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Fair Value (Tables)

6 Months Ended

Jun. 30, 2024

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy are presented in the tables below. Investments that do not have a readily determinable fair value and are measured at net asset value (or equivalent) as a practical expedient to estimated fair value are excluded from the fair value hierarchy.


	June 30, 2024
	Fair Value Hierarchy						Total Estimated Fair Value
	Level 1		Level 2		Level 3
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	34,868	$	904	$	35,772
Foreign corporate	—		11,470		461		11,931
U.S. government and agency	2,748		4,359		—		7,107
RMBS	—		7,711		23		7,734
ABS	—		6,042		415		6,457
CMBS	—		6,249		68		6,317
State and political subdivision	—		3,499		—		3,499
Foreign government	—		960		21		981
Total fixed maturity securities	2,748		75,158		1,892		79,798
Equity securities	12		9		24		45
Short-term investments	204		415		—		619

Derivative assets: (1)
Interest rate	—		219		—		219
Foreign currency exchange rate	—		498		6		504
Credit	—		16		4		20
Equity market	—		2,550		—		2,550
Total derivative assets	—		3,283		10		3,293
Embedded derivatives on index-linked annuities (2)	—		—		38		38
Market risk benefit assets	—		—		916		916
Separate account assets	21		81,554		—		81,575
Total assets	$	2,985	$	160,419	$	2,880	$	166,284
Liabilities
Market risk benefit liabilities	$	—	$	—	$	8,727	$	8,727
Derivative liabilities: (1)
Interest rate	—		2,056		—		2,056
Foreign currency exchange rate	—		23		—		23

Equity market	—		2,050		—		2,050
Total derivative liabilities	—		4,129		—		4,129
Embedded derivatives on index-linked annuities (2)	—		—		10,621		10,621

Total liabilities	$	—	$	4,129	$	19,348	$	23,477


	December 31, 2023
	Fair Value Hierarchy						Total Estimated Fair Value
	Level 1		Level 2		Level 3
	(In millions)
Assets
Fixed maturity securities:
U.S. corporate	$	—	$	34,344	$	995	$	35,339
Foreign corporate	—		11,257		325		11,582
U.S. government and agency	3,680		4,534		—		8,214
RMBS	—		7,351		15		7,366
ABS	—		6,075		326		6,401
CMBS	—		6,300		39		6,339
State and political subdivision	—		3,813		—		3,813
Foreign government	—		995		36		1,031
Total fixed maturity securities	3,680		74,669		1,736		80,085
Equity securities	18		23		25		66
Short-term investments	214		360		—		574
Derivative assets: (1)
Interest rate	—		245		—		245
Foreign currency exchange rate	—		426		12		438
Credit	—		21		6		27
Equity market	—		2,993		—		2,993
Total derivative assets	—		3,685		18		3,703
Embedded derivatives on index-linked annuities (2)	—		—		—		—
Market risk benefit assets	—		—		656		656
Separate account assets	20		81,670		—		81,690
Total assets	$	3,932	$	160,407	$	2,435	$	166,774
Liabilities
Market risk benefit liabilities	$	—	$	—	$	10,344	$	10,344
Derivative liabilities: (1)
Interest rate	—		2,209		—		2,209
Foreign currency exchange rate	—		47		—		47

Equity market	—		2,824		—		2,824
Total derivative liabilities	—		5,080		—		5,080
Embedded derivatives on index-linked annuities (2)	—		—		8,186		8,186

Total liabilities	$	—	$	5,080	$	18,530	$	23,610

_______________

(1)Derivative assets are reported in other invested assets and derivative liabilities are reported in other liabilities. The amounts are presented gross in the tables above to reflect the presentation on the consolidated balance sheets.

(2)Embedded derivative assets on index-linked annuities are reported in premiums and other receivables. Embedded derivative liabilities on index-linked annuities are reported in policyholder account balances.

Fair Value Measurement Inputs and Valuation Techniques

Certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were as follows at:


					June 30, 2024			December 31, 2023			Impact of Increase in Input on Estimated Fair Value
	Valuation Techniques		Significant Unobservable Inputs		Range			Range
Market Risk Benefits
Variable annuity guaranteed minimum benefits	•	Option pricing techniques	•	Mortality rates	0.04%	-	12.90%	0.04%	-	12.90%	Decrease (1)
			•	Lapse rates	1.00%	-	22.80%	1.00%	-	22.80%	Decrease (2)
			•	Utilization rates	0.00%	-	25.00%	0.00%	-	25.00%	Increase (3)
			•	Withdrawal rates	0.00%	-	10.00%	0.00%	-	10.00%	(4)
			•	Long-term equity volatilities	11.83%	-	27.29%	12.59%	-	22.50%	Increase (5)
			•	Nonperformance risk spread	0.56%	-	1.47%	0.76%	-	1.63%	Decrease (6)
Embedded Derivatives
Index-linked annuity crediting rates	•	Option pricing techniques	•	Mortality rates	0.03%	-	9.24%	0.03%	-	9.24%	Decrease (1)
			•	Lapse rates	1.00%	-	62.30%	1.00%	-	62.30%	Decrease (2)

			•	Withdrawal rates	0.50%	-	9.00%	0.50%	-	9.00%	(4)

			•	Nonperformance risk spread	0.30%	-	1.82%	0.45%	-	1.74%	Decrease (6)

_______________

(1)Mortality rates vary by age and by demographic characteristics such as gender. The range shown reflects the mortality rate for policyholders between 35 and 90 years old. Mortality rate assumptions are set based on company experience and include an assumption for mortality improvement.

(2)The lapse rate range reflects base lapse rates for major product categories for duration 1-20. Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. For variable annuity guarantees, 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. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies.

(3)The utilization rate assumption for variable annuity guarantees estimates the percentage of contract holders with a guaranteed minimum income benefit (“GMIB”) or lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible in a given year. The range shown represents the floor and cap of the GMIB dynamic election rates across varying levels of in-the-money. For lifetime withdrawal guarantee riders, the assumption is that everyone will begin withdrawals once account value reaches zero which is equivalent to a 100% utilization rate. Utilization rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder.

(4)The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For variable annuity guaranteed minimum withdrawal benefits, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For variable annuity guaranteed minimum accumulation benefits and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.

(5)Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing MRBs.

(6)Nonperformance risk spread varies by duration. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the MRB or embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The changes in assets and (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (excluding MRBs disclosed in Note 4) were summarized as follows:


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	Corporate (1)		Structured Securities		Foreign Government		Equity Securities		Net Derivatives (2)		Embedded Derivatives on Index-Linked Annuities
	(In millions)
Three Months Ended June 30, 2024
Balance, beginning of period	$	1,267	$	482	$	21	$	25	$	11	$	(9,941)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	(15)		—		—		(1)		(1)		(714)
Total realized/unrealized gains (losses) included in AOCI	(2)		2		—		—		—		—
Purchases (5)	199		129		—		—		—		—
Sales (5)	(43)		(26)		—		—		—		—
Issuances (5)	—		—		—		—		—		—
Settlements (5)	—		—		—		—		—		72
Transfers into Level 3 (6)	41		—		—		—		—		—
Transfers out of Level 3 (6)	(82)		(81)		—		—		—		—
Balance, end of period	$	1,365	$	506	$	21	$	24	$	10	$	(10,583)
Three Months Ended June 30, 2023
Balance, beginning of period	$	1,936	$	350	$	39	$	25	$	33	$	(5,164)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	(4)		—		—		(2)		(5)		(1,703)
Total realized/unrealized gains (losses) included in AOCI	(22)		(1)		—		—		—		—
Purchases (5)	68		36		—		1		9		—
Sales (5)	(42)		(3)		(1)		—		—		—
Issuances (5)	—		—		—		—		—		—
Settlements (5)	—		—		—		—		—		(19)
Transfers into Level 3 (6)	26		2		—		—		—		—
Transfers out of Level 3 (6)	(31)		(13)		—		—		(10)		—
Balance, end of period	$	1,931	$	371	$	38	$	24	$	27	$	(6,886)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at June 30, 2024 (7)	$	(15)	$	—	$	—	$	(2)	$	(1)	$	(881)
Changes in unrealized gains (losses) included in OCI for the instruments still held as of June 30, 2024 (7)	$	(2)	$	1	$	—	$	—	$	—	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at June 30, 2023 (7)	$	(3)	$	—	$	—	$	(2)	$	(5)	$	(1,802)
Changes in unrealized gains (losses) included in OCI for the instruments still held as of June 30, 2023 (7)	$	(24)	$	(1)	$	—	$	—	$	—	$	—


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Fixed Maturity Securities
	Corporate (1)		Structured Securities		Foreign Government		Equity Securities		Net Derivatives (2)		Embedded Derivatives on Index-Linked Annuities
	(In millions)
Six Months Ended June 30, 2024
Balance, beginning of period	$	1,320	$	380	$	36	$	25	$	18	$	(8,186)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	(19)		1		—		(1)		(3)		(2,600)
Total realized/unrealized gains (losses) included in AOCI	(9)		2		—		—		—		—
Purchases (5)	238		207		—		—		1		—
Sales (5)	(84)		(31)		—		—		—		—
Issuances (5)	—		—		—		—		—		—
Settlements (5)	—		—		—		—		—		203
Transfers into Level 3 (6)	55		—		—		—		—		—
Transfers out of Level 3 (6)	(136)		(53)		(15)		—		(6)		—
Balance, end of period	$	1,365	$	506	$	21	$	24	$	10	$	(10,583)
Six Months Ended June 30, 2023
Balance, beginning of period	$	1,787	$	365	$	38	$	27	$	35	$	(3,932)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)	(3)		—		—		(4)		(5)		(2,793)
Total realized/unrealized gains (losses) included in AOCI	7		1		1		—		—		—
Purchases (5)	210		52		—		1		9		—
Sales (5)	(73)		(7)		(1)		—		—		—
Issuances (5)	—		—		—		—		—		—
Settlements (5)	—		—		—		—		—		(161)
Transfers into Level 3 (6)	56		2		—		—		—		—
Transfers out of Level 3 (6)	(53)		(42)		—		—		(12)		—
Balance, end of period	$	1,931	$	371	$	38	$	24	$	27	$	(6,886)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at June 30, 2024 (7)	$	(18)	$	—	$	—	$	(2)	$	(3)	$	(2,921)
Changes in unrealized gains (losses) included in OCI for the instruments still held as of June 30, 2024 (7)	$	(19)	$	—	$	—	$	—	$	—	$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at June 30, 2023 (7)	$	(2)	$	(1)	$	—	$	(3)	$	(5)	$	(2,968)
Changes in unrealized gains (losses) included in OCI for the instruments still held as of June 30, 2023 (7)	$	1	$	—	$	1	$	—	$	—	$	—

_______________

(1)Comprised of U.S. and foreign corporate securities.

(2)Freestanding derivative assets and liabilities are reported net for purposes of the rollforward.

(3)Amortization of premium/accretion of discount is included in net investment income. Changes in the allowance for credit losses and direct write-offs are charged to net income (loss) on securities are included in net investment gains (losses). Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(4)Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.

(5)Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.

(6)Gains and losses, in net income (loss) and OCI, are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and out of Level 3 in the same period are excluded from the rollforward.

(7)Changes in unrealized gains (losses) included in net income (loss) for fixed maturities are reported in either net investment income or net investment gains (losses). Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:


	June 30, 2024
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	22,606	$	—	$	—	$	20,560	$	20,560
Policy loans	$	1,076	$	—	$	603	$	495	$	1,098
Other invested assets	$	243	$	—	$	237	$	6	$	243
Premiums, reinsurance and other receivables	$	8,076	$	—	$	117	$	8,252	$	8,369
Liabilities
Policyholder account balances	$	32,364	$	—	$	—	$	31,950	$	31,950

Long-term debt	$	835	$	—	$	24	$	767	$	791
Other liabilities	$	1,372	$	—	$	635	$	737	$	1,372
Separate account liabilities	$	1,253	$	—	$	1,253	$	—	$	1,253


	December 31, 2023
			Fair Value Hierarchy
	Carrying Value		Level 1		Level 2		Level 3		Total Estimated Fair Value
	(In millions)
Assets
Mortgage loans	$	22,475	$	—	$	—	$	20,578	$	20,578
Policy loans	$	938	$	—	$	479	$	494	$	973
Other invested assets	$	260	$	—	$	245	$	15	$	260
Premiums, reinsurance and other receivables	$	7,431	$	—	$	80	$	7,498	$	7,578
Liabilities
Policyholder account balances	$	31,362	$	—	$	—	$	30,501	$	30,501
Long-term debt	$	836	$	—	$	26	$	755	$	781
Other liabilities	$	1,191	$	—	$	438	$	753	$	1,191
Separate account liabilities	$	1,148	$	—	$	1,148	$	—	$	1,148

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details