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FAIR VALUE DISCLOSURES

9 Months Ended

Sep. 30, 2023

U.S. GAAP establishes a fair value hierarchy that requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value, and identifies three levels of inputs that may be used to measure fair value:

Level 1 Unadjusted quoted prices for identical instruments in active markets. Level 1 fair values generally are supported by market transactions that occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2 Observable inputs other than Level 1 prices, such as quoted prices for similar instruments, quoted prices in markets that are not active, and inputs to model-derived valuations that are directly observable or can be corroborated by observable market data.

Level 3 Unobservable inputs supported by little or no market activity and often requiring significant management judgment or estimation, such as an entity’s own assumptions about the cash flows or other significant components of value that market participants would use in pricing the asset or liability.

The Company uses unadjusted quoted market prices to measure fair value for those instruments that are actively traded in financial markets. In cases where quoted market prices are not available, fair values are measured using present value or other valuation techniques. The fair value determinations are made at a specific point in time, based on available market information and judgments about the financial instrument, including estimates of the timing and amount of expected future cash flows and the credit standing of counterparties. Such adjustments do not reflect any premium or discount that could result from offering for sale at one time the Company’s entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized gains or losses. In many cases, the fair value cannot be substantiated by direct comparison to independent markets, nor can the disclosed value be realized in immediate settlement of the instrument.

Management is responsible for the determination of the value of investments carried at fair value and the supporting methodologies and assumptions. Under the terms of various service agreements, the Company often utilizes independent valuation service providers to gather, analyze, and interpret market information and derive fair values based upon relevant methodologies and assumptions for individual securities. These independent valuation service providers typically obtain data about market transactions and other key valuation model inputs from multiple sources and, through the use of widely accepted valuation models, provide a single fair value measurement for individual securities for which a fair value has been requested. As further described below with respect to specific asset classes, these inputs include, but are not limited to, market prices for recent trades and transactions in comparable securities, benchmark yields, interest rate yield curves, credit spreads, quoted prices for similar securities, and other market-observable information, as applicable. Specific attributes of the security being valued are also considered, including its term, interest rate, credit rating, industry sector, and when applicable, collateral quality and other security- or issuer-specific information. When insufficient market observable information is available upon which to measure fair value, the Company either will request brokers knowledgeable about these securities to provide a non-binding quote or will employ internal valuation models. Fair values received from independent valuation service providers and brokers and those internally modeled or otherwise estimated are assessed for reasonableness.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Fair value measurements are required on a non-recurring basis for certain assets only when an impairment or other events occur. As of September 30, 2023 and December 31, 2022, no assets or liabilities were required to be measured at fair value on a non-recurring basis.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

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

Fair Value Measurements as of September 30, 2023


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	34,121	$	2,009	$	36,130
U.S. Treasury, government and agency	—		4,078		—		4,078
States and political subdivisions	—		416		26		442
Foreign governments	—		632		—		632
Residential mortgage-backed (2)	—		867		—		867
Asset-backed (3)	—		8,488		10		8,498
Commercial mortgage-backed	—		3,051		39		3,090
Redeemable preferred stock	—		43		—		43
Total fixed maturities, AFS	—		51,696		2,084		53,780
Other equity investments	140		426		53		619
Trading securities	195		98		—		293
Other invested assets:
Short-term investments	—		668		—		668
Assets of consolidated VIEs/VOEs	—		—		53		53
Swaps	—		(365)		—		(365)
Credit default swaps	—		(2)		—		(2)
Options	—		7,097		—		7,097
Total other invested assets	—		7,398		53		7,451
Cash equivalents	605		678		—		1,283
Purchased market risk benefits	—		—		15,490		15,490
Assets for market risk benefits	—		—		677		677
Separate Accounts assets (4)	109,784		2,447		1		112,232
Modco payable (6)	—		—		823		823
SCS, SIO, MSO and IUL indexed features’ asset	—		5,554		—		5,554
Total Assets	$	110,724	$	68,297	$	19,181	$	198,202

Liabilities:
SCS, SIO, MSO and IUL indexed features’ liability	—		6,985		—		6,985
Liabilities for market risk benefits	—		—		12,995		12,995
Funds withheld payable (5)	—		—		(567)		(567)
Total Liabilities	$	—	$	6,985	$	12,428	$	19,413

______________

(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 September 30, 2023 the fair value of such investments was $382 million.

(5)As discussed in Note 2, the funds withheld payable is created through a funds withheld and modified coinsurance arrangements where the investments supporting the reinsurance agreement are withheld by and continue to reside on the Company’s consolidated balance sheet. This embedded derivative is valued as a total return swap with references to the fair value of the invested assets held by the Company, which are primarily available for sale securities.

(6)Reflected in Amounts due from reinsurers.

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
Modco payable	—		—		—		—
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
Funds withheld payable	—		—		—		—
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.

Public Fixed Maturities

The fair values of the Company’s public fixed maturities are generally based on prices obtained from independent valuation service providers and for which the Company maintains a vendor hierarchy by asset type based on historical pricing experience and vendor expertise. Although each security generally is priced by multiple independent valuation service providers, the Company ultimately uses the price received from the independent valuation service provider highest in the vendor hierarchy based on the respective asset type, with limited exception. To validate reasonableness,

prices also are internally reviewed by those with relevant expertise through comparison with directly observed recent market trades. Consistent with the fair value hierarchy, public fixed maturities validated in this manner generally are reflected within Level 2, as they are primarily based on observable pricing for similar assets and/or other market observable inputs.

Private Fixed Maturities

The fair values of the Company’s private fixed maturities are determined from prices obtained from independent valuation service providers. Prices not obtained from an independent valuation service provider are determined by using a discounted cash flow model or a market comparable company valuation technique. In certain cases, these models use observable inputs with a discount rate based upon the average of spread surveys collected from private market intermediaries who are active in both primary and secondary transactions, taking into account, among other factors, the credit quality and industry sector of the issuer and the reduced liquidity associated with private placements. Generally, these securities have been reflected within Level 2. For certain private fixed maturities, the discounted cash flow model or a market comparable company valuation technique may also incorporate unobservable inputs, which reflect the Company’s own assumptions about the inputs market participants would use in pricing the asset. To the extent management determines that such unobservable inputs are significant to the fair value measurement of a security, a Level 3 classification generally is made.

Freestanding Derivative Positions

The net fair value of the Company’s freestanding derivative positions as disclosed in Note 4 of the Notes to these Consolidated Financial Statements are generally based on prices obtained either from independent valuation service providers or derived by applying market inputs from recognized vendors into industry standard pricing models. The majority of these derivative contracts are traded in the OTC derivative market and are classified in Level 2. The fair values of derivative assets and liabilities traded in the OTC market are determined using quantitative models that require use of the contractual terms of the derivative instruments and multiple market inputs, including interest rates, prices, and indices to generate continuous yield or pricing curves, including overnight index swap curves, and volatility factors, which then are applied to value the positions. The predominance of market inputs is actively quoted and can be validated through external sources or reliably interpolated if less observable.

Funds Withheld Payable

Reinsurance agreements written on a funds withheld or modified coinsurance basis contain embedded derivatives. This embedded derivative is valued as a total return swap with reference to the fair value of the invested assets held by the Company. The fair value of the underlying assets is generally based on market observable inputs using industry standard valuation techniques. The valuation utilizing the asset value component for valuation of the embedded derivative requires certain significant inputs, which are generally not observable, and accordingly, the valuation is considered Level 3 in the fair value hierarchy. The fair value of the underlying assets is generally based on market observable inputs using industry standard valuation techniques. The valuation utilizing the asset value component for the valuation for the embedded derivatives requires certain significant inputs, which are generally not observable, and accordingly, the valuation is considered Level 3 in the fair value hierarchy.

Level Classifications of the Company’s Financial Instruments

Financial Instruments Classified as Level 1

Investments classified as Level 1 primarily include redeemable preferred stock, trading securities, cash equivalents and Separate Accounts assets. Fair value measurements classified as Level 1 include exchange-traded prices of fixed maturities, equity securities and derivative contracts, and net asset values for transacting subscriptions and redemptions of mutual fund shares held by Separate Accounts. Cash equivalents classified as Level 1 include money market accounts, overnight commercial paper and highly liquid debt instruments purchased with an original maturity of three months or less and are carried at cost as a proxy for fair value measurement due to their short-term nature.

Financial Instruments Classified as Level 2

Investments classified as Level 2 are measured at fair value on a recurring basis and primarily include U.S. government and agency securities and certain corporate debt securities, such as public and private fixed maturities. As market quotes generally are not readily available or accessible for these securities, their fair value measures are determined utilizing relevant information generated by market transactions involving comparable securities and often are based on model pricing techniques that effectively discount prospective cash flows to present value using

appropriate sector-adjusted credit spreads commensurate with the security’s duration, also taking into consideration issuer-specific credit quality and liquidity.

Observable inputs generally used to measure the fair value of securities classified as Level 2 include benchmark yields, reported secondary trades, issuer spreads, benchmark securities and other reference data. Additional observable inputs are used when available, and as may be appropriate, for certain security types, such as prepayment, default, and collateral information for the purpose of measuring the fair value of mortgage- and asset-backed securities. The Company’s AAA-rated mortgage- and asset-backed securities are classified as Level 2 for which the observability of market inputs to their pricing models is supported by sufficient, albeit more recently contracted, market activity in these sectors.

Certain Company products, such as the SCS, EQUI-VEST variable annuity products, IUL and the MSO fund available in some life contracts offer investment options which permit the contract owner to participate in the performance of an index, ETF or commodity price. These investment options, which depending on the product and on the index selected can currently have one, three, five or six year terms, provide for participation in the performance of specified indices, ETF or commodity price movement up to a segment-specific declared maximum rate. Under certain conditions that vary by product, e.g., holding these segments for the full term, these segments also shield policyholders from some or all negative investment performance associated with these indices, ETF or commodity prices. These investment options have defined formulaic liability amounts, and the current values of the option component of these segment reserves are classified as Level 2 embedded derivatives. The fair values of these embedded derivatives are based on data obtained from independent valuation service providers.

Financial Instruments Classified as Level 3

The Company’s investments classified as Level 3 primarily include corporate debt securities, such as private fixed maturities and asset-backed securities. Determinations to classify fair value measures within Level 3 of the valuation hierarchy generally are based upon the significance of the unobservable factors to the overall fair value measurement. Included in the Level 3 classification are fixed maturities with indicative pricing obtained from brokers that otherwise could not be corroborated to market observable data.

The Company has certain variable annuity contracts with GMDB, GMIB, GIB and GWBL and other features in-force that guarantee one of the following:

•Return of Premium: the benefit is the greater of current account value or premiums paid (adjusted for withdrawals);

•Ratchet: the benefit is the greatest of current account value, premiums paid (adjusted for withdrawals), or the highest account value on any anniversary up to contractually specified ages (adjusted for withdrawals);

•Roll-Up: the benefit is the greater of current account value or premiums paid (adjusted for withdrawals) accumulated at contractually specified interest rates up to specified ages;

•Combo: the benefit is the greater of the ratchet benefit or the roll-up benefit, which may include either a five year or an annual reset; or

•Withdrawal: the withdrawal is guaranteed up to a maximum amount per year for life.

The Company also issues certain benefits on its variable annuity products that are accounted for as market risk benefits carried at fair value and are also considered Level 3 for fair value leveling.

The GMIBNLG feature allows the policyholder to receive guaranteed minimum lifetime annuity payments based on predetermined annuity purchase rates applied to the contract’s benefit base if and when the contract account value is depleted and the NLG feature is activated. The optional GMIB feature allows the policyholder to receive guaranteed minimum lifetime annuity payments based on predetermined annuity purchase rates.

The GMWB feature allows the policyholder to withdraw at a minimum, over the life of the contract, an amount based on the contract’s benefit base. The GWBL feature allows the policyholder to withdraw, each year for the life of the contract, a specified annual percentage of an amount based on the contract’s benefit base. The GMAB feature increases the contract account value at the end of a specified period to a GMAB base. The GIB feature provides a lifetime annuity based on predetermined annuity purchase rates if and when the contract account value is depleted. This lifetime annuity is based on predetermined annuity purchase rates applied to a GIB base. The GMDB feature

guarantees that the benefit paid upon death will not be less than a guaranteed benefit base. If the contract’s account value is less than the benefit base at the time a death claim is paid, the amount payable will be equal to the benefit base.

Purchased MRB assets, which are accounted for as market risk benefits carried at fair value are also considered Level 3 for fair value leveling. The purchased MRB asset fair value reflects the present value of reinsurance premiums, net of recoveries, adjusted for risk margins and nonperformance risk over a range of market consistent economic scenarios while the MRB asset and liability reflects the present value of expected future payments (benefits) less fees, adjusted for risk margins and nonperformance risk, attributable to the MRB asset and liability over a range of market-consistent economic scenarios.

The valuations of the MRBs and purchased MRB assets incorporate significant non-observable assumptions related to policyholder behavior, risk margins and projections of equity Separate Accounts funds. The credit risks of the counterparty and of the Company are considered in determining the fair values of its MRBs and purchased MRB asset after taking into account the effects of collateral arrangements. Incremental adjustment to the risk free curve for counterparty non-performance risk is made to the fair values of the purchased MRB assets. Risk margins were applied to the non-capital markets inputs to the MRBs and purchased MRB valuations.

After giving consideration to collateral arrangements, the Company reduced the fair value of its purchased MRB asset by $1.6 billion and $1.1 billion as of September 30, 2023 and December 31, 2022, respectively, to recognize incremental counterparty non-performance risk.

The funds withheld embedded derivative liability is determined based upon a total return swap technique referencing the fair value of the investments held under the reinsurance contract as collateral and requires certain unobservable inputs. The funds withheld embedded derivative are considered Level 3 in the fair value hierarchy.

The Company’s consolidated VIEs/VOEs hold investments that are classified as Level 3, primarily corporate bonds that are vendor priced with no ratings available, bank loans, non-agency collateralized mortgage obligations and asset-backed securities.

Transfers of Financial Instruments Between Levels 2 and 3

During the nine months ended September 30, 2023, fixed maturities with fair values of $334 million were transferred out of Level 3 and into Level 2 principally due to the availability of trading activity and/or market observable inputs to measure and validate their fair values. In addition, fixed maturities with fair value of $0 million were transferred from Level 2 into the Level 3 classification. These transfers in the aggregate represent approximately 15.4% of total consolidated equity as of September 30, 2023.

During the nine months ended September 30, 2022, fixed maturities with fair values of $114 million were transferred out of Level 3 and into Level 2 principally due to the availability of trading activity and/or market observable inputs to measure and validate their fair values. In addition, fixed maturities with fair value of $90 million were transferred from Level 2 into the Level 3 classification. These transfers in the aggregate represent approximately 18.7% of total consolidated equity as of September 30, 2022.

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

Level 3 Instruments - Fair Value Measurements


	Three Months Ended September 30, 2023
	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
Balance, beginning of period	$	1,976	$	27	$	34	$	—
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—
Investment gains (losses), net	(5)		—		—		—
Subtotal	(4)		—		—		—
Other comprehensive income (loss)	6		—		—		—
Purchases	129		—		5		10
Sales	(54)		(1)		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	(11)		—		—		—
Transfers out of Level 3 (1)	(33)		—		—		—
Balance, end of period	$	2,009	$	26	$	39	$	10
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)	$	6	$	—	$	—	$	—

_______________

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

(2)For instruments held as of September 30, 2023 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.


	Three Months Ended September 30, 2023
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable (4)
	(in millions)
Balance, beginning of period	$	105	$	1	$	(136)	$	166
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	—		—		—		—
Change in fair value of funds withheld assets	—		—		(431)		657
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	1		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	106	$	1	$	(567)	$	823

Three Months Ended September 30, 2023

Other Equity Investments (3)

Separate Accounts Assets

Funds Withheld Payable

Modco Payable (4)

(in millions)

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 September 30, 2023, 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.

(4)Reflected in Amounts due from reinsurers.


	Three Months Ended September 30, 2022
	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
Balance, beginning of period	$	1,752	$	30	$	25	$	18
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)	(70)		(1)		—		—
Purchases	217		—		7		(2)
Sales	(35)		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	25		—		—		—
Transfers out of Level 3 (1)	7		—		—		(6)
Balance, end of period	$	1,894	$	29	$	32	$	10
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)	$	(70)	$	(1)	$	—	$	—

_______________

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

(2)For instruments held as of September 30, 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.


	Three Months Ended September 30, 2022
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Balance, beginning of period	$	18	$	1	$	—	$	—
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	(1)		—		—		—
Net derivative gains (losses)	—		—		—		—
Total realized and unrealized gains (losses)	(1)		—		—		—
Other comprehensive income (loss)	—		—		—		—
Purchases	—		—		—		—
Sales	—		—		—		—
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	17	$	1	$	—	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	(1)	$	—	$	—	$	—
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 September 30, 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.



	Nine Months Ended September 30, 2023
	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
Balance, beginning of period	$	2,103	$	29	$	32	$	—
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	4		—		—		—
Investment gains (losses), net	(16)		—		—		—
Subtotal	(12)		—		—		—
Other comprehensive income (loss)	16		—		—		—
Purchases	452		—		7		10
Sales	(216)		(3)		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	(334)		—		—		—
Balance, end of period	$	2,009	$	26	$	39	$	10



	Nine Months Ended September 30, 2023
	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
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)	$	10	$	—	$	—	$	—

_______________

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



	Nine Months Ended September 30, 2023
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Balance, beginning of period	$	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	44		—		—		—
Sales	—		—		—		—
Change in fair value of funds withheld assets	—		—		(567)		823
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	48		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	106	$	1	$	(567)	$	823
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)	$	—	$	—	$	—	$	—

_______________

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

(3)Other Equity Investments include other invested assets.


	Nine Months Ended September 30, 2022
	Corporate		State and Political Subdivisions		CMBS		Asset-backed
	(in millions)
Balance, beginning of period	$	1,493	$	35	$	20	$	8
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	3		—		—		—
Investment gains (losses), net	(3)		—		—		—
Subtotal	—		—		—		—
Other comprehensive income (loss)	(151)		(5)		(2)		—
Purchases	765		—		14		9
Sales	(195)		(1)		—		(1)
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	90		—		—		—
Transfers out of Level 3 (1)	(108)		—		—		(6)
Balance, end of period	$	1,894	$	29	$	32	$	10
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)	$	(148)	$	(5)	$	(2)	$	—

_______________

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


	Nine Months Ended September 30, 2022
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Balance, beginning of period	$	13	$	1	$	—	$	—
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	(1)		—		—		—
Net derivative gains (losses)	—		—		—		—
Total realized and unrealized gains (losses)	(1)		—		—		—
Other comprehensive income (loss)	—		—		—		—
Purchases	8		—		—		—
Sales	—		—		—		—
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	17	$	1	$	—	$	—


	Nine Months Ended September 30, 2022
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	(1)	$	—	$	—	$	—
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.

(3)Other Equity Investments include other invested assets.

Quantitative and Qualitative Information about Level 3 Fair Value Measurements

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities:

Quantitative Information about Level 3 Fair Value Measurements as of September 30, 2023

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average (2)

(Dollars in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

322

Matrix pricing model

Spread over benchmark

20 bps - 295 bps

180 bps

985

Market comparable companies

EBITDA multiples

Discount rate

Cash flow multiples

Loan to value

1.7x - 30.0x

0.0% - 22.3%

1.1x - 13.9x

0.0% - 59.5%

12.5x

11.7%

5.6x

2.1%

Other equity investments

Discounted Cash Flow

Earnings multiple

6.7x - 14.0x

7.0x

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

15,490

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

0.21% - 29.37%

0.00% - 14.97%

0.04% - 100.00%

33 bps - 118 bps

14% - 27%

0.01% - 0.18%

0.07% - 0.53%

0.33% - 42.00%

2.72%

0.60%

5.34%

42 bps

22%

2.84%

(same for all ages)

Liabilities: (5)

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

12,318

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization

Mortality (1): Ages 0-40

Ages 41-60

Ages 61-115

151 bps

0.21% - 29.37%

0.00% - 14.97%

0.04% - 100.00%

0.01% - 0.18%

0.07% - 0.53%

0.33% - 42.00%

151 bps

3.03%

0.73%

5.56%

2.61%

(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 $13.0 billion of MRB liabilities and $677 million of MRB assets.

(4)Includes Legacy and Core products.

(5) Funds withheld and modco payable that contain embedded derivatives held at fair value are excluded from the tables above. The funds withheld payable embedded derivative utilizes a total return swap technique which incorporates the fair value of the invested assets supporting the reinsurance agreement as a component of the valuation.

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

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(Dollars 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.

Level 3 Financial Instruments for which Quantitative Inputs are Not Available

Certain Privately Placed Debt Securities with Limited Trading Activity

Excluded from the tables above as of September 30, 2023 and December 31, 2022, respectively, are approximately $882 million and $736 million of Level 3 fair value measurements of investments for which the underlying quantitative inputs are not developed by the Company and are not readily available. These investments primarily consist of certain privately placed debt securities with limited trading activity, including residential mortgage- and asset-backed instruments, and their fair values generally reflect unadjusted prices obtained from independent valuation

service providers and indicative, non-binding quotes obtained from third-party broker-dealers recognized as market participants. Significant increases or decreases in the fair value amounts received from these pricing sources may result in the Company reporting significantly higher or lower fair value measurements for these Level 3 investments.

•The fair value of private placement securities is determined by application of a matrix pricing model or a market comparable company value technique. The significant unobservable input to the matrix pricing model valuation technique is the spread over the industry-specific benchmark yield curve. Generally, an increase or decrease in spreads would lead to directionally inverse movement in the fair value measurements of these securities. The significant unobservable input to the market comparable company valuation technique is the discount rate. Generally, a significant increase (decrease) in the discount rate would result in significantly lower (higher) fair value measurements of these securities.

•Residential mortgage-backed securities classified as Level 3 primarily consist of non-agency paper with low trading activity. Included in the tables above as of September 30, 2023 and December 31, 2022, there were no Level 3 securities that were determined by application of a matrix pricing model and for which the spread over the U.S. Treasury curve is the most significant unobservable input to the pricing result. Generally, a change in spreads would lead to directionally inverse movement in the fair value measurements of these securities.

•Asset-backed securities classified as Level 3 primarily consist of non-agency mortgage loan trust certificates, including subprime and Alt-A paper, credit risk transfer securities, and equipment financings. Included in the tables above as of September 30, 2023 and December 31, 2022, there were no securities that were determined by the application of matrix-pricing for which the spread over the U.S. Treasury curve is the most significant unobservable input to the pricing result. Significant increases (decreases) in spreads would have resulted in significantly lower (higher) fair value measurements.

Market Risk Benefits

Significant unobservable inputs with respect to the fair value measurement of the purchased MRB assets and MRB liabilities identified in the table above are developed using Company data. Future policyholder behavior is an unobservable market assumption and as such all aspects of policyholder behavior are derived based on recent historical experience. These policyholder behaviors include lapses, pro-rata withdrawals, dollar for dollar withdrawals, GMIB utilization, deferred mortality and payout phase mortality. Many of these policyholder behaviors have dynamic adjustment factors based on the relative value of the rider as compared to the account value in different economic environments. This applies to all variable annuity related products; products with GMxB riders including but not limited to GMIB, GMDB and GWL.

Lapse rates are adjusted at the contract level based on a comparison of the value of the embedded GMxB rider and the current policyholder account value, which include other factors such as considering surrender charges. Generally, lapse rates are assumed to be lower in periods when a surrender charge applies. A dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in-the-money contracts are less likely to lapse. For valuing purchased MRB assets and MRB liabilities, lapse rates vary throughout the period over which cash flows are projected.

Carrying Value of Financial Instruments Not Otherwise Disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements

The carrying values and fair values for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements were as follows:

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
September 30, 2023:
Mortgage loans on real estate	$	17,586	$	—	$	—	$	15,393	$	15,393
Policy loans	$	3,607	$	—	$	—	$	3,773	$	3,773
Loans to affiliates	$	1,900	$	—	$	1,726	$	—	$	1,726
Policyholders’ liabilities: Investment contracts	$	1,594	$	—	$	—	$	1,417	$	1,417
Funds withheld payable	$	11,116	$	—	$	—	$	11,116	$	11,116
Modco payable (1)	$	29,053	$	—	$	—	$	29,053	$	29,053
FHLB funding agreements	$	8,178	$	—	$	8,074	$	—	$	8,074
FABN funding agreements	$	6,717	$	—	$	6,104	$	—	$	6,104
Funding agreement-backed commercial paper (FABCP)	$	788	$	—	$	788	$	—	$	788
Separate Accounts liabilities	$	10,117	$	—	$	—	$	10,117	$	10,117

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
Funds withheld payable	$	—	$	—	$	—	$	—	$	—
Modco payable	$	—	$	—	$	—	$	—	$	—
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

______________

(1)Modco payable is reported in amounts due from reinsurers in the consolidated balance sheets.

Mortgage Loans on Real Estate

Fair values for commercial, agricultural and residential mortgage loans on real estate are measured by discounting future contractual cash flows to be received on the mortgage loan using interest rates at which loans with similar characteristics and credit quality would be made. The discount rate is derived based on the appropriate U.S. Treasury rate with a like term to the remaining term of the loan to which a spread reflective of the risk premium associated with the specific loan is added. Fair values for mortgage loans anticipated to be foreclosed and problem mortgage loans are limited to the fair value of the underlying collateral, if lower.

Policy Loans

The fair value of policy loans is calculated by discounting expected cash flows based upon the U.S. Treasury yield curve and historical loan repayment patterns.

Loans to Affiliates

The fair value of loans to affiliates is calculated by matrix or model pricing. The matrix pricing approach to fair value is a discounted cash flow methodology that incorporates market interest rates commensurate with the credit quality and duration of the investment.

FHLB Funding Agreements

The fair values of the Company’s FHLB long term funding agreements’ fair values are determined based on indicative market rates published by the FHLB, provided to AB and modeled for each note’s FMV. FHLB short-term funding agreements’ fair values are reflective of notional/par value plus accrued interest.

FABN Funding Agreements

The fair values of the Company’s FABN funding agreements are determined by Bloomberg’s evaluated pricing service, which uses direct observations or observed comparables.

FABCP Funding Agreements

The fair value of Equitable Financial’s FABCP funding agreements are reflective of the notional/par value outstanding.

Policyholder Liabilities - Investment Contracts and Separate Accounts Liabilities

The fair values for deferred annuities and certain annuities, which are included in policyholders’ account balances and liabilities for investment contracts with fund investments in Separate Accounts are estimated using projected cash flows discounted at rates reflecting current market rates. Significant unobservable inputs reflected in the cash flows include lapse rates and withdrawal rates. Incremental adjustments may be made to the fair value to reflect non-performance risk. Certain other products such as the Company’s association plans contracts, supplementary contracts not involving life contingencies, Access Accounts and Escrow Shield Plus product reserves are held at book value.

Financial Instruments Exempt from Fair Value Disclosure or Otherwise Not Required to be Disclosed

Exempt from Fair Value Disclosure Requirements

Certain financial instruments are exempt from the requirements for fair value disclosure, such as insurance liabilities other than financial guarantees and investment contracts, limited partnerships accounted for under the equity method and pension and other postretirement obligations.

Otherwise Not Required to be Included in the Table Above

The Company’s investment in COLI policies are recorded at their cash surrender value and therefore are not required to be included in the table above.

- 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