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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2024

Summary of Significant Inputs Used by Third-Party Pricing Services for Certain Fair Value Measurements of Fixed Maturity Securities that Classified as Level 2

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

Assets by Class of Instrument that are Measured at Fair Value on Recurring Basis

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.

Assets Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

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.

Gains and Losses Included in Net Income (Loss) from Assets Measured at Fair Value

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

Summary of Significant Unobservable Inputs Used for Certain Asset Fair Value Measurements

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.

Liabilities by Class of Instrument that are Measured at Fair Value on Recurring Basis

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

Liabilities Measured at Fair Value on Recurring Basis and Utilized Significant Unobservable (Level 3) Inputs to Determine Fair Value

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			$	—

Gains and Losses Included in Net (Income) from Liabilities Measured at Fair Value

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

Summary of Significant Unobservable Inputs Used for Certain Liability Fair Value Measurements

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.

Fair Value Financial Instruments Not Required to be Carried at Fair Value

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.

Summary of carrying value of limited partnerships and commitments to fund

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

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets classified in shareholders' equity.

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