Fair Value Measurements (excluding Consolidated Investment Entities) (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company's hierarchy for its assets and liabilities from continuing operations, including amounts

related to businesses to be exited via reinsurance associated with the Individual Life Transaction, measured at fair value on a recurring basis as of March 31, 2020:

	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	1,253		$	342		$	—		$	1,595
U.S. Government agencies and authorities	—			100			—			100
State, municipalities and political subdivisions	—			1,315			—			1,315
U.S. corporate public securities	—			13,890			66			13,956
U.S. corporate private securities	—			4,352			1,291			5,643
Foreign corporate public securities and foreign governments(1)	—			4,002			4			4,006
Foreign corporate private securities(1)	—			4,139			277			4,416
Residential mortgage-backed securities	—			5,577			30			5,607
Commercial mortgage-backed securities	—			3,484			—			3,484
Other asset-backed securities	—			1,785			87			1,872
Total fixed maturities, including securities pledged	1,253			38,986			1,755			41,994
Equity securities	57			—			119			176
Derivatives:
Interest rate contracts	36			697			50			783
Foreign exchange contracts	—			88			—			88
Equity contracts	2			2			—			4
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	3,263			33			—			3,296
Assets held in separate accounts	61,851			6,945			141			68,937
Total assets	$	66,462		$	46,751		$	2,065		$	115,278
Percentage of Level to total	58		%	40		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives(2)	—			—			253			253
Other derivatives:
Interest rate contracts	2			986			50			1,038
Equity contracts	—			28			—			28
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			52			—			52
Total liabilities	$	2		$	1,068		$	303		$	1,373

⁽¹⁾ Primarily U.S. dollar denominated.

⁽²⁾Includes GMWBL, GMWB,FIA, Stabilizer and MCGs.

The following table presents the Company's hierarchy for its assets and liabilities related to businesses held for sale measured at

fair value on a recurring basis as of March 31, 2020:

	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	534		$	384		$	—		$	918
U.S. Government agencies and authorities	—			173			—			173
State, municipalities and political subdivisions	—			438			—			438
U.S. corporate public securities	—			5,612			34			5,646
U.S. corporate private securities	—			580			288			868
Foreign corporate public securities and foreign governments(1)	—			1,362			3			1,365
Foreign corporate private securities(1)	—			463			68			531
Residential mortgage-backed securities	—			585			—			585
Commercial mortgage-backed securities	—			983			—			983
Other asset-backed securities	—			538			7			545
Total fixed maturities, including securities pledged	534			11,118			400			12,052
Equity securities	2			—			30			32
Derivatives:
Interest rate contracts	—			1			49			50
Foreign exchange contracts	—			5			—			5
Equity contracts	—			10			83			93
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	—			—			—			—
Assets held in separate accounts	—			—			—			—
Total assets	$	536		$	11,134		$	562		$	12,232
Percentage of Level to total	4		%	91		%	5		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives - IUL	—			—			82			82
Other derivatives:
Interest rate contracts	—			5			50			55
Equity contracts	—			3			—			3
Credit contracts	—			—			—			—
Embedded derivative on reinsurance	—			58			—			58
Total liabilities	$	—		$	66		$	132		$	198

(1) Primarily U.S. dollar denominated.

The following table presents the Company's hierarchy for its assets and liabilities from continuing operations, including amounts related to businesses to be exited via reinsurance associated with the Individual Life Transaction, measured at fair value on a recurring basis as of December 31, 2019:

	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	1,083		$	299		$	—		$	1,382
U.S. Government agencies and authorities	—			95			—			95
State, municipalities and political subdivisions	—			1,323			—			1,323
U.S. corporate public securities	—			14,864			74			14,938
U.S. corporate private securities	—			4,578			1,457			6,035
Foreign corporate public securities and foreign governments(1)	—			4,341			—			4,341
Foreign corporate private securities(1)	—			4,503			328			4,831
Residential mortgage-backed securities	—			5,181			23			5,204
Commercial mortgage-backed securities	—			3,574			—			3,574
Other asset-backed securities	—			1,977			78			2,055
Total fixed maturities, including securities pledged	1,083			40,735			1,960			43,778
Equity securities	68			—			128			196
Derivatives:
Interest rate contracts	2			243			49			294
Foreign exchange contracts	—			12			—			12
Equity contracts	—			10			—			10
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	2,613			31			—			2,644
Assets held in separate accounts	75,405			6,149			116			81,670
Total assets	$	79,171		$	47,180		$	2,253		$	128,604
Percentage of Level to total	61		%	37		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives(2)	—			—			60			60
Other derivatives:
Interest rate contracts	—			322			49			371
Foreign exchange contracts	—			22			—			22
Equity contracts	—			8			—			8
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			100			—			100
Total liabilities	$	—		$	454		$	109		$	563

⁽¹⁾Primarily U.S. dollar denominated.

⁽²⁾Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.

The following table presents the Company's hierarchy for its assets and liabilities related to businesses held for sale measured at

fair value on a recurring basis as of December 31, 2019:

	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	472		$	314		$	—		$	786
U.S. Government agencies and authorities	—			161			—			161
State, municipalities and political subdivisions	—			439			—			439
U.S. corporate public securities	—			5,949			32			5,981
U.S. corporate private securities	—			596			316			912
Foreign corporate public securities and foreign governments(1)	—			1,490			7			1,497
Foreign corporate private securities(1)	—			438			80			518
Residential mortgage-backed securities	—			588			—			588
Commercial mortgage-backed securities	—			995			—			995
Other asset-backed securities	—			587			6			593
Total fixed maturities, including securities pledged	472			11,557			441			12,470
Equity securities	2			—			33			35
Derivatives:
Interest rate contracts	—			—			49			49
Foreign exchange contracts	—			1			—			1
Equity contracts	—			52			202			254
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	533			—			—			533
Assets held in separate accounts	1,485			—			—			1,485
Total assets	$	2,492		$	11,610		$	725		$	14,827
Percentage of Level to total	17		%	78		%	5		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives - IUL	$	—		$	—		$	217		$	217
Other derivatives:
Interest rate contracts	—			7			49			56
Foreign exchange contracts	—			1			—			1
Equity contracts	—			20			—			20
Embedded derivative on reinsurance	—			75			—			75
Total liabilities	$	—		$	103		$	266		$	369

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities from continuing operations, including amounts related to businesses

to be exited via reinsurance associated with the Individual Life Transaction, and transfers in and out of Level 3 for the period indicated:

	Three Months Ended March 31, 2020
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31			Change In Unrealized Gains (Losses) Included in Earnings(3)			Change In Unrealized Gains (Losses) Included in OCI(3)
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	74		$	—		$	—		$	—	$	—	$	—		$	(3	)	$	—	$	(5	)	$	66		$	—		$	—
U.S. corporate private securities	1,457			1			(74		)	46		—		(3		)	(82		)	—		(54		)	1,291			—			(74		)
Foreign corporate public securities and foreign governments(1)	—			—			—			4		—		—			—			—		—			4			—			—
Foreign corporate private securities(1)	328			(3		)	(51		)	3		—		(4		)	—			10		(6		)	277			—			(51		)
Residential mortgage-backed securities	23			(2		)	—			17		—		—			—			—		(8		)	30			(2		)	—
Other asset-backed securities	78			—			—			10		—		—			(1		)	—		—			87			—			—
Total fixed maturities, including securities pledged	1,960			(4		)	(125		)	80		—		(7		)	(86		)	10		(73		)	1,755			(2		)	(125		)
Equity securities	128			(9		)	—			—		—		—			—			—		—			119			(9		)	—
Derivatives:
Guaranteed benefit derivatives(2)(5)	(60		)	(193		)	—			—		—		—			—			—		—			(253		)	—			—
Assets held in separate accounts(4)	116			(3		)	—			47		—		(1		)	—			—		(18		)	141			—			—

⁽¹⁾ Primarily U.S. dollar denominated.

⁽²⁾ All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis. These amounts are included in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations.

⁽³⁾ For financial instruments still held as of March 31 amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations or Unrealized gains (losses) on securities in the Condensed Consolidated Statements of Comprehensive Income.

⁽⁴⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.

⁽⁵⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities related to businesses held for sale and transfers in and out of Level 3

for the period indicated:

	Three Months Ended March 31, 2020
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances			Sales		Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31			Change In Unrealized Gains (Losses) Included in Earnings(3)			Change In Unrealized Gains (Losses) Included in OCI(3)
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	32		$	—		$	2		$	1	$	—		$	—	$	(1	)	$	—	$	—		$	34		$	—		$	2
U.S. corporate private securities	316			—			(17		)	9		—			—		(10		)	—		(10		)	288			—			(17		)
Foreign corporate public securities and foreign governments(1)	7			—			(4		)	—		—			—		—			—		—			3			—			(4		)
Foreign corporate private securities(1)	80			—			(13		)	1		—			—		—			—		—			68			—			(13		)
Residential mortgage-backed securities	—			—			—			—		—			—		—			—		—			—			—			—
Other asset-backed securities	6			—			—			2		—			—		(1		)	—		—			7			—			—
Total fixed maturities, including securities pledged	441			—			(32		)	13		—			—		(12		)	—		(10		)	400			—			(32		)
Equity securities	33			(3		)	—			—		—			—		—			—		—			30			(3		)	—
Derivatives:
Guaranteed benefit derivatives - IUL(2)	(217		)	145			—			—		(16		)	—		7			—		—			(81		)	—			—
Other derivatives, net	202			(127		)	—			14		—			—		(6		)	—		—			83			(119		)	—

⁽¹⁾ Primarily U.S. dollar denominated.

⁽²⁾ All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis.

⁽³⁾ For financial instruments still held as of March 31 amounts are included in Income (loss) from discontinued operations, net of tax in the Condensed Consolidated Statements of Operations or Unrealized gains (losses) on securities in the Condensed Consolidated Statements of Comprehensive Income.

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities from continuing operations, including amounts related to businesses

to be exited via reinsurance associated with the Individual Life Transaction, and transfers in and out of Level 3 for the period indicated:

	Three Months Ended March 31, 2019
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:					Purchases		Issuances		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31			Change In Unrealized Gains (Losses) Included in Earnings(3)
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	34		$	—		$	1	$	—	$	—	$	—		$	—		$	38	$	—		$	73		$	—
U.S. corporate private securities	1,134			—			43		129		—		(13		)	(13		)	—		—			1,280			—
Foreign corporate public securities and foreign governments(1)	—			—			—		—		—		—			—			—		—			—			—
Foreign corporate private securities(1)	217			(25		)	34		72		—		(80		)	—			—		—			218			—
Residential mortgage-backed securities	28			(2		)	—		23		—		—			—			—		—			49			(2		)
Commercial mortgage-backed securities	14			—			—		—		—		—			(1		)	—		—			13			—
Other asset-backed securities	127			—			1		29		—		—			(1		)	—		(25		)	131			—
Total fixed maturities, including securities pledged	1,554			(27		)	79		253		—		(93		)	(15		)	38		(25		)	1,764			(2		)
Equity securities, available-for-sale	104			4			—		42		—		—			—			—		—			150			4
Derivatives:
Guaranteed benefit derivatives (2)(5)	(44		)	5			—		—		—		—			(2		)	—		—			(41		)	—
Assets held in separate accounts(4)	62			1			—		6		—		—			—			3		(5		)	67			—

⁽¹⁾ Primarily U.S. dollar denominated.

⁽²⁾ All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis.

These amounts are included in Other net realized gains (losses) in the Condensed Consolidated Statements of Operations.

⁽³⁾ For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

⁽⁴⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.

⁽⁵⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities related to businesses held for sale and transfers in and out of Level 3

for the period indicated:

	Three Months Ended March 31, 2019
	Fair Value as of January 1			Total  Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances			Sales			Settlements			Transfers into Level 3		Transfers out of Level 3		Fair Value as of March 31			Change In Unrealized Gains (Losses) Included in Earnings(3)
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	10		$	—		$	1		$	3	$	—		$	—		$	—		$	21	$	—	$	35		$	—
U.S. corporate private securities	259			—			11			19		—			—			(4		)	—		—		285			—
Foreign corporate public securities and foreign governments(1)	11			—			(2		)	—		—			—			—			—		—		9			—
Foreign corporate private securities(1)	34			(4		)	6			25		—			(13		)	—			—		—		48			—
Residential mortgage-backed securities	—			—			—			—		—			—			—			—		—		—			—
Commercial mortgage-backed securities	—			—			—			3		—			—			—			—		—		3			—
Other asset-backed securities	11			—			—			2		—			—			—			—		—		13			—
Total fixed maturities including securities pledged	325			(4		)	16			52		—			(13		)	(4		)	21		—		393			—
Equity securities	25			2			—			7		—			—			—			—		—		34			2
Derivatives:
Guaranteed benefit derivatives - IUL(2)	(82		)	(63		)	—			—		(13		)	—			12			—		—		(146		)	—
Other derivatives, net	83			52			—			11		—			—			(9		)	—		—		137			54

⁽¹⁾ Primarily U.S. dollar denominated.

⁽²⁾ All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by contract basis.

⁽³⁾ For financial instruments still held as of March 31 amounts are included in Income (loss) from discontinued operations, net of tax in the Condensed Consolidated Statements of Operations.

Fair Value Inputs, Assets, Quantitative Information

The following table presents the unobservable inputs for IUL for businesses held for sale as of the dates indicated:

	March 31, 2020				December 31, 2019
Unobservable Input	Range(1)		Weighted Average(3)		Range(1)
Interest rate implied volatility	—		—		—
Nonperformance risk	1.42% to 1.49%		1.46	%	0.22% to 0.42%
Actuarial Assumptions:
Lapses	2% to 10%		6	%	2% to 10%
Mortality	—	(2)	—		—	(2)

⁽¹⁾  Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽²⁾ The mortality rate is derived based on similarly underwritten business

⁽³⁾ Unobservable inputs were weighted by the relative fair value of the instruments. For credit contracts, the average represents the arithmetic average of the inputs and is not weighted by the relative fair value or notional amount.

Fair Value, by Balance Sheet Grouping

The carrying values and estimated fair values of the Company's financial instruments from continuing operations, including amounts related to businesses to be exited via reinsurance associated with the Individual Life Transaction, as of the dates indicated:

	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	41,994	$	41,994	$	43,778	$	43,778
Equity securities	176		176		196		196
Mortgage loans on real estate	6,969		7,087		6,878		7,262
Policy loans	763		763		776		776
Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	3,296		3,296		2,644		2,644
Derivatives	875		875		316		316
Other investments	324		405		320		456
Assets held in separate accounts	68,937		68,937		81,670		81,670
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities(2)	$	34,989	$	42,861	$	33,916	$	41,035
Funding agreements with fixed maturities	856		829		877		877
Supplementary contracts, immediate annuities and other	799		839		821		872
Derivatives:
Guaranteed benefit derivatives(2)	253		253		60		60
Other derivatives	1,068		1,068		403		403
Short-term debt	1		1		1		1
Long-term debt	3,042		3,120		3,042		3,418
Embedded derivative on reinsurance	52		52		100		100

⁽¹⁾ Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above.

⁽²⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCG.

The carrying values and estimated fair values of the Company's financial instruments related to businesses held for sale as of the dates indicated:

	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	12,052	$	12,052	$	12,470	$	12,470
Equity securities	32		32		35		35
Mortgage loans on real estate	1,310		1,340		1,319		1,405
Policy loans	1,006		1,006		1,005		1,005
Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	471		471		533		533
Derivatives	148		148		305		305
Other investments	46		46		42		42
Assets held in separate accounts	1,212		1,212		1,485		1,485
Liabilities:
Investment contract liabilities:
Funding agreements with fixed maturities	$	1,016	$	986	$	927	$	923
Supplementary contracts, immediate annuities and other	103		110		97		104
Notes Payable	252		262		252		320
Derivatives:
Guaranteed benefit derivatives - IUL	82		82		217		217
Embedded derivative on reinsurance	58		58		75		75

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of March 31, 2020:

	Level 1		Level 2		Level 3		NAV		Total
Assets
VIEs
Cash and cash equivalents	$	52	$	—	$	—	$	—	$	52
Corporate loans, at fair value using the fair value option	—		432		—		—		432
Limited partnerships/corporations, at fair value	—		—		—		1,470		1,470
VOEs
Limited partnerships/corporations, at fair value	—		—		—		185		185
Total assets, at fair value	$	52	$	432	$	—	$	1,655	$	2,139
Liabilities
VIEs
CLO notes, at fair value using the fair value option	$	—	$	368	$	—	$	—	$	368
Total liabilities, at fair value	$	—	$	368	$	—	$	—	$	368

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of December 31, 2019:

	Level 1		Level 2		Level 3		NAV		Total
Assets
VIEs
Cash and cash equivalents	$	68	$	—	$	—	$	—	$	68
Corporate loans, at fair value using the fair value option	—		513		—		—		513
Limited partnerships/corporations, at fair value	—		—		—		1,470		1,470
VOEs
Limited partnerships/corporations, at fair value	—		—		—		162		162
Total assets, at fair value	$	68	$	513	$	—	$	1,632	$	2,213
Liabilities
VIEs
CLO notes, at fair value using the fair value option	$	—	$	474	$	—	$	—	$	474
Total liabilities, at fair value	$	—	$	474	$	—	$	—	$	474