FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2018

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis are summarized below. At March 31, 2018 and December 31, 2017, no assets were required to be measured at fair value on a non-recurring basis. Fair value measurements are required on a non-recurring basis for certain assets, including goodwill and mortgage loans on real estate, only when an OTTI or other event occurs. When such fair value measurements are recorded, they must be classified and disclosed within the fair value hierarchy. The Company recognizes transfers between valuation levels at the beginning of the reporting period.

Fair Value Measurements at March 31, 2018



	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Public Corporate	$	—	$	14,724	$	120	$	14,844
Private Corporate	—		5,949		1,109		7,058
U.S. Treasury, government and agency	—		10,025		—		10,025
States and political subdivisions	—		430		39		469
Foreign governments	—		408		—		408
Residential mortgage-backed⁽¹⁾	—		233		—		233
Asset-backed⁽²⁾	—		80		7		87
Redeemable preferred stock	176		330		—		506
Subtotal	176		32,179		1,275		33,630
Other equity investments	13		—		1		14
Trading securities	431		13,021		5		13,457
Other invested assets:
Short-term investments	—		372		—		372
Assets of consolidated VIEs/VOEs	1,691		291		32		2,014
Swaps	—		41		—		41
Credit Default Swaps	—		28		—		28
Futures	—		—		—		—
Options	—		1,869		—		1,869
Subtotal	1,691		2,601		32		4,324
Cash equivalents	2,874		—		—		2,874
Segregated securities	—		1,025		—		1,025
GMIB reinsurance contract asset	—		—		9,673		9,673
Separate Accounts’ assets	116,474		2,831		357		119,662
Total Assets	$	121,659	$	51,657	$	11,343	$	184,659
Liabilities
GMxB derivative features’ liability	$	—	$	—	$	3,804	$	3,804
SCS, SIO, MSO and IUL indexed features’ liability	—		1,609		—		1,609
Liabilities of consolidated VIEs/VOEs	1,190		18		—		1,208
Contingent payment arrangements	—		—		11		11
Total Liabilities	$	1,190	$	1,627	$	3,815	$	6,632


(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.

Fair Value Measurements at December 31, 2017



	Level 1			Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Public Corporate	$	—		$	14,298	$	47	$	14,345
Private Corporate	—			6,045		1,092		7,137
U.S. Treasury, government and agency	—			13,135		—		13,135
States and political subdivisions	—			441		40		481
Foreign governments	—			409		—		409
Residential mortgage-backed⁽¹⁾	—			251		—		251
Asset-backed⁽²⁾	—			88		8		96
Redeemable preferred stock	180			324		—		504
Subtotal	180			34,991		1,187		36,358
Other equity investments	13			—		1		14
Trading securities	467			12,161		—		12,628
Other invested assets:
Short-term investments	—			768		—		768
Assets of consolidated VIEs/VOEs	1,060			215		27		1,302
Swaps	—			15		—		15
Credit Default Swaps	—			33		—		33
Futures	(2		)	—		—		(2		)
Options	—			1,907		—		1,907
Subtotal	1,058			2,938		27		4,023
Cash equivalents	2,360			—		—		2,360
Segregated securities	—			825		—		825
GMIB reinsurance contract asset	—			—		10,488		10,488
Separate Accounts’ assets	118,983			2,983		349		122,315
Total Assets	$	123,061		$	53,898	$	12,052	$	189,011
Liabilities:
GMxB derivative features’ liability	$	—		$	—	$	4,164	$	4,164
SCS, SIO, MSO and IUL indexed features’ liability	—			1,698		—		1,698
Liabilities of consolidated VIEs/VOEs	670			22		—		692
Contingent payment arrangements	—			—		11		11
Total Liabilities	$	670		$	1,720	$	4,175	$	6,565


(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.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The table below presents a reconciliation for all Level 3 assets and liabilities for the first quarters of 2018 and 2017, respectively:

Level 3 Instruments

Fair Value Measurements



	Corporate			State and Political Sub- divisions			Commercial Mortgage- backed			Asset- backed
	(in millions)
Balance, January 1, 2018	$	1,139		$	40		$	—		$	8
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	2			—			—			—
Investment gains (losses), net	—			—			—			—
Subtotal	2			—			—			—
Other comprehensive income (loss)	(20		)	(1		)	—			—
Purchases	173			—			—			—
Sales	(116		)	—			—			(1		)
Settlements	—			—			—			—
Transfers into Level 3⁽¹⁾	67			—			—			—
Transfers out of Level 3⁽¹⁾	(16		)	—			—			—
Balance, March 31, 2018	$	1,229		$	39		$	—		$	7
Balance, January 1, 2017	$	845		$	42		$	349		$	24
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	1			—			—			—
Investment gains (losses), net	—			—			31			—
Subtotal	1			—			31			—
Other comprehensive income (loss)	45			—			12			4
Purchases	169			—			—			—
Sales	(57		)	—			(68		)	(1		)
Transfers into Level 3⁽¹⁾	11			—			—			4
Transfers out of Level 3⁽¹⁾	—			—			—			—
Balance, March 31, 2017	$	1,014		$	42		$	324		$	31



	Redeemable Preferred Stock		Other Equity Investments⁽²⁾			GMIB Reinsurance Asset			Separate Accounts Assets			GMxB derivative features liability			Contingent Payment Arrangement
	(in millions)
Balance, January 1, 2018	$	—	$	28		$	10,488		$	349		$	(4,164	)	$	11
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			7			—			—
Net derivative gains (losses)	—		—			(842		)	—			440			—
Subtotal	—		—			(842		)	7			440			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽²⁾	—		4			54			3			(82		)	—
Sales⁽³⁾	—		—			(27		)	(1		)	2			—
Settlements⁽⁴⁾	—		—			—			(1		)	—			—
Activity related to consolidated VIEs	—		1			—			—			—			—
Transfers into Level 3⁽¹⁾	—		5			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, March 31, 2018	$	—	$	38		$	9,673		$	357		$	(3,804	)	$	11
Balance, January 1, 2017	$	1	$	51		$	10,314		$	313		$	(5,319	)	$	18
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			10			—			—
Net derivative gains (losses)	—		—			(533		)	—			490			—
Subtotal	—		—			(533		)	10			490			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽²⁾	—		4			37			3			(78		)	—
Sales⁽³⁾	—		(1		)	(21		)	(1		)	1			—
Settlements⁽⁴⁾	—		—			—			(1		)	—			(1		)
Activity related to consolidated VIEs	—		—			—			—			—			—
Transfers into Level 3⁽¹⁾	—		1			—			1			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, March 31, 2017	$	1	$	55		$	9,797		$	325		$	(4,906	)	$	17


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


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


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


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

Fair Value Assets Unrealized Gains Losses By Category For Level 3 Assets And Liabilities Still Held

The table below details changes in unrealized gains (losses) for the first quarters of 2018 and 2017 by category for Level 3 assets and liabilities still held at March 31, 2018 and 2017, respectively:



	Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (losses)			OCI
	(in millions)
Level 3 Instruments
First Quarter 2018
Held at March 31, 2018:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	(19	)
State and political subdivisions	—		—			(1		)
Commercial mortgage-backed	—		—			—
Asset-backed	—		—			—
Subtotal	$	—	$	—		$	(20	)
GMIB reinsurance contracts	—		(842		)	—
Separate Accounts’ assets⁽¹⁾	7		—			—
GMxB derivative features' liability	—		440			—
Total	$	7	$	(402	)	$	(20	)
Level 3 Instruments
First Quarter 2017
Held at March 31, 2017:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	41
Commercial mortgage-backed	—		—			12
Asset-backed	—		—			4
Subtotal	$	—	$	—		$	57
GMIB reinsurance contracts	—		(533		)	—
Separate Accounts’ assets⁽¹⁾	10		—			—
GMxB derivative features' liability	—		490			—
Total	$	10	$	(43	)	$	57


(1)	There is an investment expense that offsets this investment gain (loss).

Fair Value Inputs Quantitative Information

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities as of March 31, 2018 and December 31, 2017, respectively.

Quantitative Information about Level 3 Fair Value Measurements

March 31, 2018

Fair
Value

Valuation
Technique

Significant
Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, available-for-sale:

Corporate

Matrix pricing model

Spread over the industry-specific benchmark yield curve

0 - 565 bps

112 bps

788

Market com-parable

companies

EBITDA multiples
Discount rate
Cash flow multiples

6.2x - 30.7x 7.2% - 17.0% 9.0x - 17.7x

13.0x
11.3% 13.1x

Separate Account assets

332

Third party appraisal

Capitalization rate
Exit capitalization rate
Discount rate

4.6% 5.6% 6.5%

Discounted cash flow

Spread over U.S. Treasury curve
Discount factor

228 bps 4.624%

GMIB reinsurance contract asset

9,673

Discounted cash flow

Lapse Rates
Withdrawal rates
GMIB Utilization Rates
Non-performance risk
Volatility rates—Equity

1.0% - 6.3% 0.0% - 8.0% 0.0% - 16.0% 5bps - 10bps 9.70%-31.15%

Liabilities:

GMIBNLG

3,715

Discounted cash flow

Non-performance Risk
Lapse Rates
Withdrawal Rates
Utilization Rates
NLG Forfeiture Rates
Long-term Equity Volatility

1.0%
0.8% - 26.2%
0.0% - 12.4%
0.0% - 16.0%
0.55% - 2.1%
20.0%

GWBL/GMWB

121

Discounted cash flow

Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity

0.9% - 5.7%
0.0% - 7.0%
100% after delay
9.70%-31.15%

GIB

(36

)

Discounted cash flow

Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity

0.9% - 5.7%
0.0% - 7.0%
0.0% - 16.0%
9.70-31.15%

GMAB

Discounted cash flow

Lapse Rates
Volatility rates - Equity

0.5% - 11.0%
9.70%-31.15%

Quantitative Information about Level 3 Fair Value Measurements

December 31, 2017

Fair

Value

Valuation

Technique

Significant

Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, available-for-sale:

Corporate

Matrix pricing model

Spread over the industry-specific benchmark yield curve

0 -565 bps

125 bps

789

Market comparable companies

EBITDA multiples

Discount Rate

Cash flow Multiples

5.3x-27.9x
7.2% - 17.0%
9.0x - 17.7x

12.9x
11.1%
13.1x

Separate Account assets

326

Third party appraisal

Capitalization rate
Exit capitalization rate
Discount rate

4.6% 5.6% 6.6%

Discounted cash flow

Spread over U.S. Treasury curve
Discount factor

243 bps 4.4%

GMIB reinsurance contract asset

10,488

Discounted cash flow

Lapse Rates
Withdrawal rates
GMIB Utilization Rates
Non-performance risk
Volatility rates—Equity

1.0% - 6.3% 0.0% - 8.0% 0.0% - 16.0% 5bps - 10bps 9.9%- 30.9%

Liabilities:

GMIBNLG

4,056

Discounted cash flow

Non-performance Risk
Lapse Rates
Withdrawal Rates
Utilization Rates
NLG Forfeiture Rates
Long-term equity Volatility

1.0%
0.8% - 26.2%
0.0% - 12.4%
0.0% - 16.0%
0.55% - 2.1%
20.0%

GWBL/GMWB

130

Discounted cash flow

Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity

0.9% - 5.7%
0.0% - 7.0%
100% after delay
9.0% - 30.9%

GIB

(27

)

Discounted cash flow

Lapse Rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity

0.9% - 5.7%
0.0% - 7.0%
0.0% - 16.0%
9.9% - 30.9%

GMAB

Discounted cash flow

Lapse Rates
Volatility rates - Equity

0.5% - 11.0%
9.9% - 30.9%

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at March 31, 2018 and December 31, 2017 for financial instruments not otherwise disclosed in Note 3 are presented in the table below. Certain financial instruments are exempt from the requirements for fair value disclosure, such as insurance liabilities other than financial guarantees and investment contracts, limited partnerships accounted for under the equity method and pension and other postretirement obligations.



	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2018:
Mortgage loans on real estate	$	11,316	$	—	$	—	$	11,111	$	11,111
Loans to affiliates	702		—		702		—		702
Policyholders’ liabilities: Investment contracts	3,018		—		—		2,949		2,949
Funding Agreements	3,014		—		2,962		—		2,962
Policy loans	3,305		—		—		4,073		4,073
Short-term debt	490		—		490		—		490
Separate Account Liabilities	7,647		—		—		7,647		7,647
December 31, 2017:
Mortgage loans on real estate	$	10,935	$	—	$	—	$	10,895	$	10,895
Loans to affiliates	703		—		700		—		700
Policyholders’ liabilities: Investment contracts	2,068		—		—		2,170		2,170
Funding Agreements	3,014		—		3,020		—		3,020
Policy loans	3,315		—		—		4,210		4,210
Short-term and Long-term debt	769		—		768		—		768
Separate Account Liabilities	7,537		—		—		7,537		7,537