FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2023

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis are summarized below.

Fair Value Measurements as of March 31, 2023


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	38,235	$	1,914	$	40,149
U.S. Treasury, government and agency	—		5,975		—		5,975
States and political subdivisions	—		466		28		494
Foreign governments	—		867		—		867
Residential mortgage-backed (2)	—		801		—		801
Asset-backed (3)	—		8,155		12		8,167
Commercial mortgage-backed	—		3,196		34		3,230
Redeemable preferred stock	—		43		—		43
Total fixed maturities, AFS	—		57,738		1,988		59,726
Other equity investments	145		467		9		621
Trading securities	172		120		—		292
Other invested assets:
Short-term investments	—		313		—		313
Assets of consolidated VIEs/VOEs	—		—		4		4
Swaps	—		(347)		—		(347)
Credit default swaps	—		(2)		—		(2)
Options	—		5,744		—		5,744
Total other invested assets	—		5,708		4		5,712
Cash equivalents	1,299		263		—		1,562
Purchased market risk benefits	—		—		10,743		10,743
Assets for market risk benefits	—		—		612		612
Separate Accounts assets (4)	112,723		2,550		1		115,274
Total Assets	$	114,339	$	66,846	$	13,357	$	194,542

Liabilities:
SCS, SIO, MSO and IUL indexed features’ liability	—		5,775		—		5,775
Liabilities for market risk benefits	—		—		15,047		15,047
Total Liabilities	$	—	$	5,775	$	15,047	$	20,822

______________

(1)Corporate fixed maturities includes both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate. As of March 31, 2023 the fair value of such investments was $425 million.

Fair Value Measurements as of December 31, 2022


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	37,360	$	2,103	$	39,463
U.S. Treasury, government and agency	—		5,738		—		5,738
States and political subdivisions	—		442		29		471
Foreign governments	—		836		—		836
Residential mortgage-backed (2)	—		777		—		777
Asset-backed (3)	—		8,449		—		8,449
Commercial mortgage-backed	—		3,138		32		3,170
Redeemable preferred stock	—		43		—		43
Total fixed maturities, AFS	—		56,783		2,164		58,947
Other equity investments	137		478		12		627
Trading securities	160		123		—		283
Other invested assets:
Short-term investments	—		485		—		485
Assets of consolidated VIEs/VOEs	—		—		5		5
Swaps	—		(416)		—		(416)
Credit default swaps	—		(2)		—		(2)
Options	—		4,153		—		4,153
Total other invested assets	—		4,220		5		4,225
Cash equivalents	397		258		—		655
Purchased market risk benefits	—		—		10,490		10,490
Assets for market risk benefits	—		—		478		478
Separate Accounts assets (4)	108,378		2,429		1		110,808
Total Assets	$	109,072	$	64,291	$	13,150	$	186,513

Liabilities:
SCS, SIO, MSO and IUL indexed features’ liability	—		4,077		—		4,077
Liabilities for market risk benefits	—		—		15,751		15,751
Total Liabilities	$	—	$	4,077	$	15,751	$	19,828

______________

(1)Corporate fixed maturities includes both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate and commercial mortgages. As of December 31, 2022 the fair value of such investments was $456 million.

Schedule of Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities and changes in unrealized gains (losses) for the three months ended March 31, 2023 and 2022, respectively. Not included below are the changes in balances related to market risk benefits and purchased market risk level 3 assets and liabilities, which are included in Note 9 of the Notes to these Consolidated Financial Statements.



	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
Balance, January 1, 2023	$	2,103	$	29	$	32	$	—
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—
Investment gains (losses), net	(3)		—		—		—
Subtotal	(2)		—		—		—
Other comprehensive income (loss)	18		—		—		—
Purchases	143		—		2		12
Sales	(90)		(1)		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	(258)		—		—		—
Balance, March 31, 2023	$	1,914	$	28	$	34	$	12
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	17	$	—	$	—	$	—

Balance, January 1, 2022	$	1,493	$	35	$	20	$	8
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—
Investment gains (losses), net	1		—		—		—
Subtotal	2		—		—		—
Other comprehensive income (loss)	(30)		(3)		(1)		—
Purchases	231		—		219		325
Sales	(86)		—		—		(1)
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	70		—		—		—
Transfers out of Level 3 (1)	(8)		—		—		—
Balance, March 31, 2022	$	1,672	$	32	$	238	$	332
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	(28)	$	(2)	$	(1)	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2023 and March 31, 2022 amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.



	Other Equity Investments (3)		Separate Accounts Assets
	(in millions)
Balance, January 1, 2023	$	17	$	1
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	(3)		—
Net derivative gains (losses)	—		—
Total realized and unrealized gains (losses)	(3)		—
Other comprehensive income (loss)	—		—
Purchases	—		—
Sales	—		—
Change of estimate	—		—
Activity related to consolidated VIEs/VOEs	—		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, March 31, 2023	$	14	$	1
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	(3)	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	—	$	—

Balance, January 1, 2022	$	13	$	1
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—
Net derivative gains (losses)	—		—
Total realized and unrealized gains (losses)	—		—
Other comprehensive income (loss)	—		—
Purchases	—		—
Sales	—		(1)
Other	—		—
Activity related to consolidated VIEs/VOEs	(2)		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, March 31, 2022	$	11	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	—	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2023 and March 31, 2022, amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

(3)Other Equity Investments include other invested assets.

Schedule of Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities as of March 31, 2023 and December 31, 2022, respectively.

Quantitative Information about Level 3 Fair Value Measurements as of March 31, 2023

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average (2)

( in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

468

Matrix pricing model

Spread over Benchmark

20 bps - 270 bps

175 bps

1,001

Market comparable companies

EBITDA multiples

Discount Rate

Cash flow Multiples

Loan to Value

5.3x - 31.5x

8.3% - 24.8%

0.5x - 11.0x

0.0% - 68.7%

14.7x

10.0%

6.8x

0.9%

Other equity investments

Discounted Cash Flow

Earnings Multiple

7.0x - 11.0x

9.2x

Purchased MRB asset (1) (2) (4)

10,743

Discounted cash flow

Lapse rates

Withdrawal rates

GMIB Utilization Rates

Non-performance risk

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.26% - 26.23%

0.06% - 10.93%

0.04% - 66.66%

65 bps - 149 bps

17% - 26%

0.01% - 0.17%

0.06% - 0.52%

0.32% - 40.00%

1.52%

0.70%

7.42%

69 bps

22%

2.85%

(same for all ages)

Liabilities:

Direct MRB (1) (2) (3) (4)

14,435

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization

Mortality (1): Ages 0-40

Ages 41-60

Ages 61-115

191 bps

0.26% - 35.42%

0.00% - 10.93%

0.04% - 100.00%

0.01% - 0.17%

0.06% - 0.52%

0.32% - 40.00%

191 bps

2.73%

0.62%

4.95%

2.16%

(same for all ages)

______________

(1)Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry 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 valuating the embedded derivatives.

(2)For lapses, withdrawals, and utilizations the rates were weighted by counts, for mortality weighted average rates are shown for all ages combined and for withdrawals the weighted averages were based on an estimated split of partial withdrawal and dollar-for-dollar withdrawals.

(3)MRB liabilities are shown net of MRB assets. Net amount is made up of $15.0 billion of MRB liabilities and $612 million of MRB assets.

(4)Includes Legacy and Core products.

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2022

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

413

Matrix pricing model

Spread over benchmark

20 - 797 bps

204 bps

1,029

Market comparable companies

EBITDA multiples
Discount rate

Cash flow multiples

Loan to Value

5.3x - 35.8x

9.0% - 45.7%

0.0x -10.3x

0.0%-40.4%

13.6x

11.9%

6.1x

12.0%

Other equity investments

Market comparable companies

Revenue multiple

0.5x - 10.8x

2.4x

Purchased MRB asset (1) (2) (4)

10,490

Discounted cash flow

Lapse rates

Withdrawal rates

GMIB utilization rates

Non-performance risk (bps)

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41 - 60

Ages 61 - 115

0.26% - 26.23%

0.06%-10.93%

0.04%-66.66%

54 bps - 124 bps

14%-32%

0.01%-0.17%

0.06%-0.52%

0.32%-40.00%

1.58%

0.69%

7.39%

69 bps

24%

2.87%

(same for all ages)

Liabilities:

Direct MRB (1) (2) (3) (4)

15,273

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization rates

Mortality: Ages 0-40

Ages 41 - 60

Ages 61 - 115

157 bps

0.26%-35.42%

0.00%-10.93%

0.04%-100.00%

0.01%-0.17%

0.06%-0.52%

0.32%-40.00%

157 bps

2.97%

0.68%

5.50%

2.41%

(same for all ages)

______________

(2)Lapses and pro-rata withdrawal rates were developed as a function of the policy account value. Dollar for dollar withdrawal rates were developed as a function of the dollar for dollar threshold, the dollar for dollar limit. GMIB utilization rates were developed as a function of the GMIB benefit base.

(3)MRB liabilities are shown net of MRB assets. Net amount is made up of $15.8 billion of MRB liabilities and $478 million of MRB assets.

(4)Includes Legacy and Core products.

Schedule of Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values as of March 31, 2023 and December 31, 2022 for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements are presented in the table below:

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2023:
Mortgage loans on real estate	$	16,952	$	—	$	—	$	15,252	$	15,252
Policy loans	$	3,556	$	—	$	—	$	3,891	$	3,891
Loans to affiliates	$	1,900	$	—	$	1,765	$	—	$	1,765
Policyholders’ liabilities: Investment contracts	$	1,733	$	—	$	—	$	1,605	$	1,605
FHLB funding agreements	$	8,369	$	—	$	8,285	$	—	$	8,285
FABN funding agreements	$	7,367	$	—	$	6,850	$	—	$	6,850
Separate Accounts liabilities	$	10,669	$	—	$	—	$	10,669	$	10,669

December 31, 2022:
Mortgage loans on real estate	$	16,464	$	—	$	—	$	14,675	$	14,675
Policy loans	$	3,563	$	—	$	—	$	3,850	$	3,850
Loans to affiliates	$	1,900	$	—	$	1,755	$	—	$	1,755
Policyholders’ liabilities: Investment contracts	$	1,801	$	—	$	—	$	1,645	$	1,645
FHLB funding agreements	$	8,505	$	—	$	8,390	$	—	$	8,390
FABN funding agreements	$	7,095	$	—	$	6,384	$	—	$	6,384
Separate Accounts liabilities	$	10,236	$	—	$	—	$	10,236	$	10,236