Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The carrying amounts of derivative instruments, including derivative instruments embedded in FIA contracts, as of June 30, 2020 is as follows (in millions):

	June 30, 2020
Assets:
Derivative investments:
Call options	$	332
Futures contracts	1
Other long-term investments:
Other embedded derivatives	21
	$	354

Liabilities:
Contractholder funds:
FIA embedded derivative	$	2,952
Other liabilities:
Reinsurance related embedded derivative	35
	$	2,987

Derivative Instruments, Gain (Loss)

The change in fair value of derivative instruments included in the accompanying unaudited Condensed Consolidated Statements of Earnings is as follows (in millions):

	Three Months Ended
	June 30, 2020
Net investment gains (losses):
Call options	$	12
Futures contracts	2
Foreign currency forward	—
Other derivatives and embedded derivatives	1
Reinsurance related embedded derivatives	(21)
Total net investment losses	$	(6)
Benefits and other changes in policy reserves:
FIA embedded derivatives	$	100

FGL's Exposure to Credit Loss on Call Options Held

Information regarding our exposure to credit loss on the call options it holds as of June 30, 2020, is presented in the following table (in millions):

		June 30, 2020
Counterparty	Credit Rating (Fitch/Moody's/S&P) (1)	Notional Amount		Fair Value		Collateral		Net Credit Risk
Merrill Lynch	AA-/*/A+	$	2,873	$	34	$	—	$	34
Deutsche Bank	BBB/A3/BBB+	23		1		1		—
Morgan Stanley	*/A1/A+	2,086		23		19		4
Barclay's Bank	A+/A1/A	4,259		141		136		5
Canadian Imperial Bank of Commerce	AA/Aa2/A+	2,055		52		48		4
Wells Fargo	A+/A2/A-	2,986		74		69		5
Goldman Sachs	A/A3/BBB+	738		7		5		2
Total		$	15,020	$	332	$	278	$	54

(1) An * represents credit ratings that were not available.