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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value of Financial Instruments [Abstract]

Carrying And Estimated Fair Values Of Financial Instruments



	As of March 31, 2021						As of December 31, 2020
	Carrying			Fair			Carrying			Fair
	Value			Value			Value			Value
Assets
Fixed maturity AFS securities	$	117,313		$	117,313		$	123,044		$	123,044
Trading securities		4,365			4,365			4,501			4,501
Equity securities		123			123			129			129
Mortgage loans on real estate		17,255			18,076			16,763			18,219
Derivative investments ⁽¹⁾		3,453			3,453			3,109			3,109
Other investments		3,538			3,538			3,974			3,974
Cash and invested cash		1,350			1,350			1,708			1,708
Other assets:
GLB direct embedded derivatives		1,831			1,831			450			450
GLB ceded embedded derivatives		42			42			82			82
Indexed annuity ceded embedded derivatives		527			527			550			550
Separate account assets		171,339			171,339			167,965			167,965

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(4,170	)		(4,170	)		(3,594	)		(3,594	)
Other contract holder funds:
Remaining guaranteed interest and similar contracts		(1,860	)		(1,860	)		(1,854	)		(1,854	)
Account values of certain investment contracts		(40,681	)		(41,722	)		(40,947	)		(49,745	)
Short-term debt		(300	)		(311	)		-			-
Long-term debt		(6,294	)		(6,501	)		(6,682	)		(7,067	)
Reinsurance related embedded derivatives		(244	)		(244	)		(392	)		(392	)
Other liabilities:
Derivative liabilities⁽¹⁾		(428	)		(428	)		(906	)		(906	)
GLB ceded embedded derivatives		(152	)		(152	)		-			-

⁽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		As of
	March 31,		December 31,
	2021		2020
Fair value	$	874	$	832
Aggregate contractual principal		882		839

Fair Value Of Assets And Liabilities On A Recurring Basis



		As of March 31, 2021
		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		$	-		$	91,425			$	5,145		$	96,570
U.S. government bonds			432			7				5			444
State and municipal bonds			-			6,625				-			6,625
Foreign government bonds			-			419				66			485
RMBS			-			3,075				2			3,077
CMBS			-			1,515				1			1,516
ABS			-			7,308				688			7,996
Hybrid and redeemable preferred securities			56			459				85			600
Trading securities			-			3,650				715			4,365
Equity securities			12			50				61			123
Mortgage loans on real estate			-			-				874			874
Derivative investments ⁽¹⁾			-			1,061				4,243			5,304
Cash and invested cash			-			1,350				-			1,350
Other assets:
GLB direct embedded derivatives			-			-				1,831			1,831
GLB ceded embedded derivatives			-			-				42			42
Indexed annuity ceded embedded derivatives			-			-				527			527
Separate account assets			595			170,736				-			171,331
Total assets		$	1,095		$	287,680			$	14,285		$	303,060

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(4,170	)	$	(4,170	)
Reinsurance related embedded derivatives			-			(244	)			-			(244	)
Other liabilities:
Derivative liabilities⁽¹⁾			-			(697	)			(1,582	)		(2,279	)
GLB ceded embedded derivatives			-			-				(152	)		(152	)
Total liabilities		$	-		$	(941	)		$	(5,904	)	$	(6,845	)

‎



		As of December 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		$	-		$	97,668			$	5,121		$	102,789
U.S. government bonds			473			6				5			484
State and municipal bonds			-			6,921				-			6,921
Foreign government bonds			-			396				74			470
RMBS			-			3,074				2			3,076
CMBS			-			1,505				-			1,505
ABS			-			6,614				570			7,184
Hybrid and redeemable preferred securities			54			457				104			615
Trading securities			5			3,852				644			4,501
Equity securities			22			48				59			129
Mortgage loans on real estate			-			-				832			832
Derivative investments ⁽¹⁾			-			1,733				3,575			5,308
Cash and invested cash			-			1,708				-			1,708
Other assets:
GLB direct embedded derivatives			-			-				450			450
GLB ceded embedded derivatives			-			-				82			82
Indexed annuity ceded embedded derivatives			-			-				550			550
Separate account assets			606			167,351				-			167,957
Total assets		$	1,160		$	291,333			$	12,068		$	304,561

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(3,594	)	$	(3,594	)
Reinsurance related embedded derivatives			-			(392	)			-			(392	)
Other liabilities – derivative liabilities ⁽¹⁾			-			(1,072	)			(2,033	)		(3,105	)
Total liabilities		$	-		$	(1,464	)		$	(5,627	)	$	(7,091	)

⁽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, 2021
							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	$	5,121		$	2		$	(120	)	$	170		$	(28	)	$	5,145
U.S. government bonds		5			-			-			-			-			5
Foreign government bonds		74			-			(8	)		-			-			66
RMBS		2			-			-			-			-			2
CMBS		-			1			-			-			-			1
ABS		570			-			(7	)		183			(58	)		688
Hybrid and redeemable
preferred securities		104			-			1			(20	)		-			85
Trading securities		644			(3	)		-			66			8			715
Equity securities		59			6			-			(4	)		-			61
Mortgage loans on real estate		832			2			3			37			-			874
Derivative investments		1,542			1,251			-			(132	)		-			2,661
Other assets: ⁽⁴⁾
GLB direct embedded derivatives		450			1,381			-			-			-			1,831
GLB ceded embedded derivatives		82			(40	)		-			-			-			42
Indexed annuity ceded embedded derivatives		550			32			-			(55	)		-			527
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(3,594	)		(626	)		-			50			-			(4,170	)
Other liabilities – GLB ceded embedded
derivatives ⁽⁴⁾		-			(152	)		-			-			-			(152	)
Total, net	$	6,441		$	1,854		$	(131	)	$	295		$	(78	)	$	8,381

‎



	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

⁽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, 2021
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	297		$	(4	)	$	(15	)	$	(91	)	$	(17	)	$	170
ABS		200			-			-			(17	)		-			183
Hybrid and redeemable preferred
securities		-			(20	)		-			-			-			(20	)
Trading securities		88			(3	)		-			(19	)		-			66
Equity securities		4			(8	)		-			-			-			(4	)
Mortgage loans on real estate		72			(35	)		-			-			-			37
Derivative investments		174			(124	)		(182	)		-			-			(132	)
Other assets – indexed annuity ceded
embedded derivatives		3			-			-			(58	)		-			(55	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(108	)		-			-			158			-			50
Total, net	$	730		$	(194	)	$	(197	)	$	(27	)	$	(17	)	$	295



	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

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



	For the Three
	Months Ended
	March 31,
	2021			2020
Trading securities	$	(2	)	$	-
Equity securities		6			-
Mortgage loans on real estate		4			-
GLB		1,570			(4,867	)
Derivative investments		1,053			895
Embedded derivatives – indexed annuity
and IUL contracts		43			(61	)
Total, net⁽¹⁾	$	2,674		$	(4,033	)

⁽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,
	2021			2020
Fixed maturity AFS securities:
Corporate bonds	$	(122	)	$	(325	)
Foreign government bonds		(8	)		(2	)
ABS		(8	)		(3	)
Hybrid and redeemable
preferred securities		2			(5	)
Mortgage loans on real estate		3			-
Total, net	$	(133	)	$	(335	)

Components Of The Transfers In And Out Of Level 3



	For the Three								For the Three
	Months Ended								Months Ended
	March 31, 2021								March 31, 2020
	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	$	10	$	(38	)	$	(28	)	$	119	$	(77	)	$	42
RMBS		-		-			-			-		(10	)		(10	)
ABS		-		(58	)		(58	)		5		(95	)		(90	)
Trading securities		13		(5	)		8			23		-			23
Total, net	$	23	$	(101	)	$	(78	)	$	147	$	(182	)	$	(35	)

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	$	3,376		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	0.3	%	-	7.9	%	1.5	%
Foreign government
bonds		29		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	5.7	%	-	5.7	%	5.7	%
ABS		20		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	%	-	6.2	%	5.8	%
Other assets: GLB direct
and ceded embedded		1,873		Discounted cash flow	Long-term lapse rate ⁽³⁾	1	%	-	30	%	⁽¹⁰⁾
derivatives					Utilization of guaranteed withdrawals⁽⁴⁾	85	%	-	100	%	94	%
					Claims utilization factor ⁽⁵⁾	60	%	-	100	%	⁽¹⁰⁾
					Premiums utilization factor ⁽⁵⁾	80	%	-	115	%	⁽¹⁰⁾
					NPR ⁽⁶⁾	0.07	%	-	1.43	%	0.95	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	14.71	%

Indexed annuity ceded
embedded derivatives		527		Discounted cash flow	Lapse rate ⁽³⁾	0	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Liabilities
Future contract benefits –
indexed annuity contract
embedded derivatives	$	(4,107	)	Discounted cash flow	Lapse rate ⁽³⁾	0	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Other liabilities –
GLB ceded embedded
derivatives		(152	)	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⁾	0.07	%	-	1.43	%	0.95	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	14.71	%

⁽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 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.