Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

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 March 31, 2020:



	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	625		$	174		$	—		$	799
U.S. Government agencies and authorities	—			20			—			20
State, municipalities and political subdivisions	—			808			—			808
U.S. corporate public securities	—			7,463			44			7,507
U.S. corporate private securities	—			2,920			891			3,811
Foreign corporate public securities and foreign governments⁽¹⁾	—			2,494			3			2,497
Foreign corporate private securities ⁽¹⁾	—			2,909			159			3,068
Residential mortgage-backed securities	—			4,154			15			4,169
Commercial mortgage-backed securities	—			2,453			—			2,453
Other asset-backed securities	—			1,285			55			1,340
Total fixed maturities, including securities pledged	625			24,680			1,167			26,472
Equity securities	15			—			58			73
Derivatives:
Interest rate contracts	28			618			—			646
Foreign exchange contracts	—			72			—			72
Equity contracts	—			1			—			1
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	2,052			—			—			2,052
Assets held in separate accounts	59,476			6,945			141			66,562
Total assets	$	62,196		$	32,316		$	1,366		$	95,878
Percentage of Level to Total	65		%	34		%	1		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—		$	—		$	9		$	9
Stabilizer and MCGs	—			—			193			193
Other derivatives:
Interest rate contracts	2			791			—			793
Foreign exchange contracts	—			—			—			—
Equity contracts	—			—			—			—
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			—			—			—
Total liabilities	$	2		$	793		$	202		$	997

⁽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, 2019:



	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	536		$	155		$	—		$	691
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, available-for-sale	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.

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

The following tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:



	Three Months Ended March 31, 2020
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:						Purchases		Issuances		Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31			Change in Unrealized Gains (Losses) Included in Earnings⁽³⁾			Change in Unrealized Gains (Losses) Included in OCI⁽³⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	47		$	—		$	(1	)	$	—	$	—	$	—		$	(2	)	$	—	$	—		$	44		$	—		$	(1	)
U.S. Corporate private securities	1,002			—			(51		)	26		—		(1		)	(43		)	—		(42		)	891			—			(51		)
Foreign corporate public securities and foreign governments⁽¹⁾	—			—			—			3		—		—			—			—		—			3			—			—
Foreign corporate private securities⁽¹⁾	190			(1		)	(27		)	2		—		(3		)	—			3		(5		)	159			—			(27		)
Residential mortgage-backed securities	16			(1		)	—			8		—		—			—			—		(8		)	15			(1		)	—
Other asset-backed securities	48			—			—			8		—		—			(1		)	—		—			55			—			—
Total fixed maturities, including securities pledged	1,303			(2		)	(79		)	47		—		(4		)	(46		)	3		(55		)	1,167			(1		)	(79		)
Equity securities	63			(5		)	—			—		—		—			—			—		—			58			(5		)	—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(22		)	(171		)	—			—		—		—			—			—		—			(193		)	—			—
FIA⁽²⁾	(11		)	2			—			—		—		—			—			—		—			(9		)	—			—
Assets held in separate accounts⁽⁴⁾	115			(2		)	—			47		—		(1		)	—			—		(18		)	141			—			—
⁽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 Condensed Consolidated Statements of Operations.
⁽³⁾ For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations or Unrealized gains (losses) on securities in the Condensed Consolidated Statements of Comprehensive Income.
⁽⁴⁾ 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 tables summarize the change in fair value of the Company’s Level 3 assets and liabilities and transfers in and out of Level 3 for the periods indicated:



	Three Months Ended March 31, 2019
	Fair Value as of January 1			Total Realized/Unrealized Gains (Losses) Included in:					Purchases		Issuances			Sales			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value as of March 31			Change in Unrealized Gains (Losses) Included in Earnings⁽³⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. Corporate public securities	$	28		$	—		$	1	$	—	$	—		$	—		$	—		$	23	$	—		$	52		$	—
U.S. Corporate private securities	771			—			29		102		—			(6		)	(8		)	—		—			888			—
Foreign corporate private securities⁽¹⁾	124			(17		)	23		48		—			(56		)	—			—		—			122			—
Residential mortgage-backed securities	10			(1		)	—		22		—			—			—			—		—			31			(1		)
Commercial mortgage-backed securities	12			—			—		—		—			—			(1		)	—		—			11			—
Other asset-backed securities	94			—			—		16		—			—			(1		)	—		(20		)	89			—
Total fixed maturities, including securities pledged	1,039			(18		)	53		188		—			(62		)	(10		)	23		(20		)	1,193			(1		)
Equity securities, available-for-sale	50			1			—		29		—			—			—			—		—			80			—
Derivatives:
Guaranteed benefit derivatives:
Stabilizer and MCGs⁽²⁾	(4		)	1			—		—		(1		)	—			—			—		—			(4		)	—
FIA⁽²⁾	(11		)	(1		)	—		—		—			—			1			—		—			(11		)	—
Assets held in separate accounts⁽⁴⁾	61			1			—		6		—			—			—			3		(4		)	67			—
⁽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 Condensed Consolidated Statements of Operations.
⁽³⁾ For financial instruments still held as of March 31, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.
⁽⁴⁾ 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, by Balance Sheet Grouping

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



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	26,472	$	26,472	$	27,460	$	27,460
Equity securities	73		73		80		80
Mortgage loans on real estate	4,774		4,846		4,664		4,912
Policy loans	201		201		205		205
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	2,052		2,052		1,429		1,429
Derivatives	719		719		224		224
Other Investments	44		44		43		43
Assets held in separate accounts	66,562		66,562		78,713		78,713
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	27,296		34,269		26,337		32,697
Funding agreements with fixed maturities	857		829		877		876
Supplementary contracts, immediate annuities and other	303		369		312		384
Deposit liabilities	—		—		76		152
Derivatives:
Guaranteed benefit derivatives:
FIA	9		9		11		11
Stabilizer and MCGs	193		193		22		22
Other derivatives	795		795		285		285
Short-term debt⁽²⁾	29		29		1		1
Long-term debt⁽²⁾	3		3		4		4
Embedded derivatives on reinsurance	—		—		23		23

⁽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.