Jackson Financial Inc.JXN
Jackson Financial Inc. Fair Value Disclosure
Fair Value Measurements
Fair value measurements are based upon observable and unobservable inputs. Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect the Company’s view of market assumptions in the absence of observable market information. The Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. All financial assets and liabilities measured at fair value are required to be classified into one of the following categories:
Level 1 | Observable inputs that reflect quoted prices for identical assets or liabilities in active markets that the Company has the ability to access at the measurement date. Level 1 securities include U.S. Treasury securities and exchange traded equity securities and derivative instruments. | |||||||
Level 2 | Observable inputs, other than quoted prices included in Level 1, for the asset or liability or prices for similar assets and liabilities. Most debt securities that are model priced using observable inputs are classified within Level 2. Also included are freestanding and embedded derivative instruments that are priced using models with observable market inputs. | |||||||
Level 3 | Valuations that are derived from techniques in which one or more of the significant inputs are unobservable (including assumptions about risk). Embedded derivatives that are valued using unobservable inputs are included in Level 3. Because Level 3 fair values, by their nature, contain unobservable market inputs, considerable judgment may be used to determine the Level 3 fair values. Level 3 fair values represent the Company’s best estimate of an amount that could be realized in a current market exchange absent actual market exchanges. | |||||||
In many situations, inputs used to measure the fair value of an asset or liability may fall into different levels of the fair value hierarchy. In these situations, the Company determines the level in which the fair value falls based upon the lowest level input that is significant to the determination of the fair value. As a result, both observable and unobservable inputs may be used in the determination of fair values that the Company has classified within Level 3.
The Company determines the fair values of certain financial assets and liabilities based on quoted market prices, where available. The Company may also determine fair value based on estimated future cash flows discounted at the appropriate current market rate. When appropriate, fair values reflect adjustments for counterparty credit quality, the Company’s credit standing, liquidity and risk margins on unobservable inputs.
Where quoted market prices are not available, fair value estimates are made at a point in time, based on relevant market data, as well as the best information about the individual financial instrument. At times, illiquid market conditions may result in inactive markets for certain of the Company’s financial instruments. In such instances, there may be no or limited observable market data for these assets and liabilities. Fair value estimates for financial instruments deemed to be in an illiquid market are based on judgments regarding current economic conditions, liquidity discounts, currency, credit and interest rate risks, loss experience and other factors. These fair values are estimates and involve considerable uncertainty and variability as a result of the inputs selected and may differ materially from the values that would have been used had an active market existed. As a result of market inactivity, such calculated fair value estimates may not be realizable in an immediate sale or settlement of the instrument. In addition, changes in the underlying assumptions used in the fair value measurement technique could significantly affect these fair value estimates.
The following table summarizes the fair value and carrying value of the Company’s financial instruments (in millions):
| December 31, 2025 | December 31, 2024 | |||||||||||||||||||
| Carrying Value | Fair Value | Carrying Value | Fair Value | |||||||||||||||||
| Assets | ||||||||||||||||||||
Debt securities (1) | $ | 50,791 | $ | 50,791 | $ | 43,335 | $ | 43,335 | ||||||||||||
| Equity securities | 172 | 172 | 197 | 197 | ||||||||||||||||
Mortgage loans (1) | 10,211 | 9,948 | 9,911 | 9,351 | ||||||||||||||||
| Limited partnerships | 2,836 | 2,836 | 2,505 | 2,505 | ||||||||||||||||
Policy loans (1) | 4,426 | 4,426 | 4,403 | 4,403 | ||||||||||||||||
| Freestanding derivative instruments | 448 | 448 | 297 | 297 | ||||||||||||||||
| FHLBI capital stock | 119 | 119 | 127 | 127 | ||||||||||||||||
| Cash and cash equivalents | 5,704 | 5,704 | 3,767 | 3,767 | ||||||||||||||||
| Reinsurance recoverable on market risk benefits | 118 | 118 | 121 | 121 | ||||||||||||||||
| Market risk benefit assets | 7,867 | 7,867 | 8,899 | 8,899 | ||||||||||||||||
| Separate account assets | 236,496 | 236,496 | 229,143 | 229,143 | ||||||||||||||||
| Liabilities | ||||||||||||||||||||
Annuity reserves (2) | 45,965 | 45,458 | 38,640 | 36,522 | ||||||||||||||||
| Market risk benefit liabilities | 3,754 | 3,754 | 3,774 | 3,774 | ||||||||||||||||
Guaranteed investment contracts and funding agreements (3) | 11,021 | 11,077 | 8,384 | 8,271 | ||||||||||||||||
Funds withheld payable under reinsurance treaties (1) | 14,960 | 14,960 | 16,742 | 16,742 | ||||||||||||||||
| Long-term debt | 2,030 | 1,877 | 2,034 | 1,836 | ||||||||||||||||
Securities lending payable (4) | 35 | 35 | 14 | 14 | ||||||||||||||||
| Freestanding derivative instruments | 257 | 257 | 361 | 361 | ||||||||||||||||
| Notes issued by consolidated VIEs | 2,578 | 2,578 | 2,343 | 2,343 | ||||||||||||||||
Repurchase agreements (4) | 1,001 | 1,001 | 1,540 | 1,540 | ||||||||||||||||
FHLB advances (5) | — | — | 700 | 700 | ||||||||||||||||
| Separate account liabilities | 236,496 | 236,496 | 229,143 | 229,143 | ||||||||||||||||
(1) Includes items carried at fair value under the fair value option and trading securities included as a component of debt securities. (2) Annuity reserves exclude contracts classified as insurance contracts. (3) Included as a component of other contract holder funds on the Consolidated Balance Sheets. (4) Included as a component of repurchase agreements and securities lending payable on the Consolidated Balance Sheets. (5) Included as a component of other liabilities on the Consolidated Balance Sheets. | ||||||||||||||||||||
The following is a discussion of the methodologies used to determine fair values of the financial instruments measured on a recurring basis reported in the following tables.
Debt and Equity Securities
The fair values for debt and equity securities are determined using information available from independent pricing services, broker-dealer quotes, or internally derived estimates. Priority is given to publicly available prices from independent sources, when available. Securities for which the independent pricing service does not provide a quotation are either submitted to independent broker-dealers for prices or priced internally. Typical inputs used by these three pricing methods include reported trades, benchmark yields, credit spreads, liquidity premiums and/or estimated cash flows based on default and prepayment assumptions.
•Independent pricing services: As a result of typical trading volumes and the lack of specific quoted market prices for most debt securities, independent pricing services will normally derive the security prices through recently reported trades for identical or similar securities, making adjustments through the reporting date based upon available market observable information as outlined above. If there are no recently reported trades, the independent pricing services and broker-dealers may use matrix or pricing model processes to develop a security price where future cash flow expectations are developed based upon collateral performance and discounted at relevant market rates.
On an ongoing basis, the Company reviews the independent pricing services’ valuation methodologies and related inputs and evaluates the various types of securities in its investment portfolio to determine an appropriate fair value hierarchy distribution based upon trading activity and the observability of inputs. Based on the results of this evaluation, each price is classified into Level 1, 2, or 3. Most prices provided by independent pricing services are classified into Level 2 due to their use of market observable inputs.
•Broker-dealer quotes: Certain securities are priced using broker-dealer quotes, which may utilize proprietary inputs and models. The majority of these quotes are non-binding. These securities are classified as Level 3 in the fair value hierarchy.
•Internally derived estimates: These fair value estimates may incorporate Level 2 and Level 3 inputs, as defined below, and are generally derived using expected future cash flows, discounted at market interest rates available from market sources based on the credit quality and duration of the instrument. For securities that may not be reliably priced using these internally developed pricing models, a fair value may be estimated using indicative market prices. These prices are indicative of an exit price, but the assumptions used to establish the fair value may not be observable or corroborated by market observable information and, therefore, represent Level 3 inputs.
For those securities that were internally valued at December 31, 2025 and 2024, the pricing model used by the Company utilizes current spread levels of similarly rated securities to determine the market discount rate for the security. Furthermore, appropriate risk premiums for illiquidity and non-performance are incorporated in the discount rate. Cash flows, as estimated by the Company using issuer-specific default statistics and prepayment assumptions, are discounted to determine an estimated fair value.
The Company performs an analysis on the prices and credit spreads received from third parties to ensure that the prices represent a reasonable estimate of the fair value. This process involves quantitative and qualitative analysis and is overseen by investment and accounting professionals. Examples of procedures performed include initial and ongoing review of third-party pricing service methodologies, review of pricing statistics and trends, back testing recent trades and monitoring of trading volumes. In addition, the Company considers whether prices received from independent broker-dealers represent a reasonable estimate of fair value using internal and external cash flow models, which are developed based on spreads and, when available, market indices. As a result of this analysis, if the Company determines there is a more appropriate fair value based upon the available market data, the price received from the third party may be adjusted accordingly.
Included in the pricing of asset-backed securities are estimates of the rate of future prepayments of principal over the remaining life of the securities. Such estimates are derived based on the characteristics of the underlying structure and prepayment assumptions believed to be relevant for the underlying collateral. Actual prepayment experience may vary from these estimates.
Limited Partnerships
Fair values for limited partnership interests, which are included in other invested assets, are generally determined using the proportion of the Company’s investment in the value of the net assets of each fund (“NAV equivalent”) as a practical expedient for fair value, and generally, are recorded on a three-month lag. No adjustments to these amounts were deemed necessary at December 31, 2025 and 2024. As a result of using that practical expedient, limited partnership interests are not classified in the fair value hierarchy.
The Company’s limited partnership interests are not redeemable, and distributions received are generally the result of liquidation of the underlying assets of the partnerships. The Company generally has the ability under the partnership agreements to sell its interest to another limited partner with the prior written consent of the general partner. In cases when the Company expects to sell the limited partnership interest, the estimated sales price is used to determine the fair value rather than the practical expedient. Limited partnership interests expected to be sold are classified as Level 2 in the fair value hierarchy.
In cases when a limited partnership’s financial statements are unavailable and a NAV equivalent is not available or practical, the fair value may be based on an internally developed model or provided by the general partner as determined using private transactions, information obtained from the primary co-investor or underlying company, or financial metrics provided by the lead sponsor. These investments are classified as Level 3 in the fair value hierarchy.
Policy Loans
Policy loans are funds provided to policyholders in return for a claim on their policies' values. They are repaid upon repayment, death or surrender, and there is only one market price at which the loans can be settled – the then current carrying value. The loans are limited to, and fully collateralized by, the cash surrender value of the underlying policy. The nature of policy loans is to have a negligible default risk. Policy loans do not have a stated maturity, and the balances and accrued interest are repaid either by the policyholder or with proceeds from the policy. Due to the collateralized nature of policy loans and unpredictable timing of payments, the Company believes the carrying value of policy loans approximates fair value. The reinsurance related component of policy loans at fair value under the fair value option has been classified as Level 3 within the fair value hierarchy.
Freestanding Derivative Instruments
Freestanding derivative instruments are reported at fair value, which reflects the estimated amounts, net of payment accruals, that the Company would receive or pay upon sale or termination of the contracts at the reporting date. Changes in fair value are included in net gains (losses) on derivatives and investments. Freestanding derivatives priced using third-party pricing services incorporate inputs that are observable in the market. Inputs used to value derivatives include interest rate swap curves, credit spreads, interest rates, counterparty credit risk, equity volatility and equity index levels.
Freestanding derivative instruments classified as:
•Level 1 include futures, which are traded on active exchanges.
•Level 2 include interest rate swaps, cross currency swaps, credit default swaps, total return swaps, bond forwards, put-swaptions and certain equity index call and put options. These derivative valuations are determined by third-party pricing services using pricing models with inputs that are observable in the market or can be derived principally from, or corroborated by, observable market data.
•Level 3 include interest rate contingent options that are valued by third-party pricing services utilizing significant unobservable inputs.
Cash and Cash Equivalents
Cash and cash equivalents primarily include money market instruments and bank deposits. Cash equivalents also include all highly liquid securities and other investments purchased with an original or remaining maturity of three months or less at the date of purchase. Certain money market instruments are valued using unadjusted quoted prices in active markets and are classified as Level 1.
Funds Withheld Payable Under Reinsurance Treaties
The funds withheld payable under reinsurance treaties includes:
•The funds withheld payable that is held at fair value under the fair value option: the fair value is equal to the fair value of the assets held as collateral, which primarily consists of policy loans using industry standard valuation techniques.
•The funds withheld embedded derivative: the fair value is determined based upon a total return swap technique referencing the fair value of the investments held under the reinsurance contract and requires certain significant unobservable inputs.
Both are considered Level 3 in the fair value hierarchy.
Separate Account Assets
Separate account assets are comprised of investments in mutual funds that transact regularly, but do not trade in active markets as they are not publicly available and are categorized as Level 2 assets.
Market Risk Benefits
Our market risk benefits ("MRB") assets and MRB liabilities are reported separately on our Consolidated Balance Sheets. Increases to an asset or decreases to a liability are described as favorable changes to fair value. Changes in fair value are reported in Market risk benefits (gains) losses, net on the Consolidated Income Statements. However, the change in fair value related to our own non-performance risk is recognized as a component of other comprehensive income ("OCI") and is reported in Change in non-performance on market risk benefits, net of tax expense (benefit) on the Consolidated Statements of Comprehensive Income (Loss).
Variable Annuities
Variable annuity contracts issued by the Company may include various guaranteed minimum death, withdrawal, income and accumulation benefits, which are classified as MRBs and measured at fair value.
The fair value of variable annuity guaranteed benefit features classified as MRBs, which have explicit fees, are measured using the attributed fee method as the difference between the present value of projected future liabilities and the present value of projected attributed fees. At the inception of the contract, the Company attributes to the MRB a portion of total fees expected to be assessed against the contract holder's account value to offset the projected claims over the lifetime of the contract. The attributed fee is expressed as a percentage of total projected future fees at inception of the contract. This percentage of total projected fees is considered a fixed term of the MRB feature and is held static over the life of the contract. As the Company may issue contracts that have projected future liabilities greater than the projected future guaranteed benefit fees at issue, the Company may also attribute mortality and expense charges when performing this calculation. The percentage of guaranteed benefit fees and the percentage of mortality and expense charges may not exceed 100% of the total projected fees as of contract inception. In subsequent valuations, both the present value of future projected liabilities and the present value of projected attributed fees are remeasured based on current market conditions and policyholder behavior assumptions.
The Company has ceded the guaranteed minimum income benefit (“GMIB”) features elected on certain annuity contracts to an unrelated party. The GMIBs ceded under this reinsurance treaty are classified as a MRB in their entirety. The reinsurance contract is measured at fair value and reported in Reinsurance recoverable on market risk benefits. Changes in fair value are recorded in Market risk benefits (gains) losses, net. Due to the inability to economically reinsure or hedge new issues of the GMIB, the Company discontinued offering the benefit in 2009.
Fair values for MRBs related to variable annuities, including the contract reinsuring GMIB features, are calculated using internally developed models because active, observable markets do not exist for those guaranteed benefits.
The fair value calculation is based on the present value of future cash flows comprised of future expected benefit payments, less future attributed rider fees, over the lives of the contracts. Estimating these cash flows requires numerous estimates and subjective judgments related to capital market inputs, as well as actuarially determined assumptions related to expectations concerning policyholder behavior. Capital market inputs include expected market rates of return, market volatility, correlations of market index returns to fund returns, and discount rates, which include an adjustment for non-performance risk. The more significant actuarial assumptions include benefit utilization by policyholders, lapse, mortality, and withdrawal rates. Best estimate assumptions plus risk margins are used as applicable.
At each valuation date, the fair value calculation reflects expected returns based on treasury rates as of that date to determine the value of expected future cash flows produced in a stochastic process. Volatility assumptions are based on available market data for implied market volatility for durations up to 5 years, grading to a historical volatility level by year 10, where such long-term historical volatility levels contain an explicit risk margin. Non-performance risk is incorporated into the calculation through the adjustment of the risk-free rate curve based on credit spreads for debt and debt-like instruments issued by the Company or its insurance operating subsidiaries, adjusted, as necessary, to reflect the financial strength ratings of the issuing insurance subsidiaries. Risk margins are also incorporated into the model assumptions, particularly for policyholder behavior. Estimates of future policyholder behavior are subjective and are based primarily on the Company’s experience.
As markets change, mature and evolve and actual policyholder behavior emerges, management evaluates the appropriateness of its assumptions for the fair value model.
The use of the models and assumptions described above requires a significant amount of judgment. Management believes this results in an amount that the Company would be required to transfer for a liability, or receive for an asset, to or from a willing buyer or seller, if one existed, for those market participants to assume the risks associated with the guaranteed benefits and the related reinsurance. However, the ultimate settlement amount of the asset or liability, which is currently unknown, could likely be significantly different than this fair value.
Fixed Index Annuities and RILA
Our FIA and RILA contracts may be issued with features that guarantee benefits that are payable upon death (GMDB) or upon depletion of funds (GMWB). These features are classified as MRBs and measured at fair value.
Where the guaranteed benefit features have explicit fees, the fair value of the MRB is measured as the difference between the present value of projected future guaranteed benefits and the present value of projected attributed fees (the attributed fee method). At inception of the contract, the Company attributes a percentage of total projected future fees expected to be assessed against the policyholder to offset the projected future guaranteed benefits over the lifetime of the contract. Where the projected attributed fees are sufficient to offset the projected guaranteed benefits at issue, the MRB has an initial fair value of zero resulting in no gain or loss on issuance of the contract. If the projected attributed fees are insufficient to offset the projected guaranteed benefits at issue, an MRB liability is recognized and the value of the MRB is deducted from the host contract liability resulting in no gain or loss on issuance of the contract.
If the guaranteed benefits do not have explicit fees, the fair value of the MRB is measured as the present value of projected future guaranteed benefits. At inception, the initial value of the MRB is deducted from the host contract liability resulting in no gain or loss on issuance of the contract.
See Note 12 - Market Risk Benefits of these Notes to Consolidated Financial Statements for more information regarding MRBs.
Indexed-Linked Crediting Derivative Feature in Fixed Index Annuities and RILA
The fair value of the index-linked crediting derivative feature embedded in fixed index annuities and RILA, included in Annuity Reserves in the above tables, is calculated using the closed form Black-Scholes Option Pricing model or Monte Carlo simulations, as appropriate for the type of option. The calculation incorporates such factors as the volatility of returns, the level of interest rates and the time remaining until the option expires. Additionally, although not a significant input, assumed withdrawal rates are used to estimate the expected volume of embedded options that will be realized by policyholders.
Notes Issued by Consolidated VIEs
These notes are issued by CLOs and are carried at fair value under the fair value option based on the fair values of corresponding fixed maturity collateral. The CLO liabilities are also reduced by the fair value of the beneficial interest the Company retains in the CLO and the carrying value of any beneficial interests that represent compensation for services. As the notes are valued based on the reference collateral, they are classified as Level 2.
Fair Value Option
The Company elected the fair value option for:
•Debt securities reflected on the Company’s Consolidated Balance Sheets as debt securities related to:
◦certain consolidated investments totaling $2,698 million and $2,429 million at December 31, 2025 and 2024, respectively.
◦certain debt securities the Company began purchasing during the third quarter of 2024, for purposes of mitigating components of exposure to changes in the value of certain market risk benefits. The Company elected the fair value option on these debt securities, with changes in fair value reflected in net income, to align with the corresponding changes in the value of the market risk benefits recognized through net income. These debt securities totaled $766 million and $501 million at December 31, 2025 and 2024, respectively.
•Certain funds withheld assets, which are held as collateral for reinsurance, totaling $3,867 million and $4,054 million at December 31, 2025 and 2024, respectively, as discussed above, and include mortgage loans as discussed below.
•Certain mortgage loans held under the funds withheld reinsurance agreement with Athene. The fair value option was elected for these mortgage loans, purchased or funded after December 31, 2021, to mitigate inconsistency in earnings that would otherwise result between these mortgage loan assets and the funds withheld liability, including the associated embedded derivative, and are valued using third-party pricing services. Changes in fair value are reflected in net investment income on the Consolidated Income Statements.
The fair value and aggregate contractual principal for mortgage loans where the fair value option was elected after December 31, 2021, were as follows (in millions):
| December 31, | ||||||||
| 2025 | 2024 | |||||||
| Fair value | $ | 324 | $ | 449 | ||||
| Aggregate contractual principal | 330 | 464 | ||||||
As of December 31, 2025, no loans in good standing for which the fair value option was elected were in non-accrual status, and no loans were more than 90 days past due and still accruing interest.
•Notes issued by consolidated VIEs totaling $2,578 million and $2,343 million at December 31, 2025 and 2024, respectively.
Income and changes in unrealized gains and losses on other assets for which the Company has elected the fair value option are immaterial to the Company’s Consolidated Financial Statements.
Assets and Liabilities Measured at Fair Value on a Recurring Basis
The following tables summarize the Company’s assets and liabilities that are carried at fair value by hierarchy levels (in millions):
| December 31, 2025 | ||||||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||||||||
| Assets | ||||||||||||||||||||
| Debt securities | ||||||||||||||||||||
| U.S. government securities | $ | 3,005 | $ | 3,005 | $ | — | $ | — | ||||||||||||
| Other government securities | 1,065 | — | 1,065 | — | ||||||||||||||||
| Public utilities | 6,146 | — | 6,146 | — | ||||||||||||||||
| Corporate securities | 32,916 | — | 32,570 | 346 | ||||||||||||||||
| Residential mortgage-backed | 442 | — | 442 | — | ||||||||||||||||
| Commercial mortgage-backed | 1,829 | — | 1,829 | — | ||||||||||||||||
| Other asset-backed securities | 5,388 | — | 4,962 | 426 | ||||||||||||||||
| Equity securities | 172 | 10 | 155 | 7 | ||||||||||||||||
| Mortgage loans | 324 | — | — | 324 | ||||||||||||||||
Limited partnerships (1) | 250 | — | — | 250 | ||||||||||||||||
| Policy loans | 3,537 | — | — | 3,537 | ||||||||||||||||
| Freestanding derivative instruments | 448 | — | 448 | — | ||||||||||||||||
| Cash and cash equivalents | 5,704 | 5,704 | — | — | ||||||||||||||||
| Reinsurance recoverable on market risk benefits | 118 | — | — | 118 | ||||||||||||||||
| Market risk benefit assets | 7,867 | — | — | 7,867 | ||||||||||||||||
| Separate account assets | 236,496 | — | 236,496 | — | ||||||||||||||||
| Total | $ | 305,707 | $ | 8,719 | $ | 284,113 | $ | 12,875 | ||||||||||||
| Liabilities | ||||||||||||||||||||
Embedded derivative liabilities (2) | $ | 6,906 | $ | — | $ | 6,906 | $ | — | ||||||||||||
Funds withheld payable under reinsurance treaties (3) | 1,971 | — | — | 1,971 | ||||||||||||||||
| Freestanding derivative instruments | 257 | — | 257 | — | ||||||||||||||||
| Notes issued by consolidated VIEs | 2,578 | — | 2,578 | — | ||||||||||||||||
| Market risk benefit liabilities | 3,754 | — | — | 3,754 | ||||||||||||||||
Total | $ | 15,466 | $ | — | $ | 9,741 | $ | 5,725 | ||||||||||||
(1) Excludes $2,586 million of limited partnership investments measured at NAV equivalent. | ||||||||||||||||||||
(2) Includes the embedded derivative liabilities of $6,043 million related to RILA and $863 million of fixed index annuities, both included in other contract holder funds on the Consolidated Balance Sheets. | ||||||||||||||||||||
(3) Includes the Athene embedded derivative asset of $1,752 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. | ||||||||||||||||||||
| December 31, 2024 | |||||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | ||||||||||||||
| Assets | |||||||||||||||||
| Debt securities | |||||||||||||||||
| U.S. government securities | $ | 3,159 | $ | 3,159 | $ | — | $ | — | |||||||||
| Other government securities | 1,094 | — | 1,094 | — | |||||||||||||
| Public utilities | 5,156 | — | 5,112 | 44 | |||||||||||||
| Corporate securities | 27,978 | — | 27,704 | 274 | |||||||||||||
| Residential mortgage-backed | 338 | — | 338 | — | |||||||||||||
| Commercial mortgage-backed | 1,577 | — | 1,577 | — | |||||||||||||
| Other asset-backed securities | 4,033 | — | 3,372 | 661 | |||||||||||||
| Equity securities | 197 | 9 | 181 | 7 | |||||||||||||
| Mortgage loans | 449 | — | — | 449 | |||||||||||||
Limited partnerships (1) | 195 | — | — | 195 | |||||||||||||
| Policy loans | 3,489 | — | — | 3,489 | |||||||||||||
| Freestanding derivative instruments | 297 | — | 297 | — | |||||||||||||
| Cash and cash equivalents | 3,767 | 3,767 | — | — | |||||||||||||
| Reinsurance recoverable on market risk benefits | 121 | — | — | 121 | |||||||||||||
| Market risk benefit assets | 8,899 | — | — | 8,899 | |||||||||||||
| Separate account assets | 229,143 | — | 229,143 | — | |||||||||||||
| Total | $ | 289,892 | $ | 6,935 | $ | 268,818 | $ | 14,139 | |||||||||
| Liabilities | |||||||||||||||||
Embedded derivative liabilities (2) | $ | 3,942 | $ | — | $ | 3,942 | $ | — | |||||||||
Funds withheld payable under reinsurance treaties (3) | 1,353 | — | — | 1,353 | |||||||||||||
| Freestanding derivative instruments | 361 | — | 361 | — | |||||||||||||
| Notes issued by consolidated VIEs | 2,343 | — | 2,343 | — | |||||||||||||
| Market risk benefit liabilities | 3,774 | — | — | 3,774 | |||||||||||||
Total | $ | 11,773 | $ | — | $ | 6,646 | $ | 5,127 | |||||||||
(1) Excludes $2,310 million of limited partnership investments measured at NAV equivalent. | |||||||||||||||||
(2) Includes the embedded derivative liabilities of $3,065 million related to RILA and $877 million of fixed index annuities, both included in other contract holder funds on the Consolidated Balance Sheets. | |||||||||||||||||
(3) Includes the Athene embedded derivative asset of $2,314 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. | |||||||||||||||||
Assets and Liabilities Measured at Fair Value Using Significant Unobservable Inputs (Level 3)
Level 3 Assets and Liabilities by Price Source
The table below presents the balances of Level 3 assets and liabilities measured at fair value with their corresponding pricing sources (in millions):
| December 31, 2025 | |||||||||||
| Assets | Total | Internal | External | ||||||||
Debt securities: | |||||||||||
Corporate | $ | 346 | $ | 31 | $ | 315 | |||||
Other asset-backed securities | 426 | 84 | 342 | ||||||||
Equity securities | 7 | 1 | 6 | ||||||||
| Mortgage loans | 324 | — | 324 | ||||||||
Limited partnerships | 250 | 1 | 249 | ||||||||
Policy loans | 3,537 | 3,537 | — | ||||||||
| Reinsurance recoverable on market risk benefits | 118 | 118 | — | ||||||||
| Market risk benefit assets | 7,867 | 7,867 | — | ||||||||
Total | $ | 12,875 | $ | 11,639 | $ | 1,236 | |||||
| Liabilities | |||||||||||
Funds withheld payable under reinsurance treaties (1) | 1,971 | 1,971 | — | ||||||||
| Market risk benefit liabilities | 3,754 | 3,754 | — | ||||||||
Total | $ | 5,725 | $ | 5,725 | $ | — | |||||
(1) Includes the Athene Embedded Derivative asset of $1,752 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. | |||||||||||
| December 31, 2024 | |||||||||||
| Assets | Total | Internal | External | ||||||||
Debt securities: | |||||||||||
| Public utilities | $ | 44 | $ | 44 | $ | — | |||||
Corporate | 274 | 47 | 227 | ||||||||
Other asset-backed securities | 661 | 28 | 633 | ||||||||
Equity securities | 7 | 1 | 6 | ||||||||
| Mortgage loans | 449 | — | 449 | ||||||||
Limited partnerships | 195 | 1 | 194 | ||||||||
Policy loans | 3,489 | 3,489 | — | ||||||||
| Reinsurance recoverable on market risk benefits | 121 | 121 | — | ||||||||
| Market risk benefit assets | 8,899 | 8,899 | — | ||||||||
Total | $ | 14,139 | $ | 12,630 | $ | 1,509 | |||||
| Liabilities | |||||||||||
Funds withheld payable under reinsurance treaties (1) | 1,353 | 1,353 | — | ||||||||
| Market risk benefit liabilities | 3,774 | 3,774 | — | ||||||||
Total | $ | 5,127 | $ | 5,127 | $ | — | |||||
(1) Includes the Athene Embedded Derivative asset of $2,314 million and funds withheld payable under reinsurance treaties at fair value under the fair value option. | |||||||||||
External pricing sources for securities represent unadjusted prices from independent pricing services and independent indicative broker quotes where pricing inputs are not readily available.
Quantitative Information Regarding Internally-Priced Level 3 Assets and Liabilities
The table below presents quantitative information on internally priced Level 3 assets and liabilities that use significant unobservable inputs (dollar amounts in millions):
| As of December 31, 2025 | |||||||||||||||||
| Fair Value | Valuation Technique(s) | Significant Unobservable Input(s) | Assumption or Input Range | Impact of Increase in Input on Fair Value | |||||||||||||
| Assets | |||||||||||||||||
| Reinsurance recoverable on market risk benefits | $ | 118 | Discounted cash flow | Mortality(1) | 0.01% - 23.31% | Increase | |||||||||||
Lapse(2) | 1.51% - 13.43% | Increase | |||||||||||||||
Utilization(3) | 0.00% - 50.00% | Decrease | |||||||||||||||
Withdrawal(4) | 41.00% - 48.50% | Decrease | |||||||||||||||
Non-performance risk adjustment(5) | 0.30% - 1.09% | Increase | |||||||||||||||
Long-term Equity Volatility(6) | 17.50% - 23.50% | Decrease | |||||||||||||||
| Market risk benefit assets | $ | 7,867 | Discounted cash flow | Mortality(1) | 0.00% - 28.14% | Increase | |||||||||||
Lapse(2) | 0.05% - 51.00% | Increase | |||||||||||||||
Utilization(3) | 0.00% - 100.00% | Decrease | |||||||||||||||
Withdrawal(4) | 4.15% - 100.00% | Decrease | |||||||||||||||
Non-performance risk adjustment(5) | 0.57% - 1.67% | Increase | |||||||||||||||
Long-term Equity Volatility(6) | 17.50% - 23.50% | Decrease | |||||||||||||||
| Liabilities | |||||||||||||||||
| Market risk benefit liabilities | $ | 3,754 | Discounted cash flow | Mortality(1) | 0.00% - 28.14% | Decrease | |||||||||||
Lapse(2) | 0.05% - 51.00% | Decrease | |||||||||||||||
Utilization(3) | 0.00% - 100.00% | Increase | |||||||||||||||
Withdrawal(4) | 4.15% - 100.00% | Increase | |||||||||||||||
Non-performance risk adjustment(5) | 0.57% - 1.67% | Decrease | |||||||||||||||
Long-term Equity Volatility(6) | 17.50% - 23.50% | Increase | |||||||||||||||
(1) Mortality rates vary by attained age, guaranteed benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied.
(2) Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and guaranteed benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money. Lapse rates are also adjusted to reflect lower lapse expectations when guaranteed benefits are utilized.
(3 The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money.
(4) The withdrawal rate represents the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount under the free partial withdrawal provision or the GMWB, as applicable. Free partial withdrawal rates vary based on the product type, duration, and GMAB election. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions.
(5) Non-performance risk adjustment is applied as a spread over the risk-free rate to determine the rate used to discount the related cash flows and varies by projection year.
(6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available.
| As of December 31, 2024 | |||||||||||||||||
| Fair Value | Valuation Technique(s) | Significant Unobservable Input(s) | Assumption or Input Range | Impact of Increase in Input on Fair Value | |||||||||||||
| Assets | |||||||||||||||||
| Reinsurance recoverable on market risk benefits | $ | 121 | Discounted cash flow | Mortality(1) | 0.01% - 20.63% | Increase | |||||||||||
Lapse(2) | 1.47% - 8.10% | Increase | |||||||||||||||
Utilization(3) | 0.00% - 50.00% | Decrease | |||||||||||||||
Withdrawal(4) | 41.00% - 46.50% | Decrease | |||||||||||||||
Non-performance risk adjustment(5) | 0.35% - 1.20% | Increase | |||||||||||||||
Long-term Equity Volatility(6) | 18.50% | Decrease | |||||||||||||||
| Market risk benefit assets | $ | 8,899 | Discounted cash flow | Mortality(1) | 0.00% - 23.47% | Increase | |||||||||||
Lapse(2) | 0.05% - 30.76% | Increase | |||||||||||||||
Utilization(3) | 0.00% - 100.00% | Decrease | |||||||||||||||
Withdrawal(4) | 4.00% - 100.00% | Decrease | |||||||||||||||
Non-performance risk adjustment(5) | 0.65% - 1.75% | Increase | |||||||||||||||
Long-term Equity Volatility(6) | 18.50% | Decrease | |||||||||||||||
| Liabilities | |||||||||||||||||
| Market risk benefit liabilities | $ | 3,774 | Discounted cash flow | Mortality(1) | 0.00% - 23.47% | Decrease | |||||||||||
Lapse(2) | 0.05% - 30.76% | Decrease | |||||||||||||||
Utilization(3) | 0.00% - 100.00% | Increase | |||||||||||||||
Withdrawal(4) | 4.00% - 100.00% | Increase | |||||||||||||||
Non-performance risk adjustment(5) | 0.65% - 1.75% | Decrease | |||||||||||||||
Long-term Equity Volatility (6) | 18.50% | Increase | |||||||||||||||
(1) Mortality rates vary by attained age, tax qualification status, guaranteed benefit election, and duration. The range displayed reflects ages from the minimum issue age for the benefit through age 95, which corresponds to the typical maturity age. A mortality improvement assumption is also applied.
(2) Base lapse rates vary by contract-level factors, such as product type, surrender charge schedule and guaranteed benefits election. Lapse rates are further adjusted based on the degree to which a guaranteed benefit is in-the-money, with lower lapse applying when benefits are more in-the-money. Lapse rates are also adjusted to reflect lower lapse expectations when guaranteed benefits are utilized.
(3) The utilization rate represents the expected percentage of contracts that will utilize the benefit through annuitization (GMIB) or commencement of withdrawals (GMWB). Utilization may vary by benefit type, attained age, duration, tax qualification status, benefit provision, and degree to which the guaranteed benefit is in-the-money.
(4) The withdrawal rate represents the percentage of annual withdrawal assumed relative to the maximum allowable withdrawal amount under the free partial withdrawal provision or the GMWB, as applicable. Free partial withdrawal rates vary based on the product type and duration. Withdrawal rates on contracts with a GMWB vary based on attained age, tax qualification status, GMWB type and GMWB benefit provisions.
(5) Non-performance risk adjustment is applied as a spread over the risk-free rate to determine the rate used to discount the related cash flows and varies by projection year.
(6) Long-term equity volatility represents the equity volatility beyond the period for which observable equity volatilities are available.
Sensitivity to Changes in Unobservable Inputs
The following is a general description of sensitivities of significant unobservable inputs and their impact on the fair value measurement for the assets and liabilities reflected in the tables above.
•Investments: At December 31, 2025 and 2024, $117 million and $121 million, respectively, of debt securities, equity securities, and limited partnerships are fair valued using techniques incorporating unobservable inputs and are classified in Level 3 of the fair value hierarchy. For these assets, their unobservable inputs and ranges of possible inputs do not materially affect their fair valuations and have been excluded from the quantitative information in the tables above.
•Policy Loans: Policy loans that support funds withheld reinsurance agreements that are held at fair value under the fair value option on the Company’s Consolidated Balance Sheets are excluded from the tables above. These policy loans do not have a stated maturity and the balances, plus accrued investment income, are repaid either by the policyholder or with proceeds from the policy. Due to the collateralized nature of policy loans and unpredictable timing of payments, the Company believes the carrying value of policy loans, which includes accrued investment income, approximates fair value and is classified as Level 3 within the fair value hierarchy.
•Funds Withheld Payable:
◦Under the Reassure America Life Insurance Company reinsurance treaties, fair value is determined based upon the fair value of the funds withheld investments held by the Company and is excluded from the tables above.
◦Under the Athene reinsurance treaty, the calculation includes the Athene embedded derivative that is measured at fair value. The valuation of the embedded derivative utilizes a total return swap technique that incorporates the fair value of the invested assets supporting the reinsurance agreement as a component of the valuation and is excluded from the table above.
As a result, these valuations require certain significant inputs that are generally not observable and, accordingly, the valuation is considered Level 3 in the fair value hierarchy.
•GMIB reinsurance recoverable: fair value calculation is based on the present value of future cash flows comprised of future expected reinsurance benefit receipts, less future attributed premium payments to reinsurers, over the lives of the contracts. Estimating these cash flows requires actuarially determined assumptions related to expectations concerning policyholder behavior and long-term market volatility. The more significant policyholder behavior actuarial assumptions include benefit utilization, lapse, and mortality.
•MRB asset and liability: fair value calculation is based on the present value of future cash flows comprised of future expected benefit payments, less future attributed fees (if applicable), over the lives of the contracts. Estimating these cash flows requires numerous estimates and subjective judgments related to capital market inputs, as well as actuarially determined assumptions related to expectations concerning policyholder behavior. The more significant actuarial assumptions include benefit utilization by policyholders, lapse, mortality, and withdrawal rates. Best estimate assumptions plus risk margins are used as applicable.
The tables below provide roll-forwards for the years ended December 31, 2025 and 2024 of the financial instruments for which significant unobservable inputs (Level 3) are used in the fair value measurement. Gains and losses in the tables below include changes in fair value due partly to observable and unobservable factors. The Company utilizes derivative instruments to manage the risk associated with certain assets and liabilities. However, the derivative instruments hedging the related risks may not be classified within the same fair value hierarchy level as the associated assets and liabilities. Therefore, the impact of the derivative instruments reported in Level 3 may vary significantly from the total income effect of the hedged instruments.
| Total Realized/Unrealized Gains (Losses) Included in | |||||||||||||||||||||||
| Purchases, | |||||||||||||||||||||||
| Fair Value | Sales, | Transfers | Fair Value | ||||||||||||||||||||
| as of | Net | Other | Issuances | in and/or | as of | ||||||||||||||||||
| January 1, | Income | Comprehensive | and | (out of) | December 31, | ||||||||||||||||||
| December 31, 2025 | 2025 | (Loss) | Income (Loss) | Settlements | Level 3 | 2025 | |||||||||||||||||
| Assets | |||||||||||||||||||||||
| Debt securities | |||||||||||||||||||||||
| Public utilities | $ | 44 | $ | — | $ | — | $ | (44) | $ | — | $ | — | |||||||||||
| Corporate securities | 274 | 1 | 12 | 33 | 26 | 346 | |||||||||||||||||
| Other asset-backed securities | 661 | (70) | 22 | 88 | (275) | 426 | |||||||||||||||||
| Equity securities | 7 | — | — | — | — | 7 | |||||||||||||||||
| Mortgage loans | 449 | 9 | — | (134) | — | 324 | |||||||||||||||||
| Limited partnerships | 195 | 3 | — | 66 | (14) | 250 | |||||||||||||||||
| Policy loans | 3,489 | 6 | — | 42 | — | 3,537 | |||||||||||||||||
| Reinsurance recoverable on market risk benefits | 121 | (3) | — | — | — | 118 | |||||||||||||||||
| Market risk benefit assets | 8,899 | (1,032) | — | — | — | 7,867 | |||||||||||||||||
| Liabilities | |||||||||||||||||||||||
| Funds withheld payable under reinsurance treaties | (1,353) | (573) | — | (45) | — | (1,971) | |||||||||||||||||
| Market risk benefit liabilities | (3,774) | 430 | (333) | (77) | — | (3,754) | |||||||||||||||||
| Total Realized/Unrealized Gains (Losses) Included in | |||||||||||||||||||||||
| Purchases, | |||||||||||||||||||||||
| Fair Value | Sales, | Transfers | Fair Value | ||||||||||||||||||||
| as of | Net | Other | Issuances | in and/or | as of | ||||||||||||||||||
| January 1, | Income | Comprehensive | and | (out of) | December 31, | ||||||||||||||||||
| December 31, 2024 | 2024 | (Loss) | Income (Loss) | Settlements | Level 3 | 2024 | |||||||||||||||||
| Assets | |||||||||||||||||||||||
| Debt securities | |||||||||||||||||||||||
| Other government securities | $ | 150 | $ | — | $ | 6 | $ | (156) | $ | — | $ | — | |||||||||||
| Public utilities | 41 | (18) | 7 | (41) | 55 | 44 | |||||||||||||||||
| Corporate securities | 83 | 5 | (1) | 153 | 34 | 274 | |||||||||||||||||
| Other asset-backed securities | 975 | (13) | 12 | (313) | — | 661 | |||||||||||||||||
| Equity securities | 8 | (1) | — | — | — | 7 | |||||||||||||||||
| Mortgage loans | 481 | (5) | — | (27) | — | 449 | |||||||||||||||||
| Limited partnerships | 135 | 26 | — | 34 | — | 195 | |||||||||||||||||
| Policy loans | 3,457 | 42 | — | (10) | — | 3,489 | |||||||||||||||||
| Reinsurance recoverable on market risk benefits | 149 | (28) | — | — | — | 121 | |||||||||||||||||
| Market risk benefit assets | 6,737 | 2,162 | — | — | — | 8,899 | |||||||||||||||||
| Liabilities | |||||||||||||||||||||||
| Funds withheld payable under reinsurance treaties | (1,158) | (199) | — | 4 | — | (1,353) | |||||||||||||||||
| Market risk benefit liabilities | (4,785) | 1,674 | (663) | — | — | (3,774) | |||||||||||||||||
The components of the amounts included in purchases, sales, issuances and settlements for the years ended December 31, 2025 and 2024 shown above are as follows (in millions):
| December 31, 2025 | Purchases | Sales | Issuances | Settlements | Total | ||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Debt securities | |||||||||||||||||||||||
| Public utilities | $ | — | $ | (44) | $ | — | $ | — | $ | (44) | |||||||||||||
| Corporate securities | 232 | (199) | — | — | 33 | ||||||||||||||||||
| Residential mortgage-backed | 4 | (4) | — | — | — | ||||||||||||||||||
| Other asset-backed securities | 524 | (436) | — | — | 88 | ||||||||||||||||||
| Mortgage loans | 130 | (264) | — | — | (134) | ||||||||||||||||||
| Limited partnerships | 73 | (7) | — | — | 66 | ||||||||||||||||||
| Policy loans | — | — | 230 | (188) | 42 | ||||||||||||||||||
| Total | $ | 963 | $ | (954) | $ | 230 | $ | (188) | $ | 51 | |||||||||||||
| Liabilities | |||||||||||||||||||||||
| Funds withheld payable under reinsurance treaties | — | — | (1,180) | 1,135 | (45) | ||||||||||||||||||
| Market risk benefit liabilities | — | — | (77) | — | (77) | ||||||||||||||||||
| Total | $ | — | $ | — | $ | (1,257) | $ | 1,135 | $ | (122) | |||||||||||||
| December 31, 2024 | Purchases | Sales | Issuances | Settlements | Total | ||||||||||||||||||
| Assets | |||||||||||||||||||||||
| Debt securities | |||||||||||||||||||||||
| Other government securities | $ | — | $ | (156) | $ | — | $ | — | $ | (156) | |||||||||||||
| Public utilities | 4 | (45) | — | — | (41) | ||||||||||||||||||
| Corporate securities | 230 | (77) | — | — | 153 | ||||||||||||||||||
| Other asset-backed securities | 250 | (563) | — | — | (313) | ||||||||||||||||||
| Mortgage loans | 227 | (254) | — | — | (27) | ||||||||||||||||||
| Limited partnerships | 34 | — | — | — | 34 | ||||||||||||||||||
| Policy loans | — | — | 221 | (231) | (10) | ||||||||||||||||||
| Total | $ | 745 | $ | (1,095) | $ | 221 | $ | (231) | $ | (360) | |||||||||||||
| Liabilities | |||||||||||||||||||||||
| Funds withheld payable under reinsurance treaties | $ | — | $ | — | $ | (697) | $ | 701 | $ | 4 | |||||||||||||
In 2025, transfers from Level 3 to Level 2 of the fair value hierarchy were $388 million and transfers from Level 2 to Level 3 were $139 million. There were $14 million transfers from Level 3 to NAV and no transfers from NAV to Level 3.
In 2024, transfers from Level 3 to Level 2 of the fair value hierarchy were $13 million, transfers from Level 2 to Level 3 were $102 million. There were no transfers from Level 3 to NAV or transfers from NAV to Level 3.
The portion of gains (losses) included in net income (loss) or OCI attributable to the change in unrealized gains and losses on Level 3 financial instruments still held was as follows (in millions):
| Year Ended December 31, | ||||||||||||||||||||||||||
| 2025 | 2024 | |||||||||||||||||||||||||
| Included in Net Income | Included in OCI | Included in Net Income | Included in OCI | |||||||||||||||||||||||
| Assets | ||||||||||||||||||||||||||
| Debt securities | ||||||||||||||||||||||||||
| Public utilities | $ | — | $ | — | $ | (1) | $ | 1 | ||||||||||||||||||
| Corporate securities | 1 | 10 | (3) | (3) | ||||||||||||||||||||||
| Other asset-backed securities | (69) | 21 | (11) | 5 | ||||||||||||||||||||||
| Equity securities | — | — | (1) | — | ||||||||||||||||||||||
| Mortgage loans | 9 | — | (5) | — | ||||||||||||||||||||||
| Limited partnerships | 3 | — | 26 | — | ||||||||||||||||||||||
| Policy loans | 6 | — | 42 | — | ||||||||||||||||||||||
| Reinsurance recoverable on market risk benefits | (3) | — | (28) | — | ||||||||||||||||||||||
| Market risk benefit assets | (1,032) | — | 2,162 | — | ||||||||||||||||||||||
| Liabilities | ||||||||||||||||||||||||||
| Funds withheld payable under reinsurance treaties | (573) | — | (199) | — | ||||||||||||||||||||||
| Market risk benefit liabilities | 430 | (333) | 1,674 | (663) | ||||||||||||||||||||||
Fair Value of Financial Instruments Carried at Other Than Fair Value
The table below presents the carrying amount and fair value by fair value hierarchy level of certain financial instruments that are not reported at fair value (in millions):
| December 31, 2025 | ||||||||||||||||||||
| Fair Value | ||||||||||||||||||||
| Carrying Value | Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||
| Assets | ||||||||||||||||||||
| Mortgage loans | $ | 9,887 | $ | 9,624 | $ | — | $ | — | $ | 9,624 | ||||||||||
| Policy loans | 889 | 889 | — | — | 889 | |||||||||||||||
| FHLBI capital stock | 119 | 119 | 119 | — | — | |||||||||||||||
| Liabilities | ||||||||||||||||||||
Annuity reserves (1) | $ | 39,059 | $ | 38,552 | $ | — | $ | — | $ | 38,552 | ||||||||||
Guaranteed investment contracts and funding agreements (2) | 11,021 | 11,077 | — | — | 11,077 | |||||||||||||||
| Funds withheld payable under reinsurance treaties | 12,989 | 12,989 | — | — | 12,989 | |||||||||||||||
| Long-term debt | 2,030 | 1,877 | — | 1,877 | — | |||||||||||||||
Securities lending payable (3) | 35 | 35 | — | 35 | — | |||||||||||||||
Repurchase agreements (3) | 1,001 | 1,001 | — | 1,001 | — | |||||||||||||||
Separate account liabilities (5) | 236,496 | 236,496 | — | 236,496 | — | |||||||||||||||
| December 31, 2024 | ||||||||||||||||||||
| Fair Value | ||||||||||||||||||||
| Carrying Value | Total | Level 1 | Level 2 | Level 3 | ||||||||||||||||
| Assets | ||||||||||||||||||||
| Mortgage loans | $ | 9,462 | $ | 8,902 | $ | — | $ | — | $ | 8,902 | ||||||||||
| Policy loans | 914 | 914 | — | — | 914 | |||||||||||||||
| FHLBI capital stock | 127 | 127 | 127 | — | — | |||||||||||||||
| Liabilities | ||||||||||||||||||||
Annuity reserves (1) | $ | 34,698 | $ | 32,580 | $ | — | $ | — | $ | 32,580 | ||||||||||
Guaranteed investment contracts and funding agreements (2) | 8,384 | 8,271 | — | — | 8,271 | |||||||||||||||
| Funds withheld payable under reinsurance treaties | 15,389 | 15,389 | — | — | 15,389 | |||||||||||||||
| Long-term debt | 2,034 | 1,836 | — | 1,836 | — | |||||||||||||||
Securities lending payable (3) | 14 | 14 | — | 14 | — | |||||||||||||||
Repurchase agreements (3) | 1,540 | 1,540 | — | 1,540 | — | |||||||||||||||
FHLB advances (4) | 700 | 700 | — | 700 | — | |||||||||||||||
Separate account liabilities (5) | 229,143 | 229,143 | — | 229,143 | — | |||||||||||||||
(1) Annuity reserves represent only the components of other contract holder funds that are considered to be financial instruments. | ||||||||||||||||||||
(2) Included as a component of other contract holder funds on the Consolidated Balance Sheets. | ||||||||||||||||||||
(3) Included as a component of repurchase agreements and securities lending payable on the Consolidated Balance Sheets. | ||||||||||||||||||||
(4) Included as a component of other liabilities on the Consolidated Balance Sheets. | ||||||||||||||||||||
(5) The values of separate account liabilities are set equal to the values of separate account assets. | ||||||||||||||||||||
The following is a discussion of the methodologies used to determine fair values of the financial instruments that are not reported at fair value reported in the table above:
•Mortgage Loans: Fair values are generally determined by discounting expected future cash flows at current market interest rates, inclusive of a credit spread, for similar quality loans. For loans whose value is dependent on the underlying property, fair value is the estimated value of the collateral. Certain characteristics considered significant in determining the spread or collateral value may be based on internally developed estimates. As a result, these investments have been classified as Level 3 within the fair value hierarchy.
Mortgage loans held under a funds withheld reinsurance agreement are valued using third-party pricing services, which may use economic inputs, geographical information, and property specific assumptions in deriving the fair value price. The Company reviews the valuations from these pricing providers to ensure they are reasonable. Due to lack of observable inputs, these investments have been classified as Level 3 within the fair value hierarchy.
•Policy Loans: As described under “Policy Loans” in Note 4 – Investments of these Notes to Consolidated Financial Statements, due to the collateralized nature of policy loans and unpredictable timing of payments, the Company believes the carrying value of policy loans approximates fair value. The non-reinsurance related component of policy loans has been classified as Level 3 within the fair value hierarchy.
•FHLBI Capital Stock: FHLBI capital stock, which is included in other invested assets, can only be sold to FHLBI at a constant price of $100 per share. Due to the lack of valuation uncertainty, the investment has been classified as Level 1.
•Other Contract Holder Funds: Fair values for immediate annuities without mortality features are derived by discounting the future estimated cash flows using current market interest rates for similar maturities. Fair values for deferred annuities, including the fixed option on variable annuities, fixed annuities, fixed index annuities and RILAs, are determined using projected future cash flows discounted at current market interest rates.
Fair values for guaranteed investment contracts and funding agreements are based on the present value of future cash flows discounted at current market interest rates.
•Funds Withheld Payable Under Reinsurance Treaties: The fair value of the funds withheld payable is equal to the fair value of the assets held as collateral, which primarily consists of bonds, mortgages, limited partnerships, and cash and cash equivalents. The fair value of the assets generally uses industry standard valuation techniques as described above and the funds withheld payable components are valued consistent with the assets in the fair value hierarchy and the funds withheld payable is classified in its entirety according to the lowest level input that is significant to the determination of the fair value. The funds withheld payable is classified as Level 3 within the fair value hierarchy.
•Debt: Fair values for the Company’s surplus notes and long-term debt are generally determined by prices obtained from independent broker dealers or discounted cash flow models. Such prices are derived from market observable inputs and are classified as Level 2.
•Securities Lending Payable: The Company’s securities lending payable is set equal to the cash collateral received. Due to the short-term nature of the loans, carrying value is a reasonable estimate of fair value and is classified as Level 2.
•FHLB Advances: Carrying value of the Company’s FHLB advances, which are included in other liabilities, is considered a reasonable estimate of fair value due to their short-term maturities and are classified as Level 2.
•Repurchase Agreements: Carrying value of the Company’s repurchase agreements is considered a reasonable estimate of fair value due to their short-term maturities and are classified as Level 2.
•Separate Account Liabilities: The values of separate account liabilities are set equal to the values of separate account assets, which are comprised of investments in mutual funds that transact regularly, but do not trade in active markets as they are not publicly available and are categorized as Level 2.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 24, 2026 | Showing above |
| 2024 | Feb 26, 2025 | |
| 2023 | Feb 28, 2024 | |
| 2022 | Mar 1, 2023 | |
| 2021 | Mar 7, 2022 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.