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Fair Value Measurements (excluding Consolidated Investment Entities) (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2019:



	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	1,629		$	635		$	—		$	2,264
U.S. Government agencies and authorities	—			262			—			262
State, municipalities and political subdivisions	—			1,814			—			1,814
U.S. corporate public securities	—			21,052			108			21,160
U.S. corporate private securities	—			5,171			1,731			6,902
Foreign corporate public securities and foreign governments⁽¹⁾	—			5,856			6			5,862
Foreign corporate private securities⁽¹⁾	—			4,885			383			5,268
Residential mortgage-backed securities	—			5,835			35			5,870
Commercial mortgage-backed securities	—			4,307			13			4,320
Other asset-backed securities	—			2,534			123			2,657
Total fixed maturities, including securities pledged	1,629			52,351			2,399			56,379
Equity securities	177			—			196			373
Derivatives:
Interest rate contracts	2			340			—			342
Foreign exchange contracts	—			42			—			42
Equity contracts	—			45			146			191
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	3,325			29			—			3,354
Assets held in separate accounts	74,217			5,817			100			80,134
Total assets	$	79,350		$	58,624		$	2,841		$	140,815
Percentage of Level to total	56		%	42		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
IUL	$	—		$	—		$	161		$	161
Other⁽²⁾	—			—			102			102
Other derivatives:
Interest rate contracts	—			494			—			494
Foreign exchange contracts	—			4			—			4
Equity contracts	1			16			—			17
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			171			—			171
Total liabilities	$	1		$	687		$	263		$	951

⁽¹⁾Primarily U.S. dollar denominated.

⁽²⁾Includes Guaranteed minimum withdrawal benefits with life payouts ("GMWBL"), Guaranteed minimum withdrawal benefits ("GMWB"), Fixed Indexed Annuities ("FIA"), Stabilizer and MCGs.

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	$	1,753		$	542		$	—		$	2,295
U.S. Government agencies and authorities	—			242			—			242
State, municipalities and political subdivisions	—			1,659			—			1,659
U.S. corporate public securities	—			19,804			44			19,848
U.S. corporate private securities	—			4,839			1,393			6,232
Foreign corporate public securities and foreign governments⁽¹⁾	—			5,444			11			5,455
Foreign corporate private securities⁽¹⁾	—			4,843			251			5,094
Residential mortgage-backed securities	—			4,775			28			4,803
Commercial mortgage-backed securities	—			3,402			14			3,416
Other asset-backed securities	—			1,939			138			2,077
Total fixed maturities, including securities pledged	1,753			47,489			1,879			51,121
Equity securities	144			—			129			273
Derivatives:
Interest rate contracts	—			140			—			140
Foreign exchange contracts	—			14			—			14
Equity contracts	—			10			83			93
Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	3,362			28			—			3,390
Assets held in separate accounts	65,361			5,805			62			71,228
Total assets	$	70,620		$	53,486		$	2,153		$	126,259
Percentage of Level to total	56		%	42		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
IUL	$	—		$	—		$	82		$	82
Other⁽²⁾	—			—			44			44
Other derivatives:
Interest rate contracts	—			109			—			109
Foreign exchange contracts	—			23			—			23
Equity contracts	1			3			—			4
Credit contracts	—			3			—			3
Embedded derivative on reinsurance	—			21			—			21
Total liabilities	$	1		$	159		$	126		$	286

⁽¹⁾Primarily U.S. dollar denominated.

⁽²⁾Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.

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 September 30, 2019
	Fair Value as of July 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	99		$	—		$	6		$	5	$	—		$	—		$	(2	)	$	—	$	—		$	108		$	—
U.S. corporate private securities	1,582			1			41			161		—			—			(61		)	7		—			1,731			1
Foreign corporate public securities and foreign governments⁽¹⁾	8			—			(2		)	—		—			—			—			—		—			6			—
Foreign corporate private securities⁽¹⁾	370			—			6			7		—			—			—			—		—			383			—
Residential mortgage-backed securities	29			(3		)	—			16		—			—			—			—		(7		)	35			(3		)
Commercial mortgage-backed securities	—			—			—			13		—			—			—			—		—			13			—
Other asset-backed securities	100			—			—			45		—			—			(1		)	—		(21		)	123			—
Total fixed maturities, including securities pledged	2,188			(2		)	51			247		—			—			(64		)	7		(28		)	2,399			(2		)
Equity securities	192			4			—			—		—			—			—			—		—			196			4
Derivatives:
Guaranteed benefit derivatives:
IUL⁽²⁾	(160		)	3			—			—		(13		)	—			9			—		—			(161		)	—
Other⁽²⁾⁽⁶⁾	(57		)	(43		)	—			—		(3		)	—			1			—		—			(102		)	—
Other derivatives, net	149			(4		)	—			10		—			—			(9		)	—		—			146			(3		)
Assets held in separate accounts⁽⁵⁾	102			1			—			12		—			(1		)	—			—		(14		)	100			—

⁽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 gains (losses) in the Condensed 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 September 30, amounts are included in Net investment income and Total net realized capital gains (losses) in the Condensed Consolidated Statements of Operations.

⁽⁵⁾ The investment income and realized gains (losses) and change in unrealized gains (losses) included in net income 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.

⁽⁶⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.



	Nine Months Ended September 30, 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	44		$	—		$	8		$	5	$	—		$	—		$	(8	)	$	60	$	(1	)	$	108		$	—
U.S. corporate private securities	1,393			2			125			314		—			(13		)	(86		)	7		(11		)	1,731			1
Foreign corporate public securities and foreign governments⁽¹⁾	11			—			(5		)	—		—			—			—			—		—			6			—
Foreign corporate private securities⁽¹⁾	251			(29		)	53			201		—			(93		)	—			—		—			383			1
Residential mortgage-backed securities	28			(7		)	—			16		—			—			—			—		(2		)	35			(7		)
Commercial mortgage-backed securities	14			—			—			13		—			—			—			—		(14		)	13			—
Other asset-backed securities	138			—			1			47		—			—			(3		)	—		(60		)	123			—
Total fixed maturities, including securities pledged	1,879			(34		)	182			596		—			(106		)	(97		)	67		(88		)	2,399			(5		)
Equity securities	129			18			—			49		—			—			—			—		—			196			18
Derivatives:
Guaranteed benefit derivatives:
IUL⁽²⁾	(82		)	(73		)	—			—		(41		)	—			35			—		—			(161		)	—
Other ⁽²⁾⁽⁶⁾	(44		)	(51		)	—			—		(10		)	—			3			—		—			(102		)	—
Other derivatives, net	83			57			—			33		—			—			(27		)	—		—			146			63
Assets held in separate accounts⁽⁵⁾	62			4			—			51		—			(1		)	—			3		(19		)	100			—

⁽¹⁾ Primarily U.S. dollar denominated.

These amounts are included in Other net realized gains (losses) in the Condensed 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.

⁽⁶⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.



	Three Months Ended September 30, 2018
	Fair Value as of July 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	44		$	—		$	—		$	—	$	—		$	—	$	—		$	—	$	—		$	44		$	—
U.S. corporate private securities	1,285			—			(8		)	168		—			—		(11		)	67		(11		)	1,490			—
Foreign corporate public securities and foreign governments ⁽¹⁾	12			—			—			15		—			—		—			—		—			27			—
Foreign corporate private securities ⁽¹⁾	234			—			(8		)	20		—			—		(21		)	13		—			238			—
Residential mortgage-backed securities	43			(3		)	—			31		—			—		—			—		(10		)	61			(3		)
Commercial mortgage-backed securities	26			—			—			27		—			—		—			—		(26		)	27			—
Other asset-backed securities	164			—			—			57		—			—		(1		)	—		(51		)	169			—
Total fixed maturities, including securities pledged	1,808			(3		)	(16		)	318		—			—		(33		)	80		(98		)	2,056			(3		)
Equity securities	105			—			—			—		—			—		—			—		—			105			—
Derivatives:
Guaranteed benefit derivatives:
IUL⁽²⁾	(142		)	(26		)	—			—		(12		)	—		20			—		—			(160		)	—
Other ⁽²⁾⁽⁶⁾	(103		)	27			—			—		(3		)	—		6			—		—			(73		)	—
Other derivatives, net	140			17			—			11		—			—		(14		)	—		—			154			14
Assets held in separate accounts⁽⁵⁾	38			—			—			23		—			—		—			—		(5		)	56			—

⁽¹⁾ Primarily U.S. dollar denominated.

These amounts are included in Other net realized gains (losses) in the Condensed 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.

⁽⁶⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.



	Nine Months Ended September 30, 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 September 30			Change In Unrealized Gains (Losses) Included in Earnings⁽⁴⁾
				Net Income			OCI
Fixed maturities, including securities pledged:
U.S. corporate public securities	$	57		$	—		$	(1	)	$	9	$	—		$	(13	)	$	—		$	—	$	(8	)	$	44		$	—
U.S. corporate private securities	1,127			6			(52		)	368		—			(7		)	(53		)	112		(11		)	1,490			—
Foreign corporate public securities and foreign governments⁽¹⁾	11			—			1			15		—			—			—			—		—			27			—
Foreign corporate private securities⁽¹⁾	169			(5		)	13			154		—			(71		)	(22		)	—		—			238			(13		)
Residential mortgage-backed securities	42			(8		)	(1		)	33		—			—			—			—		(5		)	61			(8		)
Commercial mortgage-backed securities	17			—			—			27		—			—			—			—		(17		)	27			—
Other asset-backed securities	92			—			(3		)	95		—			—			(4		)	35		(46		)	169			—
Total fixed maturities, including securities pledged	1,515			(7		)	(43		)	701		—			(91		)	(79		)	147		(87		)	2,056			(21		)
Equity securities, available-for-sale	102			(2		)	—			7		—			(2		)	—			—		—			105			(2		)
Derivatives:
Guaranteed benefit derivatives:
IUL⁽²⁾	(159		)	(19		)	—			—		(38		)	—			56			—		—			(160		)	—
Other ⁽²⁾⁽⁶⁾	(147		)	63			—			—		(3		)	—			14			—		—			(73		)	—
Other derivatives, net	159			9			—			31		—			—			(45		)	—		—			154			(5		)
Assets held in separate accounts⁽⁵⁾	11			—			—			50		—			—			—			—		(5		)	56			—

⁽¹⁾ Primarily U.S. dollar denominated.

These amounts are included in Other net realized gains (losses) in the Condensed 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.

⁽⁶⁾ Includes GMWBL, GMWB, FIA, Stabilizer and MCGs.

Fair Value Inputs, Assets, Quantitative Information

The following table presents the unobservable inputs for IUL as of the dates indicated:



	Range⁽¹⁾
	September 30, 2019		December 31, 2018
Unobservable Input
Nonperformance risk	0.20% to 0.56%		0.38% to 0.84%
Actuarial Assumptions:
Lapses	2% to 10%		2% to 10%
Mortality	—	⁽²⁾	—	⁽²⁾


⁽¹⁾	Represents the range of reasonable assumptions that management has used in its fair value calculations.

⁽²⁾The mortality rate is derived based on similarly underwritten business.

Fair Value, by Balance Sheet Grouping

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



	September 30, 2019				December 31, 2018
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities, including securities pledged	$	56,379	$	56,379	$	51,121	$	51,121
Equity securities	373		373		273		273
Mortgage loans on real estate	8,319		8,783		8,676		8,811
Policy loans	1,796		1,796		1,833		1,833
Cash, cash equivalents, short-term investments and short-term investments under securities loan agreements	3,354		3,354		3,390		3,390
Derivatives	575		575		247		247
Other investments	104		106		90		92
Assets held in separate accounts	80,134		80,134		71,228		71,228
Liabilities:
Investment contract liabilities:
Funding agreements without fixed maturities and deferred annuities⁽¹⁾	33,980		41,543		34,053		37,052
Funding agreements with fixed maturities	1,669		1,664		1,209		1,197
Supplementary contracts, immediate annuities and other	925		974		976		960
Derivatives:
Guaranteed benefit derivatives:
IUL	161		161		82		82
Other ⁽²⁾	102		102		44		44
Other derivatives	517		517		139		139
Short-term debt	1		1		1		1
Long-term debt	3,041		3,376		3,136		3,112
Embedded derivative on reinsurance	171		171		21		21

⁽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⁾Includes GMWBL, GMWB, FIA, Stabilizer and MCG.

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of September 30, 2019:



	Level 1		Level 2		Level 3		NAV		Total
Assets
VIEs
Cash and cash equivalents	$	74	$	—	$	—	$	—	$	74
Corporate loans, at fair value using the fair value option	—		544		—		—		544
Limited partnerships/corporations, at fair value	—		—		—		1,420		1,420
VOEs
Limited partnerships/corporations, at fair value	—		—		—		145		145
Total assets, at fair value	$	74	$	544	$	—	$	1,565	$	2,183
Liabilities
VIEs
CLO notes, at fair value using the fair value option	$	—	$	503	$	—	$	—	$	503
Total liabilities, at fair value	$	—	$	503	$	—	$	—	$	503

The following table summarizes the fair value hierarchy levels of consolidated investment entities as of December 31, 2018:



	Level 1		Level 2		Level 3		NAV		Total
Assets
VIEs
Cash and cash equivalents	$	331	$	—	$	—	$	—	$	331
Corporate loans, at fair value using the fair value option	—		542		—		—		542
Limited partnerships/corporations, at fair value	—		—		—		1,313		1,313
VOEs
Limited partnerships/corporations, at fair value	—		—		—		108		108
Total assets, at fair value	$	331	$	542	$	—	$	1,421	$	2,294
Liabilities
VIEs
CLO notes, at fair value using the fair value option	$	—	$	540	$	—	$	—	$	540
Total liabilities, at fair value	$	—	$	540	$	—	$	—	$	540