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FAIR VALUE DISCLOSURES (Tables)

6 Months Ended

Jun. 30, 2020

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 June 30, 2020 and December 31, 2019, 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 impairment or other event occurs. When such fair value measurements are recorded, they must be classified and disclosed within the fair value hierarchy.

Fair Value Measurements at June 30, 2020


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	47,978	$	1,652	$	49,630
U.S. Treasury, government and agency	—		17,193		—		17,193
States and political subdivisions	—		672		40		712
Foreign governments	—		833		—		833
Residential mortgage-backed (2)	—		158		—		158
Asset-backed (3)	—		2,039		—		2,039
Commercial mortgage-backed	—		879		—		879
Redeemable preferred stock	315		63		—		378
Total fixed maturities, AFS	315		69,815		1,692		71,822
Other equity investments	12		—		1		13
Trading securities	282		5,859		—		6,141
Other invested assets:
Short-term investments	—		227		—		227
Assets of consolidated VIEs/VOEs	—		—		15		15
Swaps	—		1,655		—		1,655
Credit default swaps	—		6		—		6
Options	—		1,891		—		1,891
Total other invested assets	—		3,779		15		3,794
Cash equivalents	3,784		—		—		3,784
GMIB reinsurance contracts asset	—		—		3,433		3,433
Separate Accounts assets (4)	113,420		2,792		—		116,212
Total Assets	$	117,813	$	82,245	$	5,141	$	205,199

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	12,382	$	12,382
SCS, SIO, MSO and IUL indexed features’ liability	—		1,690		—		1,690
Total Liabilities	$	—	$	1,690	$	12,382	$	14,072

______________

(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.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate and commercial mortgages. At June 30, 2020 the fair value of such investments was $363 million.

Fair Value Measurements at December 31, 2019


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	43,218	$	1,246	$	44,464
U.S. Treasury, government and agency	—		15,231		—		15,231
States and political subdivisions	—		610		39		649
Foreign governments	—		490		—		490
Residential mortgage-backed (2)	—		173		—		173
Asset-backed (3)	—		744		100		844
Redeemable preferred stock	237		274		—		511
Total fixed maturities, AFS	237		60,740		1,385		62,362
Other equity investments	13		—		—		13
Trading securities	321		6,277		—		6,598
Other invested assets:
Short-term investments	—		468		—		468
Assets of consolidated VIEs/VOEs	—		—		16		16
Swaps	—		(326)		—		(326)
Credit default swaps	—		18		—		18
Options	—		3,331		—		3,331
Total other invested assets	—		3,491		16		3,507
Cash equivalents	1,155		—		—		1,155
GMIB reinsurance contracts asset	—		—		2,466		2,466
Separate Accounts assets (4)	121,184		2,878		—		124,062
Total Assets	$	122,910	$	73,386	$	3,867	$	200,163

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	8,246	$	8,246
SCS, SIO, MSO and IUL indexed features’ liability	—		3,150		—		3,150
Total Liabilities	$	—	$	3,150	$	8,246	$	11,396

______________

(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.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate and commercial mortgages. At December 31, 2019 the fair value of such investments was $356 million.

Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities for the three and six months ended June 30, 2020 and 2019, respectively.

Level 3 Instruments - Fair Value Measurements


	Corporate		State and Political Subdivisions		Asset-backed
	(in millions)
Balance, April 1, 2020	$	1,174	$	36	$	40
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—
Investment gains (losses), net	(11)		—		—
Subtotal	(10)		—		—
Other comprehensive income (loss)	6		5		8
Purchases	284		—		(48)
Sales	(44)		(1)		—
Transfers into Level 3 (1)	219		—		—
Transfers out of Level 3 (1)	23		—		—
Balance, June 30, 2020	$	1,652	$	40	$	—

Balance, April 1, 2019	$	1,169	$	39	$	534
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	2		—		—
Investment gains (losses), net	—		—		—
Subtotal	2		—		—
Other comprehensive income (loss)	1		1		1
Purchases	151		—		(1)
Sales	(26)		(1)		—
Transfers into Level 3 (1)	(3)		—		—
Transfers out of Level 3 (1)	(4)		—		—
Balance, June 30, 2019	$	1,290	$	39	$	534

______________

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


	Corporate		State and Political Subdivisions		Asset-backed
	(in millions)
Balance, January 1, 2020	$	1,246	$	39	$	100
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	2		—		—
Investment gains (losses), net	(13)		—		—
Subtotal	(11)		—		—


	Corporate		State and Political Subdivisions		Asset-backed
	(in millions)
Other comprehensive income (loss)	(54)		2		—
Purchases	345		—		—
Sales	(90)		(1)		—
Transfers into Level 3 (1)	219		—		—
Transfers out of Level 3 (1)	(3)		—		(100)
Balance, June 30, 2020	$	1,652	$	40	$	—

Balance, January 1, 2019	$	1,174	$	38	$	519
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	3		—		—
Investment gains (losses), net	—		—		—
Subtotal	3		—		—
Other comprehensive income (loss)	10		2		5
Purchases	221		—		10
Sales	(59)		(1)		—
Transfers into Level 3 (1)	14		—		—
Transfers out of Level 3 (1)	(73)		—		—
Balance, June 30, 2019	$	1,290	$	39	$	534

______________

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


	Other Equity Investments		GMIB Reinsurance Contract Asset		Separate Accounts Assets		GMxB Derivative Features Liability
	(in millions)
Balance, April 1, 2020	$	15	$	3,305	$	—	$	(9,509)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses), excluding non-performance risk	—		(139)		—		(370)
Non-performance risk (1)	—		272		—		(2,411)
Total realized and unrealized gains (losses)	—		133		—		(2,781)
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	1		12		—		(107)
Sales (3)	—		(17)		—		15
Settlements	—		—		—		—
Change in estimate (4)	—		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—
Balance, June 30, 2020	$	16	$	3,433	$	—	$	(12,382)

Balance, April 1, 2019	$	18	$	2,009	$	23	$	(5,944)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses), excluding non-performance risk	—		178		—		(707)
Non-performance risk (1)	—		12		—		—
Total realized and unrealized gains (losses)	—		190		—		(707)
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	—		11		3		(103)
Sales (3)	—		(14)		—		5
Settlements	—		—		(2)		—
Activity related to consolidated VIEs/VOEs	(2)		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—
Balance, June 30, 2019	$	16	$	2,196	$	24	$	(6,749)

______________

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

(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 the GMIB reinsurance contract asset, represents a transfer from amounts due from reinsurers.

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


	Other Equity Investments		GMIB Reinsurance Contract Asset		Separate Accounts Assets		GMxB Derivative Features Liability
	(in millions)
Balance, January 1, 2020	$	16	$	2,466	$	—	$	(8,246)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses), excluding non-performance risk	—		1,082		—		(4,440)
Non-performance risk (1)	—		(56)		—		494
Total realized and unrealized gains (losses)	—		1,026		—		(3,946)
Other comprehensive income (loss)	—
Purchases (2)	1		23		—		(215)
Sales (3)	—		(37)		—		25
Settlements	—		—		—		—
Change in estimate (4)	—		(45)		—		—
Activity related to consolidated VIEs/VOEs	(1)		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—
Balance, June 30, 2020	$	16	$	3,433	$	—	$	(12,382)

Balance, January 1, 2019	$	48	$	1,991	$	21	$	(5,431)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses), excluding non-performance risk	—		165		—		(656)
Non-performance risk (1)	—		52		—		(460)
Total realized and unrealized gains (losses)	—		217		—		(1,116)
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	—		23		8		(210)
Sales (3)	—		(35)		—		8
Settlements	—		—		(3)		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—
Transfers into Level 3(5)	—		—		—		—
Transfers out of Level 3 (5)	(29)		—		(1)		—
Balance, June 30, 2019	$	16	$	2,196	$	25	$	(6,749)

______________

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

(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 the GMIB reinsurance contract asset, represents a transfer from amounts due from reinsurers.

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

The table below details changes in unrealized gains (losses) for the six months ended June 30, 2020 and 2019 by category for Level 3 assets and liabilities still held at June 30, 2020 and 2019, respectively.

Change in Unrealized Gains (Losses) for Level 3 Instruments


	Net Income (Loss)
	Net Derivative Gains (Losses)		OCI
	(in millions)
Held at June 30, 2020:
Change in unrealized gains (losses):
Fixed maturities, AFS:
Corporate	$	—	$	(54)
State and political subdivisions	—		2


Total fixed maturities, AFS	—		(52)
GMIB reinsurance contracts	1,026		—

GMxB derivative features liability	(3,946)		—
Total	$	(2,920)	$	(52)

Held at June 30, 2019:
Change in unrealized gains (losses):
Fixed maturities, AFS:
Corporate	$	—	$	10
State and political subdivisions	—		2

Asset-backed	—		5
Total fixed maturities, AFS	—		17
GMIB reinsurance contracts	217		—

GMxB derivative features liability	(1,116)		—
Total	$	(899)	$	17

Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities at June 30, 2020 and December 31, 2019, respectively.

Quantitative Information about Level 3 Fair Value Measurements at June 30, 2020

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

237

Matrix pricing
model

Spread over Benchmark

0 - 580 bps

34 bps

1,062

Market
comparable
companies

EBITDA multiples
Discount rate
Cash flow multiples

3.7x - 33.6x
6.2% - 23.4%
0.9x - 25.0x

14.0x
10.2%
11.1x

GMIB reinsurance contract asset

3,433

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity
Mortality Rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 61 - 115

55 - 144 bps
0.8%-10%
0%-8%
0%-49%
14%-34%

0.01%-0.18%
0.07%-0.54%
0.42%-42.20%

73 bps
1.55%
1.11%
6.20%
24%

All ages 2.76%

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Liabilities:

GMIBNLG

12,081

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Annuitization rates
Mortality Rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 61 - 115

166.0 bps
0.8%-19.9%
0.3%-11%
0%-100%

0.01%-0.19%
0.06%-0.53%
0.41%-41.39%

2.59%
1.17%
6.19%

All ages 1.38%

GWBL/GMWB

167

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

166.0 bps
0.8%-10%
0%-7%
100% once starting
14%-34%

1.55%
1.11%

24.08%

GIB

124

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

166.0 bps
1.2%-19.9%
0%-8%
0%-100%
14%-34%

1.55%
1.11%
6.20%
24%

GMAB

Discounted cash flow

Non-performance risk
Lapse rates
Volatility rates - Equity

166.0 bps
1%-10%
14%-34%

1.55%
24%

______________

(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.

(2)For Lapses, Withdrawals, and Utilizations the rates were weighted by counts, for Mortality weighted average rates are shown for all ages combined and for Withdrawals the weighted averages were based on an estimated split of partial withdrawal and dollar-for-dollar withdrawals.

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

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

Matrix pricing model

Spread over benchmark

65 - 580 bps

186 bps

1,025

Market comparable companies

EBITDA multiples
Discount rate
Cash flow multiples

3.3x - 56.7x
3.9% - 16.5%
0.8x - 48.1x

14.3x
10.0%
10.7x

GMIB reinsurance contract asset

2,466

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity
Mortality rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 60 - 115

55 - 109 bps
0.8% - 10%
0.0% - 8.0%
0.0% - 49.0%
9.0% - 30.0%

0.01% - 0.18%
0.07% - 0.54%
0.42% - 42.20%

Liabilities:

GMIBNLG

8,128

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Annuitization rates

Mortality rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 60 - 115

124 bps
0.8% - 19.9%
0.3% - 11.0%
0.0% - 100.0%

0.01% - 0.19%
0.06% - 0.53%
0.41% - 41.39%

GWBL/GMWB

109

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

124 bps
0.8% - 10.0%
0.0% - 7.0%
100% after starting
9.0% - 30.0%

GIB

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Utilization rates
Volatility rates - Equity

124 bps
1.2% - 19.9%
0.0% - 8.0%
0.0% - 100.0%
9.0% - 30.0%

GMAB

Discounted cash flow

Lapse rates
Volatility rates - Equity

1.0% - 10.0%
9.0% - 30.0%

______________

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values at June 30, 2020 and December 31, 2019 for financial instruments not otherwise disclosed in Note 3 and Note 4 are presented in the table below.

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
					Level 1		Level 2		Level 3		Total
	(in millions)
June 30, 2020:
Mortgage loans on real estate	$	12,506	$	—	$	—	$	12,572	$	12,572
Policy loans	$	3,225	$	—	$	—	$	4,390	$	4,390
Loans to affiliates	$	1,200	$	—	$	1,245	$	—	$	1,245
Policyholders’ liabilities: Investment contracts	$	2,047	$	—	$	—	$	2,293	$	2,293
FHLBNY funding agreements (1)	$	6,700	$	—	$	6,793	$	—	$	6,793
Separate Accounts liabilities	$	8,445	$	—	$	—	$	8,445	$	8,445

December 31, 2019:
Mortgage loans on real estate	$	12,090	$	—	$	—	$	12,317	$	12,317
Policy loans	$	3,270	$	—	$	—	$	4,199	$	4,199
Loans to affiliates	$	1,200	$	—	$	1,224	$	—	$	1,224
Policyholders’ liabilities: Investment contracts	$	1,922	$	—	$	—	$	2,029	$	2,029
FHLBNY funding agreements (1)	$	6,909	$	—	$	6,957	$	—	$	6,957
Separate Accounts liabilities	$	9,041	$	—	$	—	$	9,041	$	9,041

______________

(1)Federal Home Loan Bank of New York (“FHLBNY”)