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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value of Financial Instruments [Abstract]

Carrying And Estimated Fair Values Of Financial Instruments



	As of March 31, 2020						As of December 31, 2019
	Carrying			Fair			Carrying			Fair
	Value			Value			Value			Value
Assets
Fixed maturity AFS securities	$	102,606		$	102,606		$	105,200		$	105,200
Trading securities		4,019			4,019			4,673			4,673
Equity securities		83			83			103			103
Mortgage loans on real estate		16,791			18,556			16,339			16,872
Derivative investments ⁽¹⁾		4,417			4,417			1,911			1,911
Other investments		4,755			4,755			2,983			2,983
Cash and invested cash		6,202			6,202			2,563			2,563
Reinsurance related embedded derivatives		137			137			-			-
Other assets:
GLB direct embedded derivatives		-			-			450			450
GLB ceded embedded derivatives		728			728			60			60
Indexed annuity ceded embedded derivatives		799			799			927			927
Separate account assets		130,617			130,617			153,566			153,566

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(1,380	)		(1,380	)		(2,585	)		(2,585	)
Other contract holder funds:
Remaining guaranteed interest and similar contracts		(1,884	)		(1,884	)		(1,900	)		(1,900	)
Account values of certain investment contracts		(39,744	)		(54,761	)		(38,639	)		(46,822	)
Short-term debt		-			-			(300	)		(304	)
Long-term debt		(6,748	)		(5,770	)		(6,067	)		(6,217	)
Reinsurance related embedded derivatives		-			-			(327	)		(327	)
Other liabilities:
Derivative liabilities⁽¹⁾		(1,212	)		(1,212	)		(349	)		(349	)
GLB direct embedded derivatives		(4,596	)		(4,596	)		-			-
GLB ceded embedded derivatives		-			-			(9	)		(9	)

⁽¹⁾We have master netting agreements with each of our derivative counterparties, which allow for the netting of our derivative asset and liability positions by counterparty.

Schedule of Mortgage Loans With Election Of Fair Value Option



	As of March 31,
	2020
Commercial mortgage loans: ⁽¹⁾
Fair value as of end-of-period	$	765
Aggregate contractual principal as of end-of-period		742

⁽¹⁾As of March 31, 2020, no loans for which the fair value option has been elected were in non-accrual status and none were more than 90 days past due and still accruing.

Fair Value Of Assets And Liabilities On A Recurring Basis



		As of March 31, 2020
		Quoted
		Prices
		in Active
	Markets for			Significant				Significant
		Identical		Observable				Unobservable				Total
		Assets			Inputs				Inputs			Fair
		(Level 1)			(Level 2)				(Level 3)			Value
Assets
Investments:
Fixed maturity AFS securities:
Corporate bonds		$	-		$	81,694			$	4,103		$	85,797
U.S. government bonds			470			7				5			482
State and municipal bonds			-			5,906				-			5,906
Foreign government bonds			-			302				87			389
RMBS			-			3,270				1			3,271
CMBS			-			1,118				1			1,119
ABS			-			4,890				196			5,086
Hybrid and redeemable preferred securities			68			416				72			556
Mortgage loans on real estate			-			765				-			765
Trading securities			49			3,319				651			4,019
Equity securities			12			41				30			83
Derivative investments ⁽¹⁾			-			2,447				3,213			5,660
Cash and invested cash			-			6,202				-			6,202
Reinsurance related embedded derivatives			-			137				-			137
Other assets:
GLB ceded embedded derivatives			-			-				728			728
Indexed annuity ceded embedded derivatives			-			-				799			799
Separate account assets			539			130,068				-			130,607
Total assets		$	1,138		$	240,582			$	9,886		$	251,606

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(1,380	)	$	(1,380	)
Other liabilities:
Derivative liabilities ⁽¹⁾			-			(1,269	)			(1,186	)		(2,455	)
GLB direct embedded derivatives			-			-				(4,596	)		(4,596	)
Total liabilities		$	-		$	(1,269	)		$	(7,162	)	$	(8,431	)

‎


		As of December 31, 2019
		Quoted
		Prices
		in Active
	Markets for			Significant				Significant
		Identical		Observable				Unobservable				Total
		Assets			Inputs				Inputs			Fair
		(Level 1)			(Level 2)				(Level 3)			Value
Assets
Investments:
Fixed maturity AFS securities:
Corporate bonds		$	-		$	84,435			$	4,281		$	88,716
U.S. government bonds			424			6				5			435
State and municipal bonds			-			5,884				-			5,884
Foreign government bonds			-			303				90			393
RMBS			-			3,230				11			3,241
CMBS			-			1,082				1			1,083
ABS			-			4,621				268			4,889
Hybrid and redeemable preferred securities			77			404				78			559
Trading securities			50			3,957				666			4,673
Equity securities			25			48				30			103
Derivative investments ⁽¹⁾			-			1,212				1,735			2,947
Cash and invested cash			-			2,563				-			2,563
Other assets:
GLB direct embedded derivatives			-			-				450			450
GLB ceded embedded derivatives			-			-				60			60
Indexed annuity ceded embedded derivatives			-			-				927			927
Separate account assets			639			152,916				-			153,555
Total assets		$	1,215		$	260,661			$	8,602		$	270,478

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(2,585	)	$	(2,585	)
Reinsurance related embedded derivatives			-			(327	)			-			(327	)
Other liabilities:
Derivative liabilities ⁽¹⁾			-			(518	)			(867	)		(1,385	)
GLB ceded embedded derivatives			-			-				(9	)		(9	)
Total liabilities		$	-		$	(845	)		$	(3,461	)	$	(4,306	)

⁽¹⁾Derivative investment assets and liabilities are presented within the fair value hierarchy on a gross basis by derivative type and not on a master netting basis by counterparty.

‎

Fair Value Measured On A Recurring Basis Reconciliation



	For the Three Months Ended March 31, 2020
							Gains		Issuances,				Transfers
				Items			(Losses)			Sales,			Into or
				Included			in		Maturities,				Out
	Beginning			in			OCI		Settlements,				of			Ending
	Fair			Net			and			Calls,			Level 3,			Fair
	Value			Income			Other ⁽¹⁾			Net			Net ⁽²⁾			Value
Investments: ⁽³⁾
Fixed maturity AFS securities:
Corporate bonds	$	4,281		$	-		$	(385	)	$	165		$	42		$	4,103
U.S. government bonds		5			-			-			-			-			5
Foreign government bonds		90			-			(3	)		-			-			87
RMBS		11			-			-			-			(10	)		1
CMBS		1			-			-			-			-			1
ABS		268			-			(4	)		22			(90	)		196
Hybrid and redeemable
preferred securities		78			-			(6	)		-			-			72
Trading securities		666			(32	)		-			(6	)		23			651
Equity securities		30			-			-			-			-			30
Derivative investments		868			997			279			(117	)		-			2,027
Other assets: ⁽⁴⁾
GLB direct embedded derivatives		450			(450	)		-			-			-			-
GLB ceded embedded derivatives		60			668			-			-			-			728
Indexed annuity ceded embedded derivatives		927			(115	)		-			(13	)		-			799
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(2,585	)		1,143			-			62			-			(1,380	)
Other liabilities: ⁽⁴⁾
GLB direct embedded derivatives		-			(4,596	)		-			-			-			(4,596	)
GLB ceded embedded derivatives		(9	)		9			-			-			-			-
Total, net	$	5,141		$	(2,376	)	$	(119	)	$	113		$	(35	)	$	2,724

‎



	For the Three Months Ended March 31, 2019
							Gains		Issuances,				Transfers
				Items			(Losses)			Sales,			Into or
				Included			in		Maturities,				Out
	Beginning			in			OCI		Settlements,				of			Ending
	Fair			Net			and			Calls,			Level 3,			Fair
	Value			Income			Other ⁽¹⁾			Net			Net ⁽²⁾			Value
Investments: ⁽³⁾
Fixed maturity AFS securities:
Corporate bonds	$	3,269		$	(1	)	$	70		$	200		$	(17	)	$	3,521
Foreign government bonds		109			-			1			-			-			110
RMBS		7			-			-			-			(7	)		-
CMBS		2			-			-			-			-			2
ABS		134			-			-			149			(105	)		178
Hybrid and redeemable
preferred securities		75			-			3			-			-			78
Trading securities		67			-			-			206			(37	)		236
Equity securities		25			-			-			-			-			25
Derivative investments		534			(383	)		46			70			-			267
Other assets: ⁽⁴⁾
GLB direct embedded derivatives		123			316			-			-			-			439
GLB ceded embedded derivatives		72			(22	)		-			-			-			50
Indexed annuity ceded embedded derivatives		902			77			-			(107	)		-			872
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(1,305	)		(316	)		-			(109	)		-			(1,730	)
Other liabilities – GLB ceded embedded
derivatives ⁽⁴⁾		-			(8	)		-			-			-			(8	)
Total, net	$	4,014		$	(337	)	$	120		$	409		$	(166	)	$	4,040

⁽¹⁾The changes in fair value of the interest rate swaps are offset by an adjustment to derivative investments (see Note 5).

⁽²⁾Transfers into or out of Level 3 for fixed maturity AFS and trading securities are reported at amortized cost as of the beginning-of-year. For fixed maturity AFS and trading securities, the difference between beginning-of-year amortized cost and beginning-of-year fair value was included in OCI and earnings, respectively, in the prior period.

⁽³⁾Amortization and accretion of premiums and discounts are included in net investment income on our Consolidated Statements of Comprehensive Income (Loss). Gains (losses) from sales, maturities, settlements and calls and credit loss expense are included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

⁽⁴⁾Gains (losses) from the changes in fair value are included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

‎

Schedule Of Investment Holdings Movements



	For the Three Months Ended March 31, 2020
	Issuances		Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	336	$	(73	)	$	2		$	(51	)	$	(49	)	$	165
ABS		37		-			-			(15	)		-			22
Trading securities		37		(25	)		-			(18	)		-			(6	)
Derivative investments		118		(123	)		(112	)		-			-			(117	)
Other assets – indexed annuity ceded
embedded derivatives		9		-			-			(22	)		-			(13	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		11		-			-			51			-			62
Total, net	$	548	$	(221	)	$	(110	)	$	(55	)	$	(49	)	$	113



	For the Three Months Ended March 31, 2019
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	267		$	(2	)	$	(7	)	$	(51	)	$	(7	)	$	200
ABS		149			-			-			-			-			149
Trading securities		207			-			-			(1	)		-			206
Derivative investments		131			(15	)		(46	)		-			-			70
Other assets – indexed annuity ceded
embedded derivatives		19			-			-			(126	)		-			(107	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(148	)		-			-			39			-			(109	)
Total, net	$	625		$	(17	)	$	(53	)	$	(139	)	$	(7	)	$	409

‎

Changes In Unrealized Gains (Losses) Within Level 3 Financial Instruments Carried At Fair Value And Still Held



	For the Three
	Months Ended
	March 31,
	2020			2019
GLB	$	(4,867	)	$	481
Derivative investments		895			(287	)
Embedded derivatives:
Indexed annuity and IUL contracts		(61	)		(32	)
Total, net⁽¹⁾	$	(4,033	)	$	162

⁽¹⁾Included in realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

Changes in Unrealized Gains (Losses) Included in OCI



	For the Three
	Months Ended
		March 31,
		2020
Fixed maturity AFS securities:
Corporate bonds		$	(325	)
Foreign government bonds			(2	)
ABS			(3	)
Hybrid and redeemable preferred securities			(5	)
Total, net		$	(335	)

Components Of The Transfers In And Out Of Level 3



	For the Three								For the Three
	Months Ended								Months Ended
	March 31, 2020								March 31, 2019
	Transfers		Transfers						Transfers		Transfers
	Into		Out of						Into		Out of
	Level 3		Level 3			Total			Level 3		Level 3			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	119	$	(77	)	$	42		$	83	$	(100	)	$	(17	)
RMBS		-		(10	)		(10	)		-		(7	)		(7	)
ABS		5		(95	)		(90	)		-		(105	)		(105	)
Trading securities		23		-			23			-		(37	)		(37	)
Total, net	$	147	$	(182	)	$	(35	)	$	83	$	(249	)	$	(166	)

Fair Value Inputs Quantitative Information



											Weighted
											Average
	Fair			Valuation	Significant	Assumption or					Input
	Value			Technique	Unobservable Inputs	Input Ranges					Range ⁽¹⁾
Assets
Investments:
Fixed maturity AFS and
trading securities:
Corporate bonds	$	2,690		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	0.7	%	-	18.8	%	2.9	%
Foreign government
bonds		47		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	5.3	%	-	8.0	%	6.8	%
ABS		20		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	6.0	%	-	6.0	%	6.0	%
Hybrid and redeemable
preferred securities		4		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	3.0	%	-	3.0	%	3.0	%

Equity securities		20		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	4.5	%	-	7.3	%	6.7	%
Other assets – GLB ceded
embedded derivatives		728		Discounted cash flow	Long-term lapse rate ⁽³⁾	1	%	-	30	%	⁽¹⁰⁾
					Utilization of guaranteed withdrawals⁽⁴⁾	85	%	-	100	%	94	%
					Claims utilization factor ⁽⁵⁾	60	%	-	100	%	⁽¹⁰⁾
					Premiums utilization factor ⁽⁵⁾	80	%	-	115	%	⁽¹⁰⁾
					NPR ⁽⁶⁾	0.03	%	-	0.35	%	0.27	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	13.72	%

Indexed annuity ceded
embedded derivatives		799		Discounted cash flow	Lapse rate ⁽³⁾	1	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Liabilities
Future contract benefits –
indexed annuity and IUL
contracts embedded
derivatives	$	(1,380	)	Discounted cash flow	Lapse rate ⁽³⁾	1	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Other liabilities –
GLB direct embedded
derivatives		(4,596	)	Discounted cash flow	Long-term lapse rate ⁽³⁾	1	%	-	30	%	⁽¹⁰⁾
					Utilization of guaranteed withdrawals ⁽⁴⁾	85	%	-	100	%	94	%
					Claims utilization factor ⁽⁵⁾	60	%	-	100	%	⁽¹⁰⁾
					Premiums utilization factor ⁽⁵⁾	80	%	-	115	%	⁽¹⁰⁾
					NPR ⁽⁶⁾	0.03	%	-	0.35	%	0.27	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	13.72	%

⁽¹⁾Unobservable inputs were weighted by the relative fair value of the instruments, unless otherwise noted.

⁽²⁾The liquidity/duration adjustment input represents an estimated market participant composite of adjustments attributable to liquidity premiums, expected durations, structures and credit quality that would be applied to the market observable information of an investment.

⁽³⁾The lapse rate input represents the estimated probability of a contract surrendering during a year, and thereby forgoing any future benefits. The range for indexed annuity and IUL contracts represents the lapse rates during the surrender charge period.

⁽⁴⁾The utilization of guaranteed withdrawals input represents the estimated percentage of contract holders that utilize the guaranteed withdrawal feature.

⁽⁵⁾The utilization factors are applied to the present value of claims or premiums, as appropriate, in the GLB reserve calculation to estimate the impact of inefficient withdrawal behavior, including taking less than or more than the maximum guaranteed withdrawal.

⁽⁶⁾The NPR input represents the estimated additional credit spread that market participants would apply to the market observable discount rate when pricing a contract. The NPR input was weighted by the absolute value of the sensitivity of the reserve to the NPR assumption.

⁽⁷⁾The mortality rate input represents the estimated probability of when an individual belonging to a particular group, categorized according to age or some other factor such as gender, will die.

⁽⁸⁾The volatility input represents overall volatilities assumed for the underlying variable annuity funds, which include a mixture of equity and fixed-income assets. Fair value of the variable annuity GLB embedded derivatives would increase if higher volatilities were used for valuation. Volatility assumptions vary by fund due to the benchmarking of different indices. The volatility input was weighted by the relative account value assigned to each index.

⁽⁹⁾The mortality rate is based on a combination of company and industry experience, adjusted for improvement factors.

⁽¹⁰⁾A weighted average input range is not a meaningful measurement for lapse rate, utilization factors or mortality rate.