INVESTMENTS

3 Months Ended

Mar. 31, 2018

Investments, Debt and Equity Securities [Abstract]

Investments

INVESTMENTS

Fixed Maturities and Equity Securities

The following table provides information relating to fixed maturities and equity securities classified as AFS:

Available-for-Sale Securities by Classification 

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI (3)
	(in millions)
March 31, 2018:
Fixed Maturity Securities:
Public corporate	$	14,613	$	467	$	236	$	14,844	$	—
Private corporate	7,044		114		100		7,058		—
U.S. Treasury, government and agency	10,196		219		390		10,025		—
States and political subdivisions	414		56		1		469		—
Foreign governments	396		21		9		408		—
Residential mortgage-backed(1)	221		12		—		233		—
Asset-backed(2)	89		1		3		87		2
Redeemable preferred stock	465		45		4		506		—
Total at March 31, 2018	$	33,438	$	935	$	743	$	33,630	$	2

As a result of the adoption of the Recognition and Measurement of Financial Assets and Financial Liabilities standard on January 1, 2018 (Financial Instruments Recognition and Measurement Standard), equity securities are no longer classified and accounted for as available for sale securities.

	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		OTTI in AOCI (3)
	(in millions)
December 31, 2017:
Fixed Maturity Securities:
Public corporate	$	13,645	$	725	$	25	$	14,345	$	—
Private corporate	6,951		217		31		7,137		—
U.S. Treasury, government and agency	12,644		676		185		13,135		—
States and political subdivisions	414		67		—		481		—
Foreign governments	387		27		5		409		—
Residential mortgage-backed(1)	236		15		—		251		—
Asset-backed(2)	93		3		—		96		2
Redeemable preferred stock	461		44		1		504		—
Total Fixed Maturities	34,831		1,774		247		36,358		2
Equity securities	157		—		—		157		—
Total at December 31, 2017	$	34,988	$	1,774	$	247	$	36,515	$	2

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

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

(3) Amounts represent OTTI losses in AOCI, which were not included in income (loss) in accordance with current accounting guidance.

The contractual maturities of AFS fixed maturities at March 31, 2018 are shown in the table below. Bonds not due at a single maturity date have been included in the table in the final year of maturity. Actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Available-for-Sale Fixed Maturities

Contractual Maturities at March 31, 2018

	Amortized Cost		Fair Value
	(in millions)
Due in one year or less	$	1,303	$	1,312
Due in years two through five	7,045		7,183
Due in years six through ten	9,550		9,508
Due after ten years	14,765		14,801
Subtotal	32,663		32,804
Residential mortgage-backed securities	221		233
Asset-backed securities	89		87
Redeemable preferred stock	465		506
Total	$	33,438	$	33,630

The following table shows proceeds from sales, gross gains (losses) from sales and OTTI for AFS fixed maturities during the first quarters of 2018 and 2017:

	Three Months Ended March 31,
	2018			2017
	(in millions)
Proceeds from sales	$	3,428		$	414
Gross gains on sales	$	127		$	19
Gross losses on sales	$	(41	)	$	(20	)
Total OTTI	$	—		$	—
Non-credit losses recognized in OCI	—			—
Credit losses recognized in net income (loss)	$	—		$	—

The following table sets forth the amount of credit loss impairments on fixed maturity securities held by the Company at the dates indicated and the corresponding changes in such amounts:

Fixed Maturities - Credit Loss Impairments 

	Three Months Ended March 31,
	2018			2017
	(in millions)
Balances, beginning of period	$	(10	)	$	(190	)
Previously recognized impairments on securities that matured, paid, prepaid or sold	—			43
Recognized impairments on securities impaired to fair value this period(1)	—			—
Impairments recognized this period on securities not previously impaired	—			—
Additional impairments this period on securities previously impaired	—			—
Increases due to passage of time on previously recorded credit losses	—			—
Accretion of previously recognized impairments due to increases in expected cash flows	—			—
Balances at March 31,	$	(10	)	$	(147	)

(1) Represents circumstances where the Company determined in the current period that it intends to sell the security or it is more likely than not that it will be required to sell the security before recovery of the security’s amortized cost.

Net unrealized investment gains (losses) on fixed maturities classified as AFS are included in the consolidated balance sheets as a component of AOCI. The table below presents these amounts as of the dates indicated:

	March 31, 2018			December 31, 2017
	(in millions)
AFS Securities:
Fixed maturities:
With OTTI loss	$	(1	)	$	1
All other	193			1,526
Net Unrealized Gains (Losses)	$	192		$	1,527

Changes in net unrealized investment gains (losses) recognized in AOCI include reclassification adjustments to reflect amounts realized in Net income (loss) for the current period that had been part of OCI in earlier periods. The tables that follow below present a roll forward of net unrealized investment gains (losses) recognized in AOCI, split between amounts related to fixed maturity securities on which an OTTI loss has been recognized and all other:

Net Unrealized Gains (Losses) on Fixed Maturities with OTTI Losses

	Net Unrealized Gains (Losses) on Investments			DAC			Policyholders’ Liabilities			Deferred Income Tax Asset (Liability)			AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, January 1, 2018	$	1		$	1		$	(1	)	$	(5	)	$	(4	)
Net investment gains (losses) arising during the period	—			—			—			—			—
Reclassification adjustment for OTTI losses:
Included in Net income (loss)	(2		)	—			—			—			(2		)
Excluded from Net income (loss)(1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(1		)	—			—			(1		)
Deferred income taxes	—			—			—			—			—
Policyholders’ liabilities	—			—			1			—			1
Balance, March 31, 2018	$	(1	)	$	—		$	—		$	(5	)	$	(6	)
Balance, January 1, 2017	$	19		$	(1	)	$	(10	)	$	(3	)	$	5
Net investment gains (losses) arising during the period	49			—			—			—			49
Reclassification adjustment for OTTI losses:
Included in Net income (loss)	(48		)	—			—			—			(48		)
Excluded from Net income (loss)(1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(4		)	—			—			(4		)
Deferred income taxes	—			—			—			(1		)	(1		)
Policyholders’ liabilities	—			—			5			—			5
Balance, March 31, 2017	$	20		$	(5	)	$	(5	)	$	(4	)	$	6

(1) Represents “transfers in” related to the portion of OTTI losses recognized during the period that were not recognized in income (loss) for securities with no prior OTTI loss.

All Other Net Unrealized Investment Gains (Losses) in AOCI

	Net Unrealized Gains (Losses) on Investments			DAC			Policyholders’ Liabilities			Deferred Income Tax Asset (Liability)			AOCI Gain (Loss) Related to Net Unrealized Investment Gains (Losses)
	(in millions)
Balance, January 1, 2018	$	1,526		$	(315	)	$	(232	)	$	(300	)	$	679
Net investment gains (losses) arising during the period	(88		)	—			—			—			(88		)
Reclassification adjustment for OTTI losses:													—
Included in Net income (loss)	(1,245		)	—			—			—			(1,245		)
Excluded from Net income (loss)(1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			288			—			—			288
Deferred income taxes	—			—			—			197			197
Policyholders’ liabilities	—			—			108			—			108
Balance, March 31, 2018	$	193		$	(27	)	$	(124	)	$	(103	)	$	(61	)
Balance, January 1, 2017	$	428		$	(70	)	$	(188	)	$	(60	)	$	110
Net investment gains (losses) arising during the period	166			—			—			—			166
Reclassification adjustment for OTTI losses:													—
Included in Net income (loss)	12			—			—			—			12
Excluded from Net income (loss)(1)	—			—			—			—			—
Impact of net unrealized investment gains (losses) on:
DAC	—			(73		)	—			—			(73		)
Deferred income taxes	—			—			—			(46		)	(46		)
Policyholders’ liabilities	—			—			26			—			26
Balance, March 31, 2017	$	606		$	(143	)	$	(162	)	$	(106	)	$	195

(1) Represents “transfers out” related to the portion of OTTI losses during the period that were not recognized in income (loss) for securities with no prior OTTI loss.

The following tables disclose the fair values and gross unrealized losses of the 1,188 issues at March 31, 2018 and the 620 issues at December 31, 2017 of fixed maturities that are not deemed to be other-than-temporarily impaired, aggregated by investment category and length of time that individual securities have been in a continuous unrealized loss position for the specified periods at the dates indicated:

	Less Than 12 Months				12 Months or Longer				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
	(in millions)
March 31, 2018:
Fixed Maturity Securities:
Public corporate	$	6,461	$	209	$	443	$	27	$	6,904	$	236
Private corporate	2,299		58		634		42		2,933		100
U.S. Treasury, government and agency	2,172		65		2,859		325		5,031		390
States and political subdivisions	19		1		—		—		19		1
Foreign governments	57		1		70		8		127		9
Residential mortgage-backed	17		—		—		—		17		—
Asset-backed	70		3		1		—		71		3
Redeemable preferred stock	112		2		12		2		124		4
Total	$	11,207	$	339	$	4,019	$	404	$	15,226	$	743
December 31, 2017:
Fixed Maturity Securities:
Public corporate	$	1,384	$	9	$	548	$	16	$	1,932	$	25
Private corporate	718		8		615		23		1,333		31
U.S. Treasury, government and agency	2,150		6		3,005		179		5,155		185
States and political subdivisions	20		—		—		—		20		—
Foreign governments	11		—		73		5		84		5
Residential mortgage-backed	18		—		—		—		18		—
Asset-backed	7		—		2		—		9		—
Redeemable preferred stock	7		—		12		1		19		1
Total	$	4,315	$	23	$	4,255	$	224	$	8,570	$	247

The Company’s investments in fixed maturity securities do not include concentrations of credit risk of any single issuer greater than 10% of the consolidated equity of AXA Equitable, other than securities of the U.S. government, U.S. government agencies, and certain securities guaranteed by the U.S. government. The Company maintains a diversified portfolio of corporate securities across industries and issuers and does not have exposure to any single issuer in excess of 1.0% of total investments. The largest exposures to a single issuer of corporate securities held at March 31, 2018 and December 31, 2017 were $208 million and $182 million, respectively. Corporate high yield securities, consisting primarily of public high yield bonds, are classified as other than investment grade by the various rating agencies, i.e., a rating below Baa3/BBB- or the National Association of Insurance Commissioners (“NAIC”) designation of 3 (medium grade), 4 or 5 (below investment grade) or 6 (in or near default). At March 31, 2018 and December 31, 2017, respectively, approximately $1,280 million and $1,309 million, or 3.8% and 3.8%, of the $33,438 million and $34,831 million aggregate amortized cost of fixed maturities held by the Company were considered to be other than investment grade. These securities had net unrealized losses of $14 million and $5 million at March 31, 2018 and December 31, 2017, respectively. At March 31, 2018 and December 31, 2017, respectively, the $404 million and $224 million of gross unrealized losses of twelve months or more were concentrated in corporate and U.S. Treasury, government and agency securities. In accordance with the policy described in Note 2, the Company concluded that an adjustment to income for OTTI for these securities was not warranted at either March 31, 2018 or 2017. At March 31, 2018 and December 31, 2017, the Company did not intend to sell the securities nor will it likely be required to dispose of the securities before the anticipated recovery of their remaining amortized cost basis.

The Company does not originate, purchase or warehouse residential mortgages and is not in the mortgage servicing business. At March 31, 2018, the carrying value of fixed maturities that were non-income producing for the twelve months preceding that date was $2 million.

For the first quarters of 2018 and 2017, investment income is shown net of investment expenses of $19 millionand $19 million respectively.

At March 31, 2018 and December 31, 2017, respectively, the fair values of the Company's trading account securities were $13,457 million and $12,628 million, respectively. Also at March 31, 2018 and December 31, 2017, trading securities included the General Account’s investment in Separate Accounts, which had carrying values of $48 million and $49 million.

Net unrealized and realized gains (losses) on trading account equity securities are included in Net investment income (loss) in the Consolidated Statements of Income (Loss). The table below shows a breakdown of Net investment income from trading account securities during the first quarters of 2018 and 2017:

Net Investment Income (Loss) from Trading Securities 

	Three Months Ended March 31,
	2018			2017
	(in millions)
Net investment gains (losses) recognized during the period on securities held at the end of the period	$	(64	)	$	51
Net investment gains (losses) recognized on securities sold during the period	1			2
Unrealized and realized gains (losses) on trading securities arising during the period	(63		)	53
Interest and dividend income from trading securities	66			40
Net investment income (loss) from trading securities	$	3		$	93

Mortgage Loans

The payment terms of mortgage loans may from time to time be restructured or modified.

Mortgage loans on real estate are placed on nonaccrual status once management determines the collection of accrued interest is doubtful. Once mortgage loans on real estate are classified as nonaccrual loans, interest income is recognized under the cash basis of accounting and the resumption of the interest accrual would commence only after all past due interest has been collected or the mortgage loan on real estate has been restructured to where the collection of interest is considered likely. At March 31, 2018 and December 31, 2017, the carrying values of commercial mortgage loans on real estate that had been classified as nonaccrual loans were $19 million and $19 million, respectively.

Valuation Allowances for Mortgage Loans:

Allowance for credit losses for mortgage loans for the first quarters of 2018 and 2017 are as follows:

	Three Months Ended March 31,
	2018			2017
Allowance for credit losses:	(in millions)
Beginning balance, January 1,	$	8		$	8
Charge-offs	—			—
Recoveries	(1		)	—
Provision	—			—
Ending balance, March 31,	$	7		$	8
March 31, Individually Evaluated for Impairment	$	7		$	8

There were no allowances for credit losses for agricultural mortgage loans for the first quarters of 2018 and 2017.

Real Estate:

In March 2018, AXA Equitable Life sold its interest in two consolidated real estate joint ventures to AXA France for a total purchase price of approximately $143 million, which resulted in a pre-tax loss of $0.2 million and the reduction of $203 million of long-term debt on the Company's balance sheet for the first quarter of 2018.

The following tables provide information relating to the loan-to-value and debt service coverage ratios for commercial and agricultural mortgage loans at March 31, 2018 and December 31, 2017. The values used in these ratio calculations were developed as part of the periodic review of the commercial and agricultural mortgage loan portfolio, which includes an evaluation of the underlying collateral value.

Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios

March 31, 2018

	Debt Service Coverage Ratio
Loan-to-Value Ratio:(1)	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total Mortgage Loans
	(in millions)
Commercial Mortgage Loans(2)
0% - 50%	$	719	$	22	$	321	$	73	$	—	$	—	$	1,135
50% - 70%	4,477		643		1,122		399		178		—		6,819
70% - 90%	169		110		144		307		27		—		757
90% plus	—		—		27		—		—		—		27
Total Commercial Mortgage Loans	$	5,365	$	775	$	1,614	$	779	$	205	$	—	$	8,738
Agricultural Mortgage Loans(2)
0% - 50%	$	275	$	153	$	276	$	496	$	321	$	29	$	1,550
50% - 70%	111		46		219		360		228		48		1,012
70% - 90%	—		—		—		23		—		—		23
90% plus	—		—		—		—		—		—		—
Total Agricultural Mortgage Loans	$	386	$	199	$	495	$	879	$	549	$	77	$	2,585
Total Mortgage Loans(2)
0% - 50%	$	994	$	175	$	597	$	569	$	321	$	29	$	2,685
50% - 70%	4,588		689		1,341		759		406		48		7,831
70% - 90%	169		110		144		330		27		—		780
90% plus	—		—		27		—		—		—		27
Total Mortgage Loans	$	5,751	$	974	$	2,109	$	1,658	$	754	$	77	$	11,323

(1) The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.

(2) The debt service coverage ratio is calculated using the most recently reported operating income results from property operations divided by annual debt service.

Mortgage Loans by Loan-to-Value and Debt Service Coverage Ratios

December 31, 2017

	Debt Service Coverage Ratio
Loan-to-Value Ratio:(1)	Greater than 2.0x		1.8x to 2.0x		1.5x to 1.8x		1.2x to 1.5x		1.0x to 1.2x		Less than 1.0x		Total Mortgage Loans
	(in millions)
Commercial Mortgage Loans(2)
0% - 50%	$	742	$	—	$	320	$	74	$	—	$	—	$	1,136
50% - 70%	4,088		682		1,066		428		145		—		6,409
70% - 90%	169		110		196		272		50		—		797
90% plus	—		—		27		—		—		—		27
Total Commercial Mortgage Loans	$	4,999	$	792	$	1,609	$	774	$	195	$	—	$	8,369
Agricultural Mortgage Loans(2)
0% - 50%	$	272	$	149	$	275	$	515	$	316	$	30	$	1,557
50% - 70%	111		46		227		359		221		49		1,013
70% - 90%	—		—		—		4		—		—		4
90% plus	—		—		—		—		—		—		—
Total Agricultural Mortgage Loans	$	383	$	195	$	502	$	878	$	537	$	79	$	2,574
Total Mortgage Loans(2)
0% - 50%	$	1,014	$	149	$	595	$	589	$	316	$	30	$	2,693
50% - 70%	4,199		728		1,293		787		366		49		7,422
70% - 90%	169		110		196		276		50		—		801
90% plus	—		—		27		—		—		—		27
Total Mortgage Loans	$	5,382	$	987	$	2,111	$	1,652	$	732	$	79	$	10,943

(1) The loan-to-value ratio is derived from current loan balance divided by the fair market value of the property. The fair market value of the underlying commercial properties is updated annually.

(2) The debt service coverage ratio is calculated using the most recently reported net operating income results from property operations divided by annual debt service.

The following table provides information relating to the aging analysis of past due mortgage loans at March 31, 2018 and December 31, 2017, respectively.

Age Analysis of Past Due Mortgage Loan

	30-59     Days		60-89     Days		90     Days     or >		Total		Current		Total Financing Receivables		Recorded Investment 90 Days or > and Accruing
							(in millions)
March 31, 2018
Commercial	$	—	$	—	$	27	$	27	$	8,711	$	8,738	$	—
Agricultural	10		5		39		54		2,531		2,585		39
Total Mortgage Loans	$	10	$	5	$	66	$	81	$	11,242	$	11,323	$	39
December 31, 2017
Commercial	$	27	$	—	$	—	$	27	$	8,342	$	8,369	$	—
Agricultural	49		3		22		74		2,500		2,574		22
Total Mortgage Loans	$	76	$	3	$	22	$	101	$	10,842	$	10,943	$	22

The following table provides information relating to impaired mortgage loans at March 31, 2018 and December 31, 2017, respectively.

Impaired Mortgage Loans

	Recorded Investment		Unpaid Principal Balance		Related Allowance			Average Recorded Investment(1)		Interest Income Recognized
	(in millions)
March 31, 2018:
With no related allowance recorded:
Commercial mortgage loans - other	$	—	$	—	$	—		$	—	$	—
Agricultural mortgage loans	—		—		—			—		—
Total	$	—	$	—	$	—		$	—	$	—
With related allowance recorded:
Commercial mortgage loans - other	$	27	$	27	$	(7	)	$	27	$	—
Agricultural mortgage loans	—		—		—			—		—
Total	$	27	$	27	$	(7	)	$	27	$	—
December 31, 2017:
With no related allowance recorded:
Commercial mortgage loans - other	$	—	$	—	$	—		$	—	$	—
Agricultural mortgage loans	—		—		—			—		—
Total	$	—	$	—	$	—		$	—	$	—
With related allowance recorded:
Commercial mortgage loans - other	$	27	$	27	$	(8	)	$	27	$	2
Agricultural mortgage loans	—		—		—			—		—
Total	$	27	$	27	$	(8	)	$	27	$	2

(1) Represents a two-quarter average of recorded amortized cost.

Derivatives and Offsetting Assets and Liabilities

The Company uses derivatives as part of its overall asset/liability risk management primarily to reduce exposures to equity market and interest rate risks. Derivative hedging strategies are designed to reduce these risks from an economic perspective and are all executed within the framework of a Derivative Use Plan ("DUP") approved by the NYDFS. Derivatives are generally not accounted for using hedge accounting, with the exception of Treasury Inflation-Protected Securities (“TIPS”), which is discussed further below. Operation of these hedging programs is based on models involving numerous estimates and assumptions, including, among others, mortality, lapse, surrender and withdrawal rates, election rates, fund performance, market volatility and interest rates. A wide range of derivative contracts are used in these hedging programs, including exchange traded equity, currency and interest rate futures contracts, total return and/or other equity swaps, interest rate swap and floor contracts, bond and bond-index total return swaps, swaptions, variance swaps and equity options credit and foreign exchange derivatives as well as bond and repo transactions to support the hedging. The derivative contracts are collectively managed in an effort to reduce the economic impact of unfavorable changes in guaranteed benefits’ exposures attributable to movements in capital markets.

Derivatives utilized to hedge exposure to Variable Annuities with Guarantee Features

The Company has issued and continues to offer variable annuity products with variable annuity guaranteed benefits (“GMxB”), including guaranteed minimum living benefits (“GMLBs”) (such as guaranteed minimum income benefits ("GMIBs"), guaranteed minimum withdrawal benefits ("GMWBs") and guaranteed minimum accumulation benefits ("GMABs")), and guaranteed minimum death benefits (“GMDBs”) (inclusive of return of premium death benefit guarantees). The risk associated with the GMDB feature is that under-performance of the financial markets could result in GMDB benefits, in the event of death, being higher than what accumulated policyholders’ account balances would support. The risk associated with the GMIB feature is that under-performance of the financial markets could result in the present value of GMIB, in the event of annuitization, being higher than what accumulated policyholders’ account balances would support, taking into account the relationship between current annuity purchase rates and the GMIB guaranteed annuity purchase rates. The risk associated with products that have a GMxB derivative features liability is that under-performance of the financial markets could result in the GMxB derivative features' benefits being higher than what accumulated policyholders’ account balances would support.

For GMxB features, the Company retains certain risks including basis, credit spread and some volatility risk and risk associated with actual versus expected actuarial assumptions for mortality, lapse and surrender, withdrawal and policyholder election rates, among other things. The derivative contracts are managed to correlate with changes in the value of the GMxB features that result from financial markets movements. A portion of exposure to realized equity volatility is hedged using equity options and variance swaps and a portion of exposure to credit risk is hedged using total return swaps on fixed income indices. Additionally, the Company is party to total return swaps for which the reference U.S. Treasury securities are contemporaneously purchased from the market and sold to the swap counterparty. As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale. The Company has also purchased reinsurance contracts to mitigate the risks associated with GMDB features and the impact of potential market fluctuations on future policyholder elections of GMIB features contained in certain annuity contracts issued by the Company.

The Company implemented an overlay hedge program to ensure a target asset level for all variable annuities at a CTE98 level under most scenarios, and at a CTE95 level in extreme scenarios.

Derivatives used to hedge crediting rate exposure on SCS, SIO, MSO and IUL products/investment options

The Company hedges crediting rates in the Structured Capital Strategies (“SCS”) variable annuity, Structured Investment Option in the EQUI-VEST variable annuity series (“SIO”), Market Stabilizer Option (“MSO”) in the variable life insurance products and Indexed Universal Life (“IUL”) insurance products. These products permit the contract owner to participate in the performance of an index, ETF or commodity price movement up to a cap for a set period of time. They also contain a protection feature, in which the Company will absorb, up to a certain percentage, the loss of value in an index, ETF or commodity price, which varies by product segment.

In order to support the returns associated with these features, the Company enters into derivative contracts whose payouts, in combination with fixed income investments, emulate those of the index, ETF or commodity price, subject to caps and buffers without any basis risk due to market exposures, thereby substantially reducing any exposure to market-related earnings volatility.

Derivatives used for General Account Investment Portfolio

The Company maintains a strategy in its General Account investment portfolio to replicate the credit exposure of fixed maturity securities otherwise permissible for investment under its investment guidelines through the sale of credit default swaps (“CDSs”). Under the terms of these swaps, the Company receives quarterly fixed premiums that, together with any initial amount paid or received at trade inception, replicate the credit spread otherwise currently obtainable by purchasing the referenced entity’s bonds of similar maturity. These credit derivatives generally have remaining terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net investment income (loss). The Company manages its credit exposure taking into consideration both cash and derivatives based positions and selects the reference entities in its replicated credit exposures in a manner consistent with its selection of fixed maturities. In addition, the Company generally transacts the sale of CDSs in single name reference entities of investment grade credit quality and with counterparties subject to collateral posting requirements. If there is an event of default by the reference entity or other such credit event as defined under the terms of the swap contract, the Company is obligated to perform under the credit derivative and, at the counterparty’s option, either pay the referenced amount of the contract less an auction-determined recovery amount or pay the referenced amount of the contract and receive in return the defaulted or similar security of the reference entity for recovery by sale at the contract settlement auction. To date, there have been no events of default or circumstances indicative of a deterioration in the credit quality of the named referenced entities to require or suggest that the Company will have to perform under these CDSs. The maximum potential amount of future payments the Company could be required to make under these credit derivatives is limited to the par value of the referenced securities which is the dollar or euro-equivalent of the derivative notional amount. The Standard North American CDS Contract (“SNAC”) or Standard European Corporate Contract (“STEC”) under which the Company executes these CDS sales transactions does not contain recourse provisions for recovery of amounts paid under the credit derivative.

The Company purchased 30-year TIPS and other sovereign bonds, both inflation linked and non-inflation linked, as General Account investments and enters into asset or cross-currency basis swaps, to result in payment of the given bond’s coupons and principal at maturity in the bond’s specified currency to the swap counterparty in return for fixed dollar amounts. These swaps, when considered in combination with the bonds, together result in a net position that is intended to replicate a dollar-denominated fixed-coupon cash bond with a yield higher than a term-equivalent U.S. Treasury bond. At March 31, 2018 and December 31, 2017, the Company’s unrealized gains (losses) related to this program were $(88) million and $(86) million, respectively, and reported in AOCI.

The Company implemented a strategy to hedge a portion of the credit exposure in its General Account investment portfolio by buying protection through a swap. These are swaps on the “super senior tranche” of the investment grade CDX index. Under the terms of these swaps, the Company pays quarterly fixed premiums that, together with any initial amount paid or received at trade inception, serve as premiums paid to hedge the risk arising from multiple defaults of bonds referenced in the CDX index. These credit derivatives have terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in Net derivative gains (losses).

In 2016, the Company implemented a program to mitigate its duration gap using total return swaps for which the reference U.S. Treasury securities are sold to the swap counterparty under arrangements economically similar to repurchase agreements. As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale. Under this program the Company derecognized approximately $3,905 million U.S. Treasury securities for which the Company received proceeds of approximately $3,905 million at inception of the total return swap contract.  Under the terms of these swaps, the Company retains ongoing exposure to the total returns of the underlying U.S. Treasury securities in exchange for a financing cost. At March 31, 2018, the aggregate fair value of U.S. Treasury securities derecognized under this program was approximately $3,673 million. Reported in Other invested assets in the Company's balance sheet at March 31, 2018 is approximately $16 million, representing the fair value of the total return swap contracts.

The tables below present quantitative disclosures about the Company’s derivative instruments, including those embedded in other contracts required to be accounted for as derivative instruments.

Derivative Instruments by Category

	At March 31, 2018						Gains (Losses) Reported In Net Income (Loss) Three Months Ended March 31, 2018
			Fair Value
	Notional Amount		Asset Derivatives		Liability Derivatives
	(in millions)
Freestanding derivatives:
Equity contracts:(1)
Futures	$	3,318	$	2	$	1	$	(28	)
Swaps	4,866		142		13		66
Options	21,635		3,261		1,392		(15		)
Interest rate contracts:(1)
Swaps	21,646		302		347		(491		)
Futures	15,835		—		—		40
Credit contracts:(1)
Credit default swaps	2,136		32		3		—
Other freestanding contracts:(1)
Foreign currency contracts	1,781		10		52		(51		)
Margin	—		16		—		—
Collateral	—		8		1,824		—
Embedded derivatives:
GMIB reinsurance contracts(4)	—		9,673		—		(842		)
GMxB derivative features liability(2,4)	—		—		3,804		440
SCS, SIO, MSO and IUL indexed features(3,4)	—		—		1,609		104
Total	$	71,217	$	13,446	$	9,045	$	(777	)

(1) Reported in Other invested assets in the consolidated balance sheets.

(2) Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.

(3) SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.

(4) Reported in Net derivative gains (losses) in the consolidated statements of income (loss).

	At December 31, 2017						Gains (Losses) Reported In Net Income (Loss) Three Months Ended March 31, 2017
			Fair Value
	Notional Amount		Asset Derivatives		Liability Derivatives
	(in millions)
Freestanding derivatives:
Equity contracts:(1)
Futures	$	3,113	$	1	$	3	$	(212	)
Swaps	4,655		3		126		(241		)
Options	20,630		3,334		1,426		302
Interest rate contracts:(1)
Swaps	19,032		320		191		108
Futures	11,032		—		—		(19		)
Swaptions	—		—		—		—
Credit contracts:(1)
Credit default swaps	2,131		35		3		6
Other freestanding contracts:(1)
Foreign currency contracts	1,423		19		10		(1		)
Margin	—		24		—		—
Collateral	—		4		1,855		—
Embedded derivatives:
GMIB reinsurance contracts(4)	—		10,488		—		(533		)
GMxB derivative features liability(2,4)	—		—		4,164		490
SCS, SIO, MSO and IUL indexed features(3,4)	—		—		1,698		(262		)
Total	$	62,016	$	14,228	$	9,476	$	(362	)

(1) Reported in Other invested assets in the consolidated balance sheets.

(2) Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.

(3) SCS and SIO indexed features are reported in Policyholders’ account balances; MSO and IUL indexed features are reported in the Future policyholders’ benefits and other policyholders’ liabilities in the consolidated balance sheets.

(4) Reported in Net derivative gains (losses) in the consolidated statements of income (loss).

Equity-Based and Treasury Futures Contracts Margin

All outstanding equity-based and treasury futures contracts at March 31, 2018 are exchange-traded and net settled daily in cash. At March 31, 2018, the Company had open exchange-traded futures positions on: (i) the S&P 500, Russell 2000, and Emerging Market indices, having initial margin requirements of $121 million, (ii) the 2-year, 5-year and 10-year U.S. Treasury Notes on U.S. Treasury bonds and ultra-long bonds, having initial margin requirements of $23 million and (iii) the Euro Stoxx, FTSE 100, Topix, ASX 200, and European, Australasia, and Far East (“EAFE”) indices as well as corresponding currency futures on the Euro/U.S. dollar, Pound/U.S. dollar, Australian dollar/U.S. dollar, and Yen/U.S. dollar, having initial margin requirements of $12 million.

Credit Risk

Although notional amount is the most commonly used measure of volume in the derivatives market, it is not used as a measure of credit risk. A derivative with positive fair value (a derivative asset) indicates existence of credit risk because the counterparty would owe money to the Company if the contract were closed at the reporting date. Alternatively, a derivative contract with negative fair value (a derivative liability) indicates the Company would owe money to the counterparty if the contract were closed at the reporting date. To reduce credit exposures in Over-the-Counter (“OTC”) derivative transactions the Company generally enters into master agreements that provide for a netting of financial exposures with the counterparty and allow for collateral arrangements as further described below under “ISDA Master Agreements.” The Company further controls and minimizes its counterparty exposure through a credit appraisal and approval process.

ISDA Master Agreements

Netting Provisions. The standardized ISDA Master Agreement under which the Company conducts its OTC derivative transactions includes provisions for payment netting. In the normal course of business activities, if there is more than one derivative transaction with a single counterparty, the Company will set-off the cash flows of those derivatives into a single amount to be exchanged in settlement of the resulting net payable or receivable with that counterparty. In the event of default, insolvency, or other similar event pre-defined under the ISDA Master Agreement that would result in termination of OTC derivatives transactions before their maturity, netting procedures would be applied to calculate a single net payable or receivable with the counterparty.

Collateral Arrangements. The Company generally has executed a CSA under the ISDA Master Agreement it maintains with each of its OTC derivative counterparties that requires both posting and accepting collateral either in the form of cash or high-quality securities, such as U.S. Treasury securities, U.S. government and government agency securities and investment grade corporate bonds. These CSAs are bilateral agreements that require collateral postings by the party “out-of-the-money” or in a net derivative liability position. Various thresholds for the amount and timing of collateralization of net liability positions are applicable. Consequently, the credit exposure of the Company’s OTC derivative contracts is limited to the net positive estimated fair value of those contracts at the reporting date after taking into consideration the existence of netting agreements and any collateral received pursuant to CSAs. Derivatives are recognized at fair value in the consolidated balance sheets and are reported either as assets in Other invested assets or as liabilities in Other liabilities, except for embedded insurance-related derivatives as described above and derivatives transacted with a related counterparty. The Company nets the fair value of all derivative financial instruments with counterparties for which an ISDA Master Agreement and related CSA have been executed.

At March 31, 2018 and December 31, 2017, respectively, the Company held $1,824 million and $1,855 million in cash and securities collateral delivered by trade counterparties, representing the fair value of the related derivative agreements. The unrestricted cash collateral is reported in Other invested assets. The aggregate fair value of all collateralized derivative transactions that were in a liability position with trade counterparties at March 31, 2018 and December 31, 2017, respectively, were $2 million and $2 million, for which the Company posted collateral of $7 million and $3 million at March 31, 2018 and December 31, 2017, respectively, in the normal operation of its collateral arrangements. Certain of the Company’s ISDA Master Agreements contain contingent provisions that permit the counterparty to terminate the ISDA Master Agreement if the Company’s credit rating falls below a specified threshold, however, the occurrence of such credit event would not impose additional collateral requirements.

Margin

Effective January 3, 2017, the CME amended its rulebook, resulting in the characterization of variation margin transfers as settlement payments, as opposed to adjustments to collateral. These amendments impacted the accounting treatment of the Company's centrally cleared derivatives for which the CME serves as the central clearing party. As of the effective date, the application of the amended rulebook reduced gross derivative assets by $13 million.

Securities Repurchase and Reverse Repurchase Transactions

Securities repurchase and reverse repurchase transactions are conducted by the Company under a standardized securities industry master agreement, amended to suit the specificities of each respective counterparty. These agreements generally provide detail as to the nature of the transaction, including provisions for payment netting, establish parameters concerning the ownership and custody of the collateral securities, including the right to substitute collateral during the term of the agreement, and provide for remedies in the event of default by either party. Amounts due to/from the same counterparty under these arrangements generally would be netted in the event of default and subject to rights of set-off in bankruptcy. The Company’s securities repurchase and reverse repurchase agreements are accounted for as secured borrowing or lending arrangements, respectively and are reported in the consolidated balance sheets on a gross basis. The Company obtains or posts collateral generally in the form of cash and U.S. Treasury, corporate and government agency securities. The fair value of the securities to be repurchased or resold is monitored on a daily basis with additional collateral posted or obtained as necessary. Securities to be repurchased or resold are the same, or substantially the same, as those initially transacted under the arrangement. At March 31, 2018 and December 31, 2017, the balance outstanding under securities repurchase transactions was $1,904 million and $1,887 million, respectively. The Company utilized these repurchase and reverse repurchase agreements for asset liability and cash management purposes. For other instruments used for asset liability management purposes, see “Obligation under funding agreements” included in Note 13.

The following table presents information about the Company's offsetting of financial assets and liabilities and derivative instruments at March 31, 2018.

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At March 31, 2018

	Gross Amounts Recognized		Gross Amounts Offset in the Balance Sheets		Net Amounts Presented in the Balance Sheets
	(in millions)
ASSETS(1)
Description
Derivatives:
Equity contracts	$	3,404	$	1,407	$	1,997
Interest rate contracts	302		347		(45		)
Credit contracts	32		3		29
Currency	10		52		(42		)
Margin	16		—		16
Collateral	8		1,824		(1,816		)
Total Derivatives, subject to an ISDA Master Agreement	3,772		3,633		139
Total Derivatives	3,772		3,633		139
Other financial instruments	3,435		—		3,435
Other invested assets	$	7,207	$	3,633	$	3,574
LIABILITIES(2)
Description
Derivatives:
Equity contracts	$	1,406	$	1,406	$	—
Interest rate contracts	347		347		—
Credit contracts	3		3		—
Currency	52		52		—
Margin	—		—		—
Collateral	1,824		1,824		—
Total Derivatives, subject to an ISDA Master Agreement	3,632		3,632		—
Total Derivatives, not subject to an ISDA Master Agreement	—		—		—
Total Derivatives	3,632		3,632		—
Other financial liabilities	3,041		—		3,041
Other liabilities	$	6,673	$	3,632	$	3,041
Securities sold under agreement to repurchase(3)	$	1,897	$	—	$	1,897

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3) Excludes expense of $7 million in securities sold under agreement to repurchase.

The following table presents information about the Company’s gross collateral amounts that are not offset in the consolidated balance sheets at March 31, 2018.

Collateral Amounts Offset in the Consolidated Balance Sheets

At March 31, 2018

	Fair Value of Assets		Collateral (Received)/Held
			Financial Instruments		Cash			Net Amounts
	(in millions)
ASSETS:(1)
Total derivatives	$	1,938	$	—	$	(1,799	)	$	139
Other financial instruments	3,435		—		—			3,435
Other invested assets	$	5,373	$	—	$	(1,799	)	$	3,574
LIABILITIES:(2)
Securities sold under agreement to repurchase(3)	$	1,897	$	—	$	—		$	1,897

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3) Excludes expense of $7 million in securities sold under agreement to repurchase.

The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheet at March 31, 2018.

Repurchase Agreement Accounted for as Secured Borrowings

	At March 31, 2018
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		30–90 days		Greater Than 90 days		Total
	(in millions)
Securities sold under agreement to repurchase(1)
U.S. Treasury and agency securities	$	—	$	1,897	$	—	$	—	$	1,897
Total	$	—	$	1,897	$	—	$	—	$	1,897

(1) Excludes expense accrual of $7 million in securities sold under agreement to repurchase.

The following table presents information about the Company’s offsetting financial assets and liabilities and derivative instruments at December 31, 2017.

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At December 31, 2017

	Gross Amounts Recognized		Gross Amounts Offset in the Balance Sheets		Net Amounts Presented in the Balance Sheets
	(in millions)
ASSETS(1)
Description
Derivatives:
Equity contracts	$	3,338	$	1,555	$	1,783
Interest rate contracts	320		191		129
Credit contracts	35		3		32
Currency	19		10		9
Collateral	4		1,855		(1,851		)
Margin	24		—		24
Total Derivatives, subject to an ISDA Master Agreement	3,740		3,614		126
Total Derivatives	3,740		3,614		126
Other financial instruments	2,995		—		2,995
Other invested assets	$	6,735	$	3,614	$	3,121
LIABILITIES(2)
Description
Derivatives:
Equity contracts	$	1,555	$	1,555	$	—
Interest rate contracts	191		191		—
Credit contracts	3		3		—
Currency	10		10		—
Margin	—		—		—
Collateral	1,855		1,855		—
Total Derivatives, subject to an ISDA Master Agreement	3,614		3,614		—
Total Derivatives, not subject to an ISDA Master Agreement	—		—		—
Total Derivatives	3,614		3,614		—
Other financial liabilities	2,663		—		2,663
Other liabilities	$	6,277	$	3,614	$	2,663
Securities sold under agreement to repurchase(3)	$	1,882	$	—	$	1,882

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3) Excludes expense of $5 million in securities sold under agreement to repurchase.

The following table presents information about the Insurance segment’s gross collateral amounts that are not offset in the consolidated balance sheet at December 31, 2017.

Collateral Amounts Offset in the Consolidated Balance Sheets

At December 31, 2017

	Net Amounts Presented in the Balance Sheets		Collateral (Received)/Held
			Financial Instruments			Cash			Net Amounts
	(in millions)
ASSETS:(1)
Total Derivatives	$	1,954	$	—		$	(1,828	)	$	126
Other financial instruments	2,995		—			—			2,995
Other invested assets	$	4,949	$	—		$	(1,828	)	$	3,121
LIABILITIES(2)
Other financial liabilities	$	2,663	$	—		$	—		$	2,663
Other liabilities	$	2,663	$	—		$	—		$	2,663
Securities sold under agreement to repurchase(3)	$	1,882	$	(1,988	)	$	(21	)	$	(127	)

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3) Excludes expense of $5 million in securities sold under agreement to repurchase.

The following table presents information about repurchase agreements accounted for as secured borrowings in the consolidated balance sheet at December 31, 2017.

Repurchase Agreement Accounted for as Secured Borrowings

	At December 31, 2017
	Remaining Contractual Maturity of the Agreements
	Overnight and Continuous		Up to 30 days		30–90 days		Greater  Than 90 days		Total
	(in millions)
Securities sold under agreement to repurchase(1)
U.S. Treasury and agency securities	$	—	$	1,882	$	—	$	—	$	1,882
Total	$	—	$	1,882	$	—	$	—	$	1,882

(1) Excludes expense of $5 million in securities sold under agreement to repurchase.