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Market Risk Benefits | 6 Months Ended
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Jun. 30, 2025
Market Risk Benefits |
Market Risk Benefits | 10. Market Risk Benefits Contracts or contract features that provide protection to the policyholder from capital market risk, including equity, interest rate or foreign exchange risk, and expose us to other-than-nominal capital market risk are classified as MRBs. We issue certain annuity contracts and other investment contracts that include MRBs that have been bifurcated from the host contract. The Retirement and Income Solutions segment offers variable annuity products with GMWB riders and GMDB riders, including return-of-premium GMDB and GMWB riders for its RILA products. MRBs are measured at fair value at the contract level and can be in either an asset or liability position, depending on certain inputs at the reporting date. MRB assets and liabilities are presented separately within the consolidated statements of financial position. Increases to an asset or decreases to a liability are described as favorable changes to fair value. Changes in fair value are reported in MRB remeasurement (gain) loss on the consolidated statements of operations. However, the change in fair value related to our own nonperformance risk is reported in OCI. For contracts that contain multiple MRB features, the MRBs are valued on a combined basis using an integrated model. MRBs are classified as Level 3 fair value measurements as the fair value is based on unobservable inputs. The key assumptions for calculating the fair value of the MRBs are market assumptions such as equity market returns, interest rate levels, market volatility and correlations and policyholder behavior assumptions such as lapse, mortality, utilization and withdrawal patterns. Risk margins are included in the policyholder behavior assumptions. The assumptions are based on a combination of historical data and actuarial judgment. The MRBs are valued using stochastic models that incorporate a spread reflecting our own nonperformance risk. The assumption for our own nonperformance risk for MRBs is based on the current market credit spreads for debt-like instruments we have issued and are available in the market. Increases (decreases) in our own nonperformance risk, which impacts the rates used to discount future cash flows, could lead to favorable (unfavorable) changes in the fair value of the MRBs. Long-term interest rates are used as the mean return when projecting the growth in the value of the associated account value and impact the discount rate used in the discounted future cash flows valuation. The amount of claims will increase if account value is not sufficient to cover guaranteed withdrawals. An increase (decrease) in risk-free rates could cause a favorable (unfavorable) change in the fair value of the MRBs. A decrease (increase) in market volatilities could cause a favorable (unfavorable) change in the fair value of the MRBs. An increase (decrease) in mortality rates or the overall lapse rate assumptions could cause a favorable (unfavorable) change in the fair value of the MRBs. The lapse rate assumption may vary dynamically based on the relationship between the guarantee and associated account value. A weaker (stronger) dynamic lapse rate assumption could lead to favorable (unfavorable) changes in the fair value of the MRBs. The utilization rate assumption includes how many contractholders will take withdrawals, when they will take them and how much of their benefit they will take. A decrease (increase) in the number of contractholders taking withdrawals, contractholders taking withdrawals earlier versus later, or contractholders taking more versus less of their benefit could lead to favorable (unfavorable) changes in the fair value of the MRBs. The following tables summarize disaggregated MRB amounts in an asset and liability position reported in the consolidated statements of financial position. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | June 30, 2025 |  | December 31, 2024
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net asset | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Net asset
​ |  | Asset |  | Liability |  | (liability) |  | Asset |  | Liability |  | (liability)
​ | ​ | (in millions)
Retirement and Income Solutions: |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |
Individual variable annuities | ​ | $ | 180.2 | ​ | $ | 68.8 | ​ | $ | 111.4 |  | $ | 199.5 |  | $ | 62.1 |  | $ | 137.4
Total MRB per consolidated statements of financial position | ​ | $ | 180.2 | ​ | $ | 68.8 | ​ | $ | 111.4 | ​ | $ | 199.5 | ​ | $ | 62.1 | ​ | $ | 137.4
​ Retirement and Income Solutions The net asset (liability) balances and the changes in the valuation of the MRBs for Individual variable annuities were as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | For the six months ended |  | For the year ended
​ | ​ | June 30, 2025 | ​ | December 31, 2024
​ |  | ($ in millions)
Balance at beginning of period | ​ | $ | 137.4 | ​ | $ | 41.5
Effect of changes in nonperformance risk at beginning of period | ​ |  | 19.0 | ​ |  | 7.7
Adjusted balance at beginning of period | ​ |  | 156.4 | ​ |  | 49.2
Effect of: | ​ |  |  | ​ |  |
Interest accrual and expected policyholder behavior | ​ |  | (27.6) | ​ |  | (66.8)
Benefit payments | ​ |  | — | ​ |  | 0.6
Changes in interest rates | ​ |  | 0.4 | ​ |  | 100.4
Changes in equity markets | ​ |  | 12.3 | ​ |  | 92.4
Changes in equity index volatility | ​ |  | (9.6) | ​ |  | 12.0
Actual policyholder behavior different from expected behavior | ​ |  | (3.7) | ​ |  | (12.7)
Changes in future expected policyholder behavior | ​ |  | — | ​ |  | (20.2)
Changes in other future expected assumptions | ​ |  | — | ​ |  | 1.5
Adjusted balance at end of period | ​ |  | 128.2 | ​ |  | 156.4
Effect of changes in nonperformance risk at end of period | ​ |  | (16.8) | ​ |  | (19.0)
Balance at end of period | ​ | $ | 111.4 | ​ | $ | 137.4
​ | ​ | ​ | ​ | ​ | ​ | ​
Weighted-average attained age of policyholders (years) (1) | ​ |  | 67.2 | ​ |  | 67.4
Net amount at risk (2) | ​ | $ | 45.0 | ​ | $ | 46.8
(1) | The weighted-average attained age is calculated at the contract level using the total contributions since inception and the age of the contractholders.
(2) | The net amount at risk for our GMDB riders is defined as the current GMDB amount in excess of the current account balance. The net amount at risk for our GMWB riders is defined as the greater of the present value of the GMWB payments less the current account balance or zero. For contracts with both GMDB and GMWB riders, the net amount at risk is the greater of the GMDB or GMWB net amount at risk. We had a decrease in the net amount at risk in 2025 primarily as a result of increases in the equity markets.
​ Significant changes to inputs and assumptions that impacted the change in the MRB fair value measurement shown above were as follows:
​ | ​ | For the six months ended | ​ | For the year ended
​ | ​ | June 30, 2025 | ​ | December 31, 2024
​ |  | ​ |  | Change in net |  | ​ |  | Change in net
​ | ​ | Change in input | ​ | MRB asset (liability) | ​ | Change in input | ​ | MRB asset (liability)
Long-term interest rate | ​ | Decreased | ​ | Favorable (1) | ​ | Increased | ​ | Favorable
Equity markets | ​ | Increased | ​ | Favorable | ​ | Increased | ​ | Favorable
Equity market volatilities | ​ | Increased | ​ | Unfavorable | ​ | Decreased | ​ | Favorable
Own nonperformance risk | ​ | Increased | ​ | Favorable | ​ | Decreased | ​ | Unfavorable
(1) | Interest rates have been volatile in 2025, which has resulted in directionally offsetting monthly impacts in the MRB asset (liability) rollforward. These offsetting monthly impacts resulted in a net favorable impact from interest rates to the net MRB asset (liability) for the six months ended June 30, 2025, despite a small decrease in the weighted-average long-term interest rate input.
See “Unobservable Inputs for Fair Value Measurement” for additional details on the inputs. Unobservable Inputs for Fair Value Measurement The following table provides quantitative information about the significant unobservable inputs used for fair value measurements of MRBs. The utilization rate and mortality rate inputs are omitted from the table as a range does not provide meaningful presentation. The utilization rate represents the number of contractholders taking withdrawals in addition to the amount and timing of the withdrawals. The mortality rate is an input based on an appropriate industry mortality table. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | June 30, 2025 | ​ | December 31, 2024 |
​ | ​ | ​ | ​ | ​ | ​ | Weighted- | ​ | ​ | ​ | ​ | ​ | Weighted- |
​ | ​ | Range of inputs |  | Average |  | Range of inputs |  | Average |
Retirement and Income Solutions: |  |  |  |  |  |  |  |  |  |  |  |  | ​
Individual variable annuities |  |  |  |  |  |  |  |  |  |  |  |  | ​
Long-term interest rate (1) |  | 4.78 | - | 4.79 | % | 4.78 | % | 4.78 | - | 4.85 | % | 4.81 | %
Long-term equity market volatility |  | 18.10 | - | 36.97 | % | 21.96 | % | 18.10 | - | 35.53 | % | 21.76 | %
Nonperformance risk |  | 0.51 | - | 1.17 | % | 0.99 | % | 0.40 | - | 1.10 | % | 0.89 | %
Lapse rate |  | 0.90 | - | 55.00 | % | 6.12 | % | 0.90 | - | 55.00 | % | 5.79 | %
(1) | Represents the range of rate curves used in the valuation analysis that we have determined market participants would use when pricing the instrument. The rate curves are derived from an interpolation between various observable swap rates.

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