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Fair Value of Assets and Liabilities

9 Months Ended

Sep. 30, 2022

FAIR VALUE OF ASSETS AND LIABILITIES

Fair Value Measurement - Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The authoritative fair value guidance establishes a framework for measuring fair value that includes a hierarchy used to classify the inputs used in measuring fair value. The level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. The levels of the fair value hierarchy are as follows:

Level 1 – Fair value is based on unadjusted quoted prices in active markets that are accessible to the Company for identical assets or liabilities.

Level 2 – Fair value is based on significant inputs, other than quoted prices included in Level 1, that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the asset or liability through corroboration with observable market data. Level 2 inputs include quoted market prices in active markets for similar assets and liabilities, quoted market prices in markets that are not active for identical or similar assets or liabilities, and other market observable inputs.

Level 3 – Fair value is based on at least one significant unobservable input for the asset or liability. The assets and liabilities in this category may require significant judgment or estimation in determining the fair value.

For a discussion of the Company's valuation methodologies for assets and liabilities measured at fair value and the fair value hierarchy, see Note 5 to the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2021.

Assets and Liabilities by Hierarchy Level – The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.


	September 30, 2022
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	235,706	$	0	$		$	235,706
Obligations of U.S. states and their political subdivisions	0		565,054		0				565,054
Foreign government bonds	0		258,876		724				259,600
U.S. corporate public securities	0		5,890,822		0				5,890,822
U.S. corporate private securities	0		2,963,019		236,469				3,199,488
Foreign corporate public securities	0		1,270,546		6,512				1,277,058
Foreign corporate private securities	0		2,672,166		180,584				2,852,750
Asset-backed securities(2)	0		1,223,163		28,991				1,252,154
Commercial mortgage-backed securities	0		567,588		85,751				653,339
Residential mortgage-backed securities	0		135,539		0				135,539
Subtotal	0		15,782,479		539,031				16,321,510
Fixed maturities, trading	0		1,740,394		0				1,740,394

Equity securities	225,662		14,243		28,672				268,577
Short-term investments	0		294,792		4,188				298,980
Cash equivalents	0		1,584,254		0				1,584,254
Other invested assets(3)	8,704		9,135,971		0		(9,134,449)		10,226
Other assets	0		0		107,435				107,435
Reinsurance recoverables	0		0		475,186				475,186
Receivables from parent and affiliates	0		147,896		0				147,896
Subtotal excluding separate account assets	234,366		28,700,029		1,154,512		(9,134,449)		20,954,458
Separate account assets(4)(5)	75,660		105,362,383		3,954				105,441,997
Total assets	$	310,026	$	134,062,412	$	1,158,466	$	(9,134,449)	$	126,396,455
Future policy benefits(6)	$	0	$	0	$	4,945,400	$		$	4,945,400
Policyholders' account balances	0		0		3,642,839				3,642,839
Payables to parent and affiliates	0		18,353,401		0		(17,290,756)		1,062,645
Other liabilities	44,440		(29,851)		0		(5,168)		9,421
Total liabilities	$	44,440	$	18,323,550	$	8,588,239	$	(17,295,924)	$	9,660,305


	December 31, 2021
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in thousands)
Fixed maturities, available-for-sale:
U.S. Treasury securities and obligations of U.S. government authorities and agencies	$	0	$	333,940	$	0	$		$	333,940
Obligations of U.S. states and their political subdivisions	0		630,521		0				630,521
Foreign government bonds	0		350,321		150				350,471
U.S. corporate public securities	0		5,131,872		0				5,131,872
U.S. corporate private securities	0		1,873,370		131,505				2,004,875
Foreign corporate public securities	0		921,008		8,894				929,902
Foreign corporate private securities	0		2,508,676		245,235				2,753,911
Asset-backed securities(2)	0		484,861		62,449				547,310
Commercial mortgage-backed securities	0		463,689		111,495				575,184
Residential mortgage-backed securities	0		20,180		0				20,180
Subtotal	0		12,718,438		559,728				13,278,166
Fixed maturities, trading	0		3,302,392		0				3,302,392

Equity securities	58,160		40,635		12,472				111,267
Short-term investments	9,997		135,440		0				145,437
Cash equivalents	13,999		422,633		0				436,632
Other invested assets(3)	246,097		6,840,437		0		(6,818,009)		268,525
Other assets	0		0		72,937				72,937
Reinsurance recoverables	0		0		931,207				931,207
Receivables from parent and affiliates	0		162,045		0				162,045
Subtotal excluding separate account assets	328,253		23,622,020		1,576,344		(6,818,009)		18,708,608
Separate account assets(4)(5)	52,100		144,059,558		0				144,111,658
Total assets	$	380,353	$	167,681,578	$	1,576,344	$	(6,818,009)	$	162,820,266
Future policy benefits(6)	$	0	$	0	$	9,047,956	$		$	9,047,956
Policyholders' account balances	0		0		3,245,773				3,245,773
Payables to parent and affiliates	0		12,563,253		0		(12,563,253)		0
Other liabilities	10,730		12,624		0		(4,829)		18,525
Total liabilities	$	10,730	$	12,575,877	$	12,293,729	$	(12,568,082)	$	12,312,254

(1)“Netting” amounts represent cash collateral of $(8,161) million and $(5,750) million as of September 30, 2022 and December 31, 2021, respectively.

(2)Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.

(3)Other invested assets excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. As September 30, 2022 and December 31, 2021, the fair values of such investments were $71 million and $79 million, respectively.

(4)Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company's Unaudited Interim Consolidated Statements of Financial Position.

(5)Separate account 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, hedge funds and a corporate owned life insurance fund, for which fair value is measured at NAV per share (or its equivalent). At September 30, 2022 and December 31, 2021, the fair value of such investments was $5,103 million and $5,686 million, respectively.

(6)As of September 30, 2022, the net embedded derivative liability position of $4,945 million includes $758 million of embedded derivatives in an asset position and $5,703 million of embedded derivatives in a liability position. As of December 31, 2021, the net embedded derivative liability position of $9,048 million includes $610 million of embedded derivatives in an asset position and $9,658 million of embedded derivatives in a liability position.

Quantitative Information Regarding Internally Priced Level 3 Assets and Liabilities – The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.


	September 30, 2022
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	325,618	Discounted cash flow	Discount rate	5.87	%	20	%	10.93	%	Decrease
			Market Comparables	EBITDA multiples(3)	1.8	X	18.5	X	7.2	X	Increase

Reinsurance recoverables	$	475,186	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	4,945,400	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over SOFR(7)	0.50	%	2.35	%			Decrease
				Utilization rate(8)	38	%	95	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	18	%	29	%			Increase
Policyholders' account balances(5)	$	3,642,839	Discounted cash flow	Lapse rate(6)	1	%	80	%			Decrease
				Spread over SOFR(7)	0.28	%	2.06	%			Decrease

				Mortality rate(10)	0	%	23	%			Decrease
				Equity volatility curve	6	%	38	%			Increase


	December 31, 2021
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in thousands)
Assets:
Corporate securities(2)	$	312,139	Discounted cash flow	Discount rate	1.65	%	20	%	4.57	%	Decrease
			Market Comparables	EBITDA multiples(3)	4.9X		19.2X		9.0X		Increase
			Liquidation	Liquidation value	62.58	%	62.58	%	62.58	%	Increase
Reinsurance recoverables	$	931,207	Fair values are determined using the same unobservable inputs as future policy benefits.
Liabilities:
Future policy benefits(4)	$	9,047,956	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over LIBOR(7)	0.03	%	1.13	%			Decrease
				Utilization rate(8)	39	%	96	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	16	%	25	%			Increase
Policyholders' account balances(5)	$	3,245,773	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	0.03	%	1.13	%			Decrease
				Mortality rate(10)	0	%	23	%			Decrease
				Equity volatility curve	6	%	31	%			Increase

(1)Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.

(2)Includes assets classified as fixed maturities, available-for-sale and fixed maturities, trading.

(3)Represents multiples of earnings before interest, taxes, depreciation and amortization ("EBITDA"), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.

(4)Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(5)Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s life and annuity products that are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than a weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(6)Lapse rates for contracts with living benefit guarantees are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(7)The spread over the Secured Overnight Financing Rate (“SOFR”) swap curve and the London Inter-Bank Offered Rate (“LIBOR”) swap curve represents the premium added to the proxy for the risk-free rate (SOFR or LIBOR, as applicable) to reflect the Company’s estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees as of September 30, 2022 and December 31, 2021, respectively. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(8)The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration and begin lifetime withdrawals at various time intervals from contract inception. The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

(9)The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of September 30, 2022 and December 31, 2021, the minimum withdrawal rate assumption is 77% and 76%, respectively. As of September 30, 2022 and December 31, 2021, the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(10)The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

Interrelationships Between Unobservable Inputs – In addition to the sensitivities of fair value measurements to changes in each unobservable input in isolation, as reflected in the table above, interrelationships between these inputs may also exist, such that a change in one unobservable input may give rise to a change in another, or multiple, inputs. Examples of such interrelationships for significant internally-priced Level 3 assets and liabilities are as follows:

Corporate Securities – The rate used to discount future cash flows reflects current risk-free rates plus credit and liquidity spread requirements that market participants would use to value an asset. The discount rate may be influenced by many factors, including market cycles, expectations of default, collateral, term, and asset complexity. Each of these factors can influence discount rates, either in isolation, or in response to other factors. During weaker economic cycles, as the expectations of default increases, credit spreads widen, which results in a decrease in fair value.

Future Policy Benefits – The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is highly dependent on the facts and circumstances surrounding the individual contractholder, such as their liquidity needs or tax situation, which could drive lapse behavior independent of other contractholder behavior assumptions. To the extent more efficient contractholder behavior results in greater in-the-moneyness at the contract level, lapse rates may decline for those contracts. Similarly, to the extent that increases in equity volatility are correlated with overall declines in the capital markets, lapse rates may decline as contracts become more in-the-money.

Changes in Level 3 Assets and Liabilities – The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods. When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.


	Three Months Ended September 30, 2022
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Foreign government	135		88		501		0		0		0		0		0		0		724		86
Corporate securities(4)	317,878		(7,376)		66,826		(11,975)		0		(54,455)		106,408		6,259		0		423,565		(6,546)
Structured securities(5)	123,288		(2,903)		28,250		0		0		(403)		0		0		(33,490)		114,742		(2,860)
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0		0		0
Equity securities	29,783		(1,111)		0		0		0		0		0		0		0		28,672		(1,110)

Short-term investments	2,772		2		0		0		0		(5,876)		7,290		0		0		4,188		0
Cash equivalents	0		0		0		0		0		0		0		0		0		0		0
Other assets	75,858		56,595		(24,914)		0		0		(104)		0		0		0		107,435		56,700
Reinsurance recoverables	555,053		(113,280)		33,413		0		0		0		0		0		0		475,186		(109,508)

Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Future policy benefits	(5,706,968)		1,009,622		0		0		(248,054)		0		0		0		0		(4,945,400)		975,995
Policyholders' account balances(6)	(3,427,667)		217,837		0		0		0		(433,009)		0		0		0		(3,642,839)		843,341


	Three Months Ended September 30, 2022
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	307	$	0	$	0	$	(9,226)	$	(1,272)	$	491	$	0	$	0	$	(9,811)
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		(1,111)		0		0		0		0		(1,110)		0		0

Short-term investments	0		0		0		0		2		0		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	56,595		0		0		0		0		56,700		0		0		0
Reinsurance recoverables	(113,280)		0		0		0		0		(109,508)		0		0		0

Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Future policy benefits	1,009,622		0		0		0		0		975,995		0		0		0
Policyholders' account balances	217,837		0		0		0		0		843,341		0		0		0


	Nine Months Ended September 30, 2022
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0
Foreign government	150		73		501		0		0		0		0		0		0		724		71
Corporate securities(4)	385,634		(56,596)		200,137		(24,363)		0		(87,790)		106,408		6,259		(106,124)		423,565		(53,687)
Structured securities(5)	173,944		(25,231)		61,740		0		0		(1,476)		0		0		(94,235)		114,742		(25,140)
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0		0		0
Equity securities	12,472		(3,231)		10,000		(230)		0		0		9,661		0		0		28,672		(3,249)

Short-term investments	0		7		2,766		0		0		(5,930)		7,290		55		0		4,188		0
Cash equivalents	0		0		0		0		0		0		0		0		0		0		0
Other assets	72,937		60,932		(23,673)		0		0		(2,761)		0		0		0		107,435		63,692
Reinsurance recoverables	931,207		(558,774)		102,753		0		0		0		0		0		0		475,186		(535,503)

Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Future policy benefits	(9,047,956)		4,866,162		0		0		(763,606)		0		0		0		0		(4,945,400)		4,655,099
Policyholders' account balances(6)	(3,245,773)		188,287		0		0		0		(824,375)		239,022		0		0		(3,642,839)		1,272,540


	Nine Months Ended September 30, 2022
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(16,505)	$	0	$	0	$	(64,307)	$	(942)	$	(13,988)	$	0	$	0	$	(64,768)
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		(3,231)		0		0		0		0		(3,249)		0		0

Short-term investments	0		0		0		0		7		0		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	60,932		0		0		0		0		63,692		0		0		0
Reinsurance recoverables	(558,774)		0		0		0		0		(535,503)		0		0		0

Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Future policy benefits	4,866,162		0		0		0		0		4,655,099		0		0		0
Policyholders' account balances	188,287		0		0		0		0		1,272,540		0		0		0


	Three Months Ended September 30, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	55,000	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	55,000	$	0
Foreign government	156		(4)		0		0		0		0		0		0		0		152		(5)
Corporate securities(4)	170,830		(6,783)		3,173		0		0		(7,907)		119,218		4,106		0		282,637		(6,710)
Structured securities(5)	27,179		(452)		12,500		0		0		(308)		19,859		0		(25,450)		33,328		(449)
Other assets:
Fixed maturities, trading	801		0		0		0		0		0		0		0		(801)		0		0
Equity securities	8,005		477		0		0		0		0		3,874		0		0		12,356		477

Short-term investments	0		0		0		0		0		0		1,690		0		0		1,690		0
Cash equivalents	0		0		0		0		0		0		1,230		0		0		1,230		0
Other assets	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	9,275,523		(8,372,926)		36,892		0		0		0		0		0		0		939,489		(32,262)

Separate account assets	0		0		0		0		0		0		0		0		0		0		0
Liabilities:
Future policy benefits	(9,263,516)		331,967		0		0		(276,639)		0		0		0		0		(9,208,188)		218,025
Policyholders' account balances(6)	(1,156,610)		5,389		0		0		(3,202)		0		0		0		0		(1,154,423)		21,559


	Three Months Ended September 30, 2021
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	(1,656)	$	0	$	0	$	(5,768)	$	185	$	(1,678)	$	0	$	0	$	(5,486)
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		477		0		0		0		0		477		0		0

Short-term investments	0		0		0		0		0		0		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(8,372,926)		0		0		0		0		(32,262)		0		0		0

Separate account assets	0		0		0		0		0		0		0		0		0
Liabilities:
Future policy benefits	331,967		0		0		0		0		218,025		0		0		0
Policyholders' account balances	5,389		0		0		0		0		21,559		0		0		0


	Nine Months Ended September 30, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other(2)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(3)
	(in thousands)
Fixed maturities, available-for-sale:
U.S. government	$	55,000	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	55,000	$	0
Foreign government	163		(11)		0		0		0		0		0		0		0		152		(13)
Corporate securities(4)	174,776		(13,815)		5,515		0		0		(12,280)		119,218		9,223		0		282,637		(13,811)
Structured securities(5)	2,065		(465)		38,450		0		0		(1,131)		19,859		0		(25,450)		33,328		(462)
Other assets:
Fixed maturities, trading	755		46		0		0		0		0		0		0		(801)		0		46
Equity securities	7,889		593		0		0		0		0		3,874		0		0		12,356		593

Short-term investments	0		0		0		0		0		0		1,690		0		0		1,690		0
Cash equivalents	0		0		0		0		0		0		1,230		0		0		1,230		0
Other assets	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	13,239,539		(12,892,808)		592,758		0		0		0		0		0		0		939,489		(524,521)

Separate account assets	0		0		0		0		0		0		0		0		0		0		0
Liabilities:
Future policy benefits	(13,227,814)		4,848,168		0		0		(828,542)		0		0		0		0		(9,208,188)		4,365,984
Policyholders' account balances(6)	(1,155,274)		(31,278)		0		0		0		32,129		0		0		0		(1,154,423)		21,234


	Nine Months Ended September 30, 2021
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(3)
	Realized investment gains (losses), net(1)		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)		Net investment income		Realized investment gains (losses), net		Other income (loss)		Interest credited to policyholders' account balances		Included in other comprehensive income (loss)
	(in thousands)
Fixed maturities, available-for-sale	$	152	$	0	$	0	$	(14,678)	$	235	$	121	$	0	$	0	$	(14,407)
Other assets:
Fixed maturities, trading	0		46		0		0		0		0		46		0		0
Equity securities	0		593		0		0		0		0		593		0		0


Short-term investments	0		0		0		0		0		0		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(12,892,808)		0		0		0		0		(524,521)		0		0		0

Separate account assets	0		0		0		0		0		0		0		0		0
Liabilities:
Future policy benefits	4,848,168		0		0		0		0		4,365,984		0		0		0
Policyholders' account balances	(31,278)		0		0		0		0		21,234		0		0		0

(1)Realized investment gains (losses) on future policy benefits and reinsurance recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

(2)For current year "Other" largely represent non-cash moves related to novated variable indexed annuities under the reinsurance agreement with FLIAC. See Note 6 for more details regarding these transactions. In addition, PHAB represents an out of period adjustment related to certain portions of reinsurance activity that had been incorrectly recorded on the balance sheet during the fourth quarter of 2021. Prior year represents non-cash transfers related to the 2021 Variable Annuities Recapture. Refer to Note 1 of the Consolidated Financial Statements included in the Company's Annual Report on Form 10-K for the year ended December 31, 2021, for more details.

(3)Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.

(4)Includes U.S. corporate private, foreign corporate public, foreign corporate private securities and foreign government bonds.

(5)Includes asset-backed and commercial mortgage-backed securities.

(6)Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

Nonrecurring Fair Value Measurements - The following tables represent information for assets measured at fair value on a nonrecurring basis. The fair value measurement is nonrecurring as these assets are measured at fair value only when there is a triggering event (e.g., an evidence of impairment). Assets included in the table are those that were impaired during the respective reporting periods and that are still held as of the reporting date. The estimated fair values for these amounts were determined using significant unobservable inputs (Level 3).


	Three Month Ended September 30,				Nine Month Ended September 30,
	2022		2021		2022		2021
	(in thousands)
Equity in earnings of operating joint venture, net of taxes
Investment in joint venture	$	0	$	0	$	(75,000)	$	0


	September 30, 2022		December 31, 2021
	(in thousands)
Carrying value after measurement as of period end:
Investment in joint venture	$	60,456	$	0

Fair Value of Financial Instruments

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Consolidated Statements of Financial Position. In some cases, as described below, the carrying amount equals or approximates fair value.


	September 30, 2022
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	4,046,382	$	4,046,382	$	4,385,543
Policy loans	0		0		499,612		499,612		499,612
Short-term investments	172,840		0		0		172,840		172,840

Cash and cash equivalents	816,226		0		0		816,226		816,226
Accrued investment income	0		191,602		0		191,602		191,602
Reinsurance recoverables	0		0		24,534		24,534		26,975
Receivables from parent and affiliates	0		60,065		0		60,065		60,065
Other assets	0		42,104		577,747		619,851		619,851
Total assets	$	989,066	$	293,771	$	5,148,275	$	6,431,112	$	6,772,714
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,250,349	$	2,813,665	$	4,064,014	$	4,086,739

Cash collateral for loaned securities	0		194,927		0		194,927		194,927

Long-term debt to affiliates	0		295,260		0		295,260		313,521
Payables to parent and affiliates	0		56,103		0		56,103		56,103
Other liabilities	0		982,334		33,250		1,015,584		1,015,584
Total liabilities	$	0	$	2,778,973	$	2,846,915	$	5,625,888	$	5,666,874


	December 31, 2021
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	2,883,710	$	2,883,710	$	2,832,560
Policy loans	0		0		1,327,485		1,327,485		1,327,485
Short-term investments	37,000		0		0		37,000		37,000
Cash and cash equivalents	297,299		185,000		0		482,299		482,299
Accrued investment income	0		160,027		0		160,027		160,027
Reinsurance recoverables	0		0		29,931		29,931		28,883
Receivables from parent and affiliates	0		116,086		0		116,086		116,086
Other assets	0		134,598		434,383		568,981		568,981
Total assets	$	334,299	$	595,711	$	4,675,509	$	5,605,519	$	5,553,321
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,356,850	$	2,590,487	$	3,947,337	$	3,941,822

Cash collateral for loaned securities	0		3,004		0		3,004		3,004

Long-term debt to affiliates	0		319,225		0		319,225		320,362
Payables to parent and affiliates	0		31,775		0		31,775		31,775
Other liabilities	0		864,788		34,091		898,879		898,879
Total liabilities	$	0	$	2,575,642	$	2,624,578	$	5,200,220	$	5,195,842

(1) Carrying values presented herein differ from those in the Company’s Unaudited Interim Consolidated Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.

- 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