QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or other jurisdiction of incorporation or organization) |
(I.R.S. Employer Identification Number) | |
|
||
(Address of principal executive offices) |
(Zip Code) |
☒ | Accelerated filer | ☐ | ||||
Non-accelerated filer | ☐ | Smaller reporting company | ||||
Emerging growth company |
Title of Each Class |
Trading Symbol |
Name of each exchange on which registered | ||
Page |
||||||
3 |
||||||
3 |
||||||
3 |
||||||
4 |
||||||
5 |
||||||
6 |
||||||
7 |
||||||
8 |
||||||
65 |
||||||
125 |
||||||
125 |
||||||
126 |
||||||
126 |
||||||
126 |
||||||
127 |
||||||
128 |
March 31, 2022 |
December 31, 2021 |
|||||||
(Unaudited) |
||||||||
Assets |
||||||||
Investments: |
||||||||
Fixed maturity securities available-for-sale, at fair value (amortized cost of $ |
$ | $ | ||||||
Equity securities, at fair value |
||||||||
Commercial mortgage loans (net of unamortized balance of loan origination fees and costs of $ |
||||||||
Less: Allowance for credit losses |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Commercial mortgage loans, net |
||||||||
Policy loans |
||||||||
Limited partnerships |
||||||||
Other invested assets |
||||||||
|
|
|
|
|||||
Total investments |
||||||||
Cash, cash equivalents and restricted cash |
||||||||
Accrued investment income |
||||||||
Deferred acquisition costs |
||||||||
Intangible assets |
||||||||
Reinsurance recoverable |
||||||||
Less: Allowance for credit losses |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Reinsurance recoverable, net |
||||||||
Other assets |
||||||||
Deferred tax asset |
||||||||
Separate account assets |
||||||||
|
|
|
|
|||||
Total assets |
$ | $ | ||||||
|
|
|
|
|||||
Liabilities and equity |
||||||||
Liabilities: |
||||||||
Future policy benefits |
$ | $ | ||||||
Policyholder account balances |
||||||||
Liability for policy and contract claims |
||||||||
Unearned premiums |
||||||||
Other liabilities |
||||||||
Long-term borrowings |
||||||||
Separate account liabilities |
||||||||
Liabilities related to discontinued operations |
||||||||
|
|
|
|
|||||
Total liabilities |
||||||||
|
|
|
|
|||||
Commitments and contingencies |
||||||||
Equity: |
||||||||
Class A common stock, $ |
||||||||
Additional paid-in capital |
||||||||
Accumulated other comprehensive income (loss) |
||||||||
Retained earnings |
||||||||
Treasury stock, at cost ( |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total Genworth Financial, Inc.’s stockholders’ equity |
||||||||
Noncontrolling interests |
||||||||
|
|
|
|
|||||
Total equity |
||||||||
|
|
|
|
|||||
Total liabilities and equity |
$ | $ | ||||||
|
|
|
|
Three months ended March 31, |
||||||||
2022 |
2021 |
|||||||
Revenues: |
||||||||
Premiums |
$ | $ | ||||||
Net investment income |
||||||||
Net investment gains (losses) |
||||||||
Policy fees and other income |
||||||||
|
|
|
|
|||||
Total revenues |
||||||||
|
|
|
|
|||||
Benefits and expenses: |
||||||||
Benefits and other changes in policy reserves |
||||||||
Interest credited |
||||||||
Acquisition and operating expenses, net of deferrals |
||||||||
Amortization of deferred acquisition costs and intangibles |
||||||||
Interest expense |
||||||||
|
|
|
|
|||||
Total benefits and expenses |
||||||||
|
|
|
|
|||||
Income from continuing operations before income taxes |
||||||||
Provision for income taxes |
||||||||
|
|
|
|
|||||
Income from continuing operations |
||||||||
Income (loss) from discontinued operations, net of taxes |
( |
) | ||||||
|
|
|
|
|||||
Net income |
||||||||
Less: net income from continuing operations attributable to noncontrolling interests |
||||||||
Less: net income from discontinued operations attributable to noncontrolling interests |
||||||||
|
|
|
|
|||||
Net income available to Genworth Financial, Inc.’s common stockholders |
$ | $ | ||||||
|
|
|
|
|||||
Net income available to Genworth Financial, Inc.’s common stockholders: |
||||||||
Income from continuing operations available to Genworth Financial, Inc.’s common stockholders |
$ | $ | ||||||
Income (loss) from discontinued operations available to Genworth Financial, Inc.’s common stockholders |
( |
) | ||||||
|
|
|
|
|||||
Net income available to Genworth Financial, Inc.’s common stockholders |
$ | $ | ||||||
|
|
|
|
|||||
Income from continuing operations available to Genworth Financial, Inc.’s common stockholders per share: |
||||||||
Basic |
$ | $ | ||||||
|
|
|
|
|||||
Diluted |
$ | $ | ||||||
|
|
|
|
|||||
Net income available to Genworth Financial, Inc.’s common stockholders per share: |
||||||||
Basic |
$ | $ | ||||||
|
|
|
|
|||||
Diluted |
$ | $ | ||||||
|
|
|
|
|||||
Weighted-average common shares outstanding: |
||||||||
Basic |
||||||||
|
|
|
|
|||||
Diluted |
||||||||
|
|
|
|
|||||
Three months ended |
||||||||
March 31, |
||||||||
2022 |
2021 |
|||||||
Net income |
$ | $ | ||||||
Other comprehensive income (loss), net of taxes: |
||||||||
Net unrealized gains (losses) on securities without an allowance for credit losses |
( |
) | ( |
) | ||||
Net unrealized gains (losses) on securities with an allowance for credit losses |
||||||||
Derivatives qualifying as hedges |
( |
) | ( |
) | ||||
Foreign currency translation and other adjustments |
( |
) | ||||||
|
|
|
|
|||||
Total other comprehensive income (loss) |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total comprehensive loss |
( |
) | ( |
) | ||||
Less: comprehensive income (loss) attributable to noncontrolling interests |
( |
) | ||||||
|
|
|
|
|||||
Total comprehensive loss available to Genworth Financial, Inc.’s common stockholders |
$ | ( |
) | $ | ( |
) | ||
|
|
|
|
Three months ended March 31, 2022 |
||||||||||||||||||||||||||||||||
Total |
||||||||||||||||||||||||||||||||
Genworth |
||||||||||||||||||||||||||||||||
Accumulated |
Financial, |
|||||||||||||||||||||||||||||||
Additional |
other |
Treasury |
Inc.’s |
|||||||||||||||||||||||||||||
Common |
paid-in |
comprehensive |
Retained |
stock, at |
stockholders’ |
Noncontrolling |
Total |
|||||||||||||||||||||||||
stock |
capital |
income (loss) |
earnings |
cost |
equity |
interests |
equity |
|||||||||||||||||||||||||
Balances as of December 31, 2021 |
$ | $ | $ | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||||||||||
Comprehensive income (loss): |
||||||||||||||||||||||||||||||||
Net income |
||||||||||||||||||||||||||||||||
Other comprehensive loss, net of taxes |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||
Total comprehensive loss |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
Stock-based compensation expense and exercises and other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
Balances as of March 31, 2022 |
$ | $ | $ | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||||||||||
Three months ended March 31, 2021 |
||||||||||||||||||||||||||||||||
Total |
||||||||||||||||||||||||||||||||
Genworth |
||||||||||||||||||||||||||||||||
Accumulated |
Financial, |
|||||||||||||||||||||||||||||||
Additional |
other |
Treasury |
Inc.’s |
|||||||||||||||||||||||||||||
Common |
paid-in |
comprehensive |
Retained |
stock, at |
stockholders’ |
Noncontrolling |
Total |
|||||||||||||||||||||||||
stock |
capital |
income (loss) |
earnings |
cost |
equity |
interests |
equity |
|||||||||||||||||||||||||
Balances as of December 31, 2020 |
$ | $ | $ | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||||||||||
Sale of business that included noncontrolling interests |
( |
) | ( |
) | ||||||||||||||||||||||||||||
Comprehensive income (loss): |
||||||||||||||||||||||||||||||||
Net income |
||||||||||||||||||||||||||||||||
Other comprehensive income (loss), net of taxes |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
Total comprehensive income (loss) |
( |
) | ( |
) | ||||||||||||||||||||||||||||
Stock-based compensation expense and exercises and other |
||||||||||||||||||||||||||||||||
Balances as of March 31, 2021 |
$ | $ | $ | $ | $ | ( |
) | $ | $ | $ | ||||||||||||||||||||||
Three months ended |
||||||||
March 31, |
||||||||
2022 |
2021 |
|||||||
Cash flows from (used by) operating activities: |
||||||||
Net income |
$ | $ | ||||||
Less (income) loss from discontinued operations, net of taxes |
( |
) | ||||||
Adjustments to reconcile net income to net cash used by operating activities: |
||||||||
Amortization of fixed maturity securities discounts and premiums |
( |
) | ( |
) | ||||
Net investment (gains) losses |
( |
) | ( |
) | ||||
Charges assessed to policyholders |
( |
) | ( |
) | ||||
Acquisition costs deferred |
( |
) | ( |
) | ||||
Amortization of deferred acquisition costs and intangibles |
||||||||
Deferred income taxes |
||||||||
Derivative instruments, limited partnerships and other |
( |
) | ( |
) | ||||
Stock-based compensation expense |
||||||||
Change in certain assets and liabilities: |
||||||||
Accrued investment income and other assets |
( |
) | ( |
) | ||||
Insurance reserves |
||||||||
Current tax liabilities |
( |
) | ||||||
Other liabilities, policy and contract claims and other policy-related balances |
( |
) | ( |
) | ||||
Cash used by operating activities — discontinued operations |
( |
) | ( |
) | ||||
Net cash used by operating activities |
( |
) | ( |
) | ||||
Cash flows from (used by) investing activities: |
||||||||
Proceeds from maturities and repayments of investments: |
||||||||
Fixed maturity securities |
||||||||
Commercial mortgage loans |
||||||||
Limited partnerships and other invested assets |
||||||||
Proceeds from sales of investments: |
||||||||
Fixed maturity and equity securities |
||||||||
Purchases and originations of investments: |
||||||||
Fixed maturity and equity securities |
( |
) | ( |
) | ||||
Commercial mortgage loans |
( |
) | ( |
) | ||||
Limited partnerships and other invested assets |
( |
) | ( |
) | ||||
Short-term investments, net |
( |
) | ||||||
Policy loans, net |
||||||||
Proceeds from sale of business, net of cash transferred |
||||||||
Cash used by investing activities — discontinued operations |
( |
) | ||||||
Net cash from investing activities |
||||||||
Cash flows from (used by) financing activities: |
||||||||
Deposits to universal life and investment contracts |
||||||||
Withdrawals from universal life and investment contracts |
( |
) | ( |
) | ||||
Repayment and repurchase of long-term debt |
( |
) | ( |
) | ||||
Other, net |
||||||||
Net cash used by financing activities |
( |
) | ( |
) | ||||
Effect of exchange rate changes on cash, cash equivalents and restricted cash (includes $ |
||||||||
Net change in cash, cash equivalents and restricted cash |
( |
) | ( |
) | ||||
Cash, cash equivalents and restricted cash at beginning of period |
||||||||
Cash, cash equivalents and restricted cash at end of period |
||||||||
Less cash, cash equivalents and restricted cash of discontinued operations at end of period |
||||||||
Cash, cash equivalents and restricted cash of continuing operations at end of period |
$ | $ | ||||||
• | Enact. |
• | U.S. Life Insurance. |
• | Runoff. |
• |
assumptions will no longer be locked-in at contract inception and all cash flow assumptions used to estimate the liability for future policy benefits (except the discount rate) will be reviewed at least annually in the same period each year or more frequently if actual experience indicates a change is required. Changes will be recorded in net income (loss) using a retrospective approach with a cumulative catch-up adjustment by recalculating the net premium ratio (which will be capped at 100%) using actual historical and updated future cash flow assumptions; |
• |
the discount rate used to determine the liability for future policy benefits will be a current upper-medium grade (low credit risk) fixed-income instrument yield, which is generally interpreted to mean a single-A rated bond rate for the same duration, and is required to be reviewed quarterly, with changes in the discount rate recorded in other comprehensive income (loss); |
• |
the provision for adverse deviation and the premium deficiency test will be eliminated; |
• |
market risk benefits associated with deposit-type contracts will be measured at fair value with changes related to instrument-specific credit risk recorded in other comprehensive income (loss) and remaining changes recorded in net income (loss); |
• |
the amortization method for DAC will generally be on a straight-line basis over the expected contract term; and |
• |
disclosures will be greatly expanded to include significant assumptions and product liability rollforwards. |
Three months ended |
||||||||
March 31, |
||||||||
(Amounts in millions, except per share amounts) |
2022 |
2021 |
||||||
Weighted-average shares used in basic earnings per share calculations |
||||||||
Potentially dilutive securities: |
||||||||
Stock options, restricted stock units and other equity-based compensation |
||||||||
|
|
|
|
|||||
Weighted-average shares used in diluted earnings per share calculations |
||||||||
|
|
|
|
|||||
Income from continuing operations: |
||||||||
Income from continuing operations |
$ | $ | ||||||
Less: net income from continuing operations attributable to noncontrolling interests |
||||||||
|
|
|
|
|||||
Income from continuing operations available to Genworth Financial, Inc.’s common stockholders |
$ | $ | ||||||
|
|
|
|
|||||
Basic per share |
$ | $ | ||||||
|
|
|
|
|||||
Diluted per share |
$ | $ | ||||||
|
|
|
|
|||||
Income (loss) from discontinued operations: |
||||||||
Income (loss) from discontinued operations, net of taxes |
$ | ( |
) | $ | ||||
Less: net income (loss) from discontinued operations attributable to noncontrolling interests |
||||||||
|
|
|
|
|||||
Income (loss) from discontinued operations available to Genworth Financial, Inc.’s common stockholders |
$ | ( |
) | $ | ||||
|
|
|
|
|||||
Basic per share |
$ | $ | ||||||
|
|
|
|
|||||
Diluted per share |
$ | $ | ||||||
|
|
|
|
|||||
Net income: |
||||||||
Income from continuing operations |
$ | $ | ||||||
Income (loss) from discontinued operations, net of taxes |
( |
) | ||||||
|
|
|
|
|||||
Net income |
||||||||
Less: net income attributable to noncontrolling interests |
||||||||
|
|
|
|
|||||
Net income available to Genworth Financial, Inc.’s common stockholders |
$ | $ | ||||||
|
|
|
|
|||||
Basic per share (1) |
$ | $ | ||||||
|
|
|
|
|||||
Diluted per share (1) |
$ | $ | ||||||
|
|
|
|
(1) |
May not total due to whole number calculation. |
Three months ended March 31, |
||||||||
(Amounts in millions) |
2022 |
2021 |
||||||
Fixed maturity securities—taxable |
$ | $ | ||||||
Fixed maturity securities—non-taxable |
||||||||
Equity securities |
||||||||
Commercial mortgage loans |
||||||||
Policy loans |
||||||||
Limited partnerships |
||||||||
Other invested assets |
||||||||
|
|
|
|
|||||
Gross investment income before expenses and fees |
||||||||
Expenses and fees |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net investment income |
$ | $ | ||||||
|
|
|
|
Three months ended March 31, |
||||||||
(Amounts in millions) |
2022 |
2021 |
||||||
Realized investment gains (losses): |
||||||||
Available-for-sale fixed maturity securities: |
||||||||
Realized gains |
$ | $ | ||||||
Realized losses |
( |
) | ( |
) | ||||
Net realized gains (losses) on available-for-sale fixed maturity securities |
( |
) | ||||||
Net realized gains (losses) on equity securities sold |
( |
) | ||||||
Net realized gains (losses) on limited partnerships |
||||||||
Total net realized investment gains (losses) |
( |
) | ||||||
Net change in allowance for credit losses on available-for-sale fixed maturity securities |
( |
) | ||||||
Write-down of available-for-sale fixed maturity securities (1) |
( |
) | ( |
) | ||||
Net unrealized gains (losses) on equity securities still held |
( |
) | ( |
) | ||||
Net unrealized gains (losses) on limited partnerships |
||||||||
Commercial mortgage loans |
( |
) | ||||||
Derivative instruments (2) |
||||||||
Other |
||||||||
Net investment gains (losses) |
$ | $ | ||||||
(1) |
Represents write-down of securities deemed uncollectible or that we intend to sell or will be required to sell prior to recovery of the amortized cost basis. |
(2) |
See note 5 for additional information on the impact of derivative instruments included in net investment gains (losses). |
(Amounts in millions) |
Beginning balance |
Increase from securities without allowance in previous periods |
Increase (decrease) from securities with allowance in previous periods |
Securities sold |
Decrease due to change in intent or requirement to sell |
Write-offs |
Recoveries |
Ending balance |
||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||
Non-U.S. corporate |
$ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ||||||||||||||||||||||||||||||
Total available-for-sale fixed maturity securities |
$ | $ | $ | $ | $ | $ | ( |
) | $ | $ | ||||||||||||||||||||||
(Amounts in millions) |
March 31, 2022 |
December 31, 2021 |
||||||
Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses (1) |
$ | $ | ||||||
Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses (1) |
||||||||
Adjustments to DAC, present value of future profits, sales inducements, benefit reserves and policyholder contract balances |
( |
) | ( |
) | ||||
Income taxes, net |
( |
) | ( |
) | ||||
Net unrealized investment gains (losses) |
||||||||
Less: net unrealized investment gains (losses) attributable to noncontrolling interests |
( |
) | ||||||
Net unrealized investment gains (losses) attributable to Genworth Financial, Inc. |
$ | $ | ||||||
(1) |
Excludes foreign exchange. |
(Amounts in millions) |
2022 |
2021 |
||||||
Beginning balance |
$ | $ | ||||||
Unrealized gains (losses) arising during the period: |
||||||||
Unrealized gains (losses) on fixed maturity securities |
( |
) | ( |
) | ||||
Adjustment to DAC |
( |
) | ||||||
Adjustment to present value of future profits |
||||||||
Adjustment to sales inducements |
||||||||
Adjustment to benefit reserves and policyholder contract balances |
||||||||
Provision for income taxes |
||||||||
Change in unrealized gains (losses) on investment securities |
( |
) | ( |
) | ||||
Reclassification adjustments to net investment (gains) losses, net of taxes of $( |
( |
) | ||||||
Change in net unrealized investment gains (losses) |
( |
) | ( |
) | ||||
Less: change in net unrealized investment gains (losses) attributable to noncontrolling interests |
( |
) | ( |
) | ||||
Ending balance |
$ | $ | ||||||
(Amounts in millions) |
Amortized cost or cost |
Gross unrealized gains |
Gross unrealized losses |
Allowance for credit losses |
Fair value |
|||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | $ | $ | ( |
) | $ | $ | |||||||||||||
State and political subdivisions |
( |
) | ||||||||||||||||||
Non-U.S. government |
( |
) | ||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
( |
) | ||||||||||||||||||
Energy |
( |
) | ||||||||||||||||||
Finance and insurance |
( |
) | ||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||
Technology and communications |
( |
) | ||||||||||||||||||
Industrial |
( |
) | ||||||||||||||||||
Capital goods |
( |
) | ||||||||||||||||||
Consumer—cyclical |
( |
) | ||||||||||||||||||
Transportation |
( |
) | ||||||||||||||||||
Other |
( |
) | ||||||||||||||||||
Total U.S. corporate |
( |
) | ||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
( |
) | ||||||||||||||||||
Energy |
( |
) | ||||||||||||||||||
Finance and insurance |
( |
) | ||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||
Technology and communications |
( |
) | ||||||||||||||||||
Industrial |
( |
) | ||||||||||||||||||
Capital goods |
( |
) | ||||||||||||||||||
Consumer—cyclical |
( |
) | ||||||||||||||||||
Transportation |
( |
) | ||||||||||||||||||
Other |
( |
) | ||||||||||||||||||
Total non-U.S. corporate |
( |
) | ||||||||||||||||||
Residential mortgage-backed |
( |
) | ||||||||||||||||||
Commercial mortgage-backed |
( |
) | ||||||||||||||||||
Other asset-backed |
( |
) | ||||||||||||||||||
Total available-for-sale fixed maturity securities |
$ | $ | $ | ( |
) | $ | $ | |||||||||||||
(Amounts in millions) |
Amortized cost or cost |
Gross unrealized gains |
Gross unrealized losses |
Allowance for credit losses |
Fair value |
|||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | $ | $ | $ | $ | |||||||||||||||
State and political subdivisions |
( |
) | ||||||||||||||||||
Non-U.S. government |
( |
) | ||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
( |
) | ||||||||||||||||||
Energy |
( |
) | ||||||||||||||||||
Finance and insurance |
( |
) | ||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||
Technology and communications |
( |
) | ||||||||||||||||||
Industrial |
( |
) | ||||||||||||||||||
Capital goods |
( |
) | ||||||||||||||||||
Consumer—cyclical |
( |
) | ||||||||||||||||||
Transportation |
||||||||||||||||||||
Other |
( |
) | ||||||||||||||||||
Total U.S. corporate |
( |
) | ||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
( |
) | ||||||||||||||||||
Energy |
( |
) | ||||||||||||||||||
Finance and insurance |
( |
) | ||||||||||||||||||
Consumer—non-cyclical |
( |
) | ||||||||||||||||||
Technology and communications |
( |
) | ||||||||||||||||||
Industrial |
( |
) | ||||||||||||||||||
Capital goods |
( |
) | ||||||||||||||||||
Consumer—cyclical |
( |
) | ||||||||||||||||||
Transportation |
( |
) | ||||||||||||||||||
Other |
( |
) | ||||||||||||||||||
Total non-U.S. corporate |
( |
) | ||||||||||||||||||
Residential mortgage-backed |
( |
) | ||||||||||||||||||
Commercial mortgage-backed |
( |
) | ||||||||||||||||||
Other asset-backed |
( |
) | ||||||||||||||||||
Total available-for-sale fixed maturity securities |
$ | $ | $ | ( |
) | $ | $ | |||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||
U.S. government, agencies and government-sponsored enterprises |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
State and political subdivisions |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. government |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
% Below cost: |
||||||||||||||||||||||||||||||||||||
<20% Below cost |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
20%-50% Below cost |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Investment grade |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Below investment grade |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Subtotal, U.S. corporate securities |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Subtotal, non-U.S. corporate securities |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for corporate securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||
State and political subdivisions |
$ | $ | ( |
) | $ | $ | $ | $ | ( |
) | ||||||||||||||||||||||||||
Non-U.S. government |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
% Below cost: |
||||||||||||||||||||||||||||||||||||
<20% Below cost |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
20%-50% Below cost |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Investment grade |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Below investment grade |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for fixed maturity securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Less than 12 months |
12 months or more |
Total |
||||||||||||||||||||||||||||||||||
(Dollar amounts in millions) |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
Fair value |
Gross unrealized losses |
Number of securities |
|||||||||||||||||||||||||||
Description of Securities |
||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Subtotal, U.S. corporate securities |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Subtotal, non-U.S. corporate securities |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||
Total for corporate securities in an unrealized loss position |
$ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | ||||||||||||||||||||||||
(Amounts in millions) |
Amortized cost or cost |
Fair value |
||||||
Due one year or less |
$ | $ | ||||||
Due after one year through five years |
||||||||
Due after five years through ten years |
||||||||
Due after ten years |
||||||||
Subtotal |
||||||||
Residential mortgage-backed |
||||||||
Commercial mortgage-backed |
||||||||
Other asset-backed |
||||||||
Total |
$ | $ | ||||||
March 31, 2022 |
December 31, 2021 |
|||||||||||||||
(Amounts in millions) |
Carrying value |
% of total |
Carrying value |
% of total |
||||||||||||
Property type: |
||||||||||||||||
Retail |
$ | % | $ | % | ||||||||||||
Office |
||||||||||||||||
Industrial |
||||||||||||||||
Apartments |
||||||||||||||||
Mixed use |
||||||||||||||||
Other |
||||||||||||||||
Subtotal |
% | % | ||||||||||||||
Allowance for credit losses |
( |
) | ( |
) | ||||||||||||
Total |
$ | $ | ||||||||||||||
March 31, 2022 |
December 31, 2021 |
|||||||||||||||
(Amounts in millions) |
Carrying value |
% of total |
Carrying value |
% of total |
||||||||||||
Geographic region: |
||||||||||||||||
South Atlantic |
$ | % | $ | % | ||||||||||||
Pacific |
||||||||||||||||
Middle Atlantic |
||||||||||||||||
Mountain |
||||||||||||||||
West South Central |
||||||||||||||||
West North Central |
||||||||||||||||
East North Central |
||||||||||||||||
New England |
||||||||||||||||
East South Central |
||||||||||||||||
Subtotal |
% | % | ||||||||||||||
Allowance for credit losses |
( |
) | ( |
) | ||||||||||||
Total |
$ | $ | ||||||||||||||
Three months ended March 31, |
||||||||
(Amounts in millions) |
2022 |
2021 |
||||||
Allowance for credit losses: |
||||||||
Beginning balance |
$ | $ | ||||||
Provision |
( |
) | ||||||
Write-offs |
||||||||
Recoveries |
||||||||
Ending balance |
$ | $ | ||||||
(Amounts in millions) |
2022 |
2021 |
2020 |
2019 |
2018 |
2017 and prior |
Total |
|||||||||||||||||||||
Debt-to-value: |
||||||||||||||||||||||||||||
0% - 50% |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
51% - 60% |
||||||||||||||||||||||||||||
61% - 75% |
||||||||||||||||||||||||||||
76% - 100% |
||||||||||||||||||||||||||||
Greater than 100% |
||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Debt service coverage ratio: |
||||||||||||||||||||||||||||
Less than 1.00 |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
1.00 - 1.25 |
||||||||||||||||||||||||||||
1.26 - 1.50 |
||||||||||||||||||||||||||||
1.51 - 2.00 |
||||||||||||||||||||||||||||
Greater than 2.00 |
||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2022 |
||||||||||||||||||||||||
(Amounts in millions) |
0% - 50% |
51% - 60% |
61% - 75% |
76% - 100% |
Greater than 100% |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Office |
||||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Apartments |
||||||||||||||||||||||||
Mixed use |
||||||||||||||||||||||||
Other |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
% of total |
% | % | % | % | % | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Weighted-average debt service coverage ratio |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2021 |
||||||||||||||||||||||||
(Amounts in millions) |
0% - 50% |
51% - 60% |
61% - 75% |
76% - 100% |
Greater than 100% |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Office |
||||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Apartments |
||||||||||||||||||||||||
Mixed use |
||||||||||||||||||||||||
Other |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
% of total |
% | % | % | % | % | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Weighted-average debt service coverage ratio |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2022 |
||||||||||||||||||||||||
(Amounts in millions) |
Less than 1.00 |
1.00 - 1.25 |
1.26 - 1.50 |
1.51 - 2.00 |
Greater than 2.00 |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Office |
||||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Apartments |
||||||||||||||||||||||||
Mixed use |
||||||||||||||||||||||||
Other |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
% of total |
% | % | % | % | % | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Weighted-average debt-to-value |
% | % | % | % | % | % | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2021 |
||||||||||||||||||||||||
(Amounts in millions) |
Less than 1.00 |
1.00 - 1.25 |
1.26 - 1.50 |
1.51 - 2.00 |
Greater than 2.00 |
Total |
||||||||||||||||||
Property type: |
||||||||||||||||||||||||
Retail |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Office |
||||||||||||||||||||||||
Industrial |
||||||||||||||||||||||||
Apartments |
||||||||||||||||||||||||
Mixed use |
||||||||||||||||||||||||
Other |
||||||||||||||||||||||||
Total amortized cost |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
% of total |
% | % | % | % | % | % | ||||||||||||||||||
Weighted-average debt-to-value |
% | % | % | % | % | % | ||||||||||||||||||
Derivative assets |
Derivative liabilities |
|||||||||||||||||||||||
Fair value |
Fair value |
|||||||||||||||||||||||
(Amounts in millions) |
Balance sheet classification |
March 31, 2022 |
December 31, 2021 |
Balance sheet classification |
March 31, 2022 |
December 31, 2021 |
||||||||||||||||||
Derivatives designated as |
||||||||||||||||||||||||
hedges |
||||||||||||||||||||||||
Cash flow hedges: |
||||||||||||||||||||||||
Interest rate swaps |
Other invested assets | $ | $ | Other liabilities | $ | $ | ||||||||||||||||||
Foreign currency swaps |
Other invested assets | Other liabilities | ||||||||||||||||||||||
Total cash flow hedges |
||||||||||||||||||||||||
Total derivatives designated as hedges |
||||||||||||||||||||||||
Derivatives not designated as hedges |
||||||||||||||||||||||||
Equity index options |
Other invested assets | Other liabilities | ||||||||||||||||||||||
Financial futures |
Other invested assets | Other liabilities | ||||||||||||||||||||||
Other foreign currency contracts |
Other invested assets | Other liabilities | ||||||||||||||||||||||
GMWB embedded derivatives |
Reinsurance recoverable (1) |
|
Policyholder account balances (2) |
|
||||||||||||||||||||
Fixed index annuity embedded derivatives |
Other assets | Policyholder account balances (3) |
|
|||||||||||||||||||||
Indexed universal life embedded derivatives |
Reinsurance recoverable |
|
Policyholder account balances (4) |
|
||||||||||||||||||||
Total derivatives not designated as hedges |
||||||||||||||||||||||||
Total derivatives |
$ | $ | $ | $ | ||||||||||||||||||||
(1) |
Represents embedded derivatives associated with the reinsured portion of our guaranteed minimum withdrawal benefits (“GMWB”) liabilities. |
(2) |
Represents the embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
(3) |
Represents the embedded derivatives associated with our fixed index annuity liabilities. |
(4) |
Represents the embedded derivatives associated with our indexed universal life liabilities. |
(Notional in millions) |
Measurement |
December 31, 2021 |
Additions |
Maturities/ terminations |
March 31, 2022 |
|||||||||||||||
Derivatives designated as hedges |
||||||||||||||||||||
Cash flow hedges: |
||||||||||||||||||||
Interest rate swaps |
Notional | $ | $ | $ | ( |
) | $ | |||||||||||||
Foreign currency swaps |
Notional | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total cash flow hedges |
( |
) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total derivatives designated as hedges |
( |
) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Derivatives not designated as hedges |
||||||||||||||||||||
Equity index options |
Notional | ( |
) | |||||||||||||||||
Financial futures |
Notional | ( |
) | |||||||||||||||||
Other foreign currency contracts |
Notional | ( |
) | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total derivatives not designated as hedges |
( |
) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Total derivatives |
$ | $ | $ | ( |
) | $ | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
(Number of policies) |
Measurement |
December 31, 2021 |
Additions |
Maturities/ terminations |
March 31, 2022 |
|||||||||||||||
Derivatives not designated as hedges |
||||||||||||||||||||
GMWB embedded derivatives |
Policies | ( |
) | |||||||||||||||||
Fixed index annuity embedded derivatives |
Policies | ( |
) | |||||||||||||||||
Indexed universal life embedded derivatives |
Policies | ( |
) |
(Amounts in millions) |
Gain (loss) recognized in OCI |
Gain (loss) reclassified into net income from OCI |
Classification of gain (loss) reclassified into net income |
Gain (loss) recognized in net income |
Classification of gain (loss) recognized in net income |
|||||||||||||||
Interest rate swaps hedging assets |
$ | ( |
) | $ | Net investment income |
|
$ | Net investment gains (losses) |
| |||||||||||
Interest rate swaps hedging assets |
Net investment gains (losses) |
|
Net investment gains (losses) |
| ||||||||||||||||
Interest rate swaps hedging liabilities |
( |
) | Interest expense |
|
Net investment gains (losses) |
| ||||||||||||||
Foreign currency swaps |
( |
) | Net investment income |
|
Net investment gains (losses) |
| ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Total |
$ | ( |
) | $ | $ | |||||||||||||||
|
|
|
|
|
|
(Amounts in millions) |
Gain (loss) recognized in OCI |
Gain (loss) reclassified into net income from OCI |
Classification of gain (loss) reclassified into net income |
Gain (loss) recognized in net income |
Classification of gain (loss) recognized in net income | |||||||||||
Interest rate swaps hedging assets |
$ | ( |
) | $ | Net investment income | $ | Net investment gains (losses) | |||||||||
Interest rate swaps hedging liabilities |
Interest expense | Net investment gains (losses) | ||||||||||||||
Foreign currency swaps |
( |
) | Net investment income | Net investment gains (losses) | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total |
$ | ( |
) | $ | $ | |||||||||||
|
|
|
|
|
|
Three months ended March 31, |
||||||||
(Amounts in millions) |
2022 |
2021 |
||||||
Derivatives qualifying as effective accounting hedges as of January 1 |
$ | $ | ||||||
Current period increases (decreases) in fair value, net of deferred taxes of $ |
( |
) | ( |
) | ||||
Reclassification to net (income), net of deferred taxes of $ |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Derivatives qualifying as effective accounting hedges as of March 31 |
$ | $ | ||||||
|
|
|
|
Three months ended March 31, |
Classification of gain (loss) recognized in net income | |||||||||
(Amounts in millions) |
2022 |
2021 |
||||||||
Interest rate swaps |
$ | $ | Net investment gains (losses) | |||||||
Equity index options |
( |
) | Net investment gains (losses) | |||||||
Financial futures |
( |
) | ( |
) | Net investment gains (losses) | |||||
GMWB embedded derivatives |
Net investment gains (losses) | |||||||||
Fixed index annuity embedded derivatives |
( |
) | Net investment gains (losses) | |||||||
Indexed universal life embedded derivatives |
Net investment gains (losses) | |||||||||
|
|
|
|
|||||||
Total derivatives not designated as hedges |
$ | $ | ||||||||
|
|
|
|
March 31, 2022 |
December 31, 2021 |
|||||||||||||||||||||||
(Amounts in millions) |
Derivative assets (1) |
Derivative liabilities (1) |
Net derivatives |
Derivative assets (1) |
Derivative liabilities (1) |
Net derivatives |
||||||||||||||||||
Amounts presented in the balance sheet: |
||||||||||||||||||||||||
Gross amounts recognized |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
Gross amounts offset in the balance sheet |
||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net amounts presented in the balance sheet |
||||||||||||||||||||||||
Gross amounts not offset in the balance sheet: |
||||||||||||||||||||||||
Financial instruments (2) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Collateral received |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||
Collateral pledged |
( |
) | ( |
) | ||||||||||||||||||||
Over collateralization |
( |
) | ( |
) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Net amount |
$ | $ | $ | $ | $ | $ | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Included $ |
(2) |
Amounts represent derivative assets and/or liabilities that are presented gross within the balance sheet but are held with the same counterparty where we have a master netting arrangement. This adjustment results in presenting the net asset and net liability position for each counterparty. |
(6) |
Fair Value of Financial Instruments |
• | Third-party pricing services: |
(Amounts in millions) |
Fair value |
Primary methodologies |
Significant inputs | |||||
U.S. government, agencies and government-sponsored enterprises |
$ |
|||||||
State and political subdivisions |
$ |
|||||||
Non-U.S. government |
$ |
|||||||
U.S. corporate |
$ |
|||||||
Non-U.S. corporate |
$ |
|||||||
Residential mortgage-backed |
$ |
|||||||
|
|
|
|
|
|
|
|
|
Commercial mortgage-backed |
$ |
|||||||
Other asset-backed |
$ |
• | Internal models: |
• | Broker quotes: |
• | Internal models: |
March 31, 2022 |
||||||||||||||||||||
(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 |
$ | $ | $ | $ | $ | |||||||||||||||
State and political subdivisions |
||||||||||||||||||||
Non-U.S. government |
||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
||||||||||||||||||||
Energy |
||||||||||||||||||||
Finance and insurance |
||||||||||||||||||||
Consumer—non-cyclical |
||||||||||||||||||||
Technology and communications |
||||||||||||||||||||
Industrial |
||||||||||||||||||||
Capital goods |
||||||||||||||||||||
Consumer—cyclical |
||||||||||||||||||||
Transportation |
||||||||||||||||||||
Other |
||||||||||||||||||||
Total U.S. corporate |
||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
||||||||||||||||||||
Energy |
||||||||||||||||||||
Finance and insurance |
||||||||||||||||||||
Consumer—non-cyclical |
||||||||||||||||||||
Technology and communications |
||||||||||||||||||||
Industrial |
||||||||||||||||||||
Capital goods |
||||||||||||||||||||
Consumer—cyclical |
||||||||||||||||||||
Transportation |
||||||||||||||||||||
Other |
||||||||||||||||||||
Total non-U.S. corporate |
||||||||||||||||||||
Residential mortgage-backed |
||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||
Other asset-backed |
||||||||||||||||||||
Total fixed maturity securities |
||||||||||||||||||||
Equity securities |
||||||||||||||||||||
Limited partnerships |
||||||||||||||||||||
Other invested assets: |
||||||||||||||||||||
Derivative assets: |
||||||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Foreign currency swaps |
||||||||||||||||||||
Equity index options |
||||||||||||||||||||
Total derivative assets |
||||||||||||||||||||
Short-term investments |
||||||||||||||||||||
Total other invested assets |
||||||||||||||||||||
Reinsurance recoverable (2) |
||||||||||||||||||||
Separate account assets |
||||||||||||||||||||
Total assets |
$ | $ | $ | $ | $ | |||||||||||||||
(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. |
(2) |
Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities. |
December 31, 2021 |
||||||||||||||||||||
(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 |
$ | $ | $ | $ | $ | |||||||||||||||
State and political subdivisions |
||||||||||||||||||||
Non-U.S. government |
||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||
Utilities |
||||||||||||||||||||
Energy |
||||||||||||||||||||
Finance and insurance |
||||||||||||||||||||
Consumer—non-cyclical |
||||||||||||||||||||
Technology and communications |
||||||||||||||||||||
Industrial |
||||||||||||||||||||
Capital goods |
||||||||||||||||||||
Consumer—cyclical |
||||||||||||||||||||
Transportation |
||||||||||||||||||||
Other |
||||||||||||||||||||
Total U.S. corporate |
||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||
Utilities |
||||||||||||||||||||
Energy |
||||||||||||||||||||
Finance and insurance |
||||||||||||||||||||
Consumer—non-cyclical |
||||||||||||||||||||
Technology and communications |
||||||||||||||||||||
Industrial |
||||||||||||||||||||
Capital goods |
||||||||||||||||||||
Consumer—cyclical |
||||||||||||||||||||
Transportation |
||||||||||||||||||||
Other |
||||||||||||||||||||
Total non-U.S. corporate |
||||||||||||||||||||
Residential mortgage-backed |
||||||||||||||||||||
Commercial mortgage-backed |
||||||||||||||||||||
Other asset-backed |
||||||||||||||||||||
Total fixed maturity securities |
||||||||||||||||||||
Equity securities |
||||||||||||||||||||
Limited partnerships |
||||||||||||||||||||
Other invested assets: |
||||||||||||||||||||
Derivative assets: |
||||||||||||||||||||
Interest rate swaps |
||||||||||||||||||||
Foreign currency swaps |
||||||||||||||||||||
Equity index options |
||||||||||||||||||||
Other foreign currency contracts |
||||||||||||||||||||
Total derivative assets |
||||||||||||||||||||
Short-term investments |
||||||||||||||||||||
Total other invested assets |
||||||||||||||||||||
Reinsurance recoverable (2) |
||||||||||||||||||||
Separate account assets |
||||||||||||||||||||
Total assets |
$ | $ | $ | $ | $ | |||||||||||||||
(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. |
(2) |
Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities. |
Beginning balance as of January 1, 2022 |
Total realized and unrealized gains (losses) |
Ending balance as of March 31, 2022 |
Total gains (losses) attributable to assets still held |
|||||||||||||||||||||||||||||||||||||||||||||
(Amounts in millions) |
Included in net income |
Included in OCI |
Purchases |
Sales |
Issuances |
Settlements |
Transfer into Level 3 (1) |
Transfer out of Level 3 (1 ) |
Included in net income |
Included in OCI |
||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||||||||||||||
State and political subdivisions |
$ | $ | $ | ( |
) | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( |
) | ||||||||||||||||||||||||||||||||
Non-U.S. government |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Total U.S. corporate |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Total non-U.S. corporate |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Total fixed maturity securities |
( |
) | ( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||
Equity securities |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Limited partnerships |
||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Equity index options |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Total derivative assets |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Total other invested assets |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Reinsurance recoverable (2) |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Total Level 3 assets |
$ | $ | ( |
) | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||||||||||||||||||
(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. |
(2) |
Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities. |
Beginning balance as of January 1, 2021 |
Total realized and unrealized gains (losses) |
Ending balance as of March 31, 2021 |
Total gains (losses) attributable to assets still held |
|||||||||||||||||||||||||||||||||||||||||||||
(Amounts in millions) |
Included in net income |
Included in OCI |
Purchases |
Sales |
Issuances |
Settlements |
Transfer into Level 3 (1) |
Transfer out of Level 3 (1) |
Included in net income |
Included in OCI |
||||||||||||||||||||||||||||||||||||||
Fixed maturity securities: |
||||||||||||||||||||||||||||||||||||||||||||||||
State and political subdivisions |
$ | $ | $ | $ | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||
U.S. corporate: |
||||||||||||||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Technology and communications |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Industrial |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total U.S. corporate |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Non-U.S. corporate: |
||||||||||||||||||||||||||||||||||||||||||||||||
Utilities |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Energy |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Finance and insurance |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Consumer—non-cyclical |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Technology and communications |
||||||||||||||||||||||||||||||||||||||||||||||||
Industrial |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Capital goods |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Consumer—cyclical |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
Transportation |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Other |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total non-U.S. corporate |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Residential mortgage-backed |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Commercial mortgage-backed |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
Other asset-backed |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total fixed maturity securities |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Equity securities |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Limited partnerships |
||||||||||||||||||||||||||||||||||||||||||||||||
Other invested assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets: |
||||||||||||||||||||||||||||||||||||||||||||||||
Equity index options |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total derivative assets |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total other invested assets |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Reinsurance recoverable (2) |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Level 3 assets |
$ | $ | ( |
) | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
(2) |
Represents embedded derivatives associated with the reinsured portion of our GMWB liabilities. |
(Amounts in millions) |
2022 |
2021 |
||||||
Total realized and unrealized gains (losses) included in net income: |
||||||||
Net investment income |
$ | $ | ||||||
Net investment gains (losses) |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total |
$ | ( |
) | $ | ( |
) | ||
|
|
|
|
|||||
Net gains (losses) included in net income attributable to assets still held: |
||||||||
Net investment income |
$ | $ | ||||||
Net investment gains (losses) |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total |
$ | ( |
) | $ | ( |
) | ||
|
|
|
|
(Amounts in millions) |
Valuation technique |
Fair value |
Unobservable input |
Range |
Weighted-average (1) | |||||||
Fixed maturity securities: |
||||||||||||
U.S. corporate: |
||||||||||||
Utilities |
$ |
Credit spreads |
||||||||||
Energy |
Credit spreads |
|||||||||||
Finance and insurance |
Credit spreads |
|||||||||||
Consumer—non-cyclical |
Credit spreads |
|||||||||||
Technology and communications |
Credit spreads |
|||||||||||
Industrial |
Credit spreads |
|||||||||||
Capital goods |
Credit spreads |
|||||||||||
Consumer—cyclical |
Credit spreads |
|||||||||||
Transportation |
Credit spreads |
|||||||||||
Other |
Credit spreads |
|||||||||||
Total U.S. corporate |
$ |
Credit spreads |
||||||||||
Non-U.S. corporate: |
||||||||||||
Utilities |
$ |
Credit spreads |
||||||||||
Energy |
Credit spreads |
|||||||||||
Finance and insurance |
Credit spreads |
|||||||||||
Consumer—non-cyclical |
Credit spreads |
|||||||||||
Technology and communications |
Credit spreads |
|||||||||||
Industrial |
Credit spreads |
|||||||||||
Capital goods |
Credit spreads |
|||||||||||
Consumer—cyclical |
Credit spreads |
|||||||||||
Transportation |
Credit spreads |
|||||||||||
Other |
Credit spreads |
|||||||||||
Total non-U.S. corporate |
$ |
Credit spreads |
||||||||||
Derivative assets: |
||||||||||||
Equity index options |
$ |
Equity index volatility |
(1) |
Unobservable inputs weighted by the relative fair value of the associated instrument for fixed maturity securities and by notional for derivative assets. |
March 31, 2022 |
||||||||||||||||
(Amounts in millions) |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Liabilities |
||||||||||||||||
Policyholder account balances: |
||||||||||||||||
GMWB embedded derivatives (1) |
$ | $ | $ | $ | ||||||||||||
Fixed index annuity embedded derivatives |
||||||||||||||||
Indexed universal life embedded derivatives |
||||||||||||||||
Total policyholder account balances |
||||||||||||||||
Derivative liabilities: |
||||||||||||||||
Interest rate swaps |
||||||||||||||||
Foreign currency swaps |
||||||||||||||||
Total derivative liabilities |
||||||||||||||||
Total liabilities |
$ | $ | $ | $ | ||||||||||||
(1) |
Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
December 31, 2021 |
||||||||||||||||
(Amounts in millions) |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||
Liabilities |
||||||||||||||||
Policyholder account balances: |
||||||||||||||||
GMWB embedded derivatives (1) |
$ | $ | $ | $ | ||||||||||||
Fixed index annuity embedded derivatives |
||||||||||||||||
Indexed universal life embedded derivatives |
||||||||||||||||
Total policyholder account balances |
||||||||||||||||
Derivative liabilities: |
||||||||||||||||
Interest rate swaps |
||||||||||||||||
Total derivative liabilities |
||||||||||||||||
Total liabilities |
$ | $ | $ | $ | ||||||||||||
(1) |
Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
Beginning balance as of January 1, 2022 |
Total realized and unrealized (gains) losses |
Ending balance as of March 31, 2022 |
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: |
||||||||||||||||||||||||||||||||||||||||||||||||
GMWB embedded derivatives (1) |
$ | $ | ( |
) | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( |
) | $ | ||||||||||||||||||||||||||||||||
Fixed index annuity embedded derivatives |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
Indexed universal life embedded derivatives |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total policyholder account balances |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Level 3 liabilities |
$ | $ | ( |
) | $ | $ | $ | $ | $ | ( |
) | $ | $ | ( |
) | $ | $ | ( |
) | $ | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
Beginning balance as of January 1, 2021 |
Total realized and unrealized (gains) losses |
Ending balance as of March 31, 2021 |
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: |
||||||||||||||||||||||||||||||||||||||||||||||||
GMWB embedded derivatives (1) |
$ | $ | ( |
) | $ | $ | $ | $ | $ | $ | $ | $ | $ | ( |
) | $ | ||||||||||||||||||||||||||||||||
Fixed index annuity embedded derivatives |
( |
) | ||||||||||||||||||||||||||||||||||||||||||||||
Indexed universal life embedded derivatives |
( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total policyholder account balances |
( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Level 3 liabilities |
$ | $ | ( |
) | $ | $ | $ | $ | $ | ( |
) | $ | $ | $ | $ | ( |
) | $ | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. |
(Amounts in millions) |
2022 |
2021 |
||||||
Total realized and unrealized (gains) losses included in net (income): |
||||||||
Net investment income |
$ | $ | ||||||
Net investment (gains) losses |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total |
$ | ( |
) | $ | ( |
) | ||
|
|
|
|
|||||
Total (gains) losses included in net (income) attributable to liabilities still held: |
||||||||
Net investment income |
$ | $ | ||||||
Net investment (gains) losses |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total |
$ | ( |
) | $ | ( |
) | ||
|
|
|
|
(Amounts in millions) |
Valuation technique |
Fair value |
Unobservable input |
Range |
Weighted-average (1) |
|||||||||||||||
Policyholder account balances: |
||||||||||||||||||||
Withdrawal utilization rate |
||||||||||||||||||||
Lapse rate |
||||||||||||||||||||
|
Non-performance risk (credit spreads) |
|
||||||||||||||||||
GMWB embedded derivatives (2) |
Stochastic cash flow model |
$ |
Equity index volatility |
|||||||||||||||||
Fixed index annuity embedded derivatives |
Option budget method |
$ |
Expected future interest credited |
|||||||||||||||||
Indexed universal life embedded derivatives |
Option budget method |
$ |
Expected future interest credited |
(1) |
Unobservable inputs weighted by the policyholder account balances associated with the instrument. |
(2) |
Represents embedded derivatives associated with our GMWB liabilities, excluding the impact of reinsurance. The unobservable inputs associated with GMWB embedded derivatives are not interrelated and therefore, a directional change in one input will not affect the other inputs. |
March 31, 2022 |
||||||||||||||||||||||||
Notional amount |
Carrying amount |
Fair value |
||||||||||||||||||||||
(Amounts in millions) |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Commercial mortgage loans, net |
(1) |
$ | $ | $ | $ | $ | ||||||||||||||||||
Bank loan investments |
(1) |
|||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||
Long-term borrowings |
(1) |
|||||||||||||||||||||||
Investment contracts |
(1) |
|||||||||||||||||||||||
Other firm commitments: |
||||||||||||||||||||||||
Commitments to fund bank loan investments |
||||||||||||||||||||||||
Ordinary course of business lending commitments |
(1) |
These financial instruments do not have notional amounts. |
December 31, 2021 |
||||||||||||||||||||||||
Notional amount |
Carrying amount |
Fair value |
||||||||||||||||||||||
(Amounts in millions) |
Total |
Level 1 |
Level 2 |
Level 3 |
||||||||||||||||||||
Assets: |
||||||||||||||||||||||||
Commercial mortgage loans, net |
(1) |
$ | $ | $ | $ | $ | ||||||||||||||||||
Bank loan investments |
(1) |
|||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||
Long-term borrowings |
(1) |
|||||||||||||||||||||||
Investment contracts |
(1) |
|||||||||||||||||||||||
Other firm commitments: |
||||||||||||||||||||||||
Commitments to fund bank loan investments |
||||||||||||||||||||||||
Ordinary course of business lending commitments |
(1) |
These financial instruments do not have notional amounts. |