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Fair Value (Tables)

12 Months Ended

Dec. 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:


	December 31, 2022
	Fair Value Hierarchy
	Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Fixed maturity securities AFS:
U.S. corporate	$	—	$	67,578	$	12,452	$	80,030
Foreign corporate	—		40,623		11,949		52,572
Foreign government	—		46,644		103		46,747
U.S. government and agency	15,955		16,274		—		32,229
RMBS	4		24,515		1,646		26,165
ABS & CLO	—		14,895		1,927		16,822
Municipals	—		12,152		—		12,152
CMBS	—		9,367		696		10,063
Total fixed maturity securities AFS	15,959		232,048		28,773		276,780
Equity securities	1,293		132		259		1,684
Unit-linked and FVO Securities (1)	7,101		1,780		787		9,668

Short-term investments (2)	3,830		686		57		4,573
Residential mortgage loans — FVO	—		—		—		—

Other investments	—		206		926		1,132
Derivative assets: (3)
Interest rate	2		4,570		—		4,572
Foreign currency exchange rate	8		5,670		210		5,888
Credit	—		69		82		151
Equity market	8		785		7		800
Total derivative assets	18		11,094		299		11,411
Embedded derivatives within asset host contracts (4)	—		—		29		29
Separate account assets (5)	65,107		79,703		1,228		146,038
Total assets (6)	$	93,308	$	325,649	$	32,358	$	451,315
Liabilities
Derivative liabilities: (3)
Interest rate	$	1	$	3,153	$	404	$	3,558
Foreign currency exchange rate	—		2,820		50		2,870
Credit	—		92		15		107
Equity market	4		436		—		440
Total derivative liabilities	5		6,501		469		6,975
Embedded derivatives within liability host contracts (4)	—		—		578		578
Separate account liabilities (5)	8		15		18		41
Total liabilities	$	13	$	6,516	$	1,065	$	7,594


	December 31, 2021 (7)
	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 (1)	9,173		2,068		901		12,142
Short-term investments (2)	5,607		950		3		6,560
Residential mortgage loans — FVO	—		—		127		127

Other investments	—		61		898		959
Derivative assets: (3)
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 (4)	—		—		38		38
Separate account assets (5)	76,312		101,424		2,137		179,873
Total assets (6)	$	117,528	$	398,404	$	35,776	$	551,708
Liabilities
Derivative liabilities: (3)
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 (4)	—		—		649		649
Separate account liabilities (5)	7		12		6		25
Total liabilities	$	14	$	3,581	$	931	$	4,526

__________________

(1)Unit-linked and FVO Securities were primarily comprised of Unit-linked investments at both December 31, 2022 and 2021.

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

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

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

(5)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.

(6)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 December 31, 2022 and 2021, the estimated fair value of such investments was $65 million and $99 million, respectively.

(7)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.

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:


					December 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)	—	-	126	87	1	-	165	109	Increase
	•	Market pricing	•	Quoted prices (4)	20	-	109	90	—	-	117	100	Increase
	•	Consensus pricing	•	Offered quotes (4)	5	-	99	93	99	-	104	100	Increase
RMBS	•	Market pricing	•	Quoted prices (4)	—	-	106	93	—	-	121	99	Increase (5)
ABS & CLO	•	Market pricing	•	Quoted prices (4)	3	-	102	91	3	-	110	102	Increase (5)
Derivatives
Interest rate	•	Present value techniques	•	Swap yield (6)	372	-	392	381	151	-	200	188	Increase (7)

			•	Volatility (8)	—%	-	—%	—%	1%	-	1%	1%	Increase (7)
Foreign currency exchange rate	•	Present value techniques	•	Swap yield (6)	74	-	1,938	208	2	-	305	134	Increase (7)
Credit	•	Present value techniques	•	Credit spreads (9)	84	-	138	101	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%	0.05%	0%	-	0.17%	0.08%	Decrease (11)
				Ages 41 - 60	0.03%	-	0.75%	0.20%	0.03%	-	0.75%	0.27%	Decrease (11)
				Ages 61 - 115	0.12%	-	100%	1.44%	0.12%	-	100%	2.08%	Decrease (11)
			•	Lapse rates:
				Durations 1 - 10	0.40%	-	37.50%	8.96%	0.25%	-	100%	6.30%	Decrease (12)
				Durations 11 - 20	0.50%	-	35.75%	6.52%	0.50%	-	100%	5.22%	Decrease (12)
				Durations 21 - 116	0.50%	-	35.75%	2.89%	0.50%	-	100%	5.22%	Decrease (12)
			•	Utilization rates	0.20%	-	22%	0.38%	0%	-	22%	0.22%	Increase (13)
			•	Withdrawal rates	0%	-	20%	4.02%	0%	-	20%	3.72%	(14)
			•	Long-term equity volatilities	8.26%	-	25%	18.49%	7.69%	-	25%	18.60%	Increase (15)
			•	Nonperformance risk spread	0.09%	-	1.77%	0.75%	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 December 31, 2022 and 2021, independent non-binding broker quotations were used in the determination of 1% or less 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		Equity Securities		Unit-linked and FVO Securities
	(In millions)
Balance, January 1, 2021	$	24,101	$	117	$	5,289	$	150	$	701
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(34)		—		46		27		101
Total realized/unrealized gains (losses) included in AOCI	(1,334)		(2)		(26)		—		—
Purchases (3)	4,988		1		1,824		12		42
Sales (3)	(1,543)		(8)		(1,326)		(35)		(18)
Issuances (3)	—		—		—		—		—
Settlements (3)	—		—		—		—		—
Transfers into Level 3 (4)	179		12		358		—		86
Transfers out of Level 3 (4)	(922)		(29)		(294)		(3)		(11)
Balance, December 31, 2021	25,435		91		5,871		151		901
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	(7)		(38)		29		16		(133)
Total realized/unrealized gains (losses) included in AOCI	(6,221)		(13)		(478)		—		—
Purchases (3)	5,273		36		967		108		28
Sales (3)	(1,762)		(9)		(984)		(14)		(24)
Issuances (3)	—		—		—		—		—
Settlements (3)	—		—		—		—		—
Transfers into Level 3 (4)	2,127		46		251		—		23
Transfers out of Level 3 (4)	(444)		(10)		(1,387)		(2)		(8)
Balance, December 31, 2022	$	24,401	$	103	$	4,269	$	259	$	787
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2020 (5)	$	(48)	$	(1)	$	54	$	2	$	69
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2021 (5)	$	(5)	$	—	$	42	$	13	$	101
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2022 (5)	$	(3)	$	(38)	$	27	$	11	$	(131)
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2020 (5)	$	1,754	$	(1)	$	47	$	—	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2021 (5)	$	(1,293)	$	(2)	$	(24)	$	—	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2022 (5)	$	(6,136)	$	(13)	$	(450)	$	—	$	—
Gains (Losses) Data for the year ended December 31, 2020:
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	$	(88)	$	(2)	$	49	$	12	$	67
Total realized/unrealized gains (losses) included in AOCI	$	1,774	$	(1)	$	41	$	—	$	—


	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)
Balance, January 1, 2021	$	43	$	165	$	573	$	594	$	(1,141)	$	1,079
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	1		(5)		94		(460)		747		29
Total realized/unrealized gains (losses) included in AOCI	(3)		—		—		(334)		27		—
Purchases (3)	2		—		348		30		—		1,056
Sales (3)	(37)		(11)		(92)		—		—		(44)
Issuances (3)	—		—		—		(13)		—		(2)
Settlements (3)	—		(22)		—		32		(244)		6
Transfers into Level 3 (4)	—		—		—		1		—		10
Transfers out of Level 3 (4)	(3)		—		(25)		(2)		—		(3)
Balance, December 31, 2021	3		127		898		(152)		(611)		2,131
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	—		(8)		57		238		172		61
Total realized/unrealized gains (losses) included in AOCI	—		—		—		(537)		22		—
Purchases (3)	56		—		246		82		—		202
Sales (3)	(2)		(108)		(177)		—		—		(1,164)
Issuances (3)	—		—		—		(3)		—		(2)
Settlements (3)	—		(11)		—		201		(132)		4
Transfers into Level 3 (4)	—		—		—		—		—		1
Transfers out of Level 3 (4)	—		—		(98)		1		—		(23)
Balance, December 31, 2022	$	57	$	—	$	926	$	(170)	$	(549)	$	1,210
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2020 (5)	$	(7)	$	3	$	24	$	67	$	(124)	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2021 (5)	$	—	$	(10)	$	89	$	(361)	$	746	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at December 31, 2022 (5)	$	—	$	—	$	56	$	325	$	171	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2020 (5)	$	4	$	—	$	—	$	579	$	(33)	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2021 (5)	$	—	$	—	$	—	$	(128)	$	27	$	—
Changes in unrealized gains (losses) included in AOCI for the instruments still held at December 31, 2022 (5)	$	—	$	—	$	—	$	(459)	$	22	$	—
Gains (Losses) Data for the year ended December 31, 2020:
Total realized/unrealized gains (losses) included in net income (loss) (1), (2)	$	(7)	$	9	$	19	$	279	$	(110)	$	(5)
Total realized/unrealized gains (losses) included in AOCI	$	4	$	—	$	—	$	761	$	(34)	$	—

__________________

(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.


	December 31,
	2022		2021
	(In millions)
Unpaid principal balance	$	—	$	130
Difference between estimated fair value and unpaid principal balance	—		(3)
Carrying value at estimated fair value	$	—	$	127
Loans in nonaccrual status	$	—	$	32
Loans more than 90 days past due	$	—	$	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)

Nonrecurring Fair Value Measurements

The following table presents information for assets measured at estimated fair value on a nonrecurring basis during the periods and still held at the reporting dates (for example, when there is evidence of impairment), using significant unobservable inputs (Level 3).


	December 31,
	2022		2021
	(in millions)
Carrying value after measurement
Mortgage loans (1)	$	263	$	328
Other assets (2)	$	1	$	82


	Years Ended December 31,
	2022		2021		2020
	(in millions)
Realized gains (losses) net:
Mortgage loans (1)	$	(13)	$	(116)	$	(127)
Other assets (2)	$	(14)	$	(74)	$	—

__________________

(1)Estimated fair values for impaired mortgage loans are based on estimated fair value of the underlying collateral.

(2)The Company recognized impairments related to the abandonment of certain leased office space and the related leasehold improvements.

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:


	December 31, 2022
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (1)	$	83,763	$	—	$	—	$	78,694	$	78,694
Policy loans	$	8,874	$	—	$	—	$	9,682	$	9,682


Other invested assets	$	946	$	—	$	729	$	217	$	946
Premiums, reinsurance and other receivables	$	2,905	$	—	$	1,042	$	1,921	$	2,963
Other assets	$	267	$	—	$	90	$	175	$	265
Liabilities
Policyholder account balances	$	125,039	$	—	$	—	$	118,694	$	118,694
Long-term debt	$	14,591	$	—	$	14,241	$	—	$	14,241
Collateral financing arrangement	$	716	$	—	$	—	$	591	$	591
Junior subordinated debt securities	$	3,158	$	—	$	3,502	$	—	$	3,502
Other liabilities	$	2,908	$	—	$	1,377	$	1,793	$	3,170
Separate account liabilities	$	81,976	$	—	$	81,976	$	—	$	81,976


	December 31, 2021 (2)
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans (1)	$	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)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.

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