FAIR VALUE DISCLOSURES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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 September 30, 2018



	Level 1		Level 2			Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	$	—	$	23,468		$	1,134	$	24,602
U.S. Treasury, government and agency	—		12,951			—		12,951
States and political subdivisions	—		413			38		451
Foreign governments	—		438			—		438
Residential mortgage-backed⁽¹⁾	—		208			—		208
Asset-backed⁽²⁾	—		71			537		608
Redeemable preferred stock	172		324			—		496
Total fixed maturities, available-for-sale	172		37,873			1,709		39,754
Other equity investments	12		—			—		12
Trading securities	519		14,241			—		14,760
Other invested assets:
Short-term investments	—		418			—		418
Assets of consolidated VIEs/VOEs	86		214			28		328
Swaps	—		(433		)	—		(433		)
Credit Default Swaps	—		25			—		25
Futures	—		—			—		—
Options	—		2,500			—		2,500
Total other invested assets	86		2,724			28		2,838



	Level 1		Level 2		Level 3		Total
	(in millions)
Cash equivalents	2,441		—		—		2,441
Segregated securities	—		1,263		—		1,263
GMIB reinsurance contract asset	—		—		1,571		1,571
Separate Accounts assets	120,529		2,706		367		123,602
Total Assets	$	123,759	$	58,807	$	3,675	$	186,241

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	4,157	$	4,157
SCS, SIO, MSO and IUL indexed features’ liability	—		2,357		—		2,357
Liabilities of consolidated VIEs/VOEs	1		3		—		4
Contingent payment arrangements	—		—		11		11
Total Liabilities	$	1	$	2,360	$	4,168	$	6,529

___________________


(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:
Corporate	$	—		$	20,343	$	1,139	$	21,482
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
Total fixed maturities, available-for-sale	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
Total other invested assets	1,058			2,938		27		4,023



	Level 1		Level 2		Level 3		Total
	(in millions)
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	$	—	$	—	$	4,256	$	4,256
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	$	4,267	$	6,657

________________


(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 tables below presents a reconciliation for all Level 3 assets and liabilities for the three and nine months ended September 30, 2018 and 2017, respectively:

Level 3 Instruments Fair Value Measurements



	Corporate			State and Political Sub- divisions			Commercial Mortgage- backed			Asset- backed
	(in millions)
Balance, July 1, 2018	$	1,152		$	38		$	—		$	538
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	3			—			—			(1		)
Investment gains (losses), net	(4		)	—			—			—
Subtotal	(1		)	—			—			(1		)
Other comprehensive income (loss)	(1		)	—			—			1
Purchases	36			—			—			—
Sales	(52		)	—			—			(1		)
Settlements	—			—			—			—
Transfers into Level 3⁽¹⁾	—			—			—			—
Transfers out of Level 3⁽¹⁾	—			—			—			—
Balance, September 30, 2018	$	1,134		$	38		$	—		$	537
Balance, July 1, 2017	$	1,068		$	42		$	290		$	12
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	2			—			—			—
Investment gains (losses), net	—			—			(9		)	—
Subtotal	2			—			(9		)	—
Other comprehensive income (loss)	6			—			8			(3		)
Purchases	196			—			—			—
Sales	(119		)	(1		)	(40		)	(1		)
Settlements	—			—			—			—
Transfers into Level 3⁽¹⁾	—			—			—			—
Transfers out of Level 3⁽¹⁾	(7		)	—			(1		)	—
Balance, September 30, 2017	$	1,146		$	41		$	248		$	8

____________


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



	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)	8			—			—			(1		)
Investment gains (losses), net	(4		)	—			—			—
Subtotal	4			—			—			(1		)
Other comprehensive income (loss)	(15		)	(1		)	—			—
Purchases	236			—			—			533
Sales	(267		)	(1		)	—			(3		)
Settlements	—			—			—			—
Transfers into Level 3⁽¹⁾	65			—			—			—
Transfers out of Level 3⁽¹⁾	(28		)	—			—			—
Balance, September 30, 2018	$	1,134		$	38		$	—		$	537
Balance, January 1, 2017	$	845		$	42		$	349		$	24
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	6			—			1			—
Investment gains (losses), net	—			—			(29		)	15
Subtotal	6			—			(28		)	15
Other comprehensive income (loss)	—			—			27			(10		)
Purchases	518			—			—			—
Sales	(224		)	(1		)	(99		)	(20		)
Settlements	—			—			—			—
Transfers into Level 3⁽¹⁾	6			—			—			—
Transfers out of Level 3⁽¹⁾	(5		)	—			(1		)	(1		)
Balance, September 30, 2017	$	1,146		$	41		$	248		$	8

____________


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



	Redeemable Preferred Stock		Other Equity Investments⁽²⁾			GMIB Reinsurance Asset			Separate Accounts Assets			GMxB Derivative Features Liability			Contingent Payment Arrangement
	(in millions)
Balance, July 1, 2018	$	—	$	29		$	1,825		$	361		$	(3,534	)	$	(11	)
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		—			—			6			—			—
Net derivative gains (losses)	—		—			(255		)	—			(534		)	—
Subtotal	—		—			(255		)	6			(534		)	—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽²⁾	—		1			12			1			(96		)	—
Sales⁽³⁾	—		(1		)	(11		)	—			7			—
Settlements^(4,5)	—		—			—			(1		)	—			—
Activity related to consolidated VIEs	—		(1		)	—			—			—			—
Transfers into Level 3⁽¹⁾	—		—			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, September 30, 2018	$	—	$	28		$	1,571		$	367		$	(4,157	)	$	(11	)
Balance, July 1, 2017	$	1	$	8		$	11,260		$	333		$	(4,889	)	$	17
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		(4		)	—			4			—			—
Net derivative gains (losses)	—		—			(393		)	—			396			—
Subtotal	—		(4		)	(393		)	4			396			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		—			55			1			(100		)	—
Sales⁽⁴⁾	—		(1		)	(22		)	—			3			—
Settlements⁽⁵⁾	—		—			—			(1		)	—			(5		)
Activity related to consolidated VIEs	—		—			—			—			—			—
Transfers into Level 3⁽¹⁾	—		—			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, September 30, 2017	1		3			10,900			337			(4,590		)	12

____________


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


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


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


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


(5)	For GMIB Reinsurance Asset, it represents the settlement of the captive reinsurance transaction.



	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		$	(4,256	)	$	(11	)
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		(1		)	—			19			—			—
Net derivative gains (losses)	—		—			(1,488		)	—			394			—
Subtotal	—		(1		)	(1,488		)	19			394			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽²⁾	—		7			83			4			(305		)	—
Sales⁽³⁾	—		(3		)	(49		)	(1		)	10			—
Settlements^(4,5)	—		—			(7,463		)	(4		)	—			—
Activity related to consolidated VIEs	—		(3		)	—			—			—			—
Transfers into Level 3⁽¹⁾	—		5			—			—			—			—
Transfers out of Level 3⁽¹⁾	—		(5		)	—			—			—			—
Balance, September 30, 2018	$	—	$	28		$	1,571		$	367		$	(4,157	)	$	(11	)
Balance, January 1, 2017	$	1	$	11		$	10,313		$	313		$	(5,473	)	$	18
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	—		—			—			—			—			—
Investment gains (losses), net	—		(4		)	—			22			—			—
Net derivative gains (losses)	—		—			500			—			1,169			—
Subtotal	—		(4		)	500			22			1,169			—
Other comprehensive income (loss)	—		—			—			—			—			—
Purchases⁽³⁾	—		5			165			7			(290		)	—
Sales⁽⁴⁾	—		(3		)	(79		)	(2		)	4			—
Settlements⁽⁵⁾	—		—			—			(4		)	—			(6		)
Activity related to consolidated VIEs	—		(7		)	—			—			—			—
Transfers into Level 3⁽¹⁾	—		1			—			1			—			—
Transfers out of Level 3⁽¹⁾	—		—			—			—			—			—
Balance, September 30, 2017	$	1	$	3		$	10,900		$	337		$	(4,590	)	$	12

____________


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


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


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


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


(5)	For GMIB Reinsurance Asset, it represents the settlement of the captive reinsurance transaction.

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 nine months ended September 30, 2018 and 2017 by category for Level 3 assets and liabilities still held at September 30, 2018 and 2017, respectively:



	Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (losses)			OCI
	(in millions)
Level 3 Instruments
Nine months ended September 30, 2018
Held at September 30, 2018:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	(13	)
State and political subdivisions	—		—			(1		)
Commercial mortgage-backed	—		—			—
Asset-backed	—		—			—
Subtotal	—		—			(14		)
GMIB reinsurance contracts	—		(1,488		)	—
Separate Accounts’ assets⁽¹⁾	19		—			—
GMxB derivative features’ liability	—		394			—
Total	$	19	$	(1,094	)	$	(14	)

____________


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



	Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (losses)		OCI
	(in millions)
Level 3 Instruments
Nine months ended September 30, 2017
Held at September 30, 2017:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Commercial mortgage-backed	$	—	$	—	$	26
Asset-backed	—		—		(9		)
Subtotal	—		—		17
GMIB reinsurance contracts	—		500		—
Separate Accounts’ assets(1)	—		—		—
GMxB derivative features’ liability	—		1,169		—
Total	$	—	$	1,669	$	17

____________


(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 September 30, 2018 and December 31, 2017, respectively.

Quantitative Information about Level 3 Fair Value Measurements at September 30, 2018



	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average
	(in millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	39		Matrix pricing model	Spread over the industry-specific benchmark yield curve	50 - 565 bps	194 bps
	755		Market com-parable companies	EBITDA multiples Discount rate Cash flow multiples	4.2x - 37.3x 7.2% - 16.5% 9.0x - 17.7x	13.8x 11.1% 13.1x
Separate Accounts assets	345		Third party appraisal	Capitalization rate Exit capitalization rate Discount rate	4.4% 5.6% 6.5%
	1		Discounted cash flow	Spread over U.S. Treasury curve Discount factor	228 bps 4.8%
GMIB reinsurance contract asset	1,571		Discounted cash flow	Lapse Rates Withdrawal Rates Utilization Rates Non-performance risk Volatility rates - Equity Mortality Rates⁽¹⁾: Ages 0-40 Ages 41-60 Ages 60-115	1.0% - 6.3% 0.0 - 8.0% 0.0% - 16.0% 0.5% - 1.3% 6.0% - 31.0% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.0%
Liabilities:
GMIBNLG	4,163		Discounted cash flow	GMIB valuation spread Lapse Rates Withdrawal Rates Utilization Rates Non-performance risk NLG Forfeiture Rates Long-term equity Volatility Mortality Rates⁽¹⁾: Ages 0-40 Ages 41-60 Ages 60-115	0.9% 0.8% - 26.2% 0.0% - 12.4% 0.0% - 100.0% 0% - 1.4% 0.8% - 1.2% 20.0% 0.01% - 0.19% 0.06% - 0.53% 0.41% - 41.2%
GWBL/GMWB	77		Discounted cash flow	Lapse Rates Withdrawal Rates Utilization Rates Volatility rates - Equity	0.5% - 5.7% 0.0% - 7.0% 100% after delay 6.0% - 31.0%
GIB	(84	)	Discounted cash flow	Lapse Rates Withdrawal Rates Utilization Rates Volatility rates - Equity	0.5% - 5.7% 0.0% - 8.0% 0.0% - 38.0% 6.0% - 31.0%
GMAB	1		Discounted cash flow	Lapse Rates Volatility rates - Equity	0.5% - 11.0% 6.0% - 31.0%

____________


(1)	Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2017



	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average
	(in millions)
Assets:
Investments:
Fixed maturities, available-for-sale:
Corporate	53		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 Accounts’ assets	326		Third party appraisal	Capitalization rate Exit capitalization rate Discount rate	4.6% 5.6% 6.6%
	1		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 Mortality Rates⁽¹⁾: Ages 0-40 Ages 41-60 Ages 60-115	1.0% - 6.3% 0.0% - 8.0% 0.0% - 16.0% 5bps - 10bps 9.9%- 30.9% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.0%
Liabilities:
GMIBNLG	4,149		Discounted cash flow	Non-performance Risk Lapse Rates Withdrawal Rates Utilization Rates NLG Forfeiture Rates Long-term equity Volatility Mortality Rates⁽¹⁾: Ages 0-40 Ages 41-60 Ages 60-115	1.0% 0.8% - 26.2% 0.0% - 12.4% 0.0% - 16.0% 0.6% - 2.1% 20.0% 0.01% - 0.19% 0.06% - 0.53% 0.41% - 41.2%
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	5		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 September 30, 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)
September 30, 2018:
Mortgage loans on real estate	$	12,053	$	—	$	—	$	11,659	$	11,659
Loans to affiliates	800		—		804		—		804
Policyholders’ liabilities: Investment contracts	2,020		—		—		2,052		2,052
Funding Agreements	3,012		—		2,926		—		2,926
Policy loans	3,269		—		—		3,946		3,946
Short-term debt	398		—		398		—		398
Separate Accounts liabilities	8,231		—		—		8,231		8,231



	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
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 Accounts liabilities	7,537		—		—		7,537		7,537