FAIR VALUE DISCLOSURES (Tables)

12 Months Ended

Dec. 31, 2022

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 December 31, 2022


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	2,040	$	18	$	2,058
U.S. Treasury, government and agency	—		14		—		14
States and political subdivisions	—		34		—		34

Residential mortgage-backed	—		6		—		6
Asset-backed (2)	—		41		—		41
Commercial mortgage-backed	—		65		—		65

Total fixed maturities, AFS	—		2,200		18		2,218
Other equity investments	—		19		—		19
Other invested assets:





Options	—		18		—		18
Total other invested assets	—		18		—		18
Cash equivalents	272		—		—		272

Separate Accounts assets (3)	3,367		7		—		3,374
Total Assets	$	3,639	$	2,244	$	18	$	5,901

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	(8)	$	(8)
MSO and IUL indexed features’ liability	—		87		—		87
Total Liabilities	$	—	$	87	$	(8)	$	79

______________

(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






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.

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) for the years ended December 31, 2022, 2021 and 2020, respectively.

Level 3 Instruments - Fair Value Measurements


	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)	—		14
Total realized and unrealized gains (losses)	—		14
Other comprehensive income (loss)	(1)		—
Purchases	14		(6)
Sales	(1)		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	(5)		—
Balance, December 31, 2022	$	18	$	8
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	14
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	1		—
Sales	(4)		—
Transfers into Level 3 (1)	—		—
Transfers out of Level 3 (1)	—		—
Balance, December 31, 2021	$	11	$	—
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	$	—	$	—

Balance, January 1, 2020	$	10	$	—
Total gains (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	—		—
Investment gains (losses), net	—		—
Subtotal	—		—
Other comprehensive income (loss)	—		—
Purchases	—		—
Sales	(1)		—
Transfers into Level 3 (1)	5		—
Transfers out of Level 3 (1)	—		—
Balance, December 31, 2020	$	14	$	—
Balance, Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period.	$	—	$	—
Balance, 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.

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 as of December 31, 2022 and 2021, respectively.

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2022

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

Matrix pricing
model

Spread over Benchmark

245 bps - 245 bps

245 bps

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average

(in millions)

Liabilities:

GMxB Derivative Features Liability

(8)

Discounted cash flow

Lapse rates

Withdrawal Rates

Annuitization

Non-performance risk (bps)

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.75% - 35.42%

0.20% - 1.24%

0.04% - 100.00%

147 bps

0.01% - 0.17%

0.06% - 0.52%

0.32% - 40.00%

5.99%

0.91%

2.92%

147 bps

1.00%

(same for all ages)

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

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

The carrying values and fair values as of December 31, 2022 and 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)
December 31, 2022:
Mortgage loans on real estate	$	17	$	—	$	—	$	15	$	15
Policy loans	$	244	$	—	$	—	$	248	$	248

Policyholders’ liabilities: Investment contracts	$	115	$	—	$	—	$	106	$	106




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

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