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Fair Value of Financial Instruments

6 Months Ended

Jun. 30, 2024

Fair Value of Financial Instruments

(6) Fair Value of Financial Instruments

Recurring Fair Value Measurements

We have fixed maturity securities, equity securities, limited partnerships, derivatives, short-term investments, embedded derivatives, separate account assets, market risk benefits (“MRBs”) and certain other financial instruments, which are carried at fair value. Below is a description of the valuation techniques and inputs used to determine fair value by class of instrument.

Fixed maturity securities, equity securities and short-term investments

The fair value of fixed maturity securities, equity securities and short-term investments is estimated primarily based on information derived from third-party pricing services (“pricing services”), internal models and/or broker quotes, which may use a market approach, income approach or a combination of the market and income approach depending on the type of instrument and availability of information. In general, a market approach is utilized if there is readily available and relevant market activity for an individual security. In certain cases where market information is not available for a specific security but is available for similar securities, that security is valued using market information for similar securities, which is also a market approach. When market information is not available for a specific security (or similar securities) or is available but such information is less relevant or reliable, an income approach or a combination of a market and income approach is utilized. For securities with optionality, such as call or prepayment features (including mortgage-backed or asset-backed securities), an income approach may be used. These valuation techniques may change from period to period, based on the relevance and availability of market data.

Further, while we consider the valuations provided by pricing services and broker quotes to be of high quality, management determines the fair value of our investment securities after considering all relevant and available information.

In general, we first obtain valuations from pricing services. If prices are unavailable for public securities, we obtain broker quotes. For all securities, excluding certain private fixed maturity securities, if neither a pricing service nor broker quotes valuation is available, we determine fair value using internal models. For certain private fixed maturity securities where we do not obtain valuations from pricing services, we utilize an internal model to determine fair value since transactions for similar securities are not readily observable and these securities are not typically valued by pricing services.

Given our understanding of the pricing methodologies and procedures of pricing services, the securities valued by pricing services are typically classified as Level 2 unless we determine the valuation process for a security or group of securities utilizes significant unobservable inputs, which would result in the valuation being classified as Level 3. Broker quotes may be utilized when pricing services data is not available and are typically classified as Level 3 due to the use of significant unobservable inputs.

For private fixed maturity securities, we utilize an income approach where we obtain public bond spreads and utilize those in an internal model to determine fair value. Other inputs to the model include rating and weighted-average life, as well as sector which is used to assign the spread. We then add an additional premium, which represents an unobservable input, to the public bond spread to adjust for the liquidity and other features of our private placements. We utilize the estimated market yield to discount the expected cash flows of the security to determine fair value. We utilize price caps for securities where the estimated market yield results in a valuation that may exceed the amount that would be received in a market transaction. When a security does not

have an external rating, we assign the security an internal rating to determine the appropriate public bond spread that should be utilized in the valuation. While we generally consider the public bond spreads by sector and maturity to be observable inputs, we evaluate the similarities of our private placements with the public bonds, price caps, liquidity premiums applied, and whether external ratings are available for our private placements to determine whether the spreads utilized would be considered observable inputs. We classify private securities without an external rating or public bond spread as Level 3. In general, a significant increase (decrease) in credit spreads would have resulted in a significant decrease (increase) in the fair value for our fixed maturity securities as of June 30, 2024.

For remaining securities priced using internal models, we determine fair value using an income approach. We maximize the use of observable inputs but typically utilize significant unobservable inputs to determine fair value. Accordingly, the valuations are typically classified as Level 3.

Our assessment of whether or not there were significant unobservable inputs related to fixed maturity securities was based on our observations obtained through the course of managing our investment portfolio, including interaction with other market participants, observations related to the availability and consistency of pricing and/or rating, and understanding of general market activity such as new issuance and the level of secondary market trading for a class of securities. Additionally, we considered data obtained from pricing services to determine whether our estimated values incorporate significant unobservable inputs that would result in the valuation being classified as Level 3.

A summary of the inputs used for our financial instruments carried at fair value based on the level in which instruments are classified is included below. We have combined certain classes of instruments together as the nature of the inputs is similar.

Level 1 measurements

Equity securities. The primary inputs to the valuation of exchange-traded equity securities include quoted prices for the identical instrument.

Separate account assets. The fair value of separate account assets is based on the quoted prices of the underlying fund investments and, therefore, represents Level 1 pricing.

Level 2 measurements

Fixed maturity securities

• Third-party pricing services: In estimating the fair value of fixed maturity securities, 88% of our portfolio was priced using third-party pricing services as of June 30, 2024. These pricing services utilize industry-standard valuation techniques that include market-based approaches, income-based approaches, a combination of market-based and income-based approaches or other proprietary, internally generated models as part of the valuation processes. These third-party pricing vendors maximize the use of publicly available data inputs to generate valuations for each asset class. Priority and type of inputs used may change frequently as certain inputs may be more direct drivers of valuation at the time of pricing. Examples of significant inputs incorporated by pricing services may include sector and issuer spreads, seasoning, capital structure, security optionality, collateral data, prepayment assumptions, default assumptions, delinquencies, debt covenants, benchmark yields, trade data, dealer

quotes, credit ratings, maturity and weighted-average life. We conduct regular meetings with our pricing services for the purpose of understanding the methodologies, techniques and inputs used by the third-party pricing providers.

The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of June 30, 2024:

(Amounts in millions)		Fair value				Primary methodologies		Significant inputs
U.S. government, agencies and government-sponsored enterprises		$	3,512			Price quotes from trading desk, broker feeds		Bid side prices, trade prices, Option Adjusted Spread (“OAS”) to swap curve, Bond Market Association OAS, Treasury Curve, Agency Bullet Curve, maturity to issuer spread
State and political subdivisions		$	2,103			Multi-dimensional attribute-based modeling systems, third-party pricing vendors		Trade prices, material event notices, Municipal Market Data benchmark yields, broker quotes
Non-U.S. government		$	709			Matrix pricing, spread priced to benchmark curves, price quotes from market makers		Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
U.S. corporate		$	23,287			Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, OAS-based models		Bid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports
Non-U.S. corporate		$	5,976			Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makers		Benchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
Residential mortgage-backed		$	849			OAS-based models, single factor binomial models, internally priced		Prepayment and default assumptions, aggregation of bonds with similar characteristics, including collateral type, vintage, tranche type, weighted-average life, weighted-average loan age, issuer program and delinquency ratio, pay up and pay down factors, TRACE reports
Commercial mortgage-backed		$	1,301			Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics model		Credit risk, interest rate risk, prepayment speeds, new issue data, collateral performance, origination year, tranche type, original credit ratings, weighted-average life, cash flows, spreads derived from broker quotes, bid side prices, spreads to daily updated swaps curves, TRACE reports
Other asset-backed		$	2,119			Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makers		Spreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports

• Internal models: A portion of our U.S. corporate and non-U.S. corporate securities are valued using internal models. The fair value of these fixed maturity securities was $1,542 million and $849 million, respectively, as of June 30, 2024. Internally modeled securities are primarily private fixed maturity securities where we use market observable inputs such as an interest rate yield curve, published credit spreads for similar securities based on the external ratings of the instrument and related industry sector of the issuer. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps and liquidity premiums are established using inputs from market participants.

Equity securities. The primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active.

Short-term investments. The fair value of short-term investments classified as Level 2 is determined after considering prices obtained by pricing services.

Level 3 measurements

Fixed maturity securities

• Broker quotes: A portion of our state and political subdivisions, U.S. corporate, non-U.S. corporate, residential mortgage-backed, commercial mortgage-backed and other asset-backed securities are valued using broker quotes. Broker quotes are obtained from third-party providers that have current market knowledge to provide a reasonable price for securities not routinely priced by pricing services. Brokers utilized for valuation of assets are reviewed annually. The fair value of our Level 3 fixed maturity securities priced by broker quotes was $205 million as of June 30, 2024.

• Internal models: A portion of our state and political subdivisions, U.S. corporate, non-U.S. corporate, residential mortgage-backed and other asset-backed securities are valued using internal models. The primary inputs to the valuation of the bond population include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain private fixed maturity securities are valued using an internal model using market observable inputs such as the interest rate yield curve, as well as published credit spreads for similar securities, which includes significant unobservable inputs. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps are established using inputs from market participants. For structured securities, the primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, weighted-average coupon, weighted-average maturity, issuer rating, structure of the security, expected prepayment speeds and volumes, collateral type, current and forecasted loss severity, average delinquency rates, vintage of the loans, geographic region, debt service coverage ratios, payment priority with the tranche, benchmark yields and credit spreads. The fair value of our Level 3 fixed maturity securities priced using internal models was $2,781 million as of June 30, 2024.

Equity securities. The primary inputs to the valuation include broker quotes where the underlying inputs are unobservable and for internal models, structure of the security and issuer rating.

Limited partnerships. The fair value of limited partnerships classified as Level 3 is determined based on third-party valuation sources that utilize unobservable inputs, such as a reference to public market or private transactions, valuations for comparable companies or assets, discounted cash flows and/or recent transactions.

Short-term investments. The primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain securities are valued using an internal model using market observable inputs such as the interest rate yield curve, as well as published credit spreads for similar securities, which include significant unobservable inputs. 

Net asset value

Limited partnerships. Limited partnerships are valued based on comparable market transactions, discounted future cash flows, quoted market prices and/or estimates using the most recent data available for the underlying instrument. We utilize the net asset value (“NAV”) from the underlying fund statements as a practical expedient for fair value.

Derivatives

We consider counterparty collateral arrangements and rights of set-off when evaluating our net credit risk exposure to our derivative counterparties. Accordingly, we are permitted to include consideration of these arrangements when determining whether any incremental adjustment should be made for both the counterparty’s and our non-performance risk in measuring fair value for our derivative instruments. As a result of these counterparty arrangements, we determined that any adjustment for credit risk would not be material and we have not recorded any incremental adjustment for our non-performance risk or the non-performance risk of the derivative counterparty for our derivative assets or liabilities.

Interest rate swaps. The valuation of interest rate swaps is determined using an income approach. The primary input into the valuation represents the forward interest rate swap curve, which is generally considered an observable input, and results in the derivative being classified as Level 2. For certain interest rate swaps, the inputs into the valuation also include the total returns of certain bonds that would primarily be considered an observable input and result in the derivative being classified as Level 2.

Foreign currency swaps. The valuation of foreign currency swaps is determined using an income approach. The primary inputs into the valuation represent the forward interest rate swap curve and foreign currency exchange rates, both of which are considered observable inputs, and results in the derivative being classified as Level 2.

Equity index options. We have equity index options associated with various equity indices. The valuation of equity index options is determined using an income approach. The primary inputs into the valuation represent forward interest rates, equity index volatility, equity index and time value component associated with the optionality in the derivative. The equity index volatility surface is determined based on market information that is not readily observable and is developed based upon inputs received from several third-party sources. Accordingly, these options are classified as Level 3. As of June 30, 2024, a significant increase (decrease) in the equity index volatility discussed above would have resulted in a significantly higher (lower) fair value measurement.

Financial futures. The fair value of financial futures is based on the closing exchange prices. Accordingly, these financial futures are classified as Level 1. The period end valuation is zero as a result of settling the margins on these contracts on a daily basis.

Forward bond purchase commitments. The valuation of forward bond purchase commitments is determined using an income approach. The primary inputs into the valuation represent current bond prices and interest rates, as well as an estimate of the cost of counterparty financing to acquire and carry the bond during the forward period. The estimated cost of counterparty financing is not readily observable and is developed based upon an assumed spread; accordingly, these derivatives are classified as Level 3.

Fixed indexed annuity and indexed universal life embedded derivatives. We have fixed indexed annuity and indexed universal life insurance products where interest is credited to the policyholder’s account balance based on equity index changes. This feature is required to be bifurcated as an embedded derivative and recorded at fair value. Fair value is determined using an income approach where the present value of the excess cash flows above the guaranteed cash flows is used to determine the value attributed to the equity index feature. The inputs used in determining the fair value include policyholder behavior (lapses and withdrawals), near-term equity index volatility, expected future interest credited, forward interest rates and an adjustment to the discount rate to incorporate non-performance risk and risk margins. As a result of our assumptions for expected future interest credited being considered significant unobservable inputs, we classify these instruments as Level 3. As expected future interest credited decreases, the value of our embedded derivative liability will decrease. As of June 30, 2024, a significant change in the unobservable inputs discussed above would have resulted in a significantly lower or higher fair value measurement.

Market risk benefits

MRBs are contracts or contract features that provide protection to the contractholder from and expose us to other-than-nominal capital market risk. MRBs include certain contract features on fixed and variable annuity products that provide minimum guarantees, in addition to the policyholder account balance, such as guaranteed minimum death benefits (“GMDBs”), guaranteed minimum withdrawal benefits (“GMWBs”) and guaranteed payout annuity floor benefits (“GPAFs”). MRBs are measured at fair value using an income-based valuation model based on current net amounts at risk, market data, experience and other factors.

MRB assets and liabilities for minimum guarantees are valued and presented separately from the related separate account and policyholder account balances.

Fixed indexed annuities

The valuation of fixed indexed annuities MRBs, which includes GMWB features, is based on an income approach that incorporates inputs such as policyholder behavior (GMWB utilization, lapses and mortality), equity index volatility, expected future interest credited, forward interest rates and an adjustment to the discount rate to incorporate non-performance risk and risk margins. Our discount rate used to determine fair value of our fixed indexed annuities MRBs includes market credit spreads above U.S. Treasury rates to reflect an adjustment for the non-performance risk of the fixed indexed annuities MRBs. We determine fair value using an internal model based on the various inputs noted above. As a result of our assumptions for GMWB utilization, expected future interest credited and non-performance risk being considered significant unobservable inputs, we classify these instruments as Level 3. As expected future interest credited decreases or GMWB utilization increases, the value of our fixed indexed annuities MRB liability will increase. Any increase in non-performance risk would increase the discount rate and would decrease the fair value of the liability. As of June 30, 2024, a significant change in the unobservable inputs discussed above would have resulted in a significantly lower or higher fair value measurement. Refer to note 11 for additional details related to the changes in the fair value measurement of fixed indexed annuities MRBs as of June 30, 2024 and December 31, 2023.

Variable annuities

The valuation of our variable annuities MRBs, which includes GMWB, GMDB and GPAF features, is based on an income approach that incorporates inputs such as policyholder behavior (GMWB utilization, lapses and mortality), equity index volatility, interest rates, equity index and fund correlation and an adjustment to the discount rate to incorporate non-performance risk and risk margins. Our discount rate used to determine fair value of our variable annuities MRBs includes market credit spreads above U.S. Treasury rates to reflect an adjustment for the non-performance risk of the variable annuities MRBs. We determine fair value using an internal model based on the various inputs noted above. We classify the variable annuities MRBs valuation as Level 3 based on having significant unobservable inputs, with policyholder behavior (GMWB utilization and lapses), equity index volatility and non-performance risk being considered the more significant unobservable inputs. As equity index volatility increases, the fair value of the variable annuities MRBs will increase. An increase in our lapse assumption would decrease the fair value of the variable annuities MRBs, whereas an increase in our GMWB utilization rate would increase the fair value. Any increase in non-performance risk would increase the discount rate and would decrease the fair value of the liability. As of June 30, 2024, a significant change in the unobservable inputs discussed above would have resulted in a significantly lower or higher fair value measurement. Refer to note 11 for additional details related to the changes in the fair value measurement of variable annuities MRBs as of June 30, 2024 and December 31, 2023.

The following tables set forth our assets by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:

		June 30, 2024
(Amounts in millions)		Total				Level 1				Level 2				Level 3				NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises		$	3,512			$	—			$	3,512			$	—			$	—
State and political subdivisions			2,168				—				2,103				65				—
Non-U.S. government			709				—				709				—				—
U.S. corporate:
Utilities			4,232				—				3,389				843				—
Energy			2,322				—				2,277				45				—
Finance and insurance			7,028				—				6,348				680				—
Consumer—non-cyclical			4,353				—				4,290				63				—
Technology and communications			2,750				—				2,738				12				—
Industrial			1,094				—				1,079				15				—
Capital goods			2,145				—				2,091				54				—
Consumer—cyclical			1,553				—				1,436				117				—
Transportation			1,062				—				1,042				20				—
Other			274				—				139				135				—
Total U.S. corporate			26,813				—				24,829				1,984				—
Non-U.S. corporate:
Utilities			710				—				430				280				—
Energy			1,047				—				928				119				—
Finance and insurance			1,852				—				1,719				133				—
Consumer—non-cyclical			598				—				521				77				—
Technology and communications			806				—				789				17				—
Industrial			803				—				743				60				—
Capital goods			595				—				550				45				—
Consumer—cyclical			231				—				224				7				—
Transportation			422				—				400				22				—
Other			572				—				521				51				—
Total non-U.S. corporate			7,636				—				6,825				811				—
Residential mortgage-backed			851				—				849				2				—
Commercial mortgage-backed			1,312				—				1,301				11				—
Other asset-backed			2,232				—				2,119				113				—
Total fixed maturity securities			45,233				—				42,247				2,986				—
Equity securities			435				364				29				42				—
Limited partnerships			2,314				—				—				16				2,298
Other invested assets:
Derivative assets:
Interest rate swaps			26				—				26				—				—
Foreign currency swaps			12				—				12				—				—
Equity index options			21				—				—				21				—
Forward bond purchase commitments			21				—				—				21				—
Total derivative assets			80				—				38				42				—
Short-term investments			12				—				12				—				—
Total other invested assets			92				—				50				42				—
Separate account assets			4,553				4,553				—				—				—
Total assets		$	52,627			$	4,917			$	42,326			$	3,086			$	2,298

(1)  Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.

		December 31, 2023
(Amounts in millions)		Total				Level 1				Level 2				Level 3				NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises		$	3,494			$	—			$	3,494			$	—			$	—
State and political subdivisions			2,302				—				2,242				60				—
Non-U.S. government			626				—				626				—				—
U.S. corporate:
Utilities			4,273				—				3,392				881				—
Energy			2,372				—				2,312				60				—
Finance and insurance			7,278				—				6,561				717				—
Consumer—non-cyclical			4,505				—				4,436				69				—
Technology and communications			3,023				—				3,011				12				—
Industrial			1,233				—				1,210				23				—
Capital goods			2,181				—				2,146				35				—
Consumer—cyclical			1,649				—				1,527				122				—
Transportation			1,162				—				1,140				22				—
Other			309				—				160				149				—
Total U.S. corporate			27,985				—				25,895				2,090				—
Non-U.S. corporate:
Utilities			685				—				416				269				—
Energy			1,027				—				896				131				—
Finance and insurance			1,948				—				1,814				134				—
Consumer—non-cyclical			616				—				535				81				—
Technology and communications			891				—				867				24				—
Industrial			797				—				734				63				—
Capital goods			561				—				508				53				—
Consumer—cyclical			221				—				220				1				—
Transportation			364				—				342				22				—
Other			701				—				649				52				—
Total non-U.S. corporate			7,811				—				6,981				830				—
Residential mortgage-backed			907				—				904				3				—
Commercial mortgage-backed			1,418				—				1,407				11				—
Other asset-backed			2,238				—				2,136				102				—
Total fixed maturity securities			46,781				—				43,685				3,096				—
Equity securities			396				321				43				32				—
Limited partnerships			2,193				—				—				20				2,173
Other invested assets:
Derivative assets:
Interest rate swaps			55				—				55				—				—
Foreign currency swaps			10				—				10				—				—
Equity index options			15				—				—				15				—
Forward bond purchase commitments			51				—				—				51				—
Total derivative assets			131				—				65				66				—
Short-term investments			27				—				20				7				—
Total other invested assets			158				—				85				73				—
Separate account assets			4,509				4,509				—				—				—
Total assets		$	54,037			$	4,830			$	43,813			$	3,221			$	2,173

(1)  Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.

The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of and for the dates indicated:

		Beginning balance as of April 1, 2024				Total realized and unrealized gains (losses)								Purchases				Sales				Issuances				Settlements				Transfer into Level 3 (1)				Transfer out of Level 3 (1)				Ending balance as of June 30, 2024				Total gains (losses) attributable to assets still held
(Amounts in millions)						Included in net income				Included in OCI																																Included in net income				Included in OCI
Fixed maturity securities:
State and political subdivisions		$	65			$	1			$	(1	)		$	—			$	—			$	—			$	—			$	—			$	—			$	65			$	1			$	(1	)
U.S. corporate:
Utilities			867				—				(15	)			—				(13	)			—				—				8				(4	)			843				—				(17	)
Energy			60				(1	)			1				—				(4	)			—				(11	)			—				—				45				—				—
Finance and insurance			730				1				—				—				—				—				(65	)			14				—				680				—				(3	)
Consumer—non-cyclical			64				—				(1	)			—				—				—				—				—				—				63				—				(1	)
Technology and communications			12				—				—				—				—				—				—				—				—				12				—				—
Industrial			15				—				—				—				—				—				—				—				—				15				—				—
Capital goods			34				—				—				20				—				—				—				—				—				54				—				—
Consumer—cyclical			118				—				—				—				—				—				(1	)			—				—				117				—				—
Transportation			21				—				—				—				—				—				(1	)			—				—				20				—				—
Other			143				—				(1	)			—				—				—				(7	)			—				—				135				—				(1	)
Total U.S. corporate			2,064				—				(16	)			20				(17	)			—				(85	)			22				(4	)			1,984				—				(22	)
Non-U.S. corporate:
Utilities			260				—				(5	)			25				—				—				—				—				—				280				—				(6	)
Energy			130				—				—				—				—				—				(11	)			—				—				119				—				—
Finance and insurance			132				1				—				—				—				—				—				—				—				133				1				—
Consumer—non-cyclical			77				—				—				—				—				—				—				—				—				77				—				(1	)
Technology and communications			24				—				—				—				—				—				(7	)			—				—				17				—				—
Industrial			61				—				(1	)			—				—				—				—				—				—				60				—				(1	)
Capital goods			33				—				(2	)			14				—				—				—				—				—				45				—				(1	)
Consumer—cyclical			1				—				(1	)			7				—				—				—				—				—				7				—				—
Transportation			22				—				—				—				—				—				—				—				—				22				—				—
Other			51				—				—				—				—				—				—				—				—				51				—				—
Total non-U.S. corporate			791				1				(9	)			46				—				—				(18	)			—				—				811				1				(9	)
Residential mortgage-backed			3				—				—				—				—				—				(1	)			—				—				2				—				—
Commercial mortgage-backed			11				—				—				—				—				—				—				—				—				11				—				—
Other asset-backed			108				—				(1	)			25				—				—				(5	)			—				(14	)			113				—				—
Total fixed maturity securities			3,042				2				(27	)			91				(17	)			—				(109	)			22				(18	)			2,986				2				(32	)
Equity securities			32				—				—				18				(8	)			—				—				—				—				42				—				—
Limited partnerships			19				(3	)			—				—				—				—				—				—				—				16				(3	)			—
Other invested assets:
Derivative assets:
Equity index options			20				1				—				4				—				—				(4	)			—				—				21				2				—
Forward bond purchase commitments			41				—				(20	)			—				—				—				—				—				—				21				—				(15	)
Total derivative assets			61				1				(20	)			4				—				—				(4	)			—				—				42				2				(15	)
Total other invested assets			61				1				(20	)			4				—				—				(4	)			—				—				42				2				(15	)
Total Level 3 assets		$	3,154			$	—			$	(47	)		$	113			$	(25	)		$	—			$	(113	)		$	22			$	(18	)		$	3,086			$	1			$	(47	)

(1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

		Beginning balance as of April 1, 2023				Total realized and unrealized gains (losses)								Purchases				Sales				Issuances				Settlements				Transfer into Level 3 (1)				Transfer out of Level 3 (1)				Ending balance as of June 30, 2023				Total gains (losses) attributable to assets still held
(Amounts in millions)						Included in net income				Included in OCI																																Included in net income				Included in OCI
Fixed maturity securities:
State and political subdivisions		$	59			$	1			$	—			$	—			$	—			$	—			$	—			$	—			$	—			$	60			$	1			$	—
U.S. corporate:
Utilities			859				—				(11	)			—				(31	)			—				(10	)			11				—				818				—				(18	)
Energy			115				—				—				—				—				—				(1	)			—				(55	)			59				—				(1	)
Finance and insurance			697				—				(6	)			48				—				—				(30	)			—				(5	)			704				—				(10	)
Consumer—non-cyclical			69				—				(1	)			—				—				—				—				—				—				68				—				(1	)
Technology and communications			12				—				(1	)			—				—				—				—				—				—				11				—				—
Industrial			22				—				—				—				—				—				—				—				—				22				—				—
Capital goods			34				—				—				—				—				—				—				—				—				34				—				(1	)
Consumer—cyclical			127				—				(2	)			1				—				—				(2	)			—				—				124				—				(2	)
Transportation			24				—				(1	)			—				—				—				—				—				—				23				—				—
Other			156				—				1				—				—				—				(4	)			—				—				153				—				1
Total U.S. corporate			2,115				—				(21	)			49				(31	)			—				(47	)			11				(60	)			2,016				—				(32	)
Non-U.S. corporate:
Utilities			298				—				(9	)			1				—				—				—				30				—				320				—				(8	)
Energy			119				—				(2	)			—				—				—				—				—				—				117				—				(2	)
Finance and insurance			131				2				(7	)			—				—				—				—				—				—				126				2				(6	)
Consumer—non-cyclical			73				—				—				—				—				—				—				—				—				73				—				(1	)
Technology and communications			26				—				—				—				—				—				—				—				—				26				—				—
Industrial			75				—				—				—				—				—				—				—				—				75				—				(1	)
Capital goods			52				—				(1	)			—				—				—				—				—				—				51				—				—
Consumer—cyclical			9				—				1				—				—				—				(1	)			—				—				9				—				—
Transportation			22				—				(1	)			—				—				—				—				—				—				21				—				(1	)
Other			22				—				(1	)			—				—				—				—				—				—				21				—				—
Total non-U.S. corporate			827				2				(20	)			1				—				—				(1	)			30				—				839				2				(19	)
Residential mortgage-backed			8				—				1				—				—				—				(1	)			—				—				8				—				—
Commercial mortgage-backed			12				—				—				—				(1	)			—				—				—				—				11				—				—
Other asset-backed			95				—				(1	)			10				—				—				—				—				—				104				—				(1	)
Total fixed maturity securities			3,116				3				(41	)			60				(32	)			—				(49	)			41				(60	)			3,038				3				(52	)
Equity securities			33				—				—				1				(4	)			—				—				—				—				30				—				—
Limited partnerships			22				(1	)			—				—				—				—				—				—				—				21				(1	)			—
Other invested assets:
Derivative assets:
Equity index options			10				5				—				2				—				—				(2	)			—				—				15				4				—
Total derivative assets			10				5				—				2				—				—				(2	)			—				—				15				4				—
Short-term investments			—				—				—				7				—				—				—				—				—				7				—				—
Total other invested assets			10				5				—				9				—				—				(2	)			—				—				22				4				—
Total Level 3 assets		$	3,181			$	7			$	(41	)		$	70			$	(36	)		$	—			$	(51	)		$	41			$	(60	)		$	3,111			$	6			$	(52	)

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

		Beginning balance as of January 1, 2024				Total realized and unrealized gains (losses)								Purchases				Sales				Issuances				Settlements				Transfer into Level 3 (1)				Transfer out of Level 3 (1)				Ending balance as of June 30, 2024				Total gains (losses) attributable to assets still held
(Amounts in millions)						Included in net income				Included in OCI																																Included in net income				Included in OCI
Fixed maturity securities:
State and political subdivisions		$	60			$	2			$	3			$	—			$	—			$	—			$	—			$	—			$	—			$	65			$	2			$	3
U.S. corporate:
Utilities			881				—				(35	)			32				(13	)			—				(26	)			8				(4	)			843				—				(37	)
Energy			60				(1	)			1				—				(4	)			—				(11	)			—				—				45				—				—
Finance and insurance			717				1				(6	)			—				—				—				(65	)			33				—				680				—				(9	)
Consumer—non-cyclical			69				—				(1	)			—				—				—				(5	)			—				—				63				—				(1	)
Technology and communications			12				—				—				—				—				—				—				—				—				12				—				—
Industrial			23				—				—				—				—				—				(8	)			—				—				15				—				—
Capital goods			35				—				(1	)			20				—				—				—				—				—				54				—				(1	)
Consumer—cyclical			122				—				(3	)			—				—				—				(2	)			—				—				117				—				(3	)
Transportation			22				—				—				—				—				—				(2	)			—				—				20				—				—
Other			149				—				(3	)			—				—				—				(11	)			—				—				135				—				(3	)
Total U.S. corporate			2,090				—				(48	)			52				(17	)			—				(130	)			41				(4	)			1,984				—				(54	)
Non-U.S. corporate:
Utilities			269				—				(9	)			35				—				—				(15	)			—				—				280				—				(10	)
Energy			131				—				(1	)			—				—				—				(11	)			—				—				119				—				(1	)
Finance and insurance			134				3				(4	)			—				—				—				—				—				—				133				3				(4	)
Consumer—non-cyclical			81				—				(1	)			—				—				—				(3	)			—				—				77				—				(1	)
Technology and communications			24				—				—				—				—				—				(7	)			—				—				17				—				—
Industrial			63				—				(2	)			—				—				—				(1	)			—				—				60				—				(2	)
Capital goods			53				—				(2	)			14				—				—				(20	)			—				—				45				—				(1	)
Consumer—cyclical			1				—				(1	)			7				—				—				—				—				—				7				—				—
Transportation			22				—				—				—				—				—				—				—				—				22				—				—
Other			52				—				(1	)			—				—				—				—				—				—				51				—				(1	)
Total non-U.S. corporate			830				3				(21	)			56				—				—				(57	)			—				—				811				3				(20	)
Residential mortgage-backed			3				—				—				—				—				—				(1	)			—				—				2				—				—
Commercial mortgage-backed			11				—				—				—				—				—				—				—				—				11				—				—
Other asset-backed			102				—				(1	)			40				—				—				(7	)			—				(21	)			113				—				(1	)
Total fixed maturity securities			3,096				5				(67	)			148				(17	)			—				(195	)			41				(25	)			2,986				5				(72	)
Equity securities			32				—				—				18				(8	)			—				—				—				—				42				—				—
Limited partnerships			20				(4	)			—				—				—				—				—				—				—				16				(4	)			—
Other invested assets:
Derivative assets:
Equity index options			15				6				—				8				—				—				(8	)			—				—				21				6				—
Forward bond purchase commitments			51				—				(30	)			—				—				—				—				—				—				21				—				(28	)
Total derivative assets			66				6				(30	)			8				—				—				(8	)			—				—				42				6				(28	)
Short-term investments			7				—				—				—				—				—				(7	)			—				—				—				—				—
Total other invested assets			73				6				(30	)			8				—				—				(15	)			—				—				42				6				(28	)
Total Level 3 assets		$	3,221			$	7			$	(97	)		$	174			$	(25	)		$	—			$	(210	)		$	41			$	(25	)		$	3,086			$	7			$	(100	)

(1)  The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

(Amounts in millions)		Beginning balance as of January 1, 2023				Total realized and unrealized gains (losses)																								Transfer into Level 3 (1)				Transfer out of Level 3 (1)				Ending balance as of June 30, 2023				Total gains (losses) attributable to assets still held
						Included in net income				Included in OCI				Purchases				Sales				Issuances				Settlements																Included in net income				Included in OCI
Fixed maturity securities:
State and political subdivisions		$	55			$	2			$	3			$	—			$	—			$	—			$	—			$	—			$	—			$	60			$	2			$	3
U.S. corporate:
Utilities			842				—				—				40				(40	)			—				(10	)			11				(25	)			818				—				(8	)
Energy			116				—				1				—				(1	)			—				(2	)			—				(55	)			59				—				1
Finance and insurance			687				—				(3	)			63				—				—				(35	)			—				(8	)			704				—				(6	)
Consumer—non-cyclical			82				—				—				—				—				—				(14	)			—				—				68				—				—
Technology and communications			24				—				—				—				—				—				—				—				(13	)			11				—				—
Industrial			22				—				—				—				—				—				—				—				—				22				—				—
Capital goods			34				—				—				—				—				—				—				—				—				34				—				—
Consumer—cyclical			113				—				—				1				—				—				(3	)			13				—				124				—				—
Transportation			43				—				—				—				—				—				(20	)			—				—				23				—				—
Other			159				—				1				—				—				—				(7	)			—				—				153				—				1
Total U.S. corporate			2,122				—				(1	)			104				(41	)			—				(91	)			24				(101	)			2,016				—				(12	)
Non-U.S. corporate:
Utilities			295				—				(4	)			4				—				—				(5	)			30				—				320				—				(3	)
Energy			118				—				—				—				—				—				(1	)			—				—				117				—				—
Finance and insurance			125				3				(2	)			—				—				—				—				—				—				126				3				(2	)
Consumer—non-cyclical			73				—				—				—				—				—				—				—				—				73				—				—
Technology and communications			26				—				—				—				—				—				—				—				—				26				—				—
Industrial			48				—				2				25				—				—				—				—				—				75				—				1
Capital goods			95				1				3				—				(12	)			—				(36	)			—				—				51				—				2
Consumer—cyclical			64				—				7				—				(6	)			—				(56	)			—				—				9				—				1
Transportation			20				—				—				1				—				—				—				—				—				21				—				—
Other			21				—				—				—				—				—				—				—				—				21				—				—
Total non-U.S. corporate			885				4				6				30				(18	)			—				(98	)			30				—				839				3				(1	)
Residential mortgage-backed			22				—				2				—				—				—				(1	)			—				(15	)			8				—				—
Commercial mortgage-backed			12				—				—				—				(1	)			—				—				—				—				11				—				—
Other asset-backed			94				—				1				12				—				—				(1	)			—				(2	)			104				—				1
Total fixed maturity securities			3,190				6				11				146				(60	)			—				(191	)			54				(118	)			3,038				5				(9	)
Equity securities			34				—				—				1				(5	)			—				—				—				—				30				—				—
Limited partnerships			24				(3	)			—				—				—				—				—				—				—				21				(3	)			—
Other invested assets:
Derivative assets:
Equity index options			6				6				—				5				—				—				(2	)			—				—				15				5				—
Total derivative assets			6				6				—				5				—				—				(2	)			—				—				15				5				—
Short-term investments			—				—				—				7				—				—				—				—				—				7				—				—
Total other invested assets			6				6				—				12				—				—				(2	)			—				—				22				5				—
Total Level 3 assets		$	3,254			$	9			$	11			$	159			$	(65	)		$	—			$	(193	)		$	54			$	(118	)		$	3,111			$	7			$	(9	)

(1) The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.

The following table presents the gains and losses included in net income from assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:

		Three months ended June 30,								Six months ended June 30,
(Amounts in millions)		2024				2023				2024				2023
Total realized and unrealized gains (losses) included in net income:
Net investment income		$	3			$	3			$	6			$	6
Net investment gains (losses)			(3	)			4				1				3
Total		$	—			$	7			$	7			$	9
Total gains (losses) included in net income attributable to assets still held:
Net investment income		$	2			$	3			$	5			$	5
Net investment gains (losses)			(1	)			3				2				2
Total		$	1			$	6			$	7			$	7

The amount presented for net investment income relates to fixed maturity securities and primarily represents amortization and accretion of premiums and discounts on certain fixed maturity securities.

The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2024:

(Amounts in millions)		Fair value				Unobservable input		Range		Weighted-average (1)
Fixed maturity securities:
U.S. corporate:
Utilities		$	815			Credit spreads		59bps - 229bps		136bps
Energy			45			Credit spreads		93bps - 166bps		134bps
Finance and insurance			668			Credit spreads		14bps - 213bps		154bps
Consumer—non-cyclical			63			Credit spreads		68bps - 210bps		131bps
Technology and communications			12			Credit spreads		68bps - 82bps		74bps
Industrial			15			Credit spreads		93bps - 166bps		117bps
Capital goods			54			Credit spreads		83bps - 160bps		127bps
Consumer—cyclical			117			Credit spreads		82bps - 220bps		132bps
Transportation			20			Credit spreads		48bps - 134bps		100bps
Other			90			Credit spreads		67bps - 122bps		81bps
Total U.S. corporate		$	1,899			Credit spreads		14bps - 229bps		138bps
Non-U.S. corporate:
Utilities		$	243			Credit spreads		84bps - 229bps		131bps
Energy			113			Credit spreads		93bps - 175bps		119bps
Finance and insurance			133			Credit spreads		101bps - 197bps		125bps
Consumer—non-cyclical			75			Credit spreads		83bps - 144bps		100bps
Technology and communications			17			Credit spreads		83bps - 119bps		100bps
Industrial			59			Credit spreads		109bps - 175bps		144bps
Capital goods			38			Credit spreads		97bps - 210bps		149bps
Consumer—cyclical			7			Credit spreads		210bps		Not applicable
Transportation			20			Credit spreads		109bps - 144bps		114bps
Other			51			Credit spreads		59bps - 133bps		115bps
Total non-U.S. corporate		$	756			Credit spreads		59bps - 229bps		126bps
Derivative assets:
Equity index options		$	21			Equity index volatility		6% - 46%		23%
Forward bond purchase commitments		$	21			Counterparty financing spreads		28bps - 41bps		33bps
Other assets (2)		$	117			Lapse rate		2% - 9%		5%
						Non-performance risk (counterparty credit risk)		42bps - 83bps		69bps
						Equity index volatility		14% - 30%		22%

(1)  Unobservable inputs weighted by the relative fair value of the associated instrument for fixed maturity securities, notional for derivative assets and the policyholder account balances associated with the instrument for the net reinsured portion of our variable annuity MRBs.

(2)  Represents the net reinsured portion of our variable annuity MRBs.

The assets included in the table above are valued using internal models for our fixed maturity securities and discounted cash flows for derivative and other assets. Certain classes of instruments classified as Level 3 are excluded above as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value.

The following tables set forth our liabilities by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:

		June 30, 2024
(Amounts in millions)		Total				Level 1				Level 2				Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	160			$	—			$	—			$	160
Indexed universal life embedded derivatives			16				—				—				16
Total policyholder account balances			176				—				—				176
Derivative liabilities:
Interest rate swaps			636				—				636				—
Foreign currency swaps			1				—				1				—
Forward bond purchase commitments			33				—				—				33
Total derivative liabilities			670				—				637				33
Total liabilities		$	846			$	—			$	637			$	209

		December 31, 2023
(Amounts in millions)		Total				Level 1				Level 2				Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	165			$	—			$	—			$	165
Indexed universal life embedded derivatives			15				—				—				15
Total policyholder account balances			180				—				—				180
Derivative liabilities:
Interest rate swaps			490				—				490				—
Foreign currency swaps			2				—				2				—
Forward bond purchase commitments			9				—				—				9
Total derivative liabilities			501				—				492				9
Total liabilities		$	681			$	—			$	492			$	189

The following tables present additional information about liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of and for the dates indicated:

		Beginning balance as of April 1, 2024				Total realized and unrealized (gains) losses																																Ending balance as of June 30, 2024				Total (gains) losses attributable to liabilities still held
(Amounts in millions)						Included in net (income)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfer into Level 3				Transfer out of Level 3								Included in net (income)				Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	163			$	5			$	—			$	—			$	—			$	—			$	(8	)		$	—			$	—			$	160			$	5			$	—
Indexed universal life embedded derivatives			15				(2	)			—				—				—				3				—				—				—				16				(2	)			—
Total policyholder account balances			178				3				—				—				—				3				(8	)			—				—				176				3				—
Derivative liabilities:
Forward bond purchase commitments			13				7				13				—				—				—				—				—				—				33				7				13
Total derivative liabilities			13				7				13				—				—				—				—				—				—				33				7				13
Total Level 3 liabilities		$	191			$	10			$	13			$	—			$	—			$	3			$	(8	)		$	—			$	—			$	209			$	10			$	13

		Beginning balance as of April 1, 2023				Total realized and unrealized (gains) losses																																Ending balance as of June 30, 2023				Total (gains) losses attributable to liabilities still held
(Amounts in millions)						Included in net (income)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfer into Level 3				Transfer out of Level 3								Included in net (income)				Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	184			$	8			$	—			$	—			$	—			$	—			$	(11	)		$	—			$	(1	)		$	180			$	8			$	—
Indexed universal life embedded derivatives			15				(2	)			—				—				—				2				—				—				—				15				(2	)			—
Total policyholder account balances			199				6				—				—				—				2				(11	)			—				(1	)			195				6				—
Derivative liabilities:
Forward bond purchase commitments			—				3				—				—				—				—				—				—				—				3				—				—
Total derivative liabilities			—				3				—				—				—				—				—				—				—				3				—				—
Total Level 3 liabilities		$	199			$	9			$	—			$	—			$	—			$	2			$	(11	)		$	—			$	(1	)		$	198			$	6			$	—

		Beginning balance as of January 1, 2024				Total realized and unrealized (gains) losses																																Ending balance as of June 30, 2024				Total (gains) losses attributable to liabilities still held
(Amounts in millions)						Included in net (income)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfer into Level 3				Transfer out of Level 3								Included in net (income)				Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	165			$	13			$	—			$	—			$	—			$	—			$	(17	)		$	—			$	(1	)		$	160			$	13			$	—
Indexed universal life embedded derivatives			15				(6	)			—				—				—				7				—				—				—				16				(6	)			—
Total policyholder account balances			180				7				—				—				—				7				(17	)			—				(1	)			176				7				—
Derivative liabilities:
Forward bond purchase commitments			9				11				13				—				—				—				—				—				—				33				11				13
Total derivative liabilities			9				11				13				—				—				—				—				—				—				33				11				13
Total Level 3 liabilities		$	189			$	18			$	13			$	—			$	—			$	7			$	(17	)		$	—			$	(1	)		$	209			$	18			$	13

		Beginning balance as of January 1, 2023				Total realized and unrealized (gains) losses																																Ending balance as of June 30, 2023				Total (gains) losses attributable to liabilities still held
(Amounts in millions)						Included in net (income)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfer into Level 3				Transfer out of Level 3								Included in net (income)				Included in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	202			$	10			$	—			$	—			$	—			$	—			$	(30	)		$	—			$	(2	)		$	180			$	10			$	—
Indexed universal life embedded derivatives			15				(7	)			—				—				—				7				—				—				—				15				(7	)			—
Total policyholder account balances			217				3				—				—				—				7				(30	)			—				(2	)			195				3				—
Derivative liabilities:
Forward bond purchase commitments			—				3				—				—				—				—				—				—				—				3				—				—
Total derivative liabilities			—				3				—				—				—				—				—				—				—				3				—				—
Total Level 3 liabilities		$	217			$	6			$	—			$	—			$	—			$	7			$	(30	)		$	—			$	(2	)		$	198			$	3			$	—

The following table presents the gains and losses included in net (income) from liabilities measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value and the related income statement line item in which these gains and losses were presented for the periods indicated:

		Three months ended June 30,								Six months ended June 30,
(Amounts in millions)		2024				2023				2024				2023
Total realized and unrealized (gains) losses included in net (income):
Net investment income		$	—			$	—			$	—			$	—
Net investment (gains) losses			10				9				18				6
Total		$	10			$	9			$	18			$	6
Total (gains) losses included in net (income) attributable to liabilities still held:
Net investment income		$	—			$	—			$	—			$	—
Net investment (gains) losses			10				6				18				3
Total		$	10			$	6			$	18			$	3

Purchases, sales, issuances and settlements represent the activity that occurred during the period that results in a change of the asset or liability but does not represent changes in fair value for the instruments held at the beginning of the period. Such activity primarily consists of purchases, sales and settlements of fixed maturity and equity securities and purchases, issuances and settlements of derivative instruments.

Issuances for fixed indexed annuity and indexed universal life embedded derivative liabilities represent the amount of the premium received that is attributed to the value of the embedded derivative. Settlements of embedded derivatives are characterized as the change in fair value upon exercising the embedded derivative instrument, effectively representing a settlement of the embedded derivative instrument. We have shown these changes in fair value separately based on the classification of this activity as effectively issuing and settling the embedded derivative instrument with all remaining changes in the fair value of these embedded derivative instruments being shown separately in the category labeled “included in net (income)” in the tables presented above.

The following table presents a summary of the significant unobservable inputs used for certain liability fair value measurements that are based on internal models and classified as Level 3 as of June 30, 2024:

(Amounts in millions)		Fair value				Unobservable input				Range				Weighted-average (1)
Policyholder account balances:
Fixed indexed annuity embedded derivatives		$	160				Expected future interest credited				1% - 3%				2%
Indexed universal life embedded derivatives		$	16				Expected future interest credited				2% - 12%				5%
Market risk benefits(2):
Fixed indexed annuities		$	43				GMWB utilization rate				— % - 70%				57%
							Non-performance risk (credit spreads)				42bps - 83bps				69bps
							Expected future interest credited				1% - 3%				2%
Variable annuities		$	403				Lapse rate				2% - 11%				5%
							GMWB utilization rate				63% - 89%				79%
							Non-performance risk (credit spreads)				42bps - 83bps				69bps
							Equity index volatility				14% - 30%				22%
Derivative liabilities:
Forward bond purchase commitments		$	33				Counterparty financing spreads				28bps - 42bps				39bps

(1)  Unobservable inputs weighted by the policyholder account balances associated with the instrument and notional for derivative liabilities.

(2)  Refer to note 11 for additional details related to MRBs.

The liabilities included in the table above are valued using an option budget method for our fixed indexed annuity and indexed universal life embedded derivative liabilities and discounted cash flows for our MRBs and derivative liabilities.

Assets and Liabilities Not Required to Be Carried at Fair Value

Assets and liabilities that are reflected in the accompanying condensed consolidated financial statements at fair value are not included in the following disclosure of fair value. Such items include cash and cash equivalents, short-term investments, investment securities, MRBs, separate accounts and derivative instruments. Apart from certain of our borrowings and certain marketable securities, few of the instruments are actively traded and their fair values must often be determined using internal models. The fair value estimates are made at a specific point in time, based upon available market information and judgments about the financial instruments, including estimates of the timing and amount of expected future cash flows and the credit standing of counterparties. Such estimates do not reflect any premium or discount that could result from offering for sale at one time our entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized gains or losses. In many cases, the fair value estimates cannot be substantiated by comparison to independent markets.

The following represents our estimated fair value of financial assets and liabilities that are not required to be carried at fair value as of the dates indicated:

		June 30, 2024
		Notional amount				Carrying amount				Fair value
(Amounts in millions)										Total				Level 1				Level 2				Level 3
Assets:
Commercial mortgage loans, net				(1)		$	6,662			$	6,094			$	—			$	—			$	6,094
Bank loan investments				(1)			560				556				—				—				556
Liabilities:
Long-term borrowings				(1)			1,564				1,438				—				1,438				—
Investment contracts				(1)			4,870				4,804				—				—				4,804
Commitments to fund investments:
Bank loan investments		$	150				—				—				—				—				—
Private placement investments			5				—				—				—				—				—
Commercial mortgage loans			11				—				—				—				—				—

(1) These financial instruments do not have notional amounts.

		December 31, 2023
		Notional amount				Carrying amount				Fair value
(Amounts in millions)										Total				Level 1				Level 2				Level 3
Assets:
Commercial mortgage loans, net				(1)		$	6,802			$	6,291			$	—			$	—			$	6,291
Bank loan investments				(1)			529				520				—				—				520
Liabilities:
Long-term borrowings				(1)			1,584				1,413				—				1,413				—
Investment contracts				(1)			5,346				5,372				—				—				5,372
Commitments to fund investments:
Bank loan investments		$	117				—				—				—				—				—
Private placement investments			42				—				—				—				—				—
Commercial mortgage loans			13				—				—				—				—				—

(1) These financial instruments do not have notional amounts.

As of June 30, 2024 and December 31, 2023, we also had $24 million and $23 million, respectively, of real estate owned assets included in other invested assets in our condensed consolidated balance sheets, which are initially recorded at fair value less estimated selling costs (the carrying value) and are subsequently valued at the lower of the carrying value or current fair value less estimated selling costs. As of December 31, 2023, these properties were adjusted to fair value less estimated selling costs, which was less than the carrying value. These amounts represented the fair value as of June 30, 2024 and December 31, 2023. The fair value of the real estate owned assets is classified as Level 2.

Assets Measured Using Net Asset Value

Limited partnerships include partnership interests accounted for using NAV per share (or its equivalent) or fair value for those interests considered minor and partnership interests accounted for under the equity method of

accounting for those interests exceeding the minor threshold. Our limited partnership interests accounted for using NAV per share (or its equivalent) are generally not redeemable by the investees and generally cannot be sold without approval of the general partner. We receive distributions of income and proceeds from the liquidation of the underlying assets of the investees, which usually takes place in years five to ten of the typical contractual life of ten to 12 years.

The following table presents the carrying value of limited partnerships and commitments to fund as of the dates indicated:

		June 30, 2024								December 31, 2023
(Amounts in millions)		Carrying value				Commitments to fund				Carrying value				Commitments to fund
Limited partnerships accounted for at NAV:
Private equity funds (1)		$	2,053			$	1,201			$	1,948			$	1,203
Real estate funds (2)			126				78				123				87
Infrastructure funds (3)			119				182				102				160
Total limited partnerships accounted for at NAV			2,298				1,461				2,173				1,450
Limited partnerships accounted for at fair value			16				1				20				1
Limited partnerships accounted for under equity method of accounting			654				67				628				79
Total		$	2,968			$	1,529			$	2,821			$	1,530

(1) This class employs various investment strategies such as leveraged buyout, growth equity, venture capital and mezzanine financing, generally investing in debt or equity positions directly in companies or assets of various sizes across diverse industries globally, primarily concentrated in North America.

(2) This class invests in real estate in North America, Europe and Asia via direct property ownership, joint ventures, mortgages and investments in debt and equity instruments.

(3) This class invests in the debt or equity of cash flow generating assets diversified across a variety of industries, including transportation, energy infrastructure, renewable power, social infrastructure, power generation, water, telecommunications and other regulated entities globally.

X

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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