XML 96 R31.htm IDEA: XBRL DOCUMENT v3.19.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2019
FAIR VALUE MEASUREMENTS  
Assets and liabilities measured at fair value on a recurring basis

June 30, 2019

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

105

$

4,123

$

-

$

-

$

-

$

4,228

Obligations of states, municipalities and political subdivisions

 

-

 

13,784

 

2,162

 

-

 

-

 

15,946

Non-U.S. governments

 

75

 

15,323

 

2

 

-

 

-

 

15,400

Corporate debt

 

-

 

142,739

 

1,821

 

-

 

-

 

144,560

RMBS

 

-

 

19,313

 

13,863

 

-

 

-

 

33,176

CMBS

 

-

 

12,521

 

1,103

 

-

 

-

 

13,624

CDO/ABS

 

-

 

9,565

 

9,062

 

-

 

-

 

18,627

Total bonds available for sale

 

180

 

217,368

 

28,013

 

-

 

-

 

245,561

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

22

 

2,177

 

-

 

-

 

-

 

2,199

Non-U.S. governments

 

-

 

56

 

-

 

-

 

-

 

56

Corporate debt

 

-

 

1,798

 

-

 

-

 

-

 

1,798

RMBS

 

-

 

494

 

830

 

-

 

-

 

1,324

CMBS

 

-

 

330

 

88

 

-

 

-

 

418

CDO/ABS

 

-

 

516

 

4,150

 

-

 

-

 

4,666

Total other bond securities

 

22

 

5,371

 

5,068

 

-

 

-

 

10,461

Equity securities

 

829

 

16

 

35

 

-

 

-

 

880

Other invested assets(b)

 

-

 

71

 

605

 

-

 

-

 

676

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

-

 

3,275

 

-

 

-

 

-

 

3,275

Foreign exchange contracts

 

-

 

1,262

 

4

 

-

 

-

 

1,266

Equity contracts

 

77

 

548

 

118

 

-

 

-

 

743

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

13

 

-

 

-

 

13

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,080)

 

(2,315)

 

(4,395)

Total derivative assets

 

77

 

5,085

 

136

 

(2,080)

 

(2,315)

 

903

Short-term investments

 

2,368

 

3,082

 

-

 

-

 

-

 

5,450

Separate account assets

 

85,803

 

4,508

 

-

 

-

 

-

 

90,311

Other assets

 

-

 

-

 

61

 

-

 

-

 

61

Total

$

89,279

$

235,501

$

33,918

$

(2,080)

$

(2,315)

$

354,303

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

6,065

$

-

$

-

$

6,065

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

2

 

2,277

 

16

 

-

 

-

 

2,295

Foreign exchange contracts

 

-

 

960

 

-

 

-

 

-

 

960

Equity contracts

 

19

 

23

 

5

 

-

 

-

 

47

Credit contracts

 

-

 

21

 

174

 

-

 

-

 

195

Other contracts

 

-

 

-

 

6

 

-

 

-

 

6

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(2,080)

 

(303)

 

(2,383)

Total derivative liabilities

 

21

 

3,281

 

201

 

(2,080)

 

(303)

 

1,120

Long-term debt

 

-

 

2,303

 

-

 

-

 

-

 

2,303

Other liabilities

 

90

 

22

 

-

 

-

 

-

 

112

Total

$

111

$

5,606

$

6,266

$

(2,080)

$

(303)

$

9,600

December 31, 2018

 

 

 

 

 

 

Counterparty

Cash

 

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Netting(a)

 

Collateral

 

Total

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

$

53

$

3,207

$

-

$

-

$

-

$

3,260

Obligations of states, municipalities and political subdivisions

 

-

 

14,001

 

2,000

 

-

 

-

 

16,001

Non-U.S. governments

 

69

 

14,445

 

11

 

-

 

-

 

14,525

Corporate debt

 

-

 

129,836

 

864

 

-

 

-

 

130,700

RMBS

 

-

 

20,178

 

14,199

 

-

 

-

 

34,377

CMBS

 

-

 

11,784

 

917

 

-

 

-

 

12,701

CDO/ABS

 

-

 

8,725

 

9,102

 

-

 

-

 

17,827

Total bonds available for sale

 

122

 

202,176

 

27,093

 

-

 

-

 

229,391

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. government and government sponsored entities

 

11

 

2,654

 

-

 

-

 

-

 

2,665

Non-U.S. governments

 

-

 

45

 

-

 

-

 

-

 

45

Corporate debt

 

-

 

1,671

 

-

 

-

 

-

 

1,671

RMBS

 

-

 

424

 

1,290

 

-

 

-

 

1,714

CMBS

 

-

 

311

 

77

 

-

 

-

 

388

CDO/ABS

 

-

 

454

 

4,478

 

-

 

-

 

4,932

Total other bond securities

 

11

 

5,559

 

5,845

 

-

 

-

 

11,415

Equity securities

 

1,213

 

13

 

27

 

-

 

-

 

1,253

Other invested assets(b)

 

-

 

341

 

587

 

-

 

-

 

928

Derivative assets:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

2

 

2,888

 

-

 

-

 

-

 

2,890

Foreign exchange contracts

 

-

 

1,159

 

5

 

-

 

-

 

1,164

Equity contracts

 

133

 

190

 

75

 

-

 

-

 

398

Credit contracts

 

-

 

-

 

1

 

-

 

-

 

1

Other contracts

 

-

 

-

 

15

 

-

 

-

 

15

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(1,713)

 

(1,840)

 

(3,553)

Total derivative assets

 

135

 

4,237

 

96

 

(1,713)

 

(1,840)

 

915

Short-term investments

 

2,416

 

599

 

-

 

-

 

-

 

3,015

Separate account assets

 

77,202

 

4,645

 

-

 

-

 

-

 

81,847

Other assets

 

-

 

-

 

58

 

-

 

-

 

58

Total

$

81,099

$

217,570

$

33,706

$

(1,713)

$

(1,840)

$

328,822

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

-

$

4,116

$

-

$

-

$

4,116

Derivative liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

4

 

2,004

 

15

 

-

 

-

 

2,023

Foreign exchange contracts

 

-

 

858

 

-

 

-

 

-

 

858

Equity contracts

 

12

 

3

 

-

 

-

 

-

 

15

Credit contracts

 

-

 

8

 

228

 

-

 

-

 

236

Other contracts

 

-

 

-

 

6

 

-

 

-

 

6

Counterparty netting and cash collateral

 

-

 

-

 

-

 

(1,713)

 

(187)

 

(1,900)

Total derivative liabilities

 

16

 

2,873

 

249

 

(1,713)

 

(187)

 

1,238

Long-term debt

 

-

 

2,213

 

-

 

-

 

-

 

2,213

Other liabilities

 

16

 

11

 

-

 

-

 

-

 

27

Total

$

32

$

5,097

$

4,365

$

(1,713)

$

(187)

$

7,594

 

(a)Represents netting of derivative exposures covered by qualifying master netting agreements.

 

(b)Excludes investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent), which totaled $5.2 billion and $5.0 billion as of June 30, 2019 and December 31, 2018, respectively.

 
Changes in Level 3 recurring fair value measurements (Assets)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended June 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,136

$

-

$

105

$

62

$

6

$

(147)

$

2,162

$

-

Non-U.S. governments

 

3

 

(1)

 

-

 

-

 

-

 

-

 

2

 

-

Corporate debt

 

1,532

 

29

 

43

 

(99)

 

389

 

(73)

 

1,821

 

-

RMBS

 

14,045

 

182

 

137

 

(404)

 

44

 

(141)

 

13,863

 

-

CMBS

 

892

 

5

 

13

 

150

 

58

 

(15)

 

1,103

 

-

CDO/ABS

 

8,840

 

8

 

113

 

104

 

4

 

(7)

 

9,062

 

-

Total bonds available for sale

 

27,448

 

223

 

411

 

(187)

 

501

 

(383)

 

28,013

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,266

 

43

 

-

 

(479)

 

-

 

-

 

830

 

(19)

CMBS

 

84

 

-

 

-

 

14

 

-

 

(10)

 

88

 

1

CDO/ABS

 

4,249

 

116

 

-

 

(214)

 

-

 

(1)

 

4,150

 

76

Total other bond securities

 

5,599

 

159

 

-

 

(679)

 

-

 

(11)

 

5,068

 

58

Equity securities

 

26

 

-

 

-

 

9

 

-

 

-

 

35

 

3

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

591

 

18

 

1

 

(5)

 

-

 

-

 

605

 

18

Other assets

 

59

 

-

 

-

 

2

 

-

 

-

 

61

 

-

Total

$

33,723

$

400

$

412

$

(860)

$

501

$

(394)

$

33,782

$

79

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,878

$

970

$

-

$

217

$

-

$

-

$

6,065

$

(832)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

2

 

-

 

(1)

 

-

 

-

 

16

 

(2)

Foreign exchange contracts

 

(1)

 

(5)

 

-

 

2

 

-

 

-

 

(4)

 

4

Equity contracts

 

(96)

 

(4)

 

-

 

(13)

 

-

 

-

 

(113)

 

4

Credit contracts

 

222

 

(24)

 

-

 

(25)

 

-

 

-

 

173

 

23

Other contracts

 

(8)

 

(16)

 

-

 

17

 

-

 

-

 

(7)

 

18

Total derivative liabilities, net(a)

 

132

 

(47)

 

-

 

(20)

 

-

 

-

 

65

 

47

Total

$

5,010

$

923

$

-

$

197

$

-

$

-

$

6,130

$

(785)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Six Months Ended June 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,000

$

(1)

$

202

$

86

$

35

$

(160)

$

2,162

$

-

Non-U.S. governments

 

11

 

(1)

 

-

 

(4)

 

-

 

(4)

 

2

 

-

Corporate debt

 

864

 

26

 

81

 

(65)

 

1,043

 

(128)

 

1,821

 

-

RMBS

 

14,199

 

409

 

161

 

(816)

 

67

 

(157)

 

13,863

 

-

CMBS

 

917

 

6

 

30

 

296

 

58

 

(204)

 

1,103

 

-

CDO/ABS

 

9,102

 

12

 

167

 

59

 

96

 

(374)

 

9,062

 

-

Total bonds available for sale

 

27,093

 

451

 

641

 

(444)

 

1,299

 

(1,027)

 

28,013

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,290

 

60

 

-

 

(520)

 

-

 

-

 

830

 

(19)

CMBS

 

77

 

4

 

-

 

17

 

-

 

(10)

 

88

 

4

CDO/ABS

 

4,478

 

184

 

-

 

(415)

 

-

 

(97)

 

4,150

 

100

Total other bond securities

 

5,845

 

248

 

-

 

(918)

 

-

 

(107)

 

5,068

 

85

Equity securities

 

27

 

-

 

-

 

9

 

-

 

(1)

 

35

 

3

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

587

 

18

 

1

 

(1)

 

-

 

-

 

605

 

19

Other assets

 

58

 

-

 

-

 

3

 

-

 

-

 

61

 

-

Total

$

33,610

$

717

$

642

$

(1,351)

$

1,299

$

(1,135)

$

33,782

$

107

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,116

$

1,539

$

-

$

410

$

-

$

-

$

6,065

$

(1,352)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

3

 

-

 

(2)

 

-

 

-

 

16

 

(3)

Foreign exchange contracts

 

(5)

 

(10)

 

-

 

11

 

-

 

-

 

(4)

 

4

Equity contracts

 

(75)

 

(20)

 

-

 

(18)

 

-

 

-

 

(113)

 

32

Credit contracts

 

227

 

(27)

 

-

 

(27)

 

-

 

-

 

173

 

27

Other contracts

 

(9)

 

(33)

 

-

 

35

 

-

 

-

 

(7)

 

35

Total derivative liabilities, net(a)

 

153

 

(87)

 

-

 

(1)

 

-

 

-

 

65

 

95

Total

$

4,269

$

1,452

$

-

$

409

$

-

$

-

$

6,130

$

(1,257)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,261

$

-

$

(40)

$

(29)

$

-

$

(136)

$

2,056

$

-

Non-U.S. governments

 

9

 

(1)

 

2

 

(5)

 

-

 

(5)

 

-

 

-

Corporate debt

 

1,871

 

(8)

 

(7)

 

(394)

 

3

 

(581)

 

884

 

-

RMBS

 

15,839

 

153

 

(5)

 

(616)

 

8

 

(2)

 

15,377

 

-

CMBS

 

584

 

(2)

 

(4)

 

(7)

 

47

 

(13)

 

605

 

-

CDO/ABS

 

7,846

 

8

 

3

 

56

 

-

 

(1,057)

 

6,856

 

-

Total bonds available for sale

 

28,410

 

150

 

(51)

 

(995)

 

58

 

(1,794)

 

25,778

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

19

 

(1)

 

-

 

-

 

-

 

-

 

18

 

-

RMBS

 

1,427

 

16

 

-

 

(105)

 

-

 

-

 

1,338

 

151

CMBS

 

73

 

(2)

 

-

 

-

 

-

 

-

 

71

 

4

CDO/ABS

 

4,776

 

118

 

-

 

(253)

 

-

 

-

 

4,641

 

204

Total other bond securities

 

6,295

 

131

 

-

 

(358)

 

-

 

-

 

6,068

 

359

Equity securities

 

3

 

(3)

 

-

 

-

 

-

 

-

 

-

 

-

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

292

 

29

 

-

 

78

 

-

 

-

 

399

 

-

Total

$

35,000

$

307

$

(51)

$

(1,275)

$

58

$

(1,794)

$

32,245

$

359

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

3,696

$

(238)

$

-

$

76

$

-

$

-

$

3,534

$

298

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

17

 

(1)

 

-

 

(2)

 

-

 

-

 

14

 

1

Foreign exchange contracts

 

1

 

6

 

-

 

(2)

 

-

 

-

 

5

 

(4)

Equity contracts

 

(78)

 

5

 

-

 

(8)

 

-

 

2

 

(79)

 

(5)

Credit contracts

 

250

 

(4)

 

-

 

-

 

-

 

-

 

246

 

3

Other contracts

 

(12)

 

(15)

 

-

 

17

 

-

 

-

 

(10)

 

18

Total derivative liabilities, net(a)

 

178

 

(9)

 

-

 

5

 

-

 

2

 

176

 

13

Total

$

3,874

$

(247)

$

-

$

81

$

-

$

2

$

3,710

$

311

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Six Months Ended June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,404

$

1

$

(115)

$

(98)

$

-

$

(136)

$

2,056

$

-

Non-U.S. governments

 

8

 

(5)

 

6

 

(4)

 

-

 

(5)

 

-

 

-

Corporate debt

 

1,173

 

(65)

 

3

 

(146)

 

568

 

(649)

 

884

 

-

RMBS

 

16,136

 

419

 

-

 

(1,152)

 

8

 

(34)

 

15,377

 

-

CMBS

 

624

 

4

 

(21)

 

(30)

 

47

 

(19)

 

605

 

-

CDO/ABS

 

8,651

 

16

 

(85)

 

(654)

 

-

 

(1,072)

 

6,856

 

-

Total bonds available for sale

 

28,996

 

370

 

(212)

 

(2,084)

 

623

 

(1,915)

 

25,778

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

-

 

-

 

-

 

18

 

1

RMBS

 

1,464

 

55

 

-

 

(181)

 

-

 

-

 

1,338

 

153

CMBS

 

74

 

(3)

 

-

 

(1)

 

1

 

-

 

71

 

4

CDO/ABS

 

4,956

 

207

 

-

 

(513)

 

-

 

(9)

 

4,641

 

208

Total other bond securities

 

6,512

 

259

 

-

 

(695)

 

1

 

(9)

 

6,068

 

366

Equity securities

 

-

 

(3)

 

-

 

3

 

-

 

-

 

-

 

-

Mortgage and other loans receivable

 

5

 

-

 

-

 

(5)

 

-

 

-

 

-

 

-

Other invested assets

 

250

 

52

 

1

 

96

 

-

 

-

 

399

 

25

Total

$

35,763

$

678

$

(211)

$

(2,685)

$

624

$

(1,924)

$

32,245

$

391

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,136

$

(744)

$

-

$

142

$

-

$

-

$

3,534

$

902

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

22

 

(4)

 

-

 

(4)

 

-

 

-

 

14

 

4

Foreign exchange contracts

 

-

 

(4)

 

-

 

9

 

-

 

-

 

5

 

(3)

Equity contracts

 

(82)

 

9

 

-

 

(8)

 

-

 

2

 

(79)

 

(9)

Credit contracts

 

262

 

(14)

 

-

 

(2)

 

-

 

-

 

246

 

13

Other contracts

 

(15)

 

(32)

 

-

 

37

 

-

 

-

 

(10)

 

35

Total derivative liabilities, net(a)

 

187

 

(45)

 

-

 

32

 

-

 

2

 

176

 

40

Total

$

4,323

$

(789)

$

-

$

174

$

-

$

2

$

3,710

$

942

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.

 
Changes in Level 3 recurring fair value measurements (Liabilities)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended June 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,136

$

-

$

105

$

62

$

6

$

(147)

$

2,162

$

-

Non-U.S. governments

 

3

 

(1)

 

-

 

-

 

-

 

-

 

2

 

-

Corporate debt

 

1,532

 

29

 

43

 

(99)

 

389

 

(73)

 

1,821

 

-

RMBS

 

14,045

 

182

 

137

 

(404)

 

44

 

(141)

 

13,863

 

-

CMBS

 

892

 

5

 

13

 

150

 

58

 

(15)

 

1,103

 

-

CDO/ABS

 

8,840

 

8

 

113

 

104

 

4

 

(7)

 

9,062

 

-

Total bonds available for sale

 

27,448

 

223

 

411

 

(187)

 

501

 

(383)

 

28,013

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,266

 

43

 

-

 

(479)

 

-

 

-

 

830

 

(19)

CMBS

 

84

 

-

 

-

 

14

 

-

 

(10)

 

88

 

1

CDO/ABS

 

4,249

 

116

 

-

 

(214)

 

-

 

(1)

 

4,150

 

76

Total other bond securities

 

5,599

 

159

 

-

 

(679)

 

-

 

(11)

 

5,068

 

58

Equity securities

 

26

 

-

 

-

 

9

 

-

 

-

 

35

 

3

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

591

 

18

 

1

 

(5)

 

-

 

-

 

605

 

18

Other assets

 

59

 

-

 

-

 

2

 

-

 

-

 

61

 

-

Total

$

33,723

$

400

$

412

$

(860)

$

501

$

(394)

$

33,782

$

79

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,878

$

970

$

-

$

217

$

-

$

-

$

6,065

$

(832)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

2

 

-

 

(1)

 

-

 

-

 

16

 

(2)

Foreign exchange contracts

 

(1)

 

(5)

 

-

 

2

 

-

 

-

 

(4)

 

4

Equity contracts

 

(96)

 

(4)

 

-

 

(13)

 

-

 

-

 

(113)

 

4

Credit contracts

 

222

 

(24)

 

-

 

(25)

 

-

 

-

 

173

 

23

Other contracts

 

(8)

 

(16)

 

-

 

17

 

-

 

-

 

(7)

 

18

Total derivative liabilities, net(a)

 

132

 

(47)

 

-

 

(20)

 

-

 

-

 

65

 

47

Total

$

5,010

$

923

$

-

$

197

$

-

$

-

$

6,130

$

(785)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Six Months Ended June 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,000

$

(1)

$

202

$

86

$

35

$

(160)

$

2,162

$

-

Non-U.S. governments

 

11

 

(1)

 

-

 

(4)

 

-

 

(4)

 

2

 

-

Corporate debt

 

864

 

26

 

81

 

(65)

 

1,043

 

(128)

 

1,821

 

-

RMBS

 

14,199

 

409

 

161

 

(816)

 

67

 

(157)

 

13,863

 

-

CMBS

 

917

 

6

 

30

 

296

 

58

 

(204)

 

1,103

 

-

CDO/ABS

 

9,102

 

12

 

167

 

59

 

96

 

(374)

 

9,062

 

-

Total bonds available for sale

 

27,093

 

451

 

641

 

(444)

 

1,299

 

(1,027)

 

28,013

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

RMBS

 

1,290

 

60

 

-

 

(520)

 

-

 

-

 

830

 

(19)

CMBS

 

77

 

4

 

-

 

17

 

-

 

(10)

 

88

 

4

CDO/ABS

 

4,478

 

184

 

-

 

(415)

 

-

 

(97)

 

4,150

 

100

Total other bond securities

 

5,845

 

248

 

-

 

(918)

 

-

 

(107)

 

5,068

 

85

Equity securities

 

27

 

-

 

-

 

9

 

-

 

(1)

 

35

 

3

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

587

 

18

 

1

 

(1)

 

-

 

-

 

605

 

19

Other assets

 

58

 

-

 

-

 

3

 

-

 

-

 

61

 

-

Total

$

33,610

$

717

$

642

$

(1,351)

$

1,299

$

(1,135)

$

33,782

$

107

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,116

$

1,539

$

-

$

410

$

-

$

-

$

6,065

$

(1,352)

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

15

 

3

 

-

 

(2)

 

-

 

-

 

16

 

(3)

Foreign exchange contracts

 

(5)

 

(10)

 

-

 

11

 

-

 

-

 

(4)

 

4

Equity contracts

 

(75)

 

(20)

 

-

 

(18)

 

-

 

-

 

(113)

 

32

Credit contracts

 

227

 

(27)

 

-

 

(27)

 

-

 

-

 

173

 

27

Other contracts

 

(9)

 

(33)

 

-

 

35

 

-

 

-

 

(7)

 

35

Total derivative liabilities, net(a)

 

153

 

(87)

 

-

 

(1)

 

-

 

-

 

65

 

95

Total

$

4,269

$

1,452

$

-

$

409

$

-

$

-

$

6,130

$

(1,257)

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Three Months Ended June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,261

$

-

$

(40)

$

(29)

$

-

$

(136)

$

2,056

$

-

Non-U.S. governments

 

9

 

(1)

 

2

 

(5)

 

-

 

(5)

 

-

 

-

Corporate debt

 

1,871

 

(8)

 

(7)

 

(394)

 

3

 

(581)

 

884

 

-

RMBS

 

15,839

 

153

 

(5)

 

(616)

 

8

 

(2)

 

15,377

 

-

CMBS

 

584

 

(2)

 

(4)

 

(7)

 

47

 

(13)

 

605

 

-

CDO/ABS

 

7,846

 

8

 

3

 

56

 

-

 

(1,057)

 

6,856

 

-

Total bonds available for sale

 

28,410

 

150

 

(51)

 

(995)

 

58

 

(1,794)

 

25,778

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

19

 

(1)

 

-

 

-

 

-

 

-

 

18

 

-

RMBS

 

1,427

 

16

 

-

 

(105)

 

-

 

-

 

1,338

 

151

CMBS

 

73

 

(2)

 

-

 

-

 

-

 

-

 

71

 

4

CDO/ABS

 

4,776

 

118

 

-

 

(253)

 

-

 

-

 

4,641

 

204

Total other bond securities

 

6,295

 

131

 

-

 

(358)

 

-

 

-

 

6,068

 

359

Equity securities

 

3

 

(3)

 

-

 

-

 

-

 

-

 

-

 

-

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

-

 

-

 

-

 

-

Other invested assets

 

292

 

29

 

-

 

78

 

-

 

-

 

399

 

-

Total

$

35,000

$

307

$

(51)

$

(1,275)

$

58

$

(1,794)

$

32,245

$

359

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

3,696

$

(238)

$

-

$

76

$

-

$

-

$

3,534

$

298

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

17

 

(1)

 

-

 

(2)

 

-

 

-

 

14

 

1

Foreign exchange contracts

 

1

 

6

 

-

 

(2)

 

-

 

-

 

5

 

(4)

Equity contracts

 

(78)

 

5

 

-

 

(8)

 

-

 

2

 

(79)

 

(5)

Credit contracts

 

250

 

(4)

 

-

 

-

 

-

 

-

 

246

 

3

Other contracts

 

(12)

 

(15)

 

-

 

17

 

-

 

-

 

(10)

 

18

Total derivative liabilities, net(a)

 

178

 

(9)

 

-

 

5

 

-

 

2

 

176

 

13

Total

$

3,874

$

(247)

$

-

$

81

$

-

$

2

$

3,710

$

311

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

Gains (Losses)

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Six Months Ended June 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

and political subdivisions

$

2,404

$

1

$

(115)

$

(98)

$

-

$

(136)

$

2,056

$

-

Non-U.S. governments

 

8

 

(5)

 

6

 

(4)

 

-

 

(5)

 

-

 

-

Corporate debt

 

1,173

 

(65)

 

3

 

(146)

 

568

 

(649)

 

884

 

-

RMBS

 

16,136

 

419

 

-

 

(1,152)

 

8

 

(34)

 

15,377

 

-

CMBS

 

624

 

4

 

(21)

 

(30)

 

47

 

(19)

 

605

 

-

CDO/ABS

 

8,651

 

16

 

(85)

 

(654)

 

-

 

(1,072)

 

6,856

 

-

Total bonds available for sale

 

28,996

 

370

 

(212)

 

(2,084)

 

623

 

(1,915)

 

25,778

 

-

Other bond securities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate debt

 

18

 

-

 

-

 

-

 

-

 

-

 

18

 

1

RMBS

 

1,464

 

55

 

-

 

(181)

 

-

 

-

 

1,338

 

153

CMBS

 

74

 

(3)

 

-

 

(1)

 

1

 

-

 

71

 

4

CDO/ABS

 

4,956

 

207

 

-

 

(513)

 

-

 

(9)

 

4,641

 

208

Total other bond securities

 

6,512

 

259

 

-

 

(695)

 

1

 

(9)

 

6,068

 

366

Equity securities

 

-

 

(3)

 

-

 

3

 

-

 

-

 

-

 

-

Mortgage and other loans receivable

 

5

 

-

 

-

 

(5)

 

-

 

-

 

-

 

-

Other invested assets

 

250

 

52

 

1

 

96

 

-

 

-

 

399

 

25

Total

$

35,763

$

678

$

(211)

$

(2,685)

$

624

$

(1,924)

$

32,245

$

391

 

 

 

 

Net

 

 

 

 

 

 

 

 

 

 

 

Changes in

 

 

 

 

Realized and

 

 

 

 

 

 

 

 

 

 

 

Unrealized Gains

 

 

 

 

Unrealized

 

 

 

Purchases,

 

 

 

 

 

 

 

(Losses) Included

 

 

Fair Value

 

(Gains) Losses

 

Other

 

Sales,

 

Gross

 

Gross

 

Fair Value

 

in Income on

 

 

Beginning

 

Included

 

Comprehensive

 

Issuances and

 

Transfers

 

Transfers

 

End

 

Instruments Held

(in millions)

 

of Period

 

in Income

 

Income (Loss)

Settlements, Net

 

In

 

Out

 

of Period

 

at End of Period

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

4,136

$

(744)

$

-

$

142

$

-

$

-

$

3,534

$

902

Derivative liabilities, net:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

22

 

(4)

 

-

 

(4)

 

-

 

-

 

14

 

4

Foreign exchange contracts

 

-

 

(4)

 

-

 

9

 

-

 

-

 

5

 

(3)

Equity contracts

 

(82)

 

9

 

-

 

(8)

 

-

 

2

 

(79)

 

(9)

Credit contracts

 

262

 

(14)

 

-

 

(2)

 

-

 

-

 

246

 

13

Other contracts

 

(15)

 

(32)

 

-

 

37

 

-

 

-

 

(10)

 

35

Total derivative liabilities, net(a)

 

187

 

(45)

 

-

 

32

 

-

 

2

 

176

 

40

Total

$

4,323

$

(789)

$

-

$

174

$

-

$

2

$

3,710

$

942

(a)Total Level 3 derivative exposures have been netted in these tables for presentation purposes only.
Schedule of net realized and unrealized gains and losses related to Level 3 items

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

Gains (Losses)

 

Income

 

Total

Three Months Ended June 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

245

$

(22)

$

-

$

223

Other bond securities

 

109

 

50

 

-

 

159

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

18

 

-

 

-

 

18

Six Months Ended June 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

487

$

(36)

$

-

$

451

Other bond securities

 

196

 

52

 

-

 

248

Equity securities

 

-

 

-

 

-

 

-

Other invested assets

 

18

 

-

 

-

 

18

Three Months Ended June 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

200

$

(50)

$

-

$

150

Other bond securities

 

34

 

-

 

97

 

131

Equity securities

 

(3)

 

-

 

-

 

(3)

Other invested assets

 

32

 

-

 

(3)

 

29

Six Months Ended June 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale

$

482

$

(112)

$

-

$

370

Other bond securities

 

57

 

(4)

 

206

 

259

Equity securities

 

(3)

 

-

 

-

 

(3)

Other invested assets

 

57

 

-

 

(5)

 

52

 

 

 

 

 

 

 

 

 

 

 

Net

 

Net Realized

 

 

 

 

 

 

Investment

 

Capital

 

Other

 

 

(in millions)

 

Income

(Gains) Losses

 

Income

 

Total

Three Months Ended June 30, 2019

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

970

$

-

$

970

Derivative liabilities, net

 

-

 

(29)

 

(18)

 

(47)

Six Months Ended June 30, 2019

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

1,539

$

-

$

1,539

Derivative liabilities, net

 

-

 

(53)

 

(34)

 

(87)

Three Months Ended June 30, 2018

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

(238)

$

-

$

(238)

Derivative liabilities, net

 

-

 

(3)

 

(6)

 

(9)

Six Months Ended June 30, 2018

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

(744)

$

-

$

(744)

Derivative liabilities, net

 

-

 

(2)

 

(43)

 

(45)
Gross components of purchases, sales, issuances and settlements, net

 

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

 

and

 

Issuances and

 

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

 

Three Months Ended June 30, 2019

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

87

$

(1)

$

(24)

$

62

 

Non-U.S. governments

 

-

 

-

 

-

 

-

 

Corporate debt

 

8

 

(1)

 

(106)

 

(99)

 

RMBS

 

300

 

-

 

(704)

 

(404)

 

CMBS

 

179

 

-

 

(29)

 

150

 

CDO/ABS

 

972

 

(154)

 

(714)

 

104

 

Total bonds available for sale

 

1,546

 

(156)

 

(1,577)

 

(187)

 

Other bond securities:

 

 

 

 

 

 

 

 

 

RMBS

 

-

 

(437)

 

(42)

 

(479)

 

CMBS

 

14

 

-

 

-

 

14

 

CDO/ABS

 

-

 

-

 

(214)

 

(214)

 

Total other bond securities

 

14

 

(437)

 

(256)

 

(679)

 

Equity securities

 

9

 

-

 

-

 

9

 

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

Other invested assets

 

39

 

-

 

(44)

 

(5)

 

Other assets

 

-

 

-

 

2

 

2

 

Total assets

$

1,608

$

(593)

$

(1,875)

$

(860)

 

Liabilities:

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

203

$

14

$

217

 

Derivative liabilities, net

 

(9)

 

-

 

(11)

 

(20)

 

Total liabilities

$

(9)

$

203

$

3

$

197

 

Three Months Ended June 30, 2018

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

9

$

-

$

(38)

$

(29)

 

Non-U.S. governments

 

-

 

-

 

(5)

 

(5)

 

Corporate debt

 

1

 

(213)

 

(182)

 

(394)

 

RMBS

 

274

 

(5)

 

(885)

 

(616)

 

CMBS

 

-

 

-

 

(7)

 

(7)

 

CDO/ABS

 

475

 

(62)

 

(357)

 

56

 

Total bonds available for sale

 

759

 

(280)

 

(1,474)

 

(995)

 

Other bond securities:

 

 

 

 

 

 

 

 

 

RMBS

 

-

 

(29)

 

(76)

 

(105)

 

CMBS

 

-

 

-

 

-

 

-

 

CDO/ABS

 

-

 

-

 

(253)

 

(253)

 

Total other bond securities

 

-

 

(29)

 

(329)

 

(358)

 

Equity securities

 

-

 

-

 

-

 

-

 

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

 

Other invested assets

 

131

 

(29)

 

(24)

 

78

 

Total assets

$

890

$

(338)

$

(1,827)

$

(1,275)

 

Liabilities:

 

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

131

$

(55)

$

76

 

Derivative liabilities, net

 

(12)

 

-

 

17

 

5

 

Total liabilities

$

(12)

$

131

$

(38)

$

81

 

 

 

 

 

 

Issuances

 

Purchases, Sales,

 

 

 

 

 

 

and

 

Issuances and

(in millions)

 

Purchases

 

Sales

 

Settlements(a)

 

Settlements, Net(a)

Six Months Ended June 30, 2019

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

134

$

(16)

$

(32)

$

86

Non-U.S. governments

 

-

 

-

 

(4)

 

(4)

Corporate debt

 

57

 

(1)

 

(121)

 

(65)

RMBS

 

607

 

(26)

 

(1,397)

 

(816)

CMBS

 

363

 

-

 

(67)

 

296

CDO/ABS

 

1,170

 

(310)

 

(801)

 

59

Total bonds available for sale

 

2,331

 

(353)

 

(2,422)

 

(444)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

-

 

(437)

 

(83)

 

(520)

CMBS

 

18

 

-

 

(1)

 

17

CDO/ABS

 

-

 

-

 

(415)

 

(415)

Total other bond securities

 

18

 

(437)

 

(499)

 

(918)

Equity securities

 

9

 

-

 

-

 

9

Mortgage and other loans receivable

 

-

 

-

 

-

 

-

Other invested assets

 

43

 

-

 

(44)

 

(1)

Other assets

 

-

 

-

 

3

 

3

Total assets

$

2,401

$

(790)

$

(2,962)

$

(1,351)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

376

$

34

$

410

Derivative liabilities, net

 

(22)

 

-

 

21

 

(1)

Total liabilities

$

(22)

$

376

$

55

$

409

Six Months Ended June 30, 2018

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

Bonds available for sale:

 

 

 

 

 

 

 

 

Obligations of states, municipalities and political subdivisions

$

24

$

-

$

(122)

$

(98)

Non-U.S. governments

 

2

 

-

 

(6)

 

(4)

Corporate debt

 

255

 

(216)

 

(185)

 

(146)

RMBS

 

507

 

(10)

 

(1,649)

 

(1,152)

CMBS

 

12

 

-

 

(42)

 

(30)

CDO/ABS

 

970

 

(913)

 

(711)

 

(654)

Total bonds available for sale

 

1,770

 

(1,139)

 

(2,715)

 

(2,084)

Other bond securities:

 

 

 

 

 

 

 

 

RMBS

 

1

 

(34)

 

(148)

 

(181)

CMBS

 

-

 

-

 

(1)

 

(1)

CDO/ABS

 

-

 

(4)

 

(509)

 

(513)

Total other bond securities

 

1

 

(38)

 

(658)

 

(695)

Equity securities

 

3

 

-

 

-

 

3

Mortgage and other loans receivable

 

-

 

(5)

 

-

 

(5)

Other invested assets

 

153

 

(29)

 

(28)

 

96

Total assets

$

1,927

$

(1,211)

$

(3,401)

$

(2,685)

Liabilities:

 

 

 

 

 

 

 

 

Policyholder contract deposits

$

-

$

243

$

(101)

$

142

Derivative liabilities, net

 

(19)

 

-

 

51

 

32

Total liabilities

$

(19)

$

243

$

(50)

$

174

(a)There were no issuances during the three- and six-month periods ended June 30, 2019 and 2018.
Significant unobservable inputs used for recurring fair value measurements

 

Fair Value at

 

 

 

 

June 30,

Valuation

 

Range

(in millions)

2019

Technique

Unobservable Input(b)

(Weighted Average)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,631

Discounted cash flow

Yield

3.27% - 4.22% (3.74%)

 

 

 

 

 

 

Corporate debt

 

1,166

Discounted cash flow

Yield

3.34% - 8.21% (5.78%)

 

 

 

 

 

 

RMBS(a)

 

12,792

Discounted cash flow

Constant prepayment rate

3.62% - 12.16% (7.89%)

 

 

 

 

Loss severity

37.29% - 75.60% (56.44%)

 

 

 

 

Constant default rate

1.84% - 6.75% (4.29%)

 

 

 

 

Yield

2.50% - 4.53% (3.52%)

 

 

 

 

 

 

CDO/ABS(a)

 

5,969

Discounted cash flow

Yield

2.85% - 4.49% (3.67%)

 

 

 

 

 

 

CMBS

 

510

Discounted cash flow

Yield

2.91% - 5.09% (4.00%)

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

Guaranteed minimum withdrawal benefits (GMWB)

 

2,563

Discounted cash flow

Equity volatility

6.15% - 48.75%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 180.00%

 

 

 

 

Mortality multiplier(c)

40.00% - 153.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest-rate correlation

20.00% - 40.00%

 

 

 

 

 

 

Index Annuities

 

2,973

Discounted cash flow

Lapse rate

0.50% - 40.00%

 

 

 

 

Mortality multiplier(c)

42.00% - 162.00%

 

 

 

 

Option Budget

1.00% - 4.00%

 

 

 

 

 

 

Indexed Life

 

504

Discounted cash flow

Base lapse rate

0.00% - 37.97%

 

 

 

 

Mortality rate

0.00% - 100.00%

 

 

 

 

 

 

 

 

Fair Value at

 

 

 

 

 

December 31,

Valuation

 

Range

(in millions)

 

2018

Technique

Unobservable Input(b)

(Weighted Average)

Assets:

 

 

 

 

 

 

 

 

 

 

 

Obligations of states, municipalities

 

 

 

 

 

and political subdivisions

$

1,473

Discounted cash flow

Yield

3.91% - 5.00% (4.46%)

 

 

 

 

 

 

Corporate debt

 

445

Discounted cash flow

Yield

4.35% - 5.99% (5.17%)

 

 

 

 

 

 

RMBS(a)

 

13,608

Discounted cash flow

Constant prepayment rate

4.58% - 14.00% (9.29%)

 

 

 

 

Loss severity

39.66% - 74.40% (57.03%)

 

 

 

 

Constant default rate

2.46% - 7.39% (4.92%)

 

 

 

 

Yield

3.31% - 5.50% (4.40%)

 

 

 

 

 

 

CDO/ABS(a)

 

5,461

Discounted cash flow

Yield

3.65% - 5.10% (4.37%)

 

 

 

 

 

 

CMBS

 

447

Discounted cash flow

Yield

3.29% - 6.07% (4.68%)

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

Embedded derivatives within

 

 

 

 

 

Policyholder contract deposits:

 

 

 

 

 

 

 

 

 

 

 

GMWB

 

1,943

Discounted cash flow

Equity volatility

6.05% - 47.65%

 

 

 

 

Base lapse rate

0.16% - 12.60%

 

 

 

 

Dynamic lapse multiplier

20.00% - 180.00%

 

 

 

 

Mortality multiplier(c)

40.00% - 153.00%

 

 

 

 

Utilization

90.00% - 100.00%

 

 

 

 

Equity / interest-rate correlation

20.00% - 40.00%

 

 

 

 

 

 

Index Annuities

 

1,778

Discounted cash flow

Lapse rate

0.50% - 40.00%

 

 

 

 

Mortality multiplier(c)

42.00% - 162.00%

 

 

 

 

Option Budget

1.00% - 3.00%

 

 

 

 

 

 

Indexed Life

 

374

Discounted cash flow

Base lapse rate

0.00% - 13.00%

 

 

 

 

Mortality rate

0.00% - 100.00%

(a)Information received from third-party valuation service providers. The ranges of the unobservable inputs for constant prepayment rate, loss severity and constant default rate relate to each of the individual underlying mortgage loans that comprise the entire portfolio of securities in the RMBS and CDO securitization vehicles and not necessarily to the securitization vehicle bonds (tranches) purchased by us. The ranges of these inputs do not directly correlate to changes in the fair values of the tranches purchased by us, because there are other factors relevant to the fair values of specific tranches owned by us including, but not limited to, purchase price, position in the waterfall, senior versus subordinated position and attachment points.

(b)Represents discount rates, estimates and assumptions that we believe would be used by market participants when valuing these assets and liabilities.

(c)Mortality inputs are shown as multipliers of the 2012 Individual Annuity Mortality Basic table.
Investments in Certain Entities Carried at Fair Value Using Net Asset Value per Share

 

 

June 30, 2019

 

December 31, 2018

 

 

 

Fair Value

 

 

 

Fair Value

 

 

 

 

 

Using NAV

 

 

 

Using NAV

 

 

 

 

 

Per Share (or

 

Unfunded

 

Per Share (or

 

Unfunded

(in millions)

Investment Category Includes

 

its equivalent)

 

Commitments

 

its equivalent)

 

Commitments

Investment Category

 

 

 

 

 

 

 

 

 

 

Private equity funds:

 

 

 

 

 

 

 

 

 

 

Leveraged buyout

Debt and/or equity investments made as part of a transaction in which assets of mature companies are acquired from the current shareholders, typically with the use of financial leverage

$

1,063

$

1,435

 

$

847

$

1,327

 

 

 

 

 

 

 

 

 

 

 

Real Estate / Infrastructure

Investments in real estate properties and infrastructure positions, including power plants and other energy generating facilities

 

235

 

276

 

 

190

 

83

 

 

 

 

 

 

 

 

 

 

 

Venture capital

Early-stage, high-potential, growth companies expected to generate a return through an eventual realization event, such as an initial public offering or sale of the company

 

100

 

129

 

 

126

 

127

 

 

 

 

 

 

 

 

 

 

 

Growth Equity

Funds that make investments in established companies for the purpose of growing their businesses

 

373

 

77

 

 

362

 

28

 

 

 

 

 

 

 

 

 

 

 

Mezzanine

Funds that make investments in the junior debt and equity securities of leveraged companies

 

349

 

239

 

 

211

 

75

 

 

 

 

 

 

 

 

 

 

 

Other

Includes distressed funds that invest in securities of companies that are in default or under bankruptcy protection, as well as funds that have multi-strategy, and other strategies

 

570

 

269

 

 

514

 

307

Total private equity funds

 

2,690

 

2,425

 

 

2,250

 

1,947

Hedge funds:

 

 

 

 

 

 

 

 

 

 

Event-driven

Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations

 

778

 

-

 

 

787

 

-

 

 

 

 

 

 

 

 

 

 

 

Long-short

Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk

 

736

 

-

 

 

863

 

-

 

 

 

 

 

 

 

 

 

 

 

Macro

Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions

 

847

 

-

 

 

887

 

-

 

 

 

 

 

 

 

 

 

 

 

Distressed

Securities of companies that are in default, under bankruptcy protection or troubled

 

1

 

-

 

 

21

 

8

 

 

 

 

 

 

 

 

 

 

 

Other

Includes investments held in funds that are less liquid, as well as other strategies which allow for broader allocation between public and private investments

 

158

 

1

 

 

158

 

1

Total hedge funds

 

 

2,520

 

1

 

 

2,716

 

9

Total

 

$

5,210

$

2,426

 

$

4,966

$

1,956
Gains or losses related to the eligible instruments for which AIG elected the fair value option

 

Gain (Loss) Three Months Ended June 30,

Gain (Loss) Six Months Ended June 30,

 

(in millions)

 

2019

 

2018

 

2019

 

2018

Assets:

 

 

 

 

 

 

 

 

Bond and equity securities

$

283

$

129

$

638

$

152

Alternative investments(a)

 

151

 

96

 

381

 

224

Liabilities:

 

 

 

 

 

 

 

 

Long-term debt(b)

 

(93)

 

16

 

(153)

 

68

Total gain

$

341

$

241

$

866

$

444

(a)Includes certain hedge funds, private equity funds and other investment partnerships.

(b)Includes GIAs, notes, bonds and mortgages payable.
Difference between fair values and aggregate contractual principal amounts, fair value option

 

June 30, 2019

 

December 31, 2018

 

 

 

Outstanding

 

 

 

 

 

Outstanding

 

 

(in millions)

Fair Value

Principal Amount

Difference

 

Fair Value

Principal Amount

Difference

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt*

$

2,303

$

1,703

$

600

 

$

2,213

$

1,653

$

560

*Includes GIAs, notes, bonds, loans and mortgages payable.
Fair value assets measured on nonrecurring basis and impairment charges

 

Assets at Fair Value

 

Impairment Charges

 

Non-Recurring Basis

 

Three Months Ended June 30,

 

Six Months Ended June 30,

(in millions)

Level 1

Level 2

Level 3

 

Total

 

 

2019

 

2018

 

 

2019

 

2018

June 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

259

$

259

 

$

17

$

61

 

$

58

$

89

Other assets

 

-

 

-

 

1

 

1

 

 

9

 

1

 

 

17

 

1

Total

$

-

$

-

$

260

$

260

 

$

26

$

62

 

$

75

$

90

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other investments

$

-

$

-

$

315

$

315

 

 

 

 

 

 

 

 

 

 

Other assets

 

-

 

-

 

11

 

11

 

 

 

 

 

 

 

 

 

 

Total

$

-

$

-

$

326

$

326

 

 

 

 

 

 

 

 

 

 
Carrying values and estimated fair values of AIG's financial instruments

 

Estimated Fair Value

 

Carrying

(in millions)

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Value

June 30, 2019

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

104

$

45,314

$

45,418

$

43,556

Other invested assets

 

-

 

670

 

6

 

676

 

677

Short-term investments

 

-

 

9,566

 

-

 

9,566

 

9,566

Cash

 

2,935

 

-

 

-

 

2,935

 

2,935

Other assets

 

213

 

19

 

-

 

232

 

232

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

342

 

129,787

 

130,129

 

124,133

Other liabilities

 

-

 

2,394

 

-

 

2,394

 

2,394

Long-term debt

 

-

 

26,782

 

8,940

 

35,722

 

33,988

December 31, 2018

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

Mortgage and other loans receivable

$

-

$

105

$

43,522

$

43,627

$

43,135

Other invested assets

 

-

 

731

 

6

 

737

 

737

Short-term investments

 

-

 

6,659

 

-

 

6,659

 

6,659

Cash

 

2,873

 

-

 

-

 

2,873

 

2,873

Other assets

 

308

 

35

 

-

 

343

 

343

Liabilities:

 

 

 

 

 

 

 

 

 

 

Policyholder contract deposits associated

 

 

 

 

 

 

 

 

 

 

with investment-type contracts

 

-

 

339

 

121,035

 

121,374

 

120,602

Other liabilities

 

-

 

1,154

 

-

 

1,154

 

1,154

Long-term debt

 

-

 

22,822

 

8,775

 

31,597

 

32,327