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FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

9 Months Ended

Sep. 30, 2020

Assets and Liabilities Measured at Fair Value on Recurring Basis

Fair Value Measurements at September 30, 2020


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, AFS:
Corporate (1)	$	—	$	54,318	$	1,494	$	55,812
U.S. Treasury, government and agency	—		17,468		—		17,468
States and political subdivisions	—		839		39		878
Foreign governments	—		905		—		905
Residential mortgage-backed (2)	—		160		—		160
Asset-backed (3)	—		2,583		13		2,596
Commercial mortgage-backed	—		1,117		—		1,117
Redeemable preferred stock	369		74		—		443
Total fixed maturities, AFS	369		77,464		1,546		79,379
Other equity investments	20		—		73		93
Trading securities	414		5,778		52		6,244
Other invested assets:
Short-term investments	—		126		—		126
Assets of consolidated VIEs/VOEs	19		213		13		245
Swaps	—		1,368		—		1,368
Credit default swaps	—		6		—		6
Futures	—		—		—		—
Options	—		2,757		—		2,757
Swaptions	—		—		—		—
Total other invested assets	19		4,470		13		4,502
Cash equivalents	6,331		1,041		—		7,372
Segregated securities	—		1,869		—		1,869
GMIB reinsurance contracts asset	—		—		2,818		2,818
Separate Accounts assets (4)	120,418		2,438		—		122,856
Total Assets	$	127,571	$	93,060	$	4,502	$	225,133

Liabilities
GMxB derivative features’ liability	$	—	$	—	$	12,204	$	12,204
SCS, SIO, MSO and IUL indexed features’ liability	—		2,606		—		2,606
Liabilities of consolidated VIEs and VOEs	—		5		—		5
Contingent payment arrangements	—		—		30		30
Total Liabilities	$	—	$	2,611	$	12,234	$	14,845

______________

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

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

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

(4)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 September 30, 2020, the fair value of such investments was $356 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

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	$	—	$	—	$	8,502	$	8,502
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	$	8,525	$	11,803

______________

(1)Excludes amounts reclassified as HFS.

(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 for the three and nine months ended September 30, 2020 and 2019, respectively.

Level 3 Instruments - Fair Value Measurements


	Corporate		State and Political Subdivisions		Asset- backed
	(in millions)
Balance, July 1, 2020	$	1,685	$	40	$	—
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	—		—		—
Investment gains (losses), net	(1)		—		—
Subtotal	(1)		—		—
Other comprehensive income (loss)	18		(1)		—
Purchases	(155)		—		13
Sales	(24)		—		—
Transfers into Level 3 (1)	(29)		—		—
Transfers out of Level 3 (1)	—		—		—
Balance, September 30, 2020	$	1,494	$	39	$	13


	Corporate		State and Political Subdivisions		Asset- backed
	(in millions)
Balance, July 1, 2019	$	1,302	$	40	$	534
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	—		—		—
Investment gains (losses), net	—		1		—
Subtotal	—		1		—
Other comprehensive income (loss)	(6)		—		—
Purchases	(3)		—		71
Sales	(42)		(2)		(73)
Transfers into Level 3 (1)	—		—		—
Transfers out of Level 3 (1)	(31)		—		—
Balance, September 30, 2019	$	1,220	$	39	$	532

_____________

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


	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)	2		—		—
Investment gains (losses), net	(14)		—		—
Subtotal	(12)		—		—
Other comprehensive income (loss)	(36)		1		—
Purchases	207		—		13
Sales	(114)		(1)		—
Transfers into Level 3 (1)	195		—		—
Transfers out of Level 3 (1)	(3)		—		(100)
Balance, September 30, 2020	$	1,494	$	39	$	13

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)	3		—		—
Investment gains (losses), net	—		1		—
Subtotal	3		1		—
Other comprehensive income (loss)	4		2		5
Purchases	219		—		81
Sales	(102)		(3)		(73)
Transfers into Level 3 (1)	14		—		—
Transfers out of Level 3 (1)	(104)		—		—
Balance, September 30, 2019	$	1,220	$	39	$	532

_____________

(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, July 1, 2020	$	132	$	2,931	$	—	$	(12,689)	$	(28)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	7		—		—		—		—
Net derivative gains (losses) (1)	—		(103)		—		579		—
Total realized and unrealized gains (losses)	7		(103)		—		579		—
Other comprehensive income (loss)	(4)		—		—		—		—
Purchases (2)	21		11		—		(115)		—
Sales (3)	(14)		(21)		—		21		—
Settlements (4)	—		—		—		—		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—		(1)
Transfers into Level 3 (5)	—		—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—		—
Balance, September 30, 2020	$	139	$	2,818	$	—	$	(12,204)	$	(29)

Balance, July 1, 2019	$	134	$	1,898	$	25	$	(7,004)	$	(25)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—		—
Net derivative gains (losses)	—		563		—		(2,548)		—
Total realized and unrealized gains (losses)	—		563		—		(2,548)		—
Other comprehensive income (loss)	—		—		—		—		—
Purchases (2)	2		11		(5)		(102)		—
Sales (3)	(4)		(20)		(1)		13		—
Settlements (4)	—		—		(1)		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—		(1)
Transfers into Level 3 (5)	—		—		—		—		—
Transfers out of Level 3 (5)	(4)		—		(11)		—		—
Balance, September 30, 2019	$	128	$	2,452	$	7	$	(9,641)	$	(26)

_____________

(1)The Company’s nonperformance risk impact of ($464) million for the GMxB derivative features liability and ($8) million for the GMIB reinsurance contract asset the three months ended September 2020, respectively, 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 settled under the arrangement related to AB acquisitions.

(5)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	$	—	$	(8,502)	$	(23)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	14		—		—		—		—
Net derivative gains (losses) (1)	—		736		—		(3,421)		—
Total realized and unrealized gains (losses)	14		736		—		(3,421)		—
Other comprehensive income (loss)	(21)		—		—		—		—
Purchases (2)	25		33		—		(335)		(4)
Sales (3)	(26)		(58)		—		54		—
Settlements (4)	—		—		—		—		—
Change in estimate (5)	—		(32)		—		—		—
Activity related to consolidated VIEs/VOEs	(4)		—		—		—		(2)
Transfers into Level 3 (6)	1		—		—		—		—
Transfers out of Level 3 (6)	—		—		—		—		—
Balance, September 30, 2020	$	139	$	2,818	$	—	$	(12,204)	$	(29)

Balance, January 1, 2019	$	165	$	1,734	$	21	$	(5,674)	$	(7)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—		—
Net derivative gains (losses)	—		740		—		(3,677)		—
Total realized and unrealized gains (losses)	—		740		—		(3,677)		—
Other comprehensive income (loss)	—		—		—		—		—
Purchases (2)	10		33		3		(317)		(17)
Sales (3)	(11)		(55)		(1)		27		—
Settlements (4)	—		—		(4)		—		—
Change in estimate	—		—		—		—		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—		(2)
Transfers into Level 3 (6)	—		—		—		—		—
Transfers out of Level 3 (6)	(33)		—		(12)		—		—
Balance, September 30, 2019	$	128	$	2,452	$	7	$	(9,641)	$	(26)

______________

(1)The Company’s nonperformance risk impact of $42 million for the GMxB derivative features liability and ($33) million for the GMIB reinsurance contract asset the nine months ended September 2020, respectively, 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 nine months ended September 30, 2020 and 2019 by category for Level 3 assets and liabilities still held at September 30, 2020 and 2019, respectively.

Change in Unrealized Gains (Losses) for Level 3 Instruments


	Net Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (Losses)		OCI
	(in millions)
Held at September 30, 2020:
Change in unrealized gains (losses):
Fixed maturities, AFS
Corporate	$	—	$	—	$	(37)
State and political subdivisions	—		—		2
Asset-backed	—		—		—
Total fixed maturities, AFS	—		—		(35)
GMIB reinsurance contracts	—		2,818		—
Separate Account assets	—
GMxB derivative features liability	—		(12,204)		—
Total	$	—	$	(9,386)	$	(35)

Held at September 30, 2019:
Change in unrealized gains (losses):
Fixed maturities, AFS
Corporate	$	—	$	—	$	3
State and political subdivisions	—		—		3

Asset-backed	—		—		4
Total fixed maturities, AFS	—		—		10
GMIB reinsurance contracts	—		740		—
Separate Account assets	(1)		—		—
GMxB derivative features liability	—		(3,677)		—
Total	$	(1)	$	(2,937)	$	10

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 September 30, 2020 and December 31, 2019, respectively.

Quantitative Information about Level 3 Fair Value Measurements at September 30, 2020

Fair

Value

Valuation

Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

Matrix pricing model

Spread over Benchmark

220 - 610 bps

278 bps

1,105

Market comparable
companies

EBITDA multiples
Discount rate
Cash flow multiples

3.5x-31.8x
5.1% - 25.4%
0.9x -25.0x

14.4x
10.0%
10.7x

Other equity investments

Market comparable companies

Revenue multiple

3.5x - 27.9x

9.5x

Discounted Cash Flow

Earnings multiple
Discount factor
Discount years

8.0x
10.0%
11

Fair

Value

Valuation

Technique

Significant

Unobservable Input

Range

Weighted Average (2)

GMIB reinsurance contract asset

2,818

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

60 - 125 bps
0.6%-16%
0%-2%
0%-61%
16%-34%

0.01%-0.18%
0.07%-0.54%
0.42%-42.20%

72 bps
1.56%
0.96%
6.37%
25%

2.72%
(same for all ages)
(same for all ages)

Liabilities:

GMIBNLG

11,682

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Annuitization rates
Mortality rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 61 - 115

141.0 bps
1.1%-25.7%
0.4%-2%
0%-100%

0.01%-0.19%
0.06%-0.53%
0.41%-41.39%

3.06%
0.96%
5.92%

1.48%
(same for all ages)
(same for all ages)

Assumed GMIB Reinsurance Contracts

219

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates (Age 0-85)
Withdrawal rates (Age 86+)
Utilization rates
Volatility rates - Equity

92 - 195 bps
1.1% - 11.1%
0.6% - 22.2%
1.1% - 100%
0% - 30%
16%-34%

147 bps
1.56%
0.96%
(same for all ages)
6.37%
25%

GWBL/GMWB

220

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates

Volatility rates - Equity

141.0 bps
0.8%-16%
0%-8%
100% once starting
16%-34%

1.56%
0.96%

24.57%

GIB

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

141.0 bps
0.8%-15.6%
0%-2%
0%-100%
16%-34%

1.56%
0.96%
6.37%
25%

GMAB

Discounted cash flow

Non-performance risk
Lapse rates
Volatility rates - Equity

141.0 bps
0.8%-16%
16%-34%

1.56%
25%

______________

(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

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

Discounted cash flow

Earnings multiple
Discounts factor
Discount years

8.0x
10.0%
11

Fair
Value

Valuation
Technique

Significant
Unobservable Input

Range

Weighted Average

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%

Liabilities:

GMIBNLG

8,135

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%

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

172

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

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

Discounted cash flow

Lapse rates
Volatility rates - Equity

1.0% - 10.0%
9.0% - 30.0%

______________

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at September 30, 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)
September 30, 2020:
Mortgage loans on real estate	$	12,802	$	—	$	—	$	13,049	$	13,049
Policy loans	$	4,123	$	—	$	—	$	5,232	$	5,232
Policyholders’ liabilities: Investment contracts	$	2,195	$	—	$	—	$	2,425	$	2,425
FHLB funding agreements (1)	$	6,848	$	—	$	6,940	$	—	$	6,940
FABN funding agreements (2)	$	1,143	$	—	$	1,168	$	—	$	1,168
Short-term and long-term debt	$	4,114	$	—	$	4,750	$	—	$	4,750
Separate Accounts liabilities	$	9,000	$	—	$	—	$	9,000	$	9,000

December 31, 2019:
Mortgage loans on real estate	$	12,107	$	—	$	—	$	12,334	$	12,334
Policy loans (3)	$	3,735	$	—	$	—	$	4,707	$	4,707
Policyholders’ liabilities: Investment contracts (3)	$	2,056	$	—	$	—	$	2,167	$	2,167
FHLB funding agreements (1)	$	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)Federal Home Loan Bank of New York (“FHLB”)

(2)Funding Agreement Backed Notes Program (“FABN”)

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