XML 55 R37.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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.

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

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.

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.

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

(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.

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)

Rollforwards of Financial Instruments for Which Significant Unobservable Inputs (Level 3) are Used - Liabilities


				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)

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

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

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.