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Market Risk Benefits (Tables)
3 Months Ended
Mar. 31, 2023
Insurance [Abstract]  
Balances of and changes in market risk benefits
The following tables summarize the balances of and changes in market risk benefits, including the January 1, 2021 adoption of ASU 2018-12:
Pre-adoption balance at December 31, 2020$3,084 
Effect of shadow reserve adjustments(3)
Adjustments for the cumulative effect of the changes in instrument-specific credit risk on market risk benefits between the original contract issuance date and the transition date670 
Adjustments to the host contract for differences between previous carrying amount and fair value measurement for the market risk benefits under the option-based method of valuation20 
Adjustments for the remaining difference (exclusive of the instrument-specific credit risk change and host contract adjustments) between previous carrying amount and fair value measurements for the market risk benefits1,058 
Post-adoption balance at January 1, 2021$4,829 
Years Ended December 31,
20222021
(in millions, except age)
Balance at beginning of period$2,901 $4,829 
Issuances27 45 
Interest accrual and time decay(237)(294)
Reserve increase from attributed fees collected810 819 
Reserve release for benefit payments and derecognition(29)(8)
Effect of changes in interest rates and bond markets(4,193)(1,053)
Effect of changes in equity markets and subaccount performance2,258 (1,558)
Effect of changes in equity index volatility205 73 
Actual policyholder behavior different from expected behavior17 52 
Effect of changes in other future expected assumptions(139)123 
Effect of changes in the instrument-specific credit risk on market risk benefits(517)(127)
Balance at end of period$1,103 $2,901 
Reconciliation of the gross balances in an asset or liability position:
Asset position$1,015 $539 
Liability position(2,118)(3,440)
Net asset (liability) position$(1,103)$(2,901)
Guaranteed benefit amount in excess of current account balances (net amount at risk):
Death benefits$2,781 $251 
Living benefits$3,364 $195 
Composite (greater of)$5,830 $441 
Weighted average attained age of contractholders6868
Changes in unrealized (gains) losses in net income relating to liabilities held at end of period $(2,044)$(2,502)
Changes in unrealized (gains) losses in other comprehensive income relating to liabilities held at end of period$(505)$(102)
Three Months Ended March 31,
2023
2022
(in millions, except age)
Balance at beginning of period$1,103 $2,901 
Issuances
Interest accrual and time decay(26)(86)
Reserve increase from attributed fees collected189 199 
Reserve release for benefit payments and derecognition(9)(3)
Effect of changes in interest rates and bond markets504 (1,454)
Effect of changes in equity markets and subaccount performance(392)586 
Effect of changes in equity index volatility(43)55 
Actual policyholder behavior different from expected behavior20 
Effect of changes in other future expected assumptions— — 
Effect of changes in the instrument-specific credit risk on market risk benefits(204)(385)
Balance at end of period$1,133 $1,841 
Reconciliation of the gross balances in an asset or liability position:
Asset position$990 $742 
Liability position(2,123)(2,583)
Net asset (liability) position$(1,133)$(1,841)
Guaranteed benefit amount in excess of current account balances (net amount at risk):
Death benefits$1,956 $714 
Living benefits$2,836 $586 
Composite (greater of)$4,596 $1,274 
Weighted average attained age of contractholders6868
Changes in unrealized (gains) losses in net income relating to liabilities held at end of period $59 $(868)
Changes in unrealized (gains) losses in other comprehensive income relating to liabilities held at end of period $(204)$(382)
Significant inputs and assumptions used in the fair value measurements
The following tables provide a summary of the significant inputs and assumptions used in the fair value measurements developed by the Company or reasonably available to the Company of market risk benefits:
March 31, 2023
Fair ValueValuation TechniqueSignificant Inputs and AssumptionsRangeWeighted
 Average
(in millions)
Market risk benefits$1,133 Discounted cash flow
Utilization of guaranteed withdrawals (1)
0.0%48.0%11.1%
Surrender rate (2)
0.2%45.6%3.6%
Market volatility (3)
0.0%25.1%11.1%
Nonperformance risk (4)
115 bps115 bps
Mortality rate (5)
0.0%41.6%1.5%
December 31, 2022
Fair ValueValuation TechniqueSignificant Inputs and AssumptionsRangeWeighted
 Average
(in millions)
Market risk benefits$1,103 Discounted cash flow
Utilization of guaranteed withdrawals (1)
0.0%48.0%11.0%
Surrender rate (2)
0.2%45.6%3.6%
Market volatility (3)
0.0%26.6%12.1%
Nonperformance risk (4)
95 bps95 bps
Mortality rate (5)
0.0%41.6%1.5%
(1) The utilization of guaranteed withdrawals represents the percentage of contractholders that will begin withdrawing in any given year. The weighted average utilization rate represents the average assumption, weighted based on the benefit base. The calculation excludes policies that have already started taking withdrawals.
(2) The weighted average surrender rate represents the average assumption weighted based on the account value of each contract.
(3) Market volatility represents the implied volatility of each contractholder’s mix of funds. The weighted average market volatility represents the average volatility across all contracts, weighted by the size of the guaranteed benefit.
(4) The nonperformance risk is the spread added to the U.S. Treasury curve.
(5) The weighted average mortality rate represents the average assumption weighted based on the account value of each contract.
The following tables provide a summary of the significant unobservable inputs used in the fair value measurements developed by the Company or reasonably available to the Company of Level 3 assets and liabilities:
 
March 31, 2023
Fair ValueValuation TechniqueUnobservable InputRange Weighted Average
(in millions)
Corporate debt securities (private placements)$439 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
1.0%2.8%1.4%
Asset backed securities$Discounted cash flow
Annual short-term default rate (2)
1.3%1.3%
Annual long-term default rate (2)
3.5%3.5%
Discount rate27.0%27.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
Fixed deferred indexed annuity ceded embedded derivatives$48 Discounted cash flow
Surrender rate (3)
0.0%66.8%1.4%
Fixed deferred indexed annuity embedded derivatives$44 Discounted cash flow
Surrender rate (3)
0.0%66.8%1.4%
 
 
 
Nonperformance risk (4)
115 bps115 bps
IUL embedded derivatives$771 Discounted cash flow
Nonperformance risk (4)
115 bps115 bps
Structured variable annuity embedded derivatives $142 Discounted cash flow
Surrender rate (3)
2.4%49.5%2.8%
Nonperformance risk (4)
115 bps115 bps
Contingent consideration liabilities$70 Discounted cash flow
Discount rate (5)
0.0%10.5%2.9%

 
December 31, 2022
Fair ValueValuation TechniqueUnobservable InputRangeWeighted Average
(in millions)
Corporate debt securities (private placements)$404 Discounted cash flow
Yield/spread to U.S. Treasuries (1)
1.1%2.3%1.4%
Asset backed securities$Discounted cash flow
Annual short-term default rate (2)
0.8%0.8%
Annual long-term default rate (2)
3.5%3.5%
Discount rate27.0%27.0%
Constant prepayment rate10.0%10.0%
Loss recovery63.6%63.6%
Fixed deferred indexed annuity ceded embedded derivatives$48 Discounted cash flow
Surrender rate (3)
0.0%66.8%1.4%
Fixed deferred indexed annuity embedded derivatives$44 Discounted cash flow
Surrender rate (3)
0.0%66.8%1.4%
 
Nonperformance risk (4)
95 bps95 bps
IUL embedded derivatives$739 Discounted cash flow
Nonperformance risk (4)
95 bps95 bps
Structured variable annuity embedded derivatives$(137)(6)Discounted cash flow
Surrender rate (3)
0.8%40.0%0.9%
Nonperformance risk (4)
95 bps95 bps
Contingent consideration liabilities$62 Discounted cash flow
Discount rate (5)
0.0%10.5%3.3%
(1) The weighted average for the yield/spread to U.S. Treasuries for corporate debt securities (private placements) is weighted based on the security’s market value as a percentage of the aggregate market value of the securities.
(2) The weighted average annual default rates of asset backed securities is weighted based on the security’s market value as a percentage of the aggregate market value of the securities.
(3) The weighted average surrender rate represents the average assumption weighted based on the account value of each contract.
(4) The nonperformance risk is the spread added to the U.S. Treasury curve.
(5) The weighted average discount rate represents the average discount rate across all contingent consideration liabilities, weighted based on the size of the contingent consideration liability.
(6) The fair value of the structured variable annuity embedded derivatives was a net asset as of December 31, 2022 and the amount is presented as a contra liability.