XML 37 R27.htm IDEA: XBRL DOCUMENT

Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value, Assets and Liabilities Measured on Recurring Basis

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, 2023
	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	$	293,060	$	0	$		$	293,060
Obligations of U.S. states and their political subdivisions	0		731,917		0				731,917
Foreign government bonds	0		266,347		686				267,033
U.S. corporate public securities	0		8,836,174		0				8,836,174
U.S. corporate private securities	0		4,065,855		466,160				4,532,015
Foreign corporate public securities	0		1,687,936		6,532				1,694,468
Foreign corporate private securities	0		3,728,278		471,894				4,200,172
Asset-backed securities(2)	0		1,916,281		113,427				2,029,708
Commercial mortgage-backed securities	0		756,036		76,751				832,787
Residential mortgage-backed securities	0		381,021		0				381,021
Subtotal	0		22,662,905		1,135,450				23,798,355
Market risk benefit assets	0		0		2,519,234				2,519,234
Fixed maturities, trading	0		2,443,548		725				2,444,273
Equity securities	169,378		10,333		44,686				224,397
Short-term investments	19,809		200,674		584				221,067
Cash equivalents	0		1,144,914		0				1,144,914
Other invested assets(3)	9,208		12,302,117		0		(12,276,734)		34,591
Other assets	0		0		270,490				270,490
Reinsurance recoverable	0		0		15,544				15,544
Receivables from parent and affiliates	0		144,699		0				144,699
Subtotal excluding separate account assets	198,395		38,909,190		3,986,713		(12,276,734)		30,817,564
Separate account assets(4)(5)	130,896		106,518,193		5,500				106,654,589
Total assets	$	329,291	$	145,427,383	$	3,992,213	$	(12,276,734)	$	137,472,153
Market risk benefit liabilities	$	0	$	0	$	4,371,178	$		$	4,371,178
Policyholders' account balances	0		0		6,005,729				6,005,729
Payables to parent and affiliates	0		25,806,000		0		(21,870,566)		3,935,434
Other liabilities(6)	10,497		(5,396)		0		(1,367)		3,734
Total liabilities	$	10,497	$	25,800,604	$	10,376,907	$	(21,871,933)	$	14,316,075


	December 31, 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	$	281,792	$	0	$		$	281,792
Obligations of U.S. states and their political subdivisions	0		628,200		0				628,200
Foreign government bonds	0		272,738		724				273,462
U.S. corporate public securities	0		6,443,944		0				6,443,944
U.S. corporate private securities	0		3,573,269		243,460				3,816,729
Foreign corporate public securities	0		1,371,354		6,868				1,378,222
Foreign corporate private securities	0		3,509,162		257,168				3,766,330
Asset-backed securities(2)	0		1,421,852		20,502				1,442,354
Commercial mortgage-backed securities	0		573,930		84,222				658,152
Residential mortgage-backed securities	0		336,216		0				336,216
Subtotal	0		18,412,457		612,944				19,025,401
Market risk benefit assets(7)	0		0		1,393,237				1,393,237
Fixed maturities, trading	0		1,936,159		0				1,936,159
Equity securities	108,076		6,403		28,593				143,072
Short-term investments	0		81,215		16,945				98,160
Cash equivalents	0		1,432,182		0				1,432,182
Other invested assets(3)	4,223		7,680,827		0		(7,637,939)		47,111
Other assets	0		0		141,041				141,041

Receivables from parent and affiliates	0		148,075		0				148,075
Subtotal excluding separate account assets	112,299		29,697,318		2,192,760		(7,637,939)		24,364,438
Separate account assets(4)(5)	102,243		108,682,425		4,645				108,789,313
Total assets	$	214,542	$	138,379,743	$	2,197,405	$	(7,637,939)	$	133,153,751
Market risk benefit liabilities(7)	$	0	$	0	$	5,521,601	$		$	5,521,601
Policyholders' account balances	0		0		3,502,096				3,502,096
Payables to parent and affiliates	0		18,653,159		0		(16,568,242)		2,084,917
Other liabilities(6)	899		(9,496)		0		(670)		(9,267)
Total liabilities	$	899	$	18,643,663	$	9,023,697	$	(16,568,912)	$	11,099,347

(1)“Netting” amounts represent cash collateral of $(9,595) million and $(8,931) million as of September 30, 2023 and December 31, 2022, 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 of September 30, 2023 and December 31, 2022, the fair values of such investments were $65 million and $69 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, 2023 and December 31, 2022, the fair value of such investments were $4,957 million and $5,262 million, respectively.

(6)Other liabilities includes embedded derivatives associated with reinsurance agreements.

(7)Amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The tables below present quantitative information regarding significant internally-priced Level 3 assets and liabilities.


	September 30, 2023
	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)	$	726,528	Discounted cash flow	Discount rate	8.23	%	20	%	12.16	%	Decrease
			Liquidation	Liquidation value	63.62	%	63.62	%	63.62	%	Increase
Market risk benefit assets(4)	$	2,519,234	Discounted cash flow	Lapse rate(5)	1	%	20	%			Increase
				Spread over SOFR(6)	0.48	%	2.10	%			Increase
				Utilization rate(7)	38	%	95	%			Decrease
				Withdrawal rate	See table footnote (8) below.
				Mortality rate(9)	0	%	15	%			Increase
				Equity volatility curve	15	%	25	%			Decrease
Liabilities:
Market risk benefit liabilities(4)	$	4,371,178	Discounted cash flow	Lapse rate(5)	1	%	20	%			Decrease
				Spread over SOFR(6)	0.48	%	2.10	%			Decrease
				Utilization rate(7)	38	%	95	%			Increase
				Withdrawal rate	See table footnote (8) below.
				Mortality rate(9)	0	%	15	%			Decrease
				Equity volatility curve	15	%	25	%			Increase
Policyholders' account balances(10)	$	6,005,729	Discounted cash flow	Lapse rate(5)	1	%	80	%			Decrease
				Spread over SOFR(6)	0.48	%	2.15	%			Decrease
				Mortality rate(9)	0	%	23	%			Decrease
				Equity volatility curve	6	%	28	%			Increase
				Option budget(11)	(1)	%	6	%			Increase


	December 31, 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)	$	408,494	Discounted cash flow	Discount rate	9.77	%	20	%	16.53	%	Decrease
			Market Comparables	EBITDA multiples(3)	2.2 X		23.5 X		8.1 X		Increase
Market risk benefit assets(4)(12)	$	1,393,237	Discounted cash flow	Lapse rate(5)	1	%	20	%			Increase
				Spread over SOFR(6)	0.50	%	2.20	%			Increase
				Utilization rate(7)	38	%	95	%			Decrease
				Withdrawal rate	See table footnote (8) below.
				Mortality rate(9)	0	%	15	%			Increase
				Equity volatility curve	18	%	26	%			Decrease
Liabilities:
Market risk benefit liabilities(4)(12)	$	5,521,601	Discounted cash flow	Lapse rate(5)	1	%	20	%			Decrease
				Spread over SOFR(6)	0.50	%	2.20	%			Decrease
				Utilization rate(7)	38	%	95	%			Increase
				Withdrawal rate	See table footnote (8) below.
				Mortality rate(9)	0	%	15	%			Decrease
				Equity volatility curve	18	%	26	%			Increase
Policyholders' account balances(10)	$	3,502,096	Discounted cash flow	Lapse rate(5)	1	%	80	%			Decrease
				Spread over SOFR(6)	0.22	%	2.26	%			Decrease
				Mortality rate(9)	0	%	23	%			Decrease
				Equity volatility curve	6	%	30	%			Increase
				Option budget(11)	(2)	%	6	%			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.

(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)Market risk benefits primarily represent fair value for all living benefit guarantees including accumulation, withdrawal and income benefits. Since the valuation methodology for these assets and 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)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.

(6)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, 2023 and December 31, 2022, 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 are insurance liabilities and are therefore senior to debt. Effective April 2023, the Company entered into an agreement with The Ohio National Life Insurance Company ("Ohio National"), an affiliate of Constellation Insurance Holdings, Inc., to reinsure approximately $10 billion of account values of PDI traditional variable annuity contracts with guaranteed living benefits. See Note 11 for additional information regarding this transaction. As a result of this transaction, a ceded MRB asset balance was established to fair value the reinsurance reimbursements to the Company. The establishment of the fair value also required an estimate of NPR for Ohio National, which may differ from that of the Company's; however, the NPR spreads for Ohio National were developed using a methodology similar to that of the Company.

(7)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.

(8)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, 2023 and December 31, 2022, the minimum withdrawal rate assumption is 81% and 77%, respectively. As of September 30, 2023 and December 31, 2022, 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%.

(9)The range reflects the mortality rates for the vast majority of business with living benefits and other contracts, with policyholders ranging from 50 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.

(10)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 weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(11)Option budget estimates the expected long-term cost of options used to hedge exposures associated with equity price and interest rate changes. The level of option budgets determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

(12)Amounts adjusted for the implementation of ASU 2018-12: Targeted Improvements to the Accounting for Long-Duration Contracts.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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 (excluding MRBs disclosed in Note 10). 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, 2023(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	701	$	(15)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	686	$	(17)
Corporate securities(3)	721,247		(27,838)		182,465		(10,882)		0		(27,762)		(708)		117,152		(9,088)		944,586		(28,256)
Structured securities(4)	146,339		(3,871)		53,352		0		0		(339)		0		2,297		(7,600)		190,178		(3,836)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		707		0		0		725		18
Equity securities	43,374		(1,219)		2,531		0		0		0		0		0		0		44,686		(1,219)

Short-term investments	1,209		0		802		0		0		(1,427)		0		0		0		584		0

Other assets	217,613		25,539		33,850		0		0		(6,512)		0		0		0		270,490		19,028

Reinsurance recoverables	1,465		14,079		0		0		0		0		0		0		0		15,544		14,079
Separate account assets	4,982		(7)		1,049		(524)		0		0		0		0		0		5,500		(6)
Liabilities:
Policyholders' account balances(5)	(5,513,449)		(107,528)		0		0		(413,219)		0		28,467		0		0		(6,005,729)		(273,135)


	Three Months Ended September 30, 2023(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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	$	(1,048)	$	0	$	0	$	(31,183)	$	507	$	(674)	$	0	$	0	$	(31,435)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		18		0		0
Equity securities	0		(1,219)		0		0		0		0		(1,219)		0		0



Other assets	25,539		0		0		0		0		19,028		0		0		0

Reinsurance recoverables	14,079		0		0		0		0		14,079		0		0		0
Separate account assets	0		0		(7)		0		0		0		0		(6)		0
Liabilities:
Policyholders' account balances	(107,528)		0		0		0		0		(273,135)		0		0		0


	Nine Months Ended September 30, 2023(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	724	$	(38)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	686	$	(46)
Corporate securities(3)	507,496		(20,639)		493,339		(39,721)		0		(104,604)		651		117,152		(9,088)		944,586		(21,842)
Structured securities(4)	104,724		(7,070)		200,659		(27)		0		(1,677)		0		4,537		(110,968)		190,178		(6,965)
Other assets:
Fixed maturities, trading	0		18		6,250		0		0		0		707		0		(6,250)		725		18
Equity securities	28,593		(2,030)		2,531		0		0		0		15,592		0		0		44,686		(2,030)

Short-term investments	16,945		2,573		3,490		0		0		(21,065)		(1,359)		0		0		584		51

Other assets	141,041		33,559		107,453		0		0		(11,563)		0		0		0		270,490		21,997

Reinsurance recoverables	0		15,544		0		0		0		0		0		0		0		15,544		15,544
Separate account assets	4,645		250		1,889		(1,124)		0		(160)		0		0		0		5,500		249
Liabilities:
Policyholders' account balances(5)	(3,502,096)		(1,355,011)		0		0		(1,251,457)		0		102,835		0		0		(6,005,729)		(508,105)


	Nine Months Ended September 30, 2023(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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	$	(1,861)	$	0	$	0	$	(26,743)	$	857	$	(2,693)	$	0	$	0	$	(26,160)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		18		0		0
Equity securities	0		(2,030)		0		0		0		0		(2,030)		0		0

Short-term investments	1,857		0		0		(73)		789		0		0		0		51

Other assets	33,559		0		0		0		0		21,997		0		0		0

Reinsurance recoverables	15,544		0		0		0		0		15,544		0		0		0
Separate account assets	0		0		250		0		0		0		0		249		0
Liabilities:
Policyholders' account balances	(1,355,011)		0		0		0		0		(508,105)		0		0		0


	Three Months Ended September 30, 2022(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	135	$	88	$	501	$	0	$	0	$	0	$	0	$	0	$	0	$	724	$	86
Corporate securities(3)	317,878		(7,376)		66,826		(11,975)		0		(54,455)		106,408		6,259		0		423,565		(6,546)
Structured securities(4)	123,288		(2,903)		28,250		0		0		(403)		0		0		(33,490)		114,742		(2,860)
Other assets:

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

Other assets	75,858		56,595		(24,914)		0		0		(104)		0		0		0		107,435		56,700


Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Policyholders' account balances(5)	(3,427,667)		217,837		0		0		0		(433,009)		0		0		0		(3,642,839)		843,341


	Three Months Ended September 30, 2022(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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:

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

Other assets	56,595		0		0		0		0		56,700		0		0		0


Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Policyholders' account balances	217,837		0		0		0		0		843,341		0		0		0


	Nine Months Ended September 30, 2022(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	150	$	73	$	501	$	0	$	0	$	0	$	0	$	0	$	0	$	724	$	71
Corporate securities(3)	385,634		(56,596)		200,137		(24,363)		0		(87,790)		106,408		6,259		(106,124)		423,565		(53,687)
Structured securities(4)	173,944		(25,231)		61,740		0		0		(1,476)		0		0		(94,235)		114,742		(25,140)
Other assets:

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
Other assets	72,937		60,932		(23,673)		0		0		(2,761)		0		0		0		107,435		63,692


Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Policyholders' account balances(5)	(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(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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:

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

Other assets	60,932		0		0		0		0		63,692		0		0		0


Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Policyholders' account balances	188,287		0		0		0		0		1,272,540		0		0		0

(1)"Other" largely represents non-cash moves related to novated variable indexed annuities under the reinsurance agreement with FLIAC. See Note 11 for more details regarding these transactions. In addition, for the prior year Policyholders' account balances 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.

(2)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.

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

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

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

(6)Effective January 1, 2021, Future policy benefits previously included in “Changes in Level 3 Assets and Liabilities” are now reported as Market Risk Benefits. See Note 10 for additional information.

(7)Excludes MRB assets of $2,519 million and $1,306 million and MRB liabilities of $4,371 million and $5,945 million for period ending September 30, 2023 and 2022, respectively. See Note 10 for additional information.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation


	Three Months Ended September 30, 2023(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	701	$	(15)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	686	$	(17)
Corporate securities(3)	721,247		(27,838)		182,465		(10,882)		0		(27,762)		(708)		117,152		(9,088)		944,586		(28,256)
Structured securities(4)	146,339		(3,871)		53,352		0		0		(339)		0		2,297		(7,600)		190,178		(3,836)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		707		0		0		725		18
Equity securities	43,374		(1,219)		2,531		0		0		0		0		0		0		44,686		(1,219)

Short-term investments	1,209		0		802		0		0		(1,427)		0		0		0		584		0

Other assets	217,613		25,539		33,850		0		0		(6,512)		0		0		0		270,490		19,028

Reinsurance recoverables	1,465		14,079		0		0		0		0		0		0		0		15,544		14,079
Separate account assets	4,982		(7)		1,049		(524)		0		0		0		0		0		5,500		(6)
Liabilities:
Policyholders' account balances(5)	(5,513,449)		(107,528)		0		0		(413,219)		0		28,467		0		0		(6,005,729)		(273,135)


	Three Months Ended September 30, 2023(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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	$	(1,048)	$	0	$	0	$	(31,183)	$	507	$	(674)	$	0	$	0	$	(31,435)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		18		0		0
Equity securities	0		(1,219)		0		0		0		0		(1,219)		0		0



Other assets	25,539		0		0		0		0		19,028		0		0		0

Reinsurance recoverables	14,079		0		0		0		0		14,079		0		0		0
Separate account assets	0		0		(7)		0		0		0		0		(6)		0
Liabilities:
Policyholders' account balances	(107,528)		0		0		0		0		(273,135)		0		0		0


	Nine Months Ended September 30, 2023(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	724	$	(38)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	686	$	(46)
Corporate securities(3)	507,496		(20,639)		493,339		(39,721)		0		(104,604)		651		117,152		(9,088)		944,586		(21,842)
Structured securities(4)	104,724		(7,070)		200,659		(27)		0		(1,677)		0		4,537		(110,968)		190,178		(6,965)
Other assets:
Fixed maturities, trading	0		18		6,250		0		0		0		707		0		(6,250)		725		18
Equity securities	28,593		(2,030)		2,531		0		0		0		15,592		0		0		44,686		(2,030)

Short-term investments	16,945		2,573		3,490		0		0		(21,065)		(1,359)		0		0		584		51

Other assets	141,041		33,559		107,453		0		0		(11,563)		0		0		0		270,490		21,997

Reinsurance recoverables	0		15,544		0		0		0		0		0		0		0		15,544		15,544
Separate account assets	4,645		250		1,889		(1,124)		0		(160)		0		0		0		5,500		249
Liabilities:
Policyholders' account balances(5)	(3,502,096)		(1,355,011)		0		0		(1,251,457)		0		102,835		0		0		(6,005,729)		(508,105)


	Nine Months Ended September 30, 2023(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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	$	(1,861)	$	0	$	0	$	(26,743)	$	857	$	(2,693)	$	0	$	0	$	(26,160)
Other assets:
Fixed maturities, trading	0		18		0		0		0		0		18		0		0
Equity securities	0		(2,030)		0		0		0		0		(2,030)		0		0

Short-term investments	1,857		0		0		(73)		789		0		0		0		51

Other assets	33,559		0		0		0		0		21,997		0		0		0

Reinsurance recoverables	15,544		0		0		0		0		15,544		0		0		0
Separate account assets	0		0		250		0		0		0		0		249		0
Liabilities:
Policyholders' account balances	(1,355,011)		0		0		0		0		(508,105)		0		0		0


	Three Months Ended September 30, 2022(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	135	$	88	$	501	$	0	$	0	$	0	$	0	$	0	$	0	$	724	$	86
Corporate securities(3)	317,878		(7,376)		66,826		(11,975)		0		(54,455)		106,408		6,259		0		423,565		(6,546)
Structured securities(4)	123,288		(2,903)		28,250		0		0		(403)		0		0		(33,490)		114,742		(2,860)
Other assets:

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

Other assets	75,858		56,595		(24,914)		0		0		(104)		0		0		0		107,435		56,700


Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Policyholders' account balances(5)	(3,427,667)		217,837		0		0		0		(433,009)		0		0		0		(3,642,839)		843,341


	Three Months Ended September 30, 2022(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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:

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

Other assets	56,595		0		0		0		0		56,700		0		0		0


Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Policyholders' account balances	217,837		0		0		0		0		843,341		0		0		0


	Nine Months Ended September 30, 2022(6)(7)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	150	$	73	$	501	$	0	$	0	$	0	$	0	$	0	$	0	$	724	$	71
Corporate securities(3)	385,634		(56,596)		200,137		(24,363)		0		(87,790)		106,408		6,259		(106,124)		423,565		(53,687)
Structured securities(4)	173,944		(25,231)		61,740		0		0		(1,476)		0		0		(94,235)		114,742		(25,140)
Other assets:

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
Other assets	72,937		60,932		(23,673)		0		0		(2,761)		0		0		0		107,435		63,692


Separate account assets	0		(46)		7,000		(3,000)		0		0		0		0		0		3,954		(46)
Liabilities:
Policyholders' account balances(5)	(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(6)
	Total realized and unrealized gains (losses)										Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net		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:

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

Other assets	60,932		0		0		0		0		63,692		0		0		0


Separate account assets	0		0		(46)		0		0		0		0		(46)		0
Liabilities:
Policyholders' account balances	188,287		0		0		0		0		1,272,540		0		0		0

(2)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.

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

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

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

Fair Value Measurements, Nonrecurring

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). For both the three and nine months ended September 30, 2023, there were no triggering events.


	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
	(in thousands)				(in thousands)
Equity in earnings of operating joint venture, net of taxes
Investment in joint venture	$	0	$	0	$	0	$	(75,000)


	September 30, 2023		December 31, 2022
	(in thousands)
Carrying value after measurement as of period end:
Investment in joint venture(1)	$	0	$	60,456

(1)Reported carrying value includes value as of the measurement period of June 30, 2022 for "Investment in joint venture".

Fair Value Disclosure Financial Instruments Not Carried at Fair Value

The tables below present 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, 2023
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	5,093,398	$	5,093,398	$	5,492,869
Policy loans	0		0		1,455,484		1,455,484		1,455,484
Short-term investments	45,002		0		0		45,002		45,002
Cash and cash equivalents	560,365		139,999		0		700,364		700,364
Accrued investment income	0		308,908		0		308,908		308,908
Reinsurance recoverables	0		0		22,899		22,899		24,942
Receivables from parent and affiliates	0		87,180		0		87,180		87,180
Other assets	0		89,142		1,378,029		1,467,171		1,467,171
Total assets	$	605,367	$	625,229	$	7,949,810	$	9,180,406	$	9,581,920
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,017,396	$	4,687,310	$	5,704,706	$	5,726,015
Cash collateral for loaned securities	0		184,001		0		184,001		184,001
Short-term debt to affiliates	0		297,280		0		297,280		304,317

Payables to parent and affiliates	0		31,254		0		31,254		31,254
Other liabilities	0		1,953,309		32,423		1,985,732		1,985,732
Total liabilities	$	0	$	3,483,240	$	4,719,733	$	8,202,973	$	8,231,319


	December 31, 2022
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	4,602,177	$	4,602,177	$	4,928,680
Policy loans	0		0		505,367		505,367		505,367
Short-term investments	26,331		0		0		26,331		26,331
Cash and cash equivalents	675,445		290,000		0		965,445		965,445
Accrued investment income	0		219,635		0		219,635		219,635
Reinsurance recoverables	0		0		25,127		25,127		27,183
Receivables from parent and affiliates	0		76,846		0		76,846		76,846
Other assets	0		94,200		730,682		824,882		824,882
Total assets	$	701,776	$	680,681	$	5,863,353	$	7,245,810	$	7,574,369
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	1,192,271	$	3,141,000	$	4,333,271	$	4,351,945
Cash collateral for loaned securities	0		86,750		0		86,750		86,750
Short-term debt to affiliates	0		120,325		0		120,325		126,250
Long-term debt to affiliates	0		173,905		0		173,905		185,563
Payables to parent and affiliates	0		41,654		0		41,654		41,654
Other liabilities	0		1,269,615		33,250		1,302,865		1,302,866
Total liabilities	$	0	$	2,884,520	$	3,174,250	$	6,058,770	$	6,095,028

(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.