Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2023 |
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| Fair Value Disclosures [Abstract] |
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| Fair Value and Carrying Value of Financial Instruments |
The following table summarizes the fair value and carrying value of the Company’s financial instruments (in millions, 2022 information recast for the adoption of LDTI): | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2023 | | December 31, 2022 | | | | Carrying
Value | Fair
Value | | Carrying
Value | Fair
Value | | Assets | | | | | | | | Debt securities (1) | $ | 46,130 | | $ | 46,130 | | | $ | 44,762 | | $ | 44,762 | | | | Equity securities | 225 | | 225 | | | 393 | | 393 | | | | Mortgage loans (1) | 11,391 | | 10,826 | | | 11,549 | | 10,841 | | | Limited partnerships | 3,330 | | 3,330 | | | 3,212 | | 3,212 | | | | Policy loans (1) | 4,377 | | 4,377 | | | 4,377 | | 4,377 | | | | Freestanding derivative instruments | 1,051 | | 1,051 | | | 1,270 | | 1,270 | | | | Federal Home Loan Bank of Indianapolis ("FHLBI") capital stock | 146 | | 146 | | | 146 | | 146 | | | | Cash and cash equivalents | 1,779 | | 1,779 | | | 4,298 | | 4,298 | | | | Reinsurance recoverable on market risk benefits | 238 | | 238 | | | 221 | | 221 | | | Market risk benefit assets | 5,204 | | 5,204 | | | 4,865 | | 4,865 | | | | Separate account assets | 204,366 | | 204,366 | | | 195,906 | | 195,906 | | | | | | | | | | | Liabilities | | | | | | | | Annuity reserves (2) | 36,640 | | 32,399 | | | 37,357 | | 32,377 | | | Market risk benefit liabilities | 5,560 | | 5,560 | | | 5,662 | | 5,662 | | | | Reserves for guaranteed investment contracts (3) | 989 | | 958 | | | 1,128 | | 1,099 | | | | Trust instruments supported by funding agreements (3) | 5,597 | | 5,404 | | | 5,887 | | 5,760 | | | | FHLB funding agreements (3) | 2,105 | | 2,007 | | | 2,004 | | 2,104 | | | | Funds withheld payable under reinsurance treaties (1) | 22,254 | | 22,254 | | | 22,957 | | 22,957 | | | | Long-term debt | 2,632 | | 2,403 | | | 2,635 | | 2,344 | | | | Securities lending payable | 39 | | 39 | | | 36 | | 36 | | | | Freestanding derivative instruments | 1,510 | | 1,510 | | | 2,065 | | 2,065 | | | Notes issued by consolidated VIEs | 2,016 | | 2,016 | | | 1,732 | | 1,732 | | | | Repurchase agreements | 1,085 | | 1,085 | | | 1,012 | | 1,012 | | | | | | | | | | | Separate account liabilities | 204,366 | | 204,366 | | | 195,906 | | 195,906 | | (1) Includes items carried at fair value under the fair value option and trading securities. (2) Annuity reserves represent only the components of other contract holder funds and reserves for future policy benefits and claims payable that are considered to be financial instruments. (3) Included as a component of other contract holder funds on the Condensed Consolidated Balance Sheets. |
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| Fair Value Option |
The fair value and aggregate contractual principal for mortgage loans where the fair value option was elected after December 31, 2021, were as follows (in millions):
| | | | | | | | | | | March 31, | | December 31, | | 2023 | | 2022 | | Fair value | $ | 480 | | | $ | 582 | | | Aggregate contractual principal | 491 | | | 591 | |
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| Assets and Liabilities Carried at Fair Value by Hierarchy Levels |
The following tables summarize the Company’s assets and liabilities that are carried at fair value by hierarchy levels (in millions, 2022 information recast for the adoption of LDTI):
| | | | | | | | | | | | | | | | | | | | March 31, 2023 | | | Total | Level 1 | Level 2 | Level 3 | | Assets | | | | | | Debt securities | | | | | | U.S. government securities | $ | 4,893 | $ | 4,892 | $ | 1 | $ | — | | Other government securities | 1,507 | — | 1,507 | — | | Public utilities | 5,472 | — | 5,472 | — | | Corporate securities | 26,684 | — | 26,658 | 26 | | Residential mortgage-backed | 428 | — | 428 | — | | Commercial mortgage-backed | 1,594 | — | 1,594 | — | | Other asset-backed securities | 5,552 | — | 5,552 | — | | Equity securities | 225 | 16 | 98 | 111 | | Mortgage loans | 480 | — | — | 480 | | Limited partnerships (1) | 550 | — | 102 | 448 | | Policy loans | 3,427 | — | — | 3,427 | | Freestanding derivative instruments | 1,051 | — | 1,051 | — | | | | | | | | Cash and cash equivalents | 1,779 | 1,779 | — | — | | Reinsurance recoverable on market risk benefits | 238 | — | — | 238 | | Market risk benefit assets | 5,204 | — | — | 5,204 | | Separate account assets | 204,366 | — | 204,366 | — | | Total | $ | 263,450 | $ | 6,687 | $ | 246,829 | $ | 9,934 | | | | | | | | Liabilities | | | | | | Embedded derivative liabilities (2) | $ | 1,384 | $ | — | $ | 1,384 | $ | — | | Funds withheld payable under reinsurance treaties (3) | 803 | — | — | 803 | | Freestanding derivative instruments | 1,510 | — | 1,510 | — | | Notes issued by consolidated VIEs | 2,016 | — | 2,016 | — | | Market risk benefit liabilities | 5,560 | — | — | 5,560 | | Total | $ | 11,273 | $ | — | $ | 4,910 | $ | 6,363 | | | | | | | | (1) Excludes $2,780 million of limited partnership investments measured at NAV. | | (2) Includes the embedded derivative liabilities of $421 million related to RILA and $963 million liability of fixed index annuities, both included in other contract holder funds on the Condensed Consolidated Balance Sheets. | | (3) Includes the Athene embedded derivative asset of $2,788 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. |
| | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | Total | Level 1 | Level 2 | Level 3 | | Assets | | | | | | | Debt securities | | | | | | | U.S. government securities | $ | 5,185 | | $ | 5,184 | | $ | 1 | | $ | — | | | | Other government securities | 1,467 | | — | | 1,467 | | — | | | | Public utilities | 5,225 | | — | | 5,225 | | — | | | | Corporate securities | 25,146 | | — | | 25,090 | | 56 | | | | Residential mortgage-backed | 464 | | — | | 464 | | — | | | | Commercial mortgage-backed | 1,638 | | — | | 1,638 | | — | | | | Other asset-backed securities | 5,637 | | — | | 5,637 | | — | | | | Equity securities | 393 | | 165 | | 106 | | 122 | | | Mortgage loans | 582 | | — | | — | | 582 | | | | Limited partnerships (1) | 440 | | — | | — | | 440 | | | Policy loans | 3,419 | | — | | — | | 3,419 | | | | Freestanding derivative instruments | 1,270 | | — | | 1,270 | | — | | | | Cash and cash equivalents | 4,298 | | 4,298 | | — | | — | | | | Reinsurance recoverable on market risk benefits | 221 | | — | | — | | 221 | | | Market risk benefit assets | 4,865 | | — | | — | | 4,865 | | | | Separate account assets | 195,906 | | — | | 195,906 | | — | | | | Total | $ | 256,156 | | $ | 9,647 | | $ | 236,804 | | $ | 9,705 | | | | | | | | | | Liabilities | | | | | | | Embedded derivative liabilities (2) | $ | 1,135 | | $ | — | | $ | 1,135 | | $ | — | | | | Funds withheld payable under reinsurance treaties (3) | 424 | | — | | — | | 424 | | | | Freestanding derivative instruments | 2,065 | | — | | 2,065 | | — | | | Notes issued by consolidated VIEs | 1,732 | | — | | 1,732 | | — | | | Market risk benefit liabilities | 5,662 | | — | | — | | 5,662 | | | | Total | $ | 11,018 | | $ | — | | $ | 4,932 | | $ | 6,086 | | | | | | | | | | (1) Excludes $2,772 million of limited partnership investments measured at NAV. | | | (2) Includes the embedded derivative liabilities of $205 million related to RILA and $931 million of fixed index annuities, both included in other contract holder funds on the Condensed Consolidated Balance Sheets. | | (3) Includes the Athene embedded derivative asset of $3,158 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. |
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| Balances of Level 3 Assets and Liabilities Measured at Fair Value with Corresponding Pricing Sources |
The table below presents the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources (in millions, 2022 information recast for the adoption of LDTI):
| | | | | | | | | | | | | | | March 31, 2023 | | Assets | | Total | Internal | External | Debt securities: | | | | | | | | | | Corporate | | $ | 26 | | $ | — | | $ | 26 | | | | | | | Equity securities | | 111 | | 1 | | 110 | | | Mortgage loans | | 480 | | — | | 480 | | Limited partnerships | | 448 | | 1 | | 447 | | Policy loans | | 3,427 | | 3,427 | | — | | | Reinsurance recoverable on market risk benefits | | 238 | | 238 | | — | | | Market risk benefit assets | | 5,204 | | 5,204 | | — | | Total | | $ | 9,934 | | $ | 8,871 | | $ | 1,063 | | | | | | | | Liabilities | | | | | Funds withheld payable under reinsurance treaties (1) | | 803 | | 803 | | — | | | Market risk benefit liabilities | | 5,560 | | 5,560 | | — | | Total | | $ | 6,363 | | $ | 6,363 | | $ | — | | | | | | | (1) Includes the Athene embedded derivative asset of $2,788 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. | | | | | | | | December 31, 2022 | | Assets | | Total | Internal | External | Debt securities: | | | | | Corporate | | $ | 56 | | $ | — | | $ | 56 | | | | | | | Equity securities | | 122 | | 1 | | 121 | | Mortgage loans | | 582 | | — | | 582 | | Limited partnerships | | 440 | | 8 | | 432 | | Policy loans | | 3,419 | | 3,419 | | — | | | Reinsurance recoverable on market risk benefits | | 221 | | 221 | | — | | | Market risk benefit assets | | 4,865 | | 4,865 | | — | | Total | | $ | 9,705 | | $ | 8,514 | | $ | 1,191 | | | | | | | | Liabilities | | | | | Funds withheld payable under reinsurance treaties (1) | | 424 | | 424 | | — | | | Market risk benefit liabilities | | 5,662 | | 5,662 | | — | | Total | | $ | 6,086 | | $ | 6,086 | | $ | — | | | | | | | (1) Includes the Athene embedded derivative asset of $3,158 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. |
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| Quantitative Information on Significant Internally-Priced Level 3 Assets and Liabilities |
The table below presents quantitative information on internally-priced Level 3 assets and liabilities that use significant unobservable inputs (in millions, 2022 information recast for the adoption of LDTI):
| | | | | | | | | | | | | | | | | | | As of March 31, 2023 | | Fair
Value | Valuation Technique(s) | Significant Unobservable Input(s) | Assumption or Input Range | Impact of Increase in Input on Fair Value | | Assets | | | | | | | Reinsurance recoverable on market risk benefits | $ | 238 | | Discounted cash
flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 2.97% - 8.10% | Decrease | | | | Utilization(3) | 0.00% - 20.00% | Increase | | | | Withdrawal(4) | 47.50% - 52.50% | Increase | | | | Non-performance risk(5) | 1.21% - 2.41% | Decrease | | | | Long-term Equity Volatility(6) | 18.13% - 22.50% | Increase |
| | | | | | | Market risk benefit assets | $ | 5,204 | | Discounted cash flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 0.05% - 41.28% | Decrease | | | | Utilization(3) | 0.00% - 100.00% | Increase | | | | Withdrawal(4) | 11.25% - 100.00% | Increase | | | | Non-performance risk(5) | 1.21% - 2.41% | Decrease | | | | Long-term Equity Volatility(6) | 18.13% - 22.50% | Increase | | | | | | | | Liabilities | | | | | | | Market risk benefit liabilities | $ | 5,560 | | Discounted cash flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 0.05% - 41.28% | Decrease | | | | Utilization(3) | 0.00% - 100.00% | Increase | | | | Withdrawal(4) | 11.25% - 100.00% | Increase | | | | Non-performance risk(5) | 1.21% - 2.41% | Decrease | | | | Long-term Equity Volatility(6) | 18.13% - 22.50% | Increase |
(1) Mortality rates vary by attained age, tax qualification status, guaranteed benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied. (2) Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and optional benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money. Lapse rates are also adjusted to reflect lower lapse expectations when guaranteed benefits are utilized. (3) The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money. (4) The withdrawal rate represents the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount under the free partial withdrawal provision or the GMWB, as applicable. Free partial withdrawal rates vary based on the product type and duration. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions. (5) Non-performance risk adjustment is applied as a spread over the risk-free rate to determine the rate used to discount the related cash flows and varies by projection year. (6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available. | | | | | | | | | | | | | | | | | | | As of December 31, 2022 | | Fair
Value | Valuation Technique(s) | Significant Unobservable Input(s) | Assumption or Input Range | Impact of Increase in Input on Fair Value | | Assets | | | | | | | Reinsurance recoverable on market risk benefits | $ | 221 | | Discounted cash flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 2.97% - 8.10% | Decrease | | | | Utilization(3) | 0.00% - 20.00% | Increase | | | | Withdrawal(4) | 47.50% - 52.50% | Increase | | | | Non-performance risk(5) | 0.64% - 2.27% | Decrease | | | | Long-term Equity Volatility(6) | 18.50% - 23.68% | Increase | | | | | | | | Market risk benefit assets | $ | 4,865 | | Discounted cash flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 0.05% - 41.28% | Decrease | | | | Utilization(3) | 0.00% - 100.00% | Increase | | | | Withdrawal(4) | 11.25% - 100.00% | Increase | | | | Non-performance risk(5) | 0.64% - 2.27% | Decrease | | | | Long-term Equity Volatility(6) | 18.50% - 23.68% | Increase | | | | | | | | Liabilities | | | | | | | Market risk benefit liabilities | $ | 5,662 | | Discounted cash flow | Mortality(1) | 0.01% - 23.33% | Decrease | | | | Lapse(2) | 0.05% - 41.28% | Decrease | | | | Utilization(3) | 0.00% - 100.00% | Increase | | | | Withdrawal(4) | 11.25% - 100.00% | Increase | | | | Non-performance risk(5) | 0.64% - 2.27% | Decrease | | | | Long-term Equity Volatility(6) | 18.50% - 23.68% | Increase |
(1) Mortality rates vary by attained age, tax qualification status, guaranteed benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied. (2) Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and optional benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money. Lapse rates are also adjusted to reflect lower lapse expectations when guaranteed benefits are utilized. (3) The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money. (4) The withdrawal rate represents the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount under the free partial withdrawal provision or the GMWB, as applicable. Free partial withdrawal rates vary based on the product type and duration. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions. (5) Non-performance risk adjustment is applied as a spread over the risk-free rate to determine the rate used to discount the related cash flows and varies by projection year. (6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available.
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| Rollforwards of Financial Instruments for Which Significant Unobservable Inputs (Level 3) are Used - Assets |
The tables below, 2022 information recast for the adoption of LDTI, provide roll-forwards for the three months ended March 31, 2023 and 2022 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement. Gains and losses in the tables below include changes in fair value due partly to observable and unobservable factors. The Company utilizes derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instruments hedging the related risks may not be classified within the same fair value hierarchy level as the associated assets and liabilities. Therefore, the impact of the derivative instruments reported in Level 3 may vary significantly from the total income effect of the hedged instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Realized/Unrealized Gains (Losses) Included in | | | | | | | | | | Purchases, | | | | | | Fair Value | | | Sales, | Transfers | Fair Value | | | | as of | | Other | Issuances | in and/or | as of | | | | January 1, | Net | Comprehensive | and | (out of) | March 31, | | Three Months Ended March 31, 2023 | | 2023 | Income | Income | Settlements | Level 3 | 2023 | | Assets | | | | | | | | | | Debt securities | | | | | | | | | Corporate securities | | $ | 56 | | $ | — | | $ | (1) | | $ | (3) | | $ | (26) | | $ | 26 | | | | | | | | | | | | Equity securities | | 122 | | (10) | | — | | (1) | | — | | 111 | | | Mortgage loans | | 582 | | (2) | | — | | (100) | | — | | 480 | | | Limited partnerships | | 440 | | 4 | | — | | 11 | | (7) | | 448 | | | Reinsurance recoverable on market risk benefits | | 221 | | 17 | | — | | — | | — | | 238 | | | Market risk benefit assets | | 4,865 | | 339 | | — | | — | | — | | 5,204 | | | Policy loans | | 3,419 | | 29 | | — | | (21) | | — | | 3,427 | | | | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | Funds withheld payable under reinsurance treaties | | (424) | | (399) | | — | | 20 | | — | | (803) | | | Market risk benefit liabilities | | (5,662) | | (182) | | 284 | | — | | — | | (5,560) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Realized/Unrealized Gains (Losses) Included in | | | | | | | | | | Purchases, | | | | | | Fair Value | | | Sales, | Transfers | Fair Value | | | | as of | | Other | Issuances | in and/or | as of | | | | January 1, | Net | Comprehensive | and | (out of) | March 31, | | Three Months Ended March 31, 2022 | | 2022 | Income | Income | Settlements | Level 3 | 2022 | | Assets | | | | | | | | | | Debt securities | | | | | | | | | Corporate securities | | $ | 9 | | $ | — | | $ | — | | $ | 2 | | $ | 3 | | $ | 14 | | | | | | | | | | | | Equity securities | | 112 | | 3 | | — | | — | | — | | 115 | | | Mortgage loans | | — | | 2 | | — | | 188 | | — | | 190 | | | Limited partnerships | | 396 | | — | | — | | — | | — | | 396 | | | Reinsurance recoverable on market risk benefits | | 383 | | (57) | | — | | — | | — | | 326 | | | Market risk benefit assets | | 1,664 | | 769 | | — | | — | | — | | 2,433 | | | Policy loans | | 3,467 | | 60 | | — | | (55) | | — | | 3,472 | | | | | | | | | | | | Liabilities | | | | | | | | | | Funds withheld payable under reinsurance treaties | | (3,759) | | 1,220 | | — | | 60 | | — | | (2,479) | | | Market risk benefit liabilities | | (8,033) | | 1,195 | | 936 | | — | | — | | (5,902) | |
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| Rollforwards of Financial Instruments for Which Significant Unobservable Inputs (Level 3) are Used - Liabilities |
The tables below, 2022 information recast for the adoption of LDTI, provide roll-forwards for the three months ended March 31, 2023 and 2022 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement. Gains and losses in the tables below include changes in fair value due partly to observable and unobservable factors. The Company utilizes derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instruments hedging the related risks may not be classified within the same fair value hierarchy level as the associated assets and liabilities. Therefore, the impact of the derivative instruments reported in Level 3 may vary significantly from the total income effect of the hedged instruments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Realized/Unrealized Gains (Losses) Included in | | | | | | | | | | Purchases, | | | | | | Fair Value | | | Sales, | Transfers | Fair Value | | | | as of | | Other | Issuances | in and/or | as of | | | | January 1, | Net | Comprehensive | and | (out of) | March 31, | | Three Months Ended March 31, 2023 | | 2023 | Income | Income | Settlements | Level 3 | 2023 | | Assets | | | | | | | | | | Debt securities | | | | | | | | | Corporate securities | | $ | 56 | | $ | — | | $ | (1) | | $ | (3) | | $ | (26) | | $ | 26 | | | | | | | | | | | | Equity securities | | 122 | | (10) | | — | | (1) | | — | | 111 | | | Mortgage loans | | 582 | | (2) | | — | | (100) | | — | | 480 | | | Limited partnerships | | 440 | | 4 | | — | | 11 | | (7) | | 448 | | | Reinsurance recoverable on market risk benefits | | 221 | | 17 | | — | | — | | — | | 238 | | | Market risk benefit assets | | 4,865 | | 339 | | — | | — | | — | | 5,204 | | | Policy loans | | 3,419 | | 29 | | — | | (21) | | — | | 3,427 | | | | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | Funds withheld payable under reinsurance treaties | | (424) | | (399) | | — | | 20 | | — | | (803) | | | Market risk benefit liabilities | | (5,662) | | (182) | | 284 | | — | | — | | (5,560) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Realized/Unrealized Gains (Losses) Included in | | | | | | | | | | Purchases, | | | | | | Fair Value | | | Sales, | Transfers | Fair Value | | | | as of | | Other | Issuances | in and/or | as of | | | | January 1, | Net | Comprehensive | and | (out of) | March 31, | | Three Months Ended March 31, 2022 | | 2022 | Income | Income | Settlements | Level 3 | 2022 | | Assets | | | | | | | | | | Debt securities | | | | | | | | | Corporate securities | | $ | 9 | | $ | — | | $ | — | | $ | 2 | | $ | 3 | | $ | 14 | | | | | | | | | | | | Equity securities | | 112 | | 3 | | — | | — | | — | | 115 | | | Mortgage loans | | — | | 2 | | — | | 188 | | — | | 190 | | | Limited partnerships | | 396 | | — | | — | | — | | — | | 396 | | | Reinsurance recoverable on market risk benefits | | 383 | | (57) | | — | | — | | — | | 326 | | | Market risk benefit assets | | 1,664 | | 769 | | — | | — | | — | | 2,433 | | | Policy loans | | 3,467 | | 60 | | — | | (55) | | — | | 3,472 | | | | | | | | | | | | Liabilities | | | | | | | | | | Funds withheld payable under reinsurance treaties | | (3,759) | | 1,220 | | — | | 60 | | — | | (2,479) | | | Market risk benefit liabilities | | (8,033) | | 1,195 | | 936 | | — | | — | | (5,902) | |
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| Components of Amounts Included in Purchases, Sales, Issuances and Settlements |
The components of the amounts included in purchases, sales, issuances and settlements for the three months ended March 31, 2023 and 2022 shown above are as follows (in millions):
| | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2023 | Purchases | Sales | Issuances | Settlements | Total | | Assets | | | | | | | Debt securities | | | | | | | Corporate securities | $ | 1 | | $ | (4) | | $ | — | | $ | — | | $ | (3) | | | Equity securities | | — | (1) | — | — | (1) | | Mortgage loans | | 36 | (136) | — | — | (100) | | Limited partnerships | | 18 | (7) | — | — | 11 | | Policy loans | — | — | 35 | (56) | (21) | | Total | | $ | 55 | $ | (148) | $ | 35 | $ | (56) | $ | (114) | | | | | | | | | | Liabilities | | | | | | | Funds withheld payable under reinsurance treaties | $ | — | $ | — | $ | (35) | $ | 55 | $ | 20 | | | | | | | | | | Three Months Ended March 31, 2022 | Purchases | Sales | Issuances | Settlements | Total | | Assets | | | | | | | Debt securities | | | | | | | Corporate securities | $ | 2 | | $ | — | | $ | — | | $ | — | | $ | 2 | | | | | | | | | | | Mortgage loans | | 188 | — | — | — | 188 | | | | | | | | | | Policy loans | — | — | 30 | (85) | (55) | | Total | | $ | 190 | $ | — | $ | 30 | $ | (85) | $ | 135 | | | | | | | | | | Liabilities | | | | | | | Funds withheld payable under reinsurance treaties | $ | — | $ | — | $ | (31) | $ | 91 | $ | 60 |
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| Portion of Gains (Losses) Included in Net Income or Other Comprehensive Income |
The portion of gains (losses) included in net income (loss) or other comprehensive income (loss) ("OCI") attributable to the change in unrealized gains and losses on Level 3 financial instruments still held was as follows (in millions, 2022 information recast for the adoption of LDTI):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2023 | | 2022 | | | Included in
Net Income | | Included in OCI | | Included in
Net Income | | Included in OCI | | Assets | | | | | | Debt securities | | | | | | | | | | Corporate securities | | $ | — | | | $ | (1) | | | $ | — | | | $ | — | | | | | | | | | | | | Equity securities | | (10) | | | — | | | 3 | | | — | | | Mortgage loans | | (2) | | | — | | | 2 | | | — | | | Limited partnerships | | 10 | | | — | | | — | | | — | | | Reinsurance recoverable on market risk benefits | | 17 | | | — | | | (57) | | | — | | | Market risk benefit assets | | 339 | | | — | | | 769 | | | — | | | Policy loans | | 29 | | | — | | | 60 | | | — | | | | | | | | | | | | Liabilities | | | | | | | | | | Funds withheld payable under reinsurance treaties | | (399) | | | — | | | 1,220 | | | — | | | Market risk benefit liabilities | | (182) | | | 284 | | | 1,195 | | | 936 | |
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| Carrying Amount and Fair Value by Hierarchy of Certain Financial Instruments Not Reported at Fair Value |
The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value (in millions):
| | | | | | | | | | | | | | | | | | | | | | March 31, 2023 | | | | Fair Value | | Carrying
Value | | Total | Level 1 | Level 2 | Level 3 | | Assets | | | | | | | | Mortgage loans | $ | 10,911 | | | $ | 10,346 | | $ | — | | $ | — | | $ | 10,346 | | | Policy loans | 950 | | | 950 | | — | | — | | 950 | | | FHLBI capital stock | 146 | | | 146 | | 146 | | — | | — | | | | | | | | | | Liabilities | | | | | | | Annuity reserves (1) | $ | 35,256 | | | $ | 31,015 | | $ | — | | $ | — | | $ | 31,015 | | Reserves for guaranteed investment contracts (2) | 989 | | | 958 | | — | | — | | 958 | | Trust instruments supported by funding agreements (2) | 5,597 | | | 5,404 | | — | | — | | 5,404 | | FHLB funding agreements (2) | 2,105 | | | 2,007 | | — | | — | | 2,007 | | | Funds withheld payable under reinsurance treaties | 21,451 | | | 21,451 | | — | | — | | 21,451 | | | Debt | 2,632 | | | 2,403 | | — | | 2,403 | | — | | | Securities lending payable | 39 | | | 39 | | — | | 39 | | — | | | | | | | | | | Repurchase agreements | 1,085 | | | 1,085 | | — | | 1,085 | | — | | Separate account liabilities (3) | 204,366 | | | 204,366 | | — | | 204,366 | | — | | | | | | | | | | December 31, 2022 | | | | Fair Value | | Carrying
Value | | Total | Level 1 | Level 2 | Level 3 | | Assets | | | | | | | | Mortgage loans | $ | 10,967 | | | $ | 10,259 | | $ | — | | $ | — | | $ | 10,259 | | | Policy loans | 958 | | | 958 | | — | | — | | 958 | | | FHLBI capital stock | 146 | | | 146 | | 146 | | — | | — | | | | | | | | | | Liabilities | | | | | | | Annuity reserves (1) | $ | 36,222 | | | $ | 31,242 | | $ | — | | $ | — | | $ | 31,242 | | Reserves for guaranteed investment contracts (2) | 1,128 | | | 1,099 | | — | | — | | 1,099 | | Trust instruments supported by funding agreements (2) | 5,887 | | | 5,760 | | — | | — | | 5,760 | | FHLB funding agreements (2) | 2,004 | | | 2,104 | | — | | — | | 2,104 | | | Funds withheld payable under reinsurance treaties | 22,533 | | | 22,533 | | — | | — | | 22,533 | | | Debt | 2,635 | | | 2,344 | | — | | 2,344 | | — | | | Securities lending payable | 36 | | | 36 | | — | | 36 | | — | | | | | | | | | | Repurchase agreements | 1,012 | | | 1,012 | | — | | 1,012 | | — | | Separate account liabilities (3) | 195,906 | | | 195,906 | | — | | 195,906 | | — | | | | | | | | | (1) Annuity reserves represent only the components of other contract holder funds that are considered to be financial instruments. | (2) Included as a component of other contract holder funds on the Condensed Consolidated Balance Sheets. | (3) The values of separate account liabilities are set equal to the values of separate account assets. |
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