XML 24 R13.htm IDEA: XBRL DOCUMENT

Fair Value of Assets and Liabilities

3 Months Ended

Mar. 31, 2021

FAIR VALUE OF ASSETS AND LIABILITIES

Fair Value Measurement—Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows:

Level 1—Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities.

Level 2—Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs.

Level 3—Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value.

For a discussion of Company’s valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 6 to the Consolidated Financial Statements included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2020.

Assets and Liabilities by Hierarchy Level—The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.


	As of March 31, 2021
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in millions)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	27,478	$	150	$		$	27,628
Obligations of U.S. states and their political subdivisions	0		12,085		4				12,089
Foreign government bonds	0		102,473		11				102,484
U.S. corporate public securities	0		105,911		64				105,975
U.S. corporate private securities(2)	0		37,146		2,202				39,348
Foreign corporate public securities	0		28,296		144				28,440
Foreign corporate private securities	0		27,612		2,867				30,479
Asset-backed securities(3)	0		12,926		709				13,635
Commercial mortgage-backed securities	0		15,415		10				15,425
Residential mortgage-backed securities	0		2,982		111				3,093
Subtotal	0		372,324		6,272				378,596
Assets supporting experience-rated contractholder liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	0		209		0				209
Obligations of U.S. states and their political subdivisions	0		213		0				213
Foreign government bonds	0		977		19				996
Corporate securities	0		14,592		538				15,130
Asset-backed securities(3)	0		1,847		219				2,066
Commercial mortgage-backed securities	0		1,773		0				1,773
Residential mortgage-backed securities	0		915		0				915
Equity securities	911		1,385		0				2,296
All other(4)	0		378		20				398
Subtotal	911		22,289		796				23,996
Fixed maturities, trading	0		5,960		242				6,202
Equity securities	6,370		1,250		728				8,348
Commercial mortgage and other loans	0		500		0				500
Other invested assets(5)	99		14,280		378		(12,532)		2,225
Short-term investments	409		3,499		396				4,304
Cash equivalents	1,640		5,357		4				7,001
Other assets	0		0		144				144
Separate account assets(6)(7)	54,579		247,020		1,306				302,905
Total assets	$	64,008	$	672,479	$	10,266	$	(12,532)	$	734,221
Future policy benefits(8)	$	0	$	0	$	11,314	$		$	11,314
Policyholders’ account balances	0		0		2,171				2,171
Other liabilities	85		19,851		0		(18,781)		1,155
Notes issued by consolidated VIEs	0		0		0				0
Total liabilities	$	85	$	19,851	$	13,485	$	(18,781)	$	14,640


	As of December 31, 2020
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in millions)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	40,298	$	150	$		$	40,448
Obligations of U.S. states and their political subdivisions	0		12,807		4				12,811
Foreign government bonds	0		110,233		11				110,244
U.S. corporate public securities	0		113,486		69				113,555
U.S. corporate private securities(2)	0		38,689		2,248				40,937
Foreign corporate public securities	0		29,384		153				29,537
Foreign corporate private securities	0		28,727		2,865				31,592
Asset-backed securities(3)	0		14,068		523				14,591
Commercial mortgage-backed securities	0		16,294		9				16,303
Residential mortgage-backed securities	0		2,876		11				2,887
Subtotal	0		406,862		6,043				412,905
Assets supporting experience-rated contractholder liabilities:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	0		212		0				212
Obligations of U.S. states and their political subdivisions	0		231		0				231
Foreign government bonds	0		926		19				945
Corporate securities	0		14,990		482				15,472
Asset-backed securities(3)	0		1,583		114				1,697
Commercial mortgage-backed securities	0		1,839		0				1,839
Residential mortgage-backed securities	0		1,018		0				1,018
Equity securities	1,784		259		0				2,043
All other(4)	50		549		20				619
Subtotal	1,834		21,607		635				24,076
Fixed maturities, trading	0		3,671		243				3,914
Equity securities	6,207		1,131		660				7,998
Commercial mortgage and other loans	0		1,092		0				1,092
Other invested assets(5)	227		23,045		366		(21,367)		2,271
Short-term investments	405		5,728		177				6,310
Cash equivalents	1,476		4,005		1				5,482
Other assets	0		0		268				268
Separate account assets(6)(7)	51,826		250,623		1,821				304,270
Total assets	$	61,975	$	717,764	$	10,214	$	(21,367)	$	768,586
Future policy benefits(8)	$	0	$	0	$	18,879	$		$	18,879
Policyholders’ account balances	0		0		1,914				1,914
Other liabilities	32		17,828		0		(17,475)		385
Notes issued by consolidated VIEs	0		0		0				0
Total liabilities	$	32	$	17,828	$	20,793	$	(17,475)	$	21,178

__________

(1)“Netting” amounts represent cash collateral of $(6,249) million and $3,892 million as of March 31, 2021 and December 31, 2020, respectively.

(2)Excludes notes with fair value of $5,774 million (carrying amount of $5,766 million) and $6,100 million (carrying amount of $5,966 million) as of March 31, 2021 and December 31, 2020, respectively, which have been offset with the associated payables under a netting agreement.

(3)Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.

(4)All other represents cash equivalents and short-term investments.

(5)Other invested assets excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value (“NAV”) per share (or its equivalent) as a practical expedient. As of March 31, 2021 and December 31, 2020, the fair values of such investments were $4,379 million and $4,136 million respectively.

(6)Separate account 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, hedge funds and other invested assets. As of March 31, 2021 and December 31, 2020, the fair value of such investments was $23,538 million and $23,007 million, respectively.

(7)Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Unaudited Interim Consolidated Statements of Financial Position.

(8)As of March 31, 2021, the net embedded derivative liability position of $11.3 billion includes $0.8 billion of embedded derivatives in an asset position and $12.1 billion of embedded derivatives in a liability position. As of December 31, 2020, the net embedded derivative liability position of $18.9 billion includes $0.5 billion of embedded derivatives in an asset position and $19.4 billion of embedded derivatives in a liability position.

Quantitative Information Regarding Internally-Priced Level 3 Assets and Liabilities—The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.

As of March 31, 2021

Fair Value

Valuation
Techniques

Unobservable Inputs

Minimum

Maximum

Weighted
Average

Impact of
Increase in
Input on
Fair
Value(1)

(in millions)

Assets:

Corporate securities(2)(3)

4,486

Discounted
cash flow(5)

Discount rate

0.40%

30%

4.90%

Decrease

Market comparables

EBITDA multiples(4)

7.3X

15.0X

10.4X

Increase

Liquidation

Liquidation value

12.86%

71.23%

58.29%

Increase

Equity securities

236

Discounted
cash flow(5)

Discount rate

0.5%

20%

Decrease

Market comparables

EBITDA multiples(4)

0.1X

7.3X

0.9X

Increase

Net Asset Value

Share price

$12

$1,414

$472

Increase

Separate account assets-commercial mortgage loans(6)

162

Discounted
cash flow

Spread

1.10%

2.27%

1.25%

Decrease

Liabilities:

Future policy benefits(7)

11,314

Discounted
cash flow

Lapse rate(9)

20%

Decrease

Spread over LIBOR(10)

0.09%

1.14%

Decrease

Utilization rate(11)

39%

96%

Increase

Withdrawal rate

See table footnote (12) below.

Mortality rate(13)

15%

Decrease

Equity volatility curve

17%

25%

Increase

Policyholders’ account balances(8)

2,171

Discounted
cash flow

Lapse rate(9)

42%

Decrease

Spread over LIBOR(10)

0.09%

1.14%

Decrease

Mortality rate(13)

24%

Decrease

Equity volatility curve

42%

Increase

As of December 31, 2020

Fair Value

Valuation
Techniques

Unobservable Inputs

Minimum

Maximum

Weighted
Average

Impact of
Increase in
Input on
Fair
Value(1)

(in millions)

Assets:

Corporate securities(2)(3)

3,697

Discounted
cash flow(5)

Discount rate

0.40%

25%

4.28%

Decrease

Market comparables

EBITDA multiples(4)

7.0X

15.0X

9.0X

Increase

Liquidation

Liquidation value

12.13%

15.00%

13.02%

Increase

Equity securities

195

Discounted
cash flow(5)

Discount rate

0.5%

20%

Decrease

Market comparables

EBITDA multiples(4)

8.8X

3.3X

Increase

Net Asset Value

Share price

$1,414

$495

Increase

Separate account assets-commercial mortgage loans(6)

775

Discounted
cash flow

Spread

1.60%

2.98%

1.80%

Decrease

Liabilities:

Future policy benefits(7)

18,879

Discounted
cash flow

Lapse rate(9)

20%

Decrease

Spread over LIBOR(10)

0.06%

1.17%

Decrease

Utilization rate(11)

39%

96%

Increase

Withdrawal rate

See table footnote (12) below.

Mortality rate(13)

15%

Decrease

Equity volatility curve

18%

26%

Increase

Policyholders’ account balances(8)

1,914

Discounted
cash flow

Lapse rate(9)

42%

Decrease

Spread over LIBOR(10)

0.06%

1.17%

Decrease

Mortality rate(13)

24%

Decrease

Equity volatility curve

42%

Increase

__________

(1)Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.

(2)Includes assets classified as fixed maturities available-for-sale, assets supporting experience-rated contractholder liabilities and fixed maturities trading.

(3)Excludes notes which have been offset with the associated payables under a netting agreement.

(4)Represents multiples of earnings before interest, taxes, depreciation and amortization (“EBITDA”), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.

(5)For these investments, a range of discount rates is typically used (10% to 20%) and is therefore a more meaningful representation of the unobservable inputs used in the valuation rather than weighted average.

(6)Changes in the fair value of separate account assets are borne by customers and thus are offset by changes in separate account liabilities on the Company’s Unaudited Interim Consolidated Statements of Financial Position. As a result, changes in value associated with these investments are not reflected in the Company’s Unaudited Interim Consolidated Statements of Operations.

(7)Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(8)Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life and annuity products that are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(9)Lapse rates for contracts with living benefit guarantees are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(10)The spread over the London Inter-Bank Offered Rate (“LIBOR”) swap curve represents the premium added to the proxy for the risk-free rate (LIBOR) to reflect the Company’s estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(11)The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

(12)The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of March 31, 2021 and December 31, 2020, the minimum withdrawal rate assumption is 76% and the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(13)The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

Interrelationships Between Unobservable Inputs—In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another or multiple inputs. Examples of such interrelationships for significant internally-priced Level 3 assets and liabilities are as follows:

Corporate Securities—The rate used to discount future cash flows reflects current risk-free rates plus credit and liquidity spread requirements that market participants would use to value an asset. The discount rate may be influenced by many factors, including market cycles, expectations of default, collateral, term, and asset complexity. Each of these factors can influence discount rates, either in isolation, or in response to other factors. During weaker economic cycles, as the expectations of default increases, credit spreads widen, which results in a decrease in fair value.

Asset-Backed Securities—Interrelationships may exist between the prepayment rate, the default rate and/or loss severity, depending on specific market conditions. In stronger economic cycles, prepayment rates are generally driven by overall market interest rates and accompanied by lower default rates and loss severity. During weaker economic cycles, prepayments may decline, as default rates and loss severity increase. Additionally, the impact of these factors on average life varies with the structure and subordination. Generally, a change in the assumption used for the probability of default would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

Future Policy Benefits—The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is highly dependent on the facts and circumstances surrounding the individual contractholder, such as their liquidity needs or tax situation, which could drive lapse behavior independent of other contractholder behavior assumptions. To the extent that more efficient contractholder behavior results in greater in-the-moneyness at the contract level, lapse rates may decline for those contracts. Similarly, to the extent that increases in equity volatility are correlated with overall declines in the capital markets, lapse rates may decline as contracts become more in-the-money.

Changes in Level 3 Assets and Liabilities—The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods. When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.


	Three Months Ended March 31, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	150	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	150	$	0
U.S. states	4		0		0		0		0		0		0		0		0		4		0
Foreign government	11		0		0		0		0		0		0		0		0		11		0
Corporate securities(3)	5,335		(345)		243		0		0		(177)		2		219		0		5,277		(361)
Structured securities(4)	543		19		219		0		0		(74)		12		311		(200)		830		19
Assets supporting experience-rated contractholder liabilities:
Foreign government	19		0		0		0		0		0		0		0		0		19		0
Corporate securities(3)	482		(7)		14		0		0		(19)		0		68		0		538		(14)
Structured securities(4)	114		(3)		137		0		0		(11)		0		0		(18)		219		(3)
Equity securities	0		0		0		0		0		0		0		0		0		0		0
All other activity	20		0		0		0		0		0		0		0		0		20		0
Other assets:
Fixed maturities, trading	243		0		1		(2)		0		0		0		0		0		242		0
Equity securities	660		38		58		(3)		0		(3)		(22)		0		0		728		35
Other invested assets	366		12		0		0		0		0		0		0		0		378		13
Short-term investments	177		(1)		256		0		0		(10)		(26)		0		0		396		(1)
Cash equivalents	1		0		3		0		0		0		0		0		0		4		0
Other assets	268		(133)		12		0		0		(3)		0		0		0		144		(133)
Separate account assets(5)	1,821		43		68		(13)		0		(6)		(615)		22		(14)		1,306		36
Liabilities:
Future policy benefits	(18,879)		7,896		0		0		(331)		0		0		0		0		(11,314)		7,681
Policyholders’ account balances(6)	(1,914)		(135)		0		0		(122)		0		0		0		0		(2,171)		(99)
Other liabilities	0		0		0		0		0		0		0		0		0		0		0
Notes issued by consolidated VIEs	0		0		0		0		0		0		0		0		0		0		0


	Three Months Ended March 31, 2021
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders’ account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders’ account balances		Included in other comprehensive income (loss)
	(in millions)
Fixed maturities, available-for-sale	$	(28)	$	0	$	0	$	(300)	$	2	$	(41)	$	0	$	0	$	(301)
Assets supporting experience-rated contractholder liabilities	0		(12)		0		0		2		0		(17)		0		0
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		38		0		0		0		0		35		0		0
Other invested assets	11		1		0		0		0		12		1		0		0
Short-term investments	(1)		0		0		0		0		(1)		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	(133)		0		0		0		0		(133)		0		0		0
Separate account assets(5)	0		0		43		0		0		0		0		36		0
Liabilities:
Future policy benefits	7,896		0		0		0		0		7,681		0		0		0
Policyholders’ account balances	(135)		0		0		0		0		(99)		0		0		0
Other liabilities	0		0		0		0		0		0		0		0		0
Notes issued by consolidated VIEs	0		0		0		0		0		0		0		0		0


	Three Months Ended March 31, 2020
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	105	$	0	$	10	$	0	$	0	$	0	$	0	$	0	$	0	$	115	$	0
U.S. states	4		0		0		0		0		0		0		0		0		4		0
Foreign government	22		(1)		0		0		0		0		0		0		0		21		0
Corporate securities(3)	3,236		(500)		294		(113)		0		(235)		1		1,827		(14)		4,496		(492)
Structured securities(4)	948		(7)		315		(17)		0		(100)		155		12		(358)		948		(16)
Assets supporting experience-rated contractholder liabilities:
Foreign government	24		0		0		0		0		0		0		0		0		24		0
Corporate securities(3)	637		(46)		4		(10)		0		(45)		0		63		0		603		(44)
Structured securities(4)	69		(4)		116		0		0		(4)		0		0		0		177		0
Equity securities	0		0		0		0		0		0		0		0		0		0		0
All other activity	0		0		7		0		0		0		0		0		0		7		0
Other assets:
Fixed maturities, trading	287		(15)		18		(6)		0		0		(2)		15		(48)		249		(16)
Equity securities	633		(44)		9		(5)		0		0		1		0		0		594		(44)
Other invested assets	567		8		27		0		0		(1)		(20)		0		0		581		8
Short-term investments	155		2		43		0		0		(110)		(37)		0		0		53		0
Cash equivalents	131		0		0		0		0		0		(130)		0		0		1		0
Other assets	113		252		17		0		0		0		0		0		0		382		252
Separate account assets(5)	1,717		(140)		56		(13)		0		(18)		0		7		(81)		1,528		(128)
Liabilities:
Future policy benefits	(12,831)		(14,789)		0		0		(319)		0		4		0		0		(27,935)		(14,923)
Policyholders’ account balances(6)	(1,316)		206		0		0		(96)		0		0		0		0		(1,206)		209
Other liabilities	(105)		58		0		0		0		0		0		0		0		(47)		58
Notes issued by consolidated VIEs	(800)		1		0		0		0		0		0		0		0		(799)		0


	Three Months Ended March 31, 2020
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders’ account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders’ account balances		Included in other comprehensive income (losses)
	(in millions)
Fixed maturities, available-for-sale	$	(27)	$	0	$	0	$	(483)	$	2	$	(27)	$	0	$	0	$	(481)
Assets supporting experience-rated contractholder liabilities	0		(47)		0		0		(3)		0		(44)		0		0
Other assets:
Fixed maturities, trading	0		(15)		0		0		0		0		(16)		0		0
Equity securities	0		(44)		0		0		0		0		(44)		0		0
Other invested assets	0		8		0		0		0		0		8		0		0
Short-term investments	2		0		0		0		0		0		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	252		0		0		0		0		252		0		0		0
Separate account assets(5)	0		0		(140)		0		0		0		0		(128)		0
Liabilities:
Future policy benefits	(14,789)		0		0		0		0		(14,923)		0		0		0
Policyholders’ account balances	206		0		0		0		0		209		0		0		0
Other liabilities	0		58		0		0		0		0		58		0		0
Notes issued by consolidated VIEs	1		0		0		0		0		0		0		0		0

__________

(1)“Other,” for the periods ended March 31, 2021 and March 31, 2020, primarily represents the deconsolidation of VIEs, reclassifications of certain assets between reporting categories and foreign currency translation.

(2)Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.

(3)Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.

(4)Includes asset-backed, commercial mortgage-backed and residential mortgage-backed securities.

(5)Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Unaudited Interim Consolidated Statements of Financial Position.

(6)Issuances and settlements for Policyholders’ account balances are presented net in the rollforward.

Derivative Fair Value Information

The following tables present the balances of derivative assets and liabilities measured at fair value on a recurring basis, as of the date indicated, by primary underlying risk. These tables include NPR and exclude embedded derivatives and associated reinsurance recoverables. The derivative assets and liabilities shown below are included in “Other invested assets” or “Other liabilities” in the tables contained within the sections “—Assets and Liabilities by Hierarchy Level” and “—Changes in Level 3 Assets and Liabilities,” above.


	As of March 31, 2021
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in millions)
Derivative Assets:
Interest Rate	$	15	$	11,009	$	0	$		$	11,024
Currency	0		1,068		0				1,068
Credit	0		50		0				50
Currency/Interest Rate	0		1,447		0				1,447
Equity	82		708		0				790
Other	0		0		0				0
Netting(1)							(12,532)		(12,532)
Total derivative assets	$	97	$	14,282	$	0	$	(12,532)	$	1,847
Derivative Liabilities:
Interest Rate	$	65	$	16,391	$	0	$		$	16,456
Currency	0		1,243		0				1,243
Credit	0		0		0				0
Currency/Interest Rate	0		1,293		0				1,293
Equity	17		1,347		0				1,364
Other	0		0		0				0
Netting(1)							(18,781)		(18,781)
Total derivative liabilities	$	82	$	20,274	$	0	$	(18,781)	$	1,575


	As of December 31, 2020
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in millions)
Derivative Assets:
Interest Rate	$	99	$	19,091	$	0	$		$	19,190
Currency	0		832		0				832
Credit	0		63		0				63
Currency/Interest Rate	0		1,415		0				1,415
Equity	128		1,645		0				1,773
Other	0		0		0				0
Netting(1)							(21,367)		(21,367)
Total derivative assets	$	227	$	23,046	$	0	$	(21,367)	$	1,906
Derivative Liabilities:
Interest Rate	$	5	$	13,503	$	0	$		$	13,508
Currency	0		763		0				763
Credit	0		28		0				28
Currency/Interest Rate	0		1,638		0				1,638
Equity	25		2,305		0				2,330
Other	0		0		0				0
Netting(1)							(17,475)		(17,475)
Total derivative liabilities	$	30	$	18,237	$	0	$	(17,475)	$	792

__________

(1)“Netting” amounts represent cash collateral and the impact of offsetting asset and liability positions held with the same counterparty, subject to master netting agreement.

Changes in Level 3 derivative assets and liabilities—The following tables provide a summary of the changes in fair value of Level 3 derivative assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income, attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods.


	Three Months Ended March 31, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3(2)		Transfers out of Level 3(2)		Fair Value, end of period		Unrealized gains (losses) for assets still held(1)
	(in millions)
Net Derivative - Equity	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Net Derivative - Interest Rate	0		0		0		0		0		0		0		0		0		0		0


	Three Months Ended March 31, 2020
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3(2)		Transfers out of Level 3(2)		Fair Value, end of period		Unrealized gains (losses) for assets still held(1)
	(in millions)
Net Derivative - Equity	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Net Derivative - Interest Rate	1		0		0		0		0		0		0		0		0		1		0

______

(1)Total realized and unrealized gains (losses) as well as unrealized gains (losses) for assets still held at the end of the period are recorded in “Realized investment gains (losses), net.”

(2)Transfers into or out of Level 3 are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such positions still held at the end of the quarter.

Nonrecurring Fair Value Measurements—The following tables represent information for assets measured at fair value on a nonrecurring basis. The fair value measurement is nonrecurring as these assets are measured at fair value only when there is a triggering event (e.g., an evidence of impairment). Assets included in the table are those that were impaired during the respective reporting periods and that are still held as of the reporting date. The estimated fair values for these amounts were determined using significant unobservable inputs (Level 3).


	Three Months Ended March 31,
	2021		2020
	(in millions)
Realized investment gains (losses) net:
Commercial mortgage loans(1)	$	0	$	1
Mortgage servicing rights(2)	$	(5)	$	(3)
Investment real estate	$	(9)	$	0


	March 31, 2021		December 31, 2020
	(in millions)
Carrying value after measurement as of period end:
Commercial mortgage loans(1)	$	0	$	0
Mortgage servicing rights(2)	$	308	$	307
Investment real estate	$	16	$	31

__________

(1)Commercial mortgage loans are valued based on discounted cash flows utilizing market rates or the fair value of the underlying real estate collateral.

(2)Mortgage servicing rights are valued using a discounted cash flow model. The model incorporates assumptions for servicing revenues, which are adjusted for expected prepayments, delinquency rates, escrow deposit income and estimated loan servicing expenses. The discount rates incorporated into the model are determined based on the estimated returns a market participant would require for this business including a liquidity and risk premium. This estimate includes available relevant data from any active market sales of mortgage servicing rights.

Fair Value Option

The fair value option allows the Company to elect fair value as an alternative measurement for selected financial assets and financial liabilities not otherwise reported at fair value. Such elections have been made by the Company to help mitigate volatility in earnings that result from different measurement attributes. Electing the fair value option also allows the Company to achieve consistent accounting for certain assets and liabilities. Changes in fair value are reflected in “Realized investment gains (losses), net” for commercial mortgage and other loans and “Other income (loss)” for other assets and notes issued by consolidated VIEs. Changes in fair value due to instrument-specific credit risk are estimated using changes in credit spreads and quality ratings for the period reported. Interest income on commercial mortgage and other loans is included in “Net investment income.” Interest income on these loans is recorded based on the effective interest rate as determined at the closing of the loan.

The following tables present information regarding assets and liabilities where the fair value option has been elected.


	Three Months Ended March 31,
	2021		2020
	(in millions)
Liabilities:
Notes issued by consolidated VIEs:
Changes in fair value	$	0	$	0


	Three Months Ended March 31,
	2021		2020
	(in millions)
Commercial mortgage and other loans:
Interest income	$	3	$	2
Notes issued by consolidated VIEs:
Interest expense	$	0	$	11


	March 31, 2021		December 31, 2020
	(in millions)
Commercial mortgage and other loans(1):
Fair value as of period end	$	500	$	1,092
Aggregate contractual principal as of period end	$	494	$	1,073


Other assets:
Fair value as of period end	$	10	$	10
Notes issued by consolidated VIEs:
Fair value as of period end	$	0	$	0
Aggregate contractual principal as of period end	$	0	$	0

__________

(1)As of March 31, 2021, for loans for which the fair value option has been elected, there were no loans in non-accrual status and none of the loans were more than 90 days past due and still accruing.

Fair Value of Financial Instruments

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Consolidated Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.


	March 31, 2021
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Fixed maturities, held-to-maturity(2)	$	0	$	2,042	$	83	$	2,125	$	1,801
Assets supporting experience-rated contractholder liabilities	31		0		0		31		31
Commercial mortgage and other loans	0		69		66,863		66,932		64,054
Policy loans	0		0		10,990		10,990		10,990
Other invested assets	0		120		0		120		120
Short-term investments	979		21		0		1,000		1,000
Cash and cash equivalents	8,641		457		0		9,098		9,098
Accrued investment income	0		3,063		0		3,063		3,063
Other assets	52		3,198		463		3,713		3,712
Total assets	$	9,703	$	8,970	$	78,399	$	97,072	$	93,869
Liabilities:
Policyholders’ account balances—investment contracts	$	0	$	35,279	$	70,780	$	106,059	$	104,724
Securities sold under agreements to repurchase	0		9,384		0		9,384		9,384
Cash collateral for loaned securities	0		4,673		0		4,673		4,673
Short-term debt	0		806		71		877		867
Long-term debt(3)	623		20,979		1,131		22,733		19,730
Notes issued by consolidated VIEs	0		0		285		285		285
Other liabilities	0		7,655		49		7,704		7,704
Separate account liabilities—investment contracts	0		88,027		22,777		110,804		110,804
Total liabilities	$	623	$	166,803	$	95,093	$	262,519	$	258,171


	December 31, 2020
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Fixed maturities, held-to-maturity(2)	$	0	$	2,209	$	89	$	2,298	$	1,930
Assets supporting experience-rated contractholder liabilities	39		0		0		39		39
Commercial mortgage and other loans	0		107		67,477		67,584		64,333
Policy loans	0		0		11,271		11,271		11,271
Other invested assets	0		153		0		153		153
Short-term investments	1,464		26		0		1,490		1,490
Cash and cash equivalents	7,951		268		0		8,219		8,219
Accrued investment income	0		3,193		0		3,193		3,193
Other assets	154		2,917		449		3,520		3,517
Total assets	$	9,608	$	8,873	$	79,286	$	97,767	$	94,145
Liabilities:
Policyholders’ account balances—investment contracts	$	0	$	36,820	$	73,653	$	110,473	$	107,526
Securities sold under agreements to repurchase	0		10,894		0		10,894		10,894
Cash collateral for loaned securities	0		3,499		0		3,499		3,499
Short-term debt	0		794		146		940		925
Long-term debt(3)	644		21,685		1,139		23,468		19,718
Notes issued by consolidated VIEs	0		0		305		305		305
Other liabilities	0		7,626		48		7,674		7,674
Separate account liabilities—investment contracts	0		86,046		23,631		109,677		109,677
Total liabilities	$	644	$	167,364	$	98,922	$	266,930	$	260,218

__________

(1)Carrying values presented herein differ from those in the Company’s Unaudited Interim Consolidated Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or are out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.

(2)Excludes notes with fair value of $5,186 million (carrying amount of $4,748 million) and $5,821 million (carrying amount of $4,998 million) as of March 31, 2021 and December 31, 2020, respectively, which have been offset with the associated payables under a netting agreement.

(3)Includes notes with fair value of $10,959 million (carrying amount of $10,514 million) and $11,921 million (carrying amount of $10,964 million) as of March 31, 2021 and December 31, 2020, respectively, which have been offset with the associated receivables under a netting agreement.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details