XML 42 R31.htm IDEA: XBRL DOCUMENT

FAIR VALUE DISCLOSURES (Tables)

3 Months Ended

Mar. 31, 2022

Assets and Liabilities Measured at Fair Value on Recurring Basis

Assets and liabilities measured at fair value on a recurring basis are summarized below.

Fair Value Measurements as of March 31, 2022


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, AFS:
Corporate (1)	$	—	$	48,512	$	1,683	$	50,195
U.S. Treasury, government and agency	—		9,348		—		9,348
States and political subdivisions	—		650		32		682
Foreign governments	—		1,084		—		1,084
Residential mortgage-backed (2)	—		88		—		88
Asset-backed (3)	—		7,092		332		7,424
Commercial mortgage-backed	—		3,279		238		3,517
Redeemable preferred stock	—		48		—		48
Total fixed maturities, AFS	—		70,101		2,285		72,386
Fixed maturities, at fair value using the fair value option	—		1,285		342		1,627
Other equity investments (7)	315		461		7		783
Trading securities	330		207		52		589
Other invested assets:
Short-term investments	—		306		—		306
Assets of consolidated VIEs/VOEs	87		405		5		497
Swaps	—		(589)		—		(589)
Credit default swaps	—		3		—		3
Futures	—		—		—		—
Options	—		6,318		—		6,318

Total other invested assets	87		6,443		5		6,535
Cash equivalents	2,994		804		—		3,798
Segregated securities	—		1,693		—		1,693
Amounts due from reinsurer (6)	—		—		5,056		5,056
GMIB reinsurance contracts asset	—		—		1,582		1,582
Separate Accounts assets (4)	133,207		2,887		—		136,094
Total Assets	$	136,933	$	83,881	$	9,329	$	230,143

Liabilities
Notes issued by consolidated VIE’s, at fair value using the fair value option (5)	$	—	$	1,378	$	—	$	1,378
GMxB derivative features’ liability	—		—		6,924		6,924
SCS, SIO, MSO and IUL indexed features’ liability	—		6,126		—		6,126
Liabilities of consolidated VIEs and VOEs	16		3		—		19
Contingent payment arrangements	—		—		39		39
Total Liabilities	$	16	$	7,507	$	6,963	$	14,486

______________

(1)Corporate fixed maturities includes both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, credit risk transfer securities and other asset types.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate. As of March 31, 2022, the fair value of such investments was $414 million.

(5)Includes CLO short-term debt of $204 million, which is inclusive as fair valued within Notes issued by consolidated VIE’s, at fair value using the fair value option. Accrued interest payable of $8 million is reported in Notes issued by consolidated VIE’s, at fair value using the fair value option in the consolidated balance sheets, which is not required to be measured at fair value on a recurring basis.

(6)This represents GMIB NLG ceded reserves related to the Venerable Transaction. See Note 1 of the Notes to these Consolidated Financial Statements for details of the Venerable Transaction.

(7)Includes short position equity securities of $31 million that are reported in other liabilities.

Fair Value Measurements as of December 31, 2021


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets
Investments
Fixed maturities, AFS:
Corporate (1)	$	—	$	51,007	$	1,504	$	52,511
U.S. Treasury, government and agency	—		15,385		—		15,385
States and political subdivisions	—		627		35		662
Foreign governments	—		1,152		—		1,152
Residential mortgage-backed (2)	—		98		—		98
Asset-backed (3)	—		5,926		8		5,934
Commercial mortgage-backed (2)	—		2,401		20		2,421
Redeemable preferred stock	—		53		—		53
Total fixed maturities, AFS	—		76,649		1,567		78,216
Fixed maturities, at fair value using the fair value option			1,440		201		1,641
Other equity investments	322		457		5		784
Trading securities	340		226		65		631
Other invested assets:
Short-term investments	—		30		—		30
Assets of consolidated VIEs/VOEs	166		450		11		627
Swaps	—		(473)		—		(473)
Credit default swaps	—		(1)		—		(1)
Futures	(1)		—		—		(1)
Options	—		6,959		—		6,959
Swaptions	—		—		—		—
Total other invested assets	165		6,965		11		7,141
Cash equivalents	3,275		293		—		3,568
Segregated securities	—		1,504		—		1,504
Amounts due from reinsurer	—		—		5,813		5,813
GMIB reinsurance contracts asset	—		—		1,848		1,848
Separate Accounts assets (4)	144,124		2,572		1		146,697
Total Assets	$	148,226	$	90,106	$	9,511	$	247,843

Liabilities
Notes issued by consolidated VIE’s, at fair value using the fair value option (5)	$	—	$	1,277	$	—	$	1,277
GMxB derivative features’ liability	—		—		8,525		8,525
SCS, SIO, MSO and IUL indexed features’ liability	—		6,773		—		6,773
Liabilities of consolidated VIEs and VOEs	16		2		—		18
Contingent payment arrangements	—		—		38		38
Total Liabilities	$	16	$	8,052	$	8,563	$	16,631

______________

(1)Corporate fixed maturities includes both public and private issues.

(2)Includes publicly traded agency pass-through securities and collateralized obligations.

(3)Includes credit-tranched securities collateralized by sub-prime mortgages and other asset types and credit tenant loans.

(4)Separate Accounts assets included in the fair value hierarchy exclude investments in entities that calculate NAV per share (or its equivalent) as a practical expedient. Such investments excluded from the fair value hierarchy include investments in real estate and commercial mortgages. As of December 31, 2021, the fair value of such investments was $404 million.

(5)Includes CLO short-term debt of $92 million, which is inclusive as fair valued within Notes issued by consolidated VIE’s, at fair value using the fair value option Accrued interest payable of $6 million is reported in Notes issued by consolidated VIE’s, at fair value using the fair value option in the consolidated balance sheets, which is not required to be measured at fair value on a recurring basis.

Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities and changes in unrealized gains (losses) for the three months ended March 31, 2022 and 2021, respectively.


	Corporate		State and Political Subdivisions		Asset-backed		CMBS		Trading Securities, at Fair Value		Fixed maturities, at FVO

Balance, January 1, 2022	$	1,504	$	35	$	8	$	20	$	65	$	201
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—		—		(4)
Investment gains (losses), net	1		—		—		—		(13)		—
Subtotal	2		—		—		—		(13)		(4)
Other comprehensive income (loss)	(31)		(2)		—		(1)		—		—
Purchases	232		—		325		219		—		89
Sales	(87)		(1)		(1)		—		—		(29)
Activity related to consolidated VIEs/VOEs	—		—		—		—		—		—
Transfers into Level 3 (1)	70		—		—		—		—		188
Transfers out of Level 3 (1)	(7)		—		—		—		—		(103)
Balance, March 31, 2022	$	1,683	$	32	$	332	$	238	$	52	$	342
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—	$	(13)	$	(4)
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	(29)	$	(2)	$	—	$	(1)	$	—	$	—

Balance, January 1, 2021	$	1,702	$	39	$	20	$	—	$	39	$	80
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	1		—		—		—		—		3
Investment gains (losses), net	(6)		—		—		—		—		—
Subtotal	(5)		—		—		—		—		3
Other comprehensive income (loss)	9		(1)		—		—		—		—
Purchases	165		—		50		4		—		88
Sales	(69)		—		(5)		—		—		(8)
Activity related to consolidated VIEs/VOEs	—		—		—		—		—
Transfers into Level 3 (1)	2		—		—		—		—		7
Transfers out of Level 3 (1)	(549)		—		—		—		—		(28)
Balance, March 31, 2021	$	1,255	$	38	$	65	$	4	$	39	$	142
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	9	$	(1)	$	—	$	—	$	—	$	—

_____________

(1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(2)For instruments held as of March 31, 2022 or March 31, 2021, amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.


	Other Equity Investments (7)		GMIB Reinsurance Contract Asset		Amounts Due from Reinsurers		Separate Accounts Assets		GMxB Derivative Features Liability		Contingent Payment Arrangement

Balance, January 1, 2022	$	16	$	1,848	$	5,815	$	1	$	(8,525)	$	(38)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—		—		—		—		—
Net derivative gains (losses) (1)	—		(260)		(767)		—		1,688		—
Total realized and unrealized gains (losses)	—		(260)		(767)		—		1,688		—
Other comprehensive income (loss)	—		—		—		—		—		—
Purchases (2)	—		10		33		—		(120)		1
Sales (3)	—		(16)		(25)		(1)		32		—


Activity related to consolidated VIEs/VOEs	(2)		—		—		—		—		—
Transfers into Level 3 (4)	—		—				—		—		—
Transfers out of Level 3 (4)	(3)		—		—		—		—		—
Balance, March 31, 2022	$	11	$	1,582	$	5,056	$	—	$	(6,925)	$	(37)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (6)	$	—	$	(260)	$	(767)	$	—	$	1,688	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (6)	$	—	$	—	$	—	$	—	$	—	$	—

Balance, January 1, 2021	$	84	$	2,488	$	—	$	1	$	(11,131)	$	(28)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	1		—		—		—		—		—
Net derivative gains (losses) (1) (5)	—		(578)		—		—		3,408		—
Total realized and unrealized gains (losses)	1		(578)		—		—		3,408		—
Other comprehensive income (loss)	—		—		—		—		—		—
Purchases (2)	2		11		—		—		(119)		(7)
Sales (3)	(2)		(14)		—		—		18		—

Activity related to consolidated VIEs/VOEs	(2)		—		—		—		—		(1)
Transfers into Level 3 (4)	—		—		—		—		—		—
Transfers out of Level 3 (4)	—		—		—		(1)		—		—
Balance, March 31, 2021	$	83	$	1,907	$	—	$	—	$	(7,824)	$	(36)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (6)	$	1	$	(578)	$	—	$	—	$	3,408	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (6)	$	—	$	—	$	—	$	—	$	—	$	—

______________

(1)For the three months ended March 31, 2022 and 2021, the Company’s non-performance risk impact of $483 million and $79 million for the GMxB Derivative Features Liability, $(36) million and $(15) million for the GMIB Reinsurance Contract Asset, and $(42) million and $0 million for the Amounts Due from Reinsurers, respectively, is recorded through Net derivative gains (losses).

(2)For the GMIB reinsurance contract asset, Amounts Due from Reinsurers and GMxB derivative features liability, represents attributed fee.

(3)For the GMIB reinsurance contract asset and Amounts Due from Reinsurers, represents recoveries from reinsurers and for GMxB derivative features liability represents benefits paid.

(4) Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.

(5) For the three months ended March 31, 2021, GMxB Derivative Features Liability excludes settlement fees on CS Life reinsurance

contract of $46 million.

(6) For instruments held as of March 31, 2022 or March 31, 2021, amounts are included in net investment income or net derivative gains

(losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

(7) Other Equity Investments include other invested assets.

Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities as of March 31, 2022 and December 31, 2021, respectively.

Quantitative Information about Level 3 Fair Value Measurements as of March 31, 2022

Fair

Value

Valuation

Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

334

Matrix pricing model

Spread over Benchmark

20 bps - 299 bps

106 bps

891

Market comparable
companies

EBITDA multiples

Discount rate

Cash flow multiples

Loan to value

5.0x - 77.6x

7.2% - 33.6%

0.5x - 11.6x

0.0% - 62.1%

13.9x

9.8%

6.4x

30.0%

Trading Securities, at Fair Value

Discounted Cash Flow

Earnings multiple

Discount factor

Discount years

7.3x

10.0%

Other equity investments

Market comparable companies

Revenue multiple

7.7x - 9.5x

9.2x

GMIB reinsurance contract asset

1,582

Discounted cash flow

Lapse rates

Withdrawal Rates

GMIB Utilization Rates

Non-performance risk

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.45%-20.86%

0.27%-8.66%

0.04%-60.44%

82 bps - 130 bps

9%-32%

0.01%-0.17%

0.06%-0.53%

0.31%-40.00%

2.78%

0.91%

5.28%

84 bps

24%

2.85%

(same for all ages)

Amount Due from Reinsurers

5,056

Discounted Cash Flow

Lapse rates

Withdrawal Rates

GMIB Utilization Rates

Non-performance risk (bps)

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.45%-20.86%

0.27%-8.66%

0.04%-60.44%

48 bps

9%-32%

0.01%-0.17%

0.06%-0.53%

0.31%-40.00%

1.79%

1.15%

7.40%

48 bps

24%

2.17%

(same for all ages)

Liabilities:

Fair

Value

Valuation

Technique

Significant

Unobservable Input

Range

Weighted Average (2)

AB Contingent Consideration Payable

Discounted cash flow

Expected revenue growth rates

Discount rate

2.0% - 83.9%

1.9% - 10.4%

7.9%

7.0%

GMIB NLG

6,936

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization rates

Mortality rates (1):

Ages 0 - 40

Ages 41-60

Ages 61-115

151 bps

1.04%-23.57%

0.27%-8.66%

0.03%-100.00%

0.01%-0.19%

0.07%-0.57%

0.44%-43.60%

151 bps

3.69%

1.03%

5.37%

1.62%

(same for all ages)

GWBL/GMWB

Discounted cash flow

Lapse rates

Withdrawal Rates

Utilization Rates

Volatility rates - Equity

Non-performance risk(bps)

0.60%-20.86%

0.00%-8.00%

100% once starting

9%-32%

151 bps

2.78%

0.91%

24%

GIB

(93)

Discounted cash flow

Lapse rates

Withdrawal Rates

Utilization Rates

Volatility rates - Equity

Non-performance risk(bps)

0.60%-20.86%

0.13%-8.66%

0.04%-100.00%

9% - 32%

151 bps

2.78%

0.91%

5.28%

24%

GMAB

(3)

Discounted cash flow

Lapse rates

Volatility rates - Equity

Non-performance risk(bps)

0.60%-20.86%

9%-32%

151 bps

2.78%

24%

______________

(1)Mortality rates vary by age and demographic characteristic such as gender. Mortality rate assumptions are based on a combination of company and industry experience. A mortality improvement assumption is also applied. For any given contract, mortality rates vary throughout the period over which cash flows are projected for purposes of valuating the embedded derivatives.

(2)For lapses, withdrawals, and utilizations the rates were weighted by counts; for mortality weighted average rates are shown for all ages combined; and for withdrawals the weighted averages were based on an estimated split of partial withdrawal and dollar-for-dollar withdrawals.

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2021

Fair
Value

Valuation
Technique

Significant
Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

258

Matrix pricing model

Spread over benchmark

20 bps - 270 bps

144 bps

888

Market comparable companies

EBITDA multiples

Discount rate

Cash flow multiples

Loan to value

4.9x - 62.3x

6.2% - 21.5%

0.5x-10.0x

3.1%-63.4%

13.0x

9.1%

5.5x

30.8%

Trading Securities, at Fair Value

Discounted cash flow

Earnings multiple

Discounts factor

Discount years

7.3x

10.00%

Other equity investments

Market comparable companies

Revenue multiple

7.8x - 10.3x

9.5x

Fair
Value

Valuation
Technique

Significant
Unobservable Input

Range

Weighted Average (2)

(in millions)

GMIB reinsurance contract asset

1,848

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Utilization rates

Volatility rates - Equity

Mortality rates (1):

Ages 0 - 40

Ages 41 - 60

Ages 60 - 115

57 bps - 93 bps

0.45% - 20.86%

0.27% - 8.66%

0.04% - 60.44%

11% - 31%

0.01% - 0.17%

0.06% - 0.53%

0.31% - 40.00%

60 bps

2.65%

0.93%

5.27%

24%

2.79%

(same for all ages)

Amount Due from Reinsurers

5,813

Discounted Cash Flow

Lapse rates

Withdrawal Rates

GMIB Utilization Rates

Non-performance risk (bps)

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.45%-20.86%

0.27%-8.66%

0.04%-60.44%

37 bps

11%-31%

0.01%-0.17%

0.06%-0.53%

0.31%-40.00%

1.70%

1.18%

7.20%

37 bps

24%

2.17%

(same for all ages)

Liabilities:

AB Contingent Consideration Payable

Discounted cash flow

Expected revenue growth rates

Discount rate

2.0% - 83.9%

1.9% - 10.4%

11.9%

7.0%

GMIB NLG

8,503

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Annuitization rates

Mortality rates (1):

Ages 0 - 40

Ages 41 - 60

Ages 60 - 115

111 bps

1.04% - 23.57%

0.27% - 8.66%

0.03% -100.00%

0.01% - 0.19%

0.07% - 0.57%

0.44% - 43.60%

111 bps

3.55%

1.04%

5.24%

1.62%

(same for all ages)

GWBL/GMWB

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Utilization rates

Volatility rates - Equity

111 bps

0.60%-20.86%

0.00%-8.00%

100% once starting

11%-31%

2.65%

0.93%

24%

GIB

(75)

Discounted cash flow

Non-performance risk

Lapse rates

Withdrawal rates

Utilization rates

Volatility rates - Equity

111 bps

0.60%-20.86%

0.13%-8.66%

0.04%-100.00%

11%-31%

2.65%

0.93%

5.27%

24%

GMAB

(3)

Discounted cash flow

Non-performance risk

Lapse rates

Volatility rates - Equity

111 bps

0.60%-20.86%

11%-31%

2.65%

24%

______________

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values as of March 31, 2022 and December 31, 2021 for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements are presented in the table below.

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
March 31, 2022:
Mortgage loans on real estate	$	14,452	$	—	$	—	$	13,911	$	13,911
Policy loans	$	4,010	$	—	$	—	$	4,956	$	4,956
Policyholders’ liabilities: Investment contracts	$	2,014	$	—	$	—	$	1,982	$	1,982
FHLB funding agreements	$	6,088	$	—	$	6,047	$	—	$	6,047
FABN funding agreements	$	6,673	$	—	$	6,271	$	—	$	6,271
Short-term and long-term debt (1)	$	3,840	$	—	$	4,111	$	—	$	4,111
Separate Accounts liabilities	$	11,785	$	—	$	—	$	11,785	$	11,785

December 31, 2021:
Mortgage loans on real estate	$	14,033	$	—	$	—	$	14,308	$	14,308
Policy loans	$	4,024	$	—	$	—	$	5,050	$	5,050
Policyholders’ liabilities: Investment contracts (2)	$	2,035	$	—	$	—	$	2,103	$	2,103
FHLB funding agreements	$	6,647	$	—	$	6,679	$	—	$	6,679
FABN funding agreements	$	6,689	$	—	$	6,626	$	—	$	6,626
Short-term and long-term debt (1)	$	3,839	$	—	$	4,544	$	—	$	4,544
Separate Accounts liabilities	$	11,620	$	—	$	—	$	11,620	$	11,620

_____________

(1)Excludes CLO short-term debt of $204 million which is inclusive as fair valued within Notes issued by consolidated VIE’s, at fair value using the fair value option.

(2) Reflects transfer of certain policyholders account balances to future policyholder benefits and other policyholders liabilities related to structured settlement which occurred during July 2021.