Market Risk Benefits (Tables)

9 Months Ended

Sep. 30, 2023

The following table presents the transition rollforward of MRBs:


	Individual Retirement		Group Retirement		Total
(in millions)
Pre-adoption December 31, 2020 carrying amount for features now classified as MRBs	$	—	$	—	$	—
Adjustment for the reclassification of the embedded derivative liability from policyholder contract deposits, net of the host adjustment(s)(a)	5,671		576		6,247
Adjustment for the reclassification of additional liabilities from Future policy benefits(b)	1,388		221		1,609
Adjustments for the cumulative effect of the changes to our own credit risk between the original contract issuance date and the Transition Date(c)	2,140		187		2,327

Adjustment for the removal of related balances in Accumulated other comprehensive income (loss) originating from unrealized gains (losses)(d)	(516)		(89)		(605)


Adjustment for the remaining difference (exclusive of our own credit risk change and host contract adjustments) between previous carrying amount and fair value measurement for the MRB(e)	(1,084)		(93)		(1,177)
Post-adoption January 1, 2021 carrying amount for features now classified as MRBs	$	7,599	$	802	$	8,401

(a)Adjustments for the reclassification from Policyholder contract deposits represents certain contract guarantees (e.g., GMWBs) that were previously classified as embedded derivatives, but have been reclassified as MRBs as of January 1, 2021, and the related host impact. The impact on Retained earnings or AOCI resulting from the simultaneous remeasurement of the guarantee as a market risk benefit is reflected in the lines below.

(b)Adjustments for the reclassification from Future policy benefits represents contract guarantees (e.g., GMDBs) that were previously classified as insurance liabilities within Future policy benefits, but have been reclassified as MRBs as of January 1, 2021. The impact on Retained earnings or AOCI resulting from the simultaneous remeasurement of the guarantee as a market risk benefit is reflected in the lines below.

(c)Adjustments for the cumulative effect of the changes to our own credit risk between the original contract issuance date and the Transition Date are recognized in AOCI.

(d)Adjustment for the removal of related balances in AOCI originating from unrealized gains (losses) with an offset to AOCI relate to the additional liabilities reclassified from Future policy benefits in the line above.

(e)Adjustment for the remaining difference represents the measurement of MRBs at fair value, excluding the impact of our own credit risk with an offset to Retained earnings.

The following is a reconciliation of MRBs by amounts in an asset position and in liability position to the MRB amounts in the Condensed Consolidated Balance Sheets at transition:


	Individual Retirement		Group Retirement		Total
(in millions)
Market risk benefit in an asset position	$	176	$	—	$	176
Reinsured market risk benefit	162		—		162
Market risk benefit assets, at fair value	338		—		338
Market risk benefit liabilities, at fair value	7,937		802		8,739
Market risk benefit, net, January 1, 2021	$	7,599	$	802	$	8,401

The following table presents the balances of and changes in market risk benefits:


Nine Months Ended September 30, 2023	Individual Retirement		Group Retirement		Total
(in millions, except for attained age of contract holders)
Balance, beginning of year	$	3,738	$	296	$	4,034
Effect of changes in our own credit risk	(441)		(24)		(465)
Balance, beginning of year, before effect of changes in our own credit risk	$	3,297	$	272	$	3,569
Issuances	527		28		555
Interest accrual	122		12		134
Attributed fees	636		49		685
Expected claims	(68)		(2)		(70)
Effect of changes in interest rates	(1,223)		(99)		(1,322)
Effect of changes in interest rate volatility	(7)		2		(5)
Effect of changes in equity markets	(591)		(61)		(652)
Effect of changes in equity index volatility	(27)		(4)		(31)
Actual outcome different from model expected outcome	155		10		165
Effect of changes in future expected policyholder behavior	(1)		(1)		(2)
Effect of changes in other future expected assumptions	(86)		(40)		(126)

Other, including foreign exchange	—		(3)		(3)
Balance, end of period, before effect of changes in our own credit risk	2,734		163		2,897
Effect of changes in our own credit risk	662		53		715

Balance, end of period	3,396		216		3,612


Less: Reinsured MRB, end of period	(71)		—		(71)
Net Liability Balance after reinsurance recoverable	$	3,325	$	216	$	3,541


Nine Months Ended September 30, 2023	Individual Retirement		Group Retirement		Total
(in millions, except for attained age of contract holders)
Net amount at risk
GMDB only	$	1,200	$	257	$	1,457
GMWB only	$	24	$	1	$	25
Combined*	$	1,764	$	28	$	1,792
Weighted average attained age of contract holders	70		64


Nine Months Ended September 30, 2022	Individual Retirement		Group Retirement		Total
(in millions, except for attained age of contract holders)
Balance, beginning of year	$	6,452	$	582	$	7,034
Effect of changes in our own credit risk	(1,934)		(167)		(2,101)
Balance, beginning of year, before effect of changes in our own credit risk	4,518		415		4,933
Issuances	161		17		178
Interest accrual	130		16		146
Attributed fees	637		54		691
Expected claims	(53)		(2)		(55)
Effect of changes in interest rates	(3,929)		(360)		(4,289)
Effect of changes in interest rate volatility	267		17		284
Effect of changes in equity markets	1,923		164		2,087
Effect of changes in equity index volatility	(80)		—		(80)
Actual outcome different from model expected outcome	139		14		153
Effect of changes in future expected policyholder behavior	(2)		(18)		(20)
Effect of changes in other future expected assumptions	(85)		—		(85)

Other, including foreign exchange	4		(12)		(8)
Balance, end of period, before effect of changes in our own credit risk	3,630		305		3,935
Effect of changes in our own credit risk	63		(8)		55

Balance, end of period	3,693		297		3,990


Less: Reinsured MRB, end of period	(98)		—		(98)
Net Liability Balance after reinsurance recoverable	$	3,595	$	297	$	3,892
Net amount at risk
GMDB only	$	2,059	$	558	$	2,617
GMWB only	$	15	$	—	$	15
Combined*	$	2,670	$	16	$	2,686
Weighted average attained age of contract holders	70		64

*Certain contracts contain both guaranteed GMDB and GMWB features and are modeled together for the purposes of calculating the MRB.

The following is a reconciliation of MRBs by amounts in an asset position and in a liability position to the MRBs amount in the Condensed Consolidated Balance Sheets:


	September 30, 2023						September 30, 2022
(in millions)	Asset*		Liability*		Net		Asset*		Liability*		Net
Individual Retirement	$	814	$	4,139	$	3,325	$	622	$	4,217	$	3,595
Group Retirement	164		380		216		121		418		297
Total	$	978	$	4,519	$	3,541	$	743	$	4,635	$	3,892

*Cash flows and attributed fees for MRBs are determined on a policy level basis and are reported based on their asset or liability position at the balance sheet date.