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Fair Value (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis
The following represents the hierarchy for our assets and liabilities measured at fair value on a recurring basis:
Successor
June 30, 2022
(In millions)TotalNAVLevel 1Level 2Level 3
Assets
AFS securities
US government and agencies$2,794 $— $2,792 $2 $— 
US state, municipal and political subdivisions
1,000 — — 1,000 — 
Foreign governments896 — — 894 2 
Corporate56,218 — — 54,630 1,588 
CLO13,485 — — 13,485 — 
ABS9,547 — — 5,953 3,594 
CMBS2,904 — — 2,904 — 
RMBS5,167 — — 5,099 68 
Total AFS securities92,011 — 2,792 83,967 5,252 
Trading securities1,735 — 25 1,652 58 
Equity securities1,108 — 105 941 62 
Mortgage loans25,218 — — — 25,218 
Investment funds25 6 — — 19 
Funds withheld at interest – embedded derivative(3,958)— — — (3,958)
Derivative assets2,932 — 20 2,912 — 
Short-term investments238 — 68 112 58 
Other investments142 — — 142 — 
Cash and cash equivalents11,172 — 11,172 — — 
Restricted cash753 — 753 — — 
Investments in related parties
AFS securities
Corporate1,007 — — 158 849 
CLO2,679 — — 2,354 325 
ABS5,269 — — 243 5,026 
Total AFS securities – related party8,955 — — 2,755 6,200 
Trading securities898 — — 7 891 
Equity securities163 — — — 163 
Mortgage loans1,416 — — — 1,416 
Investment funds818 — — — 818 
Funds withheld at interest – embedded derivative(1,129)— — — (1,129)
Reinsurance recoverable1,580 — — — 1,580 
Assets of consolidated VIEs
Trading securities386 — — 56 330 
Mortgage loans1,626 — — — 1,626 
Investment funds9,494 8,153 5 283 1,053 
Other investments31 — — — 31 
Cash and cash equivalents198 — 198 — — 
Total assets measured at fair value$155,812 $8,159 $15,138 $92,827 $39,688 
Liabilities
Interest sensitive contract liabilities
Embedded derivative$5,451 $— $— $— $5,451 
Universal life benefits943 — — — 943 
Future policy benefits
AmerUs Life Insurance Company (AmerUs) Closed Block1,247 — — — 1,247 
Indianapolis Life Insurance Company (ILICO) Closed Block and life benefits623 — — — 623 
Derivative liabilities1,223 — (9)1,231 1 
Total liabilities measured at fair value$9,487 $— $(9)$1,231 $8,265 
Predecessor
December 31, 2021
(In millions)TotalNAVLevel 1Level 2Level 3
Assets
AFS securities
US government and agencies$223 $— $214 $9 $— 
US state, municipal and political subdivisions
1,213 — — 1,213 — 
Foreign governments1,128 — — 1,126 2 
Corporate66,226 — — 64,887 1,339 
CLO13,652 — — 13,638 14 
ABS8,989 — — 5,370 3,619 
CMBS2,758 — — 2,715 43 
RMBS5,970 — — 5,970 — 
Total AFS securities100,159 — 214 94,928 5,017 
Trading securities2,056 — 3 1,984 69 
Equity securities1,170 — 86 655 429 
Mortgage loans17 — — — 17 
Investment funds183 165 — — 18 
Funds withheld at interest – embedded derivative782 — — — 782 
Derivative assets4,387 — 67 4,320 — 
Short-term investments139 — 49 61 29 
Other investments130 — — 130 — 
Cash and cash equivalents9,479 — 9,479 — — 
Restricted cash796 — 796 — — 
Investments in related parties
AFS securities
Corporate859 — — 189 670 
CLO2,549 — — 2,347 202 
ABS6,994 — — 549 6,445 
Total AFS securities – related party10,402 — — 3,085 7,317 
Trading securities1,781 — — 10 1,771 
Equity securities284 — — — 284 
Investment funds2,958 103 — — 2,855 
Funds withheld at interest – embedded derivative578 — — — 578 
Reinsurance recoverable1,991 — — — 1,991 
Assets of consolidated VIEs
Investment funds1,297 — — — 1,297 
Cash and cash equivalents154 — 154 — — 
Total assets measured at fair value$138,743 $268 $10,848 $105,173 $22,454 
Liabilities
Interest sensitive contract liabilities
Embedded derivative$14,907 $— $— $— $14,907 
Universal life benefits1,235 — — — 1,235 
Future policy benefits
AmerUs Closed Block
1,520 — — — 1,520 
ILICO Closed Block and life benefits
742 — — — 742 
Derivative liabilities472 — — 469 3 
Funds withheld liability – embedded derivative45 — — 45 — 
Total liabilities measured at fair value$18,921 $— $— $514 $18,407 
Summary of Fair Value Option The following represents the gains (losses) recorded for instruments for which we have elected the fair value option, including related parties and consolidated VIEs:
SuccessorPredecessorSuccessorPredecessor
(In millions)Three months ended June 30, 2022Three months ended June 30, 2021Six months ended June 30, 2022Six months ended June 30, 2021
Trading securities$(161)$61 $(368)$(8)
Mortgage loans(1,149)— (2,065)— 
Investment funds36 495 56 435 
Future policy benefits131 (54)273 49 
Total gains (losses)$(1,143)$502 $(2,104)$476 
The following summarizes information for fair value option mortgage loans, including related parties and consolidated VIEs:
SuccessorPredecessor
(In millions)June 30, 2022December 31, 2021
Unpaid principal balance$29,883 $15 
Mark to fair value(1,623)2 
Fair value$28,260 $17 
The following represents our commercial mortgage loan portfolio 90 days or more past due and/or in non-accrual status:
Successor
(In millions)June 30, 2022
Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status$127 
Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status(46)
Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status$81 
Fair value of commercial mortgage loans 90 days or more past due$132 
Fair value of commercial mortgage loans in non-accrual status81 

The following represents our residential loan portfolio 90 days or more past due and/or in non-accrual status:
Successor
(In millions)June 30, 2022
Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status$581 
Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status(36)
Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status$545 
Fair value of residential mortgage loans 90 days or more past due1
$545 
Fair value of residential mortgage loans in non-accrual status207 
1 Includes $338 million of residential mortgage loans that are guaranteed by US government-sponsored agencies.
The following is the estimated amount of gains (losses) included in earnings during the period attributable to changes in instrument-specific credit risk on our mortgage loan portfolio:
SuccessorPredecessorSuccessorPredecessor
(In millions)Three months ended June 30, 2022Three months ended June 30, 2021Six months ended June 30, 2022Six months ended June 30, 2021
Mortgage loans$(34)$— $(52)$— 
Reconciliation of Level 3 Assets Measured on a Recurring Basis The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis. All transfers in and out of Level 3 are based on changes in the availability of pricing sources, as described in the valuation methods above.
Successor
Three months ended June 30, 2022
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets
AFS securities
Foreign governments$2 $— $— $— $— $2 $— $— 
Corporate1,499 — (58)40 107 1,588 — (58)
CLO5 — (3)(2)— — — — 
ABS3,783 2 (65)148 (274)3,594 — (66)
CMBS10 — — — (10)— — — 
RMBS— — — 68 — 68 — — 
Trading securities90 (1)— 2 (33)58 — — 
Equity securities438 8 — (3)(381)62 8 — 
Mortgage loans23,696 (1,027)— 2,549 — 25,218 (1,025)— 
Investment funds19 — — — — 19 — — 
Funds withheld at interest – embedded derivative(1,882)(2,076)— — — (3,958)— — 
Short-term investments59 — (1)— — 58 — — 
Investments in related parties
AFS securities
Corporate761 — (7)42 53 849 — (7)
CLO332 — (7)— — 325 — (7)
ABS4,409 16 (125)(1,096)1,822 5,026 — (126)
Trading securities252 4 — (808)1,443 891 — — 
Equity securities166 (9)— (119)125 163 — — 
Mortgage loans1,456 (72)— 32 — 1,416 (73)— 
Investment funds814 4 — — — 818 28 — 
Funds withheld at interest – embedded derivative(570)(559)— — — (1,129)— — 
Short-term investments53 — — — (53)— — — 
Reinsurance recoverable1,814 (234)— — — 1,580 — — 
Assets of consolidated VIEs
Trading securities— — — — 330 330 — — 
Mortgage loans1,880 (50)— (2)(202)1,626 (50)— 
Investment funds10,577 33 — (77)(9,480)1,053 27 — 
Other investments1,902 — — 31 (1,902)31 — — 
Total Level 3 assets$51,565 $(3,961)$(266)$805 $(8,455)$39,688 $(1,085)$(264)
Liabilities
Interest sensitive contract liabilities
Embedded derivative$(6,704)$1,487 $— $(234)$— $(5,451)$— $— 
Universal life benefits(1,096)153 — — — (943)— — 
Future policy benefits
AmerUs Closed Block(1,378)131 — — — (1,247)— — 
ILICO Closed Block and life benefits(704)81 — — — (623)— — 
Derivative liabilities(3)2 — — — (1)— — 
Total Level 3 liabilities$(9,885)$1,854 $— $(234)$— $(8,265)$— $— 
1 Related to instruments held at end of period.
Predecessor
Three months ended June 30, 2021
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets
AFS securities
Foreign governments
$2 $— $— $— $— $2 $— $— 
Corporate782 4 6 74 117 983 — 6 
CLO
174 — — 102 — 276 — — 
ABS
1,207 16 (5)304 (41)1,481 — (5)
CMBS
48 1 — 2 — 51 — 1 
Trading securities
94 (5)— 5 5 99 (1)— 
Equity securities
14 8 — — — 22 7 — 
Mortgage loans18 — — — — 18 — — 
Investment funds17 1 — — — 18 1 — 
Funds withheld at interest – embedded derivative
636 737 — — — 1,373 — — 
Investments in related parties
AFS securities
Corporate201 — — — (201)— — — 
ABS4,131 5 2 99 — 4,237 — 2 
Trading securities1,685 1 — 31 (7)1,710 — — 
Equity securities114 (8)— 9 — 115 (8)— 
Investment funds1,970 482 — — — 2,452 483 — 
Funds withheld at interest – embedded derivative
580 172 — — — 752 — — 
Reinsurance recoverable1,880 66 — — — 1,946 — — 
Assets of consolidated VIEs
Investment funds154 13 — 250 — 417 12 — 
Total Level 3 assets
$13,707 $1,493 $3 $876 $(127)$15,952 $494 $4 
Liabilities
Interest sensitive contract liabilities
Embedded derivative
$(12,473)$(1,183)$— $21 $— $(13,635)$— $— 
Universal life benefits
(1,108)(80)— — — (1,188)— — 
Future policy benefits
AmerUs Closed Block
(1,497)(54)— — — (1,551)— — 
ILICO Closed Block and life benefits
(757)14 — — — (743)— — 
Derivative liabilities(5)1 — — — (4)1 — 
Total Level 3 liabilities
$(15,840)$(1,302)$— $21 $— $(17,121)$1 $— 
1 Related to instruments held at end of period.
Successor
Six months ended June 30, 2022
Total realized and unrealized gains (losses)
(In millions)Balance at January 1, 2022Included in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets
AFS securities
Foreign governments$2 $— $— $— $— $2 $— $— 
Corporate1,339 (3)(77)180 149 1,588 — (76)
CLO14 (2)— (12)— — — — 
ABS3,619 7 (95)— 63 3,594 — (89)
CMBS43 — (17)— (26)— — 1 
RMBS— — — 68 — 68 — — 
Trading securities69 (6)— 8 (13)58 — — 
Equity securities429 17 — (3)(381)62 16 — 
Mortgage loans21,154 (1,771)— 5,835 — 25,218 (1,767)— 
Investment funds18 1 — — — 19 1 — 
Funds withheld at interest – embedded derivative— (3,958)— — — (3,958)— — 
Short-term investments29 — (1)30 — 58 — — 
Investments in related parties
AFS securities
Corporate670 (4)(6)136 53 849 — (6)
CLO202 — (7)130 — 325 — (7)
ABS6,445 (1)(135)(1,241)(42)5,026 — (138)
Trading securities1,771 (1)— (1,062)183 891 — — 
Equity securities284 (14)— (119)12 163 — — 
Mortgage loans1,369 (124)— 171 — 1,416 (124)— 
Investment funds2,855 28 — (34)(2,031)818 28 — 
Funds withheld at interest – embedded derivative— (1,129)— — — (1,129)— — 
Short-term investments— — — 53 (53)— — — 
Reinsurance recoverable1,991 (411)— — — 1,580 — — 
Assets of consolidated VIEs
Trading securities— — — — 330 330 — — 
Mortgage loans2,152 (170)— (154)(202)1,626 (170)— 
Investment funds1,297 28 — 161 (433)1,053 28 — 
Other investments— — — 31 — 31 — — 
Total Level 3 assets$45,752 $(7,513)$(338)$4,178 $(2,391)$39,688 $(1,988)$(315)
Liabilities
Interest sensitive contract liabilities
Embedded derivative$(7,559)$2,444 $— $(336)$— $(5,451)$— $— 
Universal life benefits(1,235)292 — — — (943)— — 
Future policy benefits
AmerUs Closed Block(1,520)273 — — — (1,247)— — 
ILICO Closed Block and life benefits(742)119 — — — (623)— — 
Derivative liabilities(3)2 — — — (1)— — 
Total Level 3 liabilities$(11,059)$3,130 $— $(336)$— $(8,265)$— $— 
1 Related to instruments held at end of period.
Predecessor
Six months ended June 30, 2021
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets
AFS securities
US state, municipal and political subdivisions
$34 $— $(1)$(1)$(32)$— $— $(1)
Foreign governments
2 — — — — 2 — — 
Corporate778 8 21 56 120 983 — 22 
CLO
208 — 1 67 — 276 — 1 
ABS
800 1 27 743 (90)1,481 — 35 
CMBS
43 — 5 3 — 51 — 4 
Trading securities
86 (8)— 1 20 99 (3)— 
Equity securities
11 11 — — — 22 11 — 
Mortgage loans19 — — (1)— 18 — — 
Investment funds17 1 — — — 18 1 — 
Funds withheld at interest – embedded derivative
1,944 (571)— — — 1,373 — — 
Short-term investments2 — — — (2)— — — 
Investments in related parties
AFS securities
Corporate195 — 6 — (201)— — — 
ABS4,109 — (25)214 (61)4,237 — (25)
Trading securities1,525 52 — 162 (29)1,710 58 — 
Equity securities72 1 — 42 — 115 1 — 
Investment funds2,033 419 — — — 2,452 419 — 
Funds withheld at interest – embedded derivative
862 (110)— — — 752 — — 
Reinsurance recoverable2,100 (154)— — — 1,946 — — 
Assets of consolidated VIEs –investment funds— 15 — 293 109 417 15 — 
Total Level 3 assets
$14,840 $(335)$34 $1,579 $(166)$15,952 $502 $36 
Liabilities
Interest sensitive contract liabilities
Embedded derivative
$(12,873)$(848)$— $86 $— $(13,635)$— $— 
Universal life benefits
(1,308)120 — — — (1,188)— — 
Future policy benefits
AmerUs Closed Block
(1,600)49 — — — (1,551)— — 
ILICO Closed Block and life benefits
(776)33 — — — (743)— — 
Derivative liabilities(4)— — — — (4)— — 
Total Level 3 liabilities
$(16,561)$(646)$— $86 $— $(17,121)$— $— 
1 Related to instruments held at end of period.
Gross Components of Purchases, Sales, Issuances and Settlements, net
The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:

Successor
Three months ended June 30, 2022
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlements
Transfers in1
Transfers out2
Net transfers in (out)
Assets
AFS securities
Corporate$129 $— $(2)$(87)$40 $150 $(43)$107 
CLO
— — — (2)(2)— — — 
ABS
746 — (341)(257)148 30 (304)(274)
CMBS
— — — — — — (10)(10)
RMBS
68 — — — 68 — — — 
Trading securities
2 — — — 2 9 (42)(33)
Equity securities— — (3)— (3)19 (400)(381)
Mortgage loans3,386 — (48)(789)2,549 — — — 
Short-term investments
29 — — (29)— — — — 
Investments in related parties
AFS securities
Corporate52 — — (10)42 53 — 53 
ABS899 — (6)(1,989)(1,096)1,822 — 1,822 
Trading securities
7 — (787)(28)(808)1,443 — 1,443 
Equity securities
— — (119)— (119)125 — 125 
Mortgage loans36 — — (4)32 — — — 
Short-term investments
— — — — — — (53)(53)
Assets of consolidated VIEs
Trading securities— — — — — 330 — 330 
Mortgage loans— — — (2)(2)21 (223)(202)
Investment funds33 — (110)— (77)1,006 (10,486)(9,480)
Other investments31 — — — 31 — (1,902)(1,902)
Total Level 3 assets
$5,418 $— $(1,416)$(3,197)$805 $5,008 $(13,463)$(8,455)
Liabilities
Interest sensitive contract liabilities
Embedded derivative$— $(361)$— $127 $(234)$— $— $— 
Total Level 3 liabilities
$— $(361)$— $127 $(234)$— $— $— 
1 Transfers in are primarily fixed maturity securities we hold that are issued by VIEs that we consolidated as of March 31, 2022 and did not consolidate at June 30, 2022.
2 Transfers out are primarily the deconsolidation of certain VIEs that we consolidated as of March 31, 2022.
Predecessor
Three months ended June 30, 2021
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlementsTransfers inTransfers outNet transfers in (out)
Assets
AFS securities
Foreign governments
$1 $— $— $(1)$— $— $— $— 
Corporate132 — (8)(50)74 203 (86)117 
CLO
110 — — (8)102 — — — 
ABS
1,128 — (20)(804)304 3 (44)(41)
CMBS
3 — — (1)2 — — — 
Trading securities
40 — (35)— 5 7 (2)5 
Investments in related parties
AFS securities
Corporate— — — — — — (201)(201)
ABS365 — — (266)99 — — — 
Trading securities
113 — — (82)31 12 (19)(7)
Equity securities
11 — — (2)9 — — — 
Assets of consolidated VIEs – investment funds250 — — — 250 — — — 
Total Level 3 assets
$2,153 $— $(63)$(1,214)$876 $225 $(352)$(127)
Liabilities
Interest sensitive contract liabilities – embedded derivative
$— $(197)$— $218 $21 $— $— $— 
Total Level 3 liabilities
$— $(197)$— $218 $21 $— $— $— 
Successor
Six months ended June 30, 2022
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlements
Transfers in1
Transfers out2
Net transfers in (out)
Assets
AFS securities
Corporate$453 $— $(170)$(103)$180 $193 $(44)$149 
CLO
— — — (12)(12)— — — 
ABS
2,235 — (1,791)(444)— 368 (305)63 
CMBS
— — — — — — (26)(26)
RMBS
68 — — — 68 — — — 
Trading securities
8 — — — 8 39 (52)(13)
Equity securities— — (3)— (3)19 (400)(381)
Mortgage loans7,477 — (130)(1,512)5,835 — — — 
Short-term investments59 — — (29)30 — — — 
Investments in related parties
AFS securities
Corporate367 — (217)(14)136 53 — 53 
CLO
130 — — — 130 — — — 
ABS1,273 — (93)(2,421)(1,241)1,822 (1,864)(42)
Trading securities
36 — (1,052)(46)(1,062)1,443 (1,260)183 
Equity securities
— — (119)— (119)125 (113)12 
Mortgage loans182 — — (11)171 — — — 
Investment funds
— — (34)— (34)— (2,031)(2,031)
Short-term investments
53 — — — 53 — (53)(53)
Assets of consolidated VIEs
Trading securities— — — — — 330 — 330 
Mortgage loans— — — (154)(154)21 (223)(202)
Investment funds286 — (125)— 161 11,087 (11,520)(433)
Other investments31 — — — 31 1,902 (1,902)— 
Total Level 3 assets
$12,658 $— $(3,734)$(4,746)$4,178 $17,402 $(19,793)$(2,391)
Liabilities
Interest sensitive contract liabilities
Embedded derivative$— $(616)$— $280 $(336)$— $— $— 
Total Level 3 liabilities
$— $(616)$— $280 $(336)$— $— $— 
1 Transfers in are primarily assets of VIEs that we consolidated in 2022.
2 Transfers out are primarily assets of VIEs that changed consolidation status in 2022.
Predecessor
Six months ended June 30, 2021
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlementsTransfers inTransfers outNet transfers in (out)
Assets
AFS securities
US state, municipal and political subdivisions
$— $— $— $(1)$(1)$— $(32)$(32)
Foreign governments
1 — — (1)— — — — 
Corporate110 — (9)(45)56 235 (115)120 
CLO
110 — — (43)67 — — — 
ABS
935 — — (192)743 57 (147)(90)
CMBS
3 — — — 3 — — — 
Trading securities
40 — (39)— 1 23 (3)20 
Mortgage loans— — — (1)(1)— — — 
Short-term investments
— — — — — — (2)(2)
Investments in related parties
AFS securities
Corporate— — — — — — (201)(201)
ABS1,026 — (751)(61)214 — (61)(61)
Trading securities
236 — (1)(73)162 — (29)(29)
Equity securities
45 — — (3)42 — — — 
Assets of consolidated VIEs – investment funds293 — — — 293 109 — 109 
Total Level 3 assets
$2,799 $— $(800)$(420)$1,579 $424 $(590)$(166)
Liabilities
Interest sensitive contract liabilities – embedded derivative
$— $(372)$— $458 $86 $— $— $— 
Total Level 3 liabilities
$— $(372)$— $458 $86 $— $— $— 
Summary of the Unobservable Inputs for the Embedded Derivative of Fixed Indexed Annuities
The following summarizes the unobservable inputs for AFS and trading securities, mortgage loans and the embedded derivatives of fixed indexed annuities:
Successor
June 30, 2022
(In millions, except for percentages)Fair valueValuation techniqueUnobservable inputsMinimumMaximumWeighted averageImpact of an increase in the input on fair value
AFS and trading securities
$10,186 Discounted cash flowDiscount rate1.6 %22.0 %5.3 %
1
Decrease
Mortgage loans$28,259 Discounted cash flowDiscount rate2.5 %23.9 %5.2 %
1
Decrease
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
$5,451 Discounted cash flowNonperformance risk0.4 %2.0 %1.3 %
2
Decrease
Option budget0.5 %4.1 %1.7 %
3
Increase
Surrender rate5.0 %10.9 %7.9 %
4
Decrease
Predecessor
December 31, 2021
(In millions, except for percentages)
Fair value
Valuation techniqueUnobservable inputsMinimumMaximumWeighted averageImpact of an increase in the input on fair value
AFS and trading securities
$10,167 Discounted cash flowDiscount rate1.4 %19.4 %5.2 %
1
Decrease
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
$14,907 Option budget methodNonperformance risk0.1 %1.0 %0.6 %
2
Decrease
Option budget0.4 %3.4 %1.9 %
3
Increase
Surrender rate5.9 %10.7 %8.0 %
4
Decrease
1 The discount rate weighted average is calculated based on the relative fair values of the securities or loans.
2 The nonperformance risk weighted average is based on the projected excess benefits of reserves used in the calculation of the embedded derivative.
3 The option budget weighted average is calculated based on the indexed account values.
4 The surrender rate weighted average is calculated based on projected account values.
Summary of Financial Instruments Not Carried at Fair Value on the Balance Sheet The following represents our financial instruments not carried at fair value on the condensed consolidated balance sheets:
Successor
June 30, 2022
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Investment funds$108 $108 $108 $— $— $— 
Policy loans358 358 — — 358 — 
Funds withheld at interest41,596 41,596 — — — 41,596 
Short-term investments26 26 — — — 26 
Other investments713 713 — — — 713 
Investments in related parties
Investment funds720 720 720 — — — 
Funds withheld at interest11,804 11,804 — — — 11,804 
Other investments272 272 — — — 272 
Assets of consolidated VIEs
Mortgage loans366 366 — — — 366 
Other investments80 80 — — — 80 
Total financial assets not carried at fair value$56,043 $56,043 $828 $— $358 $54,857 
Financial liabilities
Interest sensitive contract liabilities$116,164 $105,039 $— $— $— $105,039 
Debt3,279 2,586 — — 2,586 — 
Securities to repurchase4,109 4,109 — — 4,109 — 
Total financial liabilities not carried at fair value$123,552 $111,734 $— $— $6,695 $105,039 

Predecessor
December 31, 2021
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Mortgage loans$20,731 $21,138 $— $— $— $21,138 
Investment funds995 995 995 — — — 
Policy loans312 312 — — 312 — 
Funds withheld at interest43,125 43,125 — — — 43,125 
Other investments1,343 1,343 — — — 1,343 
Investments in related parties
Mortgage loans1,360 1,369 — — — 1,369 
Investment funds4,433 4,433 4,433 — — — 
Funds withheld at interest11,629 11,629 — — — 11,629 
Other investments222 223 — — — 223 
Assets of consolidated VIEs – mortgage loans2,040 2,152 — — — 2,152 
Total financial assets not carried at fair value$86,190 $86,719 $5,428 $— $312 $80,979 
Financial liabilities
Interest sensitive contract liabilities$105,293 $108,621 $— $— $— $108,621 
Debt2,964 3,295 — — 3,295 — 
Securities to repurchase3,110 3,110 — — 3,110 — 
Funds withheld liability394 394 — — 394 — 
Total financial liabilities not carried at fair value
$111,761 $115,420 $— $— $6,799 $108,621