Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2020:


	Level 1			Level 2			Level 3			Total
Assets:
Fixed maturities, including securities pledged:
U.S. Treasuries	$	571		$	178		$	—		$	749
U.S. Government agencies and authorities	—			20			—			20
State, municipalities and political subdivisions	—			818			—			818
U.S. corporate public securities	—			8,557			76			8,633
U.S. corporate private securities	—			3,028			1,179			4,207
Foreign corporate public securities and foreign governments(1)	—			2,860			—			2,860
Foreign corporate private securities (1)	—			3,071			287			3,358
Residential mortgage-backed securities	—			4,276			25			4,301
Commercial mortgage-backed securities	—			2,955			4			2,959
Other asset-backed securities	—			1,460			43			1,503
Total fixed maturities, including securities pledged	571			27,223			1,614			29,408
Equity securities	121			—			98			219
Derivatives:
Interest rate contracts	5			146			—			151
Foreign exchange contracts	—			24			—			24
Equity contracts	—			3			—			3


Cash and cash equivalents, short-term investments and short-term investments under securities loan agreements	686			—			—			686
Assets held in separate accounts	73,390			6,356			207			79,953
Total assets	$	74,773		$	33,752		$	1,919		$	110,444
Percentage of Level to Total	67		%	31		%	2		%	100		%
Liabilities:
Derivatives:
Guaranteed benefit derivatives:
FIA	$	—		$	—		$	9		$	9
Stabilizer and MCGs	—			—			125			125
Other derivatives:
Interest rate contracts	—			237			—			237
Foreign exchange contracts	—			8			—			8
Equity contracts	—			3			—			3
Credit contracts	—			2			—			2
Embedded derivative on reinsurance	—			—			—			—
Total liabilities	$	—		$	250		$	134		$	384

(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
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, 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.