XML 45 R34.htm IDEA: XBRL DOCUMENT

FAIR VALUE DISCLOSURES (Tables)

9 Months Ended

Sep. 30, 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 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.

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). 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.

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:

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.

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

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

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