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)	$	—	$	5,924	$	100	$	6,024
U.S. Treasury, government and agency	—		14		—		14
States and political subdivisions	—		43		—		43
Foreign governments	—		49		—		49
Residential mortgage-backed	—		1,112		—		1,112
Asset-backed (2)	—		3,771		38		3,809
Commercial mortgage-backed	—		254		1		255
Total fixed maturities, AFS	—		11,167		139		11,306
Other equity investments	—		20		—		20
Other invested assets:
Trading securities	—		—		—		—
Short-term investments	—		3		—		3
Options	—		1,558		—		1,558
Total other invested assets	—		1,561		—		1,561
Cash equivalents	3,174		—		—		3,174
Funds withheld receivable (3) (5)	—		—		(29)		(29)
Purchased market risk benefits	—		—		7		7
Assets for market risk benefits	—		—		34		34
Separate Accounts assets (4)	6,622		7		—		6,629
Total Assets	$	9,796	$	12,755	$	151	$	22,702
Liabilities:
Policyholders’ account balances:
SCS, MSO and IUL indexed features’ liability	—		11,222		—		11,222
Modco receivable (5)	—		—		(292)		(292)
Liabilities for market risk benefits	—		—		6,383		6,383
Total Liabilities	$	—	$	11,222	$	6,091	$	17,313

______________

(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)As discussed in Note 2, the funds withheld receivable was created through a funds withheld and modified coinsurance agreement where the investments supporting the reinsurance agreement are withheld by and continue to reside on Equitable Financial’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 Equitable Financial, which are primarily available for sale securities.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments not fair valued including other assets of $201 million.

(5)The embedded derivative is partially reflected in funds withheld receivable and policyholders’ account balance. The portion within Policyholders’ account balances relates to the non-insulated products assumed on a modified coinsurance basis and is reflected net of assumed liabilities on the balance sheet.

Fair Value Measurements as of December 31, 2023

	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	5,575	$	87	$	5,662
U.S. Treasury, government and agency	—		15		—		15
States and political subdivisions	—		43		—		43
Foreign governments	—		31		—		31
Residential mortgage-backed	—		972		—		972
Asset-backed (2)	—		2,962		24		2,986
Commercial mortgage-backed	—		181		1		182
Total fixed maturities, AFS	—		9,779		112		9,891
Other equity investments	—		19		—		19
Other invested assets:
Options	—		968		—		968
Total other invested assets	—		968		—		968
Cash equivalents	1,654		—		—		1,654
Funds withheld receivable (3) (5)	—		—		100		100
Purchased market risk benefits	—		—		9		9
Assets for market risk benefits	—		—		24		24
Separate Accounts assets (4)	5,747		7		—		5,754
Total Assets	$	7,401	$	10,773	$	245	$	18,419
Liabilities:
Policyholders’ account balances:
SCS, SIO, MSO and IUL indexed features’ liability	—		8,804		—		8,804
Modco receivable (5)	—		—		(411)		(411)
Liabilities for market risk benefits	—		—		7,333		7,333
Total Liabilities	$	—	$	8,804	$	6,922	$	15,726

______________

(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)As discussed in Note 2, the funds withheld receivable was created through a funds withheld and modified coinsurance agreement where the investments supporting the reinsurance agreement are withheld by and continue to reside on Equitable Financial’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 Equitable Financial, which are primarily available for sale securities.

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

(5)The embedded derivative is partially reflected in funds withheld receivable and policyholders’ account balance. The portion within Policyholders’ account balances relates to the non-insulated products assumed on a modified coinsurance basis and is reflected net of assumed liabilities on the balance sheet.

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 8 of the Notes to these Consolidated Financial Statements.

Level 3 Instruments - Fair Value Measurements

	Three Months Ended March 31, 2024
	Corporate		Asset-backed		CMBS		Funds Withheld Receivable		Modco Receivable
	(in millions)
Balance, beginning of period	$	87	$	24	$	1	$	100	$	(411)
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	15		25		—		—		—
Sales	(2)		(11)		—		—		—
Change in fair value of funds withheld assets	—				—		(129)		119
Transfers into Level 3 (1)	—		—		—		—		—
Transfers out of Level 3 (1)	—		—		—		—		—
Balance, end of period	$	100	$	38	$	1	$	(29)	$	(292)

	Three Months Ended March 31, 2024
	Corporate		Asset-backed		CMBS		Funds Withheld Receivable		Modco Receivable
	(in millions)
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.	$	—	$	—	$	—	$	—	$	—

	Three Months Ended March 31, 2023
	Corporate		Asset-backed		CMBS		Funds Withheld Receivable		Modco Receivable
	(in millions)
Balance, beginning of period	$	18	$	—	$	—	$	—	$	—
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	29		—		—		—		—
Sales	—		—		—		—		—
Transfers into Level 3 (1)	—		—		—		—		—
Transfers out of Level 3 (1)	(10)		—		—		—		—
Balance, end of period	$	37	$	—	$	—	$	—	$	—
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.

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
	(Dollars in millions)
Assets:(5)
Investments:
Fixed maturities, AFS:
Corporate	$	42	Matrix pricing model	Spread over benchmark	95 bps - 270 bps	132 bps
	$	17	Market comparable companies	EBITDA multiples Discount Rate Cashflow Multiples Loan to Value	3.3x - 30.5x 0.0% - 19.2% 0.8x - 9.3x 0.0% - 61.4%	0.0x 0.0% 0.0x 0.00%
Other equity investments	—		Discounted Cash Flow	Earnings Multiple	3.9x - 7.0x	5.9x
Purchased MRB asset (1) (2) (4)	7		Discounted cash flow	Lapse rates Withdrawal rates Annuitization rates Non-performance risk (bps) Mortality: Ages 0-40 Ages 41-60 Ages 61-115	N/A	N/A
Liabilities:
Direct MRB (1) (2) (3) (4)	$	6,349	Discounted cash flow	Non-performance risk (bps) Lapse rates Withdrawal rates Annuitization rates Mortality: Ages 0-40 Ages 41-60 Ages 61-115	22 bps - 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%	22 bps 3.97% 0.69% 3.09% 2.65% (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 $6,383 million of MRB liabilities and $34 million of MRB asset.

(4)Includes Core products.

(5)Funds withheld and modco receivable that contain embedded derivatives held at fair value are excluded from the tables above. The funds withheld receivable 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
	(Dollars in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate	$	39	Matrix pricing model	Spread over benchmark	95 bps - 120 bps	118 bps
Purchased MRB asset (1) (2) (4)	9		Discounted cash flow	Lapse rates Withdrawal rates Annuitization Non-performance risk (bps) Mortality: Ages 0-40 Ages 41-60 Ages 61-115	N/A	N/A
Liabilities:
Direct MRB (1) (2) (3) (4)	$	7,309	Discounted cash flow	Non-performance risk Lapse rates Withdrawal rates Annuitization rates Mortality: Ages 0-40 Ages 41-60 Ages 61-115	23 bps - 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%	23 bps 3.99% 0.67% 3.04% 2.62% (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 $7,333 million of MRB liabilities and $24 million of MRB assets.

(4)Includes Core products.

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	$	546	$	—	$	—	$	414	$	414
Policy loans	$	278	$	—	$	—	$	281	$	281
Funds withheld receivable	$	9,784	$	—	$	—	$	9,784	$	9,784
Modco receivable	$	31,045	$	—	$	—	$	31,045	$	31,045
Policyholders’ liabilities: Investment contracts	$	106	$	—	$	—	$	103	$	103
Separate Accounts liabilities	$	434	$	—	$	—	$	434	$	434
December 31, 2023:
Mortgage loans on real estate	$	294	$	—	$	—	$	297	$	297
Policy loans	$	268	$	—	$	—	$	275	$	275
Funds withheld receivable	$	10,503	$	—	$	—	$	10,503	$	10,503
Modco receivable	$	29,912	$	—	$	—	$	29,912	$	29,912
Policyholders’ liabilities: Investment contracts	$	110	$	—	$	—	$	108	$	108
Separate Accounts liabilities	$	372	$	—	$	—	$	372	$	372