Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents the Company's hierarchy for its assets and liabilities measured at fair value on a recurring basis as of December 31, 2019:



	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	536		$	155		$	—		$	691
U.S. Government agencies and authorities	—			19			—			19
State, municipalities and political subdivisions	—			815			—			815
U.S. corporate public securities	—			7,984			47			8,031
U.S. corporate private securities	—			3,064			1,002			4,066
Foreign corporate public securities and foreign governments⁽¹⁾	—			2,679			—			2,679
Foreign corporate private securities ⁽¹⁾	—			3,185			190			3,375
Residential mortgage-backed securities	—			3,794			16			3,810
Commercial mortgage-backed securities	—			2,500			—			2,500
Other asset-backed securities	—			1,426			48			1,474
Total fixed maturities, including securities pledged	536			25,621			1,303			27,460
Equity securities	17			—			63			80
Derivatives:
Interest rate contracts	1			209			—			210
Foreign exchange contracts	—			10			—			10
Equity contracts	—			4			—			4
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,429			—			—			1,429
Assets held in separate accounts	72,448			6,150			115			78,713
Total assets	$	74,431		$	31,994		$	1,481		$	107,906
Percentage of Level to total	69		%	30		%	1		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—		$	—		$	11		$	11
Stabilizer and MCGs	—			—			22			22
Other derivatives:
Interest rate contracts	—			261			—			261
Foreign exchange contracts	—			19			—			19
Equity contracts	—			3			—			3
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			23			—			23
Total liabilities	$	—		$	308		$	33		$	341

⁽¹⁾Primarily U.S. dollar denominated.

The following table presents the Company's hierarchy for its assets and liabilities measured at fair value on a recurring basis as

of December 31, 2018:



	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	679		$	59		$	—		$	738
U.S. Government agencies and authorities	—			—			—			—
State, municipalities and political subdivisions	—			764			—			764
U.S. corporate public securities	—			7,987			28			8,015
U.S. corporate private securities	—			2,882			771			3,653
Foreign corporate public securities and foreign governments⁽¹⁾	—			2,540			—			2,540
Foreign corporate private securities ⁽¹⁾	—			3,051			124			3,175
Residential mortgage-backed securities	—			3,026			10			3,036
Commercial mortgage-backed securities	—			1,893			12			1,905
Other asset-backed securities	—			1,114			94			1,208
Total fixed maturities, including securities pledged	679			23,316			1,039			25,034
Equity securities, available-for-sale	7			—			50			57
Derivatives:
Interest rate contracts	—			117			—			117
Foreign exchange contracts	—			10			—			10
Equity contracts	—			1			—			1
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,207			—			—			1,207
Assets held in separate accounts	61,457			5,805			61			67,323
Total assets	$	63,350		$	29,249		$	1,150		$	93,749
Percentage of Level to total	68		%	31		%	1		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—		$	—		$	11		$	11
Stabilizer and MCGs	—			—			4			4
Other derivatives:
Interest rate contracts	—			76			—			76
Foreign exchange contracts	—			20			—			20
Equity contracts	—			1			—			1
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			(80		)	—			(80		)
Total liabilities	$	—		$	19		$	15		$	34

⁽¹⁾Primarily U.S. dollar denominated.

Fair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated:



	Year Ended December 31, 2019
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:					Purchases		Issuances			Sales			Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of December 31			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	28		$	—		$	3	$	—	$	—		$	—		$	(7	)	$	23	$	—		$	47		$	—
U.S. Corporate private securities	771			(1		)	62		246		—			(14		)	(61		)	8		(9		)	1,002			(1		)
Foreign corporate private securities⁽¹⁾	124			(17		)	31		108		—			(56		)	—			—		—			190			1
Residential mortgage-backed securities	10			(3		)	—		9		—			—			—			—		—			16			(4		)
Commercial mortgage-backed securities	12			—			—		—		—			—			—			—		(12		)	—			—
Other asset-backed securities	94			—			—		—		—			—			(2		)	—		(44		)	48			—
Total fixed maturities, including securities pledged	1,039			(21		)	96		363		—			(70		)	(70		)	31		(65		)	1,303			(4		)
Equity securities	50			(16		)	—		29		—			—			—			—		—			63			(16		)
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(4		)	(16		)	—		—		(2		)	—			—			—		—			(22		)	—
FIA⁽²⁾	(11		)	5			—		—		(5		)	—			—			—		—			(11		)	—
Assets held in separate accounts⁽⁵⁾	61			4			—		79		—			(2		)	—			3		(30		)	115			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of December 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.

The following table summarizes the change in fair value of the Company's Level 3 assets and liabilities and transfers in and out of Level 3 for the period indicated:



	Year Ended December 31, 2018
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances			Sales			Settlements			Transfers into Level 3⁽³⁾		Transfers out of Level 3⁽³⁾			Fair Value as of December 31			Change in Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	26		$	—		$	—		$	22	$	—		$	(5	)	$	—		$	—	$	(15	)	$	28		$	—
U.S. Corporate private securities	642			—			(31		)	184		—			(4		)	(32		)	20		(8		)	771			—
Foreign corporate private securities⁽¹⁾	92			(9		)	14			93		—			(56		)	(10		)	—		—			124			(9		)
Residential mortgage-backed securities	21			(5		)	—			41		—			(40		)	—			—		(7		)	10			(5		)
Commercial mortgage-backed securities	7			—			—			13		—			—			(1		)	—		(7		)	12			—
Other asset-backed securities	43			—			(2		)	56		—			—			(4		)	22		(21		)	94			—
Total fixed maturities, including securities pledged	831			(14		)	(19		)	409		—			(105		)	(47		)	42		(58		)	1,039			(14		)
Equity securities, available-for-sale	50			(4		)	—			4		—			—			—			—		—			50			(4		)
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(97		)	96			—			—		(3		)	—			—			—		—			(4		)	—
FIA⁽²⁾	(20		)	(2		)	—			—		2			—			9			—		—			(11		)	—
Assets held in separate accounts⁽⁵⁾	11			—			—			67		—			(6		)	—			—		(11		)	61			—
⁽¹⁾Primarily U.S. dollar denominated.
⁽²⁾All gains and losses on Level 3 liabilities are classified as realized gains (losses) for the purpose of this disclosure because it is impracticable to track realized and unrealized gains (losses) separately on a contract-by-contract basis. These amounts are included in Other net realized capital gains (losses) in the Consolidated Statements of Operations.
⁽³⁾ The Company’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
⁽⁴⁾ For financial instruments still held as of December 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Consolidated Statements of Operations.
⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income (loss) for separate account assets are offset by an equal amount for separate account liabilities, which results in a net zero impact on Net income (loss) for the Company.

Fair Value Inputs, Liabilities, Quantitative Information

Fair Value, by Balance Sheet Grouping

The carrying values and estimated fair values of the Company's financial instruments as of the dates indicated:



	December 31, 2019				December 31, 2018
	Carrying Value		Fair Value		Carrying Value			Fair Value
Assets:
Fixed maturities, including securities pledged	$	27,460	$	27,460	$	25,034		$	25,034
Equity securities	80		80		57			57
Mortgage loans on real estate	4,664		4,912		4,918			4,983
Policy loans	205		205		210			210
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	1,429		1,429		1,207			1,207
Derivatives	224		224		128			128
Short-term loan to affiliate	69		69		—			—
Other investments	43		43		40			40
Assets held in separate accounts	78,713		78,713		67,323			67,323
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	26,337		32,697		26,068			29,108
Funding agreements with fixed maturities	877		876		658			652
Supplementary contracts, immediate annuities and other	312		384		333			354
Deposit liabilities	76		152		77			122
Derivatives:
Guaranteed benefit derivatives:
FIA	11		11		11			11
Stabilizer and MCGs	22		22		4			4
Other derivatives	285		285		99			99
Short-term debt⁽²⁾	1		1		1			1
Long-term debt⁽²⁾	4		4		4			4
Embedded derivatives on reinsurance	23		23		(80		)	(80		)

⁽¹⁾ Certain amounts included in Funding agreements without fixed maturities and deferred annuities are also reflected within the Guaranteed benefit derivatives section of the table above.

⁽²⁾ Included in Other Liabilities on the Consolidated Balance Sheets.