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FAIR VALUE DISCLOSURES (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
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 June 30, 2022
Level 1
Level 2
Level 3
Total
 (in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)$— $40,395 $1,752 $42,147 
U.S. Treasury, government and agency— 6,874 — 6,874 
States and political subdivisions— 563 30 593 
Foreign governments— 959 — 959 
Residential mortgage-backed (2)— 503 — 503 
Asset-backed (3)— 8,264 18 8,282 
Commercial mortgage-backed— 3,247 25 3,272 
Redeemable preferred stock— 44 — 44 
Total fixed maturities, AFS— 60,849 1,825 62,674 
Other equity investments196 476 12 684 
Trading securities170 175 — 345 
Other invested assets:
Short-term investments— 14 — 14 
Assets of consolidated VIEs/VOEs— — 5 5 
Swaps— (355)— (355)
Credit default swaps— (2)— (2)
Options— 2,837 — 2,837 
Total other invested assets— 2,494 

5 

2,499 
Cash equivalents1,097 520 — 1,617 
Amounts due from reinsurer (5)— — 4,681 4,681 
GMIB reinsurance contracts asset— — 1,612 1,612 
Separate Accounts assets (4)110,410 2,548 1 112,959 
Total Assets$111,873 $67,062 $8,136 $187,071 
Liabilities:
GMxB derivative features’ liability$— $— $6,189 $6,189 
SCS, SIO, MSO and IUL indexed features’ liability— 2,602 — 2,602 
Total Liabilities$— $2,602 $6,189 $8,791 
______________
(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 June 30, 2022 the fair value of such investments was $438 million.
(5)This represents GMIB NLG ceded reserves related to Venerable Transaction. See Note 1 of the Notes to these Consolidated Financial Statements for details of the Venerable Transaction.
Fair Value Measurements as of December 31, 2021
Level 1
Level 2
Level 3
Total
 
(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)$— $46,231 $1,493 $47,724 
U.S. Treasury, government and agency— 15,214 — 15,214 
States and political subdivisions— 562 35 597 
Foreign governments— 1,152 — 1,152 
Residential mortgage-backed (2)— 90 — 90 
Asset-backed (3)— 5,897 8 5,905 
Commercial mortgage-backed— 2,321 20 2,341 
Redeemable preferred stock— 53 — 53 
Total fixed maturities, AFS— 71,520 1,556 73,076 
Other equity investments243 434 5 682 
Trading securities193 186 — 379 
Other invested assets:
Short-term investments— — — — 
Assets of consolidated VIEs/VOEs— — 8 8 
Swaps— (469)— (469)
Credit default swaps— (1)— (1)
Options— 6,956 — 6,956 
Total other invested assets— 6,486 8 6,494 
Cash equivalents1,109 273 — 1,382 
Amounts due from reinsurer (5)
— — 5,813 5,813 
GMIB reinsurance contracts asset— — 2,068 2,068 
Separate Accounts assets (4)140,740 2,565 1 143,306 
Total Assets$142,285 $81,464 $9,451 $233,200 
Liabilities:
GMxB derivative features’ liability$— $— $8,525 $8,525 
SCS, SIO, MSO and IUL indexed features’ liability— 6,641 — 6,641 
Total Liabilities$— $6,641 $8,525 $15,166 
______________
(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)This represents GMIB NLG ceded reserves related to Venerable Transaction. See Note 1 of the Notes to these Consolidated Financial Statements for details of the Venerable Transaction.
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 and six months ended June 30, 2022 and 2021, respectively.
CorporateState and Political SubdivisionsCMBSAsset-backed
(in millions)
Balance, April 1, 2022$1,672 $32 $238 $332 
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)1 — — — 
Investment gains (losses), net(1)— — — 
Subtotal— — — — 
Other comprehensive income (loss)(51)(1)(1)— 
Purchases317 — (212)(314)
Sales(74)(1)— — 
Activity related to consolidated VIEs/VOEs— — — — 
Transfers into Level 3 (1)(5)— — — 
Transfers out of Level 3 (1)(107)— — — 
Balance, June 30, 2022$1,752 $30 $25 $18 
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)$— $— $— $— 
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)$(51)$(1)$— $— 
Balance, April 1, 2021$1,242 $38 $4 $65 
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)2 — — 
Investment gains (losses), net(7)— — 
Subtotal(5)— — — 
Other comprehensive income (loss)17 — — — 
Purchases294 — 7 73 
Sales(135)(1)— (11)
Activity related to consolidated VIEs/VOEs— — — — 
Transfers into Level 3 (1)— — — — 
Transfers out of Level 3 (1)(164)— — — 
Balance, June 30, 2021$1,249 $37 $11 $127 
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)$— $— $— $— 
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)$17 $— $— $— 
CorporateState and Political SubdivisionsCMBSAsset-backed
(in millions)
Balance, January 1, 2022$1,493 $35 $20 $8 
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)2 — — — 
Investment gains (losses), net— — — — 
Subtotal2 — — — 
Other comprehensive income (loss)(81)(4)(2)— 
Purchases548 — 7 11 
Sales(160)(1)— (1)
Activity related to consolidated VIEs/VOEs— — — — 
Transfers into Level 3 (1)65 — — — 
Transfers out of Level 3 (1)(115)— — — 
Balance, June 30, 2022$1,752 $30 $25 $18 
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)$— $— $— $— 
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)$(78)$(4)$(2)$— 
Balance, January 1, 2021$1,687 $39 $— $20 
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)3 — — — 
Investment gains (losses), net(13)— — — 
Subtotal(10)— — — 
Other comprehensive income (loss)26 (1)— — 
Purchases459 — 11 123 
Sales(202)(1)— (16)
Activity related to consolidated VIEs/VOEs— — — — 
Transfers into Level 3 (1)2 — — — 
Transfers out of Level 3 (1)(713)— — — 
Balance, June 30, 2021$1,249 $37 $11 $127 
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)$— $— $— $— 
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)$26 $(1)$— $— 
Other Equity Investments (6)Amounts Due from ReinsurersGMIB Reinsurance Contract AssetSeparate Accounts AssetsGMxB Derivative Features Liability
(in millions)
Balance, April 1, 2022$11 $5,056 $1,742 $— $(6,924)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income— — — — — 
Net derivative gains (losses) (1)— (375)(125)— 817 
Total realized and unrealized gains (losses)— 

(375)(125)

— 

817 
Other comprehensive income (loss)— — — — — 
Purchases (2)8 27 11 — (117)
Sales (3)— (27)(16)1 35 
Activity related to consolidated VIEs/VOEs(1)— — — — 
Transfers into Level 3 (4)— — — — — 
Transfers out of Level 3 (4)— — — — — 
Balance, June 30, 2022$18 $4,681 $1,612 $1 $(6,189)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (5)$— $(375)$(125)$— $817 
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (5)$— $— $— $— $— 
Balance, April 1, 2021$12 $— $2,133 $— $(7,681)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income1 — — — 
Net derivative gains (losses) — 242 158 — (671)
Total realized and unrealized gains (losses)1 

242 158 

— 

(671)
Other comprehensive income (loss)— — — — — 
Purchases (2)— 10 10 1 (118)
Sales (3)1 (1)(11)— 15 
Other— 5,259 — — — 
Activity related to consolidated VIEs/VOEs— — — — — 
Transfers into Level 3 (4)— — — — — 
Transfers out of Level 3 (4)(1)— — — — 
Balance, June 30, 2021$13 $5,510 $2,290 $1 $(8,455)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (5)$1 $242 $158 $— $(671)
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (5)$— $— $— $— $— 
Other Equity Investments (6)Amounts Due from ReinsurersGMIB Reinsurance Contract AssetSeparate Accounts AssetsGMxB Derivative Features Liability
(in millions)
Balance, January 1, 2022$13 $5,815 $2,068 $1 $(8,525)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income— — — — 
Net derivative gains (losses) (1)— (1,142)(445)— 2,505 
Total realized and unrealized gains (losses)— 

(1,142)(445)

— 

2,505 
Other comprehensive income (loss)— — — — — 
Purchases (2)8 61 21 — (235)
Sales (3)— (53)(32)— 66 
Activity related to consolidated VIEs/VOEs(3)— — — — 
Transfers into Level 3 (4)— — — — — 
Transfers out of Level 3 (4)— — — — — 
Balance, June 30, 2022$18 $4,681 $1,612 $1 $(6,189)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (5)$— $(1,142)$(445)$— $2,505 
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (5)$— $— $— $— $— 
Balance, January 1, 2021$15 $— $2,859 $1 $(10,936)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income1 — — — 
Net derivative gains (losses) — 242 (566)— 2,686 
Total realized and unrealized gains (losses)1 

242 (566)

— 

2,686 
Other comprehensive income (loss)— — — — — 
Purchases (2)— 10 22 1 (235)
Sales (3)— (1)(25)— 30 
Other— 5,259 — — — 
Activity related to consolidated VIEs/VOEs(2)— — — — 
Transfers into Level 3 (4)— — — — — 
Transfers out of Level 3 (4)(1)— (1)— 
Balance, June 30, 2021$13 $5,510 $2,290 $1 $(8,455)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (5)$1 $242 $(566)$— $2,686 
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (5)$— $— $— $— $— 
______________
(1)For the three and six months ended June 30, 2022 and 2021, the Company’s non-performance risk impact of $392 million , (60) million, $876 million and 24 million for the GMxB Derivative Features Liability, $(44) million, 17 million, $(88) million and 1 million for the GMIB Reinsurance Contract Asset, and $(35) million, 12 million, $(77) million and 12 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 instruments held as of June 30, 2022 and June 30, 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.
(6)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 June 30, 2022 and December 31, 2021, respectively.

Quantitative Information about Level 3 Fair Value Measurements as of June 30, 2022
Fair
Value		Valuation TechniqueSignificant
Unobservable Input		RangeWeighted Average (2)
(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate$243 Matrix pricing model
Spread over Benchmark
20 bps - 803 bps
150 bps
885 Market  comparable  companies
EBITDA multiples
Discount Rate
Cashflow Multiples
Loan to Value
5.2x - 31.8x
8.0% - 38.5%
1.2x - 11.6x
0.0% - 44.4%
13.4x
10.2%
6.6x
25.9%
Other equity investments4 Market  comparable  companies
Revenue multiple
7.1x - 9.5x
8.5x
Fair
Value		Valuation TechniqueSignificant
Unobservable Input		RangeWeighted Average (2)
GMIB reinsurance contract asset1,612 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%
111 bps - 169 bps
15% - 34%
0.01% - 0.17%
0.06% - 0.53%
0.31% - 40.00%
2.80%
0.98%
5.87%
113 bps
24%
2.83%
(same for all ages)
(same for all ages)
Amount Due from Reinsurers
4,681 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%
59 bps
15% - 34%
0.01% - 0.17%
0.06% - 0.53%
0.31% - 40.00%
1.80%
1.24%
8.19%
59 bps
24%
2.13%
(same for all ages)
(same for all ages)
Liabilities:
GMIB NLG6,207 Discounted cash flow
Non-performance risk
Lapse
Withdrawal
Annuitization
Mortality (1): Ages 0-40
Ages 41-60
Ages 61-115

191 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%

191 bps
3.73%
1.14%
5.94%
1.60%
(same for all ages)
(same for all ages)
GWBL/GMWB65 Discounted cash flow
Lapse rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
Non-performance risk
0.60% - 20.86%
0.00% - 8.00%
100% once starting
15% - 34%
191 bps
2.80%
0.98%

24%
GIB(82)Discounted cash flow
Lapse rates
Withdrawal Rates
Utilization Rates
Volatility rates - Equity
Non-performance risk
0.60% - 20.86%
0.13% - 8.66%
0.04% - 100.00%
15% - 34%
191 bps
2.80%
0.98%
5.87%
24%
GMAB(1)Discounted cash flow
Lapse rates
Volatility rates - Equity
Non-performance risk

0.60% - 20.86%
15% - 34%
191 bps
2.80%
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$248 Matrix pricing model
Spread over benchmark
20 - 270 bps
146 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%
Other equity investments4 Market  comparable  companies
Revenue multiple
7.8x - 10.3x
9.5x
GMIB reinsurance contract asset2,068 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 61 - 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)
(same for all ages)
Amount Due from Reinsurers5,813 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 61 - 115
37 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%







37 bps
1.70%
1.18%
7.20%
24%

2.17%
(same for all ages)
(same for all ages)
Liabilities:
GMIB NLG8,503 Discounted cash flow
Non-performance risk
Lapse rates
Withdrawal rates
Annuitization rates
Mortality rates (1):
Ages 0 - 40
Ages 41 - 60
Ages 61 - 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)
(same for all ages)
GWBL/GMWB99 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%
______________
(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.
Fair Value Disclosure Financial Instruments Not Carried At Fair Value The carrying values and fair values as of June 30, 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)
June 30, 2022:
Mortgage loans on real estate$14,463 $— $— $13,242 $13,242 
Policy loans$3,544 $— $— $4,456 $4,456 
Loans to affiliates$1,900 $— $1,782 $— $1,782 
Policyholders’ liabilities: Investment contracts $1,912 $— $— $1,803 $1,803 
FHLB funding agreements $7,287 $— $7,241 $— $7,241 
FABN funding agreements $6,671 $— $6,077 $— $6,077 
Separate Accounts liabilities$10,292 $— $— $10,292 $10,292 
December 31, 2021:
Mortgage loans on real estate$14,016 $— $— $14,291 $14,291 
Policy loans$3,540 $— $— $4,512 $4,512 
Loans to affiliates$1,900 $— $1,974 $— $1,974 
Policyholders’ liabilities: Investment contracts
$1,916 $— $— $1,980 $1,980 
FHLB funding agreements
$6,647 $— $6,679 $— $6,679 
FABN funding agreements$6,689 $— $6,626 $— $6,626 
Separate Accounts liabilities$11,620 $— $— $11,620 $11,620