Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Summary of Significant Inputs Used by Third-Party Pricing Services for Certain Fair Value Measurements of Fixed Maturity Securities that Classified as Level 2

The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of June 30, 2022:

 

(Amounts in millions)	Fair value		Primary methodologies	Significant inputs
U.S. government, agencies and government-sponsored enterprises		$3,627	Price quotes from trading desk, broker feeds	Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread
State and political subdivisions		$2,786	Multi-dimensional attribute-based modeling systems, third-party pricing vendors	Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes
Non-U.S. government		$679	Matrix pricing, spread priced to benchmark curves, price quotes from market makers	Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
U.S. corporate		$24,600	Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, OAS-based models	Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports
Non-U.S. corporate		$6,588	Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers	Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
Residential mortgage-backed		$1,183	OAS-based models, single factor binomial models, internally priced	Prepayment and default assumptions, aggregation of bonds with similar characteristics, including collateral type, vintage, tranche type, weighted-average life, weighted-average loan age, issuer program and delinquency ratio, pay up and pay down factors, TRACE reports

Commercial mortgage-backed	$2,123	Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics model	Credit risk, interest rate risk, prepayment speeds, new issue data, collateral performance, origination year, tranche type, original credit ratings, weighted-average life, cash flows, spreads derived from broker quotes, bid side prices, spreads to daily updated swaps curves, TRACE reports
Other asset-backed	$1,924	Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers	Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports

Assets by Class of Instrument that are Measured at Fair Value on Recurring Basis

The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:

	June 30, 2022
(Amounts in millions)	Total		Level 1		Level 2		Level 3		NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	3,627	$	—	$	3,627	$	—	$	—
State and political subdivisions		2,849		—		2,786		63		—
Non-U.S. government		682		—		679		3		—
U.S. corporate:
Utilities		4,103		—		3,293		810		—
Energy		2,377		—		2,255		122		—
Finance and insurance		7,469		—		6,815		654		—
Consumer—non-cyclical		4,792		—		4,706		86		—
Technology and communications		3,024		—		2,999		25		—
Industrial		1,187		—		1,154		33		—
Capital goods		2,258		—		2,220		38		—
Consumer—cyclical		1,581		—		1,462		119		—
Transportation		1,104		—		1,048		56		—
Other		348		—		141		207		—
Total U.S. corporate		28,243		—		26,093		2,150		—
Non-U.S. corporate:
Utilities		810		—		501		309		—
Energy		1,097		—		964		133		—
Finance and insurance		2,012		—		1,880		132		—
Consumer—non-cyclical		570		—		503		67		—
Technology and communications		943		—		917		26		—
Industrial		861		—		792		69		—
Capital goods		565		—		450		115		—
Consumer—cyclical		285		—		206		79		—
Transportation		390		—		369		21		—
Other		949		—		927		22		—
Total non-U.S. corporate		8,482		—		7,509		973		—
Residential mortgage-backed		1,213		—		1,183		30		—
Commercial mortgage-backed		2,137		—		2,123		14		—
Other asset-backed		2,053		—		1,924		129		—
Total fixed maturity securities		49,286		—		45,924		3,362		—
Equity securities		243		158		50		35		—
Limited partnerships		1,649		—		—		23		1,626
Other invested assets:
Derivative assets:
Interest rate swaps		30		—		30		—		—
Foreign currency swaps		17		—		17		—		—
Equity index options		30		—		—		30		—
Total derivative assets		77		—		47		30		—
Short-term investments		50		—		50		—		—
Total other invested assets		127		—		97		30		—
Reinsurance recoverable (2)		19		—		—		19		—
Separate account assets		4,683		4,683		—		—		—
Total assets	$	56,007	$	4,841	$	46,071	$	3,469	$	1,626

(1) Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.

(2) Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

	December 31, 2021
(Amounts in millions)	Total		Level 1		Level 2		Level 3		NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	4,552	$	—	$	4,552	$	—	$	—
State and political subdivisions		3,450		—		3,368		82		—
Non-U.S. government		835		—		833		2		—
U.S. corporate:
Utilities		5,104		—		4,154		950		—
Energy		2,934		—		2,858		76		—
Finance and insurance		8,991		—		8,306		685		—
Consumer—non-cyclical		6,159		—		6,055		104		—
Technology and communications		3,808		—		3,779		29		—
Industrial		1,494		—		1,457		37		—
Capital goods		2,745		—		2,700		45		—
Consumer—cyclical		1,899		—		1,762		137		—
Transportation		1,371		—		1,307		64		—
Other		419		—		165		254		—
Total U.S. corporate		34,924		—		32,543		2,381		—
Non-U.S. corporate:
Utilities		928		—		583		345		—
Energy		1,383		—		1,238		145		—
Finance and insurance		2,432		—		2,272		160		—
Consumer—non-cyclical		743		—		680		63		—
Technology and communications		1,250		—		1,222		28		—
Industrial		1,047		—		954		93		—
Capital goods		705		—		532		173		—
Consumer—cyclical		341		—		265		76		—
Transportation		489		—		436		53		—
Other		1,217		—		1,191		26		—
Total non-U.S. corporate		10,535		—		9,373		1,162		—
Residential mortgage-backed		1,440		—		1,413		27		—
Commercial mortgage-backed		2,584		—		2,568		16		—
Other asset-backed		2,160		—		2,022		138		—
Total fixed maturity securities		60,480		—		56,672		3,808		—
Equity securities		198		101		60		37		—
Limited partnerships		1,462		—		—		26		1,436
Other invested assets:
Derivative assets:
Interest rate swaps		364		—		364		—		—
Foreign currency swaps		6		—		6		—		—
Equity index options		42		—		—		42		—
Other foreign currency contracts		2		—		2		—		—
Total derivative assets		414		—		372		42		—
Short-term investments		26		—		26		—		—
Total other invested assets		440		—		398		42		—
Reinsurance recoverable (2)		19		—		—		19		—
Separate account assets		6,066		6,066		—		—		—
Total assets	$	68,665	$	6,167	$	57,130	$	3,932	$	1,436

(1) Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.

(2) Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

Assets Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:

	Beginning balance as of April 1, 2022		Total realized and unrealized gains (losses)																					Ending balance as of June 30, 2022		Total gains (losses) attributable to assets still held
(Amounts in millions)			Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)					Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	71	$	1		$	(9	)	$	—	$	—		$	—	$	—		$	—	$	—		$	63	$	1		$	(9	)
Non-U.S. government		1		—			—			2		—			—		—			—		—			3		—			—
U.S. corporate:
Utilities		912		—			(92	)		—		—			—		(1	)		2		(11	)		810		—			(92	)
Energy		72		—			(11	)		—		—			—		(7	)		68		—			122		—			(11	)
Finance and insurance		676		—			(67	)		85		—			—		(1	)		—		(39	)		654		—			(61	)
Consumer—non-cyclical		92		—			(6	)		—		—			—		—			—		—			86		—			(5	)
Technology and communications		28		—			(3	)		—		—			—		—			—		—			25		—			(3	)
Industrial		35		—			(2	)		—		—			—		—			—		—			33		—			(2	)
Capital goods		41		—			(3	)		—		—			—		—			—		—			38		—			(3	)
Consumer—cyclical		127		—			(7	)		—		—			—		(1	)		—		—			119		—			(7	)
Transportation		64		—			(3	)		—		—			—		(1	)		—		(4	)		56		—			(3	)
Other		222		—			(12	)		—		—			—		(3	)		—		—			207		—			(12	)
Total U.S. corporate		2,269		—			(206	)		85		—			—		(14	)		70		(54	)		2,150		—			(199	)
Non-U.S. corporate:
Utilities		334		—			(25	)		—		—			—		—			—		—			309		—			(24	)
Energy		138		—			(7	)		3		—			—		(1	)		—		—			133		—			(8	)
Finance and insurance		143		1			(12	)		—		—			—		—			—		—			132		1			(12	)
Consumer—non-cyclical		60		—			(4	)		—		—			—		—			11		—			67		—			(4	)
Technology and communications		27		—			(1	)		—		—			—		—			—		—			26		—			(1	)
Industrial		74		—			(4	)		—		—			—		—			—		(1	)		69		—			(5	)
Capital goods		132		—			(7	)		—		(10	)		—		—			—		—			115		—			(7	)
Consumer—cyclical		86		—			(7	)		—		—			—		—			—		—			79		—			(7	)
Transportation		22		—			(1	)		—		—			—		—			—		—			21		—			(1	)
Other		24		—			(2	)		—		—			—		—			—		—			22		—			(1	)
Total non-U.S. corporate		1,040		1			(70	)		3		(10	)		—		(1	)		11		(1	)		973		1			(70	)
Residential mortgage-backed		33		—			(2	)		4		—			—		(1	)		—		(4	)		30		—			(2	)
Commercial mortgage-backed		15		—			(1	)		—		—			—		—			—		—			14		—			(2	)
Other asset-backed		100		—			(5	)		40		(6	)		—		—			—		—			129		—			(5	)
Total fixed maturity securities		3,529		2			(293	)		134		(16	)		—		(16	)		81		(59	)		3,362		2			(287	)
Equity securities		36		—			—			—		(1	)		—		—			—		—			35		—			—
Limited partnerships		26		(3	)		—			—		—			—		—			—		—			23		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—
Total derivative assets		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—
Total other invested assets		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—
Reinsurance recoverable (2)		17		2			—			—		—			—		—			—		—			19		2			—
Total Level 3 assets	$	3,638	$	—		$	(293	)	$	137	$	(17	)	$	—	$	(18	)	$	81	$	(59	)	$	3,469	$	(3	)	$	(287	)

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

(2)  Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

	Beginning balance as of April 1, 2021		Total realized and unrealized gains (losses)																				Ending balance as of June 30, 2021		Total gains (losses) attributable to assets still held
(Amounts in millions)			Included in net income			Included in OCI		Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)					Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	68	$	1		$	6	$	—	$	—		$	—	$	—		$	—	$	—		$	75	$	1		$	6
U.S. corporate:
Utilities		793		—			23		8		—			—		(1	)		19		—			842		—			23
Energy		122		—			8		—		—			—		(1	)		—		(52	)		77		—			4
Finance and insurance		597		—			17		55		—			—		(8	)		—		—			661		—			17
Consumer—non-cyclical		106		—			2		—		—			—		(2	)		3		—			109		—			1
Technology and communications		40		—			2		—		—			—		—			—		(12	)		30		—			1
Industrial		20		—			—		—		—			—		—			—		—			20		—			—
Capital goods		58		—			1		—		—			—		—			—		—			59		—			1
Consumer—cyclical		147		—			1		—		—			—		(1	)		—		(8	)		139		—			1
Transportation		67		—			1		—		—			—		(1	)		—		—			67		—			1
Other		200		—			—		—		—			—		(2	)		—		—			198		—			1
Total U.S. corporate		2,150		—			55		63		—			—		(16	)		22		(72	)		2,202		—			50
Non-U.S. corporate:
Utilities		375		—			5		—		—			—		(8	)		—		(24	)		348		—			4
Energy		243		—			10		—		—			—		(22	)		—		(79	)		152		—			5
Finance and insurance		290		—			17		—		(2	)		—		(52	)		—		(51	)		202		1			5
Consumer—non-cyclical		66		—			—		8		—			—		—			—		—			74		—			—
Technology and communications		28		—			—		—		—			—		—			—		—			28		—			—
Industrial		93		—			1		—		—			—		—			—		—			94		—			1
Capital goods		175		—			1		5		—			—		—			—		—			181		—			2
Consumer—cyclical		144		—			2		1		—			—		—			—		—			147		—			2
Transportation		82		—			1		—		—			—		—			—		—			83		—			2
Other		80		—			1		—		—			—		(13	)		—		(15	)		53		—			1
Total non-U.S. corporate		1,576		—			38		14		(2	)		—		(95	)		—		(169	)		1,362		1			22
Residential mortgage-backed		13		—			1		—		—			—		(1	)		—		—			13		—			—
Commercial mortgage-backed		19		—			—		1		—			—		—			—		—			20		—			1
Other asset-backed		96		—			1		—		—			—		(5	)		—		(4	)		88		—			1
Total fixed maturity securities		3,922		1			101		78		(2	)		—		(117	)		22		(245	)		3,760		2			80
Equity securities		43		—			—		—		—			—		(5	)		—		—			38		—			—
Limited partnerships		25		1			—		—		—			—		—			—		—			26		1			—
Other invested assets:
Derivative assets:
Equity index options		53		6			—		5		—			—		(17	)		—		—			47		2			—
Total derivative assets		53		6			—		5		—			—		(17	)		—		—			47		2			—
Total other invested assets		53		6			—		5		—			—		(17	)		—		—			47		2			—
Reinsurance recoverable (2)		18		(1	)		—		—		—			1		—			—		—			18		(1	)		—
Total Level 3 assets	$	4,061	$	7		$	101	$	83	$	(2	)	$	1	$	(139	)	$	22	$	(245	)	$	3,889	$	4		$	80

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

(2)  Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:

	Beginning balance as of January 1, 2022		Total realized and unrealized gains (losses)																					Ending balance as of June 30, 2022		Total gains (losses) attributable to assets still held
(Amounts in millions)			Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)					Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	82	$	2		$	(21	)	$	—	$	—		$	—	$	—		$	—	$	—		$	63	$	2		$	(21	)
Non-U.S. government		2		—			—			2		(1	)		—		—			—		—			3		—			—
U.S. corporate:
Utilities		950		—			(165	)		35		—			—		(1	)		2		(11	)		810		—			(165	)
Energy		76		—			(15	)		—		—			—		(7	)		68		—			122		—			(15	)
Finance and insurance		685		—			(123	)		151		—			—		(3	)		—		(56	)		654		—			(116	)
Consumer—non-cyclical		104		—			(11	)		—		—			—		(7	)		—		—			86		—			(11	)
Technology and communications		29		—			(4	)		—		—			—		—			—		—			25		—			(4	)
Industrial		37		—			(4	)		—		—			—		—			—		—			33		—			(4	)
Capital goods		45		—			(7	)		—		—			—		—			—		—			38		—			(6	)
Consumer—cyclical		137		—			(15	)		—		—			—		(3	)		—		—			119		—			(15	)
Transportation		64		—			(6	)		5		—			—		(3	)		—		(4	)		56		—			(6	)
Other		254		—			(23	)		—		—			—		(7	)		—		(17	)		207		—			(22	)
Total U.S. corporate		2,381		—			(373	)		191		—			—		(31	)		70		(88	)		2,150		—			(364	)
Non-U.S. corporate:
Utilities		345		—			(46	)		10		—			—		—			—		—			309		—			(45	)
Energy		145		—			(14	)		3		—			—		(1	)		—		—			133		—			(15	)
Finance and insurance		160		2			(30	)		—		—			—		—			—		—			132		2			(30	)
Consumer—non-cyclical		63		—			(7	)		—		—			—		—			11		—			67		—			(7	)
Technology and communications		28		—			(2	)		—		—			—		—			—		—			26		—			(2	)
Industrial		93		—			(10	)		—		—			—		—			—		(14	)		69		—			(9	)
Capital goods		173		—			(15	)		—		(10	)		—		(33	)		—		—			115		—			(15	)
Consumer—cyclical		76		—			(14	)		—		—			—		—			17		—			79		—			(14	)
Transportation		53		—			(3	)		—		—			—		(29	)		—		—			21		—			(3	)
Other		26		—			(4	)		—		—			—		—			—		—			22		—			(3	)
Total non-U.S. corporate		1,162		2			(145	)		13		(10	)		—		(63	)		28		(14	)		973		2			(143	)
Residential mortgage-backed		27		—			(3	)		13		—			—		(2	)		4		(9	)		30		—			(2	)
Commercial mortgage-backed		16		—			(2	)		—		—			—		—			—		—			14		—			(3	)
Other asset-backed		138		—			(12	)		46		(6	)		—		(3	)		—		(34	)		129		—			(10	)
Total fixed maturity securities		3,808		4			(556	)		265		(17	)		—		(99	)		102		(145	)		3,362		4			(543	)
Equity securities		37		—			—			—		(1	)		—		—			—		(1	)		35		—			—
Limited partnerships		26		(3	)		—			—		—			—		—			—		—			23		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—
Total derivative assets		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—
Total other invested assets		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—
Reinsurance recoverable (2)		19		—			—			—		—			—		—			—		—			19		—			—
Total Level 3 assets	$	3,932	$	(6	)	$	(556	)	$	273	$	(18	)	$	—	$	(112	)	$	102	$	(146	)	$	3,469	$	3		$	(543	)

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

(2)  Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

	Beginning balance as of January 1, 2021		Total realized and unrealized gains (losses)																					Ending balance as of June 30, 2021		Total gains (losses) attributable to assets still held
(Amounts in millions)			Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)					Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	66	$	2		$	7		$	—	$	—		$	—	$	—		$	—	$	—		$	75	$	2		$	7
U.S. corporate:
Utilities		842		—			(7	)		16		—			—		(14	)		19		(14	)		842		—			(6	)
Energy		128		—			4			—		—			—		(3	)		—		(52	)		77		—			—
Finance and insurance		607		—			(5	)		73		—			—		(25	)		17		(6	)		661		—			(5	)
Consumer—non-cyclical		109		—			(1	)		—		—			—		(2	)		3		—			109		—			(2	)
Technology and communications		47		—			—			12		—			—		—			4		(33	)		30		—			(1	)
Industrial		40		—			—			—		—			—		(20	)		—		—			20		—			—
Capital goods		60		—			(1	)		—		—			—		—			—		—			59		—			(1	)
Consumer—cyclical		150		—			(1	)		—		—			—		(2	)		—		(8	)		139		—			(1	)
Transportation		70		—			—			—		—			—		(3	)		—		—			67		—			—
Other		219		—			(2	)		—		—			—		(5	)		6		(20	)		198		—			—
Total U.S. corporate		2,272		—			(13	)		101		—			—		(74	)		49		(133	)		2,202		—			(16	)
Non-U.S. corporate:
Utilities		352		—			(2	)		30		—			—		(8	)		—		(24	)		348		—			(3	)
Energy		245		—			8			—		—			—		(22	)		—		(79	)		152		—			3
Finance and insurance		305		1			1			—		(2	)		—		(52	)		—		(51	)		202		2			(11	)
Consumer—non-cyclical		67		—			(1	)		8		—			—		—			—		—			74		—			(1	)
Technology and communications		28		—			—			—		—			—		—			—		—			28		—			—
Industrial		95		—			(1	)		—		—			—		—			—		—			94		—			(1	)
Capital goods		178		—			(2	)		5		—			—		—			—		—			181		—			(1	)
Consumer—cyclical		146		—			—			17		—			—		—			—		(16	)		147		—			—
Transportation		109		—			—			—		—			—		(19	)		—		(7	)		83		—			1
Other		83		—			(1	)		—		—			—		(14	)		—		(15	)		53		—			(1	)
Total non-U.S. corporate		1,608		1			2			60		(2	)		—		(115	)		—		(192	)		1,362		2			(14	)
Residential mortgage-backed		14		—			—			—		—			—		(1	)		—		—			13		—			—
Commercial mortgage-backed		20		—			(1	)		1		—			—		—			—		—			20		—			(1	)
Other asset-backed		109		—			1			3		—			—		(9	)		2		(18	)		88		—			1
Total fixed maturity securities		4,089		3			(4	)		165		(2	)		—		(199	)		51		(343	)		3,760		4			(23	)
Equity securities		51		—			—			—		(8	)		—		(5	)		—		—			38		—			—
Limited partnerships		17		1			—			8		—			—		—			—		—			26		1			—
Other invested assets:
Derivative assets:
Equity index options		63		9			—			10		—			—		(35	)		—		—			47		4			—
Total derivative assets		63		9			—			10		—			—		(35	)		—		—			47		4			—
Total other invested assets		63		9			—			10		—			—		(35	)		—		—			47		4			—
Reinsurance recoverable (2)		26		(9	)		—			—		—			1		—			—		—			18		(9	)		—
Total Level 3 assets	$	4,246	$	4		$	(4	)	$	183	$	(10	)	$	1	$	(239	)	$	51	$	(343	)	$	3,889	$	—		$	(23	)

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

(2)  Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities.

Gains and Losses Included in Net Income (Loss) from Assets Measured at Fair Value

The following table presents the gains and losses included in net income from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:

	Three months ended June 30,					Six months ended June 30,
(Amounts in millions)	2022			2021		2022			2021
Total realized and unrealized gains (losses) included in net income:
Net investment income	$	2		$	1	$	4		$	3
Net investment gains (losses)		(2	)		6		(10	)		1
Total	$	—		$	7	$	(6	)	$	4
Total gains (losses) included in net income attributable to assets still held:
Net investment income	$	2		$	2	$	4		$	4
Net investment gains (losses)		(5	)		2		(1	)		(4	)
Total	$	(3	)	$	4	$	3		$	—

Summary of Significant Unobservable Inputs Used for Certain Asset Fair Value Measurements

The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2022:

(Amounts in millions)	Valuation technique		Fair value		Unobservable input		Range		Weighted-average (1)
Fixed maturity securities:
U.S. corporate:
Utilities		Internal models	$	781		Credit spreads		57bps - 316bps		175bps
Energy		Internal models		46		Credit spreads		166bps - 306bps		229bps
Finance and insurance		Internal models		649		Credit spreads		75bps - 322bps		218bps
Consumer—non-cyclical		Internal models		86		Credit spreads		72bps - 306bps		171bps
Technology and communications		Internal models		25		Credit spreads		128bps - 184bps		163bps
Industrial		Internal models		33		Credit spreads		159bps - 308bps		227bps
Capital goods		Internal models		38		Credit spreads		97bps - 263bps		185bps
Consumer—cyclical		Internal models		119		Credit spreads		107bps - 244bps		180bps
Transportation		Internal models		47		Credit spreads		41bps - 210bps		143bps
Other		Internal models		149		Credit spreads		116bps - 219bps		140bps
Total U.S. corporate		Internal models	$	1,973		Credit spreads		41bps - 322bps		188bps
Non-U.S. corporate:
Utilities		Internal models	$	309		Credit spreads		87bps - 290bps		167bps
Energy		Internal models		124		Credit spreads		123bps - 263bps		191bps
Finance and insurance		Internal models		131		Credit spreads		122bps - 216bps		172bps
Consumer—non-cyclical		Internal models		66		Credit spreads		72bps - 248bps		161bps
Technology and communications		Internal models		26		Credit spreads		123bps - 207bps		164bps
Industrial		Internal models		69		Credit spreads		97bps - 225bps		153bps
Capital goods		Internal models		115		Credit spreads		72bps - 306bps		200bps
Consumer—cyclical		Internal models		52		Credit spreads		159bps - 260bps		198bps
Transportation		Internal models		20		Credit spreads		185bps - 219bps		189bps
Other		Internal models		22		Credit spreads		86bps - 161bps		135bps
Total non-U.S. corporate		Internal models	$	934		Credit spreads		72bps - 306bps		175bps
Derivative assets:
Equity index options		Discounted cash flows	$	30		Equity index volatility		6% - 35%		19%

(1) Unobservable inputs weighted by the relative fair value of the associated instrument for fixed maturity securities and by notional for derivative assets.

Liabilities by Class of Instrument that are Measured at Fair Value on Recurring Basis

The following tables set forth our liabilities by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:

 

	June 30, 2022
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Liabilities
Policyholder account balances:
GMWB embedded derivatives (1)	$	277	$	—	$	—	$	277
Fixed index annuity embedded derivatives		233		—		—		233
Indexed universal life embedded derivatives		16		—		—		16
Total policyholder account balances		526		—		—		526
Derivative liabilities:
Interest rate swaps		342		—		342		—
Total derivative liabilities		342		—		342		—
Total liabilities	$	868	$	—	$	342	$	526

(1) Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

	December 31, 2021
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Liabilities
Policyholder account balances:
GMWB embedded derivatives (1)	$	271	$	—	$	—	$	271
Fixed index annuity embedded derivatives		294		—		—		294
Indexed universal life embedded derivatives		25		—		—		25
Total policyholder account balances		590		—		—		590
Derivative liabilities:
Interest rate swaps		26		—		26		—
Total derivative liabilities		26		—		26		—
Total liabilities	$	616	$	—	$	26	$	590

(1) Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

Liabilities Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

The following tables present additional information about liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:

	Beginning balance as of April 1, 2022		Total realized and unrealized (gains) losses																		Ending balance as of June 30, 2022		Total (gains) losses attributable to liabilities still held
(Amounts in millions)			Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3				Included in net (income)			Included in OCI
Policyholder account balances:
GMWB embedded derivatives (1)	$	243	$	28		$	—	$	—	$	—	$	6	$	—		$	—	$	—	$	277	$	31		$	—
Fixed index annuity embedded derivatives		261		(11	)		—		—		—		—		(17	)		—		—		233		(11	)		—
Indexed universal life embedded derivatives		21		(8	)		—		—		—		3		—			—		—		16		(8	)		—
Total policyholder account balances		525		9			—		—		—		9		(17	)		—		—		526		12			—
Total Level 3 liabilities	$	525	$	9		$	—	$	—	$	—	$	9	$	(17	)	$	—	$	—	$	526	$	12		$	—

(1)  Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

	Beginning balance as of April 1, 2021		Total realized and unrealized (gains) losses																		Ending balance as of June 30, 2021		Total (gains) losses attributable to liabilities still held
(Amounts in millions)			Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3				Included in net (income)			Included in OCI
Policyholder account balances:
GMWB embedded derivatives (1)	$	272	$	(3	)	$	—	$	—	$	—	$	6	$	—		$	—	$	—	$	275	$	(4	)	$	—
Fixed index annuity embedded derivatives		362		14			—		—		—		—		(37	)		—		—		339		14			—
Indexed universal life embedded derivatives		23		(3	)		—		—		—		4		—			—		—		24		(3	)		—
Total policyholder account balances		657		8			—		—		—		10		(37	)		—		—		638		7			—
Total Level 3 liabilities	$	657	$	8		$	—	$	—	$	—	$	10	$	(37	)	$	—	$	—	$	638	$	7		$	—

(1)  Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

The following tables present additional information about liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of or for the dates indicated:

	Beginning balance as of January 1, 2022		Total realized and unrealized (gains) losses																			Ending balance as of June 30, 2022		Total (gains) losses attributable to liabilities still held
(Amounts in millions)			Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3					Included in net (income)			Included in OCI
Policyholder account balances:
GMWB embedded derivatives (1)	$	271	$	(6	)	$	—	$	—	$	—	$	12	$	—		$	—	$	—		$	277	$	1		$	—
Fixed index annuity embedded derivatives		294		(23	)		—		—		—		—		(37	)		—		(1	)		233		(23	)		—
Indexed universal life embedded derivatives		25		(19	)		—		—		—		10		—			—		—			16		(19	)		—
Total policyholder account balances		590		(48	)		—		—		—		22		(37	)		—		(1	)		526		(41	)		—
Total Level 3 liabilities	$	590	$	(48	)	$	—	$	—	$	—	$	22	$	(37	)	$	—	$	(1	)	$	526	$	(41	)	$	—

(1)  Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

	Beginning balance as of January 1, 2021		Total realized and unrealized (gains) losses																		Ending balance as of June 30, 2021		Total (gains) losses attributable to liabilities still held
(Amounts in millions)			Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3				Included in net (income)			Included in OCI
Policyholder account balances:
GMWB embedded derivatives (1)	$	379	$	(116	)	$	—	$	—	$	—	$	12	$	—		$	—	$	—	$	275	$	(111	)	$	—
Fixed index annuity embedded derivatives		399		18			—		—		—		—		(78	)		—		—		339		18			—
Indexed universal life embedded derivatives		26		(13	)		—		—		—		11		—			—		—		24		(13	)		—
Total policyholder account balances		804		(111	)		—		—		—		23		(78	)		—		—		638		(106	)		—
Total Level 3 liabilities	$	804	$	(111	)	$	—	$	—	$	—	$	23	$	(78	)	$	—	$	—	$	638	$	(106	)	$	—

(1)  Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance.

Gains and Losses Included in Net (Income) from Liabilities Measured at Fair Value

The following table presents the gains and losses included in net (income) from liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:

	Three months ended June 30,				Six months ended June 30,
(Amounts in millions)	2022		2021		2022			2021
Total realized and unrealized (gains) losses included in net (income):
Net investment income	$	—	$	—	$	—		$	—
Net investment (gains) losses		9		8		(48	)		(111	)
Total	$	9	$	8	$	(48	)	$	(111	)
Total (gains) losses included in net (income) attributable to liabilities still held:
Net investment income	$	—	$	—	$	—		$	—
Net investment (gains) losses		12		7		(41	)		(106	)
Total	$	12	$	7	$	(41	)	$	(106	)

Summary of Significant Unobservable Inputs Used for Certain Liability Fair Value Measurements

The following table presents a summary of the significant unobservable inputs used for certain liability fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2022:

(Amounts in millions)	Valuation technique	Fair value		Unobservable input	Range	Weighted-average (1)
Policyholder account balances:
				Withdrawal utilization rate	61% - 88%	77%
				Lapse rate	2% - 9%	3%
				Non-performance risk (credit spreads)	36bps -83bps	69bps
GMWB embedded derivatives (2)	Stochastic cash flow model	$	277	Equity index volatility	20% - 29%	24%
Fixed index annuity embedded derivatives	Option budget method	$	233	Expected future interest credited	—  % - 3%	1%
Indexed universal life embedded derivatives	Option budget method	$	16	Expected future interest credited	3% - 14%	5%

(1)  Unobservable inputs weighted by the policyholder account balances associated with the instrument.

(2)  Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. The unobservable inputs associated with GMWB embedded derivatives are not interrelated and therefore, a directional change in one input will not affect the other inputs.

Fair Value Financial Instruments Not Required to be Carried at Fair Value

The following represents our estimated fair value of financial assets and liabilities that are not required to be carried at fair value as of the dates indicated:

	June 30, 2022
	Notional amount			Carrying amount		Fair value
(Amounts in millions)						Total		Level 1		Level 2		Level 3
Assets:
Commercial mortgage loans, net			(1)	$	7,065	$	6,679	$	—	$	—	$	6,679
Bank loan investments			(1)		406		402		—		—		402
Liabilities:
Long-term borrowings			(1)		1,773		1,336		—		1,336		—
Investment contracts			(1)		8,071		8,146		—		—		8,146
Other firm commitments:
Commitments to fund bank loan investments		75			—		—		—		—		—
Ordinary course of business lending commitments		88			—		—		—		—		—

(1)  These financial instruments do not have notional amounts.

	December 31, 2021
	Notional amount			Carrying amount		Fair value
(Amounts in millions)						Total		Level 1		Level 2		Level 3
Assets:
Commercial mortgage loans, net			(1)	$	6,830	$	7,224	$	—	$	—	$	7,224
Bank loan investments			(1)		363		370		—		—		370
Liabilities:
Long-term borrowings			(1)		1,899		1,767		—		1,767		—
Investment contracts			(1)		8,657		9,352		—		—		9,352
Other firm commitments:
Commitments to fund bank loan investments		141			—		—		—		—		—
Ordinary course of business lending commitments		125			—		—		—		—		—

(1)  These financial instruments do not have notional amounts.

Summary of carrying value of limited partnerships and commitments to fund

The following table presents the carrying value of limited partnerships and commitments to fund as of the dates indicated:

	June 30, 2022				December 31, 2021
(Amounts in millions)	Carrying value		Commitments to fund		Carrying value		Commitments to fund
Limited partnerships accounted for at NAV:
Private equity funds (1)	$	1,483	$	1,080	$	1,312	$	950
Real estate funds (2)		84		145		67		101
Infrastructure funds (3)		59		11		57		13
Total limited partnerships accounted for at NAV		1,626		1,236		1,436		1,064
Limited partnerships accounted for at fair value		23		1		26		1
Limited partnerships accounted for under equity method of accounting		473		172		437		120
Low-income housing tax credits (4)		1		—		1		—
Total	$	2,123	$	1,409	$	1,900	$	1,185

(1)  This class employs various investment strategies such as leveraged buyout, growth equity, venture capital and mezzanine financing, generally investing in debt or equity positions directly in companies or assets of various sizes across diverse industries globally, primarily concentrated in North America.

(2)  This class invests in real estate in North America, Europe and Asia via direct property ownership, joint ventures, mortgages and investments in debt and equity instruments.

(3)  This class invests in the debt or equity of cash flow generating assets diversified across a variety of industries, including transportation, energy infrastructure, renewable power, social infrastructure, power generation, water, telecommunications and other regulated entities globally.

(4)  Relates to limited partnership investments that invest in affordable housing projects that qualify for the Low-Income Housing Tax Credit and are accounted for using the proportional amortization method.