FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis are summarized below.

Fair Value Measurements as of March 31, 2024

	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	34,334	$	2,238	$	36,572
U.S. Treasury, government and agency	—		4,403		—		4,403
States and political subdivisions	—		434		—		434
Foreign governments	—		542		—		542
Residential mortgage-backed (2)	—		1,391		—		1,391
Asset-backed (3)	—		7,979		33		8,012
Commercial mortgage-backed	—		2,962		6		2,968
Redeemable preferred stock	—		59		—		59
Total fixed maturities, AFS	—		52,104		2,277		54,381
Other equity investments	150		444		55		649
Trading securities	224		51		—		275
Other invested assets:
Short-term investments	—		401		—		401
Assets of consolidated VIEs/VOEs	—		—		3		3
Swaps	—		(266)		—		(266)
Credit default swaps	—		(2)		—		(2)
Options	—		11,205		—		11,205
Total other invested assets	—		11,338		3		11,341
Cash equivalents	1,813		1,043		—		2,856
Purchased market risk benefits	—		—		14,689		14,689
Assets for market risk benefits	—		—		784		784
Separate Accounts assets (4)	123,677		2,584		1		126,262
Modco payable (5)	—		—		(292)		(292)
SCS, SIO, MSO and IUL indexed features’ asset	—		8,664		—		8,664
Total Assets	$	125,864	$	76,228	$	17,517	$	219,609
Liabilities:
SCS, SIO, MSO and IUL indexed features’ liability (6)	—		11,200		—		11,200
Liabilities for market risk benefits	—		—		12,791		12,791
Funds withheld payable (7)	—		—		(29)		(29)
Total Liabilities	$	—	$	11,200	$	12,762	$	23,962

______________

(1)Corporate fixed maturities includes both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate. As of March 31, 2024 the fair value of such investments was $354 million.

(5)Reflected in Amounts due from reinsurers.

(6)SCS embedded derivative asset is recorded as a modco receivable. This is presented net in the consolidated balance sheets.

(7)As discussed in Note 2, the funds withheld payable is created through a funds withheld and modified coinsurance arrangements where the investments supporting the reinsurance agreement are withheld by and continue to reside on the Company’s consolidated balance

sheet. This embedded derivative is valued as a total return swap with references to the fair value of the invested assets held by the Company, which are primarily available for sale securities..

Fair Value Measurements as of December 31, 2023

	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	35,197	$	2,070	$	37,267
U.S. Treasury, government and agency	—		4,539		—		4,539
States and political subdivisions	—		443		27		470
Foreign governments	—		581		—		581
Residential mortgage-backed (2)	—		1,344		—		1,344
Asset-backed (3)	—		7,981		24		8,005
Commercial mortgage-backed	—		2,894		6		2,900
Redeemable preferred stock	—		59		—		59
Total fixed maturities, AFS	—		53,038		2,127		55,165
Other equity investments	150		445		54		649
Trading securities	207		50		—		257
Other invested assets:
Short-term investments	—		414		—		414
Assets of consolidated VIEs/VOEs	—		—		3		3
Swaps	—		(180)		—		(180)
Credit default swaps	—		(2)		—		(2)
Options	—		9,117		—		9,117
Total other invested assets	—		9,349		3		9,352
Cash equivalents	1,917		616		—		2,533
Purchased market risk benefits	—		—		16,729		16,729
Assets for market risk benefits	—		—		574		574
Separate Accounts assets (4)	118,353		2,617		—		120,970
Modco payable (5)	—		—		(411)		(411)
SCS, SIO, MSO and IUL indexed features’ asset	—		7,140		—		7,140
Total Assets	$	120,627	$	73,255	$	19,076	$	212,958
Liabilities:
SCS, SIO, MSO and IUL indexed features’ liability (6)	—		9,081		—		9,081
Liabilities for market risk benefits	—		—		14,570		14,570
Funds withheld payable (7)	—		—		100		100
Total Liabilities	$	—	$	9,081	$	14,670	$	23,751

______________

1.Corporate fixed maturities includes both public and private issues.

2.Includes publicly traded agency pass-through securities and collateralized obligations.

3.Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

4.Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate. As of December 31, 2023 the fair value of such investments was $371 million.

5.Reflected in Amounts due from reinsurers.

6.SCS embedded derivative asset is recorded as a modco receivable. This is presented net in the consolidated balance sheets.

7.As discussed in Note 2, the funds withheld payable is created through a funds withheld and modified coinsurance arrangements where the investments supporting the reinsurance agreement are withheld by and continue to reside on the Company’s consolidated balance sheet. This embedded derivative is valued as a total return swap with references to the fair value of the invested assets held by the Company, which are primarily available for sale securities.

Schedule of Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities and changes in unrealized gains (losses). Not included below are the changes in balances related to market risk benefits and purchased market risk benefits level 3 assets and liabilities, which are included in Note 9 of the Notes to these Consolidated Financial Statements.

	Three Months Ended March 31, 2024
	Corporate		State and Political Subdivisions		Asset-backed		CMBS
	(in millions)
Balance, beginning of period	$	2,070	$	27	$	24	$	6
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	2		—		—		—
Investment gains (losses), net	(1)		—		—		—
Subtotal	1		—		—		—
Other comprehensive income (loss)	10		—		—		—
Purchases	201		—		23		—
Sales	(54)		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	57		—		—		—
Transfers out of Level 3 (1)	(47)		(27)		(14)		—
Balance, end of period	$	2,238	$	—	$	33	$	6
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	10	$	—	$	—	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2024 amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

	Three Months Ended March 31, 2024
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Balance, beginning of period	$	57	$	—	$	100	$	(411)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	1		—		—		—
Net derivative gains (losses)	—		—		—		—
Total realized and unrealized gains (losses)	1		—		—		—
Other comprehensive income (loss)	—		—		—		—
Purchases	42		1		—		—
Sales	(42)		—		—		—
Change in fair value of funds withheld assets	—		—		(129)		119
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—

	Three Months Ended March 31, 2024
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	58	$	1	$	(29)	$	(292)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2024, amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

(3)Other Equity Investments include other invested assets.

	Three Months Ended March 31, 2023
	Corporate		State and Political Subdivisions		Asset-backed		CMBS
	(in millions)
Balance, beginning of period	$	2,103	$	29	$	—	$	32
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—
Investment gains (losses), net	(3)		—		—		—
Subtotal	(2)		—		—		—
Other comprehensive income (loss)	18		—		—		—
Purchases	143		—		12		2
Sales	(90)		(1)		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	(258)		—		—		—
Balance, end of period	$	1,914	$	28	$	12	$	34
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	17	$	—	$	—	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2023 amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

	Three Months Ended March 31, 2023
	Other Equity Investments (3)		Separate Accounts Assets		Funds Withheld Payable		Modco Payable
	(in millions)
Balance, beginning of period	$	17	$	1	$	—	$	—
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	(3)		—		—		—
Net derivative gains (losses)	—		—		—		—
Total realized and unrealized gains (losses)	(3)		—		—		—
Other comprehensive income (loss)	—		—		—		—
Purchases	—		—		—		—
Sales	—		—		—		—
Other	—		—		—		—
Activity related to consolidated VIEs/VOEs	—		—		—		—
Transfers into Level 3 (1)	—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—
Balance, end of period	$	14	$	1	$	—	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	(3)	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—

_______________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2023, amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

(3)Other Equity Investments include other invested assets.

Schedule of Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities:

Quantitative Information about Level 3 Fair Value Measurements as of March 31, 2024

	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average (2)
	(Dollars in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate	$	308	Matrix pricing model	Spread over benchmark	20 bps - 220 bps	146 bps
	1,156		Market  comparable  companies	EBITDA multiples Discount rate Cash flow multiples Loan to value	3.3x - 30.5x 0.0% - 19.2% 0.8x - 9.3x 0.0% - 61.4%	13.5x 3.8% 6.2x 14.0%

	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average (2)
Other equity investments	2		Discounted Cash Flow	Earnings multiple	3.9x - 7.0x	5.9x
Purchased MRB asset (1) (2) (4)	14,689		Discounted cash flow	Lapse rates Withdrawal rates GMIB utilization rates Non-performance risk Volatility rates - equity Mortality: Ages 0-40 Ages 41-60 Ages 61-115	0.21% - 29.37% 0.00% - 14.97% 0.04% - 100.00% 22 bps - 101 bps 12% - 28% 0.01% - 0.18% 0.07% - 0.53% 0.33% - 42.00%	2.84% 0.58% 5.24% 32 bps 23% 2.99% (same for all ages) (same for all ages)
Liabilities: (5)
Direct MRB (1) (2) (3) (4)	$	12,007	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Annuitization Mortality (1): Ages 0-40 Ages 41-60 Ages 61-115	117 bps 0.21% - 29.37% 0.00% - 14.97% 0.04% - 100.00% 0.01% - 0.18% 0.07% - 0.53% 0.33% - 42.00%	117 bps 3.17% 0.67% 5.22% 2.79% (same for all ages) (same for all ages)

______________

(1)Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

(2)For lapses, withdrawals, and utilizations the rates were weighted by counts, for mortality weighted average rates are shown for all ages combined and for withdrawals the weighted averages were based on an estimated split of partial withdrawal and dollar-for-dollar withdrawals.

(3)MRB liabilities are shown net of MRB assets. Net amount is made up of $12.8 billion of MRB liabilities and $784 million of MRB assets.

(4)Includes Legacy and Core products.

(5)    Funds withheld and modco payable that contain embedded derivatives held at fair value are excluded from the tables above. The funds withheld payable embedded derivative utilizes a total return swap technique which incorporates the fair value of the invested assets supporting the reinsurance agreement as a component of the valuation.

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2023

	Fair Value		Valuation Technique	Significant Unobservable Input	Range	Weighted Average (2)
	(Dollars in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate	$	330	Matrix pricing model	Spread over benchmark	20 - 747 bps	187 bps
	979		Market comparable companies	EBITDA multiples Discount rate Cash flow multiples Loan to value	3.3x - 29.0x 0.0% - 22.8% 0.8x -10.0x 3.4%-61.0%	13.6x 3.9% 6.3x 13.8%
Other equity investments	2		Discounted cash flow	Earnings multiple	6.5x - 6.2x	6.0x
Purchased MRB asset (1) (2) (4)	16,729		Discounted cash flow	Lapse rates Withdrawal rates GMIB utilization rates Non-performance risk (bps) Volatility rates - Equity Mortality: Ages 0-40 Ages 41 - 60 Ages 61 - 115	0.21% - 29.37% 0.00%-14.97% 0.04%-100.00% 23 bps - 97 bps 11%-28% 0.01%-0.18% 0.07%-0.53% 0.33%-42.00%	2.75% 0.55% 5.51% 35 bps 23% 2.87% (same for all ages) (same for all ages)

Liabilities: (5)
Direct MRB (1) (2) (3) (4)	$	13,996	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Annuitization rates Mortality: Ages 0-40 Ages 41 - 60 Ages 61 - 115	118 bps 0.21%-29.37% 0.00%-14.97% 0.04%-100.00% 0.01%-0.18% 0.07%-0.53% 0.33%-42.00%	118 bps 3.03% 0.64% 5.44% 2.63% (same for all ages) (same for all ages)

______________

(1)Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

(2)Lapses and pro-rata withdrawal rates were developed as a function of the policy account value. Dollar for dollar withdrawal rates were developed as a function of the dollar for dollar threshold, the dollar for dollar limit. GMIB utilization rates were developed as a function of the GMIB benefit base.

(3)MRB liabilities are shown net of MRB assets. Net amount is made up of $14.6 billion of MRB liabilities and $574 million of MRB assets.

(4)Includes Legacy and Core products.

(5)Funds withheld and modco payable that contain embedded derivatives held at fair value are excluded from the tables above. The funds withheld payable embedded derivative utilizes a total return swap technique which incorporates the fair value of the invested assets supporting the reinsurance agreement as a component of the valuation

Schedule of Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements were as follows:

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed

	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2024:
Mortgage loans on real estate	$	18,024	$	—	$	—	$	16,250	$	16,250
Policy loans	$	3,693	$	—	$	—	$	3,931	$	3,931
Loans to affiliates	$	1,900	$	—	$	1,776	$	—	$	1,776
Policyholders’ liabilities: Investment contracts	$	1,502	$	—	$	—	$	1,456	$	1,456
Funds withheld payable	$	9,784	$	—	$	—	$	9,784	$	9,784
Modco payable (1)	$	31,045	$	—	$	—	$	31,045	$	31,045
FHLB funding agreements	$	7,168	$	—	$	7,086	$	—	$	7,086
FABN funding agreements	$	6,252	$	—	$	5,839	$	—	$	5,839
Funding agreement-backed commercial paper (FABCP)	$	663	$	—	$	675	$	—	$	675
Separate Accounts liabilities	$	10,812	$	—	$	—	$	10,812	$	10,812
December 31, 2023:
Mortgage loans on real estate	$	17,877	$	—	$	—	$	16,174	$	16,174
Policy loans	$	3,667	$	—	$	—	$	3,961	$	3,961
Loans to affiliates	$	1,900	$	—	$	1,790	$	—	$	1,790
Policyholders’ liabilities: Investment contracts	$	1,554	$	—	$	—	$	1,526	$	1,526
Funds withheld payable	$	10,503	$	—	$	—	$	10,503	$	10,503
Modco payable	$	29,912	$	—	$	—	$	29,912	$	29,912
FHLB funding agreements	$	7,618	$	—	$	7,567	$	—	$	7,567
FABN funding agreements	$	6,267	$	—	$	5,840	$	—	$	5,840
Funding agreement-backed commercial paper (FABCP)	$	939	$	—	$	948	$	—	$	948
Separate Accounts liabilities	$	10,343	$	—	$	—	$	10,343	$	10,343

______________

(1)Modco payable is reported in amounts due from reinsurers in the consolidated balance sheets.