1.56% 1.19% 6.59% 27% All Ages 2.71%

	Fair Value	Valuation Technique	Significant Unobservable Input	Range	Weighted Average (2)
Liabilities:
GMIBNLG	9,308	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Annuitization Mortality rates (1): Ages 0 - 40 Ages 41 - 60 Ages 61 - 115	304 bps 0.8% - 19.9% 0.3% - 11.0% 0.0% - 100% 0.01% - 0.19% 0.06% - 0.53% 0.41% - 41.39%	2.75% 1.21% 6.46% All Ages 1.34%
Assumed GMIB Reinsurance Contracts	218	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates (Age 0 - 85) Withdrawal rates (Age 86+) Utilization rates Volatility rates - Equity	201 - 419 bps 1.1% - 11.1% 0.6% - 22.2% 1.1% - 100.0% 0.0% - 30.0% 20.0% - 37.0%	357 bps 1.56% All Ages 1.19% 6.59% 27%
GWBL/GMWB	146	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity	304 bps 0.8% - 10.0% 0.0% - 7.0% 100% after starting 20.0% - 37.0%	1.75% 1.19% 27%
GIB	38	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity	304 bps 1.2% - 19.9% 0.0% - 8.0% 0.0% - 100.0% 20.0% - 37.0%	1.75% 1.19% 6.59% 27%
GMAB	17	Discounted cash flow	Non-performance risk Lapse rates Volatility rates - Equity	304 bps 1.0% - 10.0% 20.0% - 37.0%	1.75% 27%

______________

(1) Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

(2) For Lapses, Withdrawals, and Utilizations the rates were weighted by counts, for Mortality weighted average rates are shown for all ages combined and for Withdrawals the weighted averages were based on an estimated split of partial withdrawal and dollar-for-dollar withdrawals.

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019

	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate	$	57	Matrix pricing model	Spread over benchmark	65 - 580 bps	184 bps
	1,025		Market comparable companies	EBITDA multiples Discount rate Cash flow multiples	3.3x - 56.7x 3.9% - 16.5% 0.8x - 48.1x	14.3x 10.0% 10.7x
Other equity investments	36		Discounted cash flow	Earnings multiple Discounts factor Discount years	8.0x 10.0% 11
GMIB reinsurance contract asset	2,139		Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity Mortality rates (1): Ages 0 - 40 Ages 41 - 60 Ages 60 - 115	55 - 109 bps 0.8% - 10% 0.0% - 8.0% 0.0% - 49.0% 9.0% - 30.0% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.20%

	Fair Value	Valuation Technique	Significant Unobservable Input	Range	Weighted Average
Liabilities:
GMIBNLG	8,128	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Annuitization rates Mortality rates (1): Ages 0 - 40 Ages 41 - 60 Ages 60 - 115	124 bps 0.8% - 19.9% 0.3% - 11.0% 0.0% - 100% 0.01% - 0.19% 0.06% - 0.53% 0.41% - 41.39%
Assumed GMIB Reinsurance Contracts	186	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates (Age 0 - 85) Withdrawal rates (Age 86+) Utilization rates Volatility rates - Equity	61 - 141 bps 1.1% - 11.1% 0.6% - 22.2% 1.1% - 100.0% 0.0% - 30.0% 9.0% - 30.0%
GWBL/GMWB	109	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity	124 bps 0.8% - 10.0% 0.0% - 7.0% 100% after starting 9.0% - 30.0%
GIB	5	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity	124 bps 1.2% - 19.9% 0.0% - 8.0% 0.0% - 100.0% 9.0% - 30.0%
GMAB	4	Discounted cash flow	Lapse rates Volatility rates - Equity	1.0% - 10.0% 9.0% - 30.0%

______________

(1) Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

Note 4

The carrying values and fair values at March 31, 2020 and December 31, 2019 for financial instruments not otherwise disclosed in Note 3 and Note 4 are presented in the table below.

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed

	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2020:
Mortgage loans on real estate	$	12,123	$	—	$	—	$	12,134	$	12,134
Policy loans (1)	$	3,720	$	—	$	—	$	4,686	$	4,686
Policyholders’ liabilities: Investment contracts (1)	$	2,089	$	—	$	—	$	2,201	$	2,201
FHLBNY funding agreements	$	6,759	$	—	$	6,835	$	—	$	6,835
Short-term and long-term debt	$	4,217	$	—	$	4,201	$	—	$	4,201
Separate Accounts liabilities	$	7,563	$	—	$	—	$	7,563	$	7,563
December 31, 2019:
Mortgage loans on real estate	$	12,107	$	—	$	—	$	12,334	$	12,334
Policy loans (1)	$	3,735	$	—	$	—	$	4,707	$	4,707
Policyholders’ liabilities: Investment contracts (1)	$	2,056	$	—	$	—	$	2,167	$	2,167
FHLBNY funding agreements	$	6,909	$	—	$	6,957	$	—	$	6,957
Short-term and long-term debt	$	4,111	$	—	$	4,476	$	—	$	4,476
Separate Accounts liabilities	$	9,041	$	—	$	—	$	9,041	$	9,041

______________

(1)

Excludes amounts reclassified as Held-f