10-Q

Large accelerated filer

Accelerated filer

Non-accelerated filer

Smaller reporting company

Emerging growth company

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☒	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2024

☐	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from

Commission file number 001-32195

GENWORTH FINANCIAL, INC.

(Exact name of registrant as specified in its charter)


Delaware		80-0873306
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification Number)

11011 West Broad Street Glen Allen, Virginia		23060
(Address of principal executive offices)		(Zip Code)

(804) 281-6000

(Registrant’s telephone number, including area code)

6620 West Broad Street, Richmond, Virginia 23230

(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:


Title of Each Class	Trading Symbol	Name of each exchange on which registered
Class A Common Stock, par value $.001 per share	GNW	New York Stock Exchange

Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

As of April

, 2024, 437,721,371 shares of Class A Common Stock, par value $0.001 per share, were outstanding.

PART I—FINANCIAL INFORMATION

Item 1.

Financial Statements

GENWORTH FINANCIAL, INC.

CONDENSED CONSOLIDATED BALANCE SHEETS

(Amounts in millions, except par value and share amounts)


	March 31, 2024			December 31, 2023
	(Unaudited)
Assets
Investments:
Fixed maturity securities available-for-sale, at fair value (amortized cost of $49,281 and $49,365, respectively, and allowance for credit losses of $7 as of March 31, 2024 and December 31, 2023)	$	46,065		$	46,781
Equity securities, at fair value		427			396
Commercial mortgage loans (net of unamortized balance of loan origination fees and costs of $4 as of March 31, 2024 and December 31, 2023)		6,748			6,829
Less: Allowance for credit losses		(29	)		(27	)

Commercial mortgage loans, net		6,719			6,802
Policy loans		2,219			2,220
Limited partnerships		2,949			2,821
Other invested assets		683			731

Total investments		59,062			59,751
Cash, cash equivalents and restricted cash		1,952			2,215
Accrued investment income		707			647
Deferred acquisition costs		1,934			1,988
Intangible assets		197			198
Reinsurance recoverable		18,315			19,054
Less: Allowance for credit losses		(27	)		(29	)

Reinsurance recoverable, net		18,288			19,025
Other assets		516			489
Deferred tax asset		1,839			1,952
Market risk benefit assets		52			43
Separate account assets		4,645			4,509

Total assets	$	89,192		$	90,817

Liabilities and equity
Liabilities:
Future policy benefits	$	55,545		$	57,655
Policyholder account balances		15,315			15,540
Market risk benefit liabilities		528			625
Liability for policy and contract claims		673			652
Unearned premiums		139			149
Other liabilities		1,889			1,768
Long-term borrowings		1,579			1,584
Separate account liabilities		4,645			4,509

Total liabilities		80,313			82,482

Commitments and contingencies (Note 16)
Equity:
Class A common stock, $0.001 par value; 1,500,000,000 shares authorized; 606,168,754 and 603,151,611 shares issued as of March 31, 2024 and December 31, 2023, respectively; 439,599,677 and 446,823,204 shares outstanding as of March 31, 2024 and December 31, 2023, respectively		1			1
Additional paid-in capital		11,873			11,884
Accumulated other comprehensive income (loss)		(2,094	)		(2,555	)
Retained earnings		1,352			1,213
Treasury stock, at cost (166,569,077 and 156,328,407 shares as of March 31, 2024 and December 31, 2023, respectively)		(3,126	)		(3,063	)

Total Genworth Financial, Inc.’s stockholders’ equity		8,006			7,480
Noncontrolling interests		873			855

Total equity		8,879			8,335

Total liabilities and equity	$	89,192		$	90,817

See Notes to Condensed Consolidated Financial Statements

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GENWORTH FINANCIAL, INC.

CONDENSED CONSOLIDATED STATEMENTS OF INCOME

(Amounts in millions, except per share amounts)

(Unaudited)


	Three months ended March 31,
	2024			2023
Revenues:
Premiums	$	875		$	915
Net investment income		782			787
Net investment gains (losses)		49			(11	)
Policy fees and other income		158			163

Total revenues		1,864			1,854

Benefits and expenses:
Benefits and other changes in policy reserves		1,203			1,176
Liability remeasurement (gains) losses		(8	)		(15	)
Changes in fair value of market risk benefits and associated hedges		(23	)		17
Interest credited		125			126
Acquisition and operating expenses, net of deferrals		236			240
Amortization of deferred acquisition costs and intangibles		65			72
Interest expense		30			29

Total benefits and expenses		1,628			1,645

Income from continuing operations before income taxes		236			209
Provision for income taxes		66			55

Income from continuing operations		170			154
Loss from discontinued operations, net of taxes		(1	)		—

Net income		169			154
Less: net income attributable to noncontrolling interests		30			32

Net income available to Genworth Financial, Inc.’s common stockholders	$	139		$	122

Income from continuing operations available to Genworth Financial, Inc.’s common stockholders per share:
Basic	$	0.32		$	0.25

Diluted	$	0.31		$	0.24

Net income available to Genworth Financial, Inc.’s common stockholders per share:
Basic	$	0.31		$	0.25

Diluted	$	0.31		$	0.24

Weighted-average common shares outstanding:
Basic		443.0			492.3

Diluted		450.3			500.1

See Notes to Condensed Consolidated Financial Statements

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GENWORTH FINANCIAL, INC.

CONDENSED CONSOLIDATED STATEMENTS OF CHANGES IN EQUITY

(Amounts in millions)

(Unaudited)


	Three months ended March 31, 2024
	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
Balances as of December 31, 2023	$	1	$	11,884		$	(2,555	)	$	1,213	$	(3,063	)	$	7,480		$	855		$	8,335
Repurchase of subsidiary shares		—		—			—			—		—			—			(9	)		(9	)
Comprehensive income (loss):
Net income		—		—			—			139		—			139			30			169
Other comprehensive income (loss), net of taxes		—		—			461			—		—			461			(1	)		460

Total comprehensive income															600			29			629
Treasury stock acquired in connection with share repurchases		—		—			—			—		(63	)		(63	)		—			(63	)
Dividends to noncontrolling interests		—		—			—			—		—			—			(5	)		(5	)
Stock-based compensation expense and exercises and other		—		(11	)		—			—		—			(11	)		3			(8	)

Balances as of March 31, 2024	$	1	$	11,873		$	(2,094	)	$	1,352	$	(3,126	)	$	8,006		$	873		$	8,879


	Three months ended March 31, 2023
	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
Balances as of December 31, 2022	$	1	$	11,869		$	(2,614	)	$	1,139	$	(2,764	)	$	7,631		$	755		$	8,386
Repurchase of subsidiary shares		—		—			—			—		—			—			(4	)		(4	)
Comprehensive income (loss):
Net income		—		—			—			122		—			122			32			154
Other comprehensive income (loss), net of taxes		—		—			(239	)		—		—			(239	)		12			(227	)

Total comprehensive income (loss)															(117	)		44			(73	)
Treasury stock acquired in connection with share repurchases		—		—			—			—		(69	)		(69	)		—			(69	)
Dividends to noncontrolling interests		—		—			—			—		—			—			(4	)		(4	)
Stock-based compensation expense and exercises and other		—		(6	)		—			—		—			(6	)		2			(4	)

Balances as of March 31, 2023	$	1	$	11,863		$	(2,853	)	$	1,261	$	(2,833	)	$	7,439		$	793		$	8,232

See Notes to Condensed Consolidated Financial Statements

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GENWORTH FINANCIAL, INC.

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS

(Amounts in millions)

(Unaudited)


	Three months ended March 31,
	2024			2023
Cash flows from (used by) operating activities:
Net income	$	169		$	154
Less loss from discontinued operations, net of taxes		1			—
Adjustments to reconcile net income to net cash from (used by) operating activities:
Amortization of fixed maturity securities discounts and premiums		(23	)		(25	)
Net investment (gains) losses		(49	)		11
Changes in fair value of market risk benefits and associated hedges		(23	)		17
Charges assessed to policyholders		(139	)		(144	)
Amortization of deferred acquisition costs and intangibles		65			72
Deferred income taxes		(1	)		53
Derivative instruments, limited partnerships and other		(138	)		(84	)
Long-term incentive compensation expense		14			15
Change in certain assets and liabilities:
Accrued investment income and other assets		(68	)		(73	)
Insurance reserves		140			191
Current tax liabilities		67			2
Other liabilities, policy and contract claims and other policy-related balances		(122	)		(171	)
Cash used by operating activities—discontinued operations		—			(1	)

Net cash from (used by) operating activities		(107	)		17

Cash flows from (used by) investing activities:
Proceeds from maturities and repayments of investments:
Fixed maturity securities		649			613
Commercial mortgage loans		127			154
Limited partnerships and other invested assets		59			31
Proceeds from sales of investments:
Fixed maturity and equity securities		635			441
Purchases and originations of investments:
Fixed maturity and equity securities		(1,157	)		(685	)
Commercial mortgage loans		(45	)		(37	)
Limited partnerships and other invested assets		(125	)		(164	)
Short-term investments, net		17			1
Policy loans, net		—			10
Other		(17	)		—

Net cash from investing activities		143			364

Cash flows from (used by) financing activities:
Deposits to universal life and investment contracts		133			148
Withdrawals from universal life and investment contracts		(317	)		(491	)
Repayment and repurchase of long-term debt		(6	)		(11	)
Repurchase of subsidiary shares		(9	)		(4	)
Treasury stock acquired in connection with share repurchases		(63	)		(68	)
Dividends paid to noncontrolling interests		(5	)		(4	)
Other, net		(32	)		2

Net cash used by financing activities		(299	)		(428	)

Net change in cash, cash equivalents and restricted cash		(263	)		(47	)
Cash, cash equivalents and restricted cash at beginning of period		2,215			1,799

Cash, cash equivalents and restricted cash at end of period	$	1,952		$	1,752

See Notes to Condensed Consolidated Financial Statements

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

(1) Business and Basis of Presentation

Genworth Holdings, Inc. (“Genworth Holdings”) (formerly known as Genworth Financial, Inc.) was incorporated in Delaware in 2003 in preparation for an initial public offering of its common stock, which was completed on May 28, 2004. On April 1, 2013, Genworth Holdings completed a holding company reorganization pursuant to which Genworth Holdings became a direct, 100% owned subsidiary of a new public holding company that it had formed. The new public holding company was incorporated in Delaware on December 5, 2012, in connection with the reorganization, and was renamed Genworth Financial, Inc. (“Genworth Financial”) upon the completion of the reorganization.

The accompanying unaudited condensed financial statements include on a consolidated basis the accounts of Genworth Financial and its affiliate companies in which it holds a majority voting interest or power to direct activities of certain variable interest entities, which on a consolidated basis is referred to as “Genworth,” the “Company,” “we,” “us” or “our” unless the context otherwise requires. All intercompany accounts and transactions have been eliminated in consolidation. References to “Genworth Financial” refer solely to Genworth Financial, Inc., and not to any of its consolidated subsidiaries.

We operate our business through the following three operating segments:

•

Enact

. Enact Holdings, Inc. (“Enact Holdings”) comprises our Enact segment. Through Enact Holdings’ mortgage insurance subsidiaries, we offer private mortgage insurance products predominantly insuring prime-based, individually underwritten residential mortgage loans at specified coverage percentages (“primary mortgage insurance”). Enact Holdings also selectively enters into insurance transactions with lenders and investors, under which it insures a portfolio of loans at or after origination (“pool mortgage insurance”).

•

Long-Term Care Insurance.

Through our principal U.S. life insurance subsidiaries, we offer long-term care insurance products in the United States. Long-term care insurance products are intended to protect against the significant and escalating costs of long-term care services provided in the insured’s home or assisted living or nursing facilities.

•

Life and Annuities.

We service a variety of protection and retirement income products through our principal U.S. life insurance subsidiaries that are not actively marketed or sold. These products include traditional and non-traditional life insurance (term, universal and term universal life insurance as well as corporate-owned life insurance and funding agreements), fixed annuities and variable annuities.

In addition to our three operating segments, we also have Corporate and Other, which includes debt financing expenses that are incurred at the Genworth Holdings level, unallocated corporate income and expenses, eliminations of inter-segment transactions and the results of other businesses that are reported outside of our operating segments, such as certain international businesses and start-up results of our CareScout business related to our senior care growth initiatives.

The accompanying condensed consolidated financial statements are unaudited and have been prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and rules and regulations of the U.S. Securities and Exchange Commission (“SEC”). Preparing financial statements in conformity with U.S. GAAP requires us to make estimates and assumptions that affect reported amounts and related disclosures. Actual results could differ from those estimates. These unaudited condensed consolidated financial statements include all adjustments (including normal recurring adjustments) considered necessary by management to present a fair statement of the financial position, results of operations and cash flows for the periods presented. The

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

results reported in these unaudited condensed consolidated financial statements should not be regarded as necessarily indicative of results that may be expected for the entire year. The unaudited condensed consolidated financial statements included herein should be read in conjunction with the audited consolidated financial statements and related notes contained in our 2023 Annual Report on Form 10-K. Certain prior year amounts have been reclassified to conform to the current year presentation.

On July 31, 2023, Genworth Financial’s Board of Directors authorized an additional $350 million of share repurchases under the existing share repurchase program that began in May 2022. Pursuant to the program, during the three months ended March 31, 2024, Genworth Financial repurchased 10,240,670 shares of its common stock at an average price of $6.17 per share for a total cost of $63 million, including excise taxes and other costs paid in connection with acquiring the shares. The repurchased shares were recorded at cost and presented as treasury stock in a separate caption in equity in our condensed consolidated balance sheets. Genworth Financial also authorized repurchases under the share repurchase program through a Rule 10b5-1 trading plan under which 1,933,444 shares of its common stock were repurchased in April 2024 at an average price of $6.21 per share for a total of $12 million, leaving approximately $266 million remaining authorization under the share repurchase program as of April 30, 2024. Under the program, share repurchases may be made at Genworth’s discretion from time to time in open market transactions, privately negotiated transactions, or other means, including through Rule 10b5-1 trading plans. The timing and number of future shares repurchased under the share repurchase program will depend on a variety of factors, including Genworth Financial’s stock price and trading volume, and general business and market conditions, among other factors. The authorization has no expiration date and may be modified, suspended or terminated at any time.

(2) Accounting Changes

Accounting Pronouncements Recently Adopted

On January 1, 2024, we adopted new accounting guidance issued by the Financial Accounting Standards Board (the “FASB”) related to the fair value measurement of equity securities subject to contractual sale restrictions. The guidance clarifies existing fair value guidance on measuring the fair value of an equity security subject to contractual sale restrictions and adds new disclosures related to these securities. We adopted this guidance using the prospective method, which did not have any impact on our condensed consolidated financial statements and disclosures.

Accounting Pronouncements Not Yet Adopted

In December 2023, the FASB issued new accounting guidance to improve income tax disclosures. The guidance requires annual disclosure of specific categories in the income tax rate reconciliation, separate disclosure of additional information related to reconciling items that meet a quantitative threshold and additional disclosures about income taxes paid, among other qualitative and quantitative disclosure improvements. This guidance is effective for us for annual reporting periods beginning on January 1, 2025 using the prospective method, with early adoption permitted, which we do not intend to elect. We are currently evaluating the impact the guidance may have on our processes, controls and disclosures.

In November 2023, the FASB issued new accounting guidance to improve segment reporting. The guidance requires annual and interim disclosure of significant segment expenses regularly provided to the Chief Operating Decision Maker (“CODM”) and other segment items. The guidance also requires disclosures about a segment’s profit or loss and assets, currently only required annually, to be disclosed on an interim basis. Under the new

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

accounting guidance, public entities may disclose multiple measures of a segment’s profit or loss, as long as all disclosed measures are used by the CODM for purposes of assessing performance and allocating resources and at least one of the reported measures is that which management believes to be most consistent with U.S. GAAP measurement principles. This guidance is effective for us for annual reporting periods beginning on January 1, 2024 and interim reporting periods beginning on January 1, 2025 using the retrospective method, with early adoption permitted, which we do not intend to elect. We are currently evaluating the impact the guidance may have on our processes and disclosures.

(3) Earnings Per Share

Basic and diluted earnings per share are calculated by dividing each income (loss) category presented below by the weighted-average basic and diluted common shares outstanding for the periods indicated:


	Three months ended March 31,
(Amounts in millions, except per share amounts)	2024			2023
Weighted-average common shares used in basic earnings per share calculations		443.0			492.3
Potentially dilutive securities:
Performance stock units, restricted stock units and other equity-based awards		7.3			7.8

Weighted-average common shares used in diluted earnings per share calculations		450.3			500.1

Income from continuing operations:
Income from continuing operations	$	170		$	154
Less: net income from continuing operations attributable to noncontrolling interests		30			32

Income from continuing operations available to Genworth Financial, Inc.’s common stockholders	$	140		$	122

Basic per share	$	0.32		$	0.25

Diluted per share	$	0.31		$	0.24

Loss from discontinued operations:
Loss from discontinued operations, net of taxes	$	(1	)	$	—

Basic per share	$	—		$	—

Diluted per share	$	—		$	—

Net income:
Income from continuing operations	$	170		$	154
Loss from discontinued operations, net of taxes		(1	)		—

Net income		169			154
Less: net income attributable to noncontrolling interests		30			32

Net income available to Genworth Financial, Inc.’s common stockholders	$	139		$	122

Basic per share (1)	$	0.31		$	0.25

Diluted per share	$	0.31		$	0.24

(1)	May not total due to whole number calculation.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

(4) Investments

(a) Net Investment Income

Sources of net investment income were as follows for the periods indicated:


	Three months ended March 31,
(Amounts in millions)	2024			2023

Fixed maturity securities—taxable	$	554		$	561
Fixed maturity securities—non-taxable		1			1
Equity securities		2			2
Commercial mortgage loans		75			76
Policy loans		58			55
Limited partnerships		20			28
Other invested assets		68			68
Cash, cash equivalents, restricted cash and short-term investments		27			18

Gross investment income before expenses and fees		805			809
Expenses and fees		(23	)		(22	)

Net investment income	$	782		$	787

(b) Net Investment Gains (Losses)

The following table sets forth net investment gains (losses) for the periods indicated:


	Three months ended March 31,
(Amounts in millions)	2024			2023

Realized investment gains (losses):

Available-for-sale fixed maturity securities:
Realized gains	$	7		$	3
Realized losses		(29	)		(19	)

Net realized gains (losses) on available-for-sale fixed maturity securities		(22	)		(16	)
Net realized gains (losses) on equity securities sold		—			—

Total net realized investment gains (losses)		(22	)		(16	)

Net change in allowance for credit losses on available-for-sale fixed maturity securities		—			(15	)
Net unrealized gains (losses) on equity securities still held		32			11
Net unrealized gains (losses) on limited partnerships		43			—
Commercial mortgage loans		(2	)		(2	)
Derivative instruments (1)		1			12
Other		(3	)		(1	)

Net investment gains (losses)	$	49		$	(11	)

(1)	See note 5 for additional information on the impact of derivative instruments included in net investment gains (losses).

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

See Note 2—Summary of Significant Accounting Policies included in the Notes to Consolidated Financial Statements in our 2023 Annual Report on Form 10-K for a discussion of our policy for evaluating and measuring the allowance for credit losses related to our available-for-sale fixed maturity securities. The following table represents the allowance for credit losses aggregated by security type for available-for-sale fixed maturity securities as of and for the three months ended March 31, 2024:


(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:
Commercial mortgage-backed	$	7	$	—	$	—	$	—	$	—	$	—	$	—	$	7

Total available-for-sale fixed maturity securities	$	7	$	—	$	—	$	—	$	—	$	—	$	—	$	7

The following table represents the allowance for credit losses aggregated by security type for available-for-sale fixed maturity securities as of and for the three months ended March 31, 2023:


(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:
U.S. corporate	$	—	$	9	$	—	$	—	$	—	$	—	$	—	$	9
Commercial mortgage-backed		—		6		—		—		—		—		—		6

Total available-for-sale fixed maturity securities	$	—	$	15	$	—	$	—	$	—	$	—	$	—	$	15

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

Net unrealized gains and losses on available-for-sale investment securities reflected as a separate component of accumulated other comprehensive income (loss) were as follows as of the dates indicated:


(Amounts in millions)	March 31, 2024			December 31, 2023

Net unrealized gains (losses) on fixed maturity securities without an allowance for credit losses	$	(3,209	)	$	(2,577	)
Net unrealized gains (losses) on fixed maturity securities with an allowance for credit losses		—			—
Adjustments to policyholder contract balances		66			52
Income taxes, net		484			352

Net unrealized investment gains (losses)		(2,659	)		(2,173	)
Less: net unrealized investment gains (losses) attributable to noncontrolling interests		(44	)		(43	)

Net unrealized investment gains (losses) attributable to Genworth Financial, Inc.	$	(2,615	)	$	(2,130	)

The change in net unrealized gains (losses) on available-for-sale investment securities reported in accumulated other comprehensive income (loss) was as follows as of and for the three months ended March 31:


(Amounts in millions)	2024			2023

Beginning balance	$	(2,130	)	$	(3,407	)
Unrealized gains (losses) arising during the period:
Unrealized gains (losses) on fixed maturity securities		(654	)		1,170
Adjustments to policyholder contract balances (1)		14			(19	)
Provision for income taxes		137			(245	)

Change in unrealized gains (losses) on investment securities		(503	)		906
Reclassification adjustments to net investment (gains) losses, net of taxes of $(5) and $(3)		17			13

Change in net unrealized investment gains (losses)		(486	)		919
Less: change in net unrealized investment gains (losses) attributable to noncontrolling interests		(1	)		12

Ending balance	$	(2,615	)	$	(2,500	)

(1)	See note 10 for additional information.

Amounts reclassified out of accumulated other comprehensive income (loss) to net investment gains (losses) include realized gains (losses) on sales of securities, which are determined on a specific identification basis.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

(d) Fixed Maturity Securities

As of March 31, 2024, the amortized cost or cost, gross unrealized gains (losses), allowance for credit losses and fair value of our fixed maturity securities classified as available-for-sale were as follows:


(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	$	3,648	$	67	$	(255	)	$	—		$	3,460
State and political subdivisions		2,517		16		(267	)		—			2,266
Non-U.S. government		701		13		(101	)		—			613
U.S. corporate:
Utilities		4,609		68		(400	)		—			4,277
Energy		2,468		55		(153	)		—			2,370
Finance and insurance		7,776		76		(685	)		—			7,167
Consumer—non-cyclical		4,740		90		(324	)		—			4,506
Technology and communications		3,062		58		(277	)		—			2,843
Industrial		1,240		18		(98	)		—			1,160
Capital goods		2,238		48		(142	)		—			2,144
Consumer—cyclical		1,695		19		(111	)		—			1,603
Transportation		1,126		33		(79	)		—			1,080
Other		299		2		(14	)		—			287

Total U.S. corporate		29,253		467		(2,283	)		—			27,437

Non-U.S. corporate:
Utilities		738		1		(62	)		—			677
Energy		1,002		28		(50	)		—			980
Finance and insurance		2,015		39		(141	)		—			1,913
Consumer—non-cyclical		679		5		(70	)		—			614
Technology and communications		925		8		(72	)		—			861
Industrial		879		13		(50	)		—			842
Capital goods		586		6		(43	)		—			549
Consumer—cyclical		260		2		(17	)		—			245
Transportation		427		13		(27	)		—			413
Other		740		14		(46	)		—			708

Total non-U.S. corporate		8,251		129		(578	)		—			7,802

Residential mortgage-backed		930		4		(58	)		—			876
Commercial mortgage-backed		1,613		1		(286	)		(7	)		1,321
Other asset-backed		2,368		7		(85	)		—			2,290

Total available-for-sale fixed maturity securities	$	49,281	$	704	$	(3,913	)	$	(7	)	$	46,065

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

As of December 31, 2023, the amortized cost or cost, gross unrealized gains (losses), allowance for credit losses and fair value of our fixed maturity securities classified as available-for-sale were as follows:


(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	$	3,588	$	121	$	(215	)	$	—		$	3,494
State and political subdivisions		2,537		24		(259	)		—			2,302
Non-U.S. government		703		15		(92	)		—			626
U.S. corporate:
Utilities		4,521		104		(352	)		—			4,273
Energy		2,449		66		(143	)		—			2,372
Finance and insurance		7,813		99		(634	)		—			7,278
Consumer—non-cyclical		4,648		129		(272	)		—			4,505
Technology and communications		3,187		75		(239	)		—			3,023
Industrial		1,294		27		(88	)		—			1,233
Capital goods		2,230		69		(118	)		—			2,181
Consumer—cyclical		1,715		30		(96	)		—			1,649
Transportation		1,187		44		(69	)		—			1,162
Other		316		6		(13	)		—			309

Total U.S. corporate		29,360		649		(2,024	)		—			27,985

Non-U.S. corporate:
Utilities		739		1		(55	)		—			685
Energy		1,038		34		(45	)		—			1,027
Finance and insurance		2,041		47		(140	)		—			1,948
Consumer—non-cyclical		669		8		(61	)		—			616
Technology and communications		944		12		(65	)		—			891
Industrial		829		17		(49	)		—			797
Capital goods		591		8		(38	)		—			561
Consumer—cyclical		236		2		(17	)		—			221
Transportation		369		15		(20	)		—			364
Other		726		18		(43	)		—			701

Total non-U.S. corporate		8,182		162		(533	)		—			7,811

Residential mortgage-backed		953		8		(54	)		—			907
Commercial mortgage-backed		1,714		1		(290	)		(7	)		1,418
Other asset-backed		2,328		6		(96	)		—			2,238

Total available-for-sale fixed maturity securities	$	49,365	$	986	$	(3,563	)	$	(7	)	$	46,781

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following table presents the gross unrealized losses and fair values of our fixed maturity securities for which an allowance for credit losses had not been recorded, aggregated by investment type and length of time that individual fixed maturity securities had been in a continuous unrealized loss position, as of March 31, 2024:


	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	$	280	$	(4	)		44	$	1,315	$	(251	)		49	$	1,595	$	(255	)		93
State and political subdivisions		222		(3	)		29		1,579		(264	)		265		1,801		(267	)		294
Non-U.S. government		47		(1	)		10		438		(100	)		66		485		(101	)		76
U.S. corporate		2,303		(71	)		328		16,554		(2,212	)		2,120		18,857		(2,283	)		2,448
Non-U.S. corporate		346		(12	)		52		5,099		(566	)		663		5,445		(578	)		715
Residential mortgage-backed		121		(1	)		68		480		(57	)		154		601		(58	)		222
Commercial mortgage-backed		39		(1	)		7		1,261		(285	)		212		1,300		(286	)		219
Other asset-backed		157		(1	)		47		1,403		(84	)		286		1,560		(85	)		333

Total for fixed maturity securities in an unrealized loss position	$	3,515	$	(94	)		585	$	28,129	$	(3,819	)		3,815	$	31,644	$	(3,913	)		4,400

% Below cost:
<20% Below cost	$	3,444	$	(74	)		578	$	24,673	$	(2,606	)		3,355	$	28,117	$	(2,680	)		3,933
20%-50% Below cost		71		(20	)		7		3,456		(1,213	)		460		3,527		(1,233	)		467

Total for fixed maturity securities in an unrealized loss position	$	3,515	$	(94	)		585	$	28,129	$	(3,819	)		3,815	$	31,644	$	(3,913	)		4,400

Investment grade	$	3,451	$	(93	)		574	$	26,926	$	(3,686	)		3,644	$	30,377	$	(3,779	)		4,218
Below investment grade		64		(1	)		11		1,203		(133	)		171		1,267		(134	)		182

Total for fixed maturity securities in an unrealized loss position	$	3,515	$	(94	)		585	$	28,129	$	(3,819	)		3,815	$	31,644	$	(3,913	)		4,400

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following table presents the gross unrealized losses and fair values of our corporate securities for which an allowance for credit losses had not been recorded, aggregated by investment type and length of time that individual investment securities had been in a continuous unrealized loss position, based on industry, as of March 31, 2024:


	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	$	487	$	(7	)		65	$	2,124	$	(393	)		311	$	2,611	$	(400	)		376
Energy		191		(17	)		37		1,278		(136	)		162		1,469		(153	)		199
Finance and insurance		458		(12	)		62		5,080		(673	)		635		5,538		(685	)		697
Consumer—non-cyclical		375		(9	)		52		2,480		(315	)		270		2,855		(324	)		322
Technology and communications		240		(8	)		36		1,981		(269	)		260		2,221		(277	)		296
Industrial		128		(3	)		10		694		(95	)		95		822		(98	)		105
Capital goods		151		(9	)		25		1,145		(133	)		148		1,296		(142	)		173
Consumer—cyclical		169		(4	)		28		1,036		(107	)		145		1,205		(111	)		173
Transportation		104		(2	)		13		593		(77	)		77		697		(79	)		90
Other		—		—			—		143		(14	)		17		143		(14	)		17

Subtotal, U.S. corporate securities		2,303		(71	)		328		16,554		(2,212	)		2,120		18,857		(2,283	)		2,448

Non-U.S. corporate:
Utilities		55		(1	)		3		578		(61	)		65		633		(62	)		68
Energy		47		(1	)		6		483		(49	)		56		530		(50	)		62
Finance and insurance		74		(1	)		19		1,386		(140	)		194		1,460		(141	)		213
Consumer—non-cyclical		48		(3	)		7		452		(67	)		54		500		(70	)		61
Technology and communications		68		(1	)		10		624		(71	)		79		692		(72	)		89
Industrial		—		—			—		442		(50	)		62		442		(50	)		62
Capital goods		—		—			—		360		(43	)		47		360		(43	)		47
Consumer—cyclical		—		—			—		190		(17	)		27		190		(17	)		27
Transportation		54		(5	)		7		214		(22	)		30		268		(27	)		37
Other		—		—			—		370		(46	)		49		370		(46	)		49

Subtotal, non-U.S. corporate securities		346		(12	)		52		5,099		(566	)		663		5,445		(578	)		715

Total for corporate securities in an unrealized loss position	$	2,649	$	(83	)		380	$	21,653	$	(2,778	)		2,783	$	24,302	$	(2,861	)		3,163

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

We did not recognize an allowance for credit losses on securities in an unrealized loss position included in the tables above. Based on a qualitative and quantitative review of the issuers of the securities, we believe the decline in fair value was largely due to increased interest rates and was not indicative of credit losses. The issuers continue to make timely principal and interest payments. For all securities in an unrealized loss position without an allowance for credit losses, we expect to recover the amortized cost based on our estimate of the amount and timing of cash flows to be collected. We do not intend to sell nor do we expect that we will be required to sell these securities prior to recovering our amortized cost.


	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	$	28	$	(1	)		6	$	1,353	$	(214	)		50	$	1,381	$	(215	)		56
State and political subdivisions		121		(2	)		18		1,581		(257	)		268		1,702		(259	)		286
Non-U.S. government		—		—			—		448		(92	)		67		448		(92	)		67
U.S. corporate		1,054		(30	)		142		17,019		(1,994	)		2,164		18,073		(2,024	)		2,306
Non-U.S. corporate		157		(5	)		19		5,180		(528	)		684		5,337		(533	)		703
Residential mortgage-backed		62		(1	)		31		477		(53	)		156		539		(54	)		187
Commercial mortgage-backed		37		(1	)		7		1,349		(289	)		224		1,386		(290	)		231
Other asset-backed		—		—			—		1,624		(96	)		327		1,624		(96	)		327

Total for fixed maturity securities in an unrealized loss position	$	1,459	$	(40	)		223	$	29,031	$	(3,523	)		3,940	$	30,490	$	(3,563	)		4,163

% Below cost:
<20% Below cost	$	1,450	$	(37	)		221	$	26,032	$	(2,509	)		3,542	$	27,482	$	(2,546	)		3,763
20%-50% Below cost		9		(3	)		2		2,999		(1,014	)		398		3,008		(1,017	)		400

Total for fixed maturity securities in an unrealized loss position	$	1,459	$	(40	)		223	$	29,031	$	(3,523	)		3,940	$	30,490	$	(3,563	)		4,163

Investment grade	$	1,441	$	(40	)		221	$	27,804	$	(3,394	)		3,762	$	29,245	$	(3,434	)		3,983
Below investment grade		18		—			2		1,227		(129	)		178		1,245		(129	)		180

Total for fixed maturity securities in an unrealized loss position	$	1,459	$	(40	)		223	$	29,031	$	(3,523	)		3,940	$	30,490	$	(3,563	)		4,163

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)


	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	$	177	$	(2	)		21	$	2,129	$	(350	)		308	$	2,306	$	(352	)		329
Energy		122		(2	)		20		1,343		(141	)		168		1,465		(143	)		188
Finance and insurance		274		(8	)		42		5,192		(626	)		645		5,466		(634	)		687
Consumer—non-cyclical		173		(6	)		18		2,529		(266	)		280		2,702		(272	)		298
Technology and communications		105		(6	)		19		2,100		(233	)		269		2,205		(239	)		288
Industrial		50		(1	)		6		702		(87	)		96		752		(88	)		102
Capital goods		—		—			—		1,193		(118	)		150		1,193		(118	)		150
Consumer—cyclical		88		(1	)		11		1,073		(95	)		148		1,161		(96	)		159
Transportation		65		(4	)		5		621		(65	)		82		686		(69	)		87
Other		—		—			—		137		(13	)		18		137		(13	)		18

Subtotal, U.S. corporate securities		1,054		(30	)		142		17,019		(1,994	)		2,164		18,073		(2,024	)		2,306

Non-U.S. corporate:
Utilities		—		—			—		609		(55	)		68		609		(55	)		68
Energy		39		(1	)		4		487		(44	)		59		526		(45	)		63
Finance and insurance		100		(2	)		10		1,358		(138	)		203		1,458		(140	)		213
Consumer—non-cyclical		—		—			—		471		(61	)		55		471		(61	)		55
Technology and communications		—		—			—		659		(65	)		83		659		(65	)		83
Industrial		18		(2	)		5		436		(47	)		61		454		(49	)		66
Capital goods		—		—			—		384		(38	)		49		384		(38	)		49
Consumer—cyclical		—		—			—		188		(17	)		26		188		(17	)		26
Transportation		—		—			—		216		(20	)		30		216		(20	)		30
Other		—		—			—		372		(43	)		50		372		(43	)		50

Subtotal, non-U.S. corporate securities		157		(5	)		19		5,180		(528	)		684		5,337		(533	)		703

Total for corporate securities in an unrealized loss position	$	1,211	$	(35	)		161	$	22,199	$	(2,522	)		2,848	$	23,410	$	(2,557	)		3,009

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The scheduled maturity distribution of fixed maturity securities as of March 31, 2024 is set forth below. Actual maturities may differ from contractual maturities because issuers of securities may have the right to call or prepay obligations with or without call or prepayment penalties.


(Amounts in millions)	Amortized cost or cost		Fair value

Due one year or less	$	1,311	$	1,298
Due after one year through five years		8,351		8,112
Due after five years through ten years		12,593		11,851
Due after ten years		22,115		20,317

Subtotal		44,370		41,578
Residential mortgage-backed		930		876
Commercial mortgage-backed		1,613		1,321
Other asset-backed		2,368		2,290

Total	$	49,281	$	46,065

As of March 31, 2024, securities issued by finance and insurance, consumer—non-cyclical, utilities and technology and communications industry groups represented approximately 26%, 15%, 14% and 11%, respectively, of our domestic and foreign corporate fixed maturity securities portfolio. No other industry group comprised more than 10% of our investment portfolio.

As of March 31, 2024, we did not hold any fixed maturity securities in any single issuer, other than securities issued or guaranteed by the U.S. government, which exceeded 10% of stockholders’ equity.

(e) Commercial Mortgage Loans

Our mortgage loans are collateralized by commercial properties, including multi-family residential buildings. The carrying value of commercial mortgage loans is stated at original cost net of principal payments, amortization and allowance for credit losses.

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

We diversify our commercial mortgage loans by both property type and geographic region. The following tables set forth the distribution across property type and geographic region for commercial mortgage loans as of the dates indicated:


	March 31, 2024						December 31, 2023
(Amounts in millions)	Carrying value			% of total			Carrying value			% of total
Property type:
Retail	$	2,829			42	%	$	2,858			42	%
Office		1,466			22			1,481			22
Industrial		1,415			21			1,440			21
Apartments		514			8			522			8
Mixed use		368			5			371			5
Other		156			2			157			2

Subtotal		6,748			100	%		6,829			100	%

Allowance for credit losses		(29	)					(27	)

Total	$	6,719					$	6,802


	March 31, 2024						December 31, 2023
(Amounts in millions)	Carrying value			% of total			Carrying value			% of total
Geographic region:
South Atlantic	$	1,809			27	%	$	1,803			26	%
Pacific		1,248			18			1,281			19
Mountain		1,006			15			1,029			15
Middle Atlantic		916			14			925			14
West South Central		547			8			553			8
East North Central		437			6			445			6
West North Central		400			6			404			6
East South Central		203			3			206			3
New England		182			3			183			3

Subtotal		6,748			100	%		6,829			100	%

Allowance for credit losses		(29	)					(27	)

Total	$	6,719					$	6,802

As of March 31, 2024 and December 31, 2023, we had no commercial mortgage loans past due or on non-accrual status. For a discussion of our policy related to placing commercial mortgage loans on non-accrual status, see Note 2—Summary of Significant Accounting Policies included in the Notes to Consolidated Financial Statements in our 2023 Annual Report on Form 10-K.

During the three months ended March 31, 2024 and the year ended December 31, 2023, we did not have any loan modifications or extensions associated with borrowers experiencing financial difficulty that resulted in the consideration of whether to establish a new loan or to continue accounting for the modification or extension under the existing loan.

Table of Contents

GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following table sets forth the allowance for credit losses related to commercial mortgage loans as of and for the periods indicated:


	Three months ended March 31,
(Amounts in millions)	2024		2023
Allowance for credit losses:
Beginning balance	$	27	$	22
Provision		2		2
Write-offs		—		—
Recoveries		—		—

Ending balance	$	29	$	24

In evaluating the credit quality of commercial mortgage loans, we assess the performance of the underlying loans using both quantitative and qualitative criteria. Certain risks associated with commercial mortgage loans can be evaluated by reviewing both the debt-to-value and debt service coverage ratio to understand both the probability of the borrower not being able to make the necessary loan payments as well as the ability to sell the underlying property for an amount that would enable us to recover our unpaid principal balance in the event of default by the borrower. The average debt-to-value ratio is based on our most recent estimate of the fair value for the underlying property which is evaluated at least annually and updated more frequently if necessary to better indicate risk associated with the loan. A lower debt-to-value indicates that our loan value is more likely to be recovered in the event of default by the borrower if the property were sold. The debt service coverage ratio is based on “normalized” annual income of the property compared to the payments required under the terms of the loan. Normalization allows for the removal of annual one-time events such as capital expenditures, prepaid or late real estate tax payments or non-recurring third-party fees (such as legal, consulting or contract fees). This ratio is evaluated at least annually and updated more frequently if necessary to better indicate risk associated with the loan. A higher debt service coverage ratio indicates the borrower is less likely to default on the loan. The debt service coverage ratio is not used without considering other factors associated with the borrower, such as the borrower’s liquidity or access to other resources that may result in our expectation that the borrower will continue to make the future scheduled payments.

The following tables set forth commercial mortgage loans by year of origination and credit quality indicator as of March 31, 2024:


(Amounts in millions)	2024		2023		2022		2021		2020		2019 and prior		Total

Debt-to-value:
0% - 50%	$	15	$	19	$	74	$	85	$	115	$	2,022	$	2,330
51% - 60%		—		29		95		226		95		961		1,406
61% - 75%		30		222		755		589		263		1,103		2,962
76% - 100%		—		—		—		—		4		46		50
Greater than 100%		—		—		—		—		—		—		—

Total amortized cost	$	45	$	270	$	924	$	900	$	477	$	4,132	$	6,748

Debt service coverage ratio:
Less than 1.00	$	—	$	—	$	17	$	4	$	17	$	224	$	262
1.00 - 1.25		—		14		37		9		19		180		259
1.26 - 1.50		22		171		221		103		67		614		1,198
1.51 - 2.00		12		65		394		419		203		1,502		2,595
Greater than 2.00		11		20		255		365		171		1,612		2,434

Total amortized cost	$	45	$	270	$	924	$	900	$	477	$	4,132	$	6,748

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The following tables set forth the debt-to-value of commercial mortgage loans by property type as of the dates indicated:


	March 31, 2024
(Amounts in millions)	0% - 50%			51% - 60%			61% - 75%			76% - 100%			Greater than 100%			Total
Property type:
Retail	$	939		$	704		$	1,186		$	—		$	—		$	2,829
Office		345			329			757			35			—			1,466
Industrial		642			249			524			—			—			1,415
Apartments		197			54			255			8			—			514
Mixed use		119			60			182			7			—			368
Other		88			10			58			—			—			156

Total amortized cost	$	2,330		$	1,406		$	2,962		$	50		$	—		$	6,748

% of total		34	%		21	%		44	%		1	%		—	%		100	%

Weighted-average debt service coverage ratio		2.41			1.87			1.66			0.87			—			1.96


	December 31, 2023
(Amounts in millions)	0% - 50%			51% - 60%			61% - 75%			76% - 100%			Greater than 100%			Total
Property type:
Retail	$	945		$	686		$	1,227		$	—		$	—		$	2,858
Office		350			325			771			35			—			1,481
Industrial		670			250			520			—			—			1,440
Apartments		194			61			259			8			—			522
Mixed use		120			61			183			7			—			371
Other		89			10			58			—			—			157

Total amortized cost	$	2,368		$	1,393		$	3,018		$	50		$	—		$	6,829

% of total		35	%		20	%		44	%		1	%		—	%		100	%

Weighted-average debt service coverage ratio		2.42			1.87			1.66			0.87			—			1.96

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The following tables set forth the debt service coverage ratio for fixed rate commercial mortgage loans by property type as of the dates indicated:


	March 31, 2024
(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	$	52		$	104		$	581		$	1,133		$	959		$	2,829
Office		104			47			242			609			464			1,466
Industrial		43			29			193			473			677			1,415
Apartments		12			51			81			185			185			514
Mixed use		27			14			79			163			85			368
Other		24			14			22			32			64			156

Total amortized cost	$	262		$	259		$	1,198		$	2,595		$	2,434		$	6,748

% of total		4	%		4	%		18	%		38	%		36	%		100	%

Weighted-average debt-to-value		64	%		62	%		64	%		57	%		46	%		55	%


	December 31, 2023
(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	$	54		$	105		$	583		$	1,142		$	974		$	2,858
Office		105			48			244			615			469			1,481
Industrial		43			30			181			471			715			1,440
Apartments		12			51			86			187			186			522
Mixed use		27			14			80			164			86			371
Other		24			15			22			32			64			157

Total amortized cost	$	265		$	263		$	1,196		$	2,611		$	2,494		$	6,829

% of total		4	%		4	%		17	%		38	%		37	%		100	%

Weighted-average debt-to-value		64	%		63	%		65	%		58	%		46	%		55	%

(5) Derivative Instruments

Our business activities routinely deal with fluctuations in interest rates, equity prices, currency exchange rates and other asset and liability prices. We use derivative instruments to mitigate or reduce some of these risks. We have established policies for managing each of these risks, including prohibitions on derivatives market-making and other speculative derivatives activities. These policies require the use of derivative instruments in concert with other techniques to reduce or mitigate these risks. While we use derivatives to mitigate or reduce risks, certain derivatives do not meet the accounting requirements to be designated as hedging instruments and are denoted as “derivatives not designated as hedges” in the following disclosures. For derivatives that meet the accounting requirements to be designated as hedges, the following disclosures for these derivatives are denoted as “derivatives designated as hedges,” which include cash flow hedges.

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The following table sets forth our positions in derivative instruments as of the dates indicated:


	Derivative assets					Derivative liabilities
		Fair value					Fair value
(Amounts in millions)	Balance sheet classification	March 31, 2024		December 31, 2023		Balance sheet classification	March 31, 2024		December 31, 2023
Derivatives designated as hedges
Cash flow hedges:
Interest rate swaps	Other invested assets	$	35	$	55	Other liabilities	$	606	$	490
Foreign currency swaps	Other invested assets		11		10	Other liabilities		2		2
Forward bond purchase commitments	Other invested assets		41		51	Other liabilities		1		—

Total cash flow hedges			87		116			609		492

Total derivatives designated as hedges			87		116			609		492

Derivatives not designated as hedges
Equity index options	Other invested assets		20		15	Other liabilities		—		—
Financial futures (1)	Other invested assets		—		—	Other liabilities		—		—
Forward bond purchase commitments	Other invested assets		—		—	Other liabilities		12		9
Fixed indexed annuity embedded derivatives	Other assets		—		—	Policyholder account balances (2)		163		165
Indexed universal life embedded derivatives	Reinsurance recoverable		—		—	Policyholder account balances (3)		15		15

Total derivatives not designated as hedges			20		15			190		189

Total derivatives		$	107	$	131		$	799	$	681

(1)	The period end valuations of financial futures were zero as a result of settling the margins on these contracts on a daily basis.

(2)	Represents the embedded derivatives associated with our fixed indexed annuity liabilities.

(3)	Represents the embedded derivatives associated with our indexed universal life liabilities.

The fair value of derivative positions presented above was not offset by the respective collateral amounts received or provided under these agreements.

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The activity associated with derivative instruments can generally be measured by the change in notional value over the periods presented. However, for fixed indexed annuity embedded derivatives and indexed universal life embedded derivatives, the change between periods is best illustrated by the number of policies. The following tables represent activity associated with derivative instruments as of the dates indicated:


		December 31,				Maturities/			March 31,
(Notional in millions)	Measurement	2023		Additions		terminations			2024
Derivatives designated as hedges
Cash flow hedges:
Interest rate swaps	Notional	$	8,975	$	231	$	(101	)	$	9,105
Foreign currency swaps	Notional		131		13		—			144
Forward bond purchase commitments	Notional		1,075		934		—			2,009

Total cash flow hedges			10,181		1,178		(101	)		11,258

Total derivatives designated as hedges			10,181		1,178		(101	)		11,258

Derivatives not designated as hedges
Equity index options	Notional		702		178		(209	)		671
Financial futures	Notional		1,251		1,191		(1,268	)		1,174
Forward bond purchase commitments	Notional		500		—		—			500

Total derivatives not designated as hedges			2,453		1,369		(1,477	)		2,345

Total derivatives		$	12,634	$	2,547	$	(1,578	)	$	13,603


		December 31,				Maturities/			March 31,
(Number of policies)	Measurement	2023		Additions		terminations			2024
Derivatives not designated as hedges
Fixed indexed annuity embedded derivatives	Policies		5,826		—		(272	)		5,554
Indexed universal life embedded derivatives	Policies		749		—		(12	)		737

Cash Flow Hedges

Certain derivative instruments are designated as cash flow hedges. The changes in fair value of these instruments are recorded as a component of other comprehensive income (loss) (“OCI”). We designate and account for the following as cash flow hedges when they have met the effectiveness requirements: (i) various types of interest rate swaps to convert floating rate investments to fixed rate investments; (ii) various types of interest rate swaps to convert floating rate liabilities into fixed rate liabilities; (iii) receive U.S. dollar fixed on foreign currency swaps to hedge the foreign currency cash flow exposure of foreign currency denominated investments; (iv) forward starting interest rate swaps to hedge against changes in interest rates associated with future fixed rate bond purchases and/or interest income; (v) forward bond purchase commitments to hedge against the variability in the anticipated cash flows required to purchase future fixed rate bonds; and (vi) other instruments to hedge the cash flows of various forecasted transactions.

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The following table provides information about the pre-tax income effects of cash flow hedges for the three months ended March 31, 2024:


(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	$	(148	)	$	53		Net investment income	$	—	Net investment gains (losses)
Interest rate swaps hedging assets		—			4		Net investment gains (losses)		—	Net investment gains (losses)
Interest rate swaps hedging liabilities		—			(1	)	Interest expense		—	Net investment gains (losses)
Foreign currency swaps		1			—		Net investment income		—	Net investment gains (losses)
Forward bond purchase commitments		(11	)		—		Net investment gains (losses)		—	Net investment gains (losses)

Total	$	(158	)	$	56			$	—

The following table provides information about the pre-tax income effects of cash flow hedges for the three months ended March 31, 2023:


(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	$	146		$	54		Net investment income	$	—	Net investment gains (losses)
Interest rate swaps hedging assets		—			5		Net investment gains (losses)		—	Net investment gains (losses)
Interest rate swaps hedging liabilities		—			(1	)	Interest expense		—	Net investment gains (losses)
Interest rate swaps hedging liabilities		—			1		Net investment gains (losses)		—	Net investment gains (losses)
Foreign currency swaps		(1	)		—		Net investment income		—	Net investment gains (losses)
Forward currency swaps		—			2		Net investment gains (losses)		—	Net investment gains (losses)

Total	$	145		$	61			$	—

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The following table provides a reconciliation of current period changes, net of applicable income taxes, for these designated derivatives presented in the separate component of stockholders’ equity labeled “derivatives qualifying as hedges,” as of and for the periods indicated:


	Three months ended March 31,
(Amounts in millions)	2024			2023
Derivatives qualifying as effective accounting hedges as of January 1	$	1,010		$	1,200
Current period increases (decreases) in fair value, net of deferred taxes of $33 and $(31)		(125	)		114
Reclassification to net (income), net of deferred taxes of $20 and $21		(36	)		(40	)

Derivatives qualifying as effective accounting hedges as of March 31	$	849		$	1,274

The total of derivatives designated as cash flow hedges of $849 million, net of taxes, recorded in stockholders’ equity as of March 31, 2024 is expected to be reclassified to net income (loss) in the future, concurrently with and primarily offsetting changes in interest expense and interest income on floating rate instruments and interest income on future fixed rate bond purchases. Of this amount, $132 million, net of taxes, is expected to be reclassified to net income (loss) in the next 12 months. Actual amounts may vary from this amount as a result of market conditions. All forecasted transactions associated with qualifying cash flow hedges are expected to occur by 2057. During the three months ended March 31, 2024 and 2023, we reclassified $2 million and $5 million, respectively, to net income in connection with forecasted transactions that were no longer considered reasonably possible of occurring.

Derivatives Not Designated As Hedges

We enter into certain non-qualifying derivative instruments such as equity index options and financial futures to mitigate the risks associated with liabilities that have guaranteed minimum benefits, fixed indexed annuities and indexed universal life. Our fixed indexed annuity and indexed universal life insurance products with certain features are required to be bifurcated as embedded derivatives. Additionally, we have forward bond purchase commitments to hedge against the variability in the anticipated cash flows required to purchase future fixed rate bonds.

The following table provides the pre-tax gain (loss) recognized in net income for the effects of derivatives not designated as hedges for the periods indicated:


	Three months ended
	March 31,						Classification of gain (loss) recognized in net income
(Amounts in millions)	2024			2023			Classification of gain (loss) recognized in net income
Equity index options	$	5		$	1		Net investment gains (losses)
Financial futures		(64	)		(2	)	Changes in fair value of market risk benefits and associated hedges
Forward bond purchase commitments		(4	)		—		Net investment gains (losses)
Fixed index annuity embedded derivatives		(8	)		(2	)	Net investment gains (losses)
Indexed universal life embedded derivatives		4			5		Net investment gains (losses)

Total derivatives not designated as hedges	$	(67	)	$	2

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Derivative Counterparty Credit Risk

Most of our derivative arrangements with counterparties require the posting of collateral upon meeting certain net exposure thresholds. The following table presents additional information about derivative assets and liabilities subject to an enforceable master netting arrangement as of the dates indicated:


	March 31, 2024									December 31, 2023
(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	$	107		$	621		$	(514	)	$	131		$	501		$	(370	)
Gross amounts offset in the balance sheet		—			—			—			—			—			—

Net amounts presented in the balance sheet		107			621			(514	)		131			501			(370	)
Gross amounts not offset in the balance sheet:
Financial instruments (2)		(53	)		(53	)		—			(59	)		(59	)		—
Collateral received		(16	)		—			(16	)		(19	)		—			(19	)
Collateral pledged		—			(1,360	)		1,360			—			(1,100	)		1,100
Over collateralization		—			792			(792	)		—			658			(658	)

Net amount	$	38		$	—		$	38		$	53		$	—		$	53

(1)	Does not include amounts related to embedded derivatives as of March 31, 2024 and December 31, 2023.

(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

Recurring Fair Value Measurements

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

Fixed maturity securities, equity securities and short-term investments

The fair value of fixed maturity securities, equity securities and short-term investments is estimated primarily based on information derived from third-party pricing services (“pricing services”), internal models and/or broker quotes, which may use a market approach, income approach or a combination of the market and income approach depending on the type of instrument and availability of information. In general, a market approach is utilized if there is readily available and relevant market activity for an individual security. In certain cases where market information is not available for a specific security but is available for similar securities, that security is valued using market information for similar securities, which is also a market approach. When market information is not available for a specific security (or similar securities) or is available but such information is less relevant or reliable, an income approach or a combination of a market and income approach is utilized. For

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(Unaudited)

securities with optionality, such as call or prepayment features (including mortgage-backed or asset-backed securities), an income approach may be used. These valuation techniques may change from period to period, based on the relevance and availability of market data.

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

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

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

For private fixed maturity securities, we utilize an income approach where we obtain public bond spreads and utilize those in an internal model to determine fair value. Other inputs to the model include rating and weighted-average life, as well as sector which is used to assign the spread. We then add an additional premium, which represents an unobservable input, to the public bond spread to adjust for the liquidity and other features of our private placements. We utilize the estimated market yield to discount the expected cash flows of the security to determine fair value. We utilize price caps for securities where the estimated market yield results in a valuation that may exceed the amount that would be received in a market transaction. When a security does not have an external rating, we assign the security an internal rating to determine the appropriate public bond spread that should be utilized in the valuation. While we generally consider the public bond spreads by sector and maturity to be observable inputs, we evaluate the similarities of our private placements with the public bonds, price caps, liquidity premiums applied, and whether external ratings are available for our private placements to determine whether the spreads utilized would be considered observable inputs. We classify private securities without an external rating or public bond spread as Level 3. In general, a significant increase (decrease) in credit spreads would have resulted in a significant decrease (increase) in the fair value for our fixed maturity securities as of March 31, 2024.

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

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

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

Level 1 measurements

Equity securities.

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

Separate account assets.

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

Level 2 measurements

Fixed maturity securities

•

Third-party pricing services:

In estimating the fair value of fixed maturity securities, 88% of our portfolio was priced using third-party pricing services as of March 31, 2024. These pricing services utilize industry-standard valuation techniques that include market-based approaches, income-based approaches, a combination of market-based and income-based approaches or other proprietary, internally generated models as part of the valuation processes. These third-party pricing vendors maximize the use of publicly available data inputs to generate valuations for each asset class. Priority and type of inputs used may change frequently as certain inputs may be more direct drivers of valuation at the time of pricing. Examples of significant inputs incorporated by pricing services may include sector and issuer spreads, seasoning, capital structure, security optionality, collateral data, prepayment assumptions, default assumptions, delinquencies, debt covenants, benchmark yields, trade data, dealer quotes, credit ratings, maturity and weighted-average life. We conduct regular meetings with our pricing services for the purpose of understanding the methodologies, techniques and inputs used by the third-party pricing providers.

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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 March 31, 2024:


(Amounts in millions)	Fair value		Primary methodologies	Significant inputs
U.S. government, agencies and government-sponsored enterprises	$	3,460	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	$	2,201	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	$	613	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	$	23,802	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	$	6,174	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	$	873	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	$	1,310	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	$	2,182	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

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•

Internal models:

A portion of our U.S. corporate and non-U.S. corporate securities are valued using internal models. The fair value of these fixed maturity securities was $1,571 million and $837 million, respectively, as of March 31, 2024. Internally modeled securities are primarily private fixed maturity securities where we use market observable inputs such as an interest rate yield curve, published credit spreads for similar securities based on the external ratings of the instrument and related industry sector of the issuer. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps and liquidity premiums are established using inputs from market participants.

Equity securities.

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

Short-term investments.

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

Level 3 measurements

Fixed maturity securities

•

Broker quotes:

A portion of our state and political subdivisions, U.S. corporate, non-U.S. corporate, residential mortgage-backed, commercial mortgage-backed and other asset-backed securities are valued using broker quotes. Broker quotes are obtained from third-party providers that have current market knowledge to provide a reasonable price for securities not routinely priced by pricing services. Brokers utilized for valuation of assets are reviewed annually. The fair value of our Level 3 fixed maturity securities priced by broker quotes was $211 million as of March 31, 2024.

•

Internal models:

A portion of our state and political subdivisions, U.S. corporate, non-U.S. corporate, residential mortgage-backed and other asset-backed securities are valued using internal models. The primary inputs to the valuation of the bond population include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain private fixed maturity securities are valued using an internal model using market observable inputs such as the interest rate yield curve, as well as published credit spreads for similar securities, which includes significant unobservable inputs. Additionally, we may apply certain price caps and liquidity premiums in the valuation of private fixed maturity securities. Price caps are established using inputs from market participants. For structured securities, the primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, weighted-average coupon, weighted-average maturity, issuer rating, structure of the security, expected prepayment speeds and volumes, collateral type, current and forecasted loss severity, average delinquency rates, vintage of the loans, geographic region, debt service coverage ratios, payment priority with the tranche, benchmark yields and credit spreads. The fair value of our Level 3 fixed maturity securities priced using internal models was $2,831 million as of March 31, 2024.

Equity securities.

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

Limited partnerships.

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

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Short-term investments.

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

Net asset value

Limited partnerships.

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

Derivatives

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

Interest rate swaps.

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

Foreign currency swaps.

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

Equity index options.

We have equity index options associated with various equity indices. The valuation of equity index options is determined using an income approach. The primary inputs into the valuation represent forward interest rates, equity index volatility, equity index and time value component associated with the optionality in the derivative. The equity index volatility surface is determined based on market information that is not readily observable and is developed based upon inputs received from several third-party sources. Accordingly, these options are classified as Level 3. As of March 31, 2024, a significant increase (decrease) in the equity index volatility discussed above would have resulted in a significantly higher (lower) fair value measurement.

Financial futures.

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

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Forward bond purchase commitments.

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

Fixed indexed annuity and indexed universal life embedded derivatives

We have fixed indexed annuity and indexed universal life insurance products where interest is credited to the policyholder’s account balance based on equity index changes. This feature is required to be bifurcated as an embedded derivative and recorded at fair value. Fair value is determined using an income approach where the present value of the excess cash flows above the guaranteed cash flows is used to determine the value attributed to the equity index feature. The inputs used in determining the fair value include policyholder behavior (lapses and withdrawals), near-term equity index volatility, expected future interest credited, forward interest rates and an adjustment to the discount rate to incorporate non-performance risk and risk margins. As a result of our assumptions for expected future interest credited being considered significant unobservable inputs, we classify these instruments as Level 3. As expected future interest credited decreases, the value of our embedded derivative liability will decrease. As of March 31, 2024, a significant change in the unobservable inputs discussed above would have resulted in a significantly lower or higher fair value measurement.

Market risk benefits

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

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

Fixed indexed annuities

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

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Variable annuities

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

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NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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:


	March 31, 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	$	3,460	$	—	$	3,460	$	—	$	—
State and political subdivisions		2,266		—		2,201		65		—
Non-U.S. government		613		—		613		—		—
U.S. corporate:
Utilities		4,277		—		3,410		867		—
Energy		2,370		—		2,310		60		—
Finance and insurance		7,167		—		6,437		730		—
Consumer—non-cyclical		4,506		—		4,442		64		—
Technology and communications		2,843		—		2,831		12		—
Industrial		1,160		—		1,145		15		—
Capital goods		2,144		—		2,110		34		—
Consumer—cyclical		1,603		—		1,485		118		—
Transportation		1,080		—		1,059		21		—
Other		287		—		144		143		—

Total U.S. corporate		27,437		—		25,373		2,064		—

Non-U.S. corporate:
Utilities		677		—		417		260		—
Energy		980		—		850		130		—
Finance and insurance		1,913		—		1,781		132		—
Consumer—non-cyclical		614		—		537		77		—
Technology and communications		861		—		837		24		—
Industrial		842		—		781		61		—
Capital goods		549		—		516		33		—
Consumer—cyclical		245		—		244		1		—
Transportation		413		—		391		22		—
Other		708		—		657		51		—

Total non-U.S. corporate		7,802		—		7,011		791		—

Residential mortgage-backed		876		—		873		3		—
Commercial mortgage-backed		1,321		—		1,310		11		—
Other asset-backed		2,290		—		2,182		108		—

Total fixed maturity securities		46,065		—		43,023		3,042		—

Equity securities		427		351		44		32		—
Limited partnerships		2,302		—		—		19		2,283
Other invested assets:
Derivative assets:
Interest rate swaps		35		—		35		—		—
Foreign currency swaps		11		—		11		—		—
Equity index options		20		—		—		20		—
Forward bond purchase commitments		41		—		—		41		—

Total derivative assets		107		—		46		61		—

Short-term investments		10		—		10		—		—

Total other invested assets		117		—		56		61		—

Separate account assets		4,645		4,645		—		—		—

Total assets	$	53,556	$	4,996	$	43,123	$	3,154	$	2,283

(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.

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(Unaudited)


	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.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 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 March 31, 2024		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2024		Included in net income			Included in OCI			Purchases		Sales		Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of March 31, 2024		Included in net income			Included in OCI
Fixed maturity securities:
State and political subdivisions	$	60	$	1		$	4		$	—	$	—	$	—	$	—		$	—	$	—		$	65	$	1		$	4
U.S. corporate:
Utilities		881		—			(20	)		32		—		—		(26	)		—		—			867		—			(20	)
Energy		60		—			—			—		—		—		—			—		—			60		—			—
Finance and insurance		717		—			(6	)		—		—		—		—			19		—			730		—			(6	)
Consumer—non-cyclical		69		—			—			—		—		—		(5	)		—		—			64		—			—
Technology and communications		12		—			—			—		—		—		—			—		—			12		—			—
Industrial		23		—			—			—		—		—		(8	)		—		—			15		—			—
Capital goods		35		—			(1	)		—		—		—		—			—		—			34		—			(1	)
Consumer—cyclical		122		—			(3	)		—		—		—		(1	)		—		—			118		—			(3	)
Transportation		22		—			—			—		—		—		(1	)		—		—			21		—			—
Other		149		—			(2	)		—		—		—		(4	)		—		—			143		—			(2	)

Total U.S. corporate		2,090		—			(32	)		32		—		—		(45	)		19		—			2,064		—			(32	)

Non-U.S. corporate:
Utilities		269		—			(4	)		10		—		—		(15	)		—		—			260		—			(4	)
Energy		131		—			(1	)		—		—		—		—			—		—			130		—			(1	)
Finance and insurance		134		2			(4	)		—		—		—		—			—		—			132		2			(4	)
Consumer—non-cyclical		81		—			(1	)		—		—		—		(3	)		—		—			77		—			—
Technology and communications		24		—			—			—		—		—		—			—		—			24		—			—
Industrial		63		—			(1	)		—		—		—		(1	)		—		—			61		—			(1	)
Capital goods		53		—			—			—		—		—		(20	)		—		—			33		—			—
Consumer—cyclical		1		—			—			—		—		—		—			—		—			1		—			—
Transportation		22		—			—			—		—		—		—			—		—			22		—			—
Other		52		—			(1	)		—		—		—		—			—		—			51		—			(1	)

Total non-U.S. corporate		830		2			(12	)		10		—		—		(39	)		—		—			791		2			(11	)

Residential mortgage-backed		3		—			—			—		—		—		—			—		—			3		—			—
Commercial mortgage-backed		11		—			—			—		—		—		—			—		—			11		—			—
Other asset-backed		102		—			—			15		—		—		(2	)		—		(7	)		108		—			(1	)

Total fixed maturity securities		3,096		3			(40	)		57		—		—		(86	)		19		(7	)		3,042		3			(40	)

Equity securities		32		—			—			—		—		—		—			—		—			32		—			—
Limited partnerships		20		(1	)		—			—		—		—		—			—		—			19		(1	)		—
Other invested assets:
Derivative assets:
Equity index options		15		5			—			4		—		—		(4	)		—		—			20		4			—
Forward bond purchase commitments		51		—			(10	)		—		—		—		—			—		—			41		—			(10	)

Total derivative assets		66		5			(10	)		4		—		—		(4	)		—		—			61		4			(10	)
Short-term investments		7		—			—			—		—		—		(7	)		—		—			—		—			—

Total other invested assets		73		5			(10	)		4		—		—		(11	)		—		—			61		4			(10	)

Total Level 3 assets	$	3,221	$	7		$	(50	)	$	61	$	—	$	—	$	(97	)	$	19	$	(7	)	$	3,154	$	6		$	(50	)

(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.

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(Unaudited)


(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 March 31, 2023		Total gains (losses) attributable to assets still held
(Amounts in millions)	Beginning balance as of January 1, 2023		Included in net income			Included in OCI		Purchases		Sales			Issuances		Settlements			Transfer into Level 3 (1)		Transfer out of Level 3 (1)			Ending balance as of March 31, 2023		Included in net income			Included in OCI

Fixed maturity securities:
State and political subdivisions	$	55	$	1		$	3	$	—	$	—		$	—	$	—		$	—	$	—		$	59	$	1		$	3
U.S. corporate:
Utilities		842		—			11		40		(9	)		—		—			—		(25	)		859		—			10
Energy		116		—			1		—		(1	)		—		(1	)		—		—			115		—			2
Finance and insurance		687		—			3		15		—			—		(5	)		—		(3	)		697		—			4
Consumer—non-cyclical		82		—			1		—		—			—		(14	)		—		—			69		—			1
Technology and communications		24		—			1		—		—			—		—			—		(13	)		12		—			—
Industrial		22		—			—		—		—			—		—			—		—			22		—			—
Capital goods		34		—			—		—		—			—		—			—		—			34		—			1
Consumer—cyclical		113		—			2		—		—			—		(1	)		13		—			127		—			2
Transportation		43		—			1		—		—			—		(20	)		—		—			24		—			—
Other		159		—			—		—		—			—		(3	)		—		—			156		—			—

Total U.S. corporate		2,122		—			20		55		(10	)		—		(44	)		13		(41	)		2,115		—			20

Non-U.S. corporate:
Utilities		295		—			5		3		—			—		(5	)		—		—			298		—			5
Energy		118		—			2		—		—			—		(1	)		—		—			119		—			2
Finance and insurance		125		1			5		—		—			—		—			—		—			131		1			4
Consumer—non-cyclical		73		—			—		—		—			—		—			—		—			73		—			1
Technology and communications		26		—			—		—		—			—		—			—		—			26		—			—
Industrial		48		—			2		25		—			—		—			—		—			75		—			2
Capital goods		95		1			4		—		(12	)		—		(36	)		—		—			52		—			2
Consumer—cyclical		64		—			6		—		(6	)		—		(55	)		—		—			9		—			1
Transportation		20		—			1		1		—			—		—			—		—			22		—			1
Other		21		—			1		—		—			—		—			—		—			22		—			—

Total non-U.S. corporate		885		2			26		29		(18	)		—		(97	)		—		—			827		1			18

Residential mortgage-backed		22		—			1		—		—			—		—			—		(15	)		8		—			—
Commercial mortgage-backed		12		—			—		—		—			—		—			—		—			12		—			—
Other asset-backed		94		—			2		2		—			—		(1	)		—		(2	)		95		—			2

Total fixed maturity securities		3,190		3			52		86		(28	)		—		(142	)		13		(58	)		3,116		2			43

Equity securities		34		—			—		—		(1	)		—		—			—		—			33		—			—
Limited partnerships		24		(2	)		—		—		—			—		—			—		—			22		(2	)		—
Other invested assets:
Derivative assets:
Equity index options		6		1			—		3		—			—		—			—		—			10		1			—

Total derivative assets		6		1			—		3		—			—		—			—		—			10		1			—

Total other invested assets		6		1			—		3		—			—		—			—		—			10		1			—

Total Level 3 assets	$	3,254	$	2		$	52	$	89	$	(29	)	$	—	$	(142	)	$	13	$	(58	)	$	3,181	$	1		$	43

(1)

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 three months ended March 31:


(Amounts in millions)	2024		2023
Total realized and unrealized gains (losses) included in net income:
Net investment income	$	3	$	3
Net investment gains (losses)		4		(1	)

Tota l	$	7	$	2

Net gains (losses) included in net income attributable to assets still held:
Net investment income	$	3	$	2
Net investment gains (losses)		3		(1	)

Tota l	$	6	$	1

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

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 March 31, 2024:


(Amounts in millions)	Fair value		Unobservable input	Range	Weighted-average (1)
Fixed maturity securities:
U.S. corporate:
Utilities	$	839	Credit spreads	56bps - 186bps	130bps
Energy		46	Credit spreads	89bps - 167bps	136bps
Finance and insurance		718	Credit spreads	14bps - 216bps	155bps
Consumer—non-cyclical		64	Credit spreads	77bps - 225bps	134bps
Technology and communications		12	Credit spreads	65bps - 77bps	70bps
Industrial		15	Credit spreads	89bps - 167bps	114bps
Capital goods		34	Credit spreads	79bps - 158bps	127bps
Consumer—cyclical		118	Credit spreads	77bps - 242bps	132bps
Transportation		20	Credit spreads	43bps - 129bps	94bps
Other		96	Credit spreads	74bps - 115 bps	84bps

Total U.S. corporate	$	1,962	Credit spreads	14bps - 242bps	137bps

Non-U.S. corporate:
Utilities	$	221	Credit spreads	76bps - 183bps	122bps
Energy		125	Credit spreads	89bps - 175bps	119bps
Finance and insurance		132	Credit spreads	99bps - 197bps	130bps
Consumer—non-cyclical		75	Credit spreads	79bps - 140bps	96bps
Technology and communications		24	Credit spreads	79bps - 118bps	92bps
Industrial		60	Credit spreads	104bps - 175bps	141bps
Capital goods		32	Credit spreads	92bps - 205bps	143bps
Transportation		20	Credit spreads	104bps - 140bps	112bps
Other		51	Credit spreads	56bps - 130bps	112bps

Total non-U.S. corporate	$	740	Credit spreads	56bps - 205bps	121bps

Derivative assets:
Equity index options	$	20	Equity index volatility	6% - 36%	23%
Forward bond purchase commitments	$	41	Counterparty financing spreads	28bps - 41bps	36bps
Other assets (2)	$	123	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.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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

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


	March 31, 2024
(Amounts in millions)	Total		Level 1		Level 2		Level 3

Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	163	$	—	$	—	$	163
Indexed universal life embedded derivatives		15		—		—		15

Total policyholder account balances		178		—		—		178

Derivative liabilities:
Interest rate swaps		606		—		606		—
Foreign currency swaps		2		—		2		—
Forward bond purchase commitments		13		—		—		13

Total derivative liabilities		621		—		608		13

Total liabilities	$	799	$	—	$	608	$	191


	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

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 January 1, 2024		Total realized and unrealized (gains) losses																			Ending balance as of March 31, 2024		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2024		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of March 31, 2024		Included in net (income)			Included in OCI

Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	165	$	8		$	—	$	—	$	—	$	—	$	(9	)	$	—	$	(1	)	$	163	$	8		$	—
Indexed universal life embedded derivatives		15		(4	)		—		—		—		4		—			—		—			15		(4	)		—

Total policyholder account balances		180		4			—		—		—		4		(9	)		—		(1	)		178		4			—

Derivative liabilities:
Forward bond purchase commitments		9		4			—		—		—		—		—			—		—			13		4			—

Total derivative liabilities		9		4			—		—		—		—		—			—		—			13		4			—

Total Level 3 liabilities	$	189	$	8		$	—	$	—	$	—	$	4	$	(9	)	$	—	$	(1	)	$	191	$	8		$	—


	Beginning balance as of January 1, 2023		Total realized and unrealized (gains) losses																			Ending balance as of March 31, 2023		Total (gains) losses attributable to liabilities still held
(Amounts in millions)	Beginning balance as of January 1, 2023		Included in net (income)			Included in OCI		Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3			Ending balance as of March 31, 2023		Included in net (income)			Included in OCI
								Purchases		Sales		Issuances		Settlements			Transfer into Level 3		Transfer out of Level 3
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	202	$	2		$	—	$	—	$	—	$	—	$	(19	)	$	—	$	(1	)	$	184	$	2		$	—
Indexed universal life embedded derivatives		15		(5	)		—		—		—		5		—			—		—			15		(5	)		—

Total policyholder account balances		217		(3	)		—		—		—		5		(19	)		—		(1	)		199		(3	)		—

Total Level 3 liabilities	$	217	$	(3	)	$	—	$	—	$	—	$	5	$	(19	)	$	—	$	(1	)	$	199	$	(3	)	$	—

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 three months ended March 31:


(Amounts in millions)	2024		2023
Total realized and unrealized (gains) losses included in net (income):
Net investment income	$	—	$	—
Net investment (gains) losses		8		(3	)

Tota l	$	8	$	(3	)

Total (gains) losses included in net (income) attributable to liabilities still held:
Net investment income	$	—	$	—
Net investment (gains) losses		8		(3	)

Tota l	$	8	$	(3	)

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

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

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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 March 31, 2024:


(Amounts in millions)	Fair value		Unobservable input	Range	Weighted-average (1)
Policyholder account balances:
Fixed indexed annuity embedded derivatives	$	163	Expected future interest credited	1 % - 3%		2%
Indexed universal life embedded derivatives	$	15	Expected future interest credited	2% - 12%		5%
Market risk benefits (2) :
Fixed indexed annuities	$	47	GMWB utilization rate	— % - 68%		55%
			Non-performance risk (credit spreads)	42bps - 83bps		69bps
			Expected future interest credited	1% - 3%		2%

Variable annuities	$	429	Lapse rate	2% - 11%		5%
			GMWB utilization rate	63% - 89%		78%
			Non-performance risk (credit spreads)	42bps - 83bps		69bps
			Equity index volatility	14% - 30%		22%
Derivative liabilities:
Forward bond purchase commitments	$	13	Counterparty financing spreads	28bps - 41bps		38bps

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

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

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

Assets and Liabilities Not Required to Be Carried at Fair Value

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

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

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:


	March 31, 2024
	Notional amount			Carrying amount		Fair value
(Amounts in millions)	Notional amount			Carrying amount		Total		Level 1		Level 2		Level 3
Assets:
Commercial mortgage loans, net			(1)	$	6,719	$	6,213	$	—	$	—	$	6,213
Bank loan investments			(1)		520		514		—		—		514
Liabilities:
Long-term borrowings			(1)		1,579		1,461		—		1,461		—
Investment contracts			(1)		5,115		5,073		—		—		5,073
Commitments to fund investments:
Bank loan investments	$	119			—		—		—		—		—
Private placement investments		21			—		—		—		—		—
Commercial mortgage loans		28			—		—		—		—		—

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


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

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

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

Assets Measured Using Net Asset Value

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

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

using NAV per share (or its equivalent) are generally not redeemable by the investees and generally cannot be sold without approval of the general partner. We receive distributions of income and proceeds from the liquidation of the underlying assets of the investees, which usually takes place in years

five

ten

of the typical contractual life of

ten

to 12 years.

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


	March 31, 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)	$	2,047	$	1,140	$	1,948	$	1,203
Real estate funds (2)		121		87		123		87
Infrastructure funds (3)		115		151		102		160

Total limited partnerships accounted for at NAV		2,283		1,378		2,173		1,450

Limited partnerships accounted for at fair value		19		1		20		1
Limited partnerships accounted for under equity method of accounting		647		70		628		79

Total	$	2,949	$	1,449	$	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.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

(7) Deferred Acquisition Costs

The following tables present the balances of and changes in deferred acquisition costs as of and for the periods indicated:


	March 31, 2024
(Amounts in millions)	Long-term care insurance			Life insurance			Fixed annuities			Variable annuities			Total
Balance as of January 1	$	879		$	941		$	45		$	98		$	1,963
Costs deferred		—			—			—			—			—
Amortization		(14	)		(34	)		(2	)		(4	)		(54	)

Balance as of March 31	$	865		$	907		$	43		$	94			1,909

Enact segment														25

Total deferred acquisition costs													$	1,934


	December 31, 2023
(Amounts in millions)	Long-term care insurance			Life insurance			Fixed annuities			Variable annuities			Total
Balance as of January 1	$	935		$	1,080		$	57		$	113		$	2,185
Costs deferred		1			—			—			—			1
Amortization		(57	)		(139	)		(12	)		(15	)		(223	)

Balance as of December 31	$	879		$	941		$	45		$	98			1,963

Enact segment														25

Total deferred acquisition costs													$	1,988

(8) Future Policy Benefits

The following table sets forth our liability for future policy benefits as of the dates indicated:


(Amounts in millions)	March 31, 2024		December 31, 2023
Long-term care insurance	$	42,339	$	43,929
Life insurance		1,648		1,698
Fixed annuities		11,361		11,829

Total long-duration insurance contracts		55,348		57,456

Deferred profit liability		131		128
Cost of reinsurance		66		71

Total future policy benefits	$	55,545	$	57,655

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following tables present the balances of and changes in the liability for future policy benefits as of and for the periods indicated:


	March 31, 2024
(Dollar amounts in millions)	Long-term care insurance			Life insurance			Fixed annuities
Present value of expected net premiums:
Beginning balance as of January 1	$	18,650		$	4,180		$	—
Beginning balance, at original discount rate	$	18,346		$	3,918		$	—
Effect of changes in cash flow assumptions		58			—			—
Effect of actual variances from expected experience		(142	)		(1	)		—

Adjusted beginning balance		18,262			3,917			—
Issuances		—			—			10
Interest accretion		234			55			—
Net premiums collected (1)		(463	)		(115	)		(10	)
Derecognition (lapses and withdrawals)		—			—			—
Other		—			—			—

Ending balance, at original discount rate		18,033			3,857			—
Effect of changes in discount rate assumptions		(55	)		154			—

Ending balance as of March 31	$	17,978		$	4,011		$	—

Present value of expected future policy benefits:
Beginning balance as of January 1	$	62,579		$	5,412		$	11,829
Beginning balance, at original discount rate	$	60,513		$	5,146		$	9,920
Effect of changes in cash flow assumptions		(15	)		—			—
Effect of actual variances from expected experience		(155	)		8			(35	)

Adjusted beginning balance		60,343			5,154			9,885
Issuances		—			—			8
Interest accretion		823			70			162
Benefit payments		(950	)		(204	)		(240	)
Derecognition (lapses and withdrawals)		—			—			—
Other		1			—			9

Ending balance, at original discount rate		60,217			5,020			9,824
Effect of changes in discount rate assumptions		100			167			1,537

Ending balance as of March 31	$	60,317		$	5,187		$	11,361

Net liability for future policy benefits, before flooring adjustments	$	42,339		$	1,176		$	11,361
Flooring adjustments (2)		—			472			—

Net liability for future policy benefits		42,339			1,648			11,361
Less: reinsurance recoverable		7,228			843			8,651

Net liability for future policy benefits, net of reinsurance recoverable	$	35,111		$	805		$	2,710

Weighted-average liability duration (years)		13.4			5.8			10.8

(1)	Represents the portion of gross premiums collected from policyholders that is used to fund expected benefit payments.

(2)

Flooring adjustments are necessary when a cohort’s present value of future net premiums exceeds the present value of future benefits. The flooring adjustment ensures that the liability for future policy benefits for each cohort is not less than zero. This adjustment is most prevalent in our term life insurance products due to their product design of a level premium period followed by annual premium rate increases.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)


	December 31, 2023
(Dollar amounts in millions)	Long-term care insurance			Life insurance			Fixed annuities
Present value of expected net premiums:
Beginning balance as of January 1	$	19,895		$	4,083		$	—
Beginning balance, at original discount rate	$	19,959		$	3,922		$	—
Effect of changes in cash flow assumptions		(276	)		180			—
Effect of actual variances from expected experience		(365	)		38			—

Adjusted beginning balance		19,318			4,140			—
Issuances		2			—			42
Interest accretion		994			217			—
Net premiums collected (1)		(1,968	)		(439	)		(42	)
Derecognition (lapses and withdrawals)		—			—			—
Other		—			—			—

Ending balance, at original discount rate		18,346			3,918			—
Effect of changes in discount rate assumptions		304			262			—

Ending balance as of December 31	$	18,650		$	4,180		$	—

Present value of expected future policy benefits:
Beginning balance as of January 1	$	61,352		$	5,556		$	11,923
Beginning balance, at original discount rate	$	61,148		$	5,374		$	10,300
Effect of changes in cash flow assumptions		(292	)		261			(33	)
Effect of actual variances from expected experience		(50	)		61			(30	)

Adjusted beginning balance		60,806			5,696			10,237
Issuances		2			—			35
Interest accretion		3,327			281			663
Benefit payments		(3,621	)		(823	)		(1,016	)
Derecognition (lapses and withdrawals)		—			—			—
Other		(1	)		(8	)		1

Ending balance, at original discount rate		60,513			5,146			9,920
Effect of changes in discount rate assumptions		2,066			266			1,909

Ending balance as of December 31	$	62,579		$	5,412		$	11,829

Net liability for future policy benefits, before flooring adjustments	$	43,929		$	1,232		$	11,829
Flooring adjustments (2)		—			466			—

Net liability for future policy benefits		43,929			1,698			11,829
Less: reinsurance recoverable		7,572			852			9,008

Net liability for future policy benefits, net of reinsurance recoverable	$	36,357		$	846		$	2,821

Weighted-average liability duration (years)		13.7			5.9			11.1

(1)	Represents the portion of gross premiums collected from policyholders that is used to fund expected benefit payments.

(2)

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

Long-term care insurance

For the three months ended March 31, 2024, the impact of updates to cash flow assumptions resulted in a decrease of $73 million in the liability for future policy benefits primarily due to favorable updates to implementation timing and approval amounts of in-force rate actions. This decrease in the liability for future policy benefits was mostly offset in our reinsurance recoverable as the cash flow assumption updates were primarily related to fully reinsured blocks of business. In addition, the impact of actual versus expected experience resulted in a decrease of $13 million in the liability for future policy benefits primarily due to favorable impacts from seasonally high mortality.

In the fourth quarter of 2023, we completed our annual review of cash flow assumptions including expected claim incidence and terminations, expenses, interest rates, benefit utilization trend and in-force rate actions, among other assumptions. The impact of changes in cash flow assumptions during the year ended December 31, 2023 resulted in a decrease of $16 million in the liability for future policy benefits primarily as a result of a favorable update to our disabled life mortality assumptions to reflect an expectation that mortality will continue at elevated levels in the near term post

the

coronavirus pandemic (“COVID-19”). This was partially offset by unfavorable updates to our healthy life assumptions to better reflect near-term experience for cost of care, mortality, incidence and lapse rates. We also evaluated our assumptions regarding expectations of future premium rate increase approvals and benefit reductions and did not make significant changes to our multi-year in-force rate action plan. However, we did increase our assumption for future approvals and benefit reductions given our current plans for rate increase filings and our historical experience regarding approvals and regulatory support, as well as benefit reductions and legal settlement results. The impact of actual versus expected experience during the year ended December 31, 2023 resulted in an increase of $315 million in the liability for future policy benefits primarily driven by higher claims and unfavorable timing impacts related to a legal settlement.

Life insurance

For the three months ended March 31, 2024, the impact of actual versus expected experience resulted in an increase of $9 million in the liability for future policy benefits primarily due to unfavorable impacts from seasonally high mortality.

In the fourth quarter of 2023, we completed our annual review of cash flow assumptions and increased our liability for future policy benefits by $81 million primarily as a result of unfavorable updates to our mortality assumptions to better reflect emerging experience related to more modest mortality improvement and to include an expectation that mortality will continue at elevated levels in the near term post-COVID-19. The impact of actual versus expected experience during the year ended December 31, 2023 resulted in an increase of $23 million in the liability for future policy benefits primarily driven by unfavorable mortality experience.

Fixed annuities

For the three months ended March 31, 2024, the impact of actual versus expected experience resulted in a decrease of $35 million in the liability for future policy benefits primarily due to favorable mortality.

The impact of changes in cash flow assumptions and actual versus expected experience during the year ended December 31, 2023 resulted in decreases of $33 million and $30 million, respectively, in the liability for future policy benefits primarily from favorable mortality.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following table provides the weighted-average interest rates for the liability for future policy benefits as of the dates indicated:


	March 31, 2024			December 31, 2023
Long-term care insurance
Interest accretion (locked-in) rate		5.7	%		5.8	%
Current discount rate		5.4	%		5.1	%
Life insurance
Interest accretion (locked-in) rate		5.8	%		5.8	%
Current discount rate		5.1	%		4.8	%
Fixed annuities
Interest accretion (locked-in) rate		6.7	%		6.7	%
Current discount rate		5.3	%		5.0	%

See Note 2—Summary of Significant Accounting Policies included in the Notes to Consolidated Financial Statements in our 2023 Annual Report on Form 10-K for additional information related to the discount rate used to measure the liability for future policy benefits.

The following table sets forth the amount of undiscounted and discounted expected future gross premiums and expected future benefit payments as of the dates indicated:


	March 31, 2024				December 31, 2023
(Amounts in millions)	Undiscounted		Discounted		Undiscounted		Discounted
Long-term care insurance
Expected future gross premiums	$	37,413	$	25,340	$	38,279	$	26,341
Expected future benefit payments	$	123,268	$	60,317	$	124,594	$	62,579
Life insurance
Expected future gross premiums	$	10,489	$	6,010	$	10,693	$	6,278
Expected future benefit payments	$	7,324	$	5,187	$	7,524	$	5,412
Fixed annuities
Expected future gross premiums	$	—	$	—	$	—	$	—
Expected future benefit payments	$	23,638	$	11,361	$	23,903	$	11,829

During the three months ended March 31, 2024, we recorded a charge of $5 million to net income due to net

premiums exceeding gross premiums, resulting in net

premium

ratios capped at 100% for

certain cohorts

our life insurance products primarily due to higher claim severity.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following table sets forth the amount of revenue and interest accretion (expense) recognized in net income related to our liability for future policy benefits for the periods indicated:


	Three months ended March 31,
	Three months ended March 31,								Year ended
	2024				2023				December 31, 2023
(Amounts in millions)	Gross premiums		Interest accretion (1)		Gross premiums		Interest accretion (1)		Gross premiums		Interest accretion (1)
Long-term care insurance	$	630	$	589	$	675	$	578	$	2,713	$	2,333
Life insurance		169		15		179		17		688		64
Fixed annuities		—		162		—		168		—		663

Total	$	799	$	766	$	854	$	763	$	3,401	$	3,060

(1)	Amounts for interest accretion are included in benefits and other changes in policy reserves in the condensed consolidated statements of income.

(9) Policyholder Account Balances

The following table sets forth our liabilities for policyholder account balances as of the dates indicated:


(Amounts in millions)	March 31, 2024		December 31, 2023
Life insurance	$	7,438	$	7,460
Fixed annuities		4,278		4,479
Variable annuities		511		529
Fixed indexed annuity embedded derivatives (1)		163		165
Indexed universal life embedded derivatives (1)		15		15
Additional insurance liabilities (2)		2,904		2,887
Other		6		5

Total policyholder account balances	$	15,315	$	15,540

(1)	See note 5 for additional information.

(2)	Represents additional liabilities related to death or other insurance benefits that are recorded within policyholder account balances and are considered long-duration insurance contracts. See note 10 for additional information.

The contracts underlying the minimum guarantees, such as

GMWBs

and guaranteed annuitization benefits, are considered “in the money” if the present value of the contractholder’s benefits is greater than the account value, or commonly referred to as the net amount at risk. For GMWBs and guaranteed annuitization benefits, the only way the contractholder can monetize the excess of the benefits over the account value of the contract is through lifetime withdrawals or lifetime income payments after annuitization. For those guarantees of benefits that are payable in the event of death, the net amount at risk is generally defined as the current guaranteed minimum death benefit in excess of the current account balance at the balance sheet date.

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GENWORTH FINANCIAL, INC.

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

(Unaudited)

The following tables present the balances of and changes in policyholder account balances as of and for the periods indicated:


	March 31, 2024
(Dollar amounts in millions)	Life insurance			Fixed annuities			Variable annuities
Beginning balance as of January 1	$	7,460		$	4,479		$	529
Issuances		—			—			—
Premiums received		119			5			4
Policy charges		(151	)		(2	)		(2	)
Surrenders and withdrawals		(37	)		(164	)		(17	)
Benefit payments		(49	)		(88	)		(15	)
Net transfers to separate accounts		—			—			(1	)
Interest credited		98			37			1
Other		(2	)		11			12

Ending balance as of March 31	$	7,438		$	4,278		$	511

Weighted-average crediting rate		3.9	%		2.9	%		3.3	%
Net amount at risk (1)	$	42,493		$	25		$	407
Cash surrender value	$	4,347		$	3,337		$	511

(1)	The net amount at risk presented for fixed and variable annuity products contains both general and separate accounts, including amounts related to annuitization and other insurance benefits classified as MRBs.


	December 31, 2023
(Dollar amounts in millions)	Life insurance			Fixed annuities			Variable annuities
Beginning balance as of January 1	$	7,694		$	5,477		$	610
Issuances		—			—			—
Premiums received		500			20			14
Policy charges		(614	)		(6	)		(6	)
Surrenders and withdrawals		(272	)		(842	)		(66	)
Benefit payments		(215	)		(387	)		(80	)
Net transfers from separate accounts		—			—			1
Interest credited		388			160			4
Other		(21	)		57			52

Ending balance as of December 31	$	7,460		$	4,479		$	529

Weighted-average crediting rate		3.9	%		2.8	%		3.3	%
Net amount at risk (1)	$	42,754


		Page
PART I—FINANCIAL INFORMATION

Item 1.	Financial Statements:
	Condensed Consolidated Balance Sheets as of March 31, 2024 (Unaudited) and December 31, 2023		3
	Condensed Consolidated Statements of Income for the three months ended March 31, 2024 and 2023 (Unaudited)		4
	Condensed Consolidated Statements of Comprehensive Income for the three months ended March 31, 2024 and 2023 (Unaudited)		5
	Condensed Consolidated Statements of Changes in Equity for the three months ended March 31, 2024 and 2023 (Unaudited)		6
	Condensed Consolidated Statements of Cash Flows for the three months ended March 31, 2024 and 2023 (Unaudited)		7
	Notes to Condensed Consolidated Financial Statements (Unaudited)		8
	Note 1 — Business and Basis of Presentation		8
	Note 2 — Accounting Changes		9
	Note 3 — Earnings Per Share		10
	Note 4 — Investments		11
	Note 5 — Derivative Instruments		24
	Note 6 — Fair Value of Financial Instruments		29
	Note 7 — Deferred Acquisition Costs		49
	Note 8 — Future Policy Benefits		49
	Note 9 — Policyholder Account Balances		54
	Note 10 — Additional Insurance Liabilities		57
	Note 11 — Market Risk Benefits		58
	Note 12 — Separate Accounts		60
	Note 13 — Liability for Policy and Contract Claims		60
	Note 14 — Income Taxes		62
	Note 15 — Segment Information		62
	Note 16 — Commitments and Contingencies		65
	Note 17 — Changes in Accumulated Other Comprehensive Income (Loss)		70

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		72

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		111

Item 4.	Controls and Procedures		111

PART II—OTHER INFORMATION

Item 1.	Legal Proceedings		112

Item 1A.	Risk Factors		112

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		112

Item 5.	Other Information		112

Item 6.	Exhibits		113

Signatures			114