XML 41 R29.htm IDEA: XBRL DOCUMENT

Fair Value (Tables)

3 Months Ended

Mar. 31, 2022

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy, including those items for which the Company has elected the FVO, are presented below at:


	March 31, 2022 (1)
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate	$	—	$	75,901	$	11,235	$	87,136
Foreign corporate	—		48,002		13,127		61,129
Foreign government	—		57,034		248		57,282
U.S. government and agency	20,894		19,440		—		40,334
RMBS	106		26,813		3,161		30,080
ABS & CLO	—		17,302		2,003		19,305
Municipals	—		12,929		29		12,958
CMBS	—		11,089		766		11,855
Total fixed maturity securities AFS	21,000		268,510		30,569		320,079
Equity securities	641		158		189		988
Unit-linked and FVO Securities (2)	8,554		1,996		868		11,418
Short-term investments (3)	1,983		632		5		2,620
Residential mortgage loans — FVO	—		—		119		119
Other investments	—		68		1,047		1,115
Derivative assets: (4)
Interest rate	—		5,665		215		5,880
Foreign currency exchange rate	7		2,977		70		3,054
Credit	—		173		23		196
Equity market	32		979		7		1,018
Total derivative assets	39		9,794		315		10,148
Embedded derivatives within asset host contracts (5)	—		—		37		37
Separate account assets (6)	69,777		93,150		2,129		165,056
Total assets (7)	$	101,994	$	374,308	$	35,278	$	511,580
Liabilities
Derivative liabilities: (4)
Interest rate	$	6	$	1,091	$	192	$	1,289
Foreign currency exchange rate	—		2,669		78		2,747
Credit	—		109		14		123
Equity market	4		468		—		472
Total derivative liabilities	10		4,337		284		4,631
Embedded derivatives within liability host contracts (5)	—		—		615		615
Separate account liabilities (6)	6		25		11		42
Total liabilities	$	16	$	4,362	$	910	$	5,288


	December 31, 2021 (1)
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate	$	—	$	81,266	$	11,768	$	93,034
Foreign corporate	—		49,973		13,667		63,640
Foreign government	—		61,518		91		61,609
U.S. government and agency	25,482		21,117		—		46,599
RMBS	7		27,270		3,127		30,404
ABS & CLO	—		16,707		1,862		18,569
Municipals	—		14,212		—		14,212
CMBS	—		11,325		882		12,207
Total fixed maturity securities AFS	25,489		283,388		31,397		340,274
Equity securities	931		187		151		1,269
Unit-linked and FVO Securities (2)	9,173		2,068		901		12,142
Short-term investments (3)	5,607		950		3		6,560

Residential mortgage loans — FVO	—		—		127		127


Other investments	—		61		898		959
Derivative assets: (4)
Interest rate	4		6,577		97		6,678
Foreign currency exchange rate	—		2,551		3		2,554
Credit	—		173		17		190
Equity market	12		1,025		7		1,044
Total derivative assets	16		10,326		124		10,466
Embedded derivatives within asset host contracts (5)	—		—		38		38
Separate account assets (6)	76,312		101,424		2,137		179,873
Total assets (7)	$	117,528	$	398,404	$	35,776	$	551,708
Liabilities
Derivative liabilities: (4)
Interest rate	$	—	$	259	$	22	$	281
Foreign currency exchange rate	2		2,676		242		2,920
Credit	—		113		12		125
Equity market	5		521		—		526
Total derivative liabilities	7		3,569		276		3,852
Embedded derivatives within liability host contracts (5)	—		—		649		649
Separate account liabilities (6)	7		12		6		25
Total liabilities	$	14	$	3,581	$	931	$	4,526

__________________

(1)Excludes amounts reclassified to assets held-for-sale or liabilities held-for-sale. Assets held-for-sale and liabilities held-for-sale are valued on a basis consistent with similar assets and liabilities described herein. See Note 3 for information on the Company’s business dispositions.

(2)Contractholder-directed equity securities and FVO Securities (collectively, “Unit-linked and FVO Securities”) were primarily comprised of Unit-linked investments at both March 31, 2022 and December 31, 2021.

(3)Short-term investments as presented in the tables above differ from the amounts presented on the interim condensed consolidated balance sheets because certain short-term investments are not measured at estimated fair value on a recurring basis.

(4)Derivative assets are presented within other invested assets on the interim condensed consolidated balance sheets and derivative liabilities are presented within other liabilities on the interim condensed consolidated balance sheets. The amounts are presented gross in the tables above to reflect the presentation on the interim condensed consolidated balance sheets, but are presented net for purposes of the rollforward in the Fair Value Measurements Using Significant Unobservable Inputs (Level 3) tables.

(5)Embedded derivatives within asset host contracts are presented within premiums, reinsurance and other receivables on the interim condensed consolidated balance sheets. Embedded derivatives within liability host contracts are presented within policyholder account balances and other liabilities on the interim condensed consolidated balance sheets.

(6)Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders whose liability is reflected within separate account liabilities. Separate account liabilities are set equal to the estimated fair value of separate account assets. Separate account liabilities presented in the tables above represent derivative liabilities.

(7)Total assets included in the fair value hierarchy exclude other limited partnership interests that are measured at estimated fair value using the net asset value (“NAV”) per share (or its equivalent) practical expedient. At March 31, 2022 and December 31, 2021, the estimated fair value of such investments was $104 million and $99 million, respectively.

Fair Value Inputs, Quantitative Information

The following table presents certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) at:


					March 31, 2022				December 31, 2021				Impact of Increase in Input on Estimated Fair Value (2)
	Valuation Techniques		Significant Unobservable Inputs		Range			Weighted Average (1)	Range			Weighted Average (1)
Fixed maturity securities AFS (3)
U.S. corporate and foreign corporate	•	Matrix pricing	•	Offered quotes (4)	—	-	147	100	1	-	165	109	Increase
	•	Market pricing	•	Quoted prices (4)	—	-	107	96	—	-	117	100	Increase
	•	Consensus pricing	•	Offered quotes (4)	98	-	103	99	99	-	104	100	Increase
RMBS	•	Market pricing	•	Quoted prices (4)	—	-	119	96	—	-	121	99	Increase (5)
ABS & CLO	•	Market pricing	•	Quoted prices (4)	3	-	104	97	3	-	110	102	Increase (5)

Derivatives
Interest rate	•	Present value techniques	•	Swap yield (6)	233	-	246	242	151	-	200	188	Increase (7)
			•	Volatility (8)	1%	-	2%	1%	1%	-	1%	1%	Increase (7)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (6)	8	-	1,938	186	2	-	305	134	Increase (7)
Credit	•	Present value techniques	•	Credit spreads (9)	95	-	137	108	96	-	133	109	Decrease (7)
	•	Consensus pricing	•	Offered quotes (10)
Embedded derivatives
Direct, assumed and ceded guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates:
				Ages 0 - 40	0%	-	0.17%	0.08%	0%	-	0.17%	0.08%	Decrease (11)
				Ages 41 - 60	0.03%	-	0.75%	0.27%	0.03%	-	0.75%	0.27%	Decrease (11)
				Ages 61 - 115	0.12%	-	100%	2.07%	0.12%	-	100%	2.08%	Decrease (11)
			•	Lapse rates:
				Durations 1 - 10	0%	-	100%	6.24%	0.25%	-	100%	6.30%	Decrease (12)
				Durations 11 - 20	0.50%	-	100%	5.18%	0.50%	-	100%	5.22%	Decrease (12)
				Durations 21 - 116	0.50%	-	100%	5.18%	0.50%	-	100%	5.22%	Decrease (12)





			•	Utilization rates	0%	-	22%	0.22%	0%	-	22%	0.22%	Increase (13)
			•	Withdrawal rates	0%	-	20%	3.70%	0%	-	20%	3.72%	(14)
			•	Long-term equity volatilities	8.43%	-	25%	18.60%	7.69%	-	25%	18.60%	Increase (15)
			•	Nonperformance risk spread	0.06%	-	1.55%	0.35%	0.04%	-	1.45%	0.35%	Decrease (16)

__________________

(1)The weighted average for fixed maturity securities AFS and derivatives is determined based on the estimated fair value of the securities and derivatives. The weighted average for embedded derivatives is determined based on a combination of account values and experience data.

(2)The impact of a decrease in input would have resulted in the opposite impact on estimated fair value. For embedded derivatives, changes to direct and assumed guaranteed minimum benefits are based on liability positions; changes to ceded guaranteed minimum benefits are based on asset positions.

(3)Significant increases (decreases) in expected default rates in isolation would have resulted in substantially lower (higher) valuations.

(4)Range and weighted average are presented in accordance with the market convention for fixed maturity securities AFS of dollars per hundred dollars of par.

(5)Changes in the assumptions used for the probability of default would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumptions used for prepayment rates.

(6)Ranges represent the rates across different yield curves and are presented in basis points. The swap yield curves are utilized among different types of derivatives to project cash flows, as well as to discount future cash flows to present value. Since this valuation methodology uses a range of inputs across a yield curve to value the derivative, presenting a range is more representative of the unobservable input used in the valuation.

(7)Changes in estimated fair value are based on long U.S. dollar net asset positions and will be inversely impacted for short U.S. dollar net asset positions.

(8)Ranges represent the underlying interest rate volatility quoted in percentage points. Since this valuation methodology uses an equivalent of LIBOR for secured overnight financing rate volatility, presenting a range is more representative of the unobservable input used in the valuation.

(9)Represents the risk quoted in basis points of a credit default event on the underlying instrument. Credit derivatives with significant unobservable inputs are primarily comprised of written credit default swaps.

(10)At both March 31, 2022 and December 31, 2021, independent non-binding broker quotations were used in the determination of less than 1% of the total net derivative estimated fair value.

(11)Mortality rates vary by age and by demographic characteristics such as gender. Mortality rate assumptions are based on company experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(12)Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in the money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies. For any given contract, lapse rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(13)The utilization rate assumption estimates the percentage of contractholders with GMIBs or a lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible. The rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder. For any given contract, utilization rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(14)The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.

(15)Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative.

(16)Nonperformance risk spread varies by duration and by currency. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the change of all assets (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (Level 3):


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities AFS
	Corporate (6)		Foreign Government		Structured Products		Municipals		Equity Securities		Unit-linked and FVO Securities
	(In millions)
Three Months Ended March 31, 2022
Balance, beginning of period	$	25,435	$	91	$	5,871	$	—	$	151	$	901
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(11)		—		12		—		13		(36)
Total realized/unrealized gains (losses) included in AOCI	(2,026)		1		(207)		—		—		—
Purchases (3)	1,266		19		806		29		27		8
Sales (3)	(512)		—		(237)		—		—		(3)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	564		137		110		—		—		12
Transfers out of Level 3 (4)	(354)		—		(425)		—		(2)		(14)
Balance, end of period	$	24,362	$	248	$	5,930	$	29	$	189	$	868
Three Months Ended March 31, 2021
Balance, beginning of period	$	24,101	$	117	$	5,289	$	—	$	150	$	701
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(1)		—		9		—		4		18
Total realized/unrealized gains (losses) included in AOCI	(1,182)		—		(46)		—		—		—
Purchases (3)	1,012		23		613		5		4		10
Sales (3)	(274)		(3)		(356)		—		(4)		(12)
Issuances (3)	—		—		—		—		—		—
Settlements (3)	—		—		—		—		—		—
Transfers into Level 3 (4)	235		7		13		—		—		101
Transfers out of Level 3 (4)	(472)		(12)		(15)		—		—		(6)
Balance, end of period	$	23,419	$	132	$	5,507	$	5	$	154	$	812
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2022 (5)	$	(11)	$	—	$	12	$	—	$	13	$	(36)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2021 (5)	$	(4)	$	—	$	7	$	—	$	3	$	19
Changes in unrealized gains (losses) included in AOCI for the instruments still held at March 31, 2022 (5)	$	(2,033)	$	1	$	(206)	$	—	$	—	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at March 31, 2021 (5)	$	(1,175)	$	—	$	(43)	$	—	$	—	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Short-term Investments		Residential Mortgage Loans — FVO		Other Investments		Net Derivatives (7)		Net Embedded Derivatives (8)		Separate Accounts (9)
	(In millions)
Three Months Ended March 31, 2022
Balance, beginning of period	$	3	$	127	$	898	$	(152)	$	(611)	$	2,131
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	—		(3)		46		310		42		18
Total realized/unrealized gains (losses) included in AOCI	—		—		—		(220)		9		—
Purchases (3)	4		—		126		90		—		289
Sales (3)	(2)		—		(23)		—		—		(316)
Issuances (3)	—		—		—		(2)		—		1
Settlements (3)	—		(5)		—		5		(18)		(2)
Transfers into Level 3 (4)	—		—		—		—		—		1
Transfers out of Level 3 (4)	—		—		—		—		—		(4)
Balance, end of period	$	5	$	119	$	1,047	$	31	$	(578)	$	2,118
Three Months Ended March 31, 2021
Balance, beginning of period	$	43	$	165	$	573	$	594	$	(1,141)	$	1,079
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	—		(2)		13		(251)		673		(10)
Total realized/unrealized gains (losses) included in AOCI	(2)		—		—		(604)		21		—
Purchases (3)	61		—		70		—		—		79
Sales (3)	(1)		(9)		—		—		—		(13)
Issuances (3)	—		—		—		—		—		(1)
Settlements (3)	—		(5)		—		96		(61)		2
Transfers into Level 3 (4)	4		—		—		1		—		—
Transfers out of Level 3 (4)	(3)		—		—		2		—		(3)
Balance, end of period	$	102	$	149	$	656	$	(162)	$	(508)	$	1,133
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2022 (5)	$	—	$	(4)	$	46	$	290	$	42	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2021 (5)	$	—	$	(5)	$	14	$	(162)	$	671	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at March 31, 2022 (5)	$	—	$	—	$	—	$	(203)	$	9	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at March 31, 2021 (5)	$	(2)	$	—	$	—	$	(538)	$	21	$	—

__________________

(1)Amortization of premium/accretion of discount is included within net investment income. Impairments and changes in ACL charged to net income (loss) on certain securities are included in net investment gains (losses), while changes in estimated fair value of Unit-linked and FVO Securities and residential mortgage loans — FVO are included in net investment income. Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(2)Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.

(3)Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.

(4)Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.

(5)Changes in unrealized gains (losses) included in net income (loss) and included in AOCI relate to assets and liabilities still held at the end of the respective periods. Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(6)Comprised of U.S. and foreign corporate securities.

(7)Freestanding derivative assets and liabilities are presented net for purposes of the rollforward.

(8)Embedded derivative assets and liabilities are presented net for purposes of the rollforward.

(9)Investment performance related to separate account assets is fully offset by corresponding amounts credited to contractholders within separate account liabilities. Therefore, such changes in estimated fair value are not recorded in net income (loss). For the purpose of this disclosure, these changes are presented within net income (loss). Separate account assets and liabilities are presented net for the purposes of the rollforward.

Fair Value Option

The following table presents information for residential mortgage loans which are accounted for under the FVO and were initially measured at fair value.


	March 31, 2022		December 31, 2021
	(In millions)
Unpaid principal balance	$	119	$	130
Difference between estimated fair value and unpaid principal balance	—		(3)
Carrying value at estimated fair value	$	119	$	127
Loans in nonaccrual status	$	27	$	32
Loans more than 90 days past due	$	13	$	14
Loans in nonaccrual status or more than 90 days past due, or both — difference between aggregate estimated fair value and unpaid principal balance	$	—	$	(7)

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:


	March 31, 2022 (1)
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (2)	$	79,849	$	—	$	—	$	80,164	$	80,164
Policy loans	$	9,036	$	—	$	—	$	10,387	$	10,387

Other invested assets	$	1,012	$	—	$	791	$	221	$	1,012
Premiums, reinsurance and other receivables	$	2,383	$	—	$	637	$	1,895	$	2,532
Other assets	$	282	$	—	$	97	$	185	$	282
Liabilities
Policyholder account balances	$	127,693	$	—	$	—	$	127,117	$	127,117
Long-term debt	$	13,773	$	—	$	15,084	$	—	$	15,084
Collateral financing arrangement	$	754	$	—	$	—	$	609	$	609
Junior subordinated debt securities	$	3,156	$	—	$	3,882	$	—	$	3,882
Other liabilities	$	2,649	$	—	$	1,053	$	2,157	$	3,210
Separate account liabilities	$	87,397	$	—	$	87,397	$	—	$	87,397


	December 31, 2021 (1)
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (2)	$	79,226	$	—	$	—	$	82,788	$	82,788
Policy loans	$	9,111	$	—	$	—	$	10,751	$	10,751

Other invested assets	$	1,025	$	—	$	769	$	256	$	1,025
Premiums, reinsurance and other receivables	$	2,262	$	—	$	492	$	1,962	$	2,454
Other assets	$	290	$	—	$	101	$	190	$	291
Liabilities
Policyholder account balances	$	123,865	$	—	$	—	$	127,728	$	127,728
Long-term debt	$	13,852	$	—	$	16,621	$	—	$	16,621
Collateral financing arrangement	$	766	$	—	$	—	$	630	$	630
Junior subordinated debt securities	$	3,156	$	—	$	4,447	$	—	$	4,447
Other liabilities	$	2,143	$	—	$	514	$	2,321	$	2,835
Separate account liabilities	$	95,619	$	—	$	95,619	$	—	$	95,619

_________________

(1)Excludes amounts reclassified to assets held-for-sale or liabilities held-for-sale. See Note 3 for information on the Company’s business dispositions.

(2)Includes mortgage loans measured at estimated fair value on a nonrecurring basis and excludes mortgage loans measured at estimated fair value on a recurring basis.