FAIR VALUE DISCLOSURES (Tables)

9 Months Ended

Sep. 30, 2022

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 September 30, 2022


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	2,066	$	17	$	2,083
U.S. Treasury, government and agency	—		14		—		14
States and political subdivisions	—		32		—		32
Foreign governments	—		—		—		—

Asset-backed (2)	—		50		—		50
Commercial mortgage-backed	—		65		—		65

Total fixed maturities, AFS	—		2,227		17		2,244
Other equity investments	—		19		—		19
Other invested assets:





Options	—		(1)		—		(1)
Total other invested assets	—		(1)		—		(1)
Cash equivalents	25		—		—		25

Separate Accounts assets (3)	3,009		7		—		3,016
Total Assets	$	3,034	$	2,252	$	17	$	5,303

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	(9)	$	(9)
MSO and IUL indexed features’ liability	—		30		—		30
Total Liabilities	$	—	$	30	$	(9)	$	21

______________

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

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

(3)Separate Accounts assets included in the fair value hierarchy exclude investments not fair valued including other assets of $1 million.

Fair Value Measurements as of December 31, 2021


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	2,351	$	11	$	2,362
U.S. Treasury, government and agency	—		66		—		66
States and political subdivisions	—		34		—		34

Asset-backed (2)	—		30		—		30
Commercial mortgage-backed	—		80		—		80

Total fixed maturities, AFS	—		2,561		11		2,572
Other equity investments	—		23		—		23
Other invested assets:






Options	—		3		—		3
Total other invested assets	—		3		—		3
Cash equivalents	107		—		—		107

Separate Accounts assets	3,384		7		—		3,391
Total Assets	$	3,491	$	2,594	$	11	$	6,096

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	—	$	—
MSO and IUL indexed features’ liability	—		132		—		132
Total Liabilities	$	—	$	132	$	—	$	132

______________

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

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

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) for the three and nine months ended September 30, 2022 and 2021, respectively.

Level 3 Instruments - Fair Value Measurements


	Corporate		GMxB Derivative Features Liability
	(in millions)
Balance, July 1, 2022	$	16	$	9

Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—
Net derivative gains (losses) (1)	—		2
Total realized and unrealized gains (losses)	—		2
Other comprehensive income (loss)	—		—
Purchases	1		(2)
Sales	—		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, September 30, 2022	$	17	$	9
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	2


	Corporate		GMxB Derivative Features Liability
	(in millions)
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period.	$	—	$	—

Balance, July 1, 2021	$	11	$	—

Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—
Net derivative gains (losses) (1)	—		—
Total realized and unrealized gains (losses)	—		—
Other comprehensive income (loss)	—		—
Purchases	2		—
Sales	—		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, September 30, 2021	$	13	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period	$	—	$	—


	Corporate		GMxB Derivative Features Liability
	(in millions)
Balance, January 1, 2022	$	11	$	—

Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—
Net derivative gains (losses) (1)	—		12
Total realized and unrealized gains (losses)	—		12
Other comprehensive income (loss)	(1)		—
Purchases	13		(3)
Sales	(1)		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	(5)		—
Balance, September 30, 2022	$	17	$	9
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	12
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period.	$	(1)	$	—

Balance, January 1, 2021	$	14	$	—

Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—
Net derivative gains (losses) (1)	—		—
Total realized and unrealized gains (losses)	—		—
Other comprehensive income (loss)	—		—
Purchases	2		—
Sales	(3)		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, September 30, 2021	$	13	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period	$	—	$	—

____________

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

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 as of September 30, 2022 and December 31, 2021, respectively.

Quantitative Information about Level 3 Fair Value Measurements as of September 30, 2022

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average

(in millions)

Corporate

Matrix pricing
model

Spread over Benchmark

3 bps - 3 bps

3 bps

Liabilities:

GMxB Derivative Features Liability

(9)

Discounted cash flow

Non-performance risk
Lapse rates
Withdrawal rates
Annuitization rates
Mortality Rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 61 - 115

—

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2021

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

Matrix pricing model

Spread over benchmark

70 bps - 145 bps

104 bps

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values as of September 30, 2022 and December 31, 2021 for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Financial Statements are presented in the table below.

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
September 30, 2022:
Mortgage loans on real estate	$	17	$	—	$	—	$	15	$	15
Policy loans	$	250	$	—	$	—	$	291	$	291

Policyholders’ liabilities: Investment contracts	$	118	$	—	$	—	$	108	$	108




December 31, 2021:
Mortgage loans on real estate	$	17	$	—	$	—	$	18	$	18
Policy loans	$	238	$	—	$	—	$	292	$	292

Policyholders’ liabilities: Investment contracts	$	120	$	—	$	—	$	124	$	124