FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2019

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, 2019 and December 31, 2018, 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, 2019



	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, available-for-sale:
Corporate (1)	$	—	$	29,596	$	1,169	$	30,765
U.S. Treasury, government and agency	—		12,968		—		12,968
States and political subdivisions	—		424		39		463
Foreign governments	—		498		—		498
Residential mortgage-backed (2)	—		195		—		195
Asset-backed (3)	—		71		534		605
Redeemable preferred stock	157		278		—		435
Total fixed maturities, available-for-sale	157		44,030		1,742		45,929
Other equity investments	12		—		—		12
Trading account securities	296		12,408		—		12,704
Other invested assets:
Short-term investments	—		198		—		198
Assets of consolidated VIEs/VOEs	—		—		18		18
Swaps	—		360		—		360
Credit default swaps	—		22		—		22
Options	—		2,164		—		2,164
Total other invested assets	—		2,744		18		2,762
Cash equivalents	2,518		—		—		2,518
GMIB reinsurance contract asset	—		—		2,009		2,009
Separate Accounts assets	114,780		2,750		383		117,913
Total Assets	$	117,763	$	61,932	$	4,152	$	183,847

Liabilities
GMxB derivative features’ liability	$	—	$	—	$	5,944	$	5,944
SCS, SIO, MSO and IUL indexed features’ liability	—		1,992		—		1,992
Total Liabilities	$	—	$	1,992	$	5,944	$	7,936

______________


(1)	Corporate fixed maturities includes both public and private issues.


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


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

Fair Value Measurements at December 31, 2018



	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, available-for-sale:
Corporate (1)	$	—	$	25,202	$	1,174	$	26,376
U.S. Treasury, government and agency	—		13,335		—		13,335
States and political subdivisions	—		416		38		454
Foreign governments	—		519		—		519
Residential mortgage-backed (2)	—		202		—		202
Asset-backed (3)	—		71		519		590
Redeemable preferred stock	163		276		—		439
Total fixed maturities, available-for-sale	163		40,021		1,731		41,915
Other equity investments	12		—		—		12
Trading account securities	218		14,919		29		15,166
Other invested assets:
Short-term investments	—		412		—		412
Assets of consolidated VIEs/VOEs	—		—		19		19
Swaps	—		423		—		423
Credit default swaps	—		17		—		17
Options	—		956		—		956
Total other invested assets	—		1,808		19		1,827
Cash equivalents	2,160		—		—		2,160
GMIB reinsurance contracts asset	—		—		1,991		1,991
Separate Accounts assets	105,159		2,733		374		108,266
Total Assets	$	107,712	$	59,481	$	4,144	$	171,337

Liabilities
GMxB derivative features’ liability	$	—	$	—	$	5,431	$	5,431
SCS, SIO, MSO and IUL indexed features’ liability	—		687		—		687
Total Liabilities	$	—	$	687	$	5,431	$	6,118

______________


(1)	Corporate fixed maturities includes both public and private issues.


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


(3)	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 present reconciliations for all Level 3 assets and liabilities for the three months ended March 31, 2019 and 2018.

Level 3 Instruments - Fair Value Measurements



	Corporate			State and Political Subdivisions			Asset- backed
	(in millions)
Balance, January 1, 2019	$	1,174		$	38		$	519
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	1			—			—
Other comprehensive income (loss)	9			1			4
Purchases	70			—			11
Sales	(33		)	—			—
Transfers into Level 3 (1)	17			—			—
Transfers out of Level 3 (1)	(69		)	—			—
Balance, March 31, 2019	$	1,169		$	39		$	534

Balance, January 1, 2018	$	1,139		$	40		$	8
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Net investment income (loss)	2			—			—
Other comprehensive income (loss)	(20		)	(1		)	—
Purchases	173			—			—
Sales	(116		)	—			(1		)
Transfers into Level 3 (1)	67			—			—
Transfers out of Level 3 (1)	(16		)	—			—
Balance, March 31, 2018	$	1,229		$	39		$	7

______________


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



	Other Equity Investments (2)			GMIB Reinsurance Contract Asset			Separate Accounts Assets			GMxB Derivative Features Liability
	(in millions)
Balance, January 1, 2019	$	48		$	1,991		$	374		$	(5,431	)
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Investment gains (losses), net	—			—			7			—
Net derivative gains (losses), excluding non-performance risk	—			(13		)	—			51
Non-performance risk (1)	—			40			—			(460		)
Subtotal	—			27			7			(409		)
Purchases (2)	—			12			4			(107		)
Sales (3)	—			(21		)	—			3
Settlements	—			—			(1		)	—
Activity related to consolidated VIEs/VOEs	(1		)	—			—			—
Transfers out of Level 3 (4)	(29		)	—			(1		)	—
Balance, March 31, 2019	$	18		$	2,009		$	383		$	(5,944	)

Balance, January 1, 2018	$	25		$	10,488		$	349		$	(4,256	)
Total gains (losses), realized and unrealized, included in:
Income (loss) as:
Investment gains (losses), net	—			—			7			—
Net derivative gains (losses), excluding non-performance risk	—			(854		)	—			436
Non-performance risk (1)	—			13			—			49
Subtotal	—			(841		)	7			485
Purchases (2)	—			54			3			(93		)
Sales (3)	—			(27		)	(1		)	2
Settlements	—			—			(1		)	—
Activity related to consolidated VIEs/VOEs	1			—			—			—
Transfers into Level 3 (4)	5			—			—			—
Balance, March 31, 2018	$	31		$	9,674		$	357		$	(3,862	)

______________


(1)	The Company’s non-performance risk is recorded through Net derivative gains (losses).


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

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 three months ended March 31, 2019 and 2018 by category for Level 3 assets and liabilities still held at March 31, 2019 and 2018.

Level 3 Instruments



	Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (Losses)			OCI
	(in millions)
Held at March 31, 2019:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	9
State and political subdivisions	—		—			1
Asset-backed	—		—			4
Subtotal	—		—			14
GMIB reinsurance contracts	—		27			—
Separate Accounts assets (1)	7		—			—
GMxB derivative features liability	—		(409		)	—
Total	$	7	$	(382	)	$	14

Held at March 31, 2018:
Change in unrealized gains (losses):
Fixed maturities, available-for-sale:
Corporate	$	—	$	—		$	(19	)
State and political subdivisions	—		—			(1		)
Subtotal	—		—			(20		)
GMIB reinsurance contracts	—		(842		)	—
Separate Accounts assets (1)	7		—			—
GMxB derivative features liability	—		440			—
Total	$	7	$	(402	)	$	(20	)

______________


(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 at March 31, 2019 and December 31, 2018.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2019

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 benchmark

15 - 580 bps

109 bps

891

Market
comparable
companies

EBITDA multiples
Discount rate
Cash flow multiples

3.9x - 25.5x
6.1% - 16.5%
1.6x - 18.0x

12.7x
10.6%
11.4x

Separate Accounts assets

359

Third party appraisal

Capitalization rate
Exit capitalization rate
Discount rate

4.4%
5.5%
6.4%

Discounted cash flow

Spread over U.S. Treasury curve
Discount factor

248 bps
4.8 %

GMIB reinsurance contract asset

2,009

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% - 6.27%
0.0% - 8.0%
0.0% - 16.0%
52 - 129 bps
7.0% - 32.0%

0.01% - 0.18%
0.07% - 0.54%
0.42% - 42.0%

Liabilities:

GMIBNLG

5,847

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization rates

Mortality rates (1):

Ages 0 - 40

Ages 41 - 60

Ages 60 - 115

149 bps
0.8% - 26.2%
0.0% - 12.144%
0.0% - 100.0%

0.01% - 0.19%
0.06% - 0.53%
0.41% - 41.2%

GWBL/GMWB

137

Discounted cash flow

Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

0.5% - 5.7%
0.0% - 7.0%
100% after delay
7.0% - 32.0%

GIB

(44

)

Discounted cash flow

Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

0.5% - 5.7%
0.0% - 8.0%
0.0% - 16.0%
7.0% - 32.0%

GMAB

Discounted cash flow

Lapse rates
Volatility rates - Equity

0.5% - 11.0%
7.0% - 32.0%

______________


(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, 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 benchmark

15 - 580 bps

104 bps

881

Market comparable companies

EBITDA multiples
Discount rate
Cash flow multiples

4.1x - 37.8x
6.4% - 16.5%
1.8x - 18.0x

12.1x
10.7%
11.4x

Separate Accounts assets

352

Third party appraisal

Capitalization rate
Exit capitalization rate
Discount rate

4.4%
5.6%
6.5%

Discounted cash flow

Spread over U.S. Treasury curve
Discount factor

248 bps
5.1%

GMIB reinsurance contract asset

1,991

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% - 6.27%
0.0% - 8.0%
0.0% - 16.0%
74 - 159 bps
10.0% - 34.0%

0.01% - 0.18%
0.07% - 0.54%
0.42% - 42.0%

Liabilities:

GMIBNLG

5,341

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates

Annuitization rates

Mortality rates (1):

Ages 0 - 40

Ages 41 - 60

Ages 60 - 115

189 bps
0.8% - 26.2%
0.0% - 12.1%
0.0% - 100.0%

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

0.5% - 5.7%
0.0% - 7.0%
100% after delay
10.0% - 34.0%

GIB

(48

)

Discounted cash flow

Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

0.5% - 5.7%
0.0% - 8.0%
0.0% - 16.0%
10.0% - 34.0%

GMAB

Discounted cash flow

Lapse rates
Volatility rates - Equity

1.0% - 5.7%
10.0% - 34.0%

______________


(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.

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at March 31, 2019 and December 31, 2018 for financial instruments not otherwise disclosed in Notes 3 and 4 are presented in the table below.



	Carrying Value		Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2019:
Mortgage loans on real estate	$	12,100	$	—	$	—	$	12,002	$	12,002
FHLBNY Funding Agreements	$	4,001	$	—	$	4,011	$	—	$	4,011
Policy loans	$	3,253	$	—	$	—	$	4,064	$	4,064
Loans to affiliates	$	600	$	—	$	610	$	—	$	610
Policyholders’ liabilities: Investment contracts	$	1,983	$	—	$	—	$	2,094	$	2,094
Separate Accounts liabilities	$	8,173	$	—	$	—	$	8,173	$	8,173

December 31, 2018:
Mortgage loans on real estate	$	11,818	$	—	$	—	$	11,478	$	11,478
FHLBNY Funding Agreements	$	4,002	$	—	$	3,956	$	—	$	3,956
Policy loans	$	3,267	$	—	$	—	$	3,944	$	3,944
Loans to affiliates	$	600	$	—	$	603	$	—	$	603
Policyholders’ liabilities: Investment contracts	$	1,974	$	—	$	—	$	2,015	$	2,015
Loans from affiliates	$	572	$	—	$	572	$	—	$	572
Separate Accounts liabilities	$	7,406	$	—	$	—	$	7,406	$	7,406