XML 68 R31.htm IDEA: XBRL DOCUMENT v3.19.3
FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2019
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

September 30, 2019

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

684

$

4,543

$

-

$

-

$

-

$

5,227

Obligations of states, municipalities and political subdivisions

 

-

 

13,638

 

2,107

 

-

 

-

 

15,745

Non-U.S. governments

 

94

 

15,269

 

13

 

-

 

-

 

15,376

Corporate debt

 

-

 

150,097

 

1,275

 

-

 

-

 

151,372

RMBS

 

-

 

19,235

 

13,560

 

-

 

-

 

32,795

CMBS

 

-

 

13,286

 

1,050

 

-

 

-

 

14,336

CDO/ABS

 

-

 

9,431

 

8,939

 

-

 

-

 

18,370

Total bonds available for sale

 

778

 

225,499

 

26,944

 

-

 

-

 

253,221

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

10

 

2,286

 

-

 

-

 

-

 

2,296

Non-U.S. governments

 

-

 

-

 

-

 

-

 

-

 

-

Corporate debt

 

-

 

18

 

-

 

-

 

-

 

18

RMBS

 

-

 

482

 

815

 

-

 

-

 

1,297

CMBS

 

-

 

335

 

68

 

-

 

-

 

403

CDO/ABS

 

-

 

382

 

3,931

 

-

 

-

 

4,313

Total other bond securities

 

10

 

3,503

 

4,814

 

-

 

-

 

8,327

Equity securities

 

751

 

12

 

8

 

-

 

-

 

771

Other invested assets(b)

 

-

 

73

 

589

 

-

 

-

 

662

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

1

 

4,381

 

-

 

-

 

-

 

4,382

Foreign exchange contracts

 

-

 

1,661

 

1

 

-

 

-

 

1,662

Equity contracts

 

18

 

676

 

103

 

-

 

-

 

797

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

15

 

-

 

-

 

15

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,795)

 

(2,937)

 

(5,732)

Total derivative assets

 

19

 

6,718

 

120

 

(2,795)

 

(2,937)

 

1,125

Short-term investments

 

2,988

 

2,589

 

-

 

-

 

-

 

5,577

Other assets

 

-

 

-

 

60

 

-

 

-

 

60

Separate account assets

 

84,707

 

4,418

 

-

 

-

 

-

 

89,125

Total

$

89,253

$

242,812

$

32,535

$

(2,795)

$

(2,937)

$

358,868

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

7,166

$

-

$

-

$

7,166

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

3

 

2,853

 

-

 

-

 

-

 

2,856

Foreign exchange contracts

 

-

 

940

 

-

 

-

 

-

 

940

Equity contracts

 

12

 

74

 

2

 

-

 

-

 

88

Credit contracts

 

-

 

18

 

103

 

-

 

-

 

121

Other contracts

 

-

 

-

 

8

 

-

 

-

 

8

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,795)

 

(133)

 

(2,928)

Total derivative liabilities

 

15

 

3,885

 

113

 

(2,795)

 

(133)

 

1,085

Other liabilities

 

-

 

55

 

-

 

-

 

-

 

55

Long-term debt

 

-

 

2,287

 

-

 

-

 

-

 

2,287

Total

$

15

$

6,227

$

7,279

$

(2,795)

$

(133)

$

10,593

December 31, 2018

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

 

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

53

$

3,207

$

-

$

-

$

-

$

3,260

Obligations of states, municipalities and political subdivisions

 

-

 

14,001

 

2,000

 

-

 

-

 

16,001

Non-U.S. governments

 

69

 

14,445

 

11

 

-

 

-

 

14,525

Corporate debt

 

-

 

129,836

 

864

 

-

 

-

 

130,700

RMBS

 

-

 

20,178

 

14,199

 

-

 

-

 

34,377

CMBS

 

-

 

11,784

 

917

 

-

 

-

 

12,701

CDO/ABS

 

-

 

8,725

 

9,102

 

-

 

-

 

17,827

Total bonds available for sale

 

122

 

202,176

 

27,093

 

-

 

-

 

229,391

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

11

 

2,654

 

-

 

-

 

-

 

2,665

Non-U.S. governments

 

-

 

45

 

-

 

-

 

-

 

45

Corporate debt

 

-

 

1,671

 

-

 

-

 

-

 

1,671

RMBS

 

-

 

424

 

1,290

 

-

 

-

 

1,714

CMBS

 

-

 

311

 

77

 

-

 

-

 

388

CDO/ABS

 

-

 

454

 

4,478

 

-

 

-

 

4,932

Total other bond securities

 

11

 

5,559

 

5,845

 

-

 

-

 

11,415

Equity securities

 

1,213

 

13

 

27

 

-

 

-

 

1,253

Other invested assets(b)

 

-

 

341

 

587

 

-

 

-

 

928

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

2

 

2,888

 

-

 

-

 

-

 

2,890

Foreign exchange contracts

 

-

 

1,159

 

5

 

-

 

-

 

1,164

Equity contracts

 

133

 

190

 

75

 

-

 

-

 

398

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

15

 

-

 

-

 

15

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(1,713)

 

(1,840)

 

(3,553)

Total derivative assets

 

135

 

4,237

 

96

 

(1,713)

 

(1,840)

 

915

Short-term investments

 

2,416

 

599

 

-

 

-

 

-

 

3,015

Other assets

 

-

 

-

 

58

 

-

 

-

 

58

Separate account assets

 

77,202

 

4,645

 

-

 

-

 

-

 

81,847

Total

$

81,099

$

217,570

$

33,706

$

(1,713)

$

(1,840)

$

328,822

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

4,116

$

-

$

-

$

4,116

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

4

 

2,004

 

15

 

-

 

-

 

2,023

Foreign exchange contracts

 

-

 

858

 

-

 

-

 

-

 

858

Equity contracts

 

12

 

3

 

-

 

-

 

-

 

15

Credit contracts

 

-

 

8

 

228

 

-

 

-

 

236

Other contracts

 

-

 

-

 

6

 

-

 

-

 

6

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(1,713)

 

(187)

 

(1,900)

Total derivative liabilities

 

16

 

2,873

 

249

 

(1,713)

 

(187)

 

1,238

Other liabilities

 

16

 

11

 

-

 

-

 

-

 

27

Long-term debt

 

-

 

2,213

 

-

 

-

 

-

 

2,213

Total

$

32

$

5,097

$

4,365

$

(1,713)

$

(187)

$

7,594

 

(a)Represents netting of derivative exposures covered by qualifying master netting agreements.

 

(b)Excludes investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent), which totaled $5.4 billion and $5.0 billion as of September 30, 2019 and December 31, 2018, respectively.

 
Changes in Level 3 recurring fair value measurements (Assets)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,162

$

(1)

$

119

$

92

$

-

$

(265)

$

2,107

$

-

Non-U.S. governments

 

2

 

6

 

-

 

-

 

5

 

-

 

13

 

-

Corporate debt

 

1,821

 

(36)

 

(2)

 

(535)

 

112

 

(85)

 

1,275

 

-

RMBS

 

13,863

 

166

 

15

 

(418)

 

16

 

(82)

 

13,560

 

-

CMBS

 

1,103

 

2

 

32

 

85

 

-

 

(172)

 

1,050

 

-

CDO/ABS

 

9,062

 

3

 

37

 

(170)

 

7

 

-

 

8,939

 

-

Total bonds available for sale

 

28,013

 

140

 

201

 

(946)

 

140

 

(604)

 

26,944

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

830

 

9

 

-

 

(24)

 

-

 

-

 

815

 

1

CMBS

 

88

 

1

 

-

 

(17)

 

-

 

(4)

 

68

 

(2)

CDO/ABS

 

4,150

 

115

 

-

 

(334)

 

-

 

-

 

3,931

 

28

Total other bond securities

 

5,068

 

125

 

-

 

(375)

 

-

 

(4)

 

4,814

 

27

Equity securities

 

35

 

-

 

-

 

(29)

 

2

 

-

 

8

 

(2)

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

605

 

6

 

-

 

(22)

 

-

 

-

 

589

 

7

Other assets

 

61

 

-

 

-

 

(1)

 

-

 

-

 

60

 

-

Total

$

33,782

$

271

$

201

$

(1,373)

$

142

$

(608)

$

32,415

$

32

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,065

$

861

$

-

$

240

$

-

$

-

$

7,166

$

(691)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

16

 

(3)

 

-

 

(13)

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(4)

 

6

 

-

 

(3)

 

-

 

-

 

(1)

 

-

Equity contracts

 

(113)

 

12

 

-

 

-

 

-

 

-

 

(101)

 

(13)

Credit contracts

 

173

 

(24)

 

-

 

(47)

 

-

 

-

 

102

 

14

Other contracts

 

(7)

 

(17)

 

-

 

17

 

-

 

-

 

(7)

 

15

Total derivative liabilities, net(a)

 

65

 

(26)

 

-

 

(46)

 

-

 

-

 

(7)

 

16

Total

$

6,130

$

835

$

-

$

194

$

-

$

-

$

7,159

$

(675)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Nine Months Ended September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,000

$

(2)

$

321

$

178

$

35

$

(425)

$

2,107

$

-

Non-U.S. governments

 

11

 

5

 

-

 

(4)

 

5

 

(4)

 

13

 

-

Corporate debt

 

864

 

(10)

 

79

 

(600)

 

1,155

 

(213)

 

1,275

 

-

RMBS

 

14,199

 

575

 

176

 

(1,234)

 

83

 

(239)

 

13,560

 

-

CMBS

 

917

 

8

 

62

 

381

 

58

 

(376)

 

1,050

 

-

CDO/ABS

 

9,102

 

15

 

204

 

(111)

 

103

 

(374)

 

8,939

 

-

Total bonds available for sale

 

27,093

 

591

 

842

 

(1,390)

 

1,439

 

(1,631)

 

26,944

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,290

 

69

 

-

 

(544)

 

-

 

-

 

815

 

(18)

CMBS

 

77

 

5

 

-

 

-

 

-

 

(14)

 

68

 

3

CDO/ABS

 

4,478

 

299

 

-

 

(749)

 

-

 

(97)

 

3,931

 

128

Total other bond securities

 

5,845

 

373

 

-

 

(1,293)

 

-

 

(111)

 

4,814

 

113

Equity securities

 

27

 

-

 

-

 

(20)

 

2

 

(1)

 

8

 

2

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

587

 

24

 

1

 

(23)

 

-

 

-

 

589

 

27

Other assets

 

58

 

-

 

-

 

2

 

-

 

-

 

60

 

-

Total

$

33,610

$

988

$

843

$

(2,724)

$

1,441

$

(1,743)

$

32,415

$

142

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,116

$

2,400

$

-

$

650

$

-

$

-

$

7,166

$

(2,044)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

-

 

-

 

(15)

 

-

 

-

 

-

 

1

Foreign exchange contracts

 

(5)

 

(4)

 

-

 

8

 

-

 

-

 

(1)

 

-

Equity contracts

 

(75)

 

(8)

 

-

 

(18)

 

-

 

-

 

(101)

 

19

Credit contracts

 

227

 

(51)

 

-

 

(74)

 

-

 

-

 

102

 

13

Other contracts

 

(9)

 

(50)

 

-

 

52

 

-

 

-

 

(7)

 

50

Total derivative liabilities, net(a)

 

153

 

(113)

 

-

 

(47)

 

-

 

-

 

(7)

 

83

Total

$

4,269

$

2,287

$

-

$

603

$

-

$

-

$

7,159

$

(1,961)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Three Months Ended September 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,056

$

-

$

(37)

$

(46)

$

54

$

(31)

$

-

$

1,996

$

-

Non-U.S. governments

 

-

 

-

 

(1)

 

1

 

4

 

-

 

-

 

4

 

-

Corporate debt

 

884

 

7

 

(10)

 

(28)

 

133

 

(44)

 

-

 

942

 

-

RMBS

 

15,377

 

213

 

5

 

(725)

 

-

 

(16)

 

7

 

14,861

 

-

CMBS

 

605

 

14

 

(14)

 

31

 

64

 

-

 

1

 

701

 

-

CDO/ABS

 

6,856

 

15

 

(31)

 

320

 

1,508

 

-

 

164

 

8,832

 

-

Total bonds available for sale

 

25,778

 

249

 

(88)

 

(447)

 

1,763

 

(91)

 

172

 

27,336

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

(18)

 

-

 

-

 

-

 

-

 

(2)

RMBS

 

1,338

 

18

 

-

 

(57)

 

50

 

-

 

-

 

1,349

 

(29)

CMBS

 

71

 

(2)

 

-

 

-

 

4

 

-

 

-

 

73

 

(2)

CDO/ABS

 

4,641

 

76

 

-

 

(267)

 

-

 

-

 

8

 

4,458

 

(6)

Total other bond securities

 

6,068

 

92

 

-

 

(342)

 

54

 

-

 

8

 

5,880

 

(39)

Equity securities

 

-

 

1

 

-

 

24

 

-

 

-

 

-

 

25

 

-

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

399

 

-

 

-

 

(1)

 

-

 

-

 

-

 

398

 

-

Total

$

32,245

$

342

$

(88)

$

(766)

$

1,817

$

(91)

$

180

$

33,639

$

(39)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

3,534

$

(242)

$

-

$

84

$

-

$

-

$

-

$

3,376

$

179

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

14

 

(1)

 

-

 

(1)

 

-

 

-

 

-

 

12

 

1

Foreign exchange contracts

 

5

 

2

 

-

 

(2)

 

-

 

-

 

-

 

5

 

(5)

Equity contracts

 

(79)

 

(12)

 

-

 

(12)

 

-

 

-

 

-

 

(103)

 

10

Credit contracts

 

246

 

(9)

 

-

 

(1)

 

-

 

-

 

-

 

236

 

10

Other contracts

 

(10)

 

(19)

 

-

 

17

 

-

 

-

 

-

 

(12)

 

14

Total derivative liabilities, net(a)

 

176

 

(39)

 

-

 

1

 

-

 

-

 

-

 

138

 

30

Total

$

3,710

$

(281)

$

-

$

85

$

-

$

-

$

-

$

3,514

$

209

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Nine Months Ended September 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,404

$

1

$

(152)

$

(144)

$

54

$

(167)

$

-

$

1,996

$

-

Non-U.S. governments

 

8

 

(5)

 

5

 

(3)

 

4

 

(5)

 

-

 

4

 

-

Corporate debt

 

1,173

 

(58)

 

(7)

 

(174)

 

701

 

(693)

 

-

 

942

 

-

RMBS

 

16,136

 

632

 

5

 

(1,877)

 

8

 

(50)

 

7

 

14,861

 

-

CMBS

 

624

 

18

 

(35)

 

1

 

111

 

(19)

 

1

 

701

 

-

CDO/ABS

 

8,651

 

31

 

(116)

 

(334)

 

1,508

 

(1,072)

 

164

 

8,832

 

-

Total bonds available for sale

 

28,996

 

619

 

(300)

 

(2,531)

 

2,386

 

(2,006)

 

172

 

27,336

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

(18)

 

-

 

-

 

-

 

-

 

(1)

RMBS

 

1,464

 

73

 

-

 

(238)

 

50

 

-

 

-

 

1,349

 

124

CMBS

 

74

 

(5)

 

-

 

(1)

 

5

 

-

 

-

 

73

 

2

CDO/ABS

 

4,956

 

283

 

-

 

(780)

 

-

 

(9)

 

8

 

4,458

 

201

Total other bond securities

 

6,512

 

351

 

-

 

(1,037)

 

55

 

(9)

 

8

 

5,880

 

326

Equity securities

 

-

 

(2)

 

-

 

27

 

-

 

-

 

-

 

25

 

-

Mortgage and other loans receivable

 

5

 

-

 

-

 

(5)

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

250

 

52

 

1

 

95

 

-

 

-

 

-

 

398

 

56

Total

$

35,763

$

1,020

$

(299)

$

(3,451)

$

2,441

$

(2,015)

$

180

$

33,639

$

382

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,136

$

(986)

$

-

$

226

$

-

$

-

$

-

$

3,376

$

1,081

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

22

 

(5)

 

-

 

(5)

 

-

 

-

 

-

 

12

 

5

Foreign exchange contracts

 

-

 

(2)

 

-

 

7

 

-

 

-

 

-

 

5

 

(5)

Equity contracts

 

(82)

 

(3)

 

-

 

(20)

 

-

 

2

 

-

 

(103)

 

2

Credit contracts

 

262

 

(23)

 

-

 

(3)

 

-

 

-

 

-

 

236

 

23

Other contracts

 

(15)

 

(51)

 

-

 

54

 

-

 

-

 

-

 

(12)

 

42

Total derivative liabilities, net(a)

 

187

 

(84)

 

-

 

33

 

-

 

2

 

-

 

138

 

67

Total

$

4,323

$

(1,070)

$

-

$

259

$

-

$

2

$

-

$

3,514

$

1,148

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

 
Changes in Level 3 recurring fair value measurements (Liabilities)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,162

$

(1)

$

119

$

92

$

-

$

(265)

$

2,107

$

-

Non-U.S. governments

 

2

 

6

 

-

 

-

 

5

 

-

 

13

 

-

Corporate debt

 

1,821

 

(36)

 

(2)

 

(535)

 

112

 

(85)

 

1,275

 

-

RMBS

 

13,863

 

166

 

15

 

(418)

 

16

 

(82)

 

13,560

 

-

CMBS

 

1,103

 

2

 

32

 

85

 

-

 

(172)

 

1,050

 

-

CDO/ABS

 

9,062

 

3

 

37

 

(170)

 

7

 

-

 

8,939

 

-

Total bonds available for sale

 

28,013

 

140

 

201

 

(946)

 

140

 

(604)

 

26,944

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

830

 

9

 

-

 

(24)

 

-

 

-

 

815

 

1

CMBS

 

88

 

1

 

-

 

(17)

 

-

 

(4)

 

68

 

(2)

CDO/ABS

 

4,150

 

115

 

-

 

(334)

 

-

 

-

 

3,931

 

28

Total other bond securities

 

5,068

 

125

 

-

 

(375)

 

-

 

(4)

 

4,814

 

27

Equity securities

 

35

 

-

 

-

 

(29)

 

2

 

-

 

8

 

(2)

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

605

 

6

 

-

 

(22)

 

-

 

-

 

589

 

7

Other assets

 

61

 

-

 

-

 

(1)

 

-

 

-

 

60

 

-

Total

$

33,782

$

271

$

201

$

(1,373)

$

142

$

(608)

$

32,415

$

32

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

6,065

$

861

$

-

$

240

$

-

$

-

$

7,166

$

(691)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

16

 

(3)

 

-

 

(13)

 

-

 

-

 

-

 

-

Foreign exchange contracts

 

(4)

 

6

 

-

 

(3)

 

-

 

-

 

(1)

 

-

Equity contracts

 

(113)

 

12

 

-

 

-

 

-

 

-

 

(101)

 

(13)

Credit contracts

 

173

 

(24)

 

-

 

(47)

 

-

 

-

 

102

 

14

Other contracts

 

(7)

 

(17)

 

-

 

17

 

-

 

-

 

(7)

 

15

Total derivative liabilities, net(a)

 

65

 

(26)

 

-

 

(46)

 

-

 

-

 

(7)

 

16

Total

$

6,130

$

835

$

-

$

194

$

-

$

-

$

7,159

$

(675)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Nine Months Ended September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,000

$

(2)

$

321

$

178

$

35

$

(425)

$

2,107

$

-

Non-U.S. governments

 

11

 

5

 

-

 

(4)

 

5

 

(4)

 

13

 

-

Corporate debt

 

864

 

(10)

 

79

 

(600)

 

1,155

 

(213)

 

1,275

 

-

RMBS

 

14,199

 

575

 

176

 

(1,234)

 

83

 

(239)

 

13,560

 

-

CMBS

 

917

 

8

 

62

 

381

 

58

 

(376)

 

1,050

 

-

CDO/ABS

 

9,102

 

15

 

204

 

(111)

 

103

 

(374)

 

8,939

 

-

Total bonds available for sale

 

27,093

 

591

 

842

 

(1,390)

 

1,439

 

(1,631)

 

26,944

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,290

 

69

 

-

 

(544)

 

-

 

-

 

815

 

(18)

CMBS

 

77

 

5

 

-

 

-

 

-

 

(14)

 

68

 

3

CDO/ABS

 

4,478

 

299

 

-

 

(749)

 

-

 

(97)

 

3,931

 

128

Total other bond securities

 

5,845

 

373

 

-

 

(1,293)

 

-

 

(111)

 

4,814

 

113

Equity securities

 

27

 

-

 

-

 

(20)

 

2

 

(1)

 

8

 

2

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

587

 

24

 

1

 

(23)

 

-

 

-

 

589

 

27

Other assets

 

58

 

-

 

-

 

2

 

-

 

-

 

60

 

-

Total

$

33,610

$

988

$

843

$

(2,724)

$

1,441

$

(1,743)

$

32,415

$

142

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,116

$

2,400

$

-

$

650

$

-

$

-

$

7,166

$

(2,044)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

-

 

-

 

(15)

 

-

 

-

 

-

 

1

Foreign exchange contracts

 

(5)

 

(4)

 

-

 

8

 

-

 

-

 

(1)

 

-

Equity contracts

 

(75)

 

(8)

 

-

 

(18)

 

-

 

-

 

(101)

 

19

Credit contracts

 

227

 

(51)

 

-

 

(74)

 

-

 

-

 

102

 

13

Other contracts

 

(9)

 

(50)

 

-

 

52

 

-

 

-

 

(7)

 

50

Total derivative liabilities, net(a)

 

153

 

(113)

 

-

 

(47)

 

-

 

-

 

(7)

 

83

Total

$

4,269

$

2,287

$

-

$

603

$

-

$

-

$

7,159

$

(1,961)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Three Months Ended September 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,056

$

-

$

(37)

$

(46)

$

54

$

(31)

$

-

$

1,996

$

-

Non-U.S. governments

 

-

 

-

 

(1)

 

1

 

4

 

-

 

-

 

4

 

-

Corporate debt

 

884

 

7

 

(10)

 

(28)

 

133

 

(44)

 

-

 

942

 

-

RMBS

 

15,377

 

213

 

5

 

(725)

 

-

 

(16)

 

7

 

14,861

 

-

CMBS

 

605

 

14

 

(14)

 

31

 

64

 

-

 

1

 

701

 

-

CDO/ABS

 

6,856

 

15

 

(31)

 

320

 

1,508

 

-

 

164

 

8,832

 

-

Total bonds available for sale

 

25,778

 

249

 

(88)

 

(447)

 

1,763

 

(91)

 

172

 

27,336

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

(18)

 

-

 

-

 

-

 

-

 

(2)

RMBS

 

1,338

 

18

 

-

 

(57)

 

50

 

-

 

-

 

1,349

 

(29)

CMBS

 

71

 

(2)

 

-

 

-

 

4

 

-

 

-

 

73

 

(2)

CDO/ABS

 

4,641

 

76

 

-

 

(267)

 

-

 

-

 

8

 

4,458

 

(6)

Total other bond securities

 

6,068

 

92

 

-

 

(342)

 

54

 

-

 

8

 

5,880

 

(39)

Equity securities

 

-

 

1

 

-

 

24

 

-

 

-

 

-

 

25

 

-

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

399

 

-

 

-

 

(1)

 

-

 

-

 

-

 

398

 

-

Total

$

32,245

$

342

$

(88)

$

(766)

$

1,817

$

(91)

$

180

$

33,639

$

(39)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

3,534

$

(242)

$

-

$

84

$

-

$

-

$

-

$

3,376

$

179

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

14

 

(1)

 

-

 

(1)

 

-

 

-

 

-

 

12

 

1

Foreign exchange contracts

 

5

 

2

 

-

 

(2)

 

-

 

-

 

-

 

5

 

(5)

Equity contracts

 

(79)

 

(12)

 

-

 

(12)

 

-

 

-

 

-

 

(103)

 

10

Credit contracts

 

246

 

(9)

 

-

 

(1)

 

-

 

-

 

-

 

236

 

10

Other contracts

 

(10)

 

(19)

 

-

 

17

 

-

 

-

 

-

 

(12)

 

14

Total derivative liabilities, net(a)

 

176

 

(39)

 

-

 

1

 

-

 

-

 

-

 

138

 

30

Total

$

3,710

$

(281)

$

-

$

85

$

-

$

-

$

-

$

3,514

$

209

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Nine Months Ended September 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,404

$

1

$

(152)

$

(144)

$

54

$

(167)

$

-

$

1,996

$

-

Non-U.S. governments

 

8

 

(5)

 

5

 

(3)

 

4

 

(5)

 

-

 

4

 

-

Corporate debt

 

1,173

 

(58)

 

(7)

 

(174)

 

701

 

(693)

 

-

 

942

 

-

RMBS

 

16,136

 

632

 

5

 

(1,877)

 

8

 

(50)

 

7

 

14,861

 

-

CMBS

 

624

 

18

 

(35)

 

1

 

111

 

(19)

 

1

 

701

 

-

CDO/ABS

 

8,651

 

31

 

(116)

 

(334)

 

1,508

 

(1,072)

 

164

 

8,832

 

-

Total bonds available for sale

 

28,996

 

619

 

(300)

 

(2,531)

 

2,386

 

(2,006)

 

172

 

27,336

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

(18)

 

-

 

-

 

-

 

-

 

(1)

RMBS

 

1,464

 

73

 

-

 

(238)

 

50

 

-

 

-

 

1,349

 

124

CMBS

 

74

 

(5)

 

-

 

(1)

 

5

 

-

 

-

 

73

 

2

CDO/ABS

 

4,956

 

283

 

-

 

(780)

 

-

 

(9)

 

8

 

4,458

 

201

Total other bond securities

 

6,512

 

351

 

-

 

(1,037)

 

55

 

(9)

 

8

 

5,880

 

326

Equity securities

 

-

 

(2)

 

-

 

27

 

-

 

-

 

-

 

25

 

-

Mortgage and other loans receivable

 

5

 

-

 

-

 

(5)

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

250

 

52

 

1

 

95

 

-

 

-

 

-

 

398

 

56

Total

$

35,763

$

1,020

$

(299)

$

(3,451)

$

2,441

$

(2,015)

$

180

$

33,639

$

382

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

 

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

 

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

Acquisition

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,136

$

(986)

$

-

$

226

$

-

$

-

$

-

$

3,376

$

1,081

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

22

 

(5)

 

-

 

(5)

 

-

 

-

 

-

 

12

 

5

Foreign exchange contracts

 

-

 

(2)

 

-

 

7

 

-

 

-

 

-

 

5

 

(5)

Equity contracts

 

(82)

 

(3)

 

-

 

(20)

 

-

 

2

 

-

 

(103)

 

2

Credit contracts

 

262

 

(23)

 

-

 

(3)

 

-

 

-

 

-

 

236

 

23

Other contracts

 

(15)

 

(51)

 

-

 

54

 

-

 

-

 

-

 

(12)

 

42

Total derivative liabilities, net(a)

 

187

 

(84)

 

-

 

33

 

-

 

2

 

-

 

138

 

67

Total

$

4,323

$

(1,070)

$

-

$

259

$

-

$

2

$

-

$

3,514

$

1,148

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
Schedule of net realized and unrealized gains and losses related to Level 3 items

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

Gains (Losses)

 

Income

 

Total

Three Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

164

$

(24)

$

-

$

140

Other bond securities

 

110

 

15

 

-

 

125

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

7

 

(1)

 

-

 

6

Nine Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

651

$

(60)

$

-

$

591

Other bond securities

 

306

 

67

 

-

 

373

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

25

 

(1)

 

-

 

24

Three Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

249

$

-

$

-

$

249

Other bond securities

 

35

 

1

 

56

 

92

Equity securities

 

1

 

-

 

-

 

1

Other invested assets

 

-

 

-

 

-

 

-

Nine Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

731

$

(112)

$

-

$

619

Other bond securities

 

92

 

(3)

 

262

 

351

Equity securities

 

(2)

 

-

 

-

 

(2)

Other invested assets

 

57

 

-

 

(5)

 

52

 

 

 

 

 

 

 

 

 

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

Three Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

861

$

-

$

861

Derivative liabilities, net

 

-

 

(11)

 

(15)

 

(26)

Nine Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

2,400

$

-

$

2,400

Derivative liabilities, net

 

-

 

(64)

 

(49)

 

(113)

Three Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

(242)

$

-

$

(242)

Derivative liabilities, net

 

-

 

(1)

 

(38)

 

(39)

Nine Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

(986)

$

-

$

(986)

Derivative liabilities, net

 

-

 

(3)

 

(81)

 

(84)
Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Three Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

109

$

-

$

(17)

$

92

Non-U.S. governments

 

-

 

-

 

-

 

-

Corporate debt

 

1

 

(128)

 

(408)

 

(535)

RMBS

 

253

 

-

 

(671)

 

(418)

CMBS

 

92

 

-

 

(7)

 

85

CDO/ABS

 

458

 

(198)

 

(430)

 

(170)

Total bonds available for sale

 

913

 

(326)

 

(1,533)

 

(946)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

-

 

(24)

 

(24)

CMBS

 

-

 

(16)

 

(1)

 

(17)

CDO/ABS

 

-

 

(153)

 

(181)

 

(334)

Total other bond securities

 

-

 

(169)

 

(206)

 

(375)

Equity securities

 

-

 

-

 

(29)

 

(29)

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

Other invested assets

 

21

 

-

 

(43)

 

(22)

Other assets

 

-

 

-

 

(1)

 

(1)

Total assets

$

934

$

(495)

$

(1,812)

$

(1,373)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

240

$

-

$

240

Derivative liabilities, net

 

(7)

 

-

 

(39)

 

(46)

Total liabilities

$

(7)

$

240

$

(39)

$

194

Three Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

-

$

(8)

$

(38)

$

(46)

Non-U.S. governments

 

-

 

-

 

1

 

1

Corporate debt

 

25

 

-

 

(53)

 

(28)

RMBS

 

123

 

(2)

 

(846)

 

(725)

CMBS

 

58

 

(2)

 

(25)

 

31

CDO/ABS

 

394

 

(49)

 

(25)

 

320

Total bonds available for sale

 

600

 

(61)

 

(986)

 

(447)

Other bond securities:

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

(18)

 

(18)

RMBS

 

-

 

-

 

(57)

 

(57)

CMBS

 

-

 

-

 

-

 

-

CDO/ABS

 

-

 

-

 

(267)

 

(267)

Total other bond securities

 

-

 

-

 

(342)

 

(342)

Equity securities

 

24

 

-

 

-

 

24

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

Other invested assets

 

-

 

-

 

(1)

 

(1)

Other assets

 

-

 

-

 

-

 

-

Total assets

$

624

$

(61)

$

(1,329)

$

(766)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

148

$

(64)

$

84

Derivative liabilities, net

 

(18)

 

-

 

19

 

1

Total liabilities

$

(18)

$

148

$

(45)

$

85

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Nine Months Ended September 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

243

$

(16)

$

(49)

$

178

Non-U.S. governments

 

-

 

-

 

(4)

 

(4)

Corporate debt

 

58

 

(129)

 

(529)

 

(600)

RMBS

 

860

 

(26)

 

(2,068)

 

(1,234)

CMBS

 

455

 

-

 

(74)

 

381

CDO/ABS

 

1,628

 

(508)

 

(1,231)

 

(111)

Total bonds available for sale

 

3,244

 

(679)

 

(3,955)

 

(1,390)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

(437)

 

(107)

 

(544)

CMBS

 

18

 

(16)

 

(2)

 

-

CDO/ABS

 

-

 

(153)

 

(596)

 

(749)

Total other bond securities

 

18

 

(606)

 

(705)

 

(1,293)

Equity securities

 

9

 

-

 

(29)

 

(20)

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

Other invested assets

 

64

 

-

 

(87)

 

(23)

Other assets

 

-

 

-

 

2

 

2

Total assets

$

3,335

$

(1,285)

$

(4,774)

$

(2,724)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

616

$

34

$

650

Derivative liabilities, net

 

(29)

 

-

 

(18)

 

(47)

Total liabilities

$

(29)

$

616

$

16

$

603

Nine Months Ended September 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

24

$

(8)

$

(160)

$

(144)

Non-U.S. governments

 

2

 

-

 

(5)

 

(3)

Corporate debt

 

280

 

(216)

 

(238)

 

(174)

RMBS

 

630

 

(12)

 

(2,495)

 

(1,877)

CMBS

 

70

 

(2)

 

(67)

 

1

CDO/ABS

 

1,364

 

(962)

 

(736)

 

(334)

Total bonds available for sale

 

2,370

 

(1,200)

 

(3,701)

 

(2,531)

Other bond securities:

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

(18)

 

(18)

RMBS

 

1

 

(34)

 

(205)

 

(238)

CMBS

 

-

 

-

 

(1)

 

(1)

CDO/ABS

 

-

 

(4)

 

(776)

 

(780)

Total other bond securities

 

1

 

(38)

 

(1,000)

 

(1,037)

Equity securities

 

27

 

-

 

-

 

27

Mortgage and other loans receivable

 

-

 

(5)

 

-

 

(5)

Other invested assets

 

153

 

(29)

 

(29)

 

95

Other assets

 

-

 

-

 

-

 

-

Total assets

$

2,551

$

(1,272)

$

(4,730)

$

(3,451)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

391

$

(165)

$

226

Derivative liabilities, net

 

(37)

 

-

 

70

 

33

Total liabilities

$

(37)

$

391

$

(95)

$

259

(a)There were no issuances during the three- and nine-month periods ended September 30, 2019 and 2018.
Significant unobservable inputs used for recurring fair value measurements

 

Fair Value at

 

 

 

 

September 30,

Valuation

 

Range

(in millions)

2019

Technique

Unobservable Input(b)

(Weighted Average)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,590

Discounted cash flow

Yield

3.12% - 3.74% (3.43%)

 

 

 

 

 

 

Corporate debt

 

781

Discounted cash flow

Yield

2.95% - 7.03% (4.99%)

 

 

 

 

 

 

RMBS(a)

 

12,350

Discounted cash flow

Constant prepayment rate

3.87% - 12.23% (8.05%)

 

 

 

 

Loss severity

36.65% - 78.25% (57.45%)

 

 

 

 

Constant default rate

1.81% - 6.41% (4.11%)

 

 

 

 

Yield

2.29% - 4.47% (3.38%)

 

 

 

 

 

 

CDO/ABS(a)

 

5,903

Discounted cash flow

Yield

2.73% - 4.75% (3.74%)

 

 

 

 

 

 

CMBS

 

499

Discounted cash flow

Yield

2.48% - 4.82% (3.65%)

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Guaranteed minimum withdrawal benefits (GMWB)

 

3,168

Discounted cash flow

Equity volatility

6.15% - 48.65%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

50.00% - 143.00%

 

 

 

 

Mortality multiplier(c)

38.00% - 155.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest-rate correlation

20.00% - 40.00%

 

 

 

 

 

 

Index Annuities

 

3,470

Discounted cash flow

Lapse rate

0.31% - 50.00%

 

 

 

 

Mortality multiplier(c)

24.00% - 180.00%

 

 

 

 

Option Budget

1.00% - 4.00%

 

 

 

 

 

 

Indexed Life

 

502

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

 

 

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2018

Technique

Unobservable Input(b)

(Weighted Average)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,473

Discounted cash flow

Yield

3.91% - 5.00% (4.46%)

 

 

 

 

 

 

Corporate debt

 

445

Discounted cash flow

Yield

4.35% - 5.99% (5.17%)

 

 

 

 

 

 

RMBS(a)

 

13,608

Discounted cash flow

Constant prepayment rate

4.58% - 14.00% (9.29%)

 

 

 

 

Loss severity

39.66% - 74.40% (57.03%)

 

 

 

 

Constant default rate

2.46% - 7.39% (4.92%)

 

 

 

 

Yield

3.31% - 5.50% (4.40%)

 

 

 

 

 

 

CDO/ABS(a)

 

5,461

Discounted cash flow

Yield

3.65% - 5.10% (4.37%)

 

 

 

 

 

 

CMBS

 

447

Discounted cash flow

Yield

3.29% - 6.07% (4.68%)

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

GMWB

 

1,943

Discounted cash flow

Equity volatility

6.05% - 47.65%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 180.00%

 

 

 

 

Mortality multiplier(c)

40.00% - 153.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest-rate correlation

20.00% - 40.00%

 

 

 

 

 

 

Index Annuities

 

1,778

Discounted cash flow

Lapse rate

0.50% - 40.00%

 

 

 

 

Mortality multiplier(c)

42.00% - 162.00%

 

 

 

 

Option Budget

1.00% - 3.00%

 

 

 

 

 

 

Indexed Life

 

374

Discounted cash flow

Base lapse rate

0.00% - 13.00%

 

 

 

 

Mortality rate

0.00% - 100.00%

(a)Information received from third-party valuation service providers. The ranges of the unobservable inputs for constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CDO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us, because there are other factors relevant to the fair values of specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.

(b)Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.

(c)Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.
Investments in Certain Entities Carried at Fair Value Using Net Asset Value per Share

 

 

September 30, 2019

 

December 31, 2018

 

 

 

Fair Value

 

 

 

Fair Value

 

 

 

 

 

Using NAV

 

 

 

Using NAV

 

 

 

 

 

Per Share (or

 

Unfunded

 

Per Share (or

 

Unfunded

(in millions)

Investment Category Includes

 

its equivalent)

 

Commitments

 

its equivalent)

 

Commitments

Investment Category

 

 

 

 

 

 

 

 

 

 

Private equity funds:

 

 

 

 

 

 

 

 

 

 

Leveraged buyout

Debt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage

$

1,152

$

1,326

 

$

847

$

1,327

 

 

 

 

 

 

 

 

 

 

 

Real Estate / Infrastructure

Investments in real estate properties and infrastructure positions, including power plants and other energy generating facilities

 

341

 

387

 

 

190

 

83

 

 

 

 

 

 

 

 

 

 

 

Venture capital

Early-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company

 

102

 

122

 

 

126

 

127

 

 

 

 

 

 

 

 

 

 

 

Growth Equity

Funds that make investments in established companies for the purpose of growing their businesses

 

411

 

72

 

 

362

 

28

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

Funds that make investments in the junior debt and equity securities of leveraged companies

 

341

 

472

 

 

211

 

75

 

 

 

 

 

 

 

 

 

 

 

Other

Includes distressed funds that invest in securities of companies that are in default or under bankruptcy protection, as well as funds that have multi-strategy, and other strategies

 

739

 

249

 

 

514

 

307

Total private equity funds

 

3,086

 

2,628

 

 

2,250

 

1,947

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations

 

753

 

-

 

 

787

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk

 

548

 

-

 

 

863

 

-

 

 

 

 

 

 

 

 

 

 

 

Macro

Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions

 

848

 

-

 

 

887

 

-

 

 

 

 

 

 

 

 

 

 

 

Distressed

Securities of companies that are in default, under bankruptcy protection or troubled

 

1

 

-

 

 

21

 

8

 

 

 

 

 

 

 

 

 

 

 

Other

Includes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments

 

162

 

1

 

 

158

 

1

Total hedge funds

 

 

2,312

 

1

 

 

2,716

 

9

Total

 

$

5,398

$

2,629

 

$

4,966

$

1,956
Gains or losses related to the eligible instruments for which AIG elected the fair value option

 

Gain (Loss) Three Months Ended September 30,

Gain (Loss) Nine Months Ended September 30,

 

(in millions)

 

2019

 

2018

 

2019

 

2018

Assets:

 

 

 

 

 

 

 

 

Bond and equity securities

$

333

$

122

$

971

$

274

Alternative investments(a)

 

92

 

131

 

473

 

355

Liabilities:

 

 

 

 

 

 

 

 

Long-term debt(b)

 

(75)

 

6

 

(228)

 

74

Total gain

$

350

$

259

$

1,216

$

703

(a)Includes certain hedge funds, private equity funds and other investment partnerships.

(b)Includes GIAs, notes, bonds and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

September 30, 2019

 

December 31, 2018

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

2,287

$

1,652

$

635

 

$

2,213

$

1,653

$

560

*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges

 

Assets at Fair Value

 

Impairment Charges

 

Non-Recurring Basis

 

Three Months Ended September 30,

 

Nine Months Ended September 30,

(in millions)

Level 1

Level 2

Level 3

 

Total

 

 

2019

 

2018

 

 

2019

 

2018

September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

253

$

253

 

$

7

$

-

 

$

65

$

89

Other assets

 

-

 

-

 

1

 

1

 

 

45

 

34

 

 

62

 

35

Total

$

-

$

-

$

254

$

254

 

$

52

$

34

 

$

127

$

124

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

315

$

315

 

 

 

 

 

 

 

 

 

 

Other assets

 

-

 

-

 

11

 

11

 

 

 

 

 

 

 

 

 

 

Total

$

-

$

-

$

326

$

326

 

 

 

 

 

 

 

 

 

 
Carrying values and estimated fair values of AIG's financial instruments

 

Estimated Fair Value

 

Carrying

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Value

September 30, 2019

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

104

$

47,682

$

47,786

$

45,075

Other invested assets

 

-

 

707

 

6

 

713

 

714

Short-term investments

 

-

 

8,536

 

-

 

8,536

 

8,536

Cash

 

3,361

 

-

 

-

 

3,361

 

3,361

Other assets

 

208

 

137

 

-

 

345

 

345

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

267

 

135,346

 

135,613

 

126,011

Other liabilities

 

-

 

2,787

 

-

 

2,787

 

2,787

Long-term debt

 

-

 

26,223

 

9,113

 

35,336

 

32,975

December 31, 2018

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

105

$

43,522

$

43,627

$

43,135

Other invested assets

 

-

 

731

 

6

 

737

 

737

Short-term investments

 

-

 

6,659

 

-

 

6,659

 

6,659

Cash

 

2,873

 

-

 

-

 

2,873

 

2,873

Other assets

 

308

 

35

 

-

 

343

 

343

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

339

 

121,035

 

121,374

 

120,602

Other liabilities

 

-

 

1,154

 

-

 

1,154

 

1,154

Long-term debt

 

-

 

22,822

 

8,775

 

31,597

 

32,327