v3.26.1
Fair Value of Financial Instruments
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments (6) Fair Value of Financial Instruments
Recurring Fair Value Measurements
We have fixed maturity securities, equity securities, limited partnerships, derivatives, short-term investments, embedded derivatives, separate account assets, market risk benefits (“MRBs”) and certain other financial instruments, which are carried at fair value. Below is a description of the valuation techniques and inputs used to determine fair value by class of instrument.
Fixed maturity securities, equity securities and short-term investments
The fair value of fixed maturity securities, equity securities and short-term investments is estimated primarily based on information derived from third-party pricing services (“pricing services”), broker quotes and/or internal models, which may use a market approach, income approach or a combination of the market and income approach depending on the type of instrument and availability of information. In general, a market approach is utilized if there is readily available and relevant market activity for an individual security. In certain cases where market information is not available for a specific security but is available for similar securities, that security is valued using market information for similar securities, which is also a market approach. When market information is not available for a specific security (or similar securities) or is available but such information is less relevant or reliable, an income approach or a combination of a market and income approach is utilized. For securities with optionality, such as call or prepayment features (including mortgage-backed or asset-backed securities), an income approach may be used. These valuation techniques may change from period to period, based on the relevance and availability of market data.
Further, while we consider the valuations provided by pricing services and broker quotes to be of high quality, management determines the fair value of our investment securities after considering all relevant and available information.
In general, we first obtain valuations from pricing services. If prices are unavailable, 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 certain 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, leading to a classification of Level 2. 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, 2026.
For remaining securities priced using internal models, we determine fair value using an income approach. We maximize the use of observable inputs but typically utilize significant unobservable inputs to determine fair value. Accordingly, the valuations are typically classified as Level 3.
Our assessment of whether or not there were significant unobservable inputs related to fixed maturity securities was based on our observations obtained through the course of managing our investment portfolio, including interaction with other market participants, observations related to the availability and consistency of pricing and/or rating, and understanding of general market activity such as new issuance and the level of secondary market trading for a class of securities. Additionally, we considered data obtained from pricing services to determine whether our estimated values incorporate significant unobservable inputs that would result in the valuation being classified as Level 3.
A summary of the inputs used for our financial instruments carried at fair value based on the level in which instruments are classified is included below. We have combined certain classes of instruments together as the nature of the inputs is similar.
Level 1 measurements
Equity securities. The primary inputs to the valuation of exchange-traded equity securities include quoted prices for the identical instrument.
Separate account assets. The fair value of separate account assets is based on the quoted prices of the underlying fund investments and, therefore, represents Level 1 pricing.
Level 2 measurements
Fixed maturity securities
•Third-party pricing services: In estimating the fair value of fixed maturity securities, 88% of our portfolio was priced using pricing services as of March 31, 2026. These pricing services utilize industry-standard valuation techniques that include market-based approaches, income-based approaches, a combination of market-based and income-based approaches or other proprietary, internally generated models as part of the valuation processes. These third-party pricing vendors maximize the use of publicly available data inputs to generate valuations for each asset class. Priority and type of inputs used may change frequently as certain inputs may be more direct drivers of valuation at the time of pricing. Examples of significant inputs incorporated by pricing services may include sector and issuer spreads, seasoning, capital structure, security optionality, collateral data, prepayment assumptions, default assumptions, delinquencies, debt covenants, benchmark yields, trade data, dealer quotes, credit ratings, maturity and weighted-average life. We conduct regular meetings with our pricing services for the purpose of understanding the methodologies, techniques and inputs used by the third-party pricing providers.
The following table presents a summary of the significant inputs used by our pricing services for certain fair value measurements of fixed maturity securities that are classified as Level 2 as of March 31, 2026:
(Amounts in millions)Fair valuePrimary methodologiesSignificant inputs
U.S. government, agencies and government-sponsored enterprises$3,616 Price quotes from trading desk, broker feedsBid 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$2,086 Multi-dimensional attribute-based modeling systems, exchanges for the bond or comparable liquid bondsTrade prices, material event notices, Municipal Market Data benchmark yields, broker quotes
Non-U.S. government$1,176 Price quotes from market makers, spread priced to benchmark curves, matrix pricingBenchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
U.S. corporate$22,854 Multi-dimensional attribute-based modeling systems, broker quotes, price quotes from market makers, OAS-based modelsBid side prices to Treasury Curve, Issuer Curve, which includes sector, quality, duration, OAS percentage and change for spread matrix, trade prices, comparative transactions, Trade Reporting and Compliance Engine (“TRACE”) reports
Non-U.S. corporate$5,530 Multi-dimensional attribute-based modeling systems, OAS-based models, price quotes from market makersBenchmark yields, trade prices, broker quotes, comparative transactions, issuer spreads, bid-offer spread, market research publications, third-party pricing sources
Residential mortgage-backed$1,062 OAS-based models, single factor binomial models, internally priced, pay-up to the to be announced pricePrepayment 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$1,338 Multi-dimensional attribute-based modeling systems, pricing matrix, spread matrix priced to swap curves, Trepp commercial mortgage-backed securities analytics modelCredit 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 swap curves, TRACE reports
Other asset-backed$1,865 Multi-dimensional attribute-based modeling systems, spread matrix priced to swap curves, price quotes from market makersSpreads to daily updated swap curves, spreads derived from trade prices and broker quotes, bid side prices, new issue data, collateral performance, analysis of prepayment speeds, cash flows, collateral loss analytics, historical issue analysis, trade data from market makers, TRACE reports
•Internal models: A portion of our U.S. corporate and non-U.S. corporate securities are valued using internal models. The fair value of these fixed maturity securities was $1,767 million and $778 million, respectively, as of March 31, 2026. 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
•Third-party pricing services: A portion of our non-U.S. government, U.S. corporate, non-U.S. corporate and other asset-backed securities are valued using pricing services. These pricing services utilize income-based approaches and internally generated models as part of the valuation processes. Pricing services utilized for valuation are reviewed annually. The fair value of our Level 3 fixed maturity securities priced by pricing services was $248 million as of March 31, 2026.
•Broker quotes: A portion of our non-U.S. government, 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 $170 million as of March 31, 2026.
•Internal models: A portion of our U.S. corporate, non-U.S. corporate and other asset-backed securities are valued using internal models. The primary inputs to the valuation of the bond population include quoted prices for 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 can include 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 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 $2,605 million as of March 31, 2026.
Equity securities. The primary inputs to the valuation include broker quotes where the underlying inputs are unobservable and for internal models, structure of the security and issuer rating.
Limited partnerships. The fair value of limited partnerships classified as Level 3 is determined based on third-party valuation sources that utilize unobservable inputs, such as a reference to public market or private transactions, valuations for comparable companies or assets, discounted cash flows and/or recent transactions.
Short-term investments. The primary inputs to the valuation include quoted prices for identical assets, or similar assets in markets that are not active, contractual cash flows, duration, call provisions, issuer rating, benchmark yields and credit spreads. Certain securities are valued using pricing services that utilize income-based approaches and internally generated models as part of the valuation processes.
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 counterparties 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, 2026, a significant increase (decrease) in the equity index volatility discussed above would have resulted in a significantly higher (lower) fair value measurement.
Financial futures. The fair value of financial futures is based on the closing exchange prices. Accordingly, these financial futures are classified as Level 1. The period end valuation is zero as a result of settling the margins on these contracts on a daily basis.
Forward bond purchase commitments. The valuation of forward bond purchase commitments is determined using an income approach. The primary inputs into the valuation represent current bond prices and interest rates, as well as an estimate of the cost of counterparty financing to acquire and carry the bond during the forward period. The estimated cost of counterparty financing is not readily observable and is developed based upon an assumed spread; accordingly, these derivatives are classified as Level 3.
Foreign currency forward contracts. The valuation of foreign currency forward contracts is determined using an income approach. The primary inputs into the valuation represent the forward foreign currency exchange rates, which are generally considered observable inputs and results in the derivative being classified as Level 2.
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, 2026, 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 while exposing 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, 2026, 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, 2026 and December 31, 2025.
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, 2026, 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, 2026 and December 31, 2025.
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, 2026
(Amounts in millions)TotalLevel 1Level 2Level 3
NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises$3,616 $— $3,616 $— $
State and political subdivisions2,086 — 2,086 — 
Non-U.S. government1,191 — 1,176 15 
U.S. corporate:
Utilities4,483 — 3,490 993 
Energy2,425 — 2,404 21 
Finance and insurance6,922 — 6,318 604 
Consumer—non-cyclical4,354 — 4,320 34 
Technology and communications2,620 — 2,610 10 
Industrial895 — 878 17 
Capital goods2,273 — 2,237 36 
Consumer—cyclical1,219 — 1,177 42 
Transportation1,057 — 1,044 13 
Other261 — 143 118 
Total U.S. corporate26,509 — 24,621 1,888 
Non-U.S. corporate:
Utilities599 — 372 227 
Energy915 — 807 108 
Finance and insurance1,700 — 1,678 22 
Consumer—non-cyclical550 — 533 17 
Technology and communications706 — 697 9 
Industrial741 — 627 114 
Capital goods686 — 623 63 
Consumer—cyclical221 — 196 25 
Transportation491 — 413 78 
Other436 — 362 74 
Total non-U.S. corporate7,045 — 6,308 737 
Residential mortgage-backed1,064 — 1,062 2 
Commercial mortgage-backed1,358 — 1,338 20 
Other asset-backed2,226 — 1,865 361 
Total fixed maturity securities45,095 — 42,072 3,023 
Equity securities544 467 29 48 
Limited partnerships2,843 — — 20 2,823 
Other invested assets:
Derivative assets:
Interest rate swaps8 — 8 — 
Foreign currency swaps8 — 8 — 
Equity index options12 — — 12 
Forward bond purchase commitments4 — — 4 
Total derivative assets32 — 16 16 
Short-term investments29 — 6 23 
Total other invested assets61 — 22 39 
Separate account assets4,093 4,093 — — 
Total assets$52,636 $4,560 $42,123 $3,130 $2,823 
________________
(1)Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.
December 31, 2025
(Amounts in millions)TotalLevel 1Level 2Level 3
NAV (1)
Assets
Investments:
Fixed maturity securities:
U.S. government, agencies and government-sponsored enterprises$3,701 $— $3,701 $— $
State and political subdivisions2,114 — 2,114 — 
Non-U.S. government1,215 — 1,199 16 
U.S. corporate:
Utilities4,515 — 3,511 1,004 
Energy2,452 — 2,431 21 
Finance and insurance7,057 — 6,438 619 
Consumer—non-cyclical4,406 — 4,371 35 
Technology and communications2,749 — 2,731 18 
Industrial954 — 938 16 
Capital goods2,319 — 2,282 37 
Consumer—cyclical1,249 — 1,194 55 
Transportation1,075 — 1,048 27 
Other270 — 145 125 
Total U.S. corporate27,046 — 25,089 1,957 
Non-U.S. corporate:
Utilities637 — 400 237 
Energy944 — 837 107 
Finance and insurance1,719 — 1,697 22 
Consumer—non-cyclical557 — 541 16 
Technology and communications689 — 680 9 
Industrial761 — 645 116 
Capital goods692 — 628 64 
Consumer—cyclical250 — 226 24 
Transportation485 — 406 79 
Other457 — 382 75 
Total non-U.S. corporate7,191 — 6,442 749 
Residential mortgage-backed1,100 — 1,097 3 
Commercial mortgage-backed1,309 — 1,290 19 
Other asset-backed2,086 — 1,759 327 
Total fixed maturity securities45,762 — 42,691 3,071 
Equity securities555 485 29 41 
Limited partnerships2,784 — — 16 2,768 
Other invested assets:
Derivative assets:
Interest rate swaps11 — 11 — 
Foreign currency swaps4 — 4 — 
Equity index options18 — — 18 
Forward bond purchase commitments6 — — 6 
Total derivative assets39 — 15 24 
Short-term investments37 — 14 23 
Total other invested assets76 — 29 47 
Separate account assets4,369 4,369 — — 
Total assets$53,546 $4,854 $42,749 $3,175 $2,768 
_________________
(1)Limited partnerships that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been categorized in the fair value hierarchy.
The following tables present additional information about assets measured at fair value on a recurring basis and for which we have utilized significant unobservable (Level 3) inputs to determine fair value as of and for the periods indicated:
Beginning
balance
as of
January 1,
2026		Total realized and
unrealized gains
(losses)		Ending
balance
as of
March 31,
2026		Total gains (losses)
attributable to
assets still held
(Amounts in millions)Included
in net
income
(loss)		Included
in OCI		PurchasesSalesIssuancesSettlements
Transfer
into
Level 3 (1)
Transfer
out of
Level 3 (1)
Included
in net
income
(loss)		Included
in OCI
Fixed maturity securities:
Non-U.S. government$16 $— $(1)$— $— $— $— $— $— $15 $— $(1)
U.S. corporate:
Utilities1,004 — (18)29 — — — — (22)993 — (17)
Energy21 — — — — — — — — 21 — — 
Finance and insurance 619 — (10)3 — — (8)— — 604 — (10)
Consumer—non-cyclical35 — — — — — (1)— — 34 — — 
Technology and communications18 — (1)— — — (7)— — 10 — — 
Industrial16 1 — — — — — — — 17 1 — 
Capital goods37 — (1)— — — — — — 36 — (1)
Consumer—cyclical55 — (1)— — — (2)— (10)42 — — 
Transportation27 — — — — — (1)— (13)13 — — 
Other125 — (2)— — — (5)— — 118 — (2)
Total U.S. corporate1,957 1 (33)32 — — (24)— (45)1,888 1 (30)
Non-U.S. corporate:
Utilities237 — — — — — (10)— — 227 — (3)
Energy107 — (1)2 — — — — — 108 — (1)
Finance and insurance22 — — — — — — — — 22 — — 
Consumer—non-cyclical16 — — 1 — — — — — 17 — — 
Technology and communications9 — — — — — — — — 9 — — 
Industrial116 — (2)— — — — — — 114 — (2)
Capital goods64 — (1)— — — — — — 63 — (1)
Consumer—cyclical24 — — 1 — — — — — 25 — — 
Transportation79 — (1)— — — — — — 78 — (1)
Other75 — (1)— — — — — — 74 — (1)
Total non-U.S. corporate749 — (6)4 — — (10)— — 737 — (9)
Residential mortgage-backed3 — — — — — — — (1)2 — — 
Commercial mortgage-backed19 — 1 — — — — — — 20 — 1 
Other asset-backed327 — (1)29 — — (4)20 (10)361 — (1)
Total fixed maturity securities3,071 1 (40)65 — — (38)20 (56)3,023 1 (40)
Equity securities41 — — 7 — — — — — 48 — — 
Limited partnerships16 1 — 3 — — — — — 20 1 — 
Other invested assets:
Derivative assets:
Equity index options18 (3)— 3 — — (6)— — 12 (3)— 
Forward bond purchase commitments6 — (2)— — — — — — 4 — (2)
Total derivative assets24 (3)(2)3 — — (6)— — 16 (3)(2)
Short-term investments23 — — — — — — — — 23 — — 
Total other invested assets47 (3)(2)3 — — (6)— — 39 (3)(2)
Total Level 3 assets$3,175 $(1)$(42)$78 $— $— $(44)$20 $(56)$3,130 $(1)$(42)
_______________
(1)The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.
Beginning
balance
as of
January 1,
2025		Total realized and
unrealized gains
(losses)		Ending
balance
as of
March 31,
2025		Total gains (losses)
attributable to
assets still held
(Amounts in millions)Included
in net
income
(loss)		Included
in OCI		PurchasesSalesIssuancesSettlements
Transfer
into
Level 3 (1)
Transfer
out of
Level 3 (1)
Included
in net
income
(loss)		Included
in OCI
Fixed maturity securities:
Non-U.S. government$13 $— $1 $1 $— $— $— $— $— $15 $— $1 
U.S. corporate:
Utilities845 — 4 16 — — (3)— — 862 — 4 
Energy21 — — — — — — — — 21 — — 
Finance and insurance688 — 9 25 — — (23)— (32)667 — 8 
Consumer—non-cyclical63 — 1 — — — (15)— — 49 — 1 
Technology and communications12 — — — — — — 5 — 17 — — 
Industrial15 — — — — — — — — 15 — — 
Capital goods43 — 1 — — — — — — 44 — 1 
Consumer—cyclical99 — 2 8 — — (2)— — 107 — 2 
Transportation31 — — — — — (2)— — 29 — — 
Other133 — — — — — (5)— — 128 — — 
Total U.S. corporate1,950 — 17 49 — — (50)5 (32)1,939 — 16 
Non-U.S. corporate:
Utilities282 — 3 — — — — — — 285 — 3 
Energy116 — (1)— — — — — — 115 — (1)
Finance and insurance21 — — — — — — — — 21 — — 
Consumer—non-cyclical39 — — — — — (8)— — 31 — — 
Technology and communications17 — — — — — — — — 17 — — 
Industrial67 — 2 — — — — 40 — 109 — 2 
Capital goods47 — — — — — — — — 47 — — 
Transportation35 — — — — — — — — 35 — — 
Other51 — 1 12 — — — — — 64 — 1 
Total non-U.S. corporate675 — 5 12 — — (8)40 — 724 — 5 
Residential mortgage-backed2 — — — — — — — — 2 — — 
Commercial mortgage-backed11 — — — — — — — — 11 — — 
Other asset-backed142 — — 48 — — (5)— — 185 — — 
Total fixed maturity securities2,793 — 23 110 — — (63)45 (32)2,876 — 22 
Equity securities44 — — — (1)— — — — 43 — — 
Limited partnerships19 (1)— — — — — — — 18 (1)— 
Other invested assets:
Derivative assets:
Equity index options19 (4)— 3 — — (6)— — 12 (4)— 
Forward bond purchase commitments6 — 13 — — — — — — 19 — 13 
Total derivative assets25 (4)13 3 — — (6)— — 31 (4)13 
Total other invested assets25 (4)13 3 — — (6)— — 31 (4)13 
Total Level 3 assets$2,881 $(5)$36 $113 $(1)$— $(69)$45 $(32)$2,968 $(5)$35 
___________________
(1)The transfers into and out of Level 3 for fixed maturity securities were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value, such as external ratings or credit spreads, as well as changes in the industry sectors assigned to specific securities.
The following table presents the gains and losses included in net income (loss) 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 condensed consolidated statements of operations line item in which these gains and losses were presented for the periods indicated:
Three months ended
March 31,
(Amounts in millions)20262025
Total realized and unrealized gains (losses) included in net income (loss):
Net investment income$1 $— 
Net investment gains (losses)(2)(5)
Total$(1)$(5)
Total gains (losses) included in net income (loss) attributable to assets still held:
Net investment income$1 $— 
Net investment gains (losses)(2)(5)
Total$(1)$(5)
The amount presented for net investment income relates to fixed maturity securities and primarily represents amortization and accretion of premiums and discounts on certain fixed maturity securities.
The following table presents a summary of the significant unobservable inputs used for certain asset fair value measurements that are based on internal models and classified as Level 3 as of March 31, 2026:
(Amounts in millions)Fair valueUnobservable inputRange
Weighted-average (1)
Fixed maturity securities:
U.S. corporate:
Utilities$949 Credit spreads
63bps - 229bps
128bps
Energy21 Credit spreads
126bps - 170bps
150bps
Finance and insurance586 Credit spreads
14bps - 246bps
151bps
Consumer—non-cyclical34 Credit spreads
77bps - 220bps
125bps
Technology and communications10 Credit spreads
88bps - 181bps
136bps
Industrial17 Credit spreads
88bps - 170bps
117bps
Capital goods36 Credit spreads
126bps - 141bps
132bps
Consumer—cyclical40 Credit spreads
110bps - 136bps
130bps
Transportation13 Credit spreads
52bps - 159bps
130bps
Other71 Credit spreads
88bps - 147bps
105bps
Total U.S. corporate$1,777 Credit spreads
14bps - 246bps
135bps
Non-U.S. corporate:
Utilities$226 Credit spreads
86bps - 244bps
119bps
Energy97 Credit spreads
91bps - 170bps
118bps
Finance and insurance22 Credit spreads
115bps - 139bps
124bps
Consumer—non-cyclical14 Credit spreads
98bps - 148bps
107bps
Technology and communications9 Credit spreads
88bps
Not applicable
Industrial114 Credit spreads
102bps - 180bps
123bps
Capital goods57 Credit spreads
126bps - 196bps
148bps
Consumer—cyclical22 Credit spreads
132bps
Not applicable
Transportation77 Credit spreads
102bps - 170bps
129bps
Other61 Credit spreads
63bps - 126bps
105bps
Total non-U.S. corporate$699 Credit spreads
63bps - 244bps
121bps
Derivative assets:
Equity index options$12 Equity index volatility
13% - 45%
32%
Forward bond purchase commitments$4 Counterparty financing spreads
11bps - 44bps
23bps
Other assets (2)
$101 Lapse rate
2% - 9%
5%
Non-performance risk
(counterparty credit risk)
42bps - 83bps
69bps
Equity index volatility
19% - 28%
24%
______________
(1)Unobservable inputs weighted by the relative fair value of the associated instrument for fixed maturity securities, notional for derivative assets and the policyholder account balances associated with the instrument for the net reinsured portion of our variable annuity MRBs.
(2)Represents the net reinsured portion of our variable annuity MRBs.
The assets included in the table above are valued using internal models for our fixed maturity securities and discounted cash flows for derivative and other assets. Certain classes of instruments classified as Level 3 are excluded above as a result of not being material or due to limitations in being able to obtain the underlying inputs used by certain third-party sources, such as broker quotes, used as an input in determining fair value.
The following tables set forth our liabilities by class of instrument that are measured at fair value on a recurring basis as of the dates indicated:
March 31, 2026
(Amounts in millions)TotalLevel 1Level 2Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives$130 $— $— $130 
Indexed universal life embedded derivatives13 — — 13 
Total policyholder account balances143 — — 143 
Derivative liabilities:
Interest rate swaps797 — 797 — 
Foreign currency swaps3 — 3 — 
Forward bond purchase commitments116 — — 116 
Foreign currency forward contracts6 — 6 — 
Total derivative liabilities922 — 806 116 
Total liabilities$1,065 $— $806 $259 
December 31, 2025
(Amounts in millions)TotalLevel 1Level 2Level 3
Liabilities
Policyholder account balances:
Fixed indexed annuity embedded derivatives$138 $— $— $138 
Indexed universal life embedded derivatives14 — — 14 
Total policyholder account balances152 — — 152 
Derivative liabilities:
Interest rate swaps849 — 849 — 
Foreign currency swaps4 — 4 — 
Forward bond purchase commitments107 — — 107 
Foreign currency forward contracts17 — 17 — 
Total derivative liabilities977 — 870 107 
Total liabilities$1,129 $— $870 $259 
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 periods indicated:
Beginning
balance
as of
January 1, 2026		Total realized and
unrealized (gains)
losses		Ending
balance
as of
March 31,
2026		Total (gains)
losses attributable
to liabilities still
held
(Amounts in millions)Included
in net
(income)
loss		Included
in OCI		PurchasesSalesIssuancesSettlementsTransfer
into
Level 3		Transfer
out of
Level 3		Included
in net
(income)
loss		Included
in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives$138 $(2)$— $— $— $— $(5)$— $(1)$130 $(2)$— 
Indexed universal life embedded derivatives14 — — — — — (1)— — 13 — — 
Total policyholder account balances152 (2)— — — — (6)— (1)143 (2)— 
Derivative liabilities:
Forward bond purchase commitments107 1 8 — — — — — — 116 1 8 
Total derivative liabilities107 1 8 — — — — — — 116 1 8 
Total Level 3 liabilities$259 $(1)$8 $— $— $— $(6)$— $(1)$259 $(1)$8 
Beginning
balance
as of
January 1, 2025		Total realized and
unrealized (gains)
losses		Ending
balance
as of
March 31,
2025		Total (gains)
losses attributable
to liabilities still
held
(Amounts in millions)Included
in net
(income)
loss		Included
in OCI		PurchasesSalesIssuancesSettlementsTransfer
into
Level 3		Transfer
out of
Level 3		Included
in net
(income)
loss		Included
in OCI
Policyholder account balances:
Fixed indexed annuity embedded derivatives$155 $(4)$— $— $— $— $(5)$— $(1)$145 $(4)$— 
Indexed universal life embedded derivatives15 (1)— — — — (1)— — 13 (1)— 
Total policyholder account balances170 (5)— — — — (6)— (1)158 (5)— 
Derivative liabilities:
Forward bond purchase commitments71 (4)(23)— — — — — — 44 (4)(22)
Total derivative liabilities71 (4)(23)— — — — — — 44 (4)(22)
Total Level 3 liabilities$241 $(9)$(23)$— $— $— $(6)$— $(1)$202 $(9)$(22)
The following table presents the gains and losses included in net (income) loss 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 condensed consolidated statements of operations line item in which these gains and losses were presented for the periods indicated:
Three months ended
March 31,
(Amounts in millions)20262025
Total realized and unrealized (gains) losses included in net (income) loss:
Net investment income$— $— 
Net investment (gains) losses(1)(9)
Total$(1)$(9)
Total (gains) losses included in net (income) loss attributable to liabilities still held:
Net investment income$— $— 
Net investment (gains) losses(1)(9)
Total$(1)$(9)
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) loss” in the tables presented above.
The following table presents a summary of the significant unobservable inputs used for certain liability fair value measurements that are based on internal models and classified as Level 3 as of March 31, 2026:
(Amounts in millions)Fair valueUnobservable inputRange
Weighted-average (1)
Policyholder account balances:
Fixed indexed annuity embedded derivatives$130 Expected future interest credited
1% - 4%
2%
Indexed universal life embedded derivatives$13 Expected future interest credited
3% - 11%
5%
Net market risk benefits: (2)
Fixed indexed annuities$53 GMWB utilization rate
20% - 100%
77%
Non-performance risk
(credit spreads)
42bps - 83bps
69bps
Expected future interest credited
1% - 4%
2%
Variable annuities$315 Lapse rate
2% - 11%
5%
GMWB utilization rate
59% - 90%
81%
Non-performance risk
(credit spreads)
42bps - 83bps
69bps
Equity index volatility
19% - 28%
24%
Derivative liabilities:
Forward bond purchase commitments$116 Counterparty financing spreads
14bps - 45bps
36bps
______________
(1)Unobservable inputs weighted by the policyholder account balances associated with the instrument and notional for derivative liabilities.
(2)Refer to note 11 for additional details related to MRBs.
The liabilities included in the table above are valued using an option budget method for our fixed indexed annuity and indexed universal life embedded derivative liabilities and discounted cash flows for our MRBs and derivative liabilities.
Assets and Liabilities Not Required to Be Carried at Fair Value
Assets and liabilities that are reflected in the accompanying condensed consolidated financial statements at fair value are not included in the following disclosure of fair value. Such items include cash and cash equivalents, short-term investments, investment securities, MRBs, separate accounts and derivative instruments. Apart from certain of our borrowings and certain marketable securities, few of the instruments are actively traded and their fair values must often be determined using internal models. The fair value estimates are made at a specific point in time, based upon available market information and judgments about the financial instruments, including estimates of the timing and amount of expected future cash flows and the credit standing of counterparties. Such estimates do not reflect any premium or discount that could result from offering for sale at one time our entire holdings of a particular financial instrument, nor do they consider the tax impact of the realization of unrealized gains or losses. In many cases, the fair value estimates cannot be substantiated by comparison to independent markets.
The following represents our estimated fair value of financial assets and liabilities that are not required to be carried at fair value as of the dates indicated:
March 31, 2026
(Amounts in millions)Notional
amount		Carrying
amount		Fair value
TotalLevel 1Level 2Level 3
Assets:
Commercial mortgage loans, net
(1)
$6,293 $6,047 $— $6 $6,041 
Other invested assets
(1)
657 665 — — 665 
Liabilities:
Long-term borrowings
(1)
1,509 1,436 — 1,436 — 
Investment contracts
(1)
3,917 3,950 — — 3,950 
Commitments to fund investments:
Bank loan investments$119 
Private placement investments656 
Commercial mortgage loans10 
______________
(1)These financial instruments do not have notional amounts.
December 31, 2025
(Amounts in millions)Notional
amount		Carrying
amount		Fair value
TotalLevel 1Level 2Level 3
Assets:
Commercial mortgage loans, net
(1)
$6,304 $6,092 $— $6 $6,086 
Other invested assets
(1)
642 651 — — 651 
Liabilities:
Long-term borrowings
(1)
1,513 1,471 — 1,471 — 
Investment contracts
(1)
3,869 3,944 — — 3,944 
Commitments to fund investments:
Bank loan investments$118 
Private placement investments362 
Commercial mortgage loans7 
______________
(1)These financial instruments do not have notional amounts.
As of March 31, 2026 and December 31, 2025, we had $30 million and $29 million, respectively, of real estate owned and associated assets included in other invested assets in our condensed consolidated balance sheets acquired through foreclosure in full or partial settlement of commercial mortgage loan obligations. These properties 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. These amounts represented the fair value as of March 31, 2026 and December 31, 2025. The fair value of the real estate owned assets is classified as Level 2.
Assets Measured Using Net Asset Value
Limited partnerships include partnership interests accounted for using NAV per share (or its equivalent) or fair value for those interests considered minor and partnership interests accounted for under the equity method of accounting for those interests exceeding the minor threshold. Our limited partnership interests accounted for using NAV per share (or its equivalent) are generally not redeemable by the investees and generally cannot be sold without approval of the general partner. We receive distributions of income and proceeds from the liquidation of the underlying assets of the investees, which usually takes place in years five to ten of the typical contractual life of ten to 12 years.
The following table presents the carrying value of limited partnerships and commitments to fund as of the dates indicated:
March 31, 2026December 31, 2025
(Amounts in millions)Carrying
value		Commitments
to fund		Carrying
value		Commitments
to fund
Limited partnerships accounted for at NAV:
Private equity and credit funds (1)
$2,520 $1,590 $2,475 $1,619 
Real estate funds (2)
132 63 137 65 
Infrastructure funds (3)
171 157 156 151 
Total limited partnerships accounted for at NAV2,823 1,810 2,768 1,835 
Limited partnerships accounted for at fair value20 1 16 1 
Limited partnerships accounted for under equity method of accounting685 94 700 80 
Total$3,528 $1,905 $3,484 $1,916 
______________
(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.