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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 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 September 30, 2023:


(Amounts in millions)	Fair value		Primary methodologies	Significant inputs
U.S. government, agencies and government-sponsored enterprises	$	3,112	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	$	2,108	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	$	582	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	$	22,508	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	$	5,976	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	$	888	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	$	1,493	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	$	2,109	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:


	September 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	$	3,112	$	—	$	3,112	$	—	$	—
State and political subdivisions		2,164		—		2,108		56		—
Non-U.S. government		583		—		582		1		—
U.S. corporate:
Utilities		3,856		—		3,068		788		—
Energy		2,207		—		2,150		57		—
Finance and insurance		6,873		—		6,171		702		—
Consumer—non-cyclical		4,126		—		4,060		66		—
Technology and communications		2,794		—		2,783		11		—
Industrial		1,149		—		1,127		22		—
Capital goods		2,039		—		2,006		33		—
Consumer—cyclical		1,548		—		1,428		120		—
Transportation		1,066		—		1,044		22		—
Other		298		—		150		148		—

Total U.S. corporate		25,956		—		23,987		1,969		—

Non-U.S. corporate:
Utilities		719		—		413		306		—
Energy		978		—		852		126		—
Finance and insurance		1,844		—		1,722		122		—
Consumer—non-cyclical		582		—		510		72		—
Technology and communications		840		—		817		23		—
Industrial		769		—		711		58		—
Capital goods		524		—		473		51		—
Consumer—cyclical		211		—		202		9		—
Transportation		334		—		313		21		—
Other		753		—		732		21		—

Total non-U.S. corporate		7,554		—		6,745		809		—

Residential mortgage-backed		891		—		888		3		—
Commercial mortgage-backed		1,503		—		1,493		10		—
Other asset-backed		2,205		—		2,109		96		—

Total fixed maturity securities		43,968		—		41,024		2,944		—

Equity securities		363		290		41		32		—
Limited partnerships		2,096		—		—		20		2,076
Other invested assets:
Derivative assets:
Interest rate swaps		12		—		12		—		—
Foreign currency swaps		15		—		15		—		—
Equity index options		11		—		—		11		—

Total derivative assets		38		—		27		11		—

Short-term investments		30		—		23		7		—

Total other invested assets		68		—		50		18		—

Separate account assets		4,244		4,244		—		—		—

Total assets	$	50,739	$	4,534	$	41,115	$	3,014	$	2,076

(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 July 1, 2023		Total realized and unrealized gains (losses)																Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of September 30, 2023		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of July 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 September 30, 2023		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	60	$	1		$	(5	)	$	—	$	—		$	—	$	—		$	—	$	—		$	56	$	1		$	(5	)
Non-U.S. government		—		—			—			—		—			—		—			1		—			1		—			—
U.S. corporate:
Utilities		818		—			(42	)		23		—			—		—			—		(11	)		788		—			(42	)
Energy		59		—			(1	)		—		—			—		(1	)		—		—			57		—			(1	)
Finance and insurance		704		—			(17	)		29		—			—		(7	)		—		(7	)		702		—			(16	)
Consumer—non-cyclical		68		—			(1	)		—		—			—		(1	)		—		—			66		—			(1	)
Technology and communications		11		—			—			—		—			—		—			—		—			11		—			—
Industrial		22		—			—			—		—			—		—			—		—			22		—			—
Capital goods		34		—			(1	)		—		—			—		—			—		—			33		—			(1	)
Consumer—cyclical		124		—			(2	)		—		—			—		(2	)		—		—			120		—			(2	)
Transportation		23		—			—			—		—			—		(1	)		—		—			22		—			—
Other		153		—			(4	)		—		—			—		(1	)		—		—			148		—			(4	)

Total U.S. corporate		2,016		—			(68	)		52		—			—		(13	)		—		(18	)		1,969		—			(67	)

Non-U.S. corporate:
Utilities		320		—			(6	)		—		—			—		—			—		(8	)		306		—			(7	)
Energy		117		—			(2	)		—		—			—		—			11		—			126		—			(3	)
Finance and insurance		126		1			(5	)		—		—			—		—			—		—			122		1			(5	)
Consumer—non-cyclical		73		—			(1	)		—		—			—		—			—		—			72		—			(1	)
Technology and communications		26		—			—			—		—			—		(3	)		—		—			23		—			—
Industrial		75		—			(3	)		—		—			—		(15	)		1		—			58		—			(2	)
Capital goods		51		—			—			—		—			—		—			—		—			51		—			(1	)
Consumer—cyclical		9		—			—			—		—			—		—			—		—			9		—			1
Transportation		21		—			—			—		—			—		—			—		—			21		—			—
Other		21		—			—			—		—			—		—			—		—			21		—			—

Total non-U.S. corporate		839		1			(17	)		—		—			—		(18	)		12		(8	)		809		1			(18	)

Residential mortgage-backed		8		—			(1	)		—		—			—		—			—		(4	)		3		—			—
Commercial mortgage-backed		11		—			(1	)		—		—			—		—			—		—			10		—			(1	)
Other asset-backed		104		—			(1	)		4		—			—		(1	)		—		(10	)		96		—			(1	)

Total fixed maturity securities		3,038		2			(93	)		56		—			—		(32	)		13		(40	)		2,944		2			(92	)

Equity securities		30		—			—			4		(2	)		—		—			—		—			32		—			—
Limited partnerships		21		—			—			—		—			—		(1	)		—		—			20		—			—
Other invested assets:
Derivative assets:
Equity index options		15		(4	)		—			3		—			—		(3	)		—		—			11		(4	)		—

Total derivative assets		15		(4	)		—			3		—			—		(3	)		—		—			11		(4	)		—
Short-term investments		7		—			—			—		—			—		—			—		—			7		—			—

Total other invested assets		22		(4	)		—			3		—			—		(3	)		—		—			18		(4	)		—

Total Level 3 assets	$	3,111	$	(2	)	$	(93	)	$	63	$	(2	)	$	—	$	(36	)	$	13	$	(40	)	$	3,014	$	(2	)	$	(92	)

(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 July 1, 2022		Total realized and unrealized gains (losses)																				Ending balance as of September 30, 2022		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of July 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 September 30, 2022		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	63	$	—	$	(7	)	$	—	$	—		$	—	$	—		$	—	$	—		$	56	$	—		$	(8	)
Non-U.S. government		3		—		—			—		(1	)		—		—			—		—			2		—			—
U.S. corporate:
Utilities		810		—		(59	)		23		—			—		(6	)		—		—			768		—			(58	)
Energy		122		—		(6	)		—		—			—		(1	)		—		—			115		—			(6	)
Finance and insurance		654		—		(32	)		16		—			—		(9	)		—		—			629		—			(33	)
Consumer—non-cyclical		86		—		(3	)		—		—			—		(1	)		—		—			82		—			(3	)
Technology and communications		25		—		(1	)		—		—			—		—			—		—			24		—			(1	)
Industrial		33		—		(1	)		—		—			—		—			—		—			32		—			—
Capital goods		38		—		(1	)		—		—			—		—			—		—			37		—			(2	)
Consumer—cyclical		119		—		(5	)		—		—			—		(1	)		—		—			113		—			(5	)
Transportation		56		—		(2	)		—		—			—		(1	)		—		—			53		—			(2	)
Other		207		—		(6	)		—		(7	)		—		(1	)		—		—			193		—			(7	)

Total U.S. corporate		2,150		—		(116	)		39		(7	)		—		(20	)		—		—			2,046		—			(117	)

Non-U.S. corporate:
Utilities		309		—		(16	)		—		—			—		(18	)		—		—			275		—			(17	)
Energy		133		—		(4	)		—		—			—		(7	)		—		—			122		—			(3	)
Finance and insurance		132		2		(11	)		—		—			—		—			—		—			123		2			(12	)
Consumer—non-cyclical		67		—		(2	)		9		—			—		—			—		—			74		—			(2	)
Technology and communications		26		—		(1	)		—		—			—		—			—		—			25		—			(1	)
Industrial		69		—		(3	)		—		—			—		(20	)		—		—			46		—			(3	)
Capital goods		115		—		(4	)		—		—			—		(19	)		—		—			92		—			(3	)
Consumer—cyclical		79		—		(4	)		—		—			—		—			—		—			75		—			(4	)
Transportation		21		—		—			—		—			—		—			—		—			21		—			(1	)
Other		22		—		(1	)		—		—			—		—			—		—			21		—			(1	)

Total non-U.S. corporate		973		2		(46	)		9		—			—		(64	)		—		—			874		2			(47	)

Residential mortgage-backed		30		—		(1	)		—		—			—		—			—		(4	)		25		—			—
Commercial mortgage-backed		14		—		(3	)		—		—			—		—			1		—			12		—			(2	)
Other asset-backed		129		—		(5	)		26		—			—		(2	)		—		(38	)		110		—			(4	)

Total fixed maturity securities		3,362		2		(178	)		74		(8	)		—		(86	)		1		(42	)		3,125		2			(178	)

Equity securities		35		—		—			—		—			—		—			—		—			35		—			—
Limited partnerships		23		1		—			—		—			—		—			—		—			24		1			—
Other invested assets:
Derivative assets:
Equity index options		30		5		—			3		—			—		—			—		—			38		(5	)		—

Total derivative assets		30		5		—			3		—			—		—			—		—			38		(5	)		—

Total other invested assets		30		5		—			3		—			—		—			—		—			38		(5	)		—

Total Level 3 assets	$	3,450	$	8	$	(178	)	$	77	$	(8	)	$	—	$	(86	)	$	1	$	(42	)	$	3,222	$	(2	)	$	(178	)

(1)


	Beginning balance as of January 1, 2023		Total realized and unrealized gains (losses)																					Ending balance as of September 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 September 30, 2023		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	55	$	3		$	(2	)	$	—	$	—		$	—	$	—		$	—	$	—		$	56	$	3		$	(2	)
Non-U.S. government		—		—			—			—		—			—		—			1		—			1		—			—
U.S. corporate:
Utilities		842		—			(42	)		63		(40	)		—		(10	)		11		(36	)		788		—			(50	)
Energy		116		—			—			—		(1	)		—		(3	)		—		(55	)		57		—			—
Finance and insurance		687		—			(20	)		92		—			—		(42	)		—		(15	)		702		—			(22	)
Consumer—non-cyclical		82		—			(1	)		—		—			—		(15	)		—		—			66		—			(1	)
Technology and communications		24		—			—			—		—			—		—			—		(13	)		11		—			—
Industrial		22		—			—			—		—			—		—			—		—			22		—			—
Capital goods		34		—			(1	)		—		—			—		—			—		—			33		—			(1	)
Consumer—cyclical		113		—			(2	)		1		—			—		(5	)		13		—			120		—			(2	)
Transportation		43		—			—			—		—			—		(21	)		—		—			22		—			—
Other		159		—			(3	)		—		—			—		(8	)		—		—			148		—			(3	)

Total U.S. corporate		2,122		—			(69	)		156		(41	)		—		(104	)		24		(119	)		1,969		—			(79	)

Non-U.S. corporate:
Utilities		295		—			(10	)		4		—			—		(5	)		30		(8	)		306		—			(10	)
Energy		118		—			(2	)		—		—			—		(1	)		11		—			126		—			(3	)
Finance and insurance		125		4			(7	)		—		—			—		—			—		—			122		4			(7	)
Consumer—non-cyclical		73		—			(1	)		—		—			—		—			—		—			72		—			(1	)
Technology and communications		26		—			—			—		—			—		(3	)		—		—			23		—			—
Industrial		48		—			(1	)		25		—			—		(15	)		1		—			58		—			(1	)
Capital goods		95		1			3			—		(12	)		—		(36	)		—		—			51		—			1
Consumer—cyclical		64		—			7			—		(6	)		—		(56	)		—		—			9		—			2
Transportation		20		—			—			1		—			—		—			—		—			21		—			—
Other		21		—			—			—		—			—		—			—		—			21		—			—

Total non-U.S. corporate		885		5			(11	)		30		(18	)		—		(116	)		42		(8	)		809		4			(19	)

Residential mortgage-backed		22		—			1			—		—			—		(1	)		—		(19	)		3		—			—
Commercial mortgage-backed		12		—			(1	)		—		(1	)		—		—			—		—			10		—			(1	)
Other asset-backed		94		—			—			16		—			—		(2	)		—		(12	)		96		—			—

Total fixed maturity securities		3,190		8			(82	)		202		(60	)		—		(223	)		67		(158	)		2,944		7			(101	)

Equity securities		34		—			—			5		(7	)		—		—			—		—			32		—			—
Limited partnerships		24		(3	)		—			—		—			—		(1	)		—		—			20		(3	)		—
Other invested assets:
Derivative assets:
Equity index options		6		2			—			8		—			—		(5	)		—		—			11		—			—

Total derivative assets		6		2			—			8		—			—		(5	)		—		—			11		—			—
Short-term investments		—		—			—			7		—			—		—			—		—			7		—			—

Total other invested assets		6		2			—			15		—			—		(5	)		—		—			18		—			—

Total Level 3 assets	$	3,254	$	7		$	(82	)	$	222	$	(67	)	$	—	$	(229	)	$	67	$	(158	)	$	3,014	$	4		$	(101	)

(1)


	Beginning balance as of January 1, 2022		Total realized and unrealized gains (losses)																					Ending balance as of September 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 September 30, 2022		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	82	$	2		$	(28	)	$	—	$	—		$	—	$	—		$	—	$	—		$	56	$	2		$	(29	)
Non-U.S. government		2		—			—			2		(2	)		—		—			—		—			2		—			—
U.S. corporate:
Utilities		950		—			(224	)		58		—			—		(7	)		2		(11	)		768		—			(223	)
Energy		76		—			(21	)		—		—			—		(8	)		68		—			115		—			(21	)
Finance and insurance		685		—			(155	)		167		—			—		(12	)		—		(56	)		629		—			(149	)
Consumer—non-cyclical		104		—			(14	)		—		—			—		(8	)		—		—			82		—			(14	)
Technology and communications		29		—			(5	)		—		—			—		—			—		—			24		—			(5	)
Industrial		37		—			(5	)		—		—			—		—			—		—			32		—			(4	)
Capital goods		45		—			(8	)		—		—			—		—			—		—			37		—			(8	)
Consumer—cyclical		137		—			(20	)		—		—			—		(4	)		—		—			113		—			(20	)
Transportation		64		—			(8	)		5		—			—		(4	)		—		(4	)		53		—			(8	)
Other		254		—			(29	)		—		(7	)		—		(8	)		—		(17	)		193		—			(29	)

Total U.S. corporate		2,381		—			(489	)		230		(7	)		—		(51	)		70		(88	)		2,046		—			(481	)

Non-U.S. corporate:
Utilities		345		—			(62	)		10		—			—		(18	)		—		—			275		—			(62	)
Energy		145		—			(18	)		3		—			—		(8	)		—		—			122		—			(18	)
Finance and insurance		160		4			(41	)		—		—			—		—			—		—			123		4			(42	)
Consumer—non-cyclical		63		—			(9	)		9		—			—		—			11		—			74		—			(9	)
Technology and communications		28		—			(3	)		—		—			—		—			—		—			25		—			(3	)
Industrial		93		—			(13	)		—		—			—		(20	)		—		(14	)		46		—			(12	)
Capital goods		173		—			(19	)		—		(10	)		—		(52	)		—		—			92		—			(18	)
Consumer—cyclical		76		—			(18	)		—		—			—		—			17		—			75		—			(18	)
Transportation		53		—			(3	)		—		—			—		(29	)		—		—			21		—			(4	)
Other		26		—			(5	)		—		—			—		—			—		—			21		—			(4	)

Total non-U.S. corporate		1,162		4			(191	)		22		(10	)		—		(127	)		28		(14	)		874		4			(190	)

Residential mortgage-backed		27		—			(4	)		13		—			—		(2	)		4		(13	)		25		—			(2	)
Commercial mortgage-backed		16		—			(5	)		—		—			—		—			1		—			12		—			(5	)
Other asset-backed		138		—			(17	)		72		(6	)		—		(5	)		—		(72	)		110		—			(14	)

Total fixed maturity securities		3,808		6			(734	)		339		(25	)		—		(185	)		103		(187	)		3,125		6			(721	)

Equity securities		37		—			—			—		(1	)		—		—			—		(1	)		35		—			—
Limited partnerships		26		(2	)		—			—		—			—		—			—		—			24		(2	)		—
Other invested assets:
Derivative assets:
Equity index options		42		(2	)		—			11		—			—		(13	)		—		—			38		14			—

Total derivative assets		42		(2	)		—			11		—			—		(13	)		—		—			38		14			—

Total other invested assets		42		(2	)		—			11		—			—		(13	)		—		—			38		14			—

Total Level 3 assets	$	3,913	$	2		$	(734	)	$	350	$	(26	)	$	—	$	(198	)	$	103	$	(188	)	$	3,222	$	18		$	(721	)

(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 September 30,						Nine months ended September 30,
(Amounts in millions)	2023			2022			2023			2022
Total realized and unrealized gains (losses) included in net income:
Net investment income	$	2		$	2		$	8		$	6
Net investment gains (losses)		(4	)		6			(1	)		(4	)

Total	$	(2	)	$	8		$	7		$	2

Total gains (losses) included in net income attributable to assets still held:
Net investment income	$	2		$	2		$	7		$	6
Net investment gains (losses)		(4	)		(4	)		(3	)		12

Total	$	(2	)	$	(2	)	$	4		$	18

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 September 30, 2023:

(Amounts in millions)

Valuation technique

Fair value

Unobservable input

Range

Weighted-average

(1)

Fixed maturity securities:

U.S. corporate:

Utilities

Internal models

761

Credit spreads

77bps - 247bps

154bps

Energy

Internal models

Credit spreads

138bps - 250bps

184bps

Finance and insurance

Internal models

691

Credit spreads

14bps - 297bps

199bps

Consumer—non-cyclical

Internal models

Credit spreads

91bps - 250bps

158bps

Technology and communications

Internal models

Credit spreads

78bps - 116bps

93bps

Industrial

Internal models

Credit spreads

138bps - 206bps

156bps

Capital goods

Internal models

Credit spreads

91bps - 193bps

150bps

Consumer—cyclical

Internal models

120

Credit spreads

101bps - 207bps

147bps

Transportation

Internal models

Credit spreads

51bps - 165bps

116bps

Other

Internal models

101

Credit spreads

91bps - 138bps

102bps

Total U.S. corporate

Internal models

1,870

Credit spreads

14bps - 297bps

167bps

Non-U.S.

corporate:

Utilities

Internal models

233

Credit spreads

96bps - 247bps

143bps

Energy

Internal models

119

Credit spreads

112bps - 221bps

155bps

Finance and insurance

Internal models

122

Credit spreads

140bps - 195bps

171bps

Consumer—non-cyclical

Internal models

Credit spreads

78bps - 161bps

116bps

Technology and communications

Internal models

Credit spreads

112bps - 138bps

121bps

Industrial

Internal models

Credit spreads

133bps - 221bps

180bps

Capital goods

Internal models

Credit spreads

78bps - 250bps

137bps

Transportation

Internal models

Credit spreads

140bps - 182bps

148bps

Other

Internal models

Credit spreads

77bps - 152bps

123bps

Total non-U.S. corporate

Internal models

714

Credit spreads

77bps - 250bps

148bps

Derivative assets:

Equity index options

Discounted cash
flows

Equity index volatility

6% - 33%

19%

Lapse rate

2% - 10%

Non-performance risk

(counterparty credit risk)

42bps - 83bps

69bps

Other assets

(2)

Cash flow model

123

Equity index volatility

16% - 30%

23%

(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:


	September 30, 2023
(Amounts in millions)	Total		Level 1		Level 2		Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	174	$	—	$	—	$	174
Indexed universal life embedded derivatives		14		—		—		14

Total policyholder account balances		188		—		—		188

Derivative liabilities:
Interest rate swaps		884		—		884		—
Foreign currency swaps		1		—		1		—
Forward bond purchase commitments		28		—		—		28

Total derivative liabilities		913		—		885		28

Total liabilities	$	1,101	$	—	$	885	$	216


	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 July 1, 2023		Total realized and unrealized (gains) losses																			Ending balance as of September 30, 2023		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of July 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 September 30, 2023		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	180	$	6		$	—	$	—	$	—	$	—	$	(11	)	$	—	$	(1	)	$	174	$	6		$	—
Indexed universal life embedded derivatives		15		(4	)		—		—		—		3		—			—		—			14		(4	)		—

Total policyholder account balances		195		2			—		—		—		3		(11	)		—		(1	)		188		2			—

Derivative liabilities:
Forward bond purchase commitments		3		22			3		—		—		—		—			—		—			28		22			3

Total derivative liabilities		3		22			3		—		—		—		—			—		—			28		22			3

Total Level 3 liabilities	$	198	$	24		$	3	$	—	$	—	$	3	$	(11	)	$	—	$	(1	)	$	216	$	24		$	3


	Beginning balance as of July 1, 2022		Total realized and unrealized (gains) losses																			Ending balance as of September 30, 2022		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of July 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 September 30, 2022		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	233	$	5		$	—	$	—	$	—	$	—	$	(18	)	$	—	$	(1	)	$	219	$	5		$	—
Indexed universal life embedded derivatives		16		(4	)		—		—		—		3		—			—		—			15		(4	)		—

Total policyholder account balances		249		1			—		—		—		3		(18	)		—		(1	)		234		1			—

Total Level 3 liabilities	$	249	$	1		$	—	$	—	$	—	$	3	$	(18	)	$	—	$	(1	)	$	234	$	1		$	—


	Beginning balance as of January 1, 2023		Total realized and unrealized (gains) losses																			Ending balance as of September 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 September 30, 2023		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	202	$	16		$	—	$	—	$	—	$	—	$	(41	)	$	—	$	(3	)	$	174	$	16		$	—
Indexed universal life embedded derivatives		15		(11	)		—		—		—		10		—			—		—			14		(11	)		—

Total policyholder account balances		217		5			—		—		—		10		(41	)		—		(3	)		188		5			—

Derivative liabilities:
Forward bond purchase commitments		—		25			3		—		—		—		—			—		—			28		25			3

Total derivative liabilities		—		25			3		—		—		—		—			—		—			28		25			3

Total Level 3 liabilities	$	217	$	30		$	3	$	—	$	—	$	10	$	(41	)	$	—	$	(3	)	$	216	$	30		$	3


	Beginning balance as of January 1, 2022		Total realized and unrealized (gains) losses																			Ending balance as of September 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 September 30, 2022		Included in net (income)			Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	294	$	(18	)	$	—	$	—	$	—	$	—	$	(55	)	$	—	$	(2	)	$	219	$	(18	)	$	—
Indexed universal life embedded derivatives		25		(23	)		—		—		—		13		—			—		—			15		(23	)		—

Total policyholder account balances		319		(41	)		—		—		—		13		(55	)		—		(2	)		234		(41	)		—

Total Level 3 liabilities	$	319	$	(41	)	$	—	$	—	$	—	$	13	$	(55	)	$	—	$	(2	)	$	234	$	(41	)	$	—

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 September 30,				Nine months ended September 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		24		1		30		(41	)

Total	$	24	$	1	$	30	$	(41	)

Total (gains) losses included in net (income) attributable to liabilities still held:
Net investment income	$	—	$	—	$	—	$	—
Net investment (gains) losses		24		1		30		(41	)

Total	$	24	$	1	$	30	$	(41	)

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 September 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	$	174	Expected future interest credited	1% - 4%	2%
Indexed universal life embedded derivatives	Option budget method	$	14	Expected future interest credited	3% - 13%	5%
Market risk benefits: (2)
				GMWB withdrawal utilization rate	— % - 63%	51%
				Non-performance risk (credit spreads)	42bps - 83bps	69bps
Fixed indexed annuities	Cash flow model	$	38	Expected future interest credited	1% - 4%	2%
				Lapse rate	2% - 11%	5%
				GMWB withdrawal utilization rate	62% - 89%	78%
				Non-performance risk (credit spreads)	42bps - 83bps	69bps
Variable annuities	Cash flow model	$	502	Equity index volatility	16% - 30%	23%
Derivative liabilities:
Forward bond purchase commitments	Discounted cash flows	$	28	Counterparty financing spreads	35bps	Not applicable

(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:


	September 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	)	$	6,793	$	6,121	$	—	$	—	$	6,121
Bank loan investments		(1	)		530		517		—		—		517
Liabilities:
Long-term borrowings		(1	)		1,602		1,359		—		1,359		—
Investment contracts		(1	)		5,605		5,461		—		—		5,461
Commitments to fund investments:
Bank loan investments	$	136			—		—		—		—		—
Private placement investments		12			—		—		—		—		—
Commercial mortgage loans		9			—		—		—		—		—

(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
Commitments to fund investments:
Bank loan investments	$	70			—		—		—		—		—
Private placement investments		19			—		—		—		—		—
Commercial mortgage loans		5			—		—		—		—		—

(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:


	September 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)	$	1,907	$	1,156	$	1,647	$	1,107
Real estate funds (2)		97		88		82		79
Infrastructure funds (3)		72		19		63		29

Total limited partnerships accounted for at NAV		2,076		1,263		1,792		1,215

Limited partnerships accounted for at fair value		20		1		24		1
Limited partnerships accounted for under equity method of accounting		603		144		515		149

Total	$	2,699	$	1,408	$	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.