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Fair Value (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Recurring Fair Value Measurements

The assets and liabilities measured at estimated fair value on a recurring basis and their corresponding placement in the fair value hierarchy are presented in the tables below. Investments that do not have a readily determinable fair value and are measured at net asset value (or equivalent) as a practical expedient to estimated fair value are excluded from the fair value hierarchy.

			March 31, 2023
			Fair Value Hierarchy																		Total Estimated Fair Value
			Level 1						Level 2						Level 3
			(In millions)
Assets
Fixed maturity securities:
U.S. corporate			$	—					$	32,283					$	1,329					$	33,612
Foreign corporate			—						10,276						607						10,883
U.S. government and agency			3,613						4,674						—						8,287
RMBS			—						7,576						14						7,590
CMBS			—						6,641						33						6,674
ABS			—						5,293						303						5,596
State and political subdivision			—						3,949						—						3,949
Foreign government			—						1,055						39						1,094
Total fixed maturity securities			3,613						71,747						2,325						77,685
Equity securities			41						25						25						91
Short-term investments			911						475						—						1,386
Derivative assets: (1)
Interest rate			—						407						—						407
Foreign currency exchange rate			—						667						26						693
Credit			—						15						8						23
Equity market			—						1,519						—						1,519
Total derivative assets			—						2,608						34						2,642
Market risk benefit assets			—						—						510						510
Separate account assets			20						87,420						—						87,440
Total assets			$	4,585					$	162,275					$	2,894					$	169,754
Liabilities
Market risk benefit liabilities			$	—					$	—					$	10,729					$	10,729
Derivative liabilities: (1)
Interest rate			—						1,995						—						1,995
Foreign currency exchange rate			—						9						—						9
Credit			—						—						1						1
Equity market			—						1,248						—						1,248
Total derivative liabilities			—						3,252						1						3,253
Embedded derivatives on index-linked annuities (2)			—						—						5,164						5,164
Total liabilities			$	—					$	3,252					$	15,894					$	19,146

			December 31, 2022
			Fair Value Hierarchy																		Total Estimated Fair Value
			Level 1						Level 2						Level 3
			(In millions)
Assets
Fixed maturity securities:
U.S. corporate			$	—					$	31,418					$	1,189					$	32,607
Foreign corporate			—						9,978						598						10,576
U.S. government and agency			3,566						4,450						—						8,016
RMBS			—						7,514						14						7,528
CMBS			—						6,578						33						6,611
ABS			—						5,041						318						5,359
State and political subdivision			—						3,799						—						3,799
Foreign government			—						1,043						38						1,081
Total fixed maturity securities			3,566						69,821						2,190						75,577
Equity securities			35						27						27						89
Short-term investments			722						359						—						1,081
Derivative assets: (1)
Interest rate			—						304						—						304
Foreign currency exchange rate			—						716						29						745
Credit			—						10						8						18
Equity market			—						1,217						—						1,217
Total derivative assets			—						2,247						37						2,284
Market risk benefit assets			—						—						483						483
Separate account assets			29						84,936						—						84,965
Total assets			$	4,352					$	157,390					$	2,737					$	164,479
Liabilities
Market risk benefit liabilities			$	—					$	—					$	10,389					$	10,389
Derivative liabilities: (1)
Interest rate			—						2,802						—						2,802
Foreign currency exchange rate			—						18						—						18
Credit			—						—						2						2
Equity market			—						1,098						—						1,098
Total derivative liabilities			—						3,918						2						3,920
Embedded derivatives on index-linked annuities (2)			—						—						3,932						3,932
Total liabilities			$	—					$	3,918					$	14,323					$	18,241

_______________

(1)Derivative assets are reported in other invested assets and derivative liabilities are reported in other liabilities. The amounts are presented gross in the tables above to reflect the presentation on the consolidated balance sheets.

(2)Embedded derivative liabilities on index-linked annuities are reported in policyholder account balances.

Fair Value Measurement Inputs and Valuation Techniques

Certain quantitative information about the significant unobservable inputs used in the fair value measurement, and the sensitivity of the estimated fair value to changes in those inputs, for the more significant asset and liability classes measured at fair value on a recurring basis using significant unobservable inputs (Level 3) were as follows at:

																					March 31, 2023												December 31, 2022												Impact of Increase in Input on Estimated Fair Value
			Valuation Techniques									Significant Unobservable Inputs									Range												Range
Market Risk Benefits
Variable annuity guaranteed minimum benefits			•			Option pricing techniques						•			Mortality rates						0.04%			-			12.90%						0.04%			-			12.90%						Decrease (1)
												•			Lapse rates						1.00%			-			24.11%						1.00%			-			24.11%						Decrease (2)
												•			Utilization rates						0.00%			-			25.00%						0.00%			-			25.00%						Increase (3)
												•			Withdrawal rates						0.00%			-			10.00%						0.00%			-			10.00%						(4)
												•			Long-term equity volatilities						15.96%			-			24.53%						19.99%			-			28.45%						Increase (5)
												•			Nonperformance risk spread						1.08%			-			2.22%						(2.73)%			-			4.52%						Decrease (6)
Embedded Derivatives
Index-linked annuity crediting rates			•			Option pricing techniques						•			Mortality rates						0.03%			-			9.24%						0.03%			-			9.24%						Decrease (1)
												•			Lapse rates						1.00%			-			62.30%						1.00%			-			62.30%						Decrease (2)
												•			Withdrawal rates						0.50%			-			9.00%						0.50%			-			9.00%						(4)
												•			Nonperformance risk spread						0.73%			-			2.12%						0.00%			-			1.98%						Decrease (6)

_______________

(1)Mortality rates vary by age and by demographic characteristics such as gender. The range shown reflects the mortality rate for policyholders between 35 and 90 years old. Mortality rate assumptions are set based on company experience and include an assumption for mortality improvement.

(2)The lapse rate range reflects base lapse rates for major product categories for duration 1-20. Base lapse rates are adjusted at the contract level based on a comparison of the actuarially calculated guaranteed values and the current policyholder account value, as well as other factors, such as the applicability of any surrender charges. For variable annuity guarantees, a dynamic lapse function reduces the base lapse rate when the guaranteed amount is greater than the account value as in-the-money contracts are less likely to lapse. Lapse rates are also generally assumed to be lower in periods when a surrender charge applies.

(3)The utilization rate assumption for variable annuity guarantees estimates the percentage of contract holders with a GMIB or lifetime withdrawal benefit who will elect to utilize the benefit upon becoming eligible in a given year. The range shown represents the floor and cap of the GMIB dynamic election rates across varying levels of in-the-money. For lifetime withdrawal guarantee riders, the assumption is that everyone will begin withdrawals once account value reaches zero which is equivalent to a 100% utilization rate. Utilization rates may vary by the type of guarantee, the amount by which the guaranteed amount is greater than the account value, the contract’s withdrawal history and by the age of the policyholder.

(4)The withdrawal rate represents the percentage of account balance that any given policyholder will elect to withdraw from the contract each year. The withdrawal rate assumption varies by age and duration of the contract, and also by other factors such as benefit type. For any given contract, withdrawal rates vary throughout the period over which cash flows are projected for purposes of valuing the embedded derivative. For variable annuity GMWBs, any increase (decrease) in withdrawal rates results in an increase (decrease) in the estimated fair value of the guarantees. For variable annuity GMABs and GMIBs, any increase (decrease) in withdrawal rates results in a decrease (increase) in the estimated fair value.

(5)Long-term equity volatilities represent equity volatility beyond the period for which observable equity volatilities are available. For any given contract, long-term equity volatility rates vary throughout the period over which cash flows are projected for purposes of valuing MRBs.

(6)Nonperformance risk spread varies by duration. For any given contract, multiple nonperformance risk spreads will apply, depending on the duration of the cash flow being discounted for purposes of valuing the MRB or embedded derivative.

Fair Value, Measured on Recurring Basis, Unobservable Input Reconciliation

The changes in assets and (liabilities) measured at estimated fair value on a recurring basis using significant unobservable inputs (excluding MRBs disclosed in Note 4) were summarized as follows:

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Fixed Maturity Securities
						Corporate (1)						Structured Securities												Foreign Government						Equity Securities						Short-term Investments						Net Derivatives (2)						Embedded Derivatives on Index-Linked Annuities
						(In millions)
Three Months Ended March 31, 2023
Balance, beginning of period						$	1,787					$	365											$	38					$	27					$	—					$	35					$	(3,932)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)						1						(1)												—						(2)						—						—						(1,090)
Total realized/unrealized gains (losses) included in AOCI						24						1												1						—						—						(1)						—
Purchases (5)						142						19												—						—						—						—						—
Sales (5)						(13)						(4)												—						—						—						—						—
Issuances (5)						—						—												—						—						—						—						—
Settlements (5)						—						—												—						—						—						—						(142)
Transfers into Level 3 (6)						19						1												—						—						—						—						—
Transfers out of Level 3 (6)						(24)						(31)												—						—						—						(1)						—
Balance, end of period						$	1,936					$	350											$	39					$	25					$	—					$	33					$	(5,164)
Three Months Ended March 31, 2022
Balance, beginning of period						$	1,399					$	220											$	26					$	13					$	2					$	36					$	(6,641)
Total realized/unrealized gains (losses) included in net income (loss) (3) (4)						—						—												—						—						—						(10)						763
Total realized/unrealized gains (losses) included in AOCI						(99)						(5)												(3)						—						—						4						—
Purchases (5)						422						87												—						—						—						—						—
Sales (5)						(93)						(2)												—						—						(2)						—						—
Issuances (5)						—						—												—						—						—						—						—
Settlements (5)						—						—												—						—						—						—						204
Transfers into Level 3 (6)						86						1												—						—						—						—						—
Transfers out of Level 3 (6)						(97)						(107)												—						—						—						—						—
Balance, end of period						$	1,618					$	194											$	23					$	13					$	—					$	30					$	(5,674)
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2023 (7)						$	1					$	(1)											$	—					$	(2)					$	—					$	—					$	(1,166)
Changes in unrealized gains (losses) included in OCI for the instruments still held at March 31, 2023 (7)						$	23					$	1											$	1					$	—					$	—					$	(1)					$	—
Changes in unrealized gains (losses) included in net income (loss) for the instruments still held at March 31, 2022 (7)						$	—					$	—											$	—					$	—					$	—					$	(10)					$	687
Changes in unrealized gains (losses) included in OCI for the instruments still held at March 31, 2022 (7)						$	(98)					$	(5)											$	(3)					$	—					$	—					$	4					$	—

_______________

(1)Comprised of U.S. and foreign corporate securities.

(2)Freestanding derivative assets and liabilities are reported net for purposes of the rollforward.

(3)Amortization of premium/accretion of discount is included in net investment income. Changes in the allowance for credit losses and direct write-offs are charged to net income (loss) on securities are included in net investment gains (losses). Lapses associated with net embedded derivatives are included in net derivative gains (losses). Substantially all realized/unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

(4)Interest and dividend accruals, as well as cash interest coupons and dividends received, are excluded from the rollforward.

(5)Items purchased/issued and then sold/settled in the same period are excluded from the rollforward. Fees attributed to embedded derivatives are included in settlements.

(6)Gains and losses, in net income (loss) and OCI, are calculated assuming transfers into and/or out of Level 3 occurred at the beginning of the period. Items transferred into and then out of Level 3 in the same period are excluded from the rollforward.

(7)Changes in unrealized gains (losses) included in net income (loss) for fixed maturities are reported in either net investment income or net investment gains (losses). Substantially all changes in unrealized gains (losses) included in net income (loss) for net derivatives and net embedded derivatives are reported in net derivative gains (losses).

Fair Value of Financial Instruments Carried at Other Than Fair Value

The carrying values and estimated fair values for such financial instruments, and their corresponding placement in the fair value hierarchy, are summarized as follows at:

			March 31, 2023
									Fair Value Hierarchy
			Carrying Value						Level 1						Level 2						Level 3						Total Estimated Fair Value
			(In millions)
Assets
Mortgage loans			$	22,823					$	—					$	—					$	21,056					$	21,056
Policy loans			$	1,273					$	—					$	499					$	933					$	1,432
Other invested assets			$	232					$	—					$	220					$	12					$	232
Premiums, reinsurance and other receivables			$	6,753					$	—					$	104					$	6,808					$	6,912
Liabilities
Policyholder account balances			$	31,509					$	—					$	—					$	30,524					$	30,524
Long-term debt			$	3,157					$	—					$	2,662					$	—					$	2,662
Other liabilities			$	1,042					$	—					$	346					$	696					$	1,042
Separate account liabilities			$	1,069					$	—					$	1,069					$	—					$	1,069

			December 31, 2022
									Fair Value Hierarchy
			Carrying Value						Level 1						Level 2						Level 3						Total Estimated Fair Value
			(In millions)
Assets
Mortgage loans			$	22,936					$	—					$	—					$	20,816					$	20,816
Policy loans			$	1,282					$	—					$	515					$	878					$	1,393
Other invested assets			$	213					$	—					$	201					$	12					$	213
Premiums, reinsurance and other receivables			$	6,080					$	—					$	89					$	6,141					$	6,230
Liabilities
Policyholder account balances			$	31,887					$	—					$	—					$	30,942					$	30,942
Long-term debt			$	3,156					$	—					$	2,703					$	—					$	2,703
Other liabilities			$	943					$	—					$	248					$	695					$	943
Separate account liabilities			$	1,024					$	—					$	1,024					$	—					$	1,024

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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