XML 48 R38.htm IDEA: XBRL DOCUMENT
v3.24.2.u1

Market Risk Benefits (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2024
Insurance [Abstract] |
Balances of and changes in market risk benefits | The following tables summarize the balances of and changes in market risk benefits:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
|  |  |  |  | (in millions, except age)
Balance at beginning of period | $ | (629) |  |  | $ | 1,133 |  |  | $ | 335 |  |  | $ | 1,103 |
Issuances | 7 |  |  | 4 |  |  | 12 |  |  | 8 |
Interest accrual and time decay | (15) |  |  | 5 |  |  | (25) |  |  | (21) |
Reserve increase from attributed fees collected | 195 |  |  | 194 |  |  | 379 |  |  | 383 |
Reserve release for benefit payments and derecognition | (3) |  |  | (9) |  |  | (7) |  |  | (18) |
Effect of changes in interest rates and bond markets | (245) |  |  | (588) |  |  | (772) |  |  | (84) |
Effect of changes in equity markets and subaccount performance | (152) |  |  | (510) |  |  | (882) |  |  | (902) |
Effect of changes in equity index volatility | 15 |  |  | (27) |  |  | 54 |  |  | (70) |
Actual policyholder behavior different from expected behavior | 10 |  |  | (1) |  |  | 41 |  |  | 6 |
Effect of changes in the instrument-specific credit risk on market risk benefits | (13) |  |  | 159 |  |  | 35 |  |  | (45) |
Balance at end of period | $ | (830) |  |  | $ | 360 |  |  | $ | (830) |  |  | $ | 360 |
Reconciliation of the gross balances in an asset or liability position: |  |  |  |  |  |  |
Asset position | $ | 2,082 |  |  | $ | 1,346 |  |  | $ | 2,082 |  |  | $ | 1,346 |
Liability position | (1,252) |  |  | (1,706) |  |  | (1,252) |  |  | (1,706) |
Net asset (liability) position | $ | 830 |  |  | $ | (360) |  |  | $ | 830 |  |  | $ | (360) |
Guaranteed benefit amount in excess of current account balances (net amount at risk): |  |  |  |  |  |  |
Death benefits | $ | 530 |  |  | $ | 1,415 |  |  | $ | 530 |  |  | $ | 1,415 |
Living benefits | $ | 2,317 |  |  | $ | 2,725 |  |  | $ | 2,317 |  |  | $ | 2,725 |
Composite (greater of) | $ | 2,775 |  |  | $ | 3,977 |  |  | $ | 2,775 |  |  | $ | 3,977 |
Weighted average attained age of contractholders | 69 |  | 68 |  | 69 |  | 68
Changes in unrealized (gains) losses in net income relating to liabilities held at end of period | $ | (402) |  |  | $ | (1,112) |  |  | $ | (1,588) |  |  | $ | (1,049) |
Changes in unrealized (gains) losses in other comprehensive income relating to liabilities held at end of period | $ | (11) |  |  | $ | 158 |  |  | $ | 40 |  |  | $ | (44) |
| Year Ended December 31, |  |
| 2023 |  |
| (in millions, except age) |  |
Balance at beginning of period | $ | 1,103 |  |  |
Issuances | 17 |  |  |
Interest accrual and time decay | (53) |  |  |
Reserve increase from attributed fees collected | 788 |  |  |
Reserve release for benefit payments and derecognition | (35) |  |  |
Effect of changes in interest rates and bond markets | (367) |  |  |
Effect of changes in equity markets and subaccount performance | (1,267) |  |  |
Effect of changes in equity index volatility | (67) |  |  |
Actual policyholder behavior different from expected behavior | 5 |  |  |
Effect of changes in other future expected assumptions | 128 |  |  |
Effect of changes in the instrument-specific credit risk on market risk benefits | 83 |  |  |
Balance at end of period | $ | 335 |  |  |
Reconciliation of the gross balances in an asset or liability position: |  |  |
Asset position | $ | 1,427 |  |  |
Liability position | (1,762) |  |  |
Net asset (liability) position | $ | (335) |  |  |
Guaranteed benefit amount in excess of current account balances (net amount at risk): |  |  |
Death benefits | $ | 913 |  |  |
Living benefits | $ | 2,513 |  |  |
Composite (greater of) | $ | 3,308 |  |  |
Weighted average attained age of contractholders | 69 |  |
Changes in unrealized (gains) losses in net income relating to liabilities held at end of period | $ | (1,551) |  |  |
Changes in unrealized (gains) losses in other comprehensive income relating to liabilities held at end of period | $ | 84 |  |  |
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:
| June 30, 2024
| Fair Value |  | Valuation Technique |  | Significant Inputs and Assumptions |  | Range |  | Weighted Average
| (in millions) |  |  |  |  |  |  |  |  |  |
Market risk benefits | $ | (830) |  |  | Discounted cash flow |  | Utilization of guaranteed withdrawals (1) |  | 0.0% | – | 48.0% |  | 11.6%
|  |  |  |  | Surrender rate (2) |  | 0.3% | – | 75.0% |  | 3.6%
|  |  |  |  | Market volatility (3) |  | 0.0% | – | 25.0% |  | 10.3%
|  |  |  |  | Nonperformance risk (4) |  | 75 bps |  | 75 bps
|  |  |  |  | Mortality rate (5) |  | 0.0% | – | 41.6% |  | 1.6%
| December 31, 2023
| Fair Value |  | Valuation Technique |  | Significant Inputs and Assumptions |  | Range |  | Weighted Average
| (in millions) |  |  |  |  |  |  |  |  |  |
Market risk benefits | $ | 335 |  |  | Discounted cash flow |  | Utilization of guaranteed withdrawals (1) |  | 0.0% | – | 48.0% |  | 11.6%
|  |  |  |  | Surrender rate (2) |  | 0.3% | – | 75.0% |  | 3.7%
|  |  |  |  | Market volatility (3) |  | 0.0% | – | 25.2% |  | 10.6%
|  |  |  |  | Nonperformance risk (4) |  | 85 bps |  | 85 bps
|  |  |  |  | Mortality rate (5) |  | 0.0% | – | 41.6% |  | 1.6%
(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:
| June 30, 2024
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range | Weighted Average
| (in millions) |  |  |  |  |  |  |  |  |  |
Corporate debt securities (private placements) | $ | 544 |  |  | Discounted cash flow |  | Yield/spread to U.S. Treasuries (1) |  | 0.9% | – | 2.3% |  | 1.3%
Asset backed securities | $ | 1 |  |  | Discounted cash flow |  | Annual short-term default rate (2) |  | 4.0% |  | 4.0%
|  |  |  |  | Annual long-term default rate (2) |  | 3.5% |  | 3.5%
|  |  |  |  | Discount rate |  | 27.0% |  | 27.0%
|  |  |  |  | Constant prepayment rate |  | 15.0% |  | 15.0%
|  |  |  |  | Loss recovery |  | 60.0% |  | 60.0%
Fixed deferred indexed annuity ceded embedded derivatives | $ | 55 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.0% | – | 66.8% |  | 1.4%
Fixed deferred indexed annuity embedded derivatives | $ | 52 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.0% | – | 66.8% |  | 1.4%
|  |  |  |  | Nonperformance risk (4) |  | 75 bps |  | 75 bps
IUL embedded derivatives | $ | 944 |  |  | Discounted cash flow |  | Nonperformance risk (4) |  | 75 bps |  | 75 bps
Structured variable annuity embedded derivatives | $ | 1,896 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.5% | – | 75.0% |  | 2.5%
|  |  |  |  | Nonperformance risk (4) |  | 75 bps |  | 75 bps
Contingent consideration liabilities | $ | 69 |  |  | Discounted cash flow |  | Discount rate (5) |  | 0.0% | – | 10.5% |  | 3.1%
| December 31, 2023
| Fair Value |  | Valuation Technique |  | Unobservable Input |  | Range |  | Weighted Average
| (in millions) |  |  |  |  |  |  |  |  |  |
Corporate debt securities (private placements) | $ | 469 |  |  | Discounted cash flow |  | Yield/spread to U.S. Treasuries (1) |  | 1.0% | – | 2.4% |  | 1.2%
Asset backed securities | $ | 1 |  |  | Discounted cash flow |  | Annual short-term default rate (2) |  | 3.0% |  | 3.0%
|  |  |  |  | Annual long-term default rate (2) |  | 3.5% |  | 3.5%
|  |  |  |  | Discount rate |  | 29.0% |  | 29.0%
|  |  |  |  | Constant prepayment rate |  | 10.0% |  | 10.0%
|  |  |  |  | Loss recovery |  | 63.6% |  | 63.6%
Fixed deferred indexed annuity ceded embedded derivatives | $ | 51 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.0% | – | 66.8% |  | 1.4%
Fixed deferred indexed annuity embedded derivatives | $ | 49 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.0% | – | 66.8% |  | 1.4%
|  |  |  |  | Nonperformance risk (4) |  | 85 bps |  | 85 bps
IUL embedded derivatives | $ | 873 |  |  | Discounted cash flow |  | Nonperformance risk (4) |  | 85 bps |  | 85 bps
Structured variable annuity embedded derivatives | $ | 1,011 |  |  | Discounted cash flow |  | Surrender rate (3) |  | 0.5% | – | 75.0% |  | 2.6%
|  |  |  |  | Nonperformance risk (4) |  | 85 bps |  | 85 bps
Contingent consideration liabilities | $ | 76 |  |  | Discounted cash flow |  | Discount rate (5) |  | 0.0% | – | 10.5% |  | 2.9%
(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.

X
- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 103 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-103 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(2) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_InsuranceAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of beginning balance to ending balance for contract or contract feature in long-duration contract issued by insurance entity that both protects contract holder from other-than-nominal capital market risk and exposes insurance entity to other-than-nominal capital market risk. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 944 -SubTopic 40 -Name Accounting Standards Codification -Section 55 -Paragraph 29G -Publisher FASB -URI https://asc.fasb.org/1943274/2147480046/944-40-55-29G Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 944 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 7B -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480081/944-40-50-7B + Details
Name: | us-gaap_MarketRiskBenefitActivityTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration