Fair Value Measurements Level 3 (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

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, 2020
	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")	$	444	$	—	$	444	$	—
Collateralized loan obligations ("CLOs")	1,428		—		1,169		259
Commercial mortgage-backed securities ("CMBS")	1,215		—		1,161		54
Corporate	8,552		—		8,224		328
Foreign government/government agencies	266		—		266		—
Municipal	875		—		875		—
Residential mortgage-backed securities ("RMBS")	769		—		615		154
U.S. Treasuries	1,326		117		1,209		—
Total fixed maturities	14,875		117		13,963		795
Equity securities, at fair value	65		11		22		32
Derivative assets
Foreign exchange derivatives	(1)		—		(1)		—
Interest rate derivatives	6		—		4		2
Macro hedge program	7		—		7		—
Total derivative assets [1]	12		—		10		2
Short-term investments	802		586		194		22
Reinsurance recoverable for GMWB	7		—		—		7
Separate account assets [2]	108,748		67,679		40,609		20
Total assets accounted for at fair value on a recurring basis	$	124,509	$	68,393	$	54,798	$	878
Liabilities accounted for at fair value on a recurring basis
Other policyholder funds and benefits payable
GMWB embedded derivative	$	21	$	—	$	—	$	21
Total other policyholder funds and benefits payable	21		—		—		21
Derivative liabilities
Foreign exchange derivatives	(1)		—		(1)		—
Interest rate derivatives	(19)		—		(19)		—
Macro hedge program	(460)		—		(19)		(441)
Total derivative liabilities [3]	(480)		—		(39)		(441)
Modified coinsurance reinsurance contracts	(93)		—		(93)		—
Total liabilities accounted for at fair value on a recurring basis	$	(552)	$	—	$	(132)	$	(420)

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
ABS	$	295	$	—	$	282	$	13
CLOs	1,150		—		1,092		58
CMBS	1,391		—		1,354		37
Corporate	8,121		—		7,734		387
Foreign government/government agencies	409		—		409		—
Municipal	761		—		761		—
RMBS	868		—		621		247
U.S. Treasuries	993		—		993		—
Total fixed maturities	13,988		—		13,246		742
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
Other investments	6		—		6		—
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)

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

Significant Unobservable Inputs for Level 3 - Securities
As of December 31, 2020 (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]	$	259	Discounted cash flows	Spread	249bps	305bps	304bps	Decrease
CMBS [3]	49		Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	255bps	1,582bps	570bps	Decrease
Corporate [4]	269		Discounted cash flows	Spread	116bps	1,210bps	304bps	Decrease
RMBS [3]	154		Discounted cash flows	Spread [6]	7bps	592bps	119bps	Decrease
				Constant prepayment rate [6]	—%	10%	5%	Decrease [5]
				Constant default rate [6]	2%	6%	3%	Decrease
				Loss severity [6]	—%	100%	81%	Decrease
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

[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, 2020 (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	1%	1%	1%	Decrease
Macro hedge program [3], [4]
Equity options	(471)		Option model	Equity volatility	—%	53%	31%	Increase
Customized swaps	21		Discounted cash flows	Equity volatility	16%	26%	19%	Increase
Interest rate swaption	9		Option model	Interest rate volatility	1%	1%	1%	Increase
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

[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.

[4]Includes activity previously reported as GMWB hedging instruments. For further discussion please refer to GMWB Derivatives, net in Footnote 4 - Derivative Instruments of Notes to Consolidated Financial Statements.

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

The following table presents a reconciliation of the beginning and ending balances for fair value measurements for the year ended December 31, 2020 (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, 2020		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, 2020
Assets
Fixed maturities, AFS
	ABS	$	13	$	—	$	(1)	$	40	$	—	$	—	$	—	$	(52)	$	—
	CLOs	58		—		2		237		(28)		—		—		(10)		259
	CMBS	37		—		(3)		18		—		—		2		—		54
	Corporate	387		2		12		51		(40)		(24)		357		(417)		328
	RMBS	247		—		—		57		(64)		(28)		—		(58)		154
Total fixed maturities, AFS		742		2		10		403		(132)		(52)		359		(537)		795
Equity securities, at fair value		33		—		—		1		—		(2)		—		—		32
Freestanding derivatives
	Interest rate	(2)		4		—		—		—		—		—		—		2
	GMWB hedging instruments	38		(38)		—		—		—		—		—		—		—
Total freestanding derivatives [5]		36		(34)		—		—		—		—		—		—		2
Reinsurance recoverable for GMWB		17		(21)		—		—		11		—		—		—		7
Separate accounts		23		—		—		12		—		(7)		—		(8)		20
Short-term investments		6		—		—		22		(6)		—		—		—		22
Total assets		$	857	$	(53)	$	10	$	438	$	(127)	$	(61)	$	359	$	(545)	$	878
(Liabilities)
Freestanding derivatives
	Macro hedge program	(113)		(456)		—		339		(211)		—		—		—		(441)
Total freestanding derivatives [5]		(113)		(456)		—		339		(211)		—		—		—		(441)
Other policyholder funds and benefits payable
	Guaranteed withdrawal benefits	5		67		—		—		(51)		—		—		—		21
Total other policyholder funds and benefits payable		5		67		—		—		(51)		—		—		—		21
Total liabilities		$	(108)	$	(389)	$	—	$	339	$	(262)	$	—	$	—	$	—	$	(420)

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)

[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. Transfers into and out of Level 3 for the year ended December 31, 2020, were primarily related to private securities that were priced using internal matrix pricing in the prior period, but changed to broker pricing in the current period and inversely, private securities that were priced using broker pricing in the prior period, but changed to internal matrix pricing in the current period.

[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
	For the Years Ended December 31,
	2020		2019
Assets
Fixed maturities, AFS
Corporate	$	—	$	(4)
Total fixed maturities, AFS	—		(4)
Equity securities, at fair value	—		(2)
Freestanding derivatives
Equity	—		(1)
Interest rate	6		(6)
GMWB hedging instruments [3]	(16)		(35)
Total freestanding derivatives	(10)		(42)
Reinsurance recoverable for GMWB	(21)		(34)
Total assets	$	(31)	$	(82)
(Liabilities)
Freestanding derivatives
Macro hedge program [3]	$	(212)	$	(359)
Total freestanding derivatives	(212)		(359)
Other policyholder funds and benefits payable
Guaranteed withdrawal benefits	67		134
Total other policyholder funds and benefits payable	67		134
Total liabilities	$	(145)	$	(225)

[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.

[3]The dynamic hedge program, which included GMWB hedging instruments, was closed in the first half of 2020. Any risks previously covered by the dynamic hedging program are now covered by the macro hedge program.

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 Years Ended December 31,
	2020		2019
Assets
Fixed maturities, AFS
CLOs	$	1	$	—
CMBS	(3)		1
Corporate	7		17
RMBS	(1)		1
Total fixed maturities, AFS	4		19
Total assets	$	4	$	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 (Loss).

Fair Value Disclosure of Asset and Liability Not Measured at Fair Value

Financial Assets and Liabilities Not Carried at Fair Value (Successor Company)
	Fair Value Hierarchy Level	Carrying Amount [1]		Fair Value		Carrying Amount		Fair Value
		December 31, 2020				December 31, 2019
Assets
Policy loans	Level 3	$	1,452	$	1,452	$	1,467	$	1,467
Mortgage loans	Level 3	$	2,092	$	2,248	$	2,241	$	2,331
Liabilities
Other policyholder funds and benefits payable [2]	Level 3	$	5,282	$	5,261	$	6,049	$	5,912
Assumed investment contracts [3]	Level 3	$	—	$	—	$	1	$	1

[1]    As of December 31, 2020, carrying amount of mortgage loans is net of ACL of $17.

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

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