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Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2024

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.


	June 30, 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	$	1,121,135	$	0	$		$	1,121,135
Obligations of U.S. states and their political subdivisions	0		612,482		0				612,482
Foreign government bonds	0		265,660		664				266,324
U.S. corporate public securities	0		11,412,122		0				11,412,122
U.S. corporate private securities	0		4,639,796		581,609				5,221,405
Foreign corporate public securities	0		2,890,201		6,892				2,897,093
Foreign corporate private securities	0		4,504,426		416,674				4,921,100
Asset-backed securities(2)	0		2,835,605		591,664				3,427,269
Commercial mortgage-backed securities	0		782,691		76,371				859,062
Residential mortgage-backed securities	0		372,771		0				372,771
Subtotal	0		29,436,889		1,673,874				31,110,763
Market risk benefit assets	0		0		2,550,164				2,550,164
Fixed maturities, trading	0		2,833,692		240,820				3,074,512
Equity securities	521,834		15,455		28,330				565,619
Short-term investments	7,942		347,940		2,674				358,556
Cash equivalents	0		1,667,949		605				1,668,554
Other invested assets(4)	15,921		13,037,904		763		(13,027,344)		27,244
Other assets	0		0		363,440				363,440
Reinsurance recoverables	0		0		127,289				127,289
Receivables from parent and affiliates	0		149,495		181,319				330,814
Subtotal excluding separate account assets	545,697		47,489,324		5,169,278		(13,027,344)		40,176,955
Separate account assets(5)(6)	209,537		114,021,411		9,799				114,240,747
Total assets	$	755,234	$	161,510,735	$	5,179,077	$	(13,027,344)	$	154,417,702
Market risk benefit liabilities	$	0	$	0	$	4,370,960	$		$	4,370,960
Policyholders' account balances	0		0		10,083,258				10,083,258
Payables to parent and affiliates	0		24,249,436		0		(21,142,232)		3,107,204
Other liabilities(7)	3,686		13,178		207		(771)		16,300
Total liabilities	$	3,686	$	24,262,614	$	14,454,425	$	(21,143,003)	$	17,577,722


	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 $(8,116) million and $(9,569) million as of June 30, 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 June 30, 2024 and December 31, 2023, the fair value of such investments was $50 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 June 30, 2024 and December 31, 2023, the fair value of such investments was $5,740 million and $5,259 million, respectively.

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

Fair Value Inputs, Assets and Liabilities, Quantitative Information

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


	June 30, 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)	$	889,304	Discounted cash flow	Discount rate	7.42	%	20	%	11.75	%	Decrease

Commercial mortgage-backed securities	$	76,371	Discounted cash flow	Liquidity premium	1.00	%	1.00	%	1.00	%	Decrease
Market risk benefit assets(3)	$	2,550,164	Discounted cash flow	Lapse rate(4)	1	%	20	%			Increase
				Spread over SOFR(5)	0.35	%	1.92	%			Increase
				Utilization rate(6)	37	%	94	%			Decrease
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	16	%			Increase
				Equity volatility curve	15	%	25	%			Decrease
Other assets(9)	$	363,440	Discounted cash flow	Lapse rate(4)	0	%	80	%			Increase
				Spread over SOFR(5)	0.35	%	1.90	%			Increase
				Mortality rate(8)	0	%	23	%			Increase
				Option budget(11)	(1)	%	7	%			Decrease
Receivable from parent and affiliates	$	181,319	Recent purchase price	Recent purchase price
Liabilities:
Market risk benefit liabilities(3)	$	4,370,960	Discounted cash flow	Lapse rate(4)	1	%	20	%			Decrease
				Spread over SOFR(5)	0.35	%	1.92	%			Decrease
				Utilization rate(6)	37	%	94	%			Increase
				Withdrawal rate	See table footnote (7) below.
				Mortality rate(8)	0	%	16	%			Decrease
				Equity volatility curve	15	%	25	%			Increase
Policyholders' account balances(10)	$	10,083,258	Discounted cash flow	Lapse rate(4)	0	%	80	%			Decrease
				Spread over SOFR(5)	0.35	%	1.90	%			Decrease
				Mortality rate(8)	0	%	23	%			Decrease
				Option budget(11)	(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(9)	$	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(11)	(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(10)	$	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(11)	(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 June 30, 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 June 30, 2024 and December 31, 2023, the minimum withdrawal rate assumption is 78% and 81%, respectively. As of June 30, 2024 and December 31, 2023 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)Includes deposit assets related to reinsurance agreements using deposit accounting, which include amounts representing the fair value of embedded derivative instruments associated with the index-linked features of certain annuity products.

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

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 June 30, 2024(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3(7)		Transfers out of Level 3(7)		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	671	$	(7)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	664	$	(11)
Corporate securities(3)	1,009,650		(6,128)		203,749		(65,650)		0		(71,908)		(65,480)		942		0		1,005,175		(7,077)
Structured securities(4)	694,121		(254)		37,188		0		0		(51,300)		65,480		0		(77,200)		668,035		380
Other assets:
Fixed maturities, trading	146,543		(50)		111,784		0		0		(2,261)		0		0		(15,196)		240,820		(42)
Equity securities	28,650		(320)		0		0		0		0		0		0		0		28,330		(320)
Other invested assets	1		761		1		0		0		0		0		0		0		763		761
Short-term investments	3,351		320		304		(8)		0		(1,293)		0		0		0		2,674		308
Cash equivalents	0		0		605		0		0		0		0		0		0		605		0
Other assets	303,538		14,418		58,326		0		0		(12,842)		0		0		0		363,440		1,575
Receivables from parent and affiliates	121,378		0		111,140		(51,199)		0		0		0		0		0		181,319		0
Reinsurance recoverables(5)	96,442		(20,186)		51,033		0		0		0		0		0		0		127,289		(43,624)
Separate account assets	7,894		102		1,805		(2)		0		0		0		0		0		9,799		102
Liabilities:
Policyholders' account balances(5)	(9,752,538)		213,839		0		0		(545,676)		0		1,117		0		0		(10,083,258)		973,682
Other liabilities	(207)		0		0		0		0		0		0		0		0		(207)		0


	Three Months Ended June 30, 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	$	(2,567)	$	0	$	0	$	(4,746)	$	924	$	(1,404)	$	0	$	0	$	(5,304)
Other assets:
Fixed maturities, trading	0		(50)		0		0		0		0		(42)		0		0
Equity securities	0		(320)		0		0		0		0		(320)		0		0
Other invested assets	761		0		0		0		0		761		0		0		0
Short-term investments	308		0		0		0		12		308		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	14,418		0		0		0		0		1,575		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(20,186)		0		0		0		0		(43,624)		0		0		0
Separate account assets	0		0		102		0		0		0		0		102		0
Liabilities:
Policyholders' account balances	213,839		0		0		0		0		973,682		0		0		0
Other liabilities	0		0		0		0		0		0		0		0		0


	Six Months Ended June 30, 2024(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other (1)		Transfers into Level 3(7)		Transfers out of Level 3(7)		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	682	$	(18)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	664	$	(24)
Corporate securities(3)	1,014,343		(16,918)		328,790		(130,702)		0		(125,800)		(65,480)		942		0		1,005,175		(16,678)
Structured securities(4)	177,237		(393)		521,528		0		0		(53,195)		65,480		34,578		(77,200)		668,035		101
Other assets:
Fixed maturities, trading	34,048		(898)		225,127		0		0		(2,261)		0		0		(15,196)		240,820		(890)
Equity securities	28,709		(652)		273		0		0		0		0		0		0		28,330		(652)
Other invested assets	1		762		0		0		0		0		0		0		0		763		762
Short-term investments	1,759		4		2,306		(8)		0		(1,387)		0		0		0		2,674		(8)
Cash equivalents	0		0		605		0		0		0		0		0		0		605		0
Other assets	224,019		51,425		114,032		0		0		(26,036)		0		0		0		363,440		25,388
Receivables from parent and affiliates	0		0		232,518		(51,199)		0		0		0		0		0		181,319		0
Reinsurance recoverables	69,745		(25,707)		83,251		0		0		0		0		0		0		127,289		(78,715)
Separate account assets	5,985		301		4,438		(1,258)		0		(125)		0		458		0		9,799		302
Liabilities:
Policyholders' account balances(5)	(7,689,929)		(1,289,185)		0		0		(1,106,074)		0		1,930		0		0		(10,083,258)		831,176
Other liabilities	0		(207)		0		0		0		0		0		0		0		(207)		(207)
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	Six Months Ended June 30, 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	$	(4,263)	$	0	$	0	$	(14,588)	$	1,522	$	(776)	$	0	$	0	$	(15,825)
Other assets:
Fixed maturities, trading	0		(898)		0		0		0		0		(890)		0		0
Equity securities	0		(652)		0		0		0		0		(652)		0		0
Other invested assets	762		0		0		0		0		762		0		0		0
Short-term investments	(8)		0		0		0		12		(8)		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	51,425		0		0		0		0		25,388		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(25,707)		0		0		0		0		(78,715)		0		0		0
Separate account assets	0		0		301		0		0		0		0		302		0
Liabilities:
Policyholders' account balances	(1,289,185)		0		0		0		0		831,176		0		0		0
Other liabilities	(207)		0		0		0		0		(207)		0		0		0
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	Three Months Ended June 30, 2023(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3(7)		Transfers out of Level 3(7)		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	714	$	(13)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	701	$	(16)
Corporate securities(3)	535,893		1,876		216,778		(9,241)		0		(25,418)		1,359		0		0		721,247		1,773
Structured securities(4)	228,869		436		1,291		0		0		(725)		0		0		(83,532)		146,339		484
Other assets:
Fixed maturities, trading	6,250		0		0		0		0		0		0		0		(6,250)		0		0
Equity securities	43,174		19		0		0		0		0		181		0		0		43,374		19

Short-term investments	14,416		717		1,146		0		0		(13,711)		(1,359)		0		0		1,209		0

Other assets	155,763		26,381		38,983		0		0		(3,514)		0		0		0		217,613		19,779
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	1,357		108		0		0		0		0		0		0		0		1,465		108
Separate account assets	4,553		159		840		(420)		0		(150)		0		0		0		4,982		159
Liabilities:
Policyholders' account balances(5)	(4,129,043)		(1,017,564)		0		0		(439,615)		0		72,773		0		0		(5,513,449)		(150,676)


	Three Months Ended June 30, 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	$	(1,138)	$	0	$	0	$	3,476	$	(39)	$	(1,118)	$	0	$	0	$	3,359
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		19		0		0		0		0		19		0		0

Short-term investments	423		0		0		(124)		418		0		0		0		0

Other assets	26,381		0		0		0		0		19,779		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	108		0		0		0		0		108		0		0		0
Separate account assets	0		0		159		0		0		0		0		159		0
Liabilities:
Policyholders' account balances	(1,017,564)		0		0		0		0		(150,676)		0		0		0


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

Foreign government	$	724	$	(23)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	701	$	(28)
Corporate securities(3)	507,496		7,199		310,874		(28,839)		0		(76,842)		1,359		0		0		721,247		6,413
Structured securities(4)	104,724		(3,199)		147,307		(27)		0		(1,338)		0		2,240		(103,368)		146,339		(3,129)
Other assets:
Fixed maturities, trading	0		0		6,250		0		0		0		0		0		(6,250)		0		0
Equity securities	28,593		(811)		0		0		0		0		15,592		0		0		43,374		(811)
Short-term investments	16,945		2,573		2,688		0		0		(19,638)		(1,359)		0		0		1,209		51
Other assets	141,041		8,020		73,603		0		0		(5,051)		0		0		0		217,613		2,969
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	0		1,465		0		0		0		0		0		0		0		1,465		1,465
Separate account assets	4,645		257		840		(600)		0		(160)		0		0		0		4,982		255
Liabilities:
Policyholders' account balances(5)	(3,502,096)		(1,247,483)		0		0		(838,238)		0		74,368		0		0		(5,513,449)		(234,970)


	Six Months Ended June 30, 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	$	(813)	$	0	$	0	$	4,440	$	350	$	(2,019)	$	0	$	0	$	5,275
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		(811)		0		0		0		0		(811)		0		0
Short-term investments	1,857		0		0		(73)		789		0		0		0		51

Other assets	8,020		0		0		0		0		2,969		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	1,465		0		0		0		0		1,465		0		0		0
Separate account assets	0		0		257		0		0		0		0		255		0
Liabilities:
Policyholders' account balances	(1,247,483)		0		0		0		0		(234,970)		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 $2,550 million and $2,340 million and MRB liabilities of $4,371 million and $5,090 million for the periods ended June 30, 2024 and 2023, respectively. See Note 10 for additional information.

(7)Transfers into or out of Level 3 are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such positions still held at the end of the quarter.

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


	Three Months Ended June 30, 2024(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other(1)		Transfers into Level 3(7)		Transfers out of Level 3(7)		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	671	$	(7)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	664	$	(11)
Corporate securities(3)	1,009,650		(6,128)		203,749		(65,650)		0		(71,908)		(65,480)		942		0		1,005,175		(7,077)
Structured securities(4)	694,121		(254)		37,188		0		0		(51,300)		65,480		0		(77,200)		668,035		380
Other assets:
Fixed maturities, trading	146,543		(50)		111,784		0		0		(2,261)		0		0		(15,196)		240,820		(42)
Equity securities	28,650		(320)		0		0		0		0		0		0		0		28,330		(320)
Other invested assets	1		761		1		0		0		0		0		0		0		763		761
Short-term investments	3,351		320		304		(8)		0		(1,293)		0		0		0		2,674		308
Cash equivalents	0		0		605		0		0		0		0		0		0		605		0
Other assets	303,538		14,418		58,326		0		0		(12,842)		0		0		0		363,440		1,575
Receivables from parent and affiliates	121,378		0		111,140		(51,199)		0		0		0		0		0		181,319		0
Reinsurance recoverables(5)	96,442		(20,186)		51,033		0		0		0		0		0		0		127,289		(43,624)
Separate account assets	7,894		102		1,805		(2)		0		0		0		0		0		9,799		102
Liabilities:
Policyholders' account balances(5)	(9,752,538)		213,839		0		0		(545,676)		0		1,117		0		0		(10,083,258)		973,682
Other liabilities	(207)		0		0		0		0		0		0		0		0		(207)		0


	Three Months Ended June 30, 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	$	(2,567)	$	0	$	0	$	(4,746)	$	924	$	(1,404)	$	0	$	0	$	(5,304)
Other assets:
Fixed maturities, trading	0		(50)		0		0		0		0		(42)		0		0
Equity securities	0		(320)		0		0		0		0		(320)		0		0
Other invested assets	761		0		0		0		0		761		0		0		0
Short-term investments	308		0		0		0		12		308		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	14,418		0		0		0		0		1,575		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(20,186)		0		0		0		0		(43,624)		0		0		0
Separate account assets	0		0		102		0		0		0		0		102		0
Liabilities:
Policyholders' account balances	213,839		0		0		0		0		973,682		0		0		0
Other liabilities	0		0		0		0		0		0		0		0		0


	Six Months Ended June 30, 2024(6)
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other (1)		Transfers into Level 3(7)		Transfers out of Level 3(7)		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in thousands)
Fixed maturities, available-for-sale:

Foreign government	$	682	$	(18)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	664	$	(24)
Corporate securities(3)	1,014,343		(16,918)		328,790		(130,702)		0		(125,800)		(65,480)		942		0		1,005,175		(16,678)
Structured securities(4)	177,237		(393)		521,528		0		0		(53,195)		65,480		34,578		(77,200)		668,035		101
Other assets:
Fixed maturities, trading	34,048		(898)		225,127		0		0		(2,261)		0		0		(15,196)		240,820		(890)
Equity securities	28,709		(652)		273		0		0		0		0		0		0		28,330		(652)
Other invested assets	1		762		0		0		0		0		0		0		0		763		762
Short-term investments	1,759		4		2,306		(8)		0		(1,387)		0		0		0		2,674		(8)
Cash equivalents	0		0		605		0		0		0		0		0		0		605		0
Other assets	224,019		51,425		114,032		0		0		(26,036)		0		0		0		363,440		25,388
Receivables from parent and affiliates	0		0		232,518		(51,199)		0		0		0		0		0		181,319		0
Reinsurance recoverables	69,745		(25,707)		83,251		0		0		0		0		0		0		127,289		(78,715)
Separate account assets	5,985		301		4,438		(1,258)		0		(125)		0		458		0		9,799		302
Liabilities:
Policyholders' account balances(5)	(7,689,929)		(1,289,185)		0		0		(1,106,074)		0		1,930		0		0		(10,083,258)		831,176
Other liabilities	0		(207)		0		0		0		0		0		0		0		(207)		(207)
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	Six Months Ended June 30, 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	$	(4,263)	$	0	$	0	$	(14,588)	$	1,522	$	(776)	$	0	$	0	$	(15,825)
Other assets:
Fixed maturities, trading	0		(898)		0		0		0		0		(890)		0		0
Equity securities	0		(652)		0		0		0		0		(652)		0		0
Other invested assets	762		0		0		0		0		762		0		0		0
Short-term investments	(8)		0		0		0		12		(8)		0		0		0
Cash equivalents	0		0		0		0		0		0		0		0		0
Other assets	51,425		0		0		0		0		25,388		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	(25,707)		0		0		0		0		(78,715)		0		0		0
Separate account assets	0		0		301		0		0		0		0		302		0
Liabilities:
Policyholders' account balances	(1,289,185)		0		0		0		0		831,176		0		0		0
Other liabilities	(207)		0		0		0		0		(207)		0		0		0
Don't delete hidden table


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

Foreign government	$	714	$	(13)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	701	$	(16)
Corporate securities(3)	535,893		1,876		216,778		(9,241)		0		(25,418)		1,359		0		0		721,247		1,773
Structured securities(4)	228,869		436		1,291		0		0		(725)		0		0		(83,532)		146,339		484
Other assets:
Fixed maturities, trading	6,250		0		0		0		0		0		0		0		(6,250)		0		0
Equity securities	43,174		19		0		0		0		0		181		0		0		43,374		19

Short-term investments	14,416		717		1,146		0		0		(13,711)		(1,359)		0		0		1,209		0

Other assets	155,763		26,381		38,983		0		0		(3,514)		0		0		0		217,613		19,779
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	1,357		108		0		0		0		0		0		0		0		1,465		108
Separate account assets	4,553		159		840		(420)		0		(150)		0		0		0		4,982		159
Liabilities:
Policyholders' account balances(5)	(4,129,043)		(1,017,564)		0		0		(439,615)		0		72,773		0		0		(5,513,449)		(150,676)


	Three Months Ended June 30, 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	$	(1,138)	$	0	$	0	$	3,476	$	(39)	$	(1,118)	$	0	$	0	$	3,359
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		19		0		0		0		0		19		0		0

Short-term investments	423		0		0		(124)		418		0		0		0		0

Other assets	26,381		0		0		0		0		19,779		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	108		0		0		0		0		108		0		0		0
Separate account assets	0		0		159		0		0		0		0		159		0
Liabilities:
Policyholders' account balances	(1,017,564)		0		0		0		0		(150,676)		0		0		0


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

Foreign government	$	724	$	(23)	$	0	$	0	$	0	$	0	$	0	$	0	$	0	$	701	$	(28)
Corporate securities(3)	507,496		7,199		310,874		(28,839)		0		(76,842)		1,359		0		0		721,247		6,413
Structured securities(4)	104,724		(3,199)		147,307		(27)		0		(1,338)		0		2,240		(103,368)		146,339		(3,129)
Other assets:
Fixed maturities, trading	0		0		6,250		0		0		0		0		0		(6,250)		0		0
Equity securities	28,593		(811)		0		0		0		0		15,592		0		0		43,374		(811)
Short-term investments	16,945		2,573		2,688		0		0		(19,638)		(1,359)		0		0		1,209		51
Other assets	141,041		8,020		73,603		0		0		(5,051)		0		0		0		217,613		2,969
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0		0		0
Reinsurance recoverables	0		1,465		0		0		0		0		0		0		0		1,465		1,465
Separate account assets	4,645		257		840		(600)		0		(160)		0		0		0		4,982		255
Liabilities:
Policyholders' account balances(5)	(3,502,096)		(1,247,483)		0		0		(838,238)		0		74,368		0		0		(5,513,449)		(234,970)


	Six Months Ended June 30, 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	$	(813)	$	0	$	0	$	4,440	$	350	$	(2,019)	$	0	$	0	$	5,275
Other assets:
Fixed maturities, trading	0		0		0		0		0		0		0		0		0
Equity securities	0		(811)		0		0		0		0		(811)		0		0
Short-term investments	1,857		0		0		(73)		789		0		0		0		51

Other assets	8,020		0		0		0		0		2,969		0		0		0
Receivables from parent and affiliates	0		0		0		0		0		0		0		0		0
Reinsurance recoverables	1,465		0		0		0		0		1,465		0		0		0
Separate account assets	0		0		257		0		0		0		0		255		0
Liabilities:
Policyholders' account balances	(1,247,483)		0		0		0		0		(234,970)		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.

(7)Transfers into or out of Level 3 are generally reported at the value as of the beginning of the quarter in which the transfers occur for any such positions still held at the end of the quarter.

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.


	June 30, 2024
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in thousands)
Assets:
Commercial mortgage and other loans	$	0	$	0	$	6,465,057	$	6,465,057	$	6,718,386
Policy loans	0		0		1,511,288		1,511,288		1,511,288
Short-term investments	58,102		0		0		58,102		58,102
Cash and cash equivalents	892,653		325,000		0		1,217,653		1,217,653
Accrued investment income	0		426,302		0		426,302		426,302
Reinsurance recoverables	0		0		21,733		21,733		23,508
Receivables from parent and affiliates	0		85,725		0		85,725		85,725
Other assets	0		89,182		1,910,626		1,999,808		1,999,808
Total assets	$	950,755	$	926,209	$	9,908,704	$	11,785,668	$	12,040,772
Liabilities:
Policyholders’ account balances - investment contracts	$	0	$	872,062	$	7,849,872	$	8,721,934	$	8,739,221
Cash collateral for loaned securities	0		19,397		0		19,397		19,397


Payables to parent and affiliates	0		26,493		0		26,493		26,493
Other liabilities	0		2,582,917		31,606		2,614,523		2,614,523
Total liabilities	$	0	$	3,500,869	$	7,881,478	$	11,382,347	$	11,399,634


	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

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

+ References + Details