XML 34 R24.htm IDEA: XBRL DOCUMENT

FAIR VALUE OF ASSETS AND LIABILITIES (Tables)

6 Months Ended

Jun. 30, 2022

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

The tables below present the balances of assets and liabilities reported at fair value on a recurring basis, as of the dates indicated.


	Successor Company
	June 30, 2022
	Level 1		Level 2		Level 3		Netting (1)		Total
	(in millions)
Assets
Fixed Maturity Securities
U.S Treasury securities and obligations of U.S. government authorities and agencies	$	—	$	1,059	$	—	$	—	$	1,059
Obligations of U.S. states and their political subdivisions	—		209		—		—		209
Foreign government bonds	—		28		—		—		28
U.S. corporate public securities	—		2,804		—		—		2,804
U.S. corporate private securities	—		1,140		235		—		1,375
Foreign corporate public securities	—		413		45		—		458
Foreign corporate private securities	—		689		34		—		723
Asset-backed securities(2)	—		735		25		—		760
Commercial mortgage-backed securities	—		206		—		—		206
Residential mortgage-backed securities	—		43		—		—		43
Total Fixed Maturity Securities	—		7,326		339		—		7,665
Equity securities	183		—		—		—		183
Short-term investments	25		18		—		—		43
Cash and cash equivalents	292		725		—		—		1,017
Other invested assets(3)	36		1,528		—		(1,385)		179
Secured receivable	—		—		1,555		—		1,555
Deposit asset	—		—		2,158		—		2,158
Reinsurance recoverables	—		—		378		—		378
Net modified coinsurance receivable	—		—		215		—		215
Subtotal excluding separate account assets	536		9,597		4,645		(1,385)		13,393
Separate account assets(4)	—		25,088		—		—		25,088
Total assets	$	536	$	34,685	$	4,645	$	(1,385)	$	38,481

Liabilities
Insurance Liabilities	$	—	$	—	$	11,257	$	—	$	11,257
Other liabilities	—		580		—		(380)		200
Total liabilities	$	—	$	580	$	11,257	$	(380)	$	11,457


	Predecessor Company
	December 31, 2021
	Level 1		Level 2		Level 3		Netting(1)		Total
	(in millions)
Assets
Fixed Maturity Securities, available-for-sale:
U.S Treasury securities and obligations of U.S. government authorities and agencies	$	—	$	727	$	—	$	—	$	727
Obligations of U.S. states and their political subdivisions	—		296		—		—		296
Foreign government bonds	—		114		—		—		114
U.S. corporate public securities	—		2,460		—		—		2,460
U.S. corporate private securities	—		1,556		89		—		1,645
Foreign corporate public securities	—		795		—		—		795
Foreign corporate private securities	—		791		101		—		892
Asset-backed securities(2)	—		1,039		23		—		1,062
Commercial mortgage-backed securities	—		674		32		—		706
Residential mortgage-backed securities	—		54		20		—		74
Total Fixed Maturity Securities, available-for-sale	—		8,506		265		—		8,771
Fixed maturities, trading	—		27		—				27
Equity securities	321		—		1				322
Short-term investments	519		263		13				795
Cash equivalents	372		1,359		8				1,739
Other invested assets(3)	1		1,477		—		(1,475)		3
Other assets	—				400				400
Reinsurance recoverables	—				1,881				1,881
Subtotal excluding separate account assets	1,213		11,632		2,568		(1,475)		13,938
Separate account assets(4)	—		32,267		—				32,267
Total assets	$	1,213	$	43,899	$	2,568	$	(1,475)	$	46,205

Liabilities
Future policy benefits(5)	$	—	$	—	$	4,060	$	—	$	4,060
Policyholders' account balances	—		—		2,041		—		2,041
Payables to parent and affiliates	—		1,367		—		(1,152)		215
Other liabilities	1		—		—		(1)		—
Total liabilities	$	1	$	1,367	$	6,101	$	(1,153)	$	6,316

(1)“Netting” amounts represent cash collateral of $236 million and $321 million as of June 30, 2022 and December 31, 2021, respectively.

(2)Includes credit-tranched securities collateralized by syndicated bank loans, sub-prime mortgages, auto loans, credit cards, education loans and other asset types.

(3)Other invested assets excluded from the fair value hierarchy include certain hedge funds, private equity funds and other funds for which fair value is measured at net asset value ("NAV") per share (or its equivalent) as a practical expedient. At June 30, 2022 (Successor Company) and December 31, 2021 (Predecessor Company), the fair values of such investments were $9 million and $10 million, respectively.

(4)Separate account assets represent segregated funds that are invested for certain customers. Investment risks associated with market value changes are borne by the customers, except to the extent of minimum guarantees made by the Company with respect to certain accounts. Separate account liabilities are not included in the above table as they are reported at contract value and not fair value in the Company’s Unaudited Interim Statements of Financial Position.

(5)As of December 31, 2021, the net embedded derivative liability position of $4,060 million includes $62 million of embedded derivatives in an asset position and $4,122 million of embedded derivatives in a liability position.


	Successor Company
	Three Months Ended June 30, 2022
	(in millions)
Assets:
Reinsurance recoverables	$	34
Net modified coinsurance receivable	210
Deposit asset	(457)
Liabilities:
Insurance liabilities	$	2,404

The activity disclosed in the preceding chart is recorded in our policyholder benefits and changes in fair value of insurance liabilities within our statements of operations.

Schedule of Assumptions for Fair Value as of Balance Sheet Date of Assets or Liabilities that relate to Transferor's Continuing Involvement

The tables below present quantitative information on significant internally-priced Level 3 assets and liabilities.


	Successor Company
	June 30, 2022
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in millions)
Assets:
Retained business
Corporate securities	$	153	Discounted cash flow	Discount rate	6.56	%	8.09	%	7.38	%	Decrease
			Recent transaction price	Origination yield	5.00	%	5.10	%	5.05	%	No impact
	$	45	Discounted cash flow	Discount rate	4.40	%	4.40	%	4.40	%	Decrease
	$	93	Discounted cash flow	Discount rate	20.00	%	20.00	%	20.00	%	Decrease
			Market comparables	EBITDA multiples (3)	6.36X		9.97X		0.08X		Increase
Asset-backed securities	$	25	Recent transaction price	Origination yield	6.97	%	7.97	%	7.47	%	No impact
Secured receivable	$	1,555	Discounted cash flow	Discount rate	0.00	%	5.52	%	2.93	%	Decrease
Deposit asset	$	2,158	Fair values are determined using the same unobservable inputs as insurance liabilities.
Reinsurance recoverables	$	378	Fair values are determined using the same unobservable inputs as insurance liabilities.
Net modified coinsurance receivable	$	215	Fair values are determined using the same unobservable inputs as insurance liabilities.
Liabilities:
Insurance liabilities
Retained business	$	3,347	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over SOFR (7)	0.55	%	2.52	%			Decrease
				Utilization rate(8)	77	%	100	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	16	%			Decrease
				Equity volatility curve	16	%	28	%			Increase
Ceded business	$	7,910	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over SOFR (7)	0.27	%	2.07	%			Decrease
				Utilization rate(8)	77	%	100	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	16	%			Decrease
				Equity volatility curve	16	%	28	%			Increase


	Predecessor Company
	December 31, 2021
	Fair Value		Valuation Techniques	Unobservable Inputs	Minimum		Maximum		Weighted Average		Impact of Increase in Input on Fair Value(1)
	(in millions)
Assets:
Corporate securities(2)	$	163	Discounted cash flow	Discount rate	2.34	%	10.17	%	2.82	%	Decrease
			Market Comparables	EBITDA multiples(3)	6.5X		12.4X		8.8X		Increase
			Liquidation	Liquidation value	62.58	%	62.58	%	62.58	%	Increase
Other assets	$	400	Fair values are determined using the same unobservable inputs as policyholders' account balances.
Reinsurance recoverables	$	1,881	Fair values are determined using the same unobservable inputs as future policy benefits and policyholders' account balances.
Liabilities:
Future policy benefits(4)	$	4,060	Discounted cash flow	Lapse rate(6)	1	%	20	%			Decrease
				Spread over LIBOR(7)	0.03	%	1.13	%			Decrease
				Utilization rate(8)	39	%	96	%			Increase
				Withdrawal rate	See table footnote (9) below.
				Mortality rate(10)	0	%	15	%			Decrease
				Equity volatility curve	16	%	25	%			Increase
Policyholders' account balances(5)	$	2,041	Discounted cash flow	Lapse rate(6)	1	%	42	%			Decrease
				Spread over LIBOR(7)	0.03	%	1.17	%			Decrease
				Equity volatility curve	6	%	31	%			Increase

(1)Conversely, the impact of a decrease in input would have the opposite impact on fair value as that presented in the table.

(2)Includes assets classified as fixed maturity securities, at fair value as of June 30, 2022 and fixed maturity securities, available-for-sale and fixed maturity securities, trading as of December 31, 2021.

(3)Represents multiples of earnings before interest, taxes, depreciation and amortization ("EBITDA"), and are amounts used when the Company has determined that market participants would use such multiples when valuing the investments.

(4)Future policy benefits primarily represent general account liabilities for the living benefit features of the Company’s variable annuity contracts which are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(5)Policyholders’ account balances primarily represent general account liabilities for the index-linked interest credited on certain of the Company’s annuity products that are accounted for as embedded derivatives. Since the valuation methodology for these liabilities uses a range of inputs that vary at the contract level over the cash flow projection period, presenting a range, rather than weighted average, is a more meaningful representation of the unobservable inputs used in the valuation.

(6)Lapse rates for contracts with living benefit guarantees are adjusted at the contract level based on the in-the-moneyness of the living benefit and reflect other factors, such as the applicability of any surrender charges. Lapse rates are reduced when contracts are more in-the-money. Lapse rates for contracts with index-linked crediting guarantees may be adjusted at the contract level based on the applicability of any surrender charges, product type, and market related factors such as interest rates. Lapse rates are also generally assumed to be lower for the period where surrender charges apply. For any given contract, lapse rates vary throughout the period over which cash flows are projected for the purposes of valuing these embedded derivatives.

(7)The spread over the SOFR and LIBOR swap curve represents the premium added to the proxy for the risk-free rate (SOFR/LIBOR) to reflect the Company's estimates of rates that a market participant would use to value the living benefits in both the accumulation and payout phases and index-linked interest crediting guarantees. This spread includes an estimate of NPR, which is the risk that the obligation will not be fulfilled by the Company. NPR is primarily estimated by utilizing the credit spreads associated with issuing funding agreements, adjusted for any illiquidity risk premium. In order to reflect the financial strength ratings of the Company, credit spreads associated with funding agreements, as opposed to credit spread associated with debt, are utilized in developing this estimate because funding agreements, living benefit guarantees, and index-linked interest crediting guarantees are insurance liabilities and are therefore senior to debt.

(8)The utilization rate assumption estimates the percentage of contracts that will utilize the benefit during the contract duration and begin lifetime withdrawals at various time intervals from contract inception.The remaining contractholders are assumed to either begin lifetime withdrawals immediately or never utilize the benefit. Utilization assumptions may vary by product type, tax status and age. The impact of changes in these assumptions is highly dependent on the product type, the age of the contractholder at the time of the sale, and the timing of the first lifetime income withdrawal. Range reflects the utilization rate for the vast majority of business with living benefits.

(9)The withdrawal rate assumption estimates the magnitude of annual contractholder withdrawals relative to the maximum allowable amount under the contract. These assumptions vary based on the age of the contractholder, the tax status of the contract and the duration since the contractholder began lifetime withdrawals. As of June 30, 2022 and December 31, 2021, the minimum withdrawal rate assumption is 76% and the maximum withdrawal rate assumption may be greater than 100%. The fair value of the liability will generally increase the closer the withdrawal rate is to 100% and decrease as the withdrawal rate moves further away from 100%.

(10)The range reflects the mortality rates for the vast majority of business with living benefits, with policyholders ranging from 45 to 90 years old. While the majority of living benefits have a minimum age requirement, certain other contracts do not have an age restriction. This results in contractholders with mortality rates approaching 0% for certain benefits. Mortality rates may vary by product, age, and duration. A mortality improvement assumption is also incorporated into the overall mortality table.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables describe changes in fair values of Level 3 assets and liabilities as of the dates indicated, as well as the portion of gains or losses included in income attributable to unrealized gains or losses related to those assets and liabilities still held at the end of their respective periods. When a determination is made to classify assets and liabilities within Level 3, the determination is based on significance of the unobservable inputs in the overall fair value measurement. All transfers are based on changes in the observability of the valuation inputs, including the availability of pricing service information that the Company can validate. Transfers into Level 3 are generally the result of unobservable inputs utilized within valuation methodologies and the use of indicative broker quotes for assets that were previously valued using observable inputs. Transfers out of Level 3 are generally due to the use of observable inputs in valuation methodologies as well as the availability of pricing service information for certain assets that the Company can validate.


	Successor Company
	Three Months Ended June 30, 2022
	Fair Value, beginning of period		Total realized and unrealized gains (losses)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities

Corporate securities(3)	$	190	$	(16)	$	207	$	—	$	—	$	(11)	$	(3)	$	—	$	(53)	$	314	$	(13)
Structured securities(4)	33		—		25		(10)		—		—		(10)		—		(13)		25		—
Other assets:
Secured receivable	1,622		(50)		—		(15)		—		—		(2)		—		—		1,555		—
Deposit asset	2,615		(457)		—		—		—		—		—		—		—		2,158		—
Reinsurance recoverables	344		34		—		—		—		—		—		—		—		378		—
Net modified coinsurance receivable	5		210		—		—		—		—		—		—		—		215		—


	Successor Company
	Three Months Ended June 30, 2022
			Incurred losses
	Fair Value, beginning of period		Reduction in estimates of ultimate losses		Increase in estimates of ultimate losses		Change in fair value (discount rate)		Paid losses		Other		Fair Value, end of period
	(in millions)
Insurance Liabilities	$	13,661	$	(1,654)	$	1,206	$	(1,520)	$	98	$	(534)	$	11,257

"Total realized and unrealized gains (losses)" related to our level 3 assets are included in earnings in Investment gains (losses). In addition, all activity related to our level 3 liabilities are recognized in earnings within change in Policyholder benefits and changes in fair value of insurance liabilities.


	Predecessor Company
	Three Months Ended March 31, 2022
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Corporate securities(3)	190		(9)		5		(4)		—		(2)		—		—		—		180		(9)
Structured securities(4)	76		(4)		—		(10)		—		(2)		—		—		(13)		47		(4)
Other assets:																			—

Equity securities	1		—		—		—		—		—		—		—		—		1		—

Short term investments	13		—		—		—		—		(13)		—		—		—		—		—
Cash equivalents	8		—		—		—		—		(8)		—		—		—		—		—
Other assets	400		(21)		13		—		—		(16)		—		—		—		376		(6)
Reinsurance recoverables	1,881		201		4		—		—		19		(239)		—		—		1,866		222

Liabilities:																			—
Future policy benefits	(4,060)		715		—		—		(48)		—		—		—		—		(3,393)		686
Policyholders' account balances(5)	(2,041)		124		—		—		—		(17)		—		—		—		(1,934)		89


	Predecessor Company
	Three Months Ended March 31, 2022
	Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
	(in millions)
Fixed maturities, available-for-sale	$	—	$	—	$	(12)	$	—		$	—	$	—	$	(12)
Other assets:
Fixed maturities, trading	—		—		—		—			—		—		—
Equity securities	—		—		—		—			—		—		—



Other assets	(21)		—		—		—			(6)		—		—
Reinsurance recoverables	201		—		—		—			222		—		—

Liabilities:
Future policy benefits	715		—		—		—			686		—		—
Policyholders' account balances	124		—		—		—			89		—		—


	Predecessor Company
	Three Months Ended June 30, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	15	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	—
Corporate securities(3)	166		2		96		—		—		(24)		—		—		(8)		232		1
Structured securities(4)	17		(1)		203		—		—		(3)		—		—		—		216		(1)
Other assets:																			—
Fixed maturities, trading	5		—		—		—		—		—		—		—		—		5		—
Equity securities	4		1		—		—		—		—		—		—		—		5		1
Short term investments	12		—		22		—		—		(12)		—		1		—		23		—
Cash equivalents	—		—		—		—		—		—		—		—		—		—		—
Other assets	63		5		4		—		—		(3)		—		—		—		69		1
Reinsurance recoverables	271		27		4		—		—		—		—		—		—		302		29
Liabilities:
Future policy benefits	(10,512)		(1,727)		—		—		(291)		—		—		—		—		(12,530)		(1,838)
Policyholders' account balances(5)	(986)		(240)		—		—		(135)		—		—		—		—		(1,361)		(211)


	Predecessor Company
	Three Months Ended June 30, 2021
	Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
	(in millions)
Fixed maturities, available-for-sale	$	(3)	$	—	$	5	$	—		$	(3)	$	—	$	3
Other assets:
Fixed maturities, trading	—		—		—		—			—		—		—
Equity securities	—		1		—		—			—		1		—

Short term investments	—		—		—		—			—		—		—
Cash equivalents	—		—		—		—			—		—		—
Other assets	5		—		—		—			1		—		—
Reinsurance recoverables	26		—		—		—			29		—		—

Liabilities:
Future policy benefits	(1,728)		—		—		—			(1,838)		—		—
Policyholders' account balances	(240)		—		—		—			(211)		—		—


	Predecessor Company
	Six Months Ended June 30, 2021
	Fair Value, beginning of period		Total realized and unrealized gains (losses)(1)		Purchases		Sales		Issuances		Settlements		Other		Transfers into Level 3		Transfers out of Level 3		Fair Value, end of period		Unrealized gains (losses) for assets still held(2)
	(in millions)
Fixed maturities, available-for-sale:
U.S. government	$	15	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	—

Corporate securities(3)	149		1		106		—		—		(31)		—		15		(8)		232		(1)
Structured securities(4)	18		(1)		203		—		—		(4)		—		—		—		216		(1)
Other assets:
Fixed maturities, trading	5		—		—		—		—		—		—		—		—		5		—
Equity securities	4		1		—		—		—		—		—		—		—		5		1

Short term investments	10		—		24		—		—		(12)		—		1		—		23		—
Cash equivalents	—		—		—		—		—		—		—		—		—		—		—
Other assets	54		13		7		—		—		(5)		—		—		—		69		8
Reinsurance recoverables	409		(116)		9		—		—		—		—		—		—		302		(106)

Liabilities:
Future policy benefits	(17,314)		5,366		—		—		(582)		—		—		—		—		(12,530)		4,982
Policyholders' account balances(5)	(580)		(508)		—		—		(273)		—		—		—		—		(1,361)		(464)


	Predecessor Company
	Six Months Ended June 30, 2021
	Total realized and unrealized gains (losses)								Unrealized gains (losses) for assets still held(2)
	Realized investment gains (losses), net(1)		Other income (loss)		Included in other comprehensive income (loss)		Net investment income			Realized investment gains (losses), net		Other income (loss)		Included in other comprehensive income (loss)
	(in millions)
Fixed maturities, available-for-sale	$	(3)	$	—	$	4	$	—		$	(3)	$	—	$	2
Other assets:
Fixed maturities, trading	—		—		—		—			—		—		—
Equity securities	—		1		—		—			—		1		—

Short term investments	—		—		—		—			—		—		—
Cash equivalents	—		—		—		—			—		—		—
Other assets	13		—		—		—			8		—		—
Reinsurance recoverables	(116)		—		—		—			(106)		—		—

Liabilities:
Future policy benefits	5,366		—		—		—			4,982		—		—
Policyholders' account balances	(508)		—		—		—			(464)		—		—

(1)Realized investment gains (losses) on future policy benefits and reinsurance recoverables primarily represent the change in the fair value of the Company's living benefit guarantees on certain of its variable annuity contracts.

(2)Unrealized gains or losses related to assets still held at the end of the period do not include amortization or accretion of premiums and discounts.

(3)Includes U.S. corporate public, U.S. corporate private, foreign corporate public and foreign corporate private securities.

(4)Includes asset-backed and residential mortgage-backed securities.

(5)Issuances and settlements for Policyholders' account balances are presented net in the rollforward.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following represents the unpaid balance and market value adjustment for the secured receivable accounted for under the fair value option:


	Successor Company
	June 30, 2022
	(in millions)
Unpaid Principal Balance	$	1,622
Mark to Fair Value	(67)
Fair Value	$	1,555

Fair Value, by Balance Sheet Grouping

The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value. The financial instruments presented below are reported at carrying value on the Company’s Unaudited Interim Statements of Financial Position. In some cases the carrying amount equals or approximates fair value.


	Successor Company
	June 30, 2022
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Accrued investment income	$	—	$	69	$	—	$	69	$	69
Liabilities:
Cash collateral for loaned securities	$	—	$	186	$	—	$	186	$	186


	Predecessor Company
	December 31, 2021
	Fair Value								Carrying Amount(1)
	Level 1		Level 2		Level 3		Total		Total
	(in millions)
Assets:
Commercial mortgage and other loans	$	—	$	—	$	1,516	$	1,516	$	1,504
Policy loans	—		—		12		12		12
Short-term investments	81		—		—		81		81
Cash and cash equivalents	277		—		—		277		277
Accrued investment income	—		61		—		61		61
Reinsurance recoverables	—		—		9		9		8
Receivables from parent and affiliates	—		5		—		5		5
Other assets	—		4		2,275		2,279		2,279
Total assets	$	358	$	70	$	3,812	$	4,240	$	4,227
Liabilities:
Policyholders’ account balances - investment contracts	$	—	$	—	$	2,391	$	2,391	$	2,381

Payables to parent and affiliates	—		36		—		36		36
Other liabilities	—		105		—		105		105
Separate account liabilities - investment contracts	—		—		—		—		—
Total liabilities	$	—	$	141	$	2,391	$	2,532	$	2,522

(1)Carrying values presented herein differ from those in the Company’s Unaudited Interim Statements of Financial Position because certain items within the respective financial statement captions are not considered financial instruments or out of scope under authoritative guidance relating to disclosures of the fair value of financial instruments.