FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2020

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

5. Fair Value Measurements

Fair Value Measurements on a Recurring Basis

Assets and liabilities recorded at fair value in the Condensed Consolidated Balance Sheets are measured and classified in accordance with a fair value hierarchy consisting of three “levels” based on the observability of valuation inputs:

Level 1: Fair value measurements based on quoted prices (unadjusted) in active markets that we have the ability to access for identical assets or liabilities. Market price data generally is obtained from exchange or dealer markets. We do not adjust the quoted price for such instruments.

Level 2: Fair value measurements based on inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. Level 2 inputs include quoted prices for similar assets and liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, and inputs other than quoted prices that are observable for the asset or liability, such as interest rates and yield curves that are observable at commonly quoted intervals.

Level 3: Fair value measurements based on valuation techniques that use significant inputs that are unobservable. Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3. The circumstances for using these measurements include those in which there is little, if any, market activity for the asset or liability. Therefore, we must make certain assumptions about the inputs a hypothetical market participant would use to value that asset or liability.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents information about assets and liabilities measured at fair value on a recurring basis and indicates the level of the fair value measurement based on the observability of the inputs used:

March 31, 2020							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	$	239	$	5,450	$	-	$	-	$	-	$	5,689
Obligations of states, municipalities and political subdivisions		-		13,338		2,102		-		-		15,440
Non-U.S. governments		48		14,119		6		-		-		14,173
Corporate debt		-		143,107		1,215		-		-		144,322
RMBS		-		19,170		11,687		-		-		30,857
CMBS		-		13,080		1,146		-		-		14,226
CDO/ABS		-		8,301		8,768		-		-		17,069
Total bonds available for sale		287		216,565		24,924		-		-		241,776
Other bond securities:
U.S. government and government sponsored entities		6		2,051		-		-		-		2,057
Non-U.S. governments		-		-		-		-		-		-
Corporate debt		-		16		-		-		-		16
RMBS		-		318		149		-		-		467
CMBS		-		229		42		-		-		271
CDO/ABS		-		164		2,378		-		-		2,542
Total other bond securities		6		2,778		2,569		-		-		5,353
Equity securities		582		23		19		-		-		624
Other invested assets(b)		-		80		1,467		-		-		1,547
Derivative assets:
Interest rate contracts		2		6,621		-		-		-		6,623
Foreign exchange contracts		-		2,337		1		-		-		2,338
Equity contracts		87		1,003		150		-		-		1,240
Credit contracts		-		-		133		-		-		133
Other contracts		-		-		15		-		-		15
Counterparty netting and cash collateral		-		-		-		(4,645)		(4,840)		(9,485)
Total derivative assets		89		9,961		299		(4,645)		(4,840)		864
Short-term investments		1,732		6,454		-		-		-		8,186
Other assets		176		2,180		91		-		-		2,447
Separate account assets		74,591		4,245		-		-		-		78,836
Total	$	77,463	$	242,286	$	29,369	$	(4,645)	$	(4,840)	$	339,633
Liabilities:
Policyholder contract deposits	$	-	$	-	$	8,153	$	-	$	-	$	8,153
Derivative liabilities:
Interest rate contracts		2		4,224		-		-		-		4,226
Foreign exchange contracts		-		1,028		4		-		-		1,032
Equity contracts		8		62		7		-		-		77
Credit contracts		-		24		57		-		-		81
Other contracts		-		-		13		-		-		13
Counterparty netting and cash collateral		-		-		-		(4,645)		(147)		(4,792)
Total derivative liabilities		10		5,338		81		(4,645)		(147)		637
Other liabilities		-		-		-		-		-		-
Long-term debt		-		2,276		-		-		-		2,276
Total	$	10	$	7,614	$	8,234	$	(4,645)	$	(147)	$	11,066

December 31, 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	$	135	$	5,245	$	-	$	-	$	-	$	5,380
Obligations of states, municipalities and political subdivisions		-		13,197		2,121		-		-		15,318
Non-U.S. governments		60		14,809		-		-		-		14,869
Corporate debt		-		147,973		1,663		-		-		149,636
RMBS		-		19,397		13,408		-		-		32,805
CMBS		-		13,377		1,053		-		-		14,430
CDO/ABS		-		10,962		7,686		-		-		18,648
Total bonds available for sale		195		224,960		25,931		-		-		251,086
Other bond securities:
U.S. government and government sponsored entities		-		2,121		-		-		-		2,121
Non-U.S. governments		-		-		-		-		-		-
Corporate debt		-		18		-		-		-		18
RMBS		-		346		143		-		-		489
CMBS		-		272		50		-		-		322
CDO/ABS		-		187		3,545		-		-		3,732
Total other bond securities		-		2,944		3,738		-		-		6,682
Equity securities		756		77		8		-		-		841
Other invested assets(b)		-		86		1,192		-		-		1,278
Derivative assets:
Interest rate contracts		1		3,199		-		-		-		3,200
Foreign exchange contracts		-		1,034		6		-		-		1,040
Equity contracts		5		593		171		-		-		769
Credit contracts		-		-		3		-		-		3
Other contracts		-		-		14		-		-		14
Counterparty netting and cash collateral		-		-		-		(2,427)		(1,806)		(4,233)
Total derivative assets		6		4,826		194		(2,427)		(1,806)		793
Short-term investments		2,299		3,044		-		-		-		5,343
Other assets		57		2,212		89		-		-		2,358
Separate account assets		89,069		4,203		-		-		-		93,272
Total	$	92,382	$	242,352	$	31,152	$	(2,427)	$	(1,806)	$	361,653
Liabilities:
Policyholder contract deposits	$	-	$	-	$	6,910	$	-	$	-	$	6,910
Derivative liabilities:
Interest rate contracts		4		2,745		-		-		-		2,749
Foreign exchange contracts		-		1,025		-		-		-		1,025
Equity contracts		8		111		20		-		-		139
Credit contracts		-		24		65		-		-		89
Other contracts		-		-		7		-		-		7
Counterparty netting and cash collateral		-		-		-		(2,427)		(527)		(2,954)
Total derivative liabilities		12		3,905		92		(2,427)		(527)		1,055
Other liabilities		-		45		-		-		-		45
Long-term debt		-		2,062		-		-		-		2,062
Total	$	12	$	6,012	$	7,002	$	(2,427)	$	(527)	$	10,072

(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 $5.0 billion and $5.5 billion as of March 31, 2020 and December 31, 2019, respectively.

Changes in Level 3 Recurring Fair Value Measurements

The following tables present changes during the three-month periods ended March 31, 2020 and 2019 in Level 3 assets and liabilities measured at fair value on a recurring basis, and the realized and unrealized gains (losses) related to the Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets at March 31, 2020 and 2019:

																				Changes in
																				Unrealized Gains
				Net														Changes in		(Losses) Included in
				Realized and														Unrealized Gains		Other Comprehensive
				Unrealized				Purchases,										(Losses) Included		Income (Loss) for
		Fair Value	Gains (Losses)			Other		Sales,		Gross		Gross		Reclassification		Fair Value		in Income on		Recurring Level 3
		Beginning		Included	Comprehensive			Issuances and	Transfers		Transfers			of Held		End		Instruments Held		Instruments Held
(in millions)		of Period		in Income		Income (Loss)	Settlements, Net			In		Out		for Sale(a)		of Period		at End of Period		at End of Period
Three Months Ended March 31, 2020
Assets:
Bonds available for sale:
Obligations of states,
municipalities and
political subdivisions	$	2,121	$	5	$	(55)	$	137	$	27	$	(133)	$	-	$	2,102	$	-	$	(51)
Non-U.S. governments		-		-		-		-		6		-		-		6		-		-
Corporate debt		1,663		(67)		(81)		7		103		(410)		-		1,215		-		(29)
RMBS		13,408		132		(1,623)		(223)		19		(26)		-		11,687		-		(1,505)
CMBS		1,053		7		19		44		23		-		-		1,146		-		21
CDO/ABS		7,686		17		(557)		47		1,603		(28)		-		8,768		-		(536)
Total bonds available for sale(b)		25,931		94		(2,297)		12		1,781		(597)		-		24,924		-		(2,100)
Other bond securities:
Corporate debt		-		-		-		-		-		-		-		-		-		-
RMBS		143		(14)		-		20		-		-		-		149		(14)		-
CMBS		50		(7)		-		(1)		-		-		-		42		(8)		-
CDO/ABS		3,545		(173)		-		(994)		-		-		-		2,378		(262)		-
Total other bond securities		3,738		(194)		-		(975)		-		-		-		2,569		(284)		-
Equity securities		8		(1)		1		10		1		-		-		19		-		-
Mortgage and other loans
receivable		-		-		-		-		-		-		-		-		-		-
Other invested assets		1,192		(4)		-		129		150		-		-		1,467		14		-
Other assets		89		-		-		5		-		-		(3)		91		-		-
Total	$	30,958	$	(105)	$	(2,296)	$	(819)	$	1,932	$	(597)	$	(3)	$	29,070	$	(270)	$	(2,100)
																				Changes in
																				Unrealized Gains
				Net														Changes in		(Losses) Included in
				Realized and														Unrealized Gains		Other Comprehensive
				Unrealized				Purchases,										(Losses) Included		Income (Loss) for
		Fair Value	(Gains) Losses			Other		Sales,		Gross		Gross		Reclassification		Fair Value		in Income on		Recurring Level 3
		Beginning		Included	Comprehensive			Issuances and	Transfers		Transfers			of Held		End		Instruments Held		Instruments Held
(in millions)		of Period		in Income		Income (Loss)	Settlements, Net			In		Out		for Sale(a)		of Period		at End of Period		at End of Period
Liabilities:
Policyholder contract deposits	$	6,910	$	1,171	$	-	$	72	$	-	$	-	$	-	$	8,153	$	(884)	$	-
Derivative liabilities, net:
Interest rate contracts		-		-		-		-		-		-		-		-		-		-
Foreign exchange contracts		(6)		3		-		6		-		-		-		3		1		-
Equity contracts		(151)		(26)		-		34		-		-		-		(143)		(14)		-
Credit contracts		62		(124)		-		(14)		-		-		-		(76)		118		-
Other contracts		(7)		(10)		-		15		-		-		-		(2)		10		-
Total derivative liabilities, net(c)		(102)		(157)		-		41		-		-		-		(218)		115		-
Total	$	6,808	$	1,014	$	-	$	113	$	-	$	-	$	-	$	7,935	$	(769)	$	-

				Net														Changes in
				Realized and														Unrealized Gains
				Unrealized				Purchases,										(Losses) Included
		Fair Value	Gains (Losses)			Other		Sales,		Gross		Gross		Reclassification		Fair Value		in Income on
		Beginning		Included	Comprehensive			Issuances and		Transfers		Transfers		of Held		End		Instruments Held
(in millions)		of Period		in Income		Income (Loss)	Settlements, Net			In		Out		for Sale(a)		of Period		at End of Period
Three Months Ended March 31, 2019
Assets:
Bonds available for sale:
Obligations of states, municipalities
and political subdivisions	$	2,000	$	(1)	$	97	$	24	$	29	$	(13)	$	-	$	2,136	$	-
Non-U.S. governments		11		-		-		(4)		-		(4)		-		3		-
Corporate debt		864		(3)		38		34		654		(55)		-		1,532		-
RMBS		14,199		227		24		(412)		23		(16)		-		14,045		-
CMBS		917		1		17		146		-		(189)		-		892		-
CDO/ABS		9,102		4		54		(45)		92		(367)		-		8,840		-
Total bonds available for sale		27,093		228		230		(257)		798		(644)		-		27,448		-
Other bond securities:
Corporate debt		-		-		-		-		-		-		-		-		-
RMBS		1,290		17		-		(41)		-		-		-		1,266		-
CMBS		77		4		-		3		-		-		-		84		3
CDO/ABS		4,478		68		-		(201)		-		(96)		-		4,249		24
Total other bond securities		5,845		89		-		(239)		-		(96)		-		5,599		27
Equity securities		27		-		-		-		-		(1)		-		26		-
Mortgage and other loans receivable		-		-		-		-		-		-		-		-		-
Other invested assets		587		-		-		4		-		-		-		591		2
Other assets		58		-		-		1		-		-		-		59		-
Total	$	33,610	$	317	$	230	$	(491)	$	798	$	(741)	$	-	$	33,723	$	29
				Net														Changes in
				Realized and														Unrealized Gains
				Unrealized				Purchases,										(Losses) Included
		Fair Value		(Gains) Losses		Other		Sales,		Gross		Gross		Reclassification		Fair Value		in Income on
		Beginning		Included	Comprehensive			Issuances and		Transfers		Transfers		of Held		End		Instruments Held
(in millions)		of Period		in Income		Income (Loss)	Settlements, Net			In		Out		for Sale(a)		of Period		at End of Period
Liabilities:
Policyholder contract deposits	$	4,116	$	569	$	-	$	193	$	-	$	-	$	-	$	4,878	$	(521)
Derivative liabilities, net:
Interest rate contracts		15		1		-		(1)		-		-		-		15		(1)
Foreign exchange contracts		(5)		(5)		-		9		-		-		-		(1)		(1)
Equity contracts		(75)		(16)		-		(5)		-		-		-		(96)		19
Credit contracts		227		(3)		-		(2)		-		-		-		222		4
Other contracts		(9)		(17)		-		18		-		-		-		(8)		17
Total derivative liabilities, net(c)		153		(40)		-		19		-		-		-		132		38
Total	$	4,269	$	529	$	-	$	212	$	-	$	-	$	-	$	5,010	$	(483)

(a)Reported in Other assets in the Condensed Consolidated Balance Sheets.

(b)As a result of the adoption of the Financial Instruments Credit Losses Standard on January 1, 2020, credit losses are included in net realized and unrealized (gains) losses included in income.

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

Net realized and unrealized gains and losses included in income related to Level 3 assets and liabilities shown above are reported in the Condensed Consolidated Statements of Income as follows:

		Net		Net Realized
		Investment		Capital		Other
(in millions)		Income	Gains (Losses)			Income		Total
Three Months Ended March 31, 2020
Assets:
Bonds available for sale*	$	198	$	(104)	$	-	$	94
Other bond securities		(462)		268		-		(194)
Equity securities		-		(1)		-		(1)
Other invested assets		(4)		-		-		(4)
Three Months Ended March 31, 2019
Assets:
Bonds available for sale	$	242	$	(14)	$	-	$	228
Other bond securities		87		2		-		89
Equity securities		-		-		-		-
Other invested assets		-		-		-		-
		Net		Net Realized
		Investment		Capital		Other
(in millions)		Income	(Gains) Losses			Income		Total
Three Months Ended March 31, 2020
Liabilities:
Policyholder contract deposits	$	-	$	1,171	$	-	$	1,171
Derivative liabilities, net		-		(143)		(14)		(157)
Three Months Ended March 31, 2019
Liabilities:
Policyholder contract deposits	$	-	$	569	$	-	$	569
Derivative liabilities, net		-		(24)		(16)		(40)

*As a result of the adoption of the Financial Instruments Credit Losses Standard on January 1, 2020, credit losses are included in net realized capital gains (losses).

The following table presents the gross components of purchases, sales, issuances and settlements, net, shown above, for the three-month periods ended March 31, 2020 and 2019 related to Level 3 assets and liabilities in the Condensed Consolidated Balance Sheets:

						Issuances		Purchases, Sales,
						and		Issuances and
(in millions)		Purchases		Sales		Settlements(a)		Settlements, Net(a)
Three Months Ended March 31, 2020
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	145	$	(2)	$	(6)	$	137
Non-U.S. governments		-		-		-		-
Corporate debt		112		(5)		(100)		7
RMBS		336		-		(559)		(223)
CMBS		53		(2)		(7)		44
CDO/ABS		225		(22)		(156)		47
Total bonds available for sale		871		(31)		(828)		12
Other bond securities:
RMBS		25		-		(5)		20
CMBS		-		-		(1)		(1)
CDO/ABS		35		(579)		(450)		(994)
Total other bond securities		60		(579)		(456)		(975)
Equity securities		10		-		-		10
Mortgage and other loans receivable		-		-		-		-
Other invested assets		174		-		(45)		129
Other assets		-		-		5		5
Total assets	$	1,115	$	(610)	$	(1,324)	$	(819)
Liabilities:
Policyholder contract deposits	$	-	$	222	$	(150)	$	72
Derivative liabilities, net		(15)		8		48		41
Total liabilities	$	(15)	$	230	$	(102)	$	113
Three Months Ended March 31, 2019
Assets:
Bonds available for sale:
Obligations of states, municipalities and political subdivisions	$	47	$	(15)	$	(8)	$	24
Non-U.S. governments		-		-		(4)		(4)
Corporate debt		49		-		(15)		34
RMBS		307		(26)		(693)		(412)
CMBS		184		-		(38)		146
CDO/ABS		198		(156)		(87)		(45)
Total bonds available for sale		785		(197)		(845)		(257)
Other bond securities:
Corporate debt		-		-		-		-
RMBS		-		-		(41)		(41)
CMBS		4		-		(1)		3
CDO/ABS		-		-		(201)		(201)
Total other bond securities		4		-		(243)		(239)
Equity securities		-		-		-		-
Mortgage and other loans receivable		-		-		-		-
Other invested assets		4		-		-		4
Other assets		-		-		1		1
Total assets	$	793	$	(197)	$	(1,087)	$	(491)
Liabilities:
Policyholder contract deposits	$	-	$	173	$	20	$	193
Derivative liabilities, net		(13)		-		32		19
Total liabilities	$	(13)	$	173	$	52	$	212

(a)There were no issuances during the three-month periods ended March 31, 2020 and 2019.

Both observable and unobservable inputs may be used to determine the fair values of positions classified in Level 3 in the tables above. As a result, the unrealized gains (losses) on instruments held at March 31, 2020 and 2019 may include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable inputs (e.g., changes in unobservable long-dated volatilities).

Transfers of Level 3 Assets and Liabilities

The Net realized and unrealized gains (losses) included in income (loss) or Other comprehensive income (loss) as shown in the table above excludes $(156) million and $(55) million of net gains (losses) related to assets and liabilities transferred into Level 3 during the three-month periods ended March 31, 2020 and 2019, respectively, and includes $(55) million and $(1) million of net gains (losses) related to assets and liabilities transferred out of Level 3 during the three-month periods ended March 31, 2020 and 2019, respectively.

Transfers of Level 3 Assets

During the three-month periods ended March 31, 2020 and 2019, transfers into Level 3 assets primarily included certain investments in private placement corporate debt, RMBS, CMBS and CDO/ABS. Transfers of private placement corporate debt and certain ABS into Level 3 assets were primarily the result of limited market pricing information that required us to determine fair value for these securities based on inputs that are adjusted to better reflect our own assumptions regarding the characteristics of a specific security or associated market liquidity. The transfers of investments in RMBS, CMBS and CDO and certain ABS into Level 3 assets were due to diminished market transparency and liquidity for individual security types.

During the three-month periods ended March 31, 2020 and 2019, transfers out of Level 3 assets primarily included private placement and other corporate debt, CMBS, RMBS, CDO/ABS and certain investments in municipal securities. Transfers of certain investments in municipal securities, corporate debt, RMBS, CMBS and CDO/ABS out of Level 3 assets were based on consideration of market liquidity as well as related transparency of pricing and associated observable inputs for these investments. Transfers of certain investments in private placement corporate debt and certain ABS out of Level 3 assets were primarily the result of using observable pricing information that reflects the fair value of those securities without the need for adjustment based on our own assumptions regarding the characteristics of a specific security or the current liquidity in the market.

Transfers of Level 3 Liabilities

There were no significant transfers of derivative or other liabilities into or out of Level 3 for the three-month periods ended March 31, 2020 and 2019.

QUANTITATIVE INFORMATION ABOUT LEVEL 3 FAIR VALUE MEASUREMENTS

The table below presents information about the significant unobservable inputs used for recurring fair value measurements for certain Level 3 instruments, and includes only those instruments for which information about the inputs is reasonably available to us, such as data from independent third-party valuation service providers and from internal valuation models. Because input information from third-parties with respect to certain Level 3 instruments (primarily CDO/ABS) may not be reasonably available to us, balances shown below may not equal total amounts reported for such Level 3 assets and liabilities:

	Fair Value at
	March 31,		Valuation		Range
(in millions)	2020		Technique	Unobservable Input(b)	(Weighted Average)
Assets:
Obligations of states, municipalities
and political subdivisions	$	1,616	Discounted cash flow	Yield	3.37% - 4.13% (3.75%)
Corporate debt		982	Discounted cash flow	Yield	2.11% - 6.18% (4.14%)
RMBS(a)		10,762	Discounted cash flow	Constant prepayment rate	4.46% - 13.12% (8.79%)
				Loss severity	30.78% - 76.29% (53.53%)
				Constant default rate	1.41% - 5.86% (3.63%)
				Yield	4.01% - 6.89% (5.45%)
CDO/ABS(a)		6,914	Discounted cash flow	Yield	3.93% - 7.94% (5.94%)
CMBS		555	Discounted cash flow	Yield	1.06% - 6.94% (4.00%)
Liabilities:
Embedded derivatives within
Policyholder contract deposits:
Guaranteed minimum withdrawal benefits (GMWB)		3,978	Discounted cash flow	Equity volatility	7.00% - 57.00%
				Base lapse rate	0.00% - 13.00%
				Dynamic lapse multiplier	50.00% - 143.00%
				Mortality multiplier(c)	38.00% - 147.00%
				Utilization	90.00% - 100.00%
				Equity / interest rate correlation	20.00% - 40.00%
				NPA(d)	1.31% - 2.80%
Index annuities		3,719	Discounted cash flow	Lapse rate	0.31% - 50.00%
				Mortality multiplier(c)	24.00% - 180.00%
				Option budget	0.00% - 4.00%
				NPA(d)	1.31% - 2.80%
Indexed life		434	Discounted cash flow	Base lapse rate	0.00% - 37.97%
				Mortality rate	0.00% - 100.00%
				NPA(d)	1.31% - 2.80%

		Fair Value at
		December 31,	Valuation		Range
(in millions)		2019	Technique	Unobservable Input(b)	(Weighted Average)
Assets:
Obligations of states, municipalities
and political subdivisions	$	1,633	Discounted cash flow	Yield	3.35% - 3.95% (3.65%)
Corporate debt		1,087	Discounted cash flow	Yield	3.48% - 6.22% (4.85%)
RMBS(a)		11,746	Discounted cash flow	Constant prepayment rate	4.00% - 12.89% (8.44%)
				Loss severity	33.68% - 76.91% (55.29%)
				Constant default rate	1.68% - 6.17% (3.93%)
				Yield	2.52% - 4.53% (3.52%)
CDO/ABS(a)		6,025	Discounted cash flow	Yield	2.92% - 4.91% (3.91%)
CMBS		476	Discounted cash flow	Yield	2.77% - 5.18% (3.97%)
Liabilities:
Embedded derivatives within
Policyholder contract deposits:
GMWB		2,474	Discounted cash flow	Equity volatility	6.15% - 48.85%
				Base lapse rate	0.16% - 12.60%
				Dynamic lapse multiplier	50.00% - 143.00%
				Mortality multiplier(c)	38.00% - 147.00%
				Utilization	90.00% - 100.00%
				Equity / interest rate correlation	20.00% - 40.00%
				NPA(d)	0.12% - 1.53%
Index annuities		3,895	Discounted cash flow	Lapse rate	0.31% - 50.00%
				Mortality multiplier(c)	24.00% - 180.00%
				Option budget	1.00% - 4.00%
				NPA(d)	0.12% - 1.53%
Indexed life		510	Discounted cash flow	Base lapse rate	0.00% - 37.97%
				Mortality rate	0.00% - 100.00%
				NPA(d)	0.12% - 1.53%

(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. The weighted averaging for fixed maturity securities is based on the estimated fair value of the securities.

(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.

(d)The non-performance risk adjustment (NPA) applied as a spread over risk-free curve for discounting.

The ranges of reported inputs for Obligations of states, municipalities and political subdivisions, Corporate debt, RMBS, CDO/ABS, and CMBS valued using a discounted cash flow technique consist of one standard deviation in either direction from the value-weighted average. The preceding table does not give effect to our risk management practices that might offset risks inherent in these Level 3 assets and liabilities.

Interrelationships between Unobservable Inputs

We consider unobservable inputs to be those for which market data is not available and that are developed using the best information available to us about the assumptions that market participants would use when pricing the asset or liability. Relevant inputs vary depending on the nature of the instrument being measured at fair value. The following paragraphs provide a general description of significant unobservable inputs along with interrelationships between and among the significant unobservable inputs and their impact on the fair value measurements. In practice, simultaneous changes in assumptions may not always have a linear effect on the inputs discussed below. Interrelationships may also exist between observable and unobservable inputs. Such relationships have not been included in the discussion below. For each of the individual relationships described below, the inverse relationship would also generally apply.

Fixed Maturity Securities

The significant unobservable input used in the fair value measurement of fixed maturity securities is yield. The yield is affected by the market movements in credit spreads and U.S. Treasury yields. The yield may be affected by other factors including constant prepayment rates, loss severity, and constant default rates. In general, increases in the yield would decrease the fair value of investments, and conversely, decreases in the yield would increase the fair value of investments.

Embedded derivatives within Policyholder contract deposits

Embedded derivatives reported within Policyholder contract deposits include interest crediting rates based on market indices within index annuities, indexed life, and GICs as well as GMWB within variable annuity and certain index annuity products. For any given contract, assumptions for unobservable inputs vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. The following unobservable inputs are used for valuing embedded derivatives measured at fair value:

Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. Increases in assumed volatility will generally increase the fair value of both the projected cash flows from rider fees as well as the projected cash flows related to benefit payments. Therefore, the net change in the fair value of the liability may be either a decrease or an increase, depending on the relative changes in projected rider fees and projected benefit payments.

Equity / interest rate correlation estimates the relationship between changes in equity returns and interest rates in the economic scenario generator used to value our GMWB embedded derivatives. In general, a higher positive correlation assumes that equity markets and interest rates move in a more correlated fashion, which generally increases the fair value of the liability.

Base lapse rate assumptions are determined by company experience and are adjusted at the contract level using a dynamic lapse function, which reduces the base lapse rate when the contract is in-the-money (when the contract holder’s guaranteed value, as estimated by the company, is worth more than their underlying account value). Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. Increases in assumed lapse rates will generally decrease the fair value of the liability, as fewer policyholders would persist to collect guaranteed withdrawal amounts.

Mortality rate assumptions, which vary by age and gender, are based on company experience and include a mortality improvement assumption. Increases in assumed mortality rates will decrease the fair value of the liability, while lower mortality rate assumptions will generally increase the fair value of the liability, because guaranteed payments will be made for a longer period of time.

Utilization assumptions estimate the timing when policyholders with a GMWB will elect to utilize their benefit and begin taking withdrawals. The assumptions may vary by the type of guarantee, tax-qualified status, the contract’s withdrawal history and the age of the policyholder. Utilization assumptions are based on company experience, which includes partial withdrawal behavior. Increases in assumed utilization rates will generally increase the fair value of the liability.

Option budget estimates the expected long-term cost of options used to hedge exposures associated with equity price changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

Investments in Certain Entities Carried at Fair Value Using Net Asset Value Per Share

The following table includes information related to our investments in certain other invested assets, including private equity funds, hedge funds and other alternative investments that calculate net asset value per share (or its equivalent). For these investments, which are measured at fair value on a recurring basis, we use the net asset value per share to measure fair value.

		March 31, 2020				December 31, 2019
			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	$	1,245	$	1,454	$	1,189	$	1,543
Real Estate / Infrastructure	Investments in real estate properties and infrastructure positions, including power plants and other energy generating facilities		412		451		400		290
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		130		142		111		155
Growth Equity	Funds that make investments in established companies for the purpose of growing their businesses		480		87		422		57
Mezzanine	Funds that make investments in the junior debt and equity securities of leveraged companies		377		339		325		414
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		769		135		773		206
Total private equity funds			3,413		2,608		3,220		2,665
Hedge funds:
Event-driven	Securities of companies undergoing material structural changes, including mergers, acquisitions and other reorganizations		361		-		727		-
Long-short	Securities that the manager believes are undervalued, with corresponding short positions to hedge market risk		408		-		539		-
Macro	Investments that take long and short positions in financial instruments based on a top-down view of certain economic and capital market conditions		697		-		894		-
Distressed	Securities of companies that are in default, under bankruptcy protection or troubled		-		-		1		-
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		150		1		168		1
Total hedge funds			1,616		1		2,329		1
Total		$	5,029	$	2,609	$	5,549	$	2,666

Private equity fund investments included above are not redeemable, because distributions from the funds will be received when underlying investments of the funds are liquidated. Private equity funds are generally expected to have 10-year lives at their inception, but these lives may be extended at the fund manager’s discretion, typically in one or two-year increments.

The hedge fund investments included above, which are carried at fair value, are generally redeemable subject to the redemption notices period. The majority of our hedge fund investments are redeemable monthly or quarterly.

Fair Value Option

The following table presents the gains or losses recorded related to the eligible instruments for which we elected the fair value option:

Three Months Ended March 31,	Gain (Loss)
(in millions)		2020		2019
Assets:
Bonds	$	(60)	$	355
Alternative investments(a)		(139)		230
Liabilities:
Long-term debt(b)		(203)		(60)
Total gain (loss)	$	(402)	$	525

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

(b)Includes GIAs, notes, bonds and mortgages payable.

We calculate the effect of these credit spread changes using discounted cash flow techniques that incorporate current market interest rates, our observable credit spreads on these liabilities and other factors that mitigate the risk of nonperformance such as cash collateral posted.

The following table presents the difference between fair value and the aggregate contractual principal amount of long-term debt for which the fair value option was elected:

	March 31, 2020						December 31, 2019
			Outstanding						Outstanding
(in millions)	Fair Value		Principal Amount		Difference		Fair Value		Principal Amount		Difference
Liabilities:
Long-term debt*	$	2,276	$	1,543	$	733	$	2,062	$	1,502	$	560

*Includes GIAs, notes, bonds, loans and mortgages payable.

FAIR VALUE MEASUREMENTS ON A NON-RECURRING BASIS

The following table presents assets measured at fair value on a non-recurring basis at the time of impairment and the related impairment charges recorded during the periods presented:

		Assets at Fair Value							Impairment Charges
		Non-Recurring Basis							Three Months Ended March 31,
(in millions)		Level 1		Level 2		Level 3		Total		2020		2019
March 31, 2020
Other investments	$	-	$	-	$	97	$	97	$	11	$	41
Other assets		-		-		-		-		12		8
Total	$	-	$	-	$	97	$	97	$	23	$	49
December 31, 2019
Other investments	$	-	$	-	$	329	$	329
Other assets		-		-		1		1
Total	$	-	$	-	$	330	$	330

FAIR VALUE INFORMATION ABOUT FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE

The following table presents the carrying amounts and estimated fair values of our financial instruments not measured at fair value and indicates the level in the fair value hierarchy of the estimated fair value measurement based on the observability of the inputs used:

	Estimated Fair Value									Carrying
(in millions)		Level 1		Level 2		Level 3		Total		Value
March 31, 2020
Assets:
Mortgage and other loans receivable	$	-	$	100	$	47,508	$	47,608	$	46,844
Other invested assets		-		772		6		778		778
Short-term investments		-		11,587		-		11,587		11,587
Cash		2,738		-		-		2,738		2,738
Other assets		340		34		-		374		374
Liabilities:
Policyholder contract deposits associated
with investment-type contracts		-		246		137,161		137,407		127,194
Other liabilities		14		4,333		-		4,347		4,347
Long-term debt and debt of consolidated investment entities		-		24,765		9,114		33,879		33,134
Separate account liabilities - investment contracts		-		74,711		-		74,711		74,711
December 31, 2019
Assets:
Mortgage and other loans receivable	$	-	$	101	$	48,904	$	49,005	$	46,984
Other invested assets		-		735		6		741		742
Short-term investments		-		7,887		-		7,887		7,887
Cash		2,856		-		-		2,856		2,856
Other assets		291		20		-		311		311
Liabilities:
Policyholder contract deposits associated
with investment-type contracts		-		255		132,991		133,246		126,137
Other liabilities		15		3,048		-		3,063		3,063
Long-term debt and debt of consolidated investment entities		-		27,024		8,883		35,907		33,288
Separate account liabilities - investment contracts		-		88,770		-		88,770		88,770