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Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2023

The carrying values and estimated fair values of our financial instruments (in millions) were as follows:


	As of December 31, 2023				As of December 31, 2022
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets
Fixed maturity AFS securities	$	82,300	$	82,300	$	99,465	$	99,465
Trading securities	2,321		2,321		3,446		3,446
Equity securities	306		306		427		427
Mortgage loans on real estate	18,873		17,330		18,211		16,477
Derivative investments	6,305		6,305		3,519		3,519
Other investments	4,757		4,757		3,577		3,577
Cash and invested cash	3,193		3,193		2,499		2,499
MRB assets	3,894		3,894		2,807		2,807
Other assets:
Ceded MRBs	274		274		540		540


Indexed annuity ceded embedded derivatives	940		940		525		525
LPR ceded derivative	206		206		212		212
Separate account assets	158,257		158,257		143,536		143,536

Liabilities
Policyholder account balances:
Account balances of certain investment contracts	(44,615)		(34,020)		(43,550)		(34,251)
RILA, fixed annuity and IUL contracts	(9,077)		(9,077)		(4,783)		(4,783)
Funds withheld reinsurance liabilities – reinsurance-related
embedded derivatives	493		493		681		681
MRB liabilities	(1,716)		(1,716)		(2,078)		(2,078)
Short-term debt	(840)		(841)		(562)		(562)
Long-term debt	(2,195)		(2,125)		(2,269)		(2,166)
Other liabilities:
Ceded MRBs	(1,149)		(1,149)		(246)		(246)

Derivative liabilities	(356)		(356)		(254)		(254)
Remaining guaranteed interest and similar contracts	(411)		(411)		(574)		(574)

Valuation Methodologies and Associated Inputs for Financial Instruments Not Carried at Fair Value

The following discussion outlines the methodologies and assumptions used to determine the fair value of our financial instruments not carried at fair value on the Consolidated Balance Sheets. Considerable judgment is required to develop these assumptions used to measure fair value. Accordingly, the estimates shown are not necessarily indicative of the amounts that would be realized in a one-time, current market exchange of all of our financial instruments.

Mortgage Loans on Real Estate

The fair value of mortgage loans on real estate, excluding mortgage loans accounted for using the fair value option, is established using a discounted cash flow method based on credit rating, maturity and future income. The ratings for mortgages in good standing are based on property type, location, market conditions, occupancy, debt-service coverage, loan-to-value, quality of tenancy, borrower and payment record. The fair value for impaired mortgage loans is based on the present value of expected future cash flows discounted at the loan’s effective interest rate, the loan’s market price or the fair value of the collateral if the loan is collateral dependent. The inputs used to measure the fair value of our mortgage loans on real estate, excluding mortgage loans accounted for using the fair value option, are classified as Level 2 within the fair value hierarchy.

Other Investments

The carrying value of our assets classified as other investments, excluding short-term investments, approximates fair value. Other investments includes primarily LPs and other privately held investments that are accounted for using the equity method of accounting and the carrying value is based on our proportional share of the net assets of the LPs. Other investments also includes FHLB stock carried at cost and periodically evaluated for impairment based on ultimate recovery of par value. The inputs used to measure the fair value of our LPs, other privately held investments and FHLB stock are classified as Level 3 within the fair value hierarchy. The remaining assets in other investments include cash collateral receivables and securities that are not LPs or other privately held investments. The inputs used to measure the fair value of these assets are classified as Level 2 within the fair value hierarchy.

Separate Account Assets

Separate account assets are primarily carried at fair value. A portion of our separate account assets includes LPs, which are accounted for using the equity method of accounting. The carrying value is based on our proportional share of the net assets of the LPs and approximates fair value. The inputs used to measure the fair value of the separate account asset LPs are classified as Level 3 within the fair value hierarchy.

Policyholder Account Balances

Policyholder account balances include account balances of certain investment contracts. The fair value of the account balances of certain investment contracts is based on their approximate surrender value as of the balance sheet date. The inputs used to measure the fair value of these policyholder account balances are classified as Level 3 within the fair value hierarchy.

Other Liabilities

Other liabilities include remaining guaranteed interest and similar contracts. The fair value for the remaining guaranteed interest and similar contracts is estimated using discounted cash flow calculations as of the balance sheet date. These calculations are based on interest rates currently offered on similar contracts with maturities that are consistent with those remaining for the contracts being valued. As of December 31, 2023 and 2022, the remaining guaranteed interest and similar contracts carrying value approximated fair value. The inputs used to measure the fair value of these other liabilities are classified as Level 3 within the fair value hierarchy.

Short-Term and Long-Term Debt

The fair value of short-term and long-term debt is based on quoted market prices. The inputs used to measure the fair value of our short-term and long-term debt are classified as Level 2 within the fair value hierarchy.

Fair Value Option

Mortgage loans on real estate, net of allowance for credit losses, as reported on the Consolidated Balance Sheets, includes mortgage loans on real estate for which the fair value option was elected. The fair value option allows us to elect fair value as an alternative measurement for mortgage loans not otherwise reported at fair value. We have made these elections for certain mortgage loans associated with modified coinsurance agreements to help mitigate the inconsistency in earnings that would otherwise result from the use of embedded derivatives included with these loans. Changes in fair value are reflected in realized gain (loss) on the Consolidated Statement of Comprehensive Income (Loss). Changes in fair value due to instrument-specific credit risk are estimated using changes in credit spreads

and quality ratings for the period reported. Mortgage loans on real estate for which the fair value option was elected are valued using third-party pricing services. We have procedures in place to review the valuations each quarter to ensure they are reasonable, including utilizing a separate third party to reperform the valuation for a selection of mortgage loans on an annual basis. Due to lack of observable inputs, mortgage loans electing the fair value option are classified as Level 3 within the fair value hierarchy.

The fair value and aggregate contractual principal for mortgage loans on real estate where the fair value option was elected (in millions) were as follows:


	As of December 31,
	2023		2022
Fair value	$	288	$	487
Aggregate contractual principal	326		514

As of December 31, 2023 and 2022, no loans for which the fair value option was elected were in non-accrual status, and none were more than 90 days past due and still accruing interest.

Financial Instruments Carried at Fair Value

We did not have any assets or liabilities measured at fair value on a nonrecurring basis as of December 31, 2023 or 2022.

The following summarizes our financial instruments carried at fair value (in millions) on a recurring basis by the fair value hierarchy levels:


	As of December 31, 2023
	Quoted
	Prices
	in Active
	Markets for		Significant		Significant
	Identical		Observable		Unobservable		Total
	Assets		Inputs		Inputs		Fair
	(Level 1)		(Level 2)		(Level 3)		Value
Assets
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	–	$	57,397	$	6,469	$	63,866
U.S. government bonds	373		20		–		393
State and municipal bonds	–		2,537		5		2,542
Foreign government bonds	–		278		–		278
RMBS	–		1,589		13		1,602
CMBS	–		1,336		8		1,344
ABS	–		10,559		1,484		12,043
Hybrid and redeemable preferred securities	46		138		48		232
Trading securities	–		2,037		284		2,321
Equity securities	1		263		42		306
Mortgage loans on real estate	–		–		288		288
Derivative investments (1)	–		10,705		622		11,327
Other investments – short-term investments	–		233		–		233
Cash and invested cash	–		3,193		–		3,193
MRB assets	–		–		3,894		3,894
Other assets:
Ceded MRBs	–		–		274		274


Indexed annuity ceded embedded derivatives	–		–		940		940
LPR ceded derivative	–		–		206		206
Separate account assets	402		157,855		–		158,257
Total assets	$	822	$	248,140	$	14,577	$	263,539

Liabilities
Policyholder account balances – RILA, fixed annuity
and IUL contracts	$	–	$	–	$	(9,077)	$	(9,077)
Funds withheld reinsurance liabilities –
reinsurance-related embedded derivatives	–		493		–		493
MRB liabilities	–		–		(1,716)		(1,716)
Other liabilities:
Ceded MRBs	–		–		(1,149)		(1,149)
Derivative liabilities (1)	–		(4,792)		(586)		(5,378)
Total liabilities	$	–	$	(4,299)	$	(12,528)	$	(16,827)


	As of December 31, 2022
	Quoted
	Prices
	in Active
	Markets for		Significant		Significant
	Identical		Observable		Unobservable		Total
	Assets		Inputs		Inputs		Fair
	(Level 1)		(Level 2)		(Level 3)		Value
Assets
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	–	$	73,980	$	5,186	$	79,166
U.S. government bonds	332		19		–		351
State and municipal bonds	–		4,850		35		4,885
Foreign government bonds	–		311		–		311
RMBS	–		1,835		1		1,836
CMBS	–		1,667		–		1,667
ABS	–		9,782		1,117		10,899
Hybrid and redeemable preferred securities	40		261		49		350
Trading securities	–		2,865		581		3,446
Equity securities	–		274		153		427
Mortgage loans on real estate	–		–		487		487
Derivative investments (1)	–		5,929		605		6,534
Other investments – short-term investments	–		30		–		30
Cash and invested cash	–		2,499		–		2,499
MRB assets	–		–		2,807		2,807
Other assets:
Ceded MRBs	–		–		540		540


Indexed annuity ceded embedded derivatives	–		–		525		525
LPR ceded derivative	–		–		212		212
Separate account assets	412		143,124		–		143,536
Total assets	$	784	$	247,426	$	12,298	$	260,508

Liabilities
Policyholder account balances – indexed annuity
and IUL contracts embedded derivatives	$	–	$	–	$	(4,783)	$	(4,783)
Funds withheld reinsurance liabilities –
reinsurance-related embedded derivatives	–		681		–		681
MRB liabilities	–		–		(2,078)		(2,078)
Other liabilities:
Ceded MRBs	–		–		(246)		(246)

Derivative liabilities (1)	–		(2,666)		(603)		(3,269)
Total liabilities	$	–	$	(1,985)	$	(7,710)	$	(9,695)

(1) Derivative investment assets and liabilities are presented within the fair value hierarchy on a gross basis by derivative type and not

on a master netting basis by counterparty.

The following summarizes changes to our financial instruments carried at fair value (in millions) and classified within Level 3 of the fair value hierarchy. The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology. The summary schedule excludes changes to MRB assets and MRB liabilities as these balances are rolled forward in Note 10.


	For the Year Ended December 31, 2023
					Gains		Issuances,		Transfers
			Items		(Losses)		Sales,		Into or
			Included		in		Maturities,		Out
	Beginning		in		OCI		Settlements,		of		Ending
	Fair		Net		and		Calls,		Level 3,		Fair
	Value		Income		Other(1)		Net		Net		Value
Investments: (2)
Fixed maturity AFS securities:
Corporate bonds	$	5,186	$	(17)	$	28	$	1,284	$	(12)	$	6,469
State and municipal bonds	35		(4)		4		(30)		–		5

RMBS	1		–		–		5		7		13
CMBS	–		–		–		(4)		12		8
ABS	1,117		–		9		733		(375)		1,484
Hybrid and redeemable preferred
securities	49		–		(2)		(2)		3		48
Trading securities	581		17		–		(313)		(1)		284
Equity securities	153		(19)		–		(98)		6		42
Mortgage loans on real estate	487		(7)		5		(197)		–		288
Derivative investments	2		(13)		–		16		31		36
Other assets:
Ceded MRBs (3)	540		(266)		–		–		–		274
Indexed annuity ceded embedded
derivatives (4)	525		6		–		409		–		940
LPR ceded derivative (5)	212		(6)		–		–		–		206
Policyholder account balances –
RILA, fixed annuity and IUL
contracts (4)	(4,783)		(3,193)		–		(1,101)		–		(9,077)
Other liabilities – ceded MRBs (3)	(246)		(903)		–		–		–		(1,149)
Total, net	$	3,859	$	(4,405)	$	44	$	702	$	(329)	$	(129)


	For the Year Ended December 31, 2022
					Gains		Issuances,		Transfers
			Items		(Losses)		Sales,		Into or
			Included		in		Maturities,		Out
	Beginning		in		OCI		Settlements,		of		Ending
	Fair		Net		and		Calls,		Level 3,		Fair
	Value		Income		Other(1)		Net		Net		Value
Investments: (2)
Fixed maturity AFS securities:
Corporate bonds	$	8,801	$	1	$	(1,542)	$	592	$	(2,666)	$	5,186
State and municipal bonds	–		–		(1)		–		36		35
Foreign government bonds	41		–		(6)		(30)		(5)		–
RMBS	3		–		1		21		(24)		1
CMBS	–		–		–		17		(17)		–
ABS	870		–		(113)		676		(316)		1,117
Hybrid and redeemable preferred
securities	90		(4)		(21)		(12)		(4)		49
Trading securities	828		(80)		–		(152)		(15)		581
Equity securities	91		52		–		25		(15)		153
Mortgage loans on real estate	739		(20)		(5)		(227)		–		487
Derivative investments	21		2		(6)		–		(15)		2
Other assets:
Ceded MRBs (3)	4,114		(3,574)		–		–		–		540
Indexed annuity ceded embedded
derivatives (4)	528		(215)		–		212		–		525
LPR ceded derivative (5)	318		(106)		–		–		–		212
Policyholder account balances – indexed
annuity and IUL contracts embedded
derivatives (4)	(6,131)		1,975		–		(627)		–		(4,783)
Other liabilities – ceded MRBs (3)	(17)		(229)		–		–		–		(246)
Total, net	$	10,296	$	(2,198)	$	(1,693)	$	495	$	(3,041)	$	3,859


	For the Year Ended December 31, 2021
					Gains		Issuances,		Transfers
			Items		(Losses)		Sales,		Into or
			Included		in		Maturities,		Out
	Beginning		in		OCI		Settlements,		of		Ending
	Fair		Net		and		Calls,		Level 3,		Fair
	Value		Income		Other(1)		Net		Net		Value
Investments: (2)
Fixed maturity AFS securities:
Corporate bonds	$	7,761	$	3	$	(182)	$	1,189	$	30	$	8,801
U.S. government bonds	5		–		–		(5)		–		–
Foreign government bonds	74		–		(11)		80		(102)		41
RMBS	2		–		–		2		(1)		3
CMBS	1		(1)		–		8		(8)		–
ABS	570		1		(9)		602		(294)		870
Hybrid and redeemable preferred
securities	103		–		25		(38)		–		90
Trading securities	643		(3)		–		210		(22)		828
Equity securities	57		38		–		(4)		–		91
Mortgage loans on real estate	832		11		5		(109)		–		739
Derivative investments	1,542		1,255		(3)		(139)		(2,634)		21
Other assets:
Ceded MRBs (3)	6,539		(2,425)		–		–		–		4,114
Indexed annuity ceded embedded
derivatives (4)	550		87		–		(109)		–		528
LPR ceded derivative (5)	–		–		–		–		318		318
Policyholder account balances – indexed
annuity and IUL contracts embedded
derivatives (4)	(3,594)		(2,709)		–		172		–		(6,131)
Other liabilities – ceded MRBs (3)	–		(17)		–		–		–		(17)
Total, net	$	15,085	$	(3,760)	$	(175)	$	1,859	$	(2,713)	$	10,296

(1) The changes in fair value of the interest rate swaps are offset by an adjustment to derivative investments (see Note 6).

(2) Amortization and accretion of premiums and discounts are included in net investment income on the Consolidated Statements of Comprehensive Income (Loss). Gains (losses) from sales, maturities, settlements and calls and credit loss expense are included in realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

(3) Gains (losses) from the changes in fair value are included in market risk benefit gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

(4) Gains (losses) from the changes in fair value are included in realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

(5) Gains (losses) from the changes in fair value are included in benefits on the Consolidated Statements of Comprehensive Income (Loss).

The following provides the components of the items included in issuances, sales, maturities, settlements and calls, net, (in millions) as reported above:


	For the Year Ended December 31, 2023
	Issuances		Sales		Maturities		Settlements		Calls		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	2,035	$	(334)	$	(34)	$	(372)	$	(11)	$	1,284
State and municipal bonds	–		(30)		–		–		–		(30)
RMBS	5		–		–		–		–		5
CMBS	–		–		–		(4)		–		(4)
ABS	971		(2)		–		(230)		(6)		733
Hybrid and redeemable preferred
securities	–		–		–		–		(2)		(2)
Trading securities	–		(231)		–		(82)		–		(313)
Equity securities	1		(99)		–		–		–		(98)
Mortgage loans on real estate	5		–		–		(202)		–		(197)
Derivative investments	19		–		(3)		–		–		16
Other assets – indexed annuity ceded
embedded derivatives	404		–		–		5		–		409
Policyholder account balances –
RILA, fixed annuity and IUL
contracts	(1,113)		–		–		12		–		(1,101)
Total, net	$	2,327	$	(696)	$	(37)	$	(873)	$	(19)	$	702


	For the Year Ended December 31, 2022
	Issuances		Sales		Maturities		Settlements		Calls		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	1,335	$	(398)	$	(81)	$	(231)	$	(33)	$	592
Foreign government bonds	–		–		(30)		–		–		(30)

RMBS	21		–		–		–		–		21
CMBS	17		–		–		–		–		17
ABS	918		–		–		(235)		(7)		676
Hybrid and redeemable preferred
securities	–		–		–		–		(12)		(12)
Trading securities	287		(229)		–		(210)		–		(152)
Equity securities	34		(9)		–		–		–		25
Mortgage loans on real estate	15		–		–		(242)		–		(227)

Other assets – indexed annuity ceded
embedded derivatives	124		–		–		88		–		212
Policyholder account balances – indexed
annuity and IUL contracts embedded
derivatives	(710)		–		–		83		–		(627)
Total, net	$	2,041	$	(636)	$	(111)	$	(747)	$	(52)	$	495


	For the Year Ended December 31, 2021
	Issuances		Sales		Maturities		Settlements		Calls		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	1,861	$	(110)	$	(109)	$	(423)	$	(30)	$	1,189
U.S. government bonds	–		–		(5)		–		–		(5)
Foreign government bonds	80		–		–		–		–		80
RMBS	2		–		–		–		–		2
CMBS	8		–		–		–		–		8
ABS	835		–		–		(233)		–		602
Hybrid and redeemable preferred
securities	12		(20)		–		–		(30)		(38)
Trading securities	383		(25)		–		(148)		–		210
Equity securities	6		(10)		–		–		–		(4)
Mortgage loans on real estate	96		(101)		(26)		(78)		–		(109)
Derivative investments	174		(124)		(189)		–		–		(139)
Other assets – indexed annuity ceded
embedded derivatives	55		–		–		(164)		–		(109)
Policyholder account balances – indexed
annuity and IUL contracts embedded
derivatives	(400)		–		–		572		–		172
Total, net	3,112		(390)		(329)		(474)		(60)		1,859

The following summarizes changes in unrealized gains (losses) included in net income related to financial instruments carried at fair value classified within Level 3 that we still held (in millions):


	For the Years Ended December 31,
	2023		2022		2021
Trading securities (1)	$	8	$	(81)	$	4
Equity securities (1)	(16)		54		40
Mortgage loans on real estate (1)	(8)		(20)		12
Derivative investments (1)	1		2		1,051
MRBs (2)	1,071		(359)		1,530
Other assets – LPR ceded derivative (3)	(6)		(106)		–
Embedded derivatives - indexed annuity
and IUL contracts (1)	(20)		(95)		44


Total, net	$	1,030	$	(605)	$	2,681

(1) Included in realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

(2) Included in market risk benefit gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

(3) Included in benefits on the Consolidated Statements of Comprehensive Income (Loss).

The following summarizes changes in unrealized gains (losses) included in OCI, net of tax, related to financial instruments carried at fair value classified within Level 3 that we still held (in millions):


	For the Years Ended December 31,
	2023		2022		2021
Fixed maturity AFS securities:
Corporate bonds	$	7	$	(1,553)	$	(183)
State and municipal bonds	3		(1)		–
Foreign government bonds	–		(7)		(10)
ABS	3		(115)		(9)
Hybrid and redeemable preferred
securities	(1)		(21)		26
Mortgage loans on real estate	4		(5)		4
Total, net	$	16	$	(1,702)	$	(172)

The following provides the components of the transfers into and out of Level 3 (in millions) as reported above:


	For the Year Ended December 31, 2023
	Transfers		Transfers
	Into		Out of
	Level 3		Level 3		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	194	$	(206)	$	(12)


RMBS	12		(5)		7
CMBS	12		–		12
ABS	2		(377)		(375)
Hybrid and redeemable preferred securities	16		(13)		3
Trading securities	6		(7)		(1)
Equity securities	6		–		6
Derivative investments	31		–		31
Total, net	$	279	$	(608)	$	(329)


	For the Year Ended December 31, 2022
	Transfers		Transfers
	Into		Out of
	Level 3		Level 3		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	296	$	(2,962)	$	(2,666)
State and municipal bonds	36		–		36
Foreign government bonds	–		(5)		(5)
RMBS	–		(24)		(24)
CMBS	–		(17)		(17)
ABS	16		(332)		(316)
Hybrid and redeemable preferred securities	–		(4)		(4)
Trading securities	4		(19)		(15)
Equity securities	–		(15)		(15)
Derivative investments	–		(15)		(15)
Total, net	$	352	$	(3,393)	$	(3,041)


	For the Year Ended December 31, 2021
	Transfers		Transfers
	Into		Out of
	Level 3		Level 3		Total
Investments:
Fixed maturity AFS securities:
Corporate bonds	$	164	$	(134)	$	30
Foreign government bonds	–		(102)		(102)
RMBS	–		(1)		(1)
CMBS	–		(8)		(8)
ABS	36		(330)		(294)

Trading securities	12		(34)		(22)


Derivative investments	24		(2,658)		(2,634)
Other assets – LPR ceded derivative	318		–		318
Total, net	$	554	$	(3,267)	$	(2,713)

Transfers into and out of Level 3 are generally the result of observable market information on financial instruments no longer being available or becoming available to our pricing vendors. For the years ended December 31, 2023, 2022 and 2021, transfers in and out of Level 3 were attributable primarily to the financial instruments’ observable market information no longer being available or becoming available. In 2022,transfers out of Level 3 included corporate bonds and ABS for which we changed valuation techniques. This change in valuation technique was primarily from a change to a third-party-provided pricing model that did not use significant unobservable inputs. In 2021, transfers out of Level 3 included derivative instruments for which we changed valuation techniques. This change in valuation technique was primarily from unobservable inputs in counterparty models to a mathematical model provided by a third party. These updated valuation techniques are considered industry standard and provide us with greater visibility into the economic valuation inputs.

The following summarizes the fair value (in millions), valuation techniques and significant unobservable inputs of the Level 3 fair value measurements as of December 31, 2023:


										Weighted
	Fair		Valuation	Significant	Assumption or					Average Input
	Value		Technique	Unobservable Inputs	Input Ranges					Range (1)
Assets
Investments:
Fixed maturity AFS and
trading securities:
Corporate bonds	$	183	Discounted cash flow	Liquidity/duration adjustment (2)	(0.2)	%	–	3.7	%	2.1	%
State and municipal
bonds	5		Discounted cash flow	Liquidity/duration adjustment (2)	0.9	%	–	2.2	%	2.1	%
CMBS	8		Discounted cash flow	Liquidity/duration adjustment (2)	2.3	%	–	2.3	%	2.3	%
ABS	12		Discounted cash flow	Liquidity/duration adjustment (2)	1.8	%	–	1.8	%	1.8	%
Hybrid and redeemable
preferred securities	7		Discounted cash flow	Liquidity/duration adjustment (2)	1.4	%	–	1.5	%	1.5	%
Equity securities	5		Discounted cash flow	Liquidity/duration adjustment (2)	4.5	%	–	4.5	%	4.5	%
MRB assets	3,894
Other assets – ceded MRBs	274		Discounted cash flow	Lapse (3)	1	%	–	30	%	(10)
				Utilization of GLB withdrawals (4)	85	%	–	100	%	94	%
				Claims utilization factor (5)	60	%	–	100	%	(10)
				Premiums utilization factor (5)	80	%	–	115	%	(10)
				Non-performance risk (6)	0.51	%	–	2.13	%	1.78	%
				Mortality (7)				(9)		(10)
				Volatility (8)	1	%	–	29	%	13.92	%
Other assets – indexed
annuity ceded embedded
derivatives	940		Discounted cash flow	Lapse (3)	0 %		–	9	%	(10)
				Mortality (7)				(9)		(10)
Other assets – LPR ceded
derivative	206		Discounted cash flow	Lapse (3)	0.1	%	–	2.00	%	(10)
				Non-performance risk (6)	0.51	%	–	2.13	%	1.58	%
				Mortality (7)				(9)		(10)
Liabilities
Policyholder account
balances – indexed annuity
contracts embedded
derivatives	$	(9,013)	Discounted cash flow	Lapse (3)	0 %		–	9	%	(10)
				Mortality (7)				(9)		(10)
MRB liabilities	(1,716)
Other liabilities – ceded
MRBs	(1,149)		Discounted cash flow	Lapse (3)	1	%	–	30	%	(10)
				Utilization of GLB withdrawals (4)	85	%	–	100	%	94	%
				Claims utilization factor (5)	60	%	–	100	%	(10)
				Premiums utilization factor (5)	80	%	–	115	%	(10)
				Non-performance risk (6)	0.51	%	–	2.13	%	1.78	%
				Mortality (7)				(9)		(10)
				Volatility (8)	1	%	–	29	%	13.92	%

The following summarizes the fair value (in millions), valuation techniques and significant unobservable inputs of the Level 3 fair value measurements as of December 31, 2022:


										Weighted
	Fair		Valuation	Significant	Assumption or					Average Input
	Value		Technique	Unobservable Inputs	Input Ranges					Range (1)
Assets
Investments:
Fixed maturity AFS and
trading securities:
Corporate bonds	$	201	Discounted cash flow	Liquidity/duration adjustment (2)	(0.2)	%	–	4.2	%	2.1	%
State and municipal
bonds	35		Discounted cash flow	Liquidity/duration adjustment (2)	1.2	%	–	2.4	%	2.3	%
ABS	15		Discounted cash flow	Liquidity/duration adjustment (2)	1.4	%	–	1.4	%	1.4	%
Hybrid and redeemable
preferred securities	3		Discounted cash flow	Liquidity/duration adjustment (2)	1.5	%	–	1.5	%	1.5	%
Equity securities	4		Discounted cash flow	Liquidity/duration adjustment (2)	4.5	%	–	4.5	%	4.5	%
MRB assets	2,807
Other assets – ceded MRBs	540		Discounted cash flow	Lapse (3)	1	%	–	30	%	(10)
				Utilization of GLB withdrawals (4)	85	%	–	100	%	94	%
				Claims utilization factor (5)	60	%	–	100	%	(10)
				Premiums utilization factor (5)	80	%	–	115	%	(10)
				Non-performance risk (6)	0.35	%	–	2.41	%	1.73	%
				Mortality (7)				(9)		(10)
				Volatility (8)	1	%	–	28	%	14.47	%
Other assets – indexed
annuity ceded embedded
derivatives	525		Discounted cash flow	Lapse (3)	0 %		–	9	%	(10)
				Mortality (7)				(9)		(10)
Other assets – LPR ceded
derivative	212		Discounted cash flow	Lapse (3)	0 %		–	1.55	%	(10)
				Non-performance risk (6)	0.35	%	–	2.41	%	1.75	%
				Mortality (7)				(9)		(10)
Liabilities
Policyholder account
balances – indexed annuity
contracts embedded
derivatives	$	(4,845)	Discounted cash flow	Lapse (3)	0 %		–	9	%	(10)
				Mortality (7)				(9)		(10)
MRB liabilities	(2,078)
Other liabilities – ceded
MRBs	(246)		Discounted cash flow	Lapse (3)	1	%	–	30	%	(10)
				Utilization of GLB withdrawals (4)	85	%	–	100	%	94	%
				Claims utilization factor (5)	60	%	–	100	%	(10)
				Premiums utilization factor (5)	80	%	–	115	%	(10)
				Non-performance risk (6)	0.35	%	–	2.41	%	1.73	%
				Mortality (7)				(9)		(10)
				Volatility (8)	1	%	–	28	%	14.47	%

(1) Unobservable inputs were weighted by the relative fair value of the instruments, unless otherwise noted.

(2) The liquidity/duration adjustment input represents an estimated market participant composite of adjustments attributable to liquidity premiums, expected durations, structures and credit quality that would be applied to the market observable information of an investment.

(3) The lapse input represents the estimated probability of a contract surrendering during a year, and thereby forgoing any future

benefits. The range for indexed annuity contracts represents the lapses during the surrender charge period.

(4) The utilization of GLB withdrawals input represents the estimated percentage of policyholders that utilize the GLB withdrawal riders.

(5) The utilization factors are applied to the present value of claims or premiums, as appropriate, in the MRB calculation to estimate the

impact of inefficient GLB withdrawal behavior, including taking less than or more than the maximum GLB withdrawal.

(6) The non-performance risk input represents the estimated additional credit spread that market participants would apply to the market

observable discount rate when pricing a contract. The non-performance risk input was weighted by the absolute value of the sensitivity of the reserve to the non-performance risk assumption. The non-performance risk input for LPR ceded derivative was weighted using a simple average.

(7) The mortality input represents the estimated probability of when an individual belonging to a particular group, categorized according

to age or some other factor such as gender, will die.

(8) The volatility input represents overall volatilities assumed for the underlying variable annuity funds, which include a mixture of equity

and fixed-income assets. Volatility assumptions vary by fund due to the benchmarking of different indices. The volatility input was

weighted by the relative account balance assigned to each index.

(9) The mortality is based on a combination of company and industry experience, adjusted for improvement factors.

(10) A weighted average input range is not a meaningful measurement for lapse, utilization factors or mortality.

From the table above, we have excluded Level 3 fair value measurements obtained from independent, third-party pricing sources. We do not develop the significant inputs used to measure the fair value of these assets and liabilities, and the information regarding the significant inputs is not readily available to us. Independent broker-quoted fair values are non-binding quotes developed by market makers or broker-dealers obtained from third-party sources recognized as market participants. The fair value of a broker-quoted asset or liability is based solely on the receipt of an updated quote from a single market maker or a broker-dealer recognized as a market participant as we do not adjust broker quotes when used as the fair value measurement for an asset or liability. Significant increases or decreases in any of the quotes received from a third-party broker-dealer may result in a significantly higher or lower fair value measurement.

Changes in any of the significant inputs presented in the table above would have resulted in a significant change in the fair value measurement of the asset or liability as follows:

• Investments – An increase in the liquidity/duration adjustment input would have resulted in a decrease in the fair value measurement.

•Indexed annuity contracts embedded derivatives – For direct embedded derivatives, an increase in the lapse or mortality inputs would have resulted in a decrease in the fair value measurement.

•LPR ceded derivative – Assuming our LPR ceded derivative is in an asset position: an increase in our lapse, non-performance risk or mortality inputs would have resulted in an increase in the fair value measurement.

•MRBs – Assuming our MRBs are in a liability position: an increase in our lapse, non-performance risk or mortality inputs would have resulted in a decrease in the fair value measurement, except for policies with GDB riders only, in which case an increase in mortality inputs would have resulted in an increase in the fair value measurement.

For each category discussed above, the unobservable inputs are not inter-related; therefore, a directional change in one input would not have affected the other inputs.

As part of our ongoing valuation process, we assess the reasonableness of our valuation techniques or models and make adjustments as necessary. For more information, see Note 1.

•Investments – An increase in the liquidity/duration adjustment input would have resulted in a decrease in the fair value measurement.

•Indexed annuity contracts embedded derivatives – For direct embedded derivatives, an increase in the lapse or mortality inputs would have resulted in a decrease in the fair value measurement.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details