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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Summary of Significant Inputs Used by Third-Party Pricing Services for Certain Fair Value Measurements of Fixed Maturity Securities that Classified as Level 2

The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of June 30, 2023:


(Amounts in millions)	Fair value		Primary methodologies	Significant inputs
U.S. government, agencies and government-sponsored enterprises		$3,389	Price quotes from trading desk, broker feeds	Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread

State and political subdivisions		$2,283	Multi-dimensional attribute-based modeling systems, third-party pricing vendors	Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes

Non-U.S. government		$625	Matrix pricing, spread priced to benchmark curves, price quotes from market makers	Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources

U.S. corporate		$23,491	Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, OAS-based models	Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports

Non-U.S. corporate		$6,232	Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers	Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources

Residential mortgage-backed		$926	OAS-based models, single factor binomial models, internally priced	Prepayment and default assumptions, aggregation of bonds with similar characteristics, including collateral type, vintage, tranche type, weighted-average life, weighted-average loan age, issuer program and delinquency ratio, pay up and pay down factors, TRACE reports

Commercial mortgage-backed		$1,679	Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics model	Credit risk, interest rate risk, prepayment speeds, new issue data, collateral performance, origination year, tranche type, original credit ratings, weighted-average life, cash flows, spreads derived from broker quotes, bid side prices, spreads to daily updated swaps curves, TRACE reports

Other asset-backed		$2,104	Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers	Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports

Assets by Class of Instrument that are Measured at Fair Value on Recurring Basis

The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:


	June 30, 2023
(Amounts in millions)	Total		Level 1		Level 2		Level 3		NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	3,389	$	—	$	3,389	$	—	$	—
State and political subdivisions		2,343		—		2,283		60		—
Non-U.S. government		625		—		625		—		—
U.S. corporate:
Utilities		3,964		—		3,146		818		—
Energy		2,248		—		2,189		59		—
Finance and insurance		7,126		—		6,422		704		—
Consumer—non-cyclical		4,410		—		4,342		68		—
Technology and communications		2,934		—		2,923		11		—
Industrial		1,224		—		1,202		22		—
Capital goods		2,107		—		2,073		34		—
Consumer—cyclical		1,614		—		1,490		124		—
Transportation		1,117		—		1,094		23		—
Other		299		—		146		153		—

Total U.S. corporate		27,043		—		25,027		2,016		—

Non-U.S. corporate:
Utilities		735		—		415		320		—
Energy		1,002		—		885		117		—
Finance and insurance		1,899		—		1,773		126		—
Consumer—non-cyclical		592		—		519		73		—
Technology and communications		891		—		865		26		—
Industrial		782		—		707		75		—
Capital goods		555		—		504		51		—
Consumer—cyclical		217		—		208		9		—
Transportation		346		—		325		21		—
Other		819		—		798		21		—

Total non-U.S. corporate		7,838		—		6,999		839		—

Residential mortgage-backed		934		—		926		8		—
Commercial mortgage-backed		1,690		—		1,679		11		—
Other asset-backed		2,208		—		2,104		104		—

Total fixed maturity securities		46,070		—		43,032		3,038		—

Equity securities		378		307		41		30		—
Limited partnerships		2,003		—		—		21		1,982
Other invested assets:
Derivative assets:
Interest rate swaps		30		—		30		—		—
Foreign currency swaps		16		—		16		—		—
Equity index options		15		—		—		15		—

Total derivative assets		61		—		46		15		—

Short-term investments		23		—		16		7		—

Total other invested assets		84		—		62		22		—

Separate account assets		4,533		4,533		—		—		—

Total assets	$	53,068	$	4,840	$	43,135	$	3,111	$	1,982

(1)	Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.


	December 31, 2022
(Amounts in millions)	Total		Level 1		Level 2		Level 3		NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises	$	3,341	$	—	$	3,341	$	—	$	—
State and political subdivisions		2,399		—		2,344		55		—
Non-U.S. government		645		—		645		—		—
U.S. corporate:
Utilities		3,898		—		3,056		842		—
Energy		2,262		—		2,146		116		—
Finance and insurance		7,193		—		6,506		687		—
Consumer—non-cyclical		4,457		—		4,375		82		—
Technology and communications		2,947		—		2,923		24		—
Industrial		1,197		—		1,175		22		—
Capital goods		2,138		—		2,104		34		—
Consumer—cyclical		1,617		—		1,504		113		—
Transportation		1,100		—		1,057		43		—
Other		310		—		151		159		—

Total U.S. corporate		27,119		—		24,997		2,122		—

Non-U.S. corporate:
Utilities		740		—		445		295		—
Energy		960		—		842		118		—
Finance and insurance		1,946		—		1,821		125		—
Consumer—non-cyclical		566		—		493		73		—
Technology and communications		894		—		868		26		—
Industrial		818		—		770		48		—
Capital goods		546		—		451		95		—
Consumer—cyclical		276		—		212		64		—
Transportation		375		—		355		20		—
Other		889		—		868		21		—

Total non-U.S. corporate		8,010		—		7,125		885		—

Residential mortgage-backed		995		—		973		22		—
Commercial mortgage-backed		1,908		—		1,896		12		—
Other asset-backed		2,166		—		2,072		94		—

Total fixed maturity securities		46,583		—		43,393		3,190		—

Equity securities		319		239		46		34		—
Limited partnerships		1,816		—		—		24		1,792
Other invested assets:
Derivative assets:
Interest rate swaps		24		—		24		—		—
Foreign currency swaps		20		—		20		—		—
Equity index options		6		—		—		6		—

Total derivative assets		50		—		44		6		—

Short-term investments		3		—		3		—		—

Total other invested assets		53		—		47		6		—

Separate account assets		4,417		4,417		—		—		—

Total assets	$	53,188	$	4,656	$	43,486	$	3,254	$	1,792

(1)	Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.

Assets Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of and for the dates indicated:


	Beginning balance as of April 1, 2023		Total realized and unrealized gains (losses)						Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2023		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of April 1, 2023		Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2023		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	59	$	1		$	—		$	—	$	—		$	—	$	—		$	—	$	—		$	60	$	1		$	—
U.S. corporate:
Utilities		859		—			(11	)		—		(31	)		—		(10	)		11		—			818		—			(18	)
Energy		115		—			—			—		—			—		(1	)		—		(55	)		59		—			(1	)
Finance and insurance		697		—			(6	)		48		—			—		(30	)		—		(5	)		704		—			(10	)
Consumer—non-cyclical		69		—			(1	)		—		—			—		—			—		—			68		—			(1	)
Technology and communications		12		—			(1	)		—		—			—		—			—		—			11		—			—
Industrial		22		—			—			—		—			—		—			—		—			22		—			—
Capital goods		34		—			—			—		—			—		—			—		—			34		—			(1	)
Consumer—cyclical		127		—			(2	)		1		—			—		(2	)		—		—			124		—			(2	)
Transportation		24		—			(1	)		—		—			—		—			—		—			23		—			—
Other		156		—			1			—		—			—		(4	)		—		—			153		—			1

Total U.S. corporate		2,115		—			(21	)		49		(31	)		—		(47	)		11		(60	)		2,016		—			(32	)

Non-U.S. corporate:
Utilities		298		—			(9	)		1		—			—		—			30		—			320		—			(8	)
Energy		119		—			(2	)		—		—			—		—			—		—			117		—			(2	)
Finance and insurance		131		2			(7	)		—		—			—		—			—		—			126		2			(6	)
Consumer—non-cyclical		73		—			—			—		—			—		—			—		—			73		—			(1	)
Technology and communications		26		—			—			—		—			—		—			—		—			26		—			—
Industrial		75		—			—			—		—			—		—			—		—			75		—			(1	)
Capital goods		52		—			(1	)		—		—			—		—			—		—			51		—			—
Consumer—cyclical		9		—			1			—		—			—		(1	)		—		—			9		—			—
Transportation		22		—			(1	)		—		—			—		—			—		—			21		—			(1	)
Other		22		—			(1	)		—		—			—		—			—		—			21		—			—

Total non-U.S. corporate		827		2			(20	)		1		—			—		(1	)		30		—			839		2			(19	)

Residential mortgage-backed		8		—			1			—		—			—		(1	)		—		—			8		—			—
Commercial mortgage-backed		12		—			—			—		(1	)		—		—			—		—			11		—			—
Other asset-backed		95		—			(1	)		10		—			—		—			—		—			104		—			(1	)

Total fixed maturity securities		3,116		3			(41	)		60		(32	)		—		(49	)		41		(60	)		3,038		3			(52	)

Equity securities		33		—			—			1		(4	)		—		—			—		—			30		—			—
Limited partnerships		22		(1	)		—			—		—			—		—			—		—			21		(1	)		—
Other invested assets:
Derivative assets:
Equity index options		10		5			—			2		—			—		(2	)		—		—			15		4			—

Total derivative assets		10		5			—			2		—			—		(2	)		—		—			15		4			—
Short-term investments		—		—			—			7		—			—		—			—		—			7		—			—

Total other invested assets		10		5			—			9		—			—		(2	)		—		—			22		4			—

Total Level 3 assets	$	3,181	$	7		$	(41	)	$	70	$	(36	)	$	—	$	(51	)	$	41	$	(60	)	$	3,111	$	6		$	(52	)

(1)

The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.


	Beginning balance as of April 1, 2022		Total realized and unrealized gains (losses)																Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2022		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of April 1, 2022		Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2022		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	71	$	1		$	(9	)	$	—	$	—		$	—	$	—		$	—	$	—		$	63	$	1		$	(9	)
Non-U.S. government		1		—			—			2		—			—		—			—		—			3		—			—
U.S. corporate:
Utilities		912		—			(92	)		—		—			—		(1	)		2		(11	)		810		—			(92	)
Energy		72		—			(11	)		—		—			—		(7	)		68		—			122		—			(11	)
Finance and insurance		676		—			(67	)		85		—			—		(1	)		—		(39	)		654		—			(61	)
Consumer—non-cyclical		92		—			(6	)		—		—			—		—			—		—			86		—			(5	)
Technology and communications		28		—			(3	)		—		—			—		—			—		—			25		—			(3	)
Industrial		35		—			(2	)		—		—			—		—			—		—			33		—			(2	)
Capital goods		41		—			(3	)		—		—			—		—			—		—			38		—			(3	)
Consumer—cyclical		127		—			(7	)		—		—			—		(1	)		—		—			119		—			(7	)
Transportation		64		—			(3	)		—		—			—		(1	)		—		(4	)		56		—			(3	)
Other		222		—			(12	)		—		—			—		(3	)		—		—			207		—			(12	)

Total U.S. corporate		2,269		—			(206	)		85		—			—		(14	)		70		(54	)		2,150		—			(199	)

Non-U.S. corporate:
Utilities		334		—			(25	)		—		—			—		—			—		—			309		—			(24	)
Energy		138		—			(7	)		3		—			—		(1	)		—		—			133		—			(8	)
Finance and insurance		143		1			(12	)		—		—			—		—			—		—			132		1			(12	)
Consumer—non-cyclical		60		—			(4	)		—		—			—		—			11		—			67		—			(4	)
Technology and communications		27		—			(1	)		—		—			—		—			—		—			26		—			(1	)
Industrial		74		—			(4	)		—		—			—		—			—		(1	)		69		—			(5	)
Capital goods		132		—			(7	)		—		(10	)		—		—			—		—			115		—			(7	)
Consumer—cyclical		86		—			(7	)		—		—			—		—			—		—			79		—			(7	)
Transportation		22		—			(1	)		—		—			—		—			—		—			21		—			(1	)
Other		24		—			(2	)		—		—			—		—			—		—			22		—			(1	)

Total non-U.S. corporate		1,040		1			(70	)		3		(10	)		—		(1	)		11		(1	)		973		1			(70	)

Residential mortgage-backed		33		—			(2	)		4		—			—		(1	)		—		(4	)		30		—			(2	)
Commercial mortgage-backed		15		—			(1	)		—		—			—		—			—		—			14		—			(2	)
Other asset-backed		100		—			(5	)		40		(6	)		—		—			—		—			129		—			(5	)

Total fixed maturity securities		3,529		2			(293	)		134		(16	)		—		(16	)		81		(59	)		3,362		2			(287	)

Equity securities		36		—			—			—		(1	)		—		—			—		—			35		—			—
Limited partnerships		26		(3	)		—			—		—			—		—			—		—			23		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—

Total derivative assets		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—

Total other invested assets		30		(1	)		—			3		—			—		(2	)		—		—			30		(4	)		—

Total Level 3 assets	$	3,621	$	(2	)	$	(293	)	$	137	$	(17	)	$	—	$	(18	)	$	81	$	(59	)	$	3,450	$	(5	)	$	(287	)

(1)


	Beginning balance as of January 1, 2023		Total realized and unrealized gains (losses)						Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2023		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2023		Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2023		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	55	$	2		$	3		$	—	$	—		$	—	$	—		$	—	$	—		$	60	$	2		$	3
U.S. corporate:
Utilities		842		—			—			40		(40	)		—		(10	)		11		(25	)		818		—			(8	)
Energy		116		—			1			—		(1	)		—		(2	)		—		(55	)		59		—			1
Finance and insurance		687		—			(3	)		63		—			—		(35	)		—		(8	)		704		—			(6	)
Consumer—non-cyclical		82		—			—			—		—			—		(14	)		—		—			68		—			—
Technology and communications		24		—			—			—		—			—		—			—		(13	)		11		—			—
Industrial		22		—			—			—		—			—		—			—		—			22		—			—
Capital goods		34		—			—			—		—			—		—			—		—			34		—			—
Consumer—cyclical		113		—			—			1		—			—		(3	)		13		—			124		—			—
Transportation		43		—			—			—		—			—		(20	)		—		—			23		—			—
Other		159		—			1			—		—			—		(7	)		—		—			153		—			1

Total U.S. corporate		2,122		—			(1	)		104		(41	)		—		(91	)		24		(101	)		2,016		—			(12	)

Non-U.S. corporate:
Utilities		295		—			(4	)		4		—			—		(5	)		30		—			320		—			(3	)
Energy		118		—			—			—		—			—		(1	)		—		—			117		—			—
Finance and insurance		125		3			(2	)		—		—			—		—			—		—			126		3			(2	)
Consumer—non-cyclical		73		—			—			—		—			—		—			—		—			73		—			—
Technology and communications		26		—			—			—		—			—		—			—		—			26		—			—
Industrial		48		—			2			25		—			—		—			—		—			75		—			1
Capital goods		95		1			3			—		(12	)		—		(36	)		—		—			51		—			2
Consumer—cyclical		64		—			7			—		(6	)		—		(56	)		—		—			9		—			1
Transportation		20		—			—			1		—			—		—			—		—			21		—			—
Other		21		—			—			—		—			—		—			—		—			21		—			—

Total non-U.S. corporate		885		4			6			30		(18	)		—		(98	)		30		—			839		3			(1	)

Residential mortgage-backed		22		—			2			—		—			—		(1	)		—		(15	)		8		—			—
Commercial mortgage-backed		12		—			—			—		(1	)		—		—			—		—			11		—			—
Other asset-backed		94		—			1			12		—			—		(1	)		—		(2	)		104		—			1

Total fixed maturity securities		3,190		6			11			146		(60	)		—		(191	)		54		(118	)		3,038		5			(9	)

Equity securities		34		—			—			1		(5	)		—		—			—		—			30		—			—
Limited partnerships		24		(3	)		—			—		—			—		—			—		—			21		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		6		6			—			5		—			—		(2	)		—		—			15		5			—

Total derivative assets		6		6			—			5		—			—		(2	)		—		—			15		5			—
Short-term investments		—		—			—			7		—			—		—			—		—			7		—			—

Total other invested assets		6		6			—			12		—			—		(2	)		—		—			22		5			—

Total Level 3 assets	$	3,254	$	9		$	11		$	159	$	(65	)	$	—	$	(193	)	$	54	$	(118	)	$	3,111	$	7		$	(9	)

(1)


	Beginning balance as of January 1, 2022		Total realized and unrealized gains (losses)						Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2022		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2022		Included in net income			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of June 30, 2022		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	82	$	2		$	(21	)	$	—	$	—		$	—	$	—		$	—	$	—		$	63	$	2		$	(21	)
Non-U.S. government		2		—			—			2		(1	)		—		—			—		—			3		—			—
U.S. corporate:
Utilities		950		—			(165	)		35		—			—		(1	)		2		(11	)		810		—			(165	)
Energy		76		—			(15	)		—		—			—		(7	)		68		—			122		—			(15	)
Finance and insurance		685		—			(123	)		151		—			—		(3	)		—		(56	)		654		—			(116	)
Consumer—non-cyclical		104		—			(11	)		—		—			—		(7	)		—		—			86		—			(11	)
Technology and communications		29		—			(4	)		—		—			—		—			—		—			25		—			(4	)
Industrial		37		—			(4	)		—		—			—		—			—		—			33		—			(4	)
Capital goods		45		—			(7	)		—		—			—		—			—		—			38		—			(6	)
Consumer—cyclical		137		—			(15	)		—		—			—		(3	)		—		—			119		—			(15	)
Transportation		64		—			(6	)		5		—			—		(3	)		—		(4	)		56		—			(6	)
Other		254		—			(23	)		—		—			—		(7	)		—		(17	)		207		—			(22	)

Total U.S. corporate		2,381		—			(373	)		191		—			—		(31	)		70		(88	)		2,150		—			(364	)

Non-U.S. corporate:
Utilities		345		—			(46	)		10		—			—		—			—		—			309		—			(45	)
Energy		145		—			(14	)		3		—			—		(1	)		—		—			133		—			(15	)
Finance and insurance		160		2			(30	)		—		—			—		—			—		—			132		2			(30	)
Consumer—non-cyclical		63		—			(7	)		—		—			—		—			11		—			67		—			(7	)
Technology and communications		28		—			(2	)		—		—			—		—			—		—			26		—			(2	)
Industrial		93		—			(10	)		—		—			—		—			—		(14	)		69		—			(9	)
Capital goods		173		—			(15	)		—		(10	)		—		(33	)		—		—			115		—			(15	)
Consumer—cyclical		76		—			(14	)		—		—			—		—			17		—			79		—			(14	)
Transportation		53		—			(3	)		—		—			—		(29	)		—		—			21		—			(3	)
Other		26		—			(4	)		—		—			—		—			—		—			22		—			(3	)

Total non-U.S. corporate		1,162		2			(145	)		13		(10	)		—		(63	)		28		(14	)		973		2			(143	)

Residential mortgage-backed		27		—			(3	)		13		—			—		(2	)		4		(9	)		30		—			(2	)
Commercial mortgage-backed		16		—			(2	)		—		—			—		—			—		—			14		—			(3	)
Other asset-backed		138		—			(12	)		46		(6	)		—		(3	)		—		(34	)		129		—			(10	)

Total fixed maturity securities		3,808		4			(556	)		265		(17	)		—		(99	)		102		(145	)		3,362		4			(543	)

Equity securities		37		—			—			—		(1	)		—		—			—		(1	)		35		—			—
Limited partnerships		26		(3	)		—			—		—			—		—			—		—			23		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—

Total derivative assets		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—

Total other invested assets		42		(7	)		—			8		—			—		(13	)		—		—			30		2			—

Total Level 3 assets	$	3,913	$	(6	)	$	(556	)	$	273	$	(18	)	$	—	$	(112	)	$	102	$	(146	)	$	3,450	$	3		$	(543	)

(1)

Gains and Losses Included in Net Income (Loss) from Assets Measured at Fair Value

The following table presents the gains and losses included in net income from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:


	Three months ended June 30,					Six months ended June 30,
(Amounts in millions)	2023		2022			2023		2022
Total realized and unrealized gains (losses) included in net income:
Net investment income	$	3	$	2		$	6	$	4
Net investment gains (losses)		4		(4	)		3		(10	)

Total	$	7	$	(2	)	$	9	$	(6	)

Total gains (losses) included in net income attributable to assets still held:
Net investment income	$	3	$	2		$	5	$	4
Net investment gains (losses)		3		(7	)		2		(1	)

Total	$	6	$	(5	)	$	7	$	3

Summary of Significant Unobservable Inputs Used for Certain Asset Fair Value Measurements

The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2023:

(Amounts in millions)

Valuation technique

Fair value

Unobservable input

Range

Weighted-average

(1)

Fixed maturity securities:

U.S. corporate:

Utilities

Internal models

790

Credit spreads

70bps - 267bps

180bps

Energy

Internal models

Credit spreads

134bps - 280bps

201bps

Finance and insurance

Internal models

693

Credit spreads

—bps - 343bps

217bps

Consumer—non-cyclical

Internal models

Credit spreads

101bps - 280bps

168bps

Technology and communications

Internal models

Credit spreads

72bps - 120bps

92bps

Industrial

Internal models

Credit spreads

134bps - 235bps

162bps

Capital goods

Internal models

Credit spreads

92bps - 204bps

164bps

Consumer—cyclical

Internal models

124

Credit spreads

101bps - 220bps

152bps

Transportation

Internal models

Credit spreads

51bps - 191bps

128bps

Other

Internal models

103

Credit spreads

104bps - 151bps

115bps

Total U.S. corporate

Internal models

1,913

Credit spreads

—bps - 343bps

186bps

Non-U.S. corporate:

Utilities

Internal models

245

Credit spreads

95bps - 267bps

159bps

Energy

Internal models

110

Credit spreads

109bps - 235bps

167bps

Finance and insurance

Internal models

125

Credit spreads

141bps - 272bps

193bps

Consumer—non-cyclical

Internal models

Credit spreads

72bps - 166bps

116bps

Technology and communications

Internal models

Credit spreads

109bps - 134bps

119bps

Industrial

Internal models

Credit spreads

92bps - 232bps

174bps

Capital goods

Internal models

Credit spreads

72bps - 280bps

141bps

Transportation

Internal models

Credit spreads

140bps - 195bps

151bps

Other

Internal models

Credit spreads

70bps - 179bps

138bps

Total non-U.S. corporate

Internal models

741

Credit spreads

70bps - 280bps

160bps

Derivative assets:

Equity index options

Discounted cash flows

Equity index volatility

6% - 27%

16%

Lapse rate

2% - 10%

Non-performance risk (counterparty credit risk)

42bps - 83bps

69bps

Other assets

(2)

Cash flow model

135

Equity index volatility

14% - 30%

22%

(1)	Unobservable inputs weighted by the relative fair value of the associated instrument for fixed maturity securities, notional for derivative assets and the policyholder account balances associated with the instrument for the net reinsured portion of our variable annuity MRBs.

(2)	Represents the net reinsured portion of our variable annuity MRBs.

Liabilities by Class of Instrument that are Measured at Fair Value on Recurring Basis

The following tables set forth our liabilities by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:


	June 30, 2023
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	180	$	—	$	—	$	180
Indexed universal life embedded derivatives		15		—		—		15

Total policyholder account balances		195		—		—		195

Derivative liabilities:
Interest rate swaps		472		—		472		—
Foreign currency swaps		1		—		1		—
Forward bond purchase commitments		3		—		—		3

Total derivative liabilities		476		—		473		3

Total liabilities	$	671	$	—	$	473	$	198


	December 31, 2022
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	202	$	—	$	—	$	202
Indexed universal life embedded derivatives		15		—		—		15

Total policyholder account balances		217		—		—		217

Derivative liabilities:
Interest rate swaps		522		—		522		—

Total derivative liabilities		522		—		522		—

Total liabilities	$	739	$	—	$	522	$	217

Liabilities Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

The following tables present additional information about liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of and for the dates indicated:


	Beginning balance as of April 1, 2023		Total realized and unrealized (gains) losses														Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2023		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of April 1, 2023		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2023		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	184	$	8		$	—	$	—	$	—	$	—	$	(11	)	$	—	$	(1	)	$	180	$	8		$	—
Indexed universal life embedded derivatives		15		(2	)		—		—		—		2		—			—		—			15		(2	)		—

Total policyholder account balances		199		6			—		—		—		2		(11	)		—		(1	)		195		6			—

Derivative liabilities:
Forward bond purchase commitments		—		3			—		—		—		—		—			—		—			3		—			—

Total derivative liabilities		—		3			—		—		—		—		—			—		—			3		—			—

Total Level 3 liabilities	$	199	$	9		$	—	$	—	$	—	$	2	$	(11	)	$	—	$	(1	)	$	198	$	6		$	—


	Beginning balance as of April 1, 2022		Total realized and unrealized (gains) losses														Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2022		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of April 1, 2022		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3		Ending balance as of June 30, 2022		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	261	$	(11	)	$	—	$	—	$	—	$	—	$	(17	)	$	—	$	—	$	233	$	(11	)	$	—
Indexed universal life embedded derivatives		21		(8	)		—		—		—		3		—			—		—		16		(8	)		—

Total policyholder account balances		282		(19	)		—		—		—		3		(17	)		—		—		249		(19	)		—

Total Level 3 liabilities	$	282	$	(19	)	$	—	$	—	$	—	$	3	$	(17	)	$	—	$	—	$	249	$	(19	)	$	—


	Beginning balance as of January 1, 2023		Total realized and unrealized (gains) losses														Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2023		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2023		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2023		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	202	$	10		$	—	$	—	$	—	$	—	$	(30	)	$	—	$	(2	)	$	180	$	10		$	—
Indexed universal life embedded derivatives		15		(7	)		—		—		—		7		—			—		—			15		(7	)		—

Total policyholder account balances		217		3			—		—		—		7		(30	)		—		(2	)		195		3			—

Derivative liabilities:
Forward bond purchase commitments		—		3			—		—		—		—		—			—		—			3		—			—

Total derivative liabilities		—		3			—		—		—		—		—			—		—			3		—			—

Total Level 3 liabilities	$	217	$	6		$	—	$	—	$	—	$	7	$	(30	)	$	—	$	(2	)	$	198	$	3		$	—


	Beginning balance as of January 1, 2022		Total realized and unrealized (gains) losses														Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2022		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2022		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of June 30, 2022		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	294	$	(23	)	$	—	$	—	$	—	$	—	$	(37	)	$	—	$	(1	)	$	233	$	(23	)	$	—
Indexed universal life embedded derivatives		25		(19	)		—		—		—		10		—			—		—			16		(19	)		—

Total policyholder account balances		319		(42	)		—		—		—		10		(37	)		—		(1	)		249		(42	)		—

Total Level 3 liabilities	$	319	$	(42	)	$	—	$	—	$	—	$	10	$	(37	)	$	—	$	(1	)	$	249	$	(42	)	$	—

Gains and Losses Included in Net (Income) from Liabilities Measured at Fair Value

The following table presents the gains and losses included in net (income) from liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:


	Three months ended June 30,					Six months ended June 30,
(Amounts in millions)	2023		2022			2023		2022
Total realized and unrealized (gains) losses included in net (income):
Net investment income	$	—	$	—		$	—	$	—
Net investment (gains) losses		9		(19	)		6		(42	)

Total	$	9	$	(19	)	$	6	$	(42	)

Total (gains) losses included in net (income) attributable to liabilities still held:
Net investment income	$	—	$	—		$	—	$	—
Net investment (gains) losses		6		(19	)		3		(42	)

Total	$	6	$	(19	)	$	3	$	(42	)

Summary of Significant Unobservable Inputs Used for Certain Liability Fair Value Measurements

The following table presents a summary of the significant unobservable

inputs

used for certain liability fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2023:


(Amounts in millions)	Valuation technique	Fair value		Unobservable input	Range		Weighted-average (1)
Policyholder account balances:
Fixed indexed annuity embedded derivatives	Option budget method	$	180	Expected future interest credited		—% - 3%		2%
Indexed universal life embedded derivatives	Option budget method	$	15	Expected future interest credited		3% - 13%		5%
Market risk benefits: (2)
				GMWB withdrawal utilization rate		—% - 61%		49%
				Non-performance risk (credit spreads)		42bps - 83bps		69bps
Fixed indexed annuities	Cash flow model	$	57	Expected future interest credited		1% - 3%		1%
				Lapse rate		2% - 11%		5%
				GMWB withdrawal utilization rate		61% - 89%		78%
				Non-performance risk (credit spreads)		42bps - 83bps		69bps
Variable annuities	Cash flow model	$	572	Equity index volatility		14% - 30%		22%

(1)	Unobservable inputs weighted by the policyholder account balances associated with the instrument.

(2)	Refer to note 13 for additional details related to MRBs.

Fair Value Financial Instruments Not Required to be Carried at Fair Value

The following represents our estimated fair value of financial assets and liabilities that are not required to be carried at fair value as of the dates indicated:


	June 30, 2023
	Notional amount			Carrying amount		Fair value
(Amounts in millions)	Notional amount			Carrying amount		Total		Level 1		Level 2		Level 3
Assets:
Commercial mortgage loans, net			(1)	$	6,852	$	6,274	$	—	$	—	$	6,274
Bank loan investments			(1)		518		500		—		—		500
Liabilities:
Long-term borrowings			(1)		1,601		1,358		—		1,358		—
Investment contracts			(1)		6,093		6,027		—		—		6,027
Other firm commitments:
Commitments to fund bank loan investments	$	153			—		—		—		—		—
Ordinary course of business lending commitments		17			—		—		—		—		—

(1)	These financial instruments do not have notional amounts.


	December 31, 2022
	Notional amount			Carrying amount		Fair value
(Amounts in millions)	Notional amount			Carrying amount		Total		Level 1		Level 2		Level 3
Assets:
Commercial mortgage loans, net			(1)	$	7,010	$	6,345	$	—	$	—	$	6,345
Bank loan investments			(1)		467		474		—		—		474
Liabilities:
Long-term borrowings			(1)		1,611		1,346		—		1,346		—
Investment contracts			(1)		6,794		7,171		—		—		7,171
Other firm commitments:
Commitments to fund bank loan investments	$	70			—		—		—		—		—
Ordinary course of business lending commitments		24			—		—		—		—		—

(1)	These financial instruments do not have notional amounts.

Summary of carrying value of limited partnerships and commitments to fund

The following table presents the carrying value of limited partnerships and commitments to fund as of the dates indicated:


	June 30, 2023				December 31, 2022
(Amounts in millions)	Carrying value		Commitments to fund		Carrying value		Commitments to fund
Limited partnerships accounted for at NAV:
Private equity funds (1)	$	1,821	$	1,166	$	1,647	$	1,107
Real estate funds (2)		91		70		82		79
Infrastructure funds (3)		70		22		63		29

Total limited partnerships accounted for at NAV		1,982		1,258		1,792		1,215

Limited partnerships accounted for at fair value		21		1		24		1
Limited partnerships accounted for under equity method of accounting		582		140		515		149

Total	$	2,585	$	1,399	$	2,331	$	1,365

(1)

This class employs various investment strategies such as leveraged buyout, growth equity, venture capital and mezzanine financing, generally investing in debt or equity positions directly in companies or assets of various sizes across diverse industries globally, primarily concentrated in North America.

(2)	This class invests in real estate in North America, Europe and Asia via direct property ownership, joint ventures, mortgages and investments in debt and equity instruments.

(3)	This class invests in the debt or equity of cash flow generating assets diversified across a variety of industries, including transportation, energy infrastructure, renewable power, social infrastructure, power generation, water, telecommunications and other regulated entities globally.