XML 69 R42.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value of Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Carrying Amounts of Assets and Liabilities and Estimated at Fair Value on Recurring Basis
The carrying amounts and estimated fair values of our financial instruments for which the disclosure of fair values is required, including financial assets and liabilities measured and carried at fair value on a recurring basis, with the exception of investment contracts, portions of other long-term investments and debt, which are disclosed later within this footnote, was summarized according to the hierarchy previously described, as follows (in millions):
December 31, 2022
Level 1Level 2Level 3NAVFair Value
Assets
Cash and cash equivalents $2,286 $— $— $— $2,286 
Fixed maturity securities, available-for-sale:
Asset-backed securities— 5,204 6,263 — 11,467 
Commercial mortgage-backed securities— 3,026 37 — 3,063 
Corporates40 12,857 1,440 — 14,337 
Hybrids93 638 — — 731 
Municipals— 1,431 29 — 1,460 
Residential mortgage-backed securities— 1,225 302 — 1,527 
U.S. Government260 11 — — 271 
Foreign Governments— 223 16 — 239 
Equity securities621 — 10 47 678 
Preferred securities320 582 1 — 903 
Derivative investments— 244 — — 244 
Reinsurance related embedded derivative, included in other assets— 279 — — 279 
Short term investments2,590 — — — 2,590 
Other long-term investments— — 71 — 71 
Total financial assets at fair value$6,210 $25,720 $8,169 $47 $40,146 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds— — 3,115 — 3,115 
Total financial liabilities at fair value$— $— $3,115 $— $3,115 
December 31, 2021
Level 1Level 2Level 3NAVFair Value
Assets
Cash and cash equivalents $4,360 $— $— $— $4,360 
Fixed maturity securities, available-for-sale:
Asset-backed securities— 4,736 3,959 — 8,695 
Commercial mortgage-backed securities— 2,944 35 — 2,979 
Corporates37 15,322 1,135 — 16,494 
Hybrids132 780 — — 912 
Municipals— 1,458 43 — 1,501 
Residential mortgage-backed securities— 731 — — 731 
U.S. Government394 — — — 394 
Foreign Governments— 266 18 — 284 
Equity securities1,206 — 9 48 1,263 
Preferred securities506 893 2 — 1,401 
Derivative investments— 816 — — 816 
Short term investments168 2 321 — 491 
Other long-term investments— — 78 — 78 
Total financial assets at fair value$6,803 $27,948 $5,600 $48 $40,399 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds— — 3,883 — 3,883 
Reinsurance related embedded derivatives, included in other liabilities— 73 — — 73 
Total financial liabilities at fair value$— $73 $3,883 $— $3,956 
The following tables provide the carrying value and estimated fair value of our financial instruments that are carried on the accompanying Consolidated Balance Sheets at amounts other than fair value, summarized according to the fair value hierarchy previously described.
December 31, 2022
(in millions)
Level 1Level 2Level 3NAVTotal Estimated Fair ValueCarrying Amount
Assets
FHLB common stock$— $99 $— $— $99 $99 
Commercial mortgage loans— — 2,083 — 2,083 2,406 
Residential mortgage loans— — 1,892 — 1,892 2,148 
Investments in unconsolidated affiliates— — — 2,427 2,427 2,427 
Policy loans— — 52 — 52 52 
Other invested assets93 — 16 — 109 109 
Company-owned life insurance35 — 328 — 363 363 
Trade and notes receivables, net of allowance— — 467 — 467 467 
Total$128 $99 $4,838 $2,427 $7,492 $8,071 
Liabilities
Investment contracts, included in contractholder funds$— $— $34,464 $— $34,464 $38,412 
Debt— 2,776 — — 2,776 3,238 
Total$— $2,776 $34,464 $— $37,240 $41,650 
December 31, 2021
(in millions)
Level 1Level 2Level 3NAVTotal Estimated Fair ValueCarrying Amount
Assets
FHLB common stock$— $72 $— $— $72 $72 
Commercial mortgage loans— — 2,265 — 2,265 2,168 
Residential mortgage loans— — 1,549 — 1,549 1,581 
Investments in unconsolidated affiliates — — — 2,350 2,350 2,350 
Policy loans— — 39 — 39 39 
Other invested assets— — 57 — 57 57 
Company-owned life insurance— — 333 — 333 333 
Trade and notes receivables, net of allowance— — 557 — 557 557 
Total$— $72 $4,800 $2,350 $7,222 $7,157 
Liabilities
Investment contracts, included in contractholder funds$— $— $27,448 $— $27,448 $31,529 
Debt— 3,218 — — 3,218 3,096 
Total$— $3,218 $27,448 $— $30,666 $34,625 
Schedule of Unobservable Inputs Used for Level Three Fair Value Measurements of Financial Instruments on Recurring Basis
Fair Value atValuation TechniqueUnobservable Input(s)Range (Weighted average)
December 31, 2022
(in millions)December 31, 2022
Assets
Asset-backed securities$5,916  Broker-quoted  Offered quotes
52.85% - 117.17% (94.18%)
Asset-backed securities347  Third-Party Valuation  Offered quotes
41.43% - 210.50% (67.99%)
Commercial mortgage-backed securities20  Broker-quoted  Offered quotes
109.02% - 109.02% (109.02%)
Commercial mortgage-backed securities17  Third-Party Valuation  Offered quotes
74.66% -88.48% (82.74%)
Corporates602  Broker-quoted  Offered quotes
79.16% - 102.53% (94.16%)
Corporates826  Third-Party Valuation  Offered quotes
—% - 104.96% (89.69%)
Corporates 12 Discounted Cash FlowDiscount Rate
44.00% - 100.00%
 (77.02%)
Municipals29  Third-Party Valuation  Offered quotes
93.95% - 93.95% (93.95%)
Residential mortgage-backed securities302  Broker-quoted  Offered quotes
0.00% - 91.04% (86.38%)
Foreign Governments16  Third-Party Valuation  Offered quotes
99.78% - 102.29% (100.56%)
Preferred securities1 Discounted Cash FlowDiscount rate
100.00%
Equity securities6 Broker Quoted Offered quotes
$64.25 - $64.25
($64.25)
Equity securities4 Discounted Cash Flow Discount rate
11.10% - 11.10% (11.10%)
Market Comparable Company Analysis EBITDA multiple
5.6x - 5.6x (5.6x)
Other long-term investments:
Available-for-sale embedded derivative23 Black Scholes modelMarket value of fund
100.00%
Secured borrowing receivable10  Broker-quoted  Offered quotes
100.00% - 100.00% (100.00%)
Credit Linked Note15  Broker-quoted  Offered quotes
96.23%
Investment in affiliate23 Market Comparable Company AnalysisEBITDA multiple
5x - 5.5x
Total financial assets at fair value$8,169 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds3,115 Discounted cash flowMarket value of option
0.00% - 23.90% (0.87%)
Swap rates
3.88% - 4.73% (4.31%)
Mortality multiplier
100.00% - 100.00% (100.00%)
Surrender rates
0.25% - 70.00% (6.57%)
Partial withdrawals
2.00% - 29.41% (2.73%)
Non-performance spread
0.48% - 1.44% (1.30%)
Option cost
0.07% - 4.97% (1.89%)
Total financial liabilities at fair value$3,115 
Changes in Fair Value of Financial Instruments - Assets
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the years ended December 31, 2022 and December 31, 2021, respectively. This summary excludes any impact of amortization of VOBA, DAC and DSI. The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.
Year ended December 31, 2022
(in millions)
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$3,959 $(6)$(393)$3,269 $(39)$(541)$14 $6,263 $(426)
Commercial mortgage-backed securities35 — (5)— — — 7 37 (4)
Corporates1,135 1 (187)714 (20)(215)12 1,440 (188)
Hybrids— — — — — — — — — 
Municipals43 — (14)— — — — 29 (13)
Residential mortgage-backed securities— — — 316 — — (14)302 — 
Foreign Governments18 — (2)— — — — 16 (1)
Short-term321 — (1)20 — — (340)— (1)
Preferred securities2 — (1)— — — — 1 (1)
Equity securities9 — — 2 (1)— — 10 — 
Other long-term assets:
Available-for-sale embedded derivative34 (11)— — — — — 23 — 
Credit linked note23 (1)(1)— (2)(4)— 15 — 
Investment in affiliate21 — 2 — — — — 23 2 
Secured borrowing receivable$— $— $— $— $— $— $10 $10 $— 
Total assets at Level 3 fair value$5,600 $(17)$(602)$4,321 $(62)$(760)$(311)$8,169 $(632)
Liabilities
Future policy benefits$— $— $— $— $— $— $— $— $— 
FIA/ IUL embedded derivatives, included in contractholder funds3,883 (1,382)— 768 — (154)— 3,115 — 
Total liabilities at Level 3 fair value$3,883 $(1,382)$— $768 $— $(154)$— $3,115 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2022 were to Level 2.
Year ended December 31, 2021
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$1,350 $(1)$(8)$3,417 $(97)$(595)$(107)$3,959 $4 
Commercial mortgage-backed securities26 — (3)12 — — — 35 1 
Corporates1,289 8 (40)161 (23)(247)(13)1,135 23 
Hybrids4 — — — — (4)— — — 
Municipals43 — — — — — — 43 7 
Residential mortgage-backed securities483 — (1)14 — (102)(394)— 22 
Foreign Governments17 — 1 — — — — 18 2 
Short-term — — 2 820 — (501)— 321 — 
Preferred securities1 (1)1 1 — — — 2 — 
Equity securities4 2 — 3 — — — 9 — 
Other long-term assets:
Available-for-sale embedded derivative27 7 — — — — — 34 — 
Credit linked note23 — — — — — — 23 — 
      Investment in affiliate— — — 21 — — — 21 — 
Total assets at Level 3 fair value$3,267 $15 $(48)$4,449 $(120)$(1,449)$(514)$5,600 $59 
Liabilities
Future policy benefits (FSRC)$5 $— $— $— $(4)$(1)$— $— $— 
FIA embedded derivatives, included in contractholder funds3,404 121 — 513 — (155)— 3,883 — 
Total liabilities at Level 3 fair value$3,409 $121 $— $513 $(4)$(156)$— $3,883 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2021 were to Level 2.
Changes in Fair Value of Financial Instruments - Liabilities
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the years ended December 31, 2022 and December 31, 2021, respectively. This summary excludes any impact of amortization of VOBA, DAC and DSI. The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.
Year ended December 31, 2022
(in millions)
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$3,959 $(6)$(393)$3,269 $(39)$(541)$14 $6,263 $(426)
Commercial mortgage-backed securities35 — (5)— — — 7 37 (4)
Corporates1,135 1 (187)714 (20)(215)12 1,440 (188)
Hybrids— — — — — — — — — 
Municipals43 — (14)— — — — 29 (13)
Residential mortgage-backed securities— — — 316 — — (14)302 — 
Foreign Governments18 — (2)— — — — 16 (1)
Short-term321 — (1)20 — — (340)— (1)
Preferred securities2 — (1)— — — — 1 (1)
Equity securities9 — — 2 (1)— — 10 — 
Other long-term assets:
Available-for-sale embedded derivative34 (11)— — — — — 23 — 
Credit linked note23 (1)(1)— (2)(4)— 15 — 
Investment in affiliate21 — 2 — — — — 23 2 
Secured borrowing receivable$— $— $— $— $— $— $10 $10 $— 
Total assets at Level 3 fair value$5,600 $(17)$(602)$4,321 $(62)$(760)$(311)$8,169 $(632)
Liabilities
Future policy benefits$— $— $— $— $— $— $— $— $— 
FIA/ IUL embedded derivatives, included in contractholder funds3,883 (1,382)— 768 — (154)— 3,115 — 
Total liabilities at Level 3 fair value$3,883 $(1,382)$— $768 $— $(154)$— $3,115 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2022 were to Level 2.
Year ended December 31, 2021
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$1,350 $(1)$(8)$3,417 $(97)$(595)$(107)$3,959 $4 
Commercial mortgage-backed securities26 — (3)12 — — — 35 1 
Corporates1,289 8 (40)161 (23)(247)(13)1,135 23 
Hybrids4 — — — — (4)— — — 
Municipals43 — — — — — — 43 7 
Residential mortgage-backed securities483 — (1)14 — (102)(394)— 22 
Foreign Governments17 — 1 — — — — 18 2 
Short-term — — 2 820 — (501)— 321 — 
Preferred securities1 (1)1 1 — — — 2 — 
Equity securities4 2 — 3 — — — 9 — 
Other long-term assets:
Available-for-sale embedded derivative27 7 — — — — — 34 — 
Credit linked note23 — — — — — — 23 — 
      Investment in affiliate— — — 21 — — — 21 — 
Total assets at Level 3 fair value$3,267 $15 $(48)$4,449 $(120)$(1,449)$(514)$5,600 $59 
Liabilities
Future policy benefits (FSRC)$5 $— $— $— $(4)$(1)$— $— $— 
FIA embedded derivatives, included in contractholder funds3,404 121 — 513 — (155)— 3,883 — 
Total liabilities at Level 3 fair value$3,409 $121 $— $513 $(4)$(156)$— $3,883 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2021 were to Level 2.