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Investments (Tables)

9 Months Ended

Sep. 30, 2020

Investments, Debt and Equity Securities [Abstract]

Investments Classified by Contractual Maturity Date

Available-for-sale and fair value option ("FVO") fixed maturities were as follows as of September 30, 2020:


	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives(2)		Fair Value		Allowance for credit losses
Fixed maturities:
U.S. Treasuries	$	542	$	207	$	—	$	—	$	749	$	—
U.S. Government agencies and authorities	18		2		—		—		20		—
State, municipalities and political subdivisions	700		118		—		—		818		—
U.S. corporate public securities	7,348		1,317		32		—		8,633		—
U.S. corporate private securities	3,719		519		31		—		4,207		—
Foreign corporate public securities and foreign governments(1)	2,521		348		9		—		2,860		—
Foreign corporate private securities(1)	3,089		300		31		—		3,358		—




Residential mortgage-backed securities	4,134		185		29		13		4,301		2
Commercial mortgage-backed securities	2,825		192		57		—		2,959		1
Other asset-backed securities	1,499		25		18		—		1,503		3

Total fixed maturities, including securities pledged	26,395		3,213		207		13		29,408		6
Less: Securities pledged	396		83		3		—		476		—
Total fixed maturities	$	25,999	$	3,130	$	204	$	13	$	28,932	$	6

(1) Primarily U.S. dollar denominated.

(2) Embedded derivatives within fixed maturity securities are reported with the host investment. The changes in fair value of embedded derivatives are reported in Other net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

Available-for-sale and FVO fixed maturities were as follows as of December 31, 2019:


	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Embedded Derivatives(2)		Fair Value		OTTI(3)(4)
Fixed maturities:
U.S. Treasuries	$	565	$	129	$	3	$	—	$	691	$	—
U.S. Government agencies and authorities	19		—		—		—		19		—
State, municipalities and political subdivisions	747		68		—		—		815		—
U.S. corporate public securities	7,103		941		13		—		8,031		—
U.S. corporate private securities	3,776		306		16		—		4,066		—
Foreign corporate public securities and foreign governments(1)	2,417		265		3		—		2,679		—
Foreign corporate private securities(1)	3,171		205		1		—		3,375		—




Residential mortgage-backed securities	3,685		125		11		11		3,810		2
Commercial mortgage-backed securities	2,381		122		3		—		2,500		—
Other asset-backed securities	1,472		15		13		—		1,474		1

Total fixed maturities, including securities pledged	25,336		2,176		63		11		27,460		3
Less: Securities pledged	749		85		6		—		828		—
Total fixed maturities	$	24,587	$	2,091	$	57	$	11	$	26,632	$	3

(1) Primarily U.S. dollar denominated.

(3) Represents OTTI reported as a component of Other comprehensive income (loss).

(4) Amount excludes $137 of net unrealized gains on impaired available-for-sale securities.

The amortized cost and fair value of fixed maturities, including securities pledged, as of September 30, 2020, are shown below by contractual maturity. Actual maturities may differ from contractual maturities as securities may be restructured, called or prepaid. Mortgage-backed securities ("MBS") and Other asset-backed securities ("ABS") are shown separately because they are not due at a single maturity date.


	Amortized Cost		Fair Value
Due to mature:
One year or less	$	858	$	868
After one year through five years	3,341		3,561
After five years through ten years	5,359		6,010
After ten years	8,379		10,206
Mortgage-backed securities	6,959		7,260
Other asset-backed securities	1,499		1,503
Fixed maturities, including securities pledged	$	26,395	$	29,408

U.S. and Foreign Corporate Securities by Industry

The following tables present the composition of the U.S. and foreign corporate securities within the fixed maturity portfolio by industry category as of the dates indicated:


	Amortized Cost		Gross Unrealized Capital Gains		Gross Unrealized Capital Losses		Fair Value
September 30, 2020
Communications	$	981	$	214	$	1	$	1,194
Financial	2,751		412		9		3,154
Industrial and other companies	7,088		1,024		26		8,086
Energy	1,600		193		38		1,755
Utilities	3,005		494		1		3,498
Transportation	923		101		25		999
Total	$	16,348	$	2,438	$	100	$	18,686

December 31, 2019
Communications	$	1,002	$	156	$	—	$	1,158
Financial	2,650		302		—		2,952
Industrial and other companies	7,053		667		11		7,709
Energy	1,675		185		18		1,842
Utilities	2,913		294		1		3,206
Transportation	856		78		2		932
Total	$	16,149	$	1,682	$	32	$	17,799

Schedule of Securities Borrowed Under Securities Lending Transactions

The following table presents borrowings under securities lending transactions by asset class pledged as of the dates indicated:


	September 30, 2020 (1)(2)		December 31, 2019 (1)(2)
U.S. Treasuries	$	103	$	109

U.S. corporate public securities	121		447

Foreign corporate public securities and foreign governments	61		185
Equity Securities	105		—
Payables under securities loan agreements	$	390	$	741

(1) As of September 30, 2020 and December 31, 2019, borrowings under securities lending transactions include cash collateral of $183 and $650, respectively.

Financing Receivable, Allowance for Credit Loss

The following table presents a rollforward of the allowance for credit losses on available-for-sale fixed maturity securities for the period presented:


	Nine Months Ended September 30, 2020
	Residential mortgage-backed securities		Commercial mortgage-backed securities		Other asset-backed securities		Total
Balance as of January 1, 2020	$	—	$	—	$	—	$	—
Credit losses on securities for which credit losses were not previously recorded	2		1		3		6
Initial allowance for credit losses recognized on financial assets accounted for as PCD	—		—		—		—
Reductions for securities sold during the period	—		—		—		—
Reductions for intent to sell or more likely than not will be required to sell securities prior to recovery of amortized cost	—		—		—		—
Increase (decrease) on securities with allowance recorded in previous period	—		—		—		—
Write-offs	—		—		—		—
Recoveries of amounts previously written off	—		—		—		—
Balance at September 30, 2020	$	2	$	1	$	3	$	6

Schedule of Unrealized Loss on Investments

The following table presents available-for-sale fixed maturities, including securities pledged, for which an allowance for credit losses has not been recorded by market sector and duration as of the date indicated:


	Twelve Months or Less Below Amortized Cost					More Than Twelve Months Below Amortized Cost					Total
September 30, 2020		Fair Value		Unrealized Capital Losses		Number of securities	Fair Value		Unrealized Capital Losses		Number of securities	Fair Value		Unrealized Capital Losses		Number of securities
U.S. Treasuries		$	9	$	—	3	$	—	$	—	—	$	9	$	—	3

State, municipalities and political subdivisions		11		—		5	—		—		—	11		—		5
U.S. corporate public securities		673		25		326	38		7		10	711		32		336
U.S. corporate private securities		251		10		31	68		21		8	319		31		39
Foreign corporate public securities and foreign governments		134		7		62	10		2		4	144		9		66
Foreign corporate private securities		246		31		30	3		—		1	249		31		31
Residential mortgage-backed		579		24		121	139		5		62	718		29		183
Commercial mortgage-backed		917		56		170	13		1		3	930		57		173
Other asset-backed		544		7		132	296		11		103	840		18		235
Total		$	3,364	$	160	880	$	567	$	47	191	$	3,931	$	207	1,071

The Company concluded that an allowance for credit losses was unnecessary for these securities because the unrealized losses are not credit related.

Unrealized capital losses (including noncredit impairments), along with the fair value of fixed maturity securities, including securities pledged, by market sector and duration were as follows as of December 31, 2019:


	Twelve Months or Less Below Amortized Cost				More Than Twelve Months Below Amortized Cost			Total
	Fair Value		Unrealized Capital Losses			Fair Value		Unrealized Capital Losses			Fair Value		Unrealized Capital Losses
U.S. Treasuries	$	68	$	3		$	12	$	—	*	$	80	$	3

State, municipalities and political subdivisions	21		—			—		—			21		—
U.S. corporate public securities	97		3			131		10			228		13
U.S. corporate private securities	75		—			134		16			209		16
Foreign corporate public securities and foreign governments	6		—			53		3			59		3
Foreign corporate private securities	21		—			56		1			77		1
Residential mortgage-backed	535		6			139		5			674		11
Commercial mortgage-backed	331		3			18		—			349		3
Other asset-backed	217		2			500		11			717		13
Total	$	1,389	$	17		$	1,043	$	46		$	2,432	$	63
Total number of securities in an unrealized loss position	289					278					567

*Less than $1.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following tables identify the Company's impairments included in the Condensed Consolidated Statements of Operations, excluding impairments included in Other comprehensive income (loss) by type for the periods indicated:


	Three Months Ended September 30,
	2020			2019
	Impairment		No. of Securities	Impairment			No. of Securities

State, municipalities, and political subdivisions	$	—	1	$	—		—
U.S. corporate public securities	1		9	—			—
U.S. corporate private securities	—		1	—			—
Foreign corporate public securities and foreign governments(1)	—		5	1			2
Foreign corporate private securities(1)	—		—	—			1
Residential mortgage-backed	1		18	2			11
Commercial mortgage-backed	3		12	—			—
Other asset-backed	—		1	—		*	1



Total	$	5	47	$	3		15
Credit Impairments	$	—		$	1
Intent Impairments	$	5		$	2
(1) Primarily U.S. dollar denominated.
*Less than $1.
	Nine Months Ended September 30,
	2020			2019
	Impairment		No. of Securities	Impairment			No. of Securities

State, municipalities, and political subdivisions	$	—	6	$	—		—
U.S. corporate public securities	12		43	—			—
U.S. corporate private securities	—		2	—			—
Foreign corporate public securities and foreign governments(1)	1		22	2			3
Foreign corporate private securities(1)	—		7	18			4
Residential mortgage-backed	2		40	2			21
Commercial mortgage-backed	20		102	—			—
Other asset-backed	1		60	—		*	4



Total	$	36	282	$	22		32
Credit Impairments	$	—		$	19
Intent Impairments	$	36		$	3
(1) Primarily U.S. dollar denominated.
*Less than $1.

Mortgage Loans by Loan to Value Ratio

The following tables present commercial mortgage loans by year of origination and LTV ratio as of the dates indicated.


	As of September 30, 2020
	Loan-to-Value Ratios
Year of Origination	0% - 50%		>50% - 60%		>60% - 70%		>70% - 80%		>80% and above		Total
2020	$	98	$	156	$	28	$	—	$	—	$	282
2019	218		178		85		15		—		496
2018	114		102		74		—		—		290
2017	505		359		17		—		—		881
2016	394		284		6		—		—		684
2015	406		73		—		—		—		479
2014 and prior	1,250		284		24		—		—		1,558
Total	$	2,985	$	1,436	$	234	$	15	$	—	$	4,670


	As of December 31, 2019
	Loan-to-Value Ratios
Year of Origination	0% - 50%		>50% - 60%		>60% - 70%		>70% - 80%		>80% and above		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—
2019	85		96		145		170		26		522
2018	4		88		110		133		14		349
2017	101		244		566		13		10		934
2016	46		150		470		31		—		697
2015	10		343		168		8		—		529
2014 and prior	134		252		1,093		154		—		1,633
Total	$	380	$	1,173	$	2,552	$	509	$	50	$	4,664

Mortgage Loans by Debt Service Coverage Ratio

The following tables present commercial mortgage loans by year of origination and DSC ratio as of the dates indicated.


	As of September 30, 2020
	Debt Service Coverage Ratios
Year of Origination	>1.5x		>1.25x - 1.5x		>1.0x - 1.25x		<1.0x		Commercial mortgage loans secured by land or construction loans		Total
2020	$	218	$	54	$	10	$	—	$	—	$	282
2019	328		77		36		55		—		496
2018	129		49		65		47		—		290
2017	496		219		105		61		—		881
2016	598		55		31		—		—		684
2015	455		23		1		—		—		479
2014 and prior	1,279		158		57		64		—		1,558
Total	$	3,503	$	635	$	305	$	227	$	—	$	4,670


	As of December 31, 2019
	Debt Service Coverage Ratios
Year of Origination	>1.5x		>1.25x - 1.5x		>1.0x - 1.25x		<1.0x		Commercial mortgage loans secured by land or construction loans		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—
2019	353		127		42		—		—		522
2018	236		3		60		50		—		349
2017	481		238		133		82		—		934
2016	615		59		23		—		—		697
2015	492		32		—		5		—		529
2014 and prior	1,358		128		88		59		—		1,633
Total	$	3,535	$	587	$	346	$	196	$	—	$	4,664

Mortgage Loans by Geographic Location of Collateral

The following tables present the commercial mortgage loans by year of origination and U.S. region as of the dates indicated.


	As of September 30, 2020
	U.S. Region
Year of Origination	Pacific		South Atlantic		Middle Atlantic		West South Central		Mountain		East North Central		New England		West North Central		East South Central		Total
2020	$	62	$	124	$	20	$	28	$	15	$	13	$	—	$	—	$	20	$	282
2019	64		125		11		149		54		38		17		11		27		496
2018	49		99		57		35		26		11		—		13		—		290
2017	100		98		357		149		75		60		5		37		—		881
2016	156		130		180		32		73		77		9		21		6		684
2015	110		134		101		31		42		48		9		4		—		479
2014 and prior	426		300		236		114		164		136		40		113		29		1,558
Total	$	967	$	1,010	$	962	$	538	$	449	$	383	$	80	$	199	$	82	$	4,670


	As of December 31, 2019
	U.S. Region
Year of Origination	Pacific		South Atlantic		Middle Atlantic		West South Central		Mountain		East North Central		New England		West North Central		East South Central		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2019	63		127		26		155		53		43		18		11		26		522
2018	50		132		60		43		26		11		—		12		15		349
2017	103		99		396		151		77		60		5		43		—		934
2016	158		132		187		32		75		77		9		21		6		697
2015	125		160		103		34		43		50		10		4		—		529
2014 and prior	445		316		247		122		168		142		42		121		30		1,633
Total	$	944	$	966	$	1,019	$	537	$	442	$	383	$	84	$	212	$	77	$	4,664

Mortgage Loans by Property Type of Collateral

The following tables present the commercial mortgage loans by year of origination and property type as of the dates indicated.


	As of September 30, 2020
	Property Type
Year of Origination	Retail		Industrial		Apartments		Office		Hotel/Motel		Other		Mixed Use		Total
2020	$	44	$	23	$	103	$	112	$	—	$	—	$	—	$	282
2019	33		73		293		76		21		—		—		496
2018	50		79		123		17		3		18		—		290
2017	102		421		216		138		4		—		—		881
2016	129		246		146		145		8		7		3		684
2015	122		181		66		51		18		41		—		479
2014 and prior	694		131		284		220		63		126		40		1,558
Total	$	1,174	$	1,154	$	1,231	$	759	$	117	$	192	$	43	$	4,670


	As of December 31, 2019
	Property Type
Year of Origination	Retail		Industrial		Apartments		Office		Hotel/Motel		Other		Mixed Use		Total
2020	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2019	33		90		299		81		19		—		—		522
2018	52		91		152		32		4		18		—		349
2017	104		461		218		147		4		—		—		934
2016	131		254		147		146		8		7		4		697
2015	148		185		69		62		23		42		—		529
2014 and prior	730		135		300		229		69		130		40		1,633
Total	$	1,198	$	1,216	$	1,185	$	697	$	127	$	197	$	44	$	4,664

Allowance for Credit Losses on Financing Receivables

The following table summarizes the activity in the allowance for losses for commercial mortgage loans for the periods indicated:


	September 30, 2020
Allowance for credit losses, balance at January 1	$	12
Credit losses on mortgage loans for which credit losses were not previously recorded	1
Initial allowance for credit losses recognized on financial assets accounted for as PCD	—
Increase (decrease) on mortgage loans with allowance recorded in previous period	28
Provision for expected credit losses	41
Writeoffs	(2)
Recoveries of amounts previously written off	—

Allowance for credit losses, end of period	$	39

Financing Receivable, Past Due

The following table presents past due commercial mortgage loans as of the dates indicated:


	September 30, 2020		December 31, 2019
Delinquency:
Current	$	4,665	$	4,664
30-59 days past due	2		—
60-89 days past due	—		—
Greater than 90 days past due	3		—
Total	$	4,670	$	4,664

Net Investment Income

The following table summarizes Net investment income for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed maturities	$	415	$	352	$	1,186	$	1,058
Equity securities	2		2		6		5
Mortgage loans on real estate	50		54		150		163
Policy loans	3		—		9		4
Short-term investments and cash equivalents	—		1		1		3
Other	54		22		33		55
Gross investment income	524		431		1,385		1,288
Less: Investment expenses	19		18		56		53
Net investment income	$	505	$	413	$	1,329	$	1,235

Realized Gain (Loss) on Investments

Net realized capital gains (losses) were as follows for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Fixed maturities, available-for-sale, including securities pledged	$	(5)	$	44	$	(26)	$	31
Fixed maturities, at fair value option	(125)		(18)		(109)		59
Equity securities	4		—		5		4
Derivatives	5		13		57		(69)
Embedded derivatives - fixed maturities	(2)		2		2		4
Guaranteed benefit derivatives	31		(36)		(99)		(49)
Other investments	14		(1)		(29)		(2)
Net realized capital gains (losses)	$	(78)	$	4	$	(199)	$	(22)

Gain (Loss) on Securities

Proceeds from the sale of fixed maturities, available-for-sale, and equity securities and the related gross realized gains and losses, before tax, were as follows for the periods indicated:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Proceeds on sales	$	234	$	340	$	1,094	$	1,915
Gross gains	3		6		64		25
Gross losses	3		4		55		18

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The location and effect of derivatives qualifying for hedge accounting on the Consolidated Statements of Operations and Consolidated Statements of Comprehensive Income are as follows for the periods indicated:


	Three Months Ended September 30,
	2020				2019
	Interest Rate Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Foreign Exchange Contracts
Derivatives: Qualifying for hedge accounting
Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	Net Investment Income		Net Investment Income and Other Net Realized Gains/ Losses		Net Investment Income		Net Investment Income and Other Net Realized Gains/ Losses
Amount of Gain or (Loss) Recognized in Other Comprehensive Income	$	(1)	$	(35)	$	—	$	28
Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income	—		$	—	$	—	$	2

	Nine Months Ended September 30,
	2020				2019
	Interest Rate Contracts		Foreign Exchange Contracts		Interest Rate Contracts		Foreign Exchange Contracts
Derivatives: Qualifying for hedge accounting
Location of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income into Income	Net Investment Income		Net Investment Income and Other Net Realized Gains/ Losses		Net Investment Income		Net Investment Income and Other Net Realized Gains/ Losses
Amount of Gain or (Loss) Recognized in Other Comprehensive Income	$	1	$	26	$	2	$	36
Amount of Gain or (Loss) Reclassified from Accumulated Other Comprehensive Income	—		5		—		7

The location and amount of gain (loss) recognized in the Consolidated Statements of Operations for derivatives qualifying for hedge accounting are as follows for the periods indicated:


	Three Months Ended September 30,
	2020				2019
	Net Investment Income		Other net realized capital gains/(losses)		Net Investment Income		Other net realized capital gains/(losses)
Total amounts of line items presented in the statement of operations in which the effects of cash flow hedges are recorded	$	505	$	(73)	$	413	$	7
Derivatives: Qualifying for hedge accounting

Cash flow hedges:




Foreign exchange contracts:
Gain (loss) reclassified from accumulated other comprehensive income into income	3		(3)		2		—


	Nine Months Ended September 30,
	2020				2019
	Net Investment Income		Other net realized capital gains/(losses)		Net Investment Income		Other net realized capital gains/(losses)
Total amounts of line items presented in the statement of operations in which the effects of cash flow hedges are recorded	$	1,329	$	(163)	$	1,235	$	2
Derivatives: Qualifying for hedge accounting

Cash flow hedges:




Foreign exchange contracts:
Gain (loss) reclassified from accumulated other comprehensive income into income	8		(3)		7		—

The location and effect of derivatives not designated as hedging instruments on the Condensed Consolidated Statements of Operations are as follows for the periods indicated:



	Location of Gain or (Loss) Recognized in Income on Derivative	Three Months Ended September 30,
		2020		2019
Derivatives: Non-qualifying for hedge accounting
Interest rate contracts	Other net realized capital gains (losses)	$	10	$	10
Foreign exchange contracts	Other net realized capital gains (losses)	(2)		2
Equity contracts	Other net realized capital gains (losses)	—		—
Credit contracts	Other net realized capital gains (losses)	—		1
Embedded derivatives and Managed custody guarantees:
Within fixed maturity investments	Other net realized capital gains (losses)	(2)		2
Within products	Other net realized capital gains (losses)	24		(36)
Within reinsurance agreements	Policyholder benefits	—		(29)
Managed custody guarantees	Other net realized capital gains (losses)	7		—
Total		$	37	$	(50)


	Location of Gain or (Loss) Recognized in Income on Derivative	Nine Months Ended September 30,
		2020		2019
Derivatives: Non-qualifying for hedge accounting
Interest rate contracts	Other net realized capital gains (losses)	$	55	$	(76)
Foreign exchange contracts	Other net realized capital gains (losses)	2		4
Equity contracts	Other net realized capital gains (losses)	—		1
Credit contracts	Other net realized capital gains (losses)	3		2
Embedded derivatives and Managed custody guarantees:
Within fixed maturity investments	Other net realized capital gains (losses)	2		4
Within products	Other net realized capital gains (losses)	(89)		(49)
Within reinsurance agreements	Policyholder benefits	23		(106)
Managed custody guarantees	Other net realized capital gains (losses)	(10)		—
Total		$	(14)	$	(220)