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Fair Value (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis
The following represents the hierarchy for our assets and liabilities measured at fair value on a recurring basis:
 
December 31, 2019
(In millions)
Total
 
NAV
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
36

 
$
—

 
$
36

 
$
—

 
$
—

U.S. state, municipal and political subdivisions
1,541

 
—

 
—

 
1,501

 
40

Foreign governments
327

 
—

 
—

 
327

 
—

Corporate
47,228

 
—

 
—

 
46,503

 
725

CLO
7,349

 
—

 
—

 
7,228

 
121

ABS
5,118

 
—

 
—

 
3,744

 
1,374

CMBS
2,400

 
—

 
—

 
2,354

 
46

RMBS
7,375

 
—

 
—

 
7,375

 
—

Total AFS securities
71,374

 
—

 
36

 
69,032

 
2,306

Trading securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
11

 
—

 
8

 
3

 
—

U.S. state, municipal and political subdivisions
135

 
—

 
—

 
135

 
—

Corporate
1,456

 
—

 
—

 
1,456

 
—

CLO
6

 
—

 
—

 
—

 
6

ABS
92

 
—

 
—

 
92

 
—

CMBS
51

 
—

 
—

 
51

 
—

RMBS
303

 
—

 
—

 
251

 
52

Total trading securities
2,054

 
—

 
8

 
1,988

 
58

Equity securities
247

 
—

 
43

 
201

 
3

Mortgage loans
27

 
—

 
—

 
—

 
27

Investment funds
154

 
132

 
—

 
—

 
22

Funds withheld at interest – embedded derivative
801

 
—

 
—

 
—

 
801

Derivative assets
2,888

 
—

 
10

 
2,878

 
—

Short-term investments
406

 
—

 
46

 
319

 
41

Other investments
93

 
—

 
—

 
93

 
—

Cash and cash equivalents
4,237

 
—

 
4,237

 
—

 
—

Restricted cash
402

 
—

 
402

 
—

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
Corporate
19

 
—

 
—

 
19

 
—

CLO
936

 
—

 
—

 
936

 
—

ABS
2,849

 
—

 
—

 
525

 
2,324

Total AFS securities – related party
3,804

 
—

 
—

 
1,480

 
2,324

Trading securities


 
 
 
 
 
 
 
 
CLO
74

 
—

 
—

 
36

 
38

ABS
711

 
—

 
—

 
—

 
711

Total trading securities – related party
785

 
—

 
—

 
36

 
749

Equity securities
58

 
—

 
—

 
—

 
58

Investment funds
252

 
120

 
—

 
—

 
132

Funds withheld at interest – embedded derivative
594

 
—

 
—

 
—

 
594

Reinsurance recoverable
1,821

 
—

 
—

 
—

 
1,821

Assets of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
16

 
—

 
—

 
—

 
16

Equity securities
6

 
—

 
—

 
—

 
6

Investment funds
567

 
567

 
—

 
—

 
—

Cash and cash equivalents
3

 
—

 
3

 
—

 
—

Total assets measured at fair value
$
90,589

 
$
819

 
$
4,785

 
$
76,027

 
$
8,958

 
 
 
 
 
 
 
 
 
(Continued)

 
December 31, 2019
(In millions)
Total
 
NAV
 
Level 1
 
Level 2
 
Level 3
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
10,942

 
$
—

 
$
—

 
$
—

 
$
10,942

Universal life benefits
1,050

 
—

 
—

 
—

 
1,050

Future policy benefits
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
1,546

 
—

 
—

 
—

 
1,546

ILICO Closed Block and life benefits
755

 
—

 
—

 
—

 
755

Derivative liabilities
97

 
—

 
1

 
93

 
3

Funds withheld liability – embedded derivative
31

 
—

 
—

 
31

 
—

Total liabilities measured at fair value
$
14,421

 
$
—

 
$
1

 
$
124

 
$
14,296

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Concluded)


 
December 31, 2018
(In millions)
Total
 
NAV
 
Level 1
 
Level 2
 
Level 3
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
$
57

 
$
—

 
$
54

 
$
3

 
$
—

U.S. state, municipal and political subdivisions
1,293

 
—

 
—

 
1,293

 
—

Foreign governments
161

 
—

 
—

 
161

 
—

Corporate
37,097

 
—

 
—

 
36,199

 
898

CLO
5,361

 
—

 
—

 
5,254

 
107

ABS
4,920

 
—

 
—

 
3,305

 
1,615

CMBS
2,357

 
—

 
—

 
2,170

 
187

RMBS
8,019

 
—

 
—

 
7,963

 
56

Total AFS securities
59,265

 
—

 
54

 
56,348

 
2,863

Trading securities
 
 
 
 
 
 
 
 
 
U.S. government and agencies
5

 
—

 
3

 
2

 
—

U.S. state, municipal and political subdivisions
126

 
—

 
—

 
126

 
—

Corporate
1,287

 
—

 
—

 
1,287

 
—

CLO
9

 
—

 
—

 
8

 
1

ABS
87

 
—

 
—

 
87

 
—

CMBS
49

 
—

 
—

 
49

 
—

RMBS
386

 
—

 
—

 
252

 
134

Total trading securities
1,949

 
—

 
3

 
1,811

 
135

Equity securities
216

 
—

 
40

 
173

 
3

Mortgage loans
32

 
—

 
—

 
—

 
32

Investment funds
182

 
153

 
—

 
—

 
29

Funds withheld at interest – embedded derivative
57

 
—

 
—

 
—

 
57

Derivative assets
1,043

 
—

 
9

 
1,034

 
—

Short-term investments
191

 
—

 
66

 
125

 
—

Other investments
52

 
—

 
—

 
52

 
—

Cash and cash equivalents
2,911

 
—

 
2,911

 
—

 
—

Restricted cash
492

 
—

 
492

 
—

 
—

 
 
 
 
 
 
 
 
 
(Continued)


 
December 31, 2018
(In millions)
Total
 
NAV
 
Level 1
 
Level 2
 
Level 3
Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
CLO
562

 
—

 
—

 
562

 
—

ABS
875

 
—

 
—

 
547

 
328

Total AFS securities – related party
1,437

 
—

 
—

 
1,109

 
328

Trading securities
 
 
 
 
 
 
 
 
 
CLO
100

 
—

 
—

 
22

 
78

ABS
149

 
—

 
—

 
—

 
149

Total trading securities – related party
249

 
—

 
—

 
22

 
227

Equity securities
120

 
—

 
—

 
—

 
120

Investment funds
201

 
96

 
—

 
—

 
105

Funds withheld at interest – embedded derivative
(110
)
 
—

 
—

 
—

 
(110
)
Reinsurance recoverable
1,676

 
—

 
—

 
—

 
1,676

Assets of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
35

 
—

 
—

 
—

 
35

Equity securities
50

 
—

 
37

 
—

 
13

Investment funds
567

 
552

 
—

 
—

 
15

Cash and cash equivalents
2

 
—

 
2

 
—

 
—

Total assets measured at fair value
$
70,617

 
$
801

 
$
3,614

 
$
60,674

 
$
5,528

Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
Embedded derivative
$
7,969

 
$
—

 
$
—

 
$
—

 
$
7,969

Universal life benefits
932

 
—

 
—

 
—

 
932

Future policy benefits
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
1,443

 
—

 
—

 
—

 
1,443

ILICO Closed Block and life benefits
730

 
—

 
—

 
—

 
730

Derivative liabilities
85

 
—

 
3

 
78

 
4

Funds withheld liability – embedded derivative
(1
)
 
—

 
—

 
(1
)
 
—

Total liabilities measured at fair value
$
11,158

 
$
—

 
$
3

 
$
77

 
$
11,078

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Concluded)
Summary of Fair Value Option The following represents the gains (losses) recorded for instruments for which we have elected the fair value option, including related parties and consolidated VIEs:
 
Years ended December 31,
(In millions)
2019
 
2018
 
2017
Trading securities
$
152

 
$
(255
)
 
$
30

Mortgage loans
—

 
—

 
(1
)
Investment funds
(3
)
 
37

 
35

Future policy benefits
(103
)
 
182

 
(19
)
Total gains (losses)
$
46

 
$
(36
)
 
$
45



The following summarizes information for fair value option mortgage loans:
 
December 31,
(In millions)
2019
 
2018
Unpaid principal balance
$
25

 
$
30

Mark to fair value
2

 
2

Fair value
$
27

 
$
32
Reconciliation of Level 3 Assets Measured on a Recurring Basis The following is a reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis
 
Year ended December 31, 2019
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
Out
 
Ending balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
—

 
$
—

 
$
—

 
$
40

 
$
—

 
$
—

 
$
40

 
$
—

Corporate
898

 
14

 
12

 
(61
)
 
5

 
(143
)
 
725

 
—

CLO
107

 
—

 
3

 
50

 
—

 
(39
)
 
121

 
—

ABS
1,615

 
7

 
32

 
120

 
30

 
(430
)
 
1,374

 
—

CMBS
187

 
2

 
7

 
(131
)
 
—

 
(19
)
 
46

 
—

RMBS
56

 
2

 
2

 
(13
)
 
—

 
(47
)
 
—

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
1

 
—

 
—

 
—

 
5

 
—

 
6

 
6

RMBS
134

 
(21
)
 
—

 
10

 
4

 
(75
)
 
52

 
1

Equity securities
3

 
—

 
—

 
—

 
—

 
—

 
3

 
—

Mortgage loans
32

 
—

 
—

 
(5
)
 
—

 
—

 
27

 
—

Investment funds
29

 
(3
)
 
—

 
(4
)
 
—

 
—

 
22

 
(3
)
Funds withheld at interest – embedded derivative
57

 
744

 
—

 
—

 
—

 
—

 
801

 
—

Short-term investments
—

 
—

 
—

 
41

 
—

 
—

 
41

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities, ABS
328

 
2

 
22

 
2,076

 
—

 
(104
)
 
2,324

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
78

 
(7
)
 
—

 
(14
)
 
17

 
(36
)
 
38

 
2

ABS
149

 
(14
)
 
—

 
473

 
103

 
—

 
711

 
(6
)
Equity securities
120

 
—

 
—

 
(62
)
 
—

 
—

 
58

 
—

Investment funds
105

 
8

 
—

 
19

 
—

 
—

 
132

 
8

Funds withheld at interest – embedded derivative
(110
)
 
704

 
—

 
—

 
—

 
—

 
594

 
—

Reinsurance recoverable
1,676

 
145

 
—

 
—

 
—

 
—

 
1,821

 
—

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities
35

 
—

 
—

 
(44
)
 
25

 
—

 
16

 
1

Equity securities
13

 
(2
)
 
—

 
(5
)
 
—

 
—

 
6

 
(1
)
Investment funds
15

 
(1
)
 
—

 
—

 
—

 
(14
)
 
—

 
(1
)
Total Level 3 assets
$
5,528

 
$
1,580

 
$
78

 
$
2,490

 
$
189

 
$
(907
)
 
$
8,958

 
$
7

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(7,969
)
 
$
(2,526
)
 
$
—

 
$
(447
)
 
$
—

 
$
—

 
$
(10,942
)
 
$
—

Universal life benefits
(932
)
 
(118
)
 
—

 
—

 
—

 
—

 
(1,050
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,443
)
 
(103
)
 
—

 
—

 
—

 
—

 
(1,546
)
 
—

ILICO Closed Block and life benefits
(730
)
 
(25
)
 
—

 
—

 
—

 
—

 
(755
)
 
—

Derivative liabilities
(4
)
 
1

 
—

 
—

 
—

 
—

 
(3
)
 
1

Total Level 3 liabilities
$
(11,078
)
 
$
(2,771
)
 
$
—

 
$
(447
)
 
$
—

 
$
—

 
$
(14,296
)
 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.
 
Year ended December 31, 2018
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
Out
 
Ending balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
578

 
$
(16
)
 
$
(6
)
 
$
249

 
$
97

 
$
(4
)
 
$
898

 
$
—

CLO
64

 
2

 
(2
)
 
36

 
7

 
—

 
107

 
—

ABS
1,457

 
8

 
(11
)
 
252

 
—

 
(91
)
 
1,615

 
—

CMBS
137

 
1

 
—

 
132

 
15

 
(98
)
 
187

 
—

RMBS
301

 
4

 
(11
)
 
21

 
—

 
(259
)
 
56

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
1

 
—

 
—

 
—

 
(18
)
 
—

 
1

CLO
17

 
(9
)
 
—

 
—

 
—

 
(7
)
 
1

 
(6
)
ABS
77

 
(6
)
 
—

 
—

 
—

 
(71
)
 
—

 
(2
)
RMBS
342

 
(65
)
 
—

 
—

 
—

 
(143
)
 
134

 
5

Equity securities
8

 
2

 
—

 
(7
)
 
—

 
—

 
3

 
2

Mortgage loans
41

 
—

 
—

 
(9
)
 
—

 
—

 
32

 
—

Investment funds
41

 
(3
)
 
—

 
(9
)
 
—

 
—

 
29

 
(3
)
Funds withheld at interest – embedded derivative
312

 
(255
)
 
—

 
—

 
—

 
—

 
57

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities, ABS
4

 
—

 
(2
)
 
326

 
—

 
—

 
328

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
105

 
(13
)
 
—

 
(18
)
 
25

 
(21
)
 
78

 
(5
)
ABS
—

 
—

 
—

 
—

 
149

 
—

 
149

 
—

Equity securities
—

 
—

 
—

 
120

 
—

 
—

 
120

 
—

Investment funds
—

 
(3
)
 
—

 
108

 
—

 
—

 
105

 
(3
)
Funds withheld at interest – embedded derivative
—

 
(110
)
 
—

 
—

 
—

 
—

 
(110
)
 
—

Reinsurance recoverable
1,824

 
(148
)
 
—

 
—

 
—

 
—

 
1,676

 
—

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities
48

 
—

 
—

 
(13
)
 
—

 
—

 
35

 
—

Equity securities
28

 
(12
)
 
—

 
(3
)
 
—

 
—

 
13

 
—

Investment funds
21

 
(3
)
 
—

 
(3
)
 
—

 
—

 
15

 
—

Total Level 3 assets
$
5,422

 
$
(625
)
 
$
(32
)
 
$
1,182

 
$
293

 
$
(712
)
 
$
5,528

 
$
(11
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(7,411
)
 
$
923

 
$
—

 
$
(1,481
)
 
$
—

 
$
—

 
$
(7,969
)
 
$
—

Universal life benefits
(1,005
)
 
73

 
—

 
—

 
—

 
—

 
(932
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,625
)
 
182

 
—

 
—

 
—

 
—

 
(1,443
)
 
—

ILICO Closed Block and life benefits
(803
)
 
73

 
—

 
—

 
—

 
—

 
(730
)
 
—

Derivative liabilities
(5
)
 
1

 
—

 
—

 
—

 
—

 
(4
)
 
1

Total Level 3 liabilities
$
(10,849
)
 
$
1,252

 
$
—

 
$
(1,481
)
 
$
—

 
$
—

 
$
(11,078
)
 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.
The following represents the gross components of purchases, issuances, sales and settlements, net, shown above:
 
Year ended December 31, 2019
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
40

 
$
—

 
$
—

 
$
—

 
$
40

Corporate
116

 
—

 
(3
)
 
(174
)
 
(61
)
CLO
94

 
—

 
—

 
(44
)
 
50

ABS
409

 
—

 
(172
)
 
(117
)
 
120

CMBS
—

 
—

 
(4
)
 
(127
)
 
(131
)
RMBS
1

 
—

 
—

 
(14
)
 
(13
)
Trading securities, RMBS
10

 
—

 
—

 
—

 
10

Mortgage loans
—

 
—

 
—

 
(5
)
 
(5
)
Investment funds
—

 
—

 
(4
)
 
—

 
(4
)
Short-term investments
74

 
—

 
—

 
(33
)
 
41

Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities, ABS
2,207

 
—

 
—

 
(131
)
 
2,076

Trading securities
 
 
 
 
 
 
 
 
 
CLO
—

 
—

 
(14
)
 
—

 
(14
)
ABS
511

 
—

 
—

 
(38
)
 
473

Equity securities
75

 
—

 
—

 
(137
)
 
(62
)
Investment funds
20

 
—

 
(1
)
 
—

 
19

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
—

 
—

 
(44
)
 
—

 
(44
)
Equity securities
—

 
—

 
(5
)
 
—

 
(5
)
Total Level 3 assets
$
3,557

 
$
—

 
$
(247
)
 
$
(820
)
 
$
2,490

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities – embedded derivative
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)
Total Level 3 liabilities
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)
Reconciliation of Level 3 Liabilities Measured on a Recurring Basis The following is a reconciliation for all Level 3 assets and liabilities measured at fair value on a recurring basis
 
Year ended December 31, 2019
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
Out
 
Ending balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
—

 
$
—

 
$
—

 
$
40

 
$
—

 
$
—

 
$
40

 
$
—

Corporate
898

 
14

 
12

 
(61
)
 
5

 
(143
)
 
725

 
—

CLO
107

 
—

 
3

 
50

 
—

 
(39
)
 
121

 
—

ABS
1,615

 
7

 
32

 
120

 
30

 
(430
)
 
1,374

 
—

CMBS
187

 
2

 
7

 
(131
)
 
—

 
(19
)
 
46

 
—

RMBS
56

 
2

 
2

 
(13
)
 
—

 
(47
)
 
—

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
1

 
—

 
—

 
—

 
5

 
—

 
6

 
6

RMBS
134

 
(21
)
 
—

 
10

 
4

 
(75
)
 
52

 
1

Equity securities
3

 
—

 
—

 
—

 
—

 
—

 
3

 
—

Mortgage loans
32

 
—

 
—

 
(5
)
 
—

 
—

 
27

 
—

Investment funds
29

 
(3
)
 
—

 
(4
)
 
—

 
—

 
22

 
(3
)
Funds withheld at interest – embedded derivative
57

 
744

 
—

 
—

 
—

 
—

 
801

 
—

Short-term investments
—

 
—

 
—

 
41

 
—

 
—

 
41

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities, ABS
328

 
2

 
22

 
2,076

 
—

 
(104
)
 
2,324

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
78

 
(7
)
 
—

 
(14
)
 
17

 
(36
)
 
38

 
2

ABS
149

 
(14
)
 
—

 
473

 
103

 
—

 
711

 
(6
)
Equity securities
120

 
—

 
—

 
(62
)
 
—

 
—

 
58

 
—

Investment funds
105

 
8

 
—

 
19

 
—

 
—

 
132

 
8

Funds withheld at interest – embedded derivative
(110
)
 
704

 
—

 
—

 
—

 
—

 
594

 
—

Reinsurance recoverable
1,676

 
145

 
—

 
—

 
—

 
—

 
1,821

 
—

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities
35

 
—

 
—

 
(44
)
 
25

 
—

 
16

 
1

Equity securities
13

 
(2
)
 
—

 
(5
)
 
—

 
—

 
6

 
(1
)
Investment funds
15

 
(1
)
 
—

 
—

 
—

 
(14
)
 
—

 
(1
)
Total Level 3 assets
$
5,528

 
$
1,580

 
$
78

 
$
2,490

 
$
189

 
$
(907
)
 
$
8,958

 
$
7

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(7,969
)
 
$
(2,526
)
 
$
—

 
$
(447
)
 
$
—

 
$
—

 
$
(10,942
)
 
$
—

Universal life benefits
(932
)
 
(118
)
 
—

 
—

 
—

 
—

 
(1,050
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,443
)
 
(103
)
 
—

 
—

 
—

 
—

 
(1,546
)
 
—

ILICO Closed Block and life benefits
(730
)
 
(25
)
 
—

 
—

 
—

 
—

 
(755
)
 
—

Derivative liabilities
(4
)
 
1

 
—

 
—

 
—

 
—

 
(3
)
 
1

Total Level 3 liabilities
$
(11,078
)
 
$
(2,771
)
 
$
—

 
$
(447
)
 
$
—

 
$
—

 
$
(14,296
)
 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.
 
Year ended December 31, 2018
 
 
 
Total realized and unrealized gains (losses)
 
 
 
Transfers
 
 
 
 
(In millions)
Beginning balance
 
Included in income
 
Included in OCI
 
Net purchases, issuances, sales and settlements
 
In
 
Out
 
Ending balance
 
Total gains (losses) included in earnings1
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate
$
578

 
$
(16
)
 
$
(6
)
 
$
249

 
$
97

 
$
(4
)
 
$
898

 
$
—

CLO
64

 
2

 
(2
)
 
36

 
7

 
—

 
107

 
—

ABS
1,457

 
8

 
(11
)
 
252

 
—

 
(91
)
 
1,615

 
—

CMBS
137

 
1

 
—

 
132

 
15

 
(98
)
 
187

 
—

RMBS
301

 
4

 
(11
)
 
21

 
—

 
(259
)
 
56

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
17

 
1

 
—

 
—

 
—

 
(18
)
 
—

 
1

CLO
17

 
(9
)
 
—

 
—

 
—

 
(7
)
 
1

 
(6
)
ABS
77

 
(6
)
 
—

 
—

 
—

 
(71
)
 
—

 
(2
)
RMBS
342

 
(65
)
 
—

 
—

 
—

 
(143
)
 
134

 
5

Equity securities
8

 
2

 
—

 
(7
)
 
—

 
—

 
3

 
2

Mortgage loans
41

 
—

 
—

 
(9
)
 
—

 
—

 
32

 
—

Investment funds
41

 
(3
)
 
—

 
(9
)
 
—

 
—

 
29

 
(3
)
Funds withheld at interest – embedded derivative
312

 
(255
)
 
—

 
—

 
—

 
—

 
57

 
—

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AFS securities, ABS
4

 
—

 
(2
)
 
326

 
—

 
—

 
328

 
—

Trading securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
CLO
105

 
(13
)
 
—

 
(18
)
 
25

 
(21
)
 
78

 
(5
)
ABS
—

 
—

 
—

 
—

 
149

 
—

 
149

 
—

Equity securities
—

 
—

 
—

 
120

 
—

 
—

 
120

 
—

Investment funds
—

 
(3
)
 
—

 
108

 
—

 
—

 
105

 
(3
)
Funds withheld at interest – embedded derivative
—

 
(110
)
 
—

 
—

 
—

 
—

 
(110
)
 
—

Reinsurance recoverable
1,824

 
(148
)
 
—

 
—

 
—

 
—

 
1,676

 
—

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities
48

 
—

 
—

 
(13
)
 
—

 
—

 
35

 
—

Equity securities
28

 
(12
)
 
—

 
(3
)
 
—

 
—

 
13

 
—

Investment funds
21

 
(3
)
 
—

 
(3
)
 
—

 
—

 
15

 
—

Total Level 3 assets
$
5,422

 
$
(625
)
 
$
(32
)
 
$
1,182

 
$
293

 
$
(712
)
 
$
5,528

 
$
(11
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Embedded derivative
$
(7,411
)
 
$
923

 
$
—

 
$
(1,481
)
 
$
—

 
$
—

 
$
(7,969
)
 
$
—

Universal life benefits
(1,005
)
 
73

 
—

 
—

 
—

 
—

 
(932
)
 
—

Future policy benefits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
AmerUs Closed Block
(1,625
)
 
182

 
—

 
—

 
—

 
—

 
(1,443
)
 
—

ILICO Closed Block and life benefits
(803
)
 
73

 
—

 
—

 
—

 
—

 
(730
)
 
—

Derivative liabilities
(5
)
 
1

 
—

 
—

 
—

 
—

 
(4
)
 
1

Total Level 3 liabilities
$
(10,849
)
 
$
1,252

 
$
—

 
$
(1,481
)
 
$
—

 
$
—

 
$
(11,078
)
 
$
1

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1 Related to instruments held at end of period.
The following represents the gross components of purchases, issuances, sales and settlements, net, shown above:
 
Year ended December 31, 2019
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
40

 
$
—

 
$
—

 
$
—

 
$
40

Corporate
116

 
—

 
(3
)
 
(174
)
 
(61
)
CLO
94

 
—

 
—

 
(44
)
 
50

ABS
409

 
—

 
(172
)
 
(117
)
 
120

CMBS
—

 
—

 
(4
)
 
(127
)
 
(131
)
RMBS
1

 
—

 
—

 
(14
)
 
(13
)
Trading securities, RMBS
10

 
—

 
—

 
—

 
10

Mortgage loans
—

 
—

 
—

 
(5
)
 
(5
)
Investment funds
—

 
—

 
(4
)
 
—

 
(4
)
Short-term investments
74

 
—

 
—

 
(33
)
 
41

Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities, ABS
2,207

 
—

 
—

 
(131
)
 
2,076

Trading securities
 
 
 
 
 
 
 
 
 
CLO
—

 
—

 
(14
)
 
—

 
(14
)
ABS
511

 
—

 
—

 
(38
)
 
473

Equity securities
75

 
—

 
—

 
(137
)
 
(62
)
Investment funds
20

 
—

 
(1
)
 
—

 
19

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
—

 
—

 
(44
)
 
—

 
(44
)
Equity securities
—

 
—

 
(5
)
 
—

 
(5
)
Total Level 3 assets
$
3,557

 
$
—

 
$
(247
)
 
$
(820
)
 
$
2,490

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities – embedded derivative
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)
Total Level 3 liabilities
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)
Gross Components of Purchases, Sales, Issuances and Settlements, net
 
Year ended December 31, 2019
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
U.S. state, municipal and political subdivisions
$
40

 
$
—

 
$
—

 
$
—

 
$
40

Corporate
116

 
—

 
(3
)
 
(174
)
 
(61
)
CLO
94

 
—

 
—

 
(44
)
 
50

ABS
409

 
—

 
(172
)
 
(117
)
 
120

CMBS
—

 
—

 
(4
)
 
(127
)
 
(131
)
RMBS
1

 
—

 
—

 
(14
)
 
(13
)
Trading securities, RMBS
10

 
—

 
—

 
—

 
10

Mortgage loans
—

 
—

 
—

 
(5
)
 
(5
)
Investment funds
—

 
—

 
(4
)
 
—

 
(4
)
Short-term investments
74

 
—

 
—

 
(33
)
 
41

Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities, ABS
2,207

 
—

 
—

 
(131
)
 
2,076

Trading securities
 
 
 
 
 
 
 
 
 
CLO
—

 
—

 
(14
)
 
—

 
(14
)
ABS
511

 
—

 
—

 
(38
)
 
473

Equity securities
75

 
—

 
—

 
(137
)
 
(62
)
Investment funds
20

 
—

 
(1
)
 
—

 
19

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
—

 
—

 
(44
)
 
—

 
(44
)
Equity securities
—

 
—

 
(5
)
 
—

 
(5
)
Total Level 3 assets
$
3,557

 
$
—

 
$
(247
)
 
$
(820
)
 
$
2,490

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities – embedded derivative
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)
Total Level 3 liabilities
$
—

 
$
(937
)
 
$
—

 
$
490

 
$
(447
)


 
Year ended December 31, 2018
(In millions)
Purchases
 
Issuances
 
Sales
 
Settlements
 
Net purchases, issuances, sales and settlements
Assets
 
 
 
 
 
 
 
 
 
AFS securities
 
 
 
 
 
 
 
 
 
Corporate
$
351

 
$
—

 
$
(29
)
 
$
(73
)
 
$
249

CLO
67

 
—

 
—

 
(31
)
 
36

ABS
599

 
—

 
(35
)
 
(312
)
 
252

CMBS
151

 
—

 
(3
)
 
(16
)
 
132

RMBS
56

 
—

 
—

 
(35
)
 
21

Trading securities, CLO
7

 
—

 
(7
)
 
—

 
—

Equity securities
1

 
—

 
(8
)
 
—

 
(7
)
Mortgage loans
—

 
—

 
—

 
(9
)
 
(9
)
Investment funds
—

 
—

 
—

 
(9
)
 
(9
)
Investments in related parties
 
 
 
 
 
 
 
 
 
AFS securities, ABS
326

 
—

 
—

 
—

 
326

Trading securities, CLO
30

 
—

 
(48
)
 
—

 
(18
)
Equity securities
120

 
—

 
—

 
—

 
120

Investment funds
108

 
—

 
—

 
—

 
108

Investments of consolidated VIEs
 
 
 
 
 
 
 
 
 
Trading securities
—

 
—

 
(13
)
 
—

 
(13
)
Equity securities
1

 
—

 
(4
)
 
—

 
(3
)
Investment funds
14

 
—

 
(17
)
 
—

 
(3
)
Total Level 3 assets
$
1,831

 
$
—

 
$
(164
)
 
$
(485
)
 
$
1,182

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities – embedded derivative
$
—

 
$
(1,888
)
 
$
—

 
$
407

 
$
(1,481
)
Total Level 3 liabilities
$
—

 
$
(1,888
)
 
$
—

 
$
407

 
$
(1,481
)
Summary of the Unobservable Inputs for the Embedded Derivative of Fixed Indexed Annuities
The following summarizes the unobservable inputs for the embedded derivatives of fixed indexed annuities:
 
 
December 31, 2019
(In millions, except for percentages)
 
Fair value
 
Valuation technique
 
Unobservable inputs
 
Input/range of
inputs
 
Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
 
$
10,942

 
Option budget method
 
Nonperformance risk
 
0.2
%
–
1.1%
 
Decrease
 
 
 
 
 
 
Option budget
 
0.7
%
–
3.7%
 
Increase
 
 
 
 
 
 
Surrender rate
 
3.5
%
–
8.1%
 
Decrease

 
 
December 31, 2018
(In millions, except for percentages)
 
Fair value
 
Valuation technique
 
Unobservable inputs
 
Input/range of
inputs
 
Impact of an increase in the input on fair value
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
 
$
7,969

 
Option budget method
 
Nonperformance risk
 
0.3
%
–
1.5%
 
Decrease
 
 
 
 
 
 
Option budget
 
0.7
%
–
3.7%
 
Increase
 
 
 
 
 
 
Surrender rate
 
3.6
%
–
7.3%
 
Decrease
Summary of Financial Instruments Not Carried at Fair Value on the Balance Sheet The following represents our financial instruments not carried at fair value on the consolidated balance sheets:
 
December 31, 2019
(In millions)
Carrying Value
 
Fair Value
 
NAV
 
Level 1
 
Level 2
 
Level 3
Financial assets
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
$
14,279

 
$
14,719

 
$
—

 
$
—

 
$
—

 
$
14,719

Investment funds
577

 
577

 
577

 
—

 
—

 
—

Policy loans
417

 
417

 
—

 
—

 
417

 
—

Funds withheld at interest
14,380

 
14,380

 
—

 
—

 
—

 
14,380

Short-term investments
190

 
190

 
—

 
—

 
—

 
190

Other investments
65

 
65

 
—

 
—

 
—

 
65

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
653

 
641

 
—

 
—

 
—

 
641

Investment funds
2,634

 
2,634

 
2,634

 
—

 
—

 
—

Funds withheld at interest
12,626

 
12,626

 
—

 
—

 
—

 
12,626

Other investments
487

 
537

 
—

 
—

 
—

 
537

Assets of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Investment funds
116

 
116

 
116

 
—

 
—

 
—

Total financial assets not carried at fair value
$
46,424

 
$
46,902

 
$
3,327

 
$
—

 
$
417

 
$
43,158

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
$
57,272

 
$
58,027

 
$
—

 
$
—

 
$
—

 
$
58,027

Short-term debt
475

 
475

 
—

 
—

 
475

 
—

Long-term debt
992

 
1,036

 
—

 
—

 
1,036

 
—

Securities to repurchase
512

 
512

 
—

 
—

 
512

 
—

Funds withheld liability
377

 
377

 
—

 
—

 
377

 
—

Total financial liabilities not carried at fair value
$
59,628

 
$
60,427

 
$
—

 
$
—

 
$
2,400

 
$
58,027


 
December 31, 2018
(In millions)
Carrying Value
 
Fair Value
 
NAV
 
Level 1
 
Level 2
 
Level 3
Financial assets
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
$
10,308

 
$
10,424

 
$
—

 
$
—

 
$
—

 
$
10,424

Investment funds
521

 
521

 
521

 
—

 
—

 
—

Policy loans
488

 
488

 
—

 
—

 
488

 
—

Funds withheld at interest
14,966

 
14,966

 
—

 
—

 
—

 
14,966

Other investments
70

 
70

 
—

 
—

 
—

 
70

Investments in related parties
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans
291

 
290

 
—

 
—

 
—

 
290

Investment funds
2,031

 
2,031

 
2,031

 
—

 
—

 
—

Funds withheld at interest
13,687

 
13,687

 
—

 
—

 
—

 
13,687

Other investments
386

 
361

 
—

 
—

 
—

 
361

Assets of consolidated VIEs
 
 
 
 
 
 
 
 
 
 
 
Investment funds
57

 
57

 
57

 
—

 
—

 
—

Total financial assets not carried at fair value
$
42,805

 
$
42,895

 
$
2,609

 
$
—

 
$
488

 
$
39,798

 
 
 
 
 
 
 
 
 
 
 
 
Financial liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest sensitive contract liabilities
$
54,655

 
$
51,655

 
$
—

 
$
—

 
$
—

 
$
51,655

Long-term debt
991

 
910

 
—

 
—

 
910

 
—

Funds withheld liability
722

 
722

 
—

 
—

 
722

 
—

Total financial liabilities not carried at fair value
$
56,368

 
$
53,287

 
$
—

 
$
—

 
$
1,632

 
$
51,655