Fair Value (Tables)

12 Months Ended

Dec. 31, 2019

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy, are presented below. Investments that do not have a readily determinable fair value and are measured at net asset value (or equivalent) as a practical expedient to estimated fair value are excluded from the fair value hierarchy.



	December 31, 2019
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	30,831	$	329	$	31,160
Foreign corporate	—		9,712		132		9,844
RMBS	—		9,074		44		9,118
U.S. government and agency	1,636		5,760		—		7,396
CMBS	—		5,755		—		5,755
State and political subdivision	—		3,984		73		4,057
ABS	—		1,882		73		1,955
Foreign government	—		1,751		—		1,751
Total fixed maturity securities	1,636		68,749		651		71,036
Equity securities	14		125		8		147
Short-term investments	1,271		682		5		1,958
Derivative assets: (1)
Interest rate	—		1,778		—		1,778
Foreign currency exchange rate	—		281		5		286
Credit	—		25		11		36
Equity market	—		850		71		921
Total derivative assets	—		2,934		87		3,021
Embedded derivatives within asset host contracts (2)	—		—		217		217
Separate account assets	180		106,924		3		107,107
Total assets	$	3,101	$	179,414	$	971	$	183,486
Liabilities
Derivative liabilities: (1)
Interest rate	$	—	$	330	$	—	$	330
Foreign currency exchange rate	—		43		—		43
Equity market	—		2,093		71		2,164
Total derivative liabilities	—		2,466		71		2,537
Embedded derivatives within liability host contracts (2)	—		—		4,248		4,248
Total liabilities	$	—	$	2,466	$	4,319	$	6,785



	December 31, 2018
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	24,150	$	323	$	24,473
Foreign corporate	—		7,617		409		8,026
RMBS	—		8,541		6		8,547
U.S. government and agency	2,722		6,373		—		9,095
CMBS	—		5,120		128		5,248
State and political subdivision	—		3,523		74		3,597
ABS	—		2,087		39		2,126
Foreign government	—		1,496		—		1,496
Total fixed maturity securities	2,722		58,907		979		62,608
Equity securities	13		124		3		140
Derivative assets: (1)
Interest rate	—		717		—		717
Foreign currency exchange rate	—		301		11		312
Credit	—		10		7		17
Equity market	—		1,634		98		1,732
Total derivative assets	—		2,662		116		2,778
Embedded derivatives within asset host contracts (2)	—		—		228		228
Separate account assets	217		98,038		1		98,256
Total assets	$	2,952	$	159,731	$	1,327	$	164,010
Liabilities
Derivative liabilities: (1)
Interest rate	$	—	$	619	$	—	$	619
Foreign currency exchange rate	—		48		—		48
Credit	—		2		1		3
Equity market	—		1,205		237		1,442
Total derivative liabilities	—		1,874		238		2,112
Embedded derivatives within liability host contracts (2)	—		—		2,226		2,226
Total liabilities	$	—	$	1,874	$	2,464	$	4,338

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(1)	Derivative assets are presented within other invested assets on the consolidated balance sheets and derivative liabilities are presented within other liabilities on the consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation on the consolidated balance sheets.

(2)

Embedded derivatives within asset host contracts are presented within premiums, reinsurance and other receivables and other invested assets on the consolidated balance sheets. Embedded derivatives within liability host contracts are presented within policyholder account balances on the consolidated balance sheets.

Fair Value Inputs, Quantitative Information

The following table presents certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at:



					December 31, 2019			December 31, 2018			Impact of Increase in Input on Estimated Fair Value
	Valuation Techniques		Significant Unobservable Inputs		Range			Range			Impact of Increase in Input on Estimated Fair Value
Embedded derivatives
Direct, assumed and ceded guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates	0.02%	-	11.31%	0.02%	-	11.31%	Decrease (1)
			•	Lapse rates	0.25%	-	16.00%	0.25%	-	16.00%	Decrease (2)
			•	Utilization rates	0.00%	-	25.00%	0.00%	-	25.00%	Increase (3)
			•	Withdrawal rates	0.25%	-	10.00%	0.25%	-	10.00%	(4)
			•	Long-term equity volatilities	16.24%	-	21.65%	16.50%	-	22.00%	Increase (5)
			•	Nonperformance risk spread	0.54%	-	1.99%	1.91%	-	2.66%	Decrease (6)

_______________


(1)	Mortality rates vary by age and by demographic characteristics such as gender. The range shown reflects the mortality rate for policyholders between 35 and 90 years old, which represents the majority of the business with living benefits. Mortality rate assumptions are set based on company experience and include an assumption for mortality improvement.

(2)

The range shown reflects base lapse rates for major product categories for duration 1-20, which represents majority of business with living benefit riders. Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in-the-money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies.

(3)

The utilization rate assumption estimates the percentage of contract holders with a GMIB or lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible in a given year. The range shown represents the floor and cap of the GMIB dynamic election rates across varying levels of in-the-money. For lifetime withdrawal guarantee riders, the assumption is that everyone will begin withdrawals once account value reaches zero which is equivalent to a 100% utilization rate. Utilization rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder.

(4)

The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.


(5)	Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(6)

Nonperformance risk spread varies by duration. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change of all assets and (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3):



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	Corporate (1)			Structured Securities			State and Political Subdivision			Foreign Government			Equity Securities			Short-term Investments			Net Derivatives (2)			Net Embedded Derivatives (3)			Separate Account Assets (4)
	(In millions)
Balance, January 1, 2018	$	1,997		$	1,230		$	—		$	5		$	124		$	14		$	(279	)	$	(1,660	)	$	5
Total realized/unrealized gains (losses) included in net income (loss) (5) (6)	1			2			1			—			—			—			152			526			—
Total realized/unrealized gains (losses) included in AOCI	(33		)	(6		)	(1		)	—			—			—			9			—			—
Purchases (7)	71			42			—			—			1			—			3			—			1
Sales (7)	(197		)	(91		)	(1		)	(5		)	(3		)	(14		)	(7		)	—			(1		)
Issuances (7)	—			—			—			—			—			—			—			—			—
Settlements (7)	—			—			—			—			—			—			—			(864		)	(1		)
Transfers into Level 3 (8)	418			8			75			—			—			—			—			—			—
Transfers out of Level 3 (8)	(1,525		)	(1,012		)	—			—			(119		)	—			—			—			(3		)
Balance, December 31, 2018	732			173			74			—			3			—			(122		)	(1,998		)	1
Total realized/unrealized gains (losses) included in net income (loss) (5) (6)	—			1			1			—			—			—			(12		)	(1,192		)	—
Total realized/unrealized gains (losses) included in AOCI	15			2			(1		)	—			—			—			(1		)	—			—
Purchases (7)	342			69			—			—			5			5			—			—			3
Sales (7)	(150		)	(25		)	(1		)	—			—			—			—			—			—
Issuances (7)	—			—			—			—			—			—			—			—			—
Settlements (7)	—			—			—			—			—			—			155			(841		)	—
Transfers into Level 3 (8)	24			42			—			—			—			—			—			—			—
Transfers out of Level 3 (8)	(502		)	(145		)	—			—			—			—			(4		)	—			(1		)
Balance, December 31, 2019	$	461		$	117		$	73		$	—		$	8		$	5		$	16		$	(4,031	)	$	3
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2017: (9)	$	1		$	23		$	—		$	—		$	—		$	—		$	(52	)	$	966		$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2018: (9)	$	(2	)	$	—		$	1		$	—		$	1		$	—		$	148		$	395		$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2019: (9)	$	—		$	—		$	1		$	—		$	—		$	—		$	(10	)	$	(1,450	)	$	—
Gains (Losses) Data for the year ended December 31, 2017:
Total realized/unrealized gains (losses) included in net income (loss) (5) (6)	$	(3	)	$	28		$	—		$	—		$	(3	)	$	—		$	92		$	1,078		$	—
Total realized/unrealized gains (losses) included in AOCI	$	131		$	52		$	—		$	—		$	—		$	—		$	—		$	—		$	—

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(1)	Comprised of U.S. and foreign corporate securities.


(2)	Freestanding derivative assets and liabilities are presented net for purposes of the rollforward.


(3)	Embedded derivative assets and liabilities are presented net for purposes of the rollforward.


(4)	Investment performance related to separate account assets is fully offset by corresponding amounts credited to contract holders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income (loss). For the purpose of this disclosure, these changes are presented within net investment gains (losses).

(5)

Amortization of premium/accretion of discount is included within net investment income. Impairments charged to net income (loss) on securities are included in net investment gains (losses). Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).


(6)	Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.


(7)	Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.


(8)	Gains and losses, in net income (loss) and OCI, are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.

(9)

Changes in unrealized gains (losses) included in net income (loss) relate to assets and liabilities still held at the end of the respective periods. Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:



	December 31, 2019
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	15,753	$	—	$	—	$	16,383	$	16,383
Policy loans	$	1,292	$	—	$	516	$	1,062	$	1,578
Other invested assets	$	51	$	—	$	39	$	12	$	51
Premiums, reinsurance and other receivables	$	2,224	$	—	$	41	$	2,593	$	2,634
Liabilities
Policyholder account balances	$	15,614	$	—	$	—	$	15,710	$	15,710
Long-term debt	$	4,365	$	—	$	3,334	$	1,000	$	4,334
Other liabilities	$	846	$	—	$	191	$	655	$	846
Separate account liabilities	$	1,189	$	—	$	1,189	$	—	$	1,189



	December 31, 2018
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	13,694	$	—	$	—	$	13,860	$	13,860
Policy loans	$	1,421	$	—	$	656	$	959	$	1,615
Other invested assets	$	77	$	—	$	64	$	13	$	77
Premiums, reinsurance and other receivables	$	1,609	$	—	$	32	$	1,664	$	1,696
Liabilities
Policyholder account balances	$	15,332	$	—	$	—	$	13,861	$	13,861
Long-term debt	$	3,963	$	—	$	2,758	$	600	$	3,358
Other liabilities	$	330	$	—	$	118	$	212	$	330
Separate account liabilities	$	1,029	$	—	$	1,029	$	—	$	1,029