Fair Value Measurements Level 3 (Tables)

12 Months Ended

Dec. 31, 2019

Assets and (liabilities) carried at fair value by hierarchy level



Successor Company
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2019
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets Accounted for at Fair Value on a Recurring Basis
Fixed maturities, AFS
Asset backed securities ("ABS")	$	295		$	—	$	282		$	13
Collateralized loan obligations ("CLOs")	1,150			—		1,092			58
Commercial mortgage-backed securities ("CMBS")	1,391			—		1,354			37
Corporate	8,121			—		7,734			387
Foreign government/government agencies	409			—		409			—
Municipal	761			—		761			—
Residential mortgage-backed securities ("RMBS")	868			—		621			247
U.S. Treasuries	993			—		993			—
Total fixed maturities	13,988			—		13,246			742
Fixed maturities, FVO	6			—		6			—
Equity securities, at fair value	45			11		1			33
Derivative assets
GMWB hedging instruments	23			—		—			23
Macro hedge program	49			—		—			49
Total derivative assets [1]	72			—		—			72
Short-term investments	550			330		214			6
Reinsurance recoverable for GMWB	17			—		—			17
Separate account assets [2]	101,698			63,850		37,825			23
Total assets accounted for at fair value on a recurring basis	$	116,376		$	64,191	$	51,292		$	893
Liabilities Accounted for at Fair Value on a Recurring Basis
Other policyholder funds and benefits payable
GMWB embedded derivative	$	5		$	—	$	—		$	5
Total other policyholder funds and benefits payable	5			—		—			5
Derivative liabilities
Credit derivatives	(1		)	—		(1		)	—
Foreign exchange derivatives	(7		)	—		(7		)	—
Interest rate derivatives	(39		)	—		(37		)	(2		)
GMWB hedging instruments	50			—		35			15
Macro hedge program	(163		)	—		(1		)	(162		)
Total derivative liabilities [3]	(160		)	—		(11		)	(149		)
Modified coinsurance reinsurance contracts	(43		)	—		(43		)	—
Total liabilities accounted for at fair value on a recurring basis	$	(198	)	$	—	$	(54	)	$	(144	)



Successor Company
Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2018
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets Accounted for at Fair Value on a Recurring Basis
Fixed maturities, AFS
Asset backed securities ("ABS")	$	516		$	—	$	514		$	2
Collateralized loan obligations ("CLOs")	963			—		886			77
Commercial mortgage-backed securities ("CMBS")	1,407			—		1,366			41
Corporate	7,678			—		7,351			327
Foreign government/government agencies	377			—		377			—
Municipal	734			—		734			—
Residential mortgage-backed securities ("RMBS")	1,033			—		590			443
U.S. Treasuries	1,131			322		809			—
Total fixed maturities	13,839			322		12,627			890
Fixed maturities, FVO	12			—		12			—
Equity securities, at fair value	116			54		16			46
Derivative assets
Interest rate derivatives	36			—		36			—
GMWB hedging instruments	44			—		8			36
Macro hedge program	132			—		—			132
Total derivative assets [1]	212			—		44			168
Short-term investments	844			464		380			—
Reinsurance recoverable for GMWB	40			—		—			40
Modified coinsurance reinsurance contracts	12			—		12			—
Separate account assets [2]	94,724			59,361		35,323			40
Total assets accounted for at fair value on a recurring basis	$	109,799		$	60,201	$	48,414		$	1,184
Liabilities Accounted for at Fair Value on a Recurring Basis
Other policyholder funds and benefits payable
GMWB embedded derivative	$	(80	)	$	—	$	—		$	(80	)
Total other policyholder funds and benefits payable	(80		)	—		—			(80		)
Derivative liabilities
Credit derivatives	2			—		2			—
Foreign exchange derivatives	(91		)	—		(91		)	—
Interest rate derivatives	(137		)	—		(110		)	(27		)
GMWB hedging instruments	27			—		18			9
Macro hedge program	115			—		—			115
Total derivative liabilities [3]	(84		)	—		(181		)	97
Total liabilities accounted for at fair value on a recurring basis	$	(164	)	$	—	$	(181	)	$	17


[1]	Includes derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements and applicable law. See footnote 3 to this table for derivative liabilities.

[2]

Approximately $2.4 billion and $3.6 billion of investment sales receivable, as of December 31, 2019 and 2018 (Successor Company), respectively, are excluded from this disclosure requirement because they are trade receivables in the ordinary course of business where the carrying amount approximates fair value. Included in the total fair value amount are $461 and $468 of investments, as of December 31, 2019 and 2018 (Successor Company), respectively, for which the fair value is estimated using the net asset value per unit as a practical expedient which are excluded from the disclosure requirement to classify amounts in the fair value hierarchy.


[3]	Includes derivative instruments in a net negative fair value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements and applicable law.

Fair Value Measurement Inputs and Valuation Techniques [Table Text Block]



Significant Unobservable Inputs for Level 3 - Securities
As of December 31, 2019 (Successor Company)
Assets Accounted for at Fair Value on a Recurring Basis	Fair Value		Predominant Valuation Technique	Significant Unobservable Input	Minimum	Maximum	Weighted Average [1]	Impact of Increase in Input on Fair Value [2]
CLOs [3]	$	58	Discounted cash flows	Spread	113bps	246bps	243bps	Decrease
CMBS [3]	37		Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	9bps	1,832bps	266bps	Decrease
Corporate [4]	309		Discounted cash flows	Spread	93bps	823bps	236bps	Decrease
RMBS [3]	247		Discounted cash flows	Spread [6]	5bps	233bps	82bps	Decrease
				Constant prepayment rate [6]	—%	13%	6%	Decrease [5]
				Constant default rate [6]	2%	5%	3%	Decrease
				Loss severity [6]	—%	100%	70%	Decrease
As of December 31, 2018 (Successor Company)
Assets accounted for at Fair Value on a Recurring Basis	Fair Value		Predominant Valuation Technique	Significant Unobservable Input	Minimum	Maximum	Weighted Average [1]	Impact of Increase in Input on Fair Value [2]
CMBS [3]	$	1	Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	9bps	1,816bps	278bps	Decrease
Corporate [4]	144		Discounted cash flows	Spread	145bps	1,145bps	400bps	Decrease
RMBS [3]	426		Discounted cash flows	Spread [6]	31bps	346bps	92bps	Decrease
				Constant prepayment rate [6]	—%	13%	6%	Decrease [5]
				Constant default rate [6]	2%	8%	3%	Decrease
				Loss severity [6]	—%	100%	58%	Decrease


[1]	The weighted average is determined based on the fair value of the securities.


[2]	Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.


[3]	Excludes securities for which the Company bases fair value on broker quotations.


[4]	Excludes securities for which the Company bases fair value on broker quotations; however, included are broker-priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value.


[5]	Decrease for above market rate coupons and increase for below market rate coupons.


[6]	Generally, a change in the assumption used for the constant default rate would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for constant prepayment rate and would have resulted in wider spreads.

The tables below exclude certain securities for which fair values are predominately based on independent broker quotes.



Significant Unobservable Inputs for Level 3 - Freestanding Derivatives
As of December 31, 2019 (Successor Company)
	Fair Value			Predominant Valuation Technique	Significant Unobservable Input	Minimum	Maximum	Weighted Average [1]	Impact of Increase in Input on Fair Value [2]
Interest rate derivatives
Interest rate swaps	$	(2	)	Discounted cash flows	Swap curve beyond 30 years	2%	2%	2%	Decrease
GMWB hedging instruments
Customized swaps	35			Discounted cash flows	Equity volatility	11%	23%	17%	Increase
Interest rate swaption	3			Option model	Interest rate volatility	2%	2%	2%	Increase
Macro hedge program [3]
Equity options	(111		)	Option model	Equity volatility	11%	35%	22%	Increase
Interest rate swaption	(3		)	Option model	Interest rate volatility	2%	2%	2%	Increase
As of December 31, 2018 (Successor Company)
	Fair Value			Predominant Valuation Technique	Significant Unobservable Input	Minimum	Maximum	Weighted Average [1]	Impact of Increase in Input on Fair Value [2]
Interest rate derivatives
Interest rate swaps	$	(27	)	Discounted cash flows	Swap curve beyond 30 years	3%	3%	—%	Decrease
GMWB hedging instruments
Equity variance swaps	(26		)	Option model	Equity volatility	22%	22%	—%	Increase
Equity options	(1		)	Option model	Equity volatility	30%	32%	—%	Increase
Customized swaps	71			Discounted cash flows	Equity volatility	18%	30%	—%	Increase
Interest rate swaption	1			Option model	Interest rate volatility	3%	3%	—%	Increase
Macro hedge program [3]
Equity options	250			Option model	Equity volatility	17%	30%	—%	Increase


[1]	The weighted average is determined based on the fair value of the securities.


[2]	Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.


[3]	Excludes derivatives for which the Company bases fair value on broker quotations.



Significant Unobservable Inputs for Level 3 GMWB Embedded Customized and Reinsurance Derivatives
As of December 31, 2019 (Successor Company)
	Unobservable Inputs (Minimum)	Unobservable Inputs (Maximum)	Weighted Average	Impact of Increase in Input on Fair Value Measurement [1]
Withdrawal Utilization [2]	19%	100%	69%	Increase
Withdrawal Rates [3]	—%	7%	6%	Increase
Lapse Rates [4]	—%	61%	6%	Decrease [8]
Reset Elections [5]	—%	100%	11%	Increase
Equity Volatility [6]	10%	25%	19%	Increase
Credit standing adjustment [7]	0.07%	0.26%	0.17%	Decrease
As of December 31, 2018 (Successor Company)
	Unobservable Inputs (Minimum)	Unobservable Inputs (Maximum)	Weighted Average	Impact of Increase in Input on Fair Value Measurement [1]
Withdrawal Utilization [2]	15%	100%	—%	Increase
Withdrawal Rates [3]	—%	8%	—%	Increase
Lapse Rates [4]	1%	40%	—%	Decrease [8]
Reset Elections [5]	20%	45%	—%	Increase
Equity Volatility [6]	17%	30%	—%	Increase
Credit standing adjustment [7]	0.04%	0.28%	—%	Decrease

Roll-forward of Financial Instruments Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs (Level 3)

Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis Using Significant Unobservable Inputs

The Company uses derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instrument may not be classified with the same fair value hierarchy level as the associated asset or liability. Therefore, the realized and unrealized gains and losses on derivatives reported in the Level 3 roll-forward may be offset by realized and unrealized gains and losses of the associated assets and liabilities in other line items of the financial statements.

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the year ended December 31, 2019 (Successor Company), for which the Company had used significant unobservable inputs (Level 3):



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of January 1, 2019			Included in Net Income [1] [2] [6]			Included in OCI [3]		Purchases			Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of December 31, 2019
Assets
Fixed maturities, AFS
	ABS	$	2		$	—		$	—	$	13		$	—		$	—		$	—	$	(2	)	$	13
	CLOs	77			—			—		155			(91		)	(5		)	—		(78		)	58
	CMBS	41			—			2		53			(1		)	—			—		(58		)	37
	Corporate	327			(3		)	16		41			(15		)	(106		)	138		(11		)	387
	RMBS	443			—			1		—			(75		)	(105		)	—		(17		)	247
Total fixed maturities, AFS		890			(3		)	19		262			(182		)	(216		)	138		(166		)	742
Equity securities, at fair value		46			(4		)	—		2			(1		)	(10		)	—		—			33
Freestanding derivatives
	Equity	—			(1		)	—		1			—			—			—		—			—
	GMWB hedging instruments	45			(35		)	—		—			28			—			—		—			38
Total freestanding derivatives [5]		45			(36		)	—		1			28			—			—		—			38
Reinsurance recoverable for GMWB		40			(34		)	—		—			11			—			—		—			17
Separate accounts		40			—			—		82			—			(14		)	12		(97		)	23
Short-term investments		—			—			—		6			—			—			—		—			6
Total assets		$	1,061		$	(77	)	$	19	$	353		$	(144	)	$	(240	)	$	150	$	(263	)	$	859
(Liabilities)
Freestanding derivatives
	Interest rate	(27		)	(6		)	—		—			31			—			—		—			(2		)
	Macro hedge program	247			(359		)	—		(1		)	—			—			—		—			(113		)
Total freestanding derivatives [5]		220			(365		)	—		(1		)	31			—			—		—			(115		)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(80		)	134			—		—			(49		)	—			—		—			5
Total other policyholder funds and benefits payable		(80		)	134			—		—			(49		)	—			—		—			5
Total liabilities		$	140		$	(231	)	$	—	$	(1	)	$	(18	)	$	—		$	—	$	—		$	(110	)

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the period of June 1, 2018 to December 31, 2018 (Successor Company), for which the Company had used significant unobservable inputs (Level 3):



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of June 1, 2018			Included in Net Income [1] [2] [6]			Included in OCI [3]			Purchases		Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of December 31, 2018
Assets
Fixed maturities, AFS
	ABS	$	12		$	—		$	—		$	20	$	(1	)	$	(4	)	$	1	$	(26	)	$	2
	CLOs	65			—			(1		)	142		(3		)	(7		)	—		(119		)	77
	CMBS	17			—			—			42		(1		)	(1		)	—		(16		)	41
	Corporate	451			(6		)	(7		)	17		(2		)	(33		)	6		(99		)	327
	Municipal	24			—			—			—		—			(12		)	—		(12		)	—
	RMBS	617			—			(1		)	38		(71		)	(117		)	—		(23		)	443
Total fixed maturities, AFS		1,186			(6		)	(9		)	259		(78		)	(174		)	7		(295		)	890
Equity securities, at fair value		42			1			—			4		—			(1		)	—		—			46
Freestanding derivatives
	Interest rate	(27		)	—			—			—		—			—			—		—			(27		)
	GMWB hedging instruments	17			28			—			—		—			—			—		—			45
	Macro hedge program	(5		)	156			—			41		55			—			—		—			247
Total freestanding derivatives [5]		(15		)	184			—			41		55			—			—		—			265
Reinsurance recoverable for GMWB		22			10			—			—		8			—			—		—			40
Separate accounts		55			—			—			45		—			(7		)	6		(59		)	40
Total assets		$	1,290		$	189		$	(9	)	$	349	$	(15	)	$	(182	)	$	13	$	(354	)	$	1,281
(Liabilities)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(21		)	(25		)	—			—		(34		)	—			—		—			(80		)
Total other policyholder funds and benefits payable		(21		)	(25		)	—			—		(34		)	—			—		—			(80		)
Total liabilities		$	(21	)	$	(25	)	$	—		$	—	$	(34	)	$	—		$	—	$	—		$	(80	)

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the period of January 1, 2018 to May 31, 2018 (Predecessor Company), for which the Company had used significant unobservable inputs (Level 3):



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of January 1, 2018			Included in Net Income [1] [2] [6]			Included in OCI [3]			Purchases		Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of May 31, 2018
Assets
Fixed maturities, AFS
	ABS	$	13		$	—		$	—		$	6	$	(1	)	$	—		$	1	$	(7	)	$	12
	CLOs	73			—			—			5		—			(3		)	—		(10		)	65
	CMBS	26			—			—			7		(1		)	(15		)	—		—			17
	Corporate	443			2			(23		)	47		(16		)	(46		)	64		(20		)	451
	Foreign govt./govt. agencies	1			—			—			—		(1		)	—			—		—			—
	Municipal	38			—			(1		)	—		—			—			—		(13		)	24
	RMBS	692			—			(3		)	35		(78		)	(24		)	—		(5		)	617
Total fixed maturities, AFS		1,286			2			(27		)	100		(97		)	(88		)	65		(55		)	1,186
Equity securities, at fair value		46			10			—			—		—			(14		)	—		—			42
Freestanding derivatives
	Interest rate	(29		)	2			—			—		—			—			—		—			(27		)
	GMWB hedging instruments	34			(15		)	—			—		—			(2		)	—		—			17
	Macro hedge program	23			(28		)	—			—		—			—			—		—			(5		)
Total freestanding derivatives [5]		28			(41		)	—			—		—			(2		)	—		—			(15		)
Reinsurance recoverable for GMWB		36			(19		)	—			—		5			—			—		—			22
Separate accounts		185			—			—			34		—			(164		)	22		(22		)	55
Total assets		$	1,581		$	(48	)	$	(27	)	$	134	$	(92	)	$	(268	)	$	87	$	(77	)	$	1,290
(Liabilities)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(75		)	82			—			—		(28		)	—			—		—			(21		)
Total other policyholder funds and benefits payable		(75		)	82			—			—		(28		)	—			—		—			(21		)
Total liabilities		$	(75	)	$	82		$	—		$	—	$	(28	)	$	—		$	—	$	—		$	(21	)


[1]	The Company classifies realized and unrealized gains (losses) on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives.


[2]	Amounts in these columns are generally reported in net realized capital gains (losses). The realized/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 for the Company. All amounts are before income taxes and amortization.


[3]	All amounts are before income taxes and amortization.


[4]	Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.


[5]	Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported on the Consolidated Balance Sheets in other investments and other liabilities.


[6]	Includes both market and non-market impacts in deriving realized and unrealized gains (losses).



Changes in Unrealized Gains (Losses) included in Net Income for Financial Instruments Classified as Level 3 Still Held at End of Period [1] [2]
	Successor Company						Predecessor Company
	For the Year Ended December 31, 2019			June 1, 2018 to December 31, 2018			January 1, 2018 to May 31, 2018
Assets
Fixed maturities, AFS
Corporate	$	(4	)	$	(6	)	$	2
Total fixed maturities, AFS	(4		)	(6		)	2
Equity securities, at fair value	(2		)	—			—
Freestanding derivatives
Equity	(1		)	—			—
Interest rate	(6		)	1			(5		)
GMWB hedging instruments	(35		)	28			(17		)
Macro hedge program	(359		)	252			(26		)
Total freestanding derivatives	(401		)	281			(48		)
Reinsurance recoverable for GMWB	(34		)	10			(19		)
Total assets	$	(441	)	$	285		$	(65	)
(Liabilities)
Other policyholder funds and benefits payable
Guaranteed withdrawal benefits	$	134		$	(25	)	$	82
Total other policyholder funds and benefits payable	134			(25		)	82
Total liabilities	$	134		$	(25	)	$	82


[1]	All amounts presented are reported in net realized capital gains (losses). The realized/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 for the Company. All amounts are before income taxes and amortization.


[2]	Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.



Changes in Unrealized Gains (Losses) included in OCI for Financial Instruments Classified as Level 3 Still Held at End of Period [1]
	Successor Company
	For the Year Ended December 31, 2019
Assets
Fixed maturities, AFS
CMBS	1
Corporate	17
RMBS	1
Total fixed maturities, AFS	19
Total assets	$	19


[1]	Changes in unrealized gains (losses) on fixed maturities, AFS are reported in changes in net unrealized gain on securities on the Consolidated Statements of Comprehensive Income.



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of January 1, 2019			Included in Net Income [1] [2] [6]			Included in OCI [3]		Purchases			Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of December 31, 2019
Assets
Fixed maturities, AFS
	ABS	$	2		$	—		$	—	$	13		$	—		$	—		$	—	$	(2	)	$	13
	CLOs	77			—			—		155			(91		)	(5		)	—		(78		)	58
	CMBS	41			—			2		53			(1		)	—			—		(58		)	37
	Corporate	327			(3		)	16		41			(15		)	(106		)	138		(11		)	387
	RMBS	443			—			1		—			(75		)	(105		)	—		(17		)	247
Total fixed maturities, AFS		890			(3		)	19		262			(182		)	(216		)	138		(166		)	742
Equity securities, at fair value		46			(4		)	—		2			(1		)	(10		)	—		—			33
Freestanding derivatives
	Equity	—			(1		)	—		1			—			—			—		—			—
	GMWB hedging instruments	45			(35		)	—		—			28			—			—		—			38
Total freestanding derivatives [5]		45			(36		)	—		1			28			—			—		—			38
Reinsurance recoverable for GMWB		40			(34		)	—		—			11			—			—		—			17
Separate accounts		40			—			—		82			—			(14		)	12		(97		)	23
Short-term investments		—			—			—		6			—			—			—		—			6
Total assets		$	1,061		$	(77	)	$	19	$	353		$	(144	)	$	(240	)	$	150	$	(263	)	$	859
(Liabilities)
Freestanding derivatives
	Interest rate	(27		)	(6		)	—		—			31			—			—		—			(2		)
	Macro hedge program	247			(359		)	—		(1		)	—			—			—		—			(113		)
Total freestanding derivatives [5]		220			(365		)	—		(1		)	31			—			—		—			(115		)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(80		)	134			—		—			(49		)	—			—		—			5
Total other policyholder funds and benefits payable		(80		)	134			—		—			(49		)	—			—		—			5
Total liabilities		$	140		$	(231	)	$	—	$	(1	)	$	(18	)	$	—		$	—	$	—		$	(110	)



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of June 1, 2018			Included in Net Income [1] [2] [6]			Included in OCI [3]			Purchases		Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of December 31, 2018
Assets
Fixed maturities, AFS
	ABS	$	12		$	—		$	—		$	20	$	(1	)	$	(4	)	$	1	$	(26	)	$	2
	CLOs	65			—			(1		)	142		(3		)	(7		)	—		(119		)	77
	CMBS	17			—			—			42		(1		)	(1		)	—		(16		)	41
	Corporate	451			(6		)	(7		)	17		(2		)	(33		)	6		(99		)	327
	Municipal	24			—			—			—		—			(12		)	—		(12		)	—
	RMBS	617			—			(1		)	38		(71		)	(117		)	—		(23		)	443
Total fixed maturities, AFS		1,186			(6		)	(9		)	259		(78		)	(174		)	7		(295		)	890
Equity securities, at fair value		42			1			—			4		—			(1		)	—		—			46
Freestanding derivatives
	Interest rate	(27		)	—			—			—		—			—			—		—			(27		)
	GMWB hedging instruments	17			28			—			—		—			—			—		—			45
	Macro hedge program	(5		)	156			—			41		55			—			—		—			247
Total freestanding derivatives [5]		(15		)	184			—			41		55			—			—		—			265
Reinsurance recoverable for GMWB		22			10			—			—		8			—			—		—			40
Separate accounts		55			—			—			45		—			(7		)	6		(59		)	40
Total assets		$	1,290		$	189		$	(9	)	$	349	$	(15	)	$	(182	)	$	13	$	(354	)	$	1,281
(Liabilities)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(21		)	(25		)	—			—		(34		)	—			—		—			(80		)
Total other policyholder funds and benefits payable		(21		)	(25		)	—			—		(34		)	—			—		—			(80		)
Total liabilities		$	(21	)	$	(25	)	$	—		$	—	$	(34	)	$	—		$	—	$	—		$	(80	)



Fair Value Roll-forwards for Financial Instruments Classified as Level 3
					Total Realized/Unrealized Gains (Losses)
		Fair Value as of January 1, 2018			Included in Net Income [1] [2] [6]			Included in OCI [3]			Purchases		Settlements			Sales			Transfers into Level 3 [4]		Transfers out of Level 3 [4]			Fair Value as of May 31, 2018
Assets
Fixed maturities, AFS
	ABS	$	13		$	—		$	—		$	6	$	(1	)	$	—		$	1	$	(7	)	$	12
	CLOs	73			—			—			5		—			(3		)	—		(10		)	65
	CMBS	26			—			—			7		(1		)	(15		)	—		—			17
	Corporate	443			2			(23		)	47		(16		)	(46		)	64		(20		)	451
	Foreign govt./govt. agencies	1			—			—			—		(1		)	—			—		—			—
	Municipal	38			—			(1		)	—		—			—			—		(13		)	24
	RMBS	692			—			(3		)	35		(78		)	(24		)	—		(5		)	617
Total fixed maturities, AFS		1,286			2			(27		)	100		(97		)	(88		)	65		(55		)	1,186
Equity securities, at fair value		46			10			—			—		—			(14		)	—		—			42
Freestanding derivatives
	Interest rate	(29		)	2			—			—		—			—			—		—			(27		)
	GMWB hedging instruments	34			(15		)	—			—		—			(2		)	—		—			17
	Macro hedge program	23			(28		)	—			—		—			—			—		—			(5		)
Total freestanding derivatives [5]		28			(41		)	—			—		—			(2		)	—		—			(15		)
Reinsurance recoverable for GMWB		36			(19		)	—			—		5			—			—		—			22
Separate accounts		185			—			—			34		—			(164		)	22		(22		)	55
Total assets		$	1,581		$	(48	)	$	(27	)	$	134	$	(92	)	$	(268	)	$	87	$	(77	)	$	1,290
(Liabilities)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	(75		)	82			—			—		(28		)	—			—		—			(21		)
Total other policyholder funds and benefits payable		(75		)	82			—			—		(28		)	—			—		—			(21		)
Total liabilities		$	(75	)	$	82		$	—		$	—	$	(28	)	$	—		$	—	$	—		$	(21	)


[1]	The Company classifies realized and unrealized gains (losses) on GMWB reinsurance derivatives and GMWB embedded derivatives as unrealized gains (losses) for purposes of disclosure in this table because it is impracticable to track on a contract-by-contract basis the realized gains (losses) for these derivatives and embedded derivatives.


[2]	Amounts in these columns are generally reported in net realized capital gains (losses). The realized/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 for the Company. All amounts are before income taxes and amortization.


[3]	All amounts are before income taxes and amortization.


[4]	Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.


[5]	Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported on the Consolidated Balance Sheets in other investments and other liabilities.


[6]	Includes both market and non-market impacts in deriving realized and unrealized gains (losses).

Fair Value, by Balance Sheet Grouping [Table Text Block]

Fair Value Option

The Company has elected the fair value option for certain RMBS that contain embedded credit derivatives with underlying credit. These securities are included within Fixed Maturities, FVO on the Consolidated Balance Sheets and changes in the fair value of these securities are reported in net realized capital gains and losses.

As of December 31, 2019 and 2018 (Successor Company), the fair value of assets and liabilities using the fair value option was $6 and $12, respectively, within the residential real estate sector.

For the year ended December 31, 2019 (Successor Company), the period of June 1, 2018 to December 31, 2018 (Successor Company) and the period of January 1, 2018 to May 31, 2018 (Predecessor Company), there were no realized capital gains (losses) related to the fair value of assets using the fair value option. For the year ended December 31, 2017 (Predecessor Company), the income earned from FVO securities and the changes recorded in net realized capital gains (losses) were $1, related to equity securities.

Financial Instruments Not Carried at Fair Value



Financial Assets and Liabilities Not Carried at Fair Value (Successor Company)
	Fair Value Hierarchy Level	Carrying Amount		Fair Value		Carrying Amount		Fair Value
	Fair Value Hierarchy Level	December 31, 2019				December 31, 2018
Assets
Policy loans	Level 3	$	1,467	$	1,467	$	1,441	$	1,441
Mortgage loans	Level 3	$	2,241	$	2,331	$	2,100	$	2,125
Liabilities
Other policyholder funds and benefits payable [1]	Level 3	$	6,049	$	5,912	$	6,186	$	5,888
Assumed investment contracts [2]	Level 3	$	1	$	1	$	185	$	185


[1]	Excludes group accident and health and universal life insurance contracts, including corporate owned life insurance.


[2]	Included in other liabilities on the Consolidated Balance Sheets.