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FAIR VALUE DISCLOSURES (Tables)

9 Months Ended

Sep. 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 September 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 September 30, 2020


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	50,040	$	1,479	$	51,519
U.S. Treasury, government and agency	—		17,284		—		17,284
States and political subdivisions	—		776		39		815
Foreign governments	—		902		—		902
Residential mortgage-backed (2)	—		145		—		145
Asset-backed (3)	—		2,578		13		2,591
Commercial mortgage-backed	—		1,117		—		1,117
Redeemable preferred stock	367		74		—		441
Total fixed maturities, AFS	367		72,916		1,531		74,814
Other equity investments	20		—		4		24
Trading securities	258		5,529		—		5,787
Other invested assets:
Short-term investments	—		106		—		106
Assets of consolidated VIEs/VOEs	—		—		12		12
Swaps	—		1,367		—		1,367
Credit default swaps	—		5		—		5
Options	—		2,752		—		2,752
Total other invested assets	—		4,230		12		4,242
Cash equivalents	2,488		1,031		—		3,519
GMIB reinsurance contracts asset	—		—		3,247		3,247
Separate Accounts assets (4)	118,085		2,424		—		120,509
Total Assets	$	121,218	$	86,130	$	4,794	$	212,142

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	11,985	$	11,985
SCS, SIO, MSO and IUL indexed features’ liability	—		2,502		—		2,502
Total Liabilities	$	—	$	2,502	$	11,985	$	14,487

______________

(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 September 30, 2020 the fair value of such investments was $356 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	$	—	$	—	$	8,316	$	8,316
SCS, SIO, MSO and IUL indexed features’ liability	—		3,150		—		3,150
Total Liabilities	$	—	$	3,150	$	8,316	$	11,466

______________

(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 nine months ended September 30, 2020 and 2019, respectively.

Level 3 Instruments - Fair Value Measurements


	Corporate		State and Political Subdivisions		Asset-backed
	(in millions)
Balance, July 1, 2020	$	1,652	$	40	$	—
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	—		—		—
Investment gains (losses), net	(1)		—		—
Subtotal	(1)		—		—
Other comprehensive income (loss)	18		(1)		—
Purchases	(138)		—		13
Sales	(22)		—		—
Transfers into Level 3 (1)	(30)		—		—
Transfers out of Level 3 (1)	—		—		—
Balance, September 30, 2020	$	1,479	$	39	$	13

Balance, July 1, 2019	$	1,290	$	39	$	534
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	—		—		—
Investment gains (losses), net	—		—		—
Subtotal	—		—		—
Other comprehensive income (loss)	(7)		1		—
Purchases	(2)		—		71
Sales	(42)		(1)		(73)
Transfers into Level 3 (1)	—		—		—
Transfers out of Level 3 (1)	(31)		—		—
Balance, September 30, 2019	$	1,208	$	39	$	532

______________

(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	(14)		—		—
Subtotal	(12)		—		—


	Corporate		State and Political Subdivisions		Asset-backed
	(in millions)
Other comprehensive income (loss)	(36)		1		—
Purchases	207		—		13
Sales	(112)		(1)		—
Transfers into Level 3 (1)	189		—		—
Transfers out of Level 3 (1)	(3)		—		(100)
Balance, September 30, 2020	$	1,479	$	39	$	13

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)	3		3		5
Purchases	219		—		81
Sales	(101)		(2)		(73)
Transfers into Level 3 (1)	14		—		—
Transfers out of Level 3 (1)	(104)		—		—
Balance, September 30, 2019	$	1,208	$	39	$	532

______________

(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, July 1, 2020	$	16	$	3,433	$	—	$	(12,458)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses) (1)	—		(177)		—		570
Total realized and unrealized gains (losses)	—		(177)		—		570
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	3		11		—		(113)
Sales (3)	—		(21)		—		16
Change in estimate (4)	—		1		—		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—
Balance, September 30, 2020	$	16	$	3,247	$	—	$	(11,985)

Balance, July 1, 2019	$	16	$	2,198	$	25	$	(6,813)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses)	—		664		—		(2,535)
Total realized and unrealized gains (losses)	—		664		—		(2,535)
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	—		11		(5)		(100)


Sales (3)	—		(20)		(1)		12
Settlements	—		—		(1)		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		(11)		—
Balance, September 30, 2019	$	16	$	2,853	$	7	$	(9,436)

______________

(1)The Company’s nonperformance risk impact of ($458) million for the GMxB derivative features liability and $6 million for the GMIB reinsurance contract asset the three months ended September 2020, respectively, 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	$	—	$	(8,316)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses) (1)	—		849		—		(3,382)
Total realized and unrealized gains (losses)	—		849		—		(3,382)
Other comprehensive income (loss)	—
Purchases (2)	4		34		—		(328)
Sales (3)	—		(58)		—		41
Settlements	—		—		—		—
Change in estimate (4)	—		(44)		—		—
Activity related to consolidated VIEs/VOEs	(4)		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	—		—		—		—
Balance, September 30, 2020	$	16	$	3,247	$	—	$	(11,985)

Balance, January 1, 2019	$	48	$	1,993	$	21	$	(5,491)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—
Net derivative gains (losses)	—		881		—		(3,656)
Total realized and unrealized gains (losses)	—		881		—		(3,656)
Other comprehensive income (loss)	—		—		—		—
Purchases (2)	—		34		3		(309)
Sales (3)	—		(55)		(1)		20
Settlements	—		—		(4)		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—
Transfers into Level 3 (5)	—		—		—		—
Transfers out of Level 3 (5)	(29)		—		(12)		—
Balance, September 30, 2019	$	16	$	2,853	$	7	$	(9,436)

______________

(1)The Company’s nonperformance risk impact of $35 million for the GMxB derivative features liability and ($50) million for the GMIB reinsurance contract asset the nine months ended September 2020, respectively, 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 nine months ended September 30, 2020 and 2019 by category for Level 3 assets and liabilities still held at September 30, 2020 and 2019, respectively.

Change in Unrealized Gains (Losses) for Level 3 Instruments


	Net Income (Loss)
	Investment Gains (Losses), Net		Net Derivative Gains (Losses)		OCI
	(in millions)
Held at September 30, 2020:
Change in unrealized gains (losses):
Fixed maturities, AFS:
Corporate	$	—	$	—	$	(37)
State and political subdivisions	—		—		2


Total fixed maturities, AFS	—		—		(35)
GMIB reinsurance contracts	—		849		—

GMxB derivative features liability	—		(3,382)		—
Total	$	—	$	(2,533)	$	(35)

Held at September 30, 2019:
Change in unrealized gains (losses):
Fixed maturities, AFS:
Corporate	$	—	$	—	$	3
State and political subdivisions	—		—		3

Asset-backed	—		—		4
Total fixed maturities, AFS	—		—		10
GMIB reinsurance contracts	—		881		—
Separate Account assets	(14)		—		—
GMxB derivative features liability	—		(3,656)		—
Total	$	(14)	$	(2,775)	$	10

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 September 30, 2020 and December 31, 2019, respectively.

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

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

Matrix pricing
model

Spread over Benchmark

270 - 610 bps

288 bps

1,105

Market
comparable
companies

EBITDA multiples
Discount rate
Cash flow multiples

3.5x-31.8x
5.1% - 25.4%
0.9x -25.0x

14.4x
10.0%
10.7x

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Other equity investments

Market comparable companies

Revenue multiple

3.5x - 18.0x

9.5x

GMIB reinsurance contract asset

3,247

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

60 - 125 bps
0.6%-16%
0%-2%
0%-61%
16%-34%

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

72 bps
1.56%
0.96%
6.37%
25%

2.72%
(same for all ages)
(same for all ages)

Liabilities:

GMIBNLG

11,682

Discounted cash flow

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

141.0 bps
1.1%-25.7%
0.4%-2%
0%-100%

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

3.06%
0.96%
5.92%

1.48%
(same for all ages)
(same for all ages)

GWBL/GMWB

220

Discounted cash flow

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

141.0 bps
0.8%-16%
0%-8%
100% once starting
16%-34%

1.56%
0.96%

24.57%

GIB

Discounted cash flow

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

141.0 bps
0.8%-15.6%
0%-2%
0%-100%
16%-34%

1.56%
0.96%
6.37%
25%

GMAB

Discounted cash flow

Non-performance risk
Lapse rates
Volatility rates - Equity

141.0 bps
0.8%-16%
16%-34%

1.56%
25%

______________

(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

8,135

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

172

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 September 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)
September 30, 2020:
Mortgage loans on real estate	$	12,785	$	—	$	—	$	13,032	$	13,032
Policy loans	$	3,647	$	—	$	—	$	4,726	$	4,726
Loans to affiliates	$	1,200	$	—	$	1,241	$	—	$	1,241
Policyholders’ liabilities: Investment contracts	$	2,063	$	—	$	—	$	2,280	$	2,280
FHLB funding agreements (1)	$	6,848	$	—	$	6,940	$	—	$	6,940
FABN funding agreements (2)	$	1,143	$	—	$	1,168	$	—	$	1,168
Separate Accounts liabilities	$	9,000	$	—	$	—	$	9,000	$	9,000

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
FHLB 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 (“FHLB”)

(2)Funding Agreement Backed Notes Program (“FABN”)

(3)Excludes amounts reclassified as Held-for-Sale.