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Fair Value of Assets and Liabilities

3 Months Ended

Mar. 31, 2024

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 prices in active markets for similar assets and liabilities, quoted 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, 2023.

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.


	March 31, 2024
	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	$	948,985	$	0	$		$	948,985
Obligations of U.S. states and their political subdivisions	0		731,714		0				731,714
Foreign government bonds	0		266,953		671				267,624
U.S. corporate public securities	0		10,004,726		0				10,004,726
U.S. corporate private securities	0		4,428,876		553,362				4,982,238
Foreign corporate public securities	0		2,055,367		6,965				2,062,332
Foreign corporate private securities	0		4,322,436		449,323				4,771,759
Asset-backed securities(2)	0		2,426,607		616,197				3,042,804
Commercial mortgage-backed securities	0		756,593		77,924				834,517
Residential mortgage-backed securities	0		384,785		0				384,785
Subtotal	0		26,327,042		1,704,442				28,031,484
Market risk benefit assets	0		0		2,536,843				2,536,843
Fixed maturities, trading	0		3,033,917		146,543				3,180,460
Equity securities	530,559		15,527		28,650				574,736
Short-term investments	220,814		329,339		3,351				553,504
Cash equivalents	297,705		1,611,967		0				1,909,672
Other invested assets(4)	31,401		11,993,206		1		(11,993,839)		30,769
Other assets	0		0		303,538				303,538
Reinsurance recoverables	0		0		98,083				98,083
Receivables from parent and affiliates	0		148,571		121,378				269,949
Subtotal excluding separate account assets	1,080,479		43,459,569		4,942,829		(11,993,839)		37,489,038
Separate account assets(5)(6)	199,149		116,193,959		7,894				116,401,002
Total assets	$	1,279,628	$	159,653,528	$	4,950,723	$	(11,993,839)	$	153,890,040
Market risk benefit liabilities	$	0	$	0	$	4,388,317	$		$	4,388,317
Policyholders' account balances	0		0		9,742,269				9,742,269
Payables to parent and affiliates	0		23,450,922		0		(20,963,695)		2,487,227
Other liabilities(7)	7,555		17,519		207		(7,555)		17,726
Total liabilities	$	7,555	$	23,468,441	$	14,130,793	$	(20,971,250)	$	16,635,539


	December 31, 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	$	975,287	$	0	$		$	975,287
Obligations of U.S. states and their political subdivisions	0		776,627		0				776,627
Foreign government bonds	0		281,304		682				281,986
U.S. corporate public securities	0		9,495,912		0				9,495,912
U.S. corporate private securities	0		4,476,258		513,236				4,989,494
Foreign corporate public securities	0		1,698,965		7,129				1,706,094
Foreign corporate private securities	0		4,137,004		493,978				4,630,982
Asset-backed securities(2)	0		1,928,428		99,122				2,027,550
Commercial mortgage-backed securities	0		773,663		78,115				851,778
Residential mortgage-backed securities	0		396,070		0				396,070
Subtotal	0		24,939,518		1,192,262				26,131,780
Market risk benefit assets	0		0		2,367,243				2,367,243
Fixed maturities, trading	0		2,762,398		34,048				2,796,446
Equity securities(3)	790,346		11,285		28,709				830,340
Short-term investments	31,879		280,228		1,759				313,866
Cash equivalents	447,396		1,196,729		0				1,644,125
Other invested assets(4)	23,432		9,022,304		1		(9,028,019)		17,718
Other assets	0		0		224,019				224,019
Reinsurance recoverables	0		0		69,745				69,745
Receivables from parent and affiliates	0		147,984		0				147,984
Subtotal excluding separate account assets	1,293,053		38,360,446		3,917,786		(9,028,019)		34,543,266
Separate account assets(5)(6)	176,239		113,747,569		5,985				113,929,793
Total assets	$	1,469,292	$	152,108,015	$	3,923,771	$	(9,028,019)	$	148,473,059
Market risk benefit liabilities	$	0	$	0	$	5,144,401	$		$	5,144,401
Policyholders' account balances	0		0		7,689,929				7,689,929
Payables to parent and affiliates	0		21,239,770		0		(18,588,647)		2,651,123
Other liabilities(7)	8,032		6,340		0		(8,032)		6,340
Total liabilities	$	8,032	$	21,246,110	$	12,834,330	$	(18,596,679)	$	15,491,793

(1)“Netting” amounts represent cash collateral of $(8,977) million and $(9,569) million as of March 31, 2024 and December 31, 2023, 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)Equity securities excluded from the fair value hierarchy include a fund for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. As of December 31, 2023, the fair value of this investment was $14.6 million.

(4)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 NAV per share (or its equivalent) as a practical expedient. As of March 31, 2024 and December 31, 2023, the fair value of such investments was $66 million and $67 million, respectively.

(5)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.

(6)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. As of March 31, 2024 and December 31, 2023, the fair value of such investments was $5,494 million and $5,259 million, respectively.

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

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


	March 31, 2024
	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)	$	804,470	Discounted cash flow	Discount rate	6.92	%	20	%	11.64	%	Decrease

Commercial mortgage-backed securities	$	77,924	Discounted cash flow	Liquidity premium	0.60	%	0.75	%	0.68	%	Decrease
Market risk benefit assets(3)	$	2,536,843	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
				Spread over SOFR(5)	0.33	%	1.80	%			Increase
				Utilization rate(6)	38	%	95	%			Decrease
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	15	%			Increase
				Equity volatility curve	15	%	25	%			Decrease
Other assets	$	303,538	Discounted cash flow	Lapse rate(4)	1	%	80	%			Increase
				Spread over SOFR(5)	0.33	%	1.80	%			Increase
				Mortality rate(8)	0	%	23	%			Increase
				Option Budget(10)	(1)	%	7	%			Decrease
Liabilities:
Market risk benefit liabilities(3)	$	4,388,317	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
				Spread over SOFR(5)	0.33	%	1.80	%			Decrease
				Utilization rate(6)	38	%	95	%			Increase
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	15	%			Decrease
				Equity volatility curve	15	%	25	%			Increase
Policyholders' account balances(9)	$	9,742,269	Discounted cash flow	Lapse rate(4)	1	%	80	%			Decrease
				Spread over SOFR(5)	0.33	%	1.80	%			Decrease
				Mortality rate(8)	0	%	23	%			Decrease
				Option budget(10)	(1)	%	7	%			Increase


	December 31, 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)	$	81,635	Discounted cash flow	Discount rate	6.98	%	20	%	9.73	%	Decrease

			Liquidation	Liquidation value	63.62	%	63.62	%	63.62	%	Increase
Commercial mortgage-backed securities	$	78,115	Discounted cash flow	Liquidity premium	0.60	%	0.75	%	0.71	%	Decrease
Market risk benefit assets(3)	$	2,367,243	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
				Spread over SOFR(5)	0.41	%	1.91	%			Increase
				Utilization rate(6)	38	%	95	%			Decrease
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	15	%			Increase
				Equity volatility curve	15	%	25	%			Decrease
Other assets	$	224,019	Discounted cash flow	Lapse rate(4)	1	%	80	%			Increase
				Spread over SOFR(5)	0.41	%	1.85	%			Increase
				Mortality rate(8)	0	%	23	%			Increase
				Option Budget(10)	(1)	%	7	%			Decrease
Liabilities:
Market risk benefit liabilities(3)	$	5,144,401	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
				Spread over SOFR(5)	0.41	%	1.91	%			Decrease
				Utilization rate(6)	38	%	95	%			Increase
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	15	%			Decrease
				Equity volatility curve	15	%	25	%			Increase
Policyholders' account balances(9)	$	7,689,929	Discounted cash flow	Lapse rate(4)	1	%	80	%			Decrease
				Spread over SOFR(5)	0.41	%	1.85	%			Decrease
				Mortality rate(8)	0	%	23	%			Decrease
				Option budget(10)	(1)	%	7	%			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)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.

(4)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 balances.

(5)The spread over the Secured Overnight Financing Rate (“SOFR”) swap curve represents the premium added to the proxy for the risk-free rate (SOFR) 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 March 31, 2024 and December 31, 2023, respectively. This spread includes an estimate of non-performance risk ("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, now known as AuguStar Life Insurance Company ("AuguStar"), an affiliate of Constellation Insurance Holdings, Inc., to reinsure approximately $10 billion of account values of Prudential Defined Income ("PDI") traditional variable annuity contracts with guaranteed living and death 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 AuguStar, which may differ from the Company's; however, the NPR spreads for AuguStar were developed using a methodology similar to that of the Company.

(6)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.

(7)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 March 31, 2024 and December 31, 2023, the minimum withdrawal rate assumption is 81% and 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%.

(8)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.

(9)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.

(10)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 budget determines future costs of the options, which impacts the growth in account value and the valuation of embedded derivatives.

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 increase, credit spreads widen, which results in a decrease in fair value.

Commercial Mortgage-backed Securities – Interrelationships may exist between the prepayment rate, the default rate and/or loss severity, depending on specific market conditions. In stronger economic cycles, prepayment rates are generally driven by underlying property appreciation and subsequent cash-out refinances, while default rates and loss severity may be lower. During weaker economic cycles, prepayment rates may decline, while default rates and loss severity increase. Generally, a change in the assumption used for the probability of default would be accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The impact of these factors on average life and economics varies with the deal structure and tranche subordination.

Market Risk Benefits – The Company expects efficient benefit utilization and withdrawal rates to generally be correlated with lapse rates. However, behavior is generally 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 (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 March 31, 2024(6)
	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	$	682	$	(11)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	671	$	(13)
Corporate securities(3)	1,014,343		(10,790)		125,041		(65,052)		0		(53,892)		0		0		0		1,009,650		(9,602)
Structured securities(4)	177,237		(139)		484,340		0		0		(1,895)		0		34,578		0		694,121		(280)
Other assets:
Fixed maturities, trading	34,048		(848)		113,343		0		0		0		0		0		0		146,543		(848)
Equity securities	28,709		(332)		273		0		0		0		0		0		0		28,650		(332)
Other invested assets	1		1		(1)		0		0		0		0		0		0		1		1
Short-term investments	1,759		(316)		2,002		0		0		(94)		0		0		0		3,351		(316)

Other assets	224,019		37,007		55,706		0		0		(13,194)		0		0		0		303,538		23,814
Receivables from parent and affiliates	0		0		121,378		0		0		0		0		0		0		121,378		0
Reinsurance recoverables(5)	69,745		(5,964)		34,302		0		0		0		0		0		0		98,083		(35,533)
Separate account assets	5,985		199		2,633		(1,256)		0		(125)		0		458		0		7,894		200
Liabilities:
Policyholders' account balances(5)	(7,689,929)		(1,416,938)		0		0		(636,215)		0		813		0		0		(9,742,269)		(140,662)
Other liabilities	0		(207)		0		0		0		0		0		0		0		(207)		(207)


	Three Months Ended March 31, 2024
	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	$	(1,696)	$	0	$	0	$	(9,842)	$	598	$	626	$	0	$	0	$	(10,521)
Other assets:
Fixed maturities, trading	0		(848)		0		0		0		0		(848)		0		0
Equity securities	0		(332)		0		0		0		0		(332)		0		0
Other invested assets	1		0		0		0		0		1		0		0		0
Short-term investments	(316)		0		0		0		0		(316)		0		0		0

Other assets	37,007		0		0		0		0		23,814		0		0		0

Reinsurance recoverables	(5,964)		0		0		0		0		(35,533)		0		0		0
Separate account assets	0		0		199		0		0		0		0		200		0
Liabilities:
Policyholders' account balances	(1,416,938)		0		0		0		0		(140,662)		0		0		0
Other liabilities	(207)		0		0		0		0		(207)		0		0		0

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	Three Months Ended March 31, 2023(6)
	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	$	(10)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	714	$	(12)
Corporate securities(3)	507,496		5,323		94,096		(19,598)		0		(51,424)		0		0		0		535,893		4,640
Structured securities(4)	104,724		(3,635)		146,016		(27)		0		(613)		0		2,240		(19,836)		228,869		(3,613)
Other assets:
Fixed maturities, trading	0		0		6,250		0		0		0		0		0		0		6,250		0
Equity securities	28,593		(830)		0		0		0		0		15,411		0		0		43,174		(830)

Short-term investments	16,945		1,856		1,542		0		0		(5,927)		0		0		0		14,416		51

Other assets	141,041		(18,361)		34,620		0		0		(1,537)		0		0		0		155,763		(16,824)

Reinsurance recoverables	0		1,357		0		0		0		0		0		0		0		1,357		1,357
Separate account assets	4,645		98		0		(180)		0		(10)		0		0		0		4,553		96
Liabilities:
Policyholders' account balances(5)	(3,502,096)		(229,919)		0		0		(398,623)		0		1,595		0		0		(4,129,043)		(417,482)


	Three Months Ended March 31, 2023
	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	$	325	$	0	$	0	$	964	$	389	$	(901)	$	0	$	0	$	1,916
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		(830)		0		0		0		0		(830)		0		0

Short-term investments	1,434		0		0		51		371		0		0		0		51

Other assets	(18,361)		0		0		0		0		(16,824)		0		0		0

Reinsurance recoverables	1,357		0		0		0		0		1,357		0		0		0
Separate account assets	0		0		98		0		0		0		0		96		0
Liabilities:
Policyholders' account balances	(229,919)		0		0		0		0		(417,482)		0		0		0

(1)"Other" includes additional activity not allocated to the specific categories within the rollforward of Level 3 Assets and Liabilities.

(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, and foreign corporate private securities.

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

(5)Purchases/issuances and settlements for Policyholders' account balances and Reinsurance recoverables are presented net in the rollforward.

(6)Excludes MRB assets of $2,537 million and $1,427 million and MRB liabilities of $4,388 million and $5,622 million for period ending March 31, 2024 and 2023, respectively. See Note 10 for additional information.

Fair Value of Financial Instruments

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.


	March 31, 2024
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	6,039,321	$	6,039,321	$	6,279,862
Policy loans	0		0		1,496,241		1,496,241		1,496,241
Short-term investments	120,007		0		0		120,007		120,007
Cash and cash equivalents	448,086		0		0		448,086		448,086
Accrued investment income	0		361,054		0		361,054		361,054
Reinsurance recoverables	0		0		21,774		21,774		23,385
Receivables from parent and affiliates	0		244,305		0		244,305		244,305
Other assets	0		50,157		1,737,800		1,787,957		1,787,957
Total assets	$	568,093	$	655,516	$	9,295,136	$	10,518,745	$	10,760,897
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	912,874	$	6,803,977	$	7,716,851	$	7,733,251
Cash collateral for loaned securities	0		3,698		0		3,698		3,698
Short-term debt to affiliates	0		179,115		0		179,115		179,115

Payables to parent and affiliates	0		73,514		0		73,514		73,514
Other liabilities	0		2,352,465		32,423		2,384,888		2,384,888
Total liabilities	$	0	$	3,521,666	$	6,836,400	$	10,358,066	$	10,374,466


	December 31, 2023
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	5,918,386	$	5,918,386	$	6,122,721
Policy loans	0		0		1,472,677		1,472,677		1,472,677
Short-term investments	66,500		0		0		66,500		66,500
Cash and cash equivalents	470,668		24,999		0		495,667		495,667
Accrued investment income	0		333,838		0		333,838		333,838
Reinsurance recoverables	0		0		22,155		22,155		23,537
Receivables from parent and affiliates	0		184,599		0		184,599		184,599
Other assets	0		80,646		1,489,983		1,570,629		1,570,629
Total assets	$	537,168	$	624,082	$	8,903,201	$	10,064,451	$	10,270,168
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	955,647	$	5,396,885	$	6,352,532	$	6,368,061
Cash collateral for loaned securities	0		218,310		0		218,310		218,310
Short-term debt to affiliates	0		176,110		0		176,110		180,411

Payables to parent and affiliates	0		16,573		0		16,573		16,573
Other liabilities	0		2,121,861		32,423		2,154,284		2,154,283
Total liabilities	$	0	$	3,488,501	$	5,429,308	$	8,917,809	$	8,937,638

(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