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Fair Value Measurements (excluding Consolidated Investment Entities)

9 Months Ended

Sep. 30, 2020

Fair Value Measurements (excluding Consolidated Investment Entities)

Fair Value Measurement

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 September 30, 2020:


	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	1,190		$	351		$	—		$	1,541
U.S. Government agencies and authorities	—			103			—			103
State, municipalities and political subdivisions	—			1,353			—			1,353
U.S. corporate public securities	—			15,571			118			15,689
U.S. corporate private securities	—			4,472			1,727			6,199
Foreign corporate public securities and foreign governments(1)	—			4,574			—			4,574
Foreign corporate private securities(1)	—			4,276			448			4,724
Residential mortgage-backed securities	—			5,660			35			5,695
Commercial mortgage-backed securities	—			4,199			4			4,203
Other asset-backed securities	—			2,015			75			2,090
Total fixed maturities, including securities pledged	1,190			42,574			2,407			46,171
Equity securities	200			—			171			371
Derivatives:
Interest rate contracts	6			172			48			226
Foreign exchange contracts	—			30			—			30
Equity contracts	—			13			1			14

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,719			67			—			1,786
Assets held in separate accounts	76,316			6,356			207			82,879
Total assets	$	79,431		$	49,212		$	2,834		$	131,477
Percentage of Level to total	61		%	37		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives(2)	—			—			177			177





Other derivatives:
Interest rate contracts	—			366			48			414
Foreign exchange contracts	—			11			—			11
Equity contracts	—			7			—			7
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			143			—			143
Total liabilities	$	—		$	529		$	225		$	754

(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 September 30, 2020:


	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	716		$	386		$	—		$	1,102
U.S. Government agencies and authorities	—			176			—			176
State, municipalities and political subdivisions	—			453			—			453
U.S. corporate public securities	—			6,387			31			6,418
U.S. corporate private securities	—			677			377			1,054
Foreign corporate public securities and foreign governments(1)	—			1,554			2			1,556
Foreign corporate private securities(1)	—			525			98			623
Residential mortgage-backed securities	—			540			—			540
Commercial mortgage-backed securities	—			1,042			4			1,046
Other asset-backed securities	—			579			8			587
Total fixed maturities, including securities pledged	716			12,319			520			13,555
Equity securities	2			—			2			4
Derivatives:
Interest rate contracts	—			1			48			49
Foreign exchange contracts	—			2			—			2
Equity contracts	—			61			202			263

Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	504			—			—			504
Assets held in separate accounts	1,473			—			—			1,473
Total assets	$	2,695		$	12,383		$	772		$	15,850
Percentage of Level to total	17		%	78		%	5		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives - IUL	—			—			215			215




Other derivatives:
Interest rate contracts	—			4			48			52
Foreign exchange contracts	—			1			—			1
Equity contracts	—			33			—			33
Credit contracts	—			—			—			—
Embedded derivative on reinsurance	—			95			—			95
Total liabilities	$	—		$	133		$	263		$	396

(1) Primarily U.S. dollar denominated.


	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

(1) Primarily U.S. dollar denominated.

Valuation of Financial Assets and Liabilities at Fair Value

Certain assets and liabilities are measured at estimated fair value on the Company’s Consolidated Balance Sheets. The Company defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The exit price and the transaction (or entry) price will be the same at initial recognition in many circumstances. However, in certain cases, the transaction price may not represent fair value. The fair value of a liability is based on the amount that would be paid to transfer a liability to a third-party with an equal credit standing. Fair value is required to be a market-based measurement that is determined based on a hypothetical transaction at the measurement date, from a market participant’s perspective. The Company considers three broad valuation approaches when a quoted price is unavailable: (i) the market approach, (ii) the income approach and (iii) the cost approach. The Company determines the most appropriate valuation technique to use, given the instrument being measured and the availability of sufficient inputs. The Company prioritizes the inputs to fair valuation approaches and allows for the use of unobservable inputs to the extent that observable inputs are not available.

The Company utilizes a number of valuation methodologies to determine the fair values of its financial assets and liabilities in conformity with the concepts of exit price and the fair value hierarchy as prescribed in ASC Topic 820. Valuations are obtained from third-party commercial pricing services, brokers and industry-standard, vendor-provided software that models the value based on market observable inputs. The valuations obtained from third-party commercial pricing services are non-binding. The Company reviews the assumptions and inputs used by third-party commercial pricing services for each reporting period in order to determine an appropriate fair value hierarchy level. The documentation and analysis obtained from third-party commercial pricing services are reviewed by the Company, including in-depth validation procedures confirming the observability of inputs. The valuations are reviewed and validated monthly through the internal valuation committee price variance review, comparisons to internal pricing models, back testing to recent trades or monitoring of trading volumes.

The valuation approaches and key inputs for each category of assets or liabilities that are classified within Level 2 and Level 3 of the fair value hierarchy are presented below.

For fixed maturities classified as Level 2 assets, fair values are determined using a matrix-based market approach, based on prices obtained from third-party commercial pricing services and the Company’s matrix and analytics-based pricing models, which in each case incorporate a variety of market observable information as valuation inputs. The market observable inputs used for these fair value measurements, by fixed maturity asset class, are as follows:

U.S. Treasuries: Fair value is determined using third-party commercial pricing services, with the primary inputs being stripped interest and principal U.S. Treasury yield curves that represent a U.S. Treasury zero-coupon curve.

U.S. government agencies and authorities, State, municipalities and political subdivisions: Fair value is determined using third-party commercial pricing services, with the primary inputs being U.S. Treasury yield curves, trades of comparable securities, credit spreads off benchmark yields and issuer ratings.

U.S. corporate public securities, Foreign corporate public securities and foreign governments: Fair value is determined using third-party commercial pricing services, with the primary inputs being benchmark yields, trades of comparable securities, issuer ratings, bids and credit spreads off benchmark yields.

U.S. corporate private securities and Foreign corporate private securities: Fair values are determined using a matrix and analytics-based pricing model. The model incorporates the current level of risk-free interest rates, current corporate credit spreads, credit quality of the issuer and cash flow characteristics of the security. The model also considers a liquidity spread, the value of any collateral, the capital structure of the issuer, the presence of guarantees, and prices and quotes for comparably rated publicly traded securities.

RMBS, CMBS and ABS: Fair value is determined using third-party commercial pricing services, with the primary inputs being credit spreads off benchmark yields, prepayment speed assumptions, current and forecasted loss severity, debt service coverage ratios, collateral type, payment priority within tranche and the vintage of the loans underlying the security.

Generally, the Company does not obtain more than one vendor price from pricing services per instrument. The Company uses a hierarchy process in which prices are obtained from a primary vendor and, if that vendor is unable to provide the price, the next vendor in the hierarchy is contacted until a price is obtained or it is determined that a price cannot be obtained from a commercial pricing service. When a price cannot be obtained from a commercial pricing service, independent broker quotes are solicited. Securities priced using independent broker quotes are classified as Level 3.

Fair values of privately placed bonds are determined primarily using a matrix-based pricing model and are generally classified as Level 2 assets. The model considers the current level of risk-free interest rates, current corporate spreads, the credit quality of the issuer and cash flow characteristics of the security. Also considered are factors such as the net worth of the borrower, the value of collateral, the capital structure of the borrower, the presence of guarantees and the Company’s evaluation of the borrower’s ability to compete in its relevant market. Using this data, the model generates estimated market values, which the Company considers reflective of the fair value of each privately placed bond.

Equity securities: Level 2 and Level 3 equity securities, typically private equities or equity securities not traded on an exchange, are valued by other sources such as analytics or brokers.

Derivatives: Derivatives are carried at fair value, which is determined using the Company’s derivative accounting system in conjunction with observable key financial data from third-party sources, such as yield curves, exchange rates, S&P 500 Index prices, LIBOR and Overnight Index Swap ("OIS") rates. The Company uses OIS for valuations of collateralized interest rate derivatives, which are obtained from third-party sources. For those derivatives that are unable to be valued by the accounting system, the Company typically utilizes values established by third-party brokers. Counterparty credit risk is considered and incorporated in the Company’s valuation process through counterparty credit rating requirements and monitoring of overall exposure. It is the Company’s policy to transact only with investment grade counterparties with a credit rating of A- or better. The Company’s nonperformance risk is also considered and incorporated in the Company’s valuation process. The Company also has certain credit default swaps and options that are priced by third party vendors or by using models that primarily use market observable inputs, but contain inputs that are not observable to market participants, which have been classified as Level 3. The remaining derivative instruments are valued based on market observable inputs and are classified as Level 2.

Guaranteed benefit derivatives: The Company records reserves for annuity contracts containing GMWBL and GMWB riders. The guarantee is an embedded derivative and is required to be accounted for separately from the host variable annuity contract. The fair value of the obligation is calculated based on actuarial and capital market assumptions related to the projected cash flows, including benefits and related contract charges, over the anticipated life of the related contracts. The cash flow estimates are produced by using stochastic techniques under a variety of market return scenarios and other market implied assumptions. These derivatives are classified as Level 3 liabilities in the fair value hierarchy.

The index-crediting feature in the Company's FIA and IUL contracts is an embedded derivative that is required to be accounted for separately from the host contract. The fair value of the obligation is calculated based on actuarial and capital market assumptions related to the projected cash flows, including benefits and related contract charges, over the anticipated life of the related contracts for FIAs and over the current indexed term for IULs. The cash flow estimates are produced by market implied assumptions. These derivatives are classified as Level 3 liabilities in the fair value hierarchy.

The Company records reserves for Stabilizer and MCG contracts containing guaranteed credited rates. The guarantee is treated as an embedded derivative or a stand-alone derivative (depending on the underlying product) and is required to be reported at fair value. The estimated fair value is determined based on the present value of projected future claims, minus the present value of future guaranteed premiums. At inception of the contract, the Company projects a guaranteed premium to be equal to the present value of the projected future claims. The income associated with the contracts is projected using relevant actuarial and capital market assumptions, including benefits and related contract charges, over the anticipated life of the related contracts. The cash flow estimates are produced by using stochastic techniques under a variety of risk neutral scenarios and other market implied assumptions. These derivatives are classified as Level 3 liabilities.

The discount rate used to determine the fair value of the Company's GMWBL, GMWB, FIA, IUL and Stabilizer embedded derivative liabilities and the stand-alone derivative for MCG includes an adjustment to reflect the risk that these obligations will not be fulfilled ("nonperformance risk"). The nonperformance risk adjustment incorporates a blend of observable, similarly rated peer holding company credit spreads, adjusted to reflect the credit quality of the individual insurance subsidiary that issued the guarantee, as well as an adjustment to reflect the non-default spreads and the priority and recovery rates of policyholder claims.

Embedded derivatives on reinsurance: The carrying value of embedded derivatives is estimated based upon the change in the fair value of the assets supporting the funds withheld payable under reinsurance agreements. The fair value of the embedded derivative is based on market observable inputs and is classified as Level 2.

Level 3 Financial Instruments

The fair values of certain assets and liabilities are determined using prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement (i.e., Level 3 as defined by ASC Topic 820), including but not limited to liquidity spreads for investments within markets deemed not currently active. These valuations, whether derived internally or obtained from a third-party, use critical assumptions that are not widely available to estimate market participant expectations in valuing the asset or liability. In addition, the Company has determined, for certain financial instruments, an active market is such a significant input to determine fair value that the presence of an inactive market may lead to classification in Level 3. In light of the methodologies employed to obtain the fair values of financial assets and liabilities classified as Level 3, additional information is presented below.

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 September 30, 2020
	Fair Value as of July 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 September 30		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	$	107	$	—	$	4	$	4	$	—	$	—	$	(2)	$	42	$	(37)	$	118	$	—	$	4
U.S. corporate private securities	1,390		(1)		11		47		—		—		(20)		406		(106)		1,727		(1)		11
Foreign corporate public securities and foreign governments(1)	—		—		—		—		—		—		—		—		—		—		—		—
Foreign corporate private securities(1)	305		(1)		(15)		221		—		(15)		(1)		17		(63)		448		(2)		(15)
Residential mortgage-backed securities	38		(2)		—		2		—		—		—		2		(5)		35		(2)		—
Commercial mortgage-backed securities	—		—		—		4		—		—		—		—		—		4		—		—
Other asset-backed securities	99		—		—		11		—		—		(19)		1		(17)		75		—		—
Total fixed maturities, including securities pledged	1,939		(4)		—		289		—		(15)		(42)		468		(228)		2,407		(5)		—




Equity securities	161		7		—		3		—		—		—		—		—		171		7		—
Derivatives:





Guaranteed benefit derivatives(2)(5)	(210)		36		—		—		(4)		—		1		—		—		(177)		—		—
Other derivatives, net	—		—		—		1		—		—		—		—		—		1		1		—

Assets held in separate accounts(4)	174		4		—		43		—		(1)		—		—		(13)		207		—		—

(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 September 30 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.


	Nine Months Ended September 30, 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 September 30		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	$	—	$	5	$	4	$	—	$	—	$	(5)	$	40	$	—	$	118	$	—	$	5
U.S. corporate private securities	1,457		1		42		124		—		(16)		(141)		455		(195)		1,727		—		42
Foreign corporate public securities and foreign governments(1)	—		—		—		—		—		—		—		—		—		—		—		—
Foreign corporate private securities(1)	328		(5)		(35)		234		—		(15)		(5)		8		(62)		448		(5)		(35)
Residential mortgage-backed securities	23		(4)		—		23		—		—		—		—		(7)		35		(4)		—
Commercial mortgage-backed securities	—		—		—		4		—		—		—		—		—		4		—		—
Other asset-backed securities	78		—		—		17		—		—		(21)		1		—		75		—		—
Total fixed maturities, including securities pledged	1,960		(8)		12		406		—		(31)		(172)		504		(264)		2,407		(9)		12




Equity securities	128		12		—		33		—		—		(2)		—		—		171		12		—
Derivatives:





Guaranteed benefit derivatives(2)(5)	(60)		(112)		—		—		(6)		—		1		—		—		(177)		—		—
Other derivatives, net	—		—		—		1		—		—		—		—		—		1		1		—

Assets held in separate accounts(4)	116		3		—		123		—		(2)		—		3		(36)		207		—		—

(1) Primarily U.S. dollar denominated.

(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 September 30, 2020
	Fair Value as of July 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 September 30		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	$	31	$	—	$	—	$	1	$	—	$	—	$	(1)	$	—	$	—	$	31	$	—	$	—
U.S. corporate private securities	304		—		(3)		38		—		—		(4)		85		(43)		377		—		(3)
Foreign corporate public securities and foreign governments(1)	3		—		(1)		—		—		—		—		—		—		2		—		(1)
Foreign corporate private securities(1)	81		—		(7)		43		—		—		(1)		5		(23)		98		—		(7)
Residential mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—		—
Commercial mortgage-backed securities	—		—		—		4		—		—		—		—		—		4		—		—
Other asset-backed securities	8		—		—		1		—		—		(1)		—		—		8		—		—
Total fixed maturities, including securities pledged	427		—		(11)		87		—		—		(7)		90		(66)		520		—		(11)


Equity securities	2		—		—		—		—		—		—		—		—		2		—		—
Derivatives:


Guaranteed benefit derivatives - IUL(2)	(177)		(43)		—		—		(17)		—		22		—		—		(215)		—		—


Other derivatives, net	167		34		—		15		—		—		(14)		—		—		202		35		—

(1) Primarily U.S. dollar denominated.

(3) For financial instruments still held as of September 30 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.


	Nine Months Ended September 30, 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 September 30		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	$	—	$	—	$	1	$	—	$	—	$	(2)	$	—	$	—	$	31	$	—	$	—
U.S. corporate private securities	316		—		6		61		—		(13)		(18)		90		(65)		377		—		6
Foreign corporate public securities and foreign governments(1)	7		—		(5)		—		—		—		—		—		—		2		—		(4)
Foreign corporate private securities(1)	80		—		(7)		46		—		—		(1)		3		(23)		98		—		(7)
Residential mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—		—
Commercial mortgage-backed securities	—		—		—		4		—		—		—		—		—		4		—		—
Other asset-backed securities	6		—		—		4		—		—		(2)		—		—		8		—		—
Total fixed maturities, including securities pledged	441		—		(6)		116		—		(13)		(23)		93		(88)		520		—		(5)


Equity securities	33		—		—		—		—		(30)		(1)		—		—		2		—		—
Derivatives:


Guaranteed benefit derivatives - IUL(2)	(217)		13		—		—		(51)		—		40		—		—		(215)		—		—


Other derivatives, net	202		(16)		—		43		—		—		(27)		—		—		202		—		—

(1) Primarily U.S. dollar denominated.

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 September 30, 2019
	Fair Value as of July 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 September 30		Change In Unrealized Gains (Losses) Included in Earnings(3)
			Net Income		OCI
Fixed maturities, including securities pledged:

U.S. corporate public securities	$	68	$	—	$	4	$	5	$	—	$	—	$	(2)	$	—	$	—	$	75	$	—
U.S. corporate private securities	1,294		1		32		132		—		—		(55)		6		—		1,410		1
Foreign corporate public securities and foreign governments(1)	—		—		—		—		—		—		—		—		—		—		—
Foreign corporate private securities(1)	292		—		3		7		—		—		—		—		—		302		—
Residential mortgage-backed securities	30		(3)		—		15		—		—		—		—		(7)		35		(3)
Commercial mortgage-backed securities	3		—		—		13		—		—		—		—		(3)		13		—
Other asset-backed securities	82		—		1		38		—		—		(1)		—		(9)		111		—
Total fixed maturities, including securities pledged	1,769		(2)		40		210		—		—		(58)		6		(19)		1,946		(2)




Equity securities, available-for-sale	156		2		—		—		—		—		—		—		—		158		2
Derivatives:





Guaranteed benefit derivatives (2)(5)	(57)		(43)		—		—		(3)		—		1		—		—		(102)		—
Other derivatives, net	149		(4)		—		10		—		—		(9)		—		—		146		(3)

Assets held in separate accounts(4)	102		1		—		12		—		(1)		—		—		(14)		100		—

(1) Primarily U.S. dollar denominated.

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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

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


	Nine Months Ended September 30, 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 September 30		Change In Unrealized Gains (Losses) Included in Earnings(3)
			Net Income		OCI
Fixed maturities, including securities pledged:

U.S. corporate public securities	$	34	$	—	$	5	$	5	$	—	$	—	$	(7)	$	38	$	—	$	75	$	—
U.S. corporate private securities	1,134		2		99		267		—		(14)		(74)		7		(11)		1,410		1
Foreign corporate public securities and foreign governments(1)	—		—		—		—		—		—		—		—		—		—		—
Foreign corporate private securities(1)	217		(25)		41		149		—		(80)		—		—		—		302		1
Residential mortgage-backed securities	28		(7)		—		16		—		—		—		—		(2)		35		(7)
Commercial mortgage-backed securities	14		—		—		13		—		—		—		—		(14)		13		—
Other asset-backed securities	127		—		1		40		—		—		(2)		—		(55)		111		—
Total fixed maturities, including securities pledged	1,554		(30)		146		490		—		(94)		(83)		45		(82)		1,946		(5)




Equity securities, available-for-sale	104		12		—		42		—		—		—		—		—		158		12
Derivatives:





Guaranteed benefit derivatives (2)(5)	(44)		(51)		—		—		(10)		—		3		—		—		(102)		—
Other derivatives, net	83		57		—		33		—		—		(27)		—		—		146		63

Assets held in separate accounts(4)	62		4		—		51		—		(1)		—		3		(19)		100		—

(1) Primarily U.S. dollar denominated.

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

(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 September 30, 2019
	Fair Value as of July 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 September 30		Change In Unrealized Gains (Losses) Included in Earnings(3)
			Net Income		OCI
Fixed maturities, including securities pledged:

U.S. corporate public securities	$	31	$	—	$	2	$	—	$	—	$	—	$	(1)	$	—	$	—	$	32	$	—
U.S. corporate private securities	288		—		9		28		—		—		(6)		—		—		319		—
Foreign corporate public securities and foreign governments(1)	8		—		(1)		—		—		—		—		—		—		7		—
Foreign corporate private securities(1)	78		—		2		—		—		—		—		—		—		80		—
Residential mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—
Commercial mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—
Other asset-backed securities	14		—		—		7		—		—		—		—		(8)		13		—
Total fixed maturities including securities pledged	419		—		12		35		—		—		(7)		—		(8)		451		—
Equity securities	36		1		—		—		—		—		—		—		—		37		1
Derivatives:


Guaranteed benefit derivatives - IUL(2)	(160)		76		—		—		28		—		(26)		—		—		(82)		—



Other derivatives, net	148		(5)		—		11		—		—		(8)		—		—		146		(2)

(1) Primarily U.S. dollar denominated.

(3) For financial instruments still held as of September 30 amounts are included in Income (loss) from discontinued operations, net of tax in the Condensed Consolidated Statements of Operations.


	Nine Months Ended September 30, 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 September 30		Change In Unrealized Gains (Losses) Included in Earnings(3)
			Net Income		OCI
Fixed maturities, including securities pledged:

U.S. corporate public securities	$	10	$	—	$	3	$	—	$	—	$	—	$	(1)	$	22	$	(2)	$	32	$	—
U.S. corporate private securities	259		—		26		47		—		—		(13)		—		—		319		—
Foreign corporate public securities and foreign governments(1)	11		—		(4)		—		—		—		—		—		—		7		—
Foreign corporate private securities(1)	34		(4)		11		52		—		(13)		—		—		—		80		—
Residential mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—
Commercial mortgage-backed securities	—		—		—		—		—		—		—		—		—		—		—
Other asset-backed securities	11		—		—		7		—		—		—		—		(5)		13		—
Total fixed maturities including securities pledged	325		(4)		36		106		—		(13)		(14)		22		(7)		451		—
Equity securities	25		5		—		7		—		—		—		—		—		37		5
Derivatives:


Guaranteed benefit derivatives - IUL(2)	(82)		—		—		—		—		—		—		—		—		(82)		—



Other derivatives, net	83		56		—		33		—		—		(26)		—		—		146		63

(1) Primarily U.S. dollar denominated.

(3) For financial instruments still held as of September 30 amounts are included in Income (loss) from discontinued operations, net of tax in the Condensed Consolidated Statements of Operations.

For the three and nine months ended September 30, 2020 and 2019, the transfers in and out of Level 3 for fixed maturities were due to the variation in inputs relied upon for valuation each quarter. Securities that are primarily valued using independent broker quotes when prices are not available from one of the commercial pricing services are reflected as transfers into Level 3. When securities are valued using more widely available information, the securities are transferred out of Level 3 and into Level 1 or 2, as appropriate.

Significant Unobservable Inputs

The Company's Level 3 fair value measurements of its fixed maturities, equity securities and equity and credit derivative contracts are primarily based on broker quotes..

Quantitative information about the significant unobservable inputs used in the Company's Level 3 fair value measurements of its guaranteed benefit derivatives is presented in the following sections and table.

Significant unobservable inputs used in the fair value measurements of IULs include nonperformance risk and policyholder behavior assumptions, such as lapses.

Following is a description of selected inputs:

Nonperformance Risk: For the estimate of the fair value of embedded derivatives associated with the Company's product guarantees, the Company uses a blend of observable, similarly rated peer holding company credit spreads, adjusted to reflect the credit quality of the individual insurance company subsidiary that issued the guarantee as well as an adjustment to reflect the non-default spreads and the priority and recovery rates of policyholder claims.

Actuarial Assumptions: Management regularly reviews actuarial assumptions, which are based on the Company's experience and periodically reviewed against industry standards. Industry standards and Company experience may be limited on certain products.

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


	September 30, 2020				December 31, 2019
Unobservable Input	Range(1)		Weighted Average(3)		Range(1)

Interest rate implied volatility	—		—		—




Nonperformance risk	0.14% to 0.60%		0.28	%	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.

Generally, the following will cause an increase (decrease) in the IUL embedded derivative fair value liabilities:

•A decrease (increase) in nonperformance risk

•A decrease (increase) in lapses

Other Financial Instruments

The following disclosures are made in accordance with the requirements of ASC Topic 825 which requires disclosure of fair value information about financial instruments, whether or not recognized at fair value on the Consolidated Balance Sheets.

ASC Topic 825 excludes certain financial instruments, including insurance contracts and all nonfinancial instruments from its disclosure requirements. Accordingly, the aggregate fair value amounts presented do not represent the underlying value of the Company.

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:


	September 30, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	46,171	$	46,171	$	43,778	$	43,778
Equity securities	371		371		196		196
Mortgage loans on real estate	6,817		7,266		6,878		7,262
Policy loans	735		735		776		776

Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	1,786		1,786		2,644		2,644
Derivatives	270		270		316		316


Other investments	285		360		320		456
Assets held in separate accounts	82,879		82,879		81,670		81,670
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities(2)	$	35,331	$	45,223	$	33,916	$	41,035
Funding agreements with fixed maturities	795		795		877		877
Supplementary contracts, immediate annuities and other	914		876		821		872
Derivatives:
Guaranteed benefit derivatives(2)	177		177		60		60





Other derivatives	434		434		403		403
Short-term debt	1		1		1		1
Long-term debt	3,043		3,491		3,042		3,418

Embedded derivative on reinsurance	143		143		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:


	September 30, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	13,555	$	13,555	$	12,470	$	12,470
Equity securities	4		4		35		35
Mortgage loans on real estate	1,264		1,378		1,319		1,405
Policy loans	996		996		1,005		1,005

Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	504		504		533		533
Derivatives	314		314		305		305
Other investments	46		46		42		42
Assets held in separate accounts	1,473		1,473		1,485		1,485
Liabilities:
Investment contract liabilities:

Funding agreements with fixed maturities	$	1,010	$	1,008	$	927	$	923
Supplementary contracts, immediate annuities and other	106		99		97		104
Notes Payable	219		257		252		320
Derivatives:


Guaranteed benefit derivatives - IUL	215		215		217		217







Embedded derivative on reinsurance	95		95		75		75

The following table presents the classifications of financial instruments which are not carried at fair value on the Condensed Consolidated Balance Sheets:


Financial Instrument			Classification
Mortgage loans on real estate			Level 3
Policy loans			Level 2


Other investments			Level 2
Funding agreements without fixed maturities and deferred annuities			Level 3
Funding agreements with fixed maturities			Level 2
Supplementary contracts and immediate annuities			Level 3
Short-term debt and Long-term debt			Level 2

Notes Payable			Level 2

- Definition

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

+ References + Details