XML 40 R29.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value of Financial Instruments [Abstract]

Carrying And Estimated Fair Values Of Financial Instruments



	As of September 30, 2020						As of December 31, 2019
	Carrying			Fair			Carrying			Fair
	Value			Value			Value			Value
Assets
Fixed maturity AFS securities	$	116,372		$	116,372		$	103,773		$	103,773
Trading securities		4,574			4,574			4,602			4,602
Equity securities		120			120			103			103
Mortgage loans on real estate		16,458			18,145			16,244			16,774
Derivative investments ⁽¹⁾		3,235			3,235			1,911			1,911
Other investments		2,976			2,976			2,554			2,554
Cash and invested cash		1,711			1,711			1,879			1,879
Other assets:
GLB direct embedded derivatives		-			-			450			450
GLB ceded embedded derivatives		1,105			1,105			60			60
Indexed annuity ceded embedded derivatives		536			536			927			927
Separate account assets		152,975			152,975			153,571			153,571

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(2,688	)		(2,688	)		(2,585	)		(2,585	)
Other contract holder funds:
Remaining guaranteed interest and similar contracts		(1,860	)		(1,860	)		(1,900	)		(1,900	)
Account values of certain investment contracts		(40,437	)		(56,321	)		(38,606	)		(46,781	)
Short-term debt		(466	)		(466	)		(609	)		(609	)
Long-term debt		(2,409	)		(2,736	)		(2,414	)		(2,714	)
Reinsurance related embedded derivatives		(476	)		(476	)		(375	)		(375	)
Other liabilities:
Derivative liabilities⁽¹⁾		(331	)		(331	)		(238	)		(238	)
GLB direct embedded derivatives		(1,106	)		(1,106	)		-			-
GLB ceded embedded derivatives		-			-			(510	)		(510	)

⁽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
	September 30,
	2020
Commercial mortgage loans: ⁽¹⁾
Fair value	$	794
Aggregate contractual principal		770
		-

⁽¹⁾As of September 30, 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 interest.

Fair Value Of Assets And Liabilities On A Recurring Basis



		As of September 30, 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		$	-		$	90,199			$	7,207		$	97,406
U.S. government bonds			423			37				-			460
State and municipal bonds			-			6,517				-			6,517
Foreign government bonds			-			365				66			431
RMBS			-			2,961				2			2,963
CMBS			-			1,420				1			1,421
ABS			-			6,170				413			6,583
Hybrid and redeemable preferred securities			61			426				104			591
Mortgage loans on real estate			-			794				-			794
Trading securities			5			4,034				535			4,574
Equity securities			22			49				49			120
Derivative investments ⁽¹⁾			-			2,176				2,279			4,455
Cash and invested cash			-			1,711				-			1,711
Other assets:
GLB ceded embedded derivatives			-			-				1,105			1,105
Indexed annuity ceded embedded derivatives			-			-				536			536
Separate account assets			720			152,246				-			152,966
Total assets		$	1,231		$	269,105			$	12,297		$	282,633

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(2,688	)	$	(2,688	)
Reinsurance related embedded derivatives			-			(476	)			-			(476	)
Other liabilities:
Derivative liabilities ⁽¹⁾			-			(420	)			(1,131	)		(1,551	)
GLB direct embedded derivatives			-			-				(1,106	)		(1,106	)
Total liabilities		$	-		$	(896	)		$	(4,925	)	$	(5,821	)

‎



		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		$	-		$	80,801			$	6,978		$	87,779
U.S. government bonds			391			7				5			403
State and municipal bonds			-			5,685				-			5,685
Foreign government bonds			-			298				90			388
RMBS			-			2,997				11			3,008
CMBS			-			1,082				1			1,083
ABS			-			4,615				268			4,883
Hybrid and redeemable preferred securities			77			389				78			544
Trading securities			50			3,886				666			4,602
Equity securities			25			48				30			103
Derivative investments ⁽¹⁾			-			1,089				1,735			2,824
Cash and invested cash			-			1,879				-			1,879
Other assets:
GLB direct embedded derivatives			-			-				450			450
GLB ceded embedded derivatives			-			-				60			60
Indexed annuity ceded embedded derivatives			-			-				927			927
Separate account assets			644			152,916				-			153,560
Total assets		$	1,187		$	255,692			$	11,299		$	268,178

Liabilities
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		$	-		$	-			$	(2,585	)	$	(2,585	)
Reinsurance related embedded derivatives			-			(375	)			-			(375	)
Other liabilities:
Derivative liabilities ⁽¹⁾			-			(284	)			(867	)		(1,151	)
GLB ceded embedded derivatives			-			-				(510	)		(510	)
Total liabilities		$	-		$	(659	)		$	(3,962	)	$	(4,621	)

⁽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 September 30, 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	$	6,975		$	(7	)	$	191		$	64		$	(16	)	$	7,207
U.S. government bonds		5			-			-			-			(5	)		-
Foreign government bonds		86			-			-			(20	)		-			66
RMBS		2			-			-			-			-			2
CMBS		1			-			-			-			-			1
ABS		424			-			3			60			(74	)		413
Hybrid and redeemable
preferred securities		90			-			1			13			-			104
Trading securities		673			2			-			(119	)		(21	)		535
Equity securities		29			2			-			18			-			49
Derivative investments		595			958			-			(189	)		(216	)		1,148
Other assets: ⁽⁴⁾
GLB ceded embedded derivatives		3,081			(1,976	)		-			-			-			1,105
Indexed annuity ceded embedded derivatives		664			295			-			(423	)		-			536
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(2,272	)		(400	)		-			(16	)		-			(2,688	)
Other liabilities – GLB direct embedded
derivatives ⁽⁴⁾		(3,086	)		1,980			-			-			-			(1,106	)
Total, net	$	7,267		$	854		$	195		$	(612	)	$	(332	)	$	7,372

‎



	For the Three Months Ended September 30, 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	$	6,061		$	3		$	(49	)	$	239		$	51		$	6,305
Foreign government bonds		113			-			2			-			-			115
RMBS		-			-			-			10			-			10
CMBS		2			-			-			7			-			9
ABS		320			-			1			69			(173	)		217
Hybrid and redeemable
preferred securities		78			-			-			-			-			78
Trading securities		523			10			-			146			(113	)		566
Equity securities		68			(11	)		-			(3	)		-			54
Derivative investments		466			183			119			23			-			791
Other assets:⁽⁴⁾
GLB ceded embedded derivatives		111			733			-			-			-			844
Indexed annuity ceded embedded derivatives		903			7			-			(19	)		-			891
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(1,973	)		(30	)		-			(95	)		-			(2,098	)
Other liabilities: ⁽⁴⁾
GLB direct embedded derivatives		(1	)		(845	)		-			-			-			(846	)
GLB ceded embedded derivatives		(111	)		111			-			-			-			-
Total, net	$	6,560		$	161		$	73		$	377		$	(235	)	$	6,936



	For the Nine Months Ended September 30, 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	$	6,978		$	(6	)	$	17		$	146		$	72		$	7,207
U.S. government bonds		5			-			-			-			(5	)		-
Foreign government bonds		90			-			(4	)		(20	)		-			66
RMBS		11			-			-			-			(9	)		2
CMBS		1			-			-			-			-			1
ABS		268			-			5			317			(177	)		413
Hybrid and redeemable
preferred securities		78			-			(1	)		9			18			104
Trading securities		666			(2	)		-			(139	)		10			535
Equity securities		30			1			-			18			-			49
Derivative investments		868			555			267			(326	)		(216	)		1,148
Other assets: ⁽⁴⁾
GLB direct embedded derivatives		450			(450	)		-			-			-			-
GLB ceded embedded derivatives		60			1,045			-			-			-			1,105
Indexed annuity ceded embedded derivatives		927			484			-			(875	)		-			536
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(2,585	)		(88	)		-			(15	)		-			(2,688	)
Other liabilities: ⁽⁴⁾
GLB direct embedded derivatives		-			(1,106	)		-			-			-			(1,106	)
GLB ceded embedded derivatives		(510	)		510			-			-			-			-
Total, net	$	7,337		$	943		$	284		$	(885	)	$	(307	)	$	7,372



	For the Nine Months Ended September 30, 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	$	5,652		$	3		$	44		$	641		$	(35	)	$	6,305
Foreign government bonds		109			-			6			-			-			115
RMBS		7			-			-			10			(7	)		10
CMBS		2			-			-			7			-			9
ABS		134			-			2			477			(396	)		217
Hybrid and redeemable
preferred securities		75			-			3			-			-			78
Trading securities		67			12			-			723			(236	)		566
Equity securities		25			(11	)		-			40			-			54
Derivative investments		533			(129	)		235			152			-			791
Other assets: ⁽⁴⁾
GLB direct embedded derivatives		123			(123	)		-			-			-			-
GLB ceded embedded derivatives		72			772			-			-			-			844
Indexed annuity ceded embedded derivatives		902			128			-			(139	)		-			891
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives ⁽⁴⁾		(1,305	)		(500	)		-			(293	)		-			(2,098	)
Other liabilities: ⁽⁴⁾
GLB direct embedded derivatives		-			(846	)		-			-			-			(846	)
GLB ceded embedded derivatives		(196	)		196			-			-			-			-
Total, net	$	6,200		$	(498	)	$	290		$	1,618		$	(674	)	$	6,936

⁽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-period. For fixed maturity AFS and trading securities, the difference between beginning-of-period amortized cost and beginning-of-period 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 September 30, 2020
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	182		$	(53	)	$	(3	)	$	(17	)	$	(45	)	$	64
Foreign government bonds		-			-			(20	)		-			-			(20	)
ABS		74			-			-			(14	)		-			60
Hybrid and redeemable
preferred securities		13			-			-			-			-			13
Trading securities		15			-			(20	)		(114	)		-			(119	)
Equity securities		18			-			-			-			-			18
Derivative investments		126			(177	)		(138	)		-			-			(189	)
Other assets – indexed annuity ceded
embedded derivatives		4			-			-			(427	)		-			(423	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(88	)		-			-			72			-			(16	)
Total, net	$	344		$	(230	)	$	(181	)	$	(500	)	$	(45	)	$	(612	)




	For the Three Months Ended September 30, 2019
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	323		$	(4	)	$	(21	)	$	(43	)	$	(16	)	$	239
RMBS		10			-			-			-			-			10
CMBS		7			-			-			-			-			7
ABS		79			-			-			(10	)		-			69
Trading securities		150			-			-			(4	)		-			146
Equity securities		-			(3	)		-			-			-			(3	)
Derivative investments		131			(34	)		(74	)		-			-			23
Other assets – indexed annuity ceded
embedded derivatives		9			-			-			(28	)		-			(19	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(124	)		-			-			29			-			(95	)
Total, net	$	585		$	(41	)	$	(95	)	$	(56	)	$	(16	)	$	377




	For the Nine Months Ended September 30, 2020
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	665		$	(250	)	$	(37	)	$	(109	)	$	(123	)	$	146
Foreign government bonds		-			-			(20	)		-			-			(20	)
ABS		352			-			-			(35	)		-			317
Hybrid and redeemable
preferred securities		13			(4	)		-			-			-			9
Trading securities		53			(25	)		(20	)		(147	)		-			(139	)
Equity securities		19			(1	)		-			-			-			18
Derivative investments		374			(395	)		(305	)		-			-			(326	)
Other assets – indexed annuity ceded
embedded derivatives		21			-			-			(896	)		-			(875	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(170	)		-			-			155			-			(15	)
Total, net	$	1,327		$	(675	)	$	(382	)	$	(1,032	)	$	(123	)	$	(885	)



	For the Nine Months Ended September 30, 2019
	Issuances			Sales			Maturities		Settlements				Calls			Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	901		$	(35	)	$	(75	)	$	(127	)	$	(23	)	$	641
RMBS		10			-			-			-			-			10
CMBS		7			-			-			-			-			7
ABS		489			-			-			(12	)		-			477
Trading securities		728			-			-			(5	)		-			723
Equity securities		43			(3	)		-			-			-			40
Derivative investments		403			(46	)		(205	)		-			-			152
Other assets – indexed annuity ceded
embedded derivatives		50			-			-			(189	)		-			(139	)
Future contract benefits – indexed annuity
and IUL contracts embedded derivatives		(420	)		-			-			127			-			(293	)
Total, net	$	2,211		$	(84	)	$	(280	)	$	(206	)	$	(23	)	$	1,618

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



	For the Three						For the Nine
	Months Ended						Months Ended
	September 30,						September 30,
	2020			2019			2020			2019
Derivative investments	$	731		$	204		$	265		$	(65	)
Embedded derivatives:
Indexed annuity and IUL contracts		340			(11	)		582			(87	)
Other assets – GLB direct and ceded		2,143			(665	)		(1,062	)		(452	)
Other liabilities – GLB direct and ceded		(2,143	)		665			1,062			452
Total, net ⁽¹⁾	$	1,071		$	193		$	847		$	(152	)

⁽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			For the Nine
	Months Ended			Months Ended
	September 30,			September 30,
		2020			2020
Fixed maturity AFS securities:
Corporate bonds		$	139		$	(154	)
Foreign government bonds			-			(2	)
ABS			3			-
Hybrid and redeemable preferred securities			1			(4	)
Total, net		$	143		$	(160	)

Components Of The Transfers In And Out Of Level 3



	For the Three								For the Three
	Months Ended								Months Ended
	September 30, 2020								September 30, 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	$	38	$	(54	)	$	(16	)	$	51	$	-		$	51
U.S. government bonds		-		(5	)		(5	)		-		-			-
ABS		-		(74	)		(74	)		-		(173	)		(173	)
Trading securities		-		(21	)		(21	)		-		(113	)		(113	)
Derivative investments		-		(216	)		(216	)		-		-			-
Total, net	$	38	$	(370	)	$	(332	)	$	51	$	(286	)	$	(235	)


1
	For the Nine									For the Nine
	Months Ended									Months Ended
	September 30, 2020									September 30, 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	$	288		$	(216	)	$	72		$	136	$	(171	)	$	(35	)
U.S. government bonds		(5	)		-			(5	)		-		-			-
RMBS		1			(10	)		(9	)		-		(7	)		(7	)
ABS		18			(195	)		(177	)		-		(396	)		(396	)
Hybrid and redeemable preferred
securities		18			-			18			-		-			-
Trading securities		12			(2	)		10			5		(241	)		(236	)
Derivative investments		-			(216	)		(216	)		-		-			-
Total, net	$	332		$	(639	)	$	(307	)	$	141	$	(815	)	$	(674	)

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	$	3,009		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	0.1	%	-	15.8	%	2.1	%
Foreign government
bonds		27		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	9.3	%	-	9.3	%	9.3	%
ABS		21		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	4.3	%	-	4.3	%	4.3	%
Equity securities		22		Discounted cash flow	Liquidity/duration adjustment ⁽²⁾	4.5	%	-	6.3	%	5.9	%
Other assets – GLB ceded
embedded derivatives		1,105		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⁾	0.13	%	-	1.62	%	1.13	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	14.28	%

Indexed annuity ceded
embedded derivatives		536		Discounted cash flow	Lapse rate ⁽³⁾	0	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Liabilities
Future contract benefits –
indexed annuity and IUL
contracts embedded
derivatives	$	(2,688	)	Discounted cash flow	Lapse rate ⁽³⁾	0	%	-	9	%	⁽¹⁰⁾
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
Other liabilities –
GLB direct embedded
derivatives		(1,106	)	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⁾	0.13	%	-	1.62	%	1.13	%
					Mortality rate ⁽⁷⁾				⁽⁹⁾		⁽¹⁰⁾
					Volatility ⁽⁸⁾	1	%	-	28	%	14.28	%

⁽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.