Fair Value (Tables)
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12 Months Ended |
Dec. 31, 2022 |
Fair Value Disclosures [Abstract] |
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Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following summarize the Company’s financial assets and liabilities recorded at fair value hierarchy level:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | (In millions) | Level 1 | | Level 2 | | Level 3 | | NAV | | Total | Assets | | | | | | | | | | Asset Management | | | | | | | | | | Cash and cash equivalents1 | $ | 1,201 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,201 | | Restricted cash and cash equivalents2 | 1,048 | | | — | | | — | | | — | | | 1,048 | | Cash and cash equivalents of VIEs | 110 | | | — | | | — | | | — | | | 110 | | U.S. Treasury securities3 | 709 | | | — | | | — | | | — | | | 709 | | Investments, at fair value | 190 | | | 39 | | | 1,083 | | 4 | 8 | | | 1,320 | | Investments of VIEs | — | | | 1,537 | | | 727 | | | 105 | | | 2,369 | | Due from related parties5 | — | | | — | | | 43 | | | — | | | 43 | | Derivative assets6 | — | | | — | | | 15 | | | — | | | 15 | | Total Assets – Asset Management | 3,258 | | | 1,576 | | | 1,868 | | | 113 | | | 6,815 | | Retirement Services | | | | | | | | | | AFS Securities | | | | | | | | | | U.S. government and agencies | 2,570 | | | 7 | | | — | | | — | | | 2,577 | | U.S. state, municipal and political subdivisions | — | | | 927 | | | — | | | — | | | 927 | | Foreign governments | — | | | 906 | | | 1 | | | — | | | 907 | | Corporate | — | | | 59,236 | | | 1,665 | | | — | | | 60,901 | | CLO | — | | | 16,493 | | | — | | | — | | | 16,493 | | ABS | — | | | 5,660 | | | 4,867 | | | — | | | 10,527 | | CMBS | — | | | 4,158 | | | — | | | — | | | 4,158 | | RMBS | — | | | 5,682 | | | 232 | | | — | | | 5,914 | | Total AFS securities | 2,570 | | | 93,069 | | | 6,765 | | | — | | | 102,404 | | Trading securities | 23 | | | 1,519 | | | 53 | | | — | | | 1,595 | | Equity securities | 150 | | | 845 | | | 92 | | | — | | | 1,087 | | Mortgage loans | — | | | — | | | 27,454 | | | — | | | 27,454 | | | | | | | | | | | | Funds withheld at interest – embedded derivative | — | | | — | | | (4,847) | | | — | | | (4,847) | | Derivative assets | 42 | | | 3,267 | | | — | | | — | | | 3,309 | | Short-term investments | 29 | | | 455 | | | 36 | | | — | | | 520 | | Other investments | — | | | 170 | | | 441 | | | — | | | 611 | | Cash and cash equivalents | 7,779 | | | — | | | — | | | — | | | 7,779 | | Restricted cash and cash equivalents | 628 | | | — | | | — | | | — | | | 628 | | Investments in related parties | | | | | | | | | | AFS securities | | | | | | | | | | Corporate | — | | | 170 | | | 812 | | | — | | | 982 | | CLO | — | | | 2,776 | | | 303 | | | — | | | 3,079 | | ABS | — | | | 218 | | | 5,542 | | | — | | | 5,760 | | Total AFS securities – related parties | — | | | 3,164 | | | 6,657 | | | — | | | 9,821 | | Trading securities | — | | | — | | | 878 | | | — | | | 878 | | Equity securities | — | | | — | | | 279 | | | — | | | 279 | | Mortgage loans | — | | | — | | | 1,302 | | | — | | | 1,302 | | Investment funds | — | | | — | | | 959 | | | — | | | 959 | | Funds withheld at interest – embedded derivative | — | | | — | | | (1,425) | | | — | | | (1,425) | | | | | | | | | | | | Other investments | — | | | — | | | 303 | | | — | | | 303 | | Reinsurance recoverable | — | | | — | | | 1,388 | | | — | | | 1,388 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | (In millions) | Level 1 | | Level 2 | | Level 3 | | NAV | | Total | Assets of consolidated VIEs | | | | | | | | | | Trading securities | 5 | | | 436 | | | 622 | | | — | | | 1,063 | | | | | | | | | | | | Mortgage loans | — | | | — | | | 2,055 | | | — | | | 2,055 | | Investment funds | — | | | — | | | 2,471 | | | 10,009 | | | 12,480 | | Other investments | — | | | 2 | | | 99 | | | — | | | 101 | | Cash and cash equivalents | 362 | | | — | | | — | | | — | | | 362 | | Total Assets – Retirement Services | 11,588 | | | 102,927 | | | 45,582 | | | 10,009 | | | 170,106 | | Total Assets | $ | 14,846 | | | $ | 104,503 | | | $ | 47,450 | | | $ | 10,122 | | | $ | 176,921 | | | | | | | | | | | | | Liabilities | | | | | | | | | | Asset Management | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Contingent consideration obligations7 | $ | — | | | $ | — | | | $ | 86 | | | $ | — | | | $ | 86 | | Other liabilities8 | 2 | | | — | | | — | | | — | | | 2 | | Derivative liabilities6 | — | | | 57 | | | — | | | — | | | 57 | | Total Liabilities – Asset Management | 2 | | | 57 | | | 86 | | | — | | | 145 | | Retirement Services | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | Embedded derivative | — | | | — | | | 5,841 | | | — | | | 5,841 | | Universal life benefits | — | | | — | | | 829 | | | — | | | 829 | | Future policy benefits | | | | | | | | | | AmerUs closed block | — | | | — | | | 1,164 | | | — | | | 1,164 | | ILICO closed block and life benefits | — | | | — | | | 548 | | | — | | | 548 | | Derivative liabilities | 38 | | | 1,607 | | | 1 | | | — | | | 1,646 | | Other liabilities | — | | | (77) | | | 142 | | | — | | | 65 | | Total Liabilities – Retirement Services | 38 | | | 1,530 | | | 8,525 | | | — | | | 10,093 | | Total Liabilities | $ | 40 | | | $ | 1,587 | | | $ | 8,611 | | | $ | — | | | $ | 10,238 | | | | | | | | | | | | (Concluded) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | (In millions) | Level 1 | | Level 2 | | Level 3 | | NAV | | Total | Assets – Asset Management | | | | | | | | | | Cash and cash equivalents1 | $ | 917 | | | $ | — | | | $ | — | | | $ | — | | | $ | 917 | | Restricted cash and cash equivalents2 | 708 | | | — | | | — | | | — | | | 708 | | Cash and cash equivalents of VIEs | 463 | | | — | | | — | | | — | | | 463 | | U.S. Treasury securities3 | 1,687 | | | — | | | — | | | — | | | 1,687 | | Investment in Athene Holding | 4,548 | | | — | | | — | | | — | | | 4,548 | | Other investments | 49 | | | 46 | | | 946 | | 4 | — | | | 1,041 | | Investments of VIEs | 6 | | | 1,055 | | | 13,188 | | | 488 | | | 14,737 | | Due from related parties5 | — | | | — | | | 48 | | | — | | | 48 | | Derivative assets6 | — | | | 8 | | | — | | | — | | | 8 | | Total Assets | $ | 8,378 | | | $ | 1,109 | | | $ | 14,182 | | | $ | 488 | | | $ | 24,157 | | | | | | | | | | | | Liabilities – Asset Management | | | | | | | | | | Debt of VIEs, at fair value | $ | — | | | $ | 446 | | | $ | 7,497 | | | $ | — | | | $ | 7,943 | | Other liabilities of VIEs, at fair value | — | | | 3 | | | 31 | | | 1 | | | 35 | | | | | | | | | | | | Contingent consideration obligations7 | — | | | — | | | 126 | | | — | | | 126 | | Other liabilities8 | 48 | | | — | | | — | | | — | | | 48 | | Derivative liabilities6 | — | | | 2 | | | — | | | — | | | 2 | | Total Liabilities | $ | 48 | | | $ | 451 | | | $ | 7,654 | | | $ | 1 | | | $ | 8,154 | | | | | | | | | | | | 1 Cash and cash equivalents as of December 31, 2021 includes $2 million of cash and cash equivalents held by consolidated SPACs. Refer to note 17 for further information. | 2 Restricted cash and cash equivalents as of December 31, 2022 and December 31, 2021 includes $1.0 billion and $690 million, respectively, of restricted cash and cash equivalents held by consolidated SPACs. Refer to note 17 for further information. | 3 U.S. Treasury securities as of December 31, 2021 includes $1.2 billion of U.S. Treasury securities held by consolidated SPACs. Refer to note 17 for further information. | 4 Investments as of December 31, 2022 and December 31, 2021 excludes $198 million and $176 million, respectively, of performance allocations classified as Level 3 related to certain investments for which the Company elected the fair value option. The Company’s policy is to account for performance allocations as investments. | 5 Due from related parties represents a receivable from a fund. | 6 Derivative assets and derivative liabilities are presented as a component of Other assets and Other liabilities, respectively, in the consolidated statements of financial condition. | 7 As of December 31, 2022, other liabilities includes $31 million of contingent obligations, related to the Griffin Capital acquisition, classified as Level 3. As of December 31, 2022 and December 31, 2021, profit sharing payable includes $55 million and $126 million, respectively, related to contingent obligations classified as Level 3. | 8 Other liabilities as of December 31, 2022 includes the publicly traded warrants of APSG II. Other liabilities as of December 31, 2021 includes the publicly traded warrants of APSG I and APSG II. |
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Summary of Valuation Techniques and Quantitative Inputs and Assumptions used for Financial Assets and Liabilities |
The following tables summarize the valuation techniques and quantitative inputs and assumptions used for financial assets and liabilities categorized as Level 3:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | Fair Value (In millions) | | Valuation Technique | | Unobservable Inputs | | Ranges | | Weighted Average | | Financial Assets | | | | | | | | | | | Asset Management | | | | | | | | | | | Investments | $ | 526 | | | Embedded value | | N/A | | N/A | | N/A | | | 128 | | Discounted cash flow | | Discount rate | | 8.9% – 52.8% | | 28.7% | 1 | | 429 | | Adjusted transaction value | | N/A | | N/A | | N/A | | Due from related parties | 43 | | Discounted cash flow | | Discount rate | | 15.0% | | 15.0% | | Derivative assets | 15 | | Option model | | Volatility rate | | 60.0% | | 60.0% | | Investments of consolidated VIEs | | | | | | | | | | | Equity securities | 458 | | Dividend discount model | | Discount rate | | 12.1% | | 12.1% | | | | | | | | | | | | | | | | | | | | | | | | Bank loans | 244 | | Discounted cash flow | | Discount rate | | 6.4% – 32.7% | | 8.0% | 1 | | | | Adjusted transaction value | | N/A | | N/A | | N/A | | | | | | | | | | | | | Bonds | 25 | | Discounted cash flow | | Discount rate | | 7.9% | | 7.9% | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Retirement Services | | | | | | | | | | | AFS, trading and equity securities | 10,671 | | | Discounted cash flow | | Discount rate | | 2.2% – 18.8% | | 6.8% | 1 | Mortgage loans2 | 30,811 | | | Discounted cash flow | | Discount rate | | 1.5% – 22.1% | | 6.3% | 1 | Investment funds2 | 506 | | | Discounted cash flow | | Discount rate | | 6.4% | | 6.4% | | | 873 | | | Discounted cash flow / Guideline public equity | | Discount rate / P/E | | 16.5% / 9x | | 16.5% / 9x | | | 529 | | | Net tangible asset values | | Implied multiple | | 1.26x | | 1.26x | | | 563 | | | Reported net asset value | | Reported net asset value | | N/A | | N/A | | | 959 | | | Embedded value | | N/A | | N/A | | N/A | | | | | | | | | | | | | | | | | | | | | | | | Financial Liabilities | | | | | | | | | | | Asset Management | | | | | | | | | | | Contingent consideration obligation | 86 | | | Discounted cash flow | | Discount rate | | 20.0% – 25.0% | | 22.7% | 1 | | | | Option model | | Volatility rate | | 29.8% – 39.6% | | 34.7% | 1 | | | | | | | | | | | | Retirement Services | | | | | | | | | | | Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives | 5,841 | | | Discounted cash flow | | Nonperformance risk | | 0.1% – 1.7% | | 1.0% | 3 | | | | | | Option budget | | 0.5% – 5.3% | | 1.9% | 4 | | | | | | Surrender rate | | 5.1% – 11.5% | | 8.1% | 5 | | | | | | | | | | | | | | | | | | | | | | | 1 Unobservable inputs were weighted based on the fair value of the investments included in the range. | 2 Includes those of consolidated VIEs. | 3 The nonperformance risk weighted average is based on the projected excess benefits of reserves used in the calculation of the embedded derivative. | 4 The option budget weighted average is calculated based on the indexed account values. | 5 The surrender rate weighted average is calculated based on projected account values. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2021 | | Fair Value (In millions) | Valuation Techniques | | Unobservable Inputs | | Ranges | | Weighted Average1 | Financial Assets | | | | | | | | | Other investments | $ | 516 | | Embedded value | | N/A | | N/A | | N/A | | 170 | | Discounted cash flow | | Discount rate | | 14.0% - 52.8% | | 26.4% | | 260 | | Adjusted transaction value | | N/A | | N/A | | N/A | Due from related parties | 48 | | Discounted cash flow | | Discount rate | | 16.0% | | 16.0% | Investments of consolidated VIEs: | | | | | | | | | Equity securities | 4,145 | | Discounted cash flow | | Discount rate | | 3.0% - 19.0% | | 10.4% | | | Dividend discount model | | Discount rate | | 13.7% | | 13.7% | | | Market comparable companies | | NTAV multiple | | 1.25x | | 1.25x | | | Adjusted transaction value | | Purchase multiple | | 1.25x | | 1.25x | | | Adjusted transaction value | | N/A | | N/A | | N/A | Bank loans | 4,570 | | Discounted cash flow | | Discount rate | | 1.8% - 15.6% | | 4.3% | | | Adjusted transaction value | | N/A | | N/A | | N/A | Profit participating notes | 2,849 | | Discounted cash flow | | Discount rate | | 8.7% - 12.5% | | 12.4% | | | Adjusted transaction value | | N/A | | N/A | | N/A | Real estate | 512 | | Discounted cash flow | | Capitalization rate | | 4.0% - 5.8% | | 5.3% | | | Discounted cash flow | | Discount rate | | 5.0% - 12.5% | | 7.3% | | | Discounted cash flow | | Terminal capitalization rate | | 8.3% | | 8.3% | | | Direct capitalization | | Capitalization rate | | 5.5% - 8.5% | | 6.2% | | | Direct capitalization | | Terminal capitalization rate | | 6.0% - 12.0% | | 6.9% | Bonds | 51 | | Discounted cash flow | | Discount rate | | 4.0% - 7.0% | | 6.1% | | | Third party pricing | | N/A | | N/A | | N/A | Other equity investments | 1,061 | | Discounted cash flow | | Discount rate | | 11.8% -12.5% | | 12.1% | | | Adjusted transaction value | | N/A | | N/A | | N/A | | | | | | | | | | | | | | | | | | | Financial Liabilities | | | | | | | | | Liabilities of Consolidated VIEs: | | | | | | | | | Secured loans | 4,312 | | Discounted cash flow | | Discount rate | | 1.4% - 10.0% | | 2.8% | Subordinated notes | 3,164 | | Discounted cash flow | | Discount rate | | 4.5% - 11.9% | | 5.8% | Participating equity | 21 | | Discounted cash flow | | Discount rate | | 15.0% | | 15.0% | Other liabilities | 31 | | Discounted cash flow | | Discount rate | | 3.7% - 9.3% | | 6.3% | | | | | | | | | | Contingent consideration obligation | 126 | | Discounted cash flow | | Discount rate | | 18.5% | | 18.5% | | | | | | | | | | 1 Unobservable inputs were weighted based on the fair value of the investments included in the range. | | | | | | | | | |
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Schedule of Gross Components of Purchases, Issuances, Sales and Settlements, Net and Net Transfers In (Out) |
The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | Assets – Asset Management | | | | | | | | | | | | | | | | Investments and derivative assets | $ | 946 | | | $ | 20 | | | $ | — | | | $ | 109 | | | $ | 23 | | | $ | 1,098 | | | $ | 56 | | | $ | — | | Investments of Consolidated VIEs | 13,188 | | | 252 | | | — | | | (13) | | | (12,700) | | | 727 | | | 17 | | | — | | Total Level 3 assets – Asset Management | $ | 14,134 | | | $ | 272 | | | $ | — | | | $ | 96 | | | $ | (12,677) | | | $ | 1,825 | | | $ | 73 | | | $ | — | | Assets – Retirement Services | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Foreign governments | $ | 2 | | | $ | (1) | | | $ | — | | | $ | — | | | $ | — | | | $ | 1 | | | $ | — | | | $ | — | | Corporate | 1,339 | | | (16) | | | (123) | | | 364 | | | 101 | | | 1,665 | | | — | | | (119) | | CLO | 14 | | | (2) | | | — | | | (9) | | | (3) | | | — | | | — | | | — | | ABS | 3,619 | | | 1 | | | (183) | | | 788 | | | 642 | | | 4,867 | | | — | | | (216) | | CMBS | 43 | | | — | | | (17) | | | — | | | (26) | | | — | | | — | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | RMBS | — | | | — | | | 3 | | | 295 | | | (66) | | | 232 | | | — | | | 4 | | Trading securities | 69 | | | (9) | | | — | | | (10) | | | 3 | | | 53 | | | (5) | | | — | | Equity securities | 429 | | | 26 | | | — | | | (4) | | | (359) | | | 92 | | | 22 | | | — | | Mortgage loans | 21,154 | | | (2,761) | | | — | | | 9,061 | | | — | | | 27,454 | | | (2,747) | | | — | | Investment funds | 18 | | | 1 | | | — | | | — | | | (19) | | | — | | | — | | | — | | Funds withheld at interest – embedded derivative | — | | | (4,847) | | | — | | | — | | | — | | | (4,847) | | | — | | | — | | Short-term investments | 29 | | | — | | | — | | | 7 | | | — | | | 36 | | | — | | | — | | Other investments | — | | | (91) | | | — | | | 36 | | | 496 | | | 441 | | | (91) | | | — | | Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Corporate | 670 | | | (3) | | | (16) | | | 202 | | | (41) | | | 812 | | | — | | | (16) | | CLO | 202 | | | — | | | (29) | | | 130 | | | — | | | 303 | | | — | | | (29) | | ABS | 6,445 | | | 16 | | | (256) | | | (715) | | | 52 | | | 5,542 | | | (11) | | | (259) | | Trading securities | 1,771 | | | 3 | | | — | | | (1,084) | | | 188 | | | 878 | | | 1 | | | — | | Equity securities | 284 | | | (2) | | | — | | | (15) | | | 12 | | | 279 | | | — | | | — | | Mortgage loans | 1,369 | | | (225) | | | — | | | 158 | | | — | | | 1,302 | | | (225) | | | — | | Investment funds | 2,855 | | | 78 | | | — | | | 57 | | | (2,031) | | | 959 | | | 119 | | | — | | Short-term investments | — | | | — | | | — | | | 53 | | | (53) | | | — | | | — | | | — | | Funds withheld at interest – embedded derivative | — | | | (1,425) | | | — | | | — | | | — | | | (1,425) | | | — | | | — | | Other investments | — | | | 14 | | | — | | | 15 | | | 274 | | | 303 | | | 14 | | | — | | Reinsurance recoverable | 1,991 | | | (603) | | | — | | | — | | | — | | | 1,388 | | | — | | | — | | Assets of consolidated VIEs | | | | | | | | | | | | | | | | Trading securities | — | | | 49 | | | — | | | 530 | | | 43 | | | 622 | | | 11 | | | — | | | | | | | | | | | | | | | | | | Mortgage loans | 2,152 | | | (227) | | | — | | | (31) | | | 161 | | | 2,055 | | | (226) | | | — | | Investment funds | 1,297 | | | 72 | | | — | | | 1,862 | | | (760) | | | 2,471 | | | 58 | | | — | | Other investments | — | | | (17) | | | — | | | 31 | | | 85 | | | 99 | | | (24) | | | — | | Total Level 3 assets – Retirement Services | $ | 45,752 | | | $ | (9,969) | | | $ | (621) | | | $ | 11,721 | | | $ | (1,301) | | | $ | 45,582 | | | $ | (3,104) | | | $ | (635) | | | | | | | | | | | | | | | | | | Liabilities – Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | 126 | | | $ | (63) | | | $ | — | | | $ | 23 | | | $ | — | | | $ | 86 | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | 7,528 | | | (28) | | | — | | | (442) | | | (7,058) | | | — | | | — | | | — | | Total Level 3 liabilities – Asset Management | $ | 7,654 | | | $ | (91) | | | $ | — | | | $ | (419) | | | $ | (7,058) | | | $ | 86 | | | $ | — | | | $ | — | | Liabilities – Retirement Services | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (7,559) | | | $ | 2,934 | | | $ | — | | | $ | (1,216) | | | $ | — | | | $ | (5,841) | | | $ | — | | | $ | — | | Universal life benefits | (1,235) | | | 406 | | | — | | | — | | | — | | | (829) | | | — | | | — | | Future policy benefits | | | | | | | | | | | — | | | | | | AmerUs Closed Block | (1,520) | | | 356 | | | — | | | — | | | — | | | (1,164) | | | — | | | — | | ILICO Closed Block and life benefits | (742) | | | 194 | | | — | | | — | | | — | | | (548) | | | — | | | — | | Derivative liabilities | (3) | | | 2 | | | — | | | — | | | — | | | (1) | | | — | | | — | | Other liabilities | — | | | (37) | | | — | | | (105) | | | — | | | (142) | | | — | | | — | | Total Level 3 liabilities – Retirement Services | $ | (11,059) | | | $ | 3,855 | | | $ | — | | | $ | (1,321) | | | $ | — | | | $ | (8,525) | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2021 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | Assets – Asset Management | | | | | | | | | | | | | | | | Investments of Consolidated VIEs | $ | 10,963 | | | $ | 448 | | | $ | — | | | $ | 2,235 | | | $ | (458) | | | $ | 13,188 | | | $ | 308 | | | $ | — | | Other Investments | 370 | | | 88 | | | — | | | 489 | | | (1) | | | 946 | | | 82 | | | — | | Total Level 3 assets – Asset Management | $ | 11,333 | | | $ | 536 | | | $ | — | | | $ | 2,724 | | | $ | (459) | | | $ | 14,134 | | | $ | 390 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liabilities – Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | 120 | | | $ | 27 | | | $ | — | | | $ | (21) | | | $ | — | | | $ | 126 | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | 7,100 | | | 42 | | | — | | | 386 | | | — | | | 7,528 | | | 45 | | | — | | Total Level 3 liabilities – Asset Management | $ | 7,220 | | | $ | 69 | | | $ | — | | | $ | 365 | | | $ | — | | | $ | 7,654 | | | $ | 45 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. | | |
The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In1 | | Transfers Out1 | | Net Transfers In (Out) | Assets – Asset Management | | | | | | | | | | | | | | | | Investments and derivative assets | $ | 230 | | | $ | — | | | $ | (121) | | | $ | — | | | $ | 109 | | | $ | 23 | | | $ | — | | | $ | 23 | | Investments of consolidated VIEs | 3,349 | | | — | | | (3,362) | | | — | | | (13) | | | 2,072 | | | (14,772) | | | (12,700) | | Total Level 3 assets – Asset Management | $ | 3,579 | | | $ | — | | | $ | (3,483) | | | $ | — | | | $ | 96 | | | $ | 2,095 | | | $ | (14,772) | | | $ | (12,677) | | | | | | | | | | | | | | | | | | Assets – Retirement Services | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate | $ | 685 | | | $ | — | | | $ | (177) | | | $ | (144) | | | $ | 364 | | | $ | 393 | | | $ | (292) | | | $ | 101 | | CLO | 3 | | | — | | | — | | | (12) | | | (9) | | | — | | | (3) | | | (3) | | ABS | 3,306 | | | — | | | (1,791) | | | (727) | | | 788 | | | 1,089 | | | (447) | | | 642 | | CMBS | — | | | — | | | — | | | — | | | — | | | — | | | (26) | | | (26) | | RMBS | 296 | | | — | | | — | | | (1) | | | 295 | | | — | | | (66) | | | (66) | | Trading securities | 8 | | | — | | | (9) | | | (9) | | | (10) | | | 56 | | | (53) | | | 3 | | Equity securities | — | | | — | | | (4) | | | — | | | (4) | | | 41 | | | (400) | | | (359) | | Mortgage loans | 12,367 | | | — | | | (198) | | | (3,108) | | | 9,061 | | | — | | | — | | | — | | Investment funds | — | | | — | | | — | | | — | | | — | | | — | | | (19) | | | (19) | | Short-term investments | 59 | | | — | | | — | | | (52) | | | 7 | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | Other investments | 48 | | | — | | | (12) | | | — | | | 36 | | | 496 | | | — | | | 496 | | Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Corporate | 483 | | | — | | | (263) | | | (18) | | | 202 | | | 53 | | | (94) | | | (41) | | CLO | 130 | | | — | | | — | | | — | | | 130 | | | — | | | — | | | — | | ABS | 2,889 | | | — | | | (94) | | | (3,510) | | | (715) | | | 1,916 | | | (1,864) | | | 52 | | Trading securities | 43 | | | — | | | (1,081) | | | (46) | | | (1,084) | | | 1,448 | | | (1,260) | | | 188 | | Equity securities | 195 | | | — | | | (119) | | | (91) | | | (15) | | | 125 | | | (113) | | | 12 | | Mortgage loans | 182 | | | — | | | — | | | (24) | | | 158 | | | — | | | — | | | — | | Investment funds | 91 | | | — | | | (34) | | | — | | | 57 | | | — | | | (2,031) | | | (2,031) | | Short-term investments | 53 | | | — | | | — | | | — | | | 53 | | | — | | | (53) | | | (53) | | | | | | | | | | | | | | | | | | Other investments | 31 | | | — | | | (16) | | | — | | | 15 | | | 274 | | | — | | | 274 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In1 | | Transfers Out1 | | Net Transfers In (Out) | Assets of consolidated VIEs | | | | | | | | | | | | | | | | Trading securities | 531 | | | — | | | (1) | | | — | | | 530 | | | 430 | | | (387) | | | 43 | | Equity securities | — | | | — | | | — | | | — | | | — | | | 15 | | | (15) | | | — | | Mortgage loans | 176 | | | — | | | — | | | (207) | | | (31) | | | 384 | | | (223) | | | 161 | | Investment funds | 2,014 | | | — | | | (152) | | | — | | | 1,862 | | | 11,550 | | | (12,310) | | | (760) | | Other investments | 33 | | | — | | | (2) | | | — | | | 31 | | | 2,018 | | | (1,933) | | | 85 | | Total Level 3 assets – Retirement Services | $ | 23,623 | | | $ | — | | | $ | (3,953) | | | $ | (7,949) | | | $ | 11,721 | | | $ | 20,288 | | | $ | (21,589) | | | $ | (1,301) | | | | | | | | | | | | | | | | | | Liabilities - Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | — | | | $ | 36 | | | $ | — | | | $ | (13) | | | $ | 23 | | | $ | — | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | — | | | — | | | — | | | (442) | | | (442) | | | 1,568 | | | (8,626) | | | (7,058) | | Total Level 3 liabilities – Asset Management | $ | — | | | $ | 36 | | | $ | — | | | $ | (455) | | | $ | (419) | | | $ | 1,568 | | | $ | (8,626) | | | $ | (7,058) | | | | | | | | | | | | | | | | | | Liabilities – Retirement Services | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities - Embedded derivative | $ | — | | | $ | (1,722) | | | $ | — | | | $ | 506 | | | $ | (1,216) | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other liabilities | — | | | — | | | — | | | (105) | | | (105) | | | — | | | — | | | — | | Total Level 3 liabilities – Retirement Services | $ | — | | | $ | (1,722) | | | $ | — | | | $ | 401 | | | $ | (1,321) | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | 1 Transfers in and out are primarily assets of VIEs with changes in consolidation at Athene in 2022. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2021 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In | | Transfers Out | | Net Transfers In (Out) | Assets – Asset Management | | | | | | | | | | | | | | | | Investments | $ | 492 | | | $ | — | | | $ | (3) | | | $ | — | | | $ | 489 | | | $ | 1 | | | $ | (2) | | | $ | (1) | | Investments of consolidated VIEs | 3,680 | | | — | | | (1,445) | | | — | | | 2,235 | | | 45 | | | (503) | | | (458) | | Total Level 3 assets – Asset Management | $ | 4,172 | | | $ | — | | | $ | (1,448) | | | $ | — | | | $ | 2,724 | | | $ | 46 | | | $ | (505) | | | $ | (459) | | | | | | | | | | | | | | | | | | Liabilities - Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | — | | | $ | — | | | $ | — | | | $ | (21) | | | $ | (21) | | | $ | — | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | — | | | 706 | | | — | | | (320) | | | 386 | | | — | | | — | | | — | | Total Level 3 liabilities – Asset Management | $ | — | | | $ | 706 | | | $ | — | | | $ | (341) | | | $ | 365 | | | $ | — | | | $ | — | | | $ | — | |
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Schedule of Gross Components of Purchases, Issuances, Sales and Settlements, Net and Net Transfers In (Out) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | Assets – Asset Management | | | | | | | | | | | | | | | | Investments and derivative assets | $ | 946 | | | $ | 20 | | | $ | — | | | $ | 109 | | | $ | 23 | | | $ | 1,098 | | | $ | 56 | | | $ | — | | Investments of Consolidated VIEs | 13,188 | | | 252 | | | — | | | (13) | | | (12,700) | | | 727 | | | 17 | | | — | | Total Level 3 assets – Asset Management | $ | 14,134 | | | $ | 272 | | | $ | — | | | $ | 96 | | | $ | (12,677) | | | $ | 1,825 | | | $ | 73 | | | $ | — | | Assets – Retirement Services | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Foreign governments | $ | 2 | | | $ | (1) | | | $ | — | | | $ | — | | | $ | — | | | $ | 1 | | | $ | — | | | $ | — | | Corporate | 1,339 | | | (16) | | | (123) | | | 364 | | | 101 | | | 1,665 | | | — | | | (119) | | CLO | 14 | | | (2) | | | — | | | (9) | | | (3) | | | — | | | — | | | — | | ABS | 3,619 | | | 1 | | | (183) | | | 788 | | | 642 | | | 4,867 | | | — | | | (216) | | CMBS | 43 | | | — | | | (17) | | | — | | | (26) | | | — | | | — | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | RMBS | — | | | — | | | 3 | | | 295 | | | (66) | | | 232 | | | — | | | 4 | | Trading securities | 69 | | | (9) | | | — | | | (10) | | | 3 | | | 53 | | | (5) | | | — | | Equity securities | 429 | | | 26 | | | — | | | (4) | | | (359) | | | 92 | | | 22 | | | — | | Mortgage loans | 21,154 | | | (2,761) | | | — | | | 9,061 | | | — | | | 27,454 | | | (2,747) | | | — | | Investment funds | 18 | | | 1 | | | — | | | — | | | (19) | | | — | | | — | | | — | | Funds withheld at interest – embedded derivative | — | | | (4,847) | | | — | | | — | | | — | | | (4,847) | | | — | | | — | | Short-term investments | 29 | | | — | | | — | | | 7 | | | — | | | 36 | | | — | | | — | | Other investments | — | | | (91) | | | — | | | 36 | | | 496 | | | 441 | | | (91) | | | — | | Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Corporate | 670 | | | (3) | | | (16) | | | 202 | | | (41) | | | 812 | | | — | | | (16) | | CLO | 202 | | | — | | | (29) | | | 130 | | | — | | | 303 | | | — | | | (29) | | ABS | 6,445 | | | 16 | | | (256) | | | (715) | | | 52 | | | 5,542 | | | (11) | | | (259) | | Trading securities | 1,771 | | | 3 | | | — | | | (1,084) | | | 188 | | | 878 | | | 1 | | | — | | Equity securities | 284 | | | (2) | | | — | | | (15) | | | 12 | | | 279 | | | — | | | — | | Mortgage loans | 1,369 | | | (225) | | | — | | | 158 | | | — | | | 1,302 | | | (225) | | | — | | Investment funds | 2,855 | | | 78 | | | — | | | 57 | | | (2,031) | | | 959 | | | 119 | | | — | | Short-term investments | — | | | — | | | — | | | 53 | | | (53) | | | — | | | — | | | — | | Funds withheld at interest – embedded derivative | — | | | (1,425) | | | — | | | — | | | — | | | (1,425) | | | — | | | — | | Other investments | — | | | 14 | | | — | | | 15 | | | 274 | | | 303 | | | 14 | | | — | | Reinsurance recoverable | 1,991 | | | (603) | | | — | | | — | | | — | | | 1,388 | | | — | | | — | | Assets of consolidated VIEs | | | | | | | | | | | | | | | | Trading securities | — | | | 49 | | | — | | | 530 | | | 43 | | | 622 | | | 11 | | | — | | | | | | | | | | | | | | | | | | Mortgage loans | 2,152 | | | (227) | | | — | | | (31) | | | 161 | | | 2,055 | | | (226) | | | — | | Investment funds | 1,297 | | | 72 | | | — | | | 1,862 | | | (760) | | | 2,471 | | | 58 | | | — | | Other investments | — | | | (17) | | | — | | | 31 | | | 85 | | | 99 | | | (24) | | | — | | Total Level 3 assets – Retirement Services | $ | 45,752 | | | $ | (9,969) | | | $ | (621) | | | $ | 11,721 | | | $ | (1,301) | | | $ | 45,582 | | | $ | (3,104) | | | $ | (635) | | | | | | | | | | | | | | | | | | Liabilities – Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | 126 | | | $ | (63) | | | $ | — | | | $ | 23 | | | $ | — | | | $ | 86 | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | 7,528 | | | (28) | | | — | | | (442) | | | (7,058) | | | — | | | — | | | — | | Total Level 3 liabilities – Asset Management | $ | 7,654 | | | $ | (91) | | | $ | — | | | $ | (419) | | | $ | (7,058) | | | $ | 86 | | | $ | — | | | $ | — | | Liabilities – Retirement Services | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Embedded derivative | $ | (7,559) | | | $ | 2,934 | | | $ | — | | | $ | (1,216) | | | $ | — | | | $ | (5,841) | | | $ | — | | | $ | — | | Universal life benefits | (1,235) | | | 406 | | | — | | | — | | | — | | | (829) | | | — | | | — | | Future policy benefits | | | | | | | | | | | — | | | | | | AmerUs Closed Block | (1,520) | | | 356 | | | — | | | — | | | — | | | (1,164) | | | — | | | — | | ILICO Closed Block and life benefits | (742) | | | 194 | | | — | | | — | | | — | | | (548) | | | — | | | — | | Derivative liabilities | (3) | | | 2 | | | — | | | — | | | — | | | (1) | | | — | | | — | | Other liabilities | — | | | (37) | | | — | | | (105) | | | — | | | (142) | | | — | | | — | | Total Level 3 liabilities – Retirement Services | $ | (11,059) | | | $ | 3,855 | | | $ | — | | | $ | (1,321) | | | $ | — | | | $ | (8,525) | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2021 | | | | Total realized and unrealized gains (losses) | | | | | | | | | | | (In millions) | Beginning balance | | Included in income | | Included in OCI | | Net purchases, issuances, sales and settlements | | Net transfers in (out) | | Ending balance | | Total gains (losses) included in earnings1 | | Total gains (losses) included in OCI1 | Assets – Asset Management | | | | | | | | | | | | | | | | Investments of Consolidated VIEs | $ | 10,963 | | | $ | 448 | | | $ | — | | | $ | 2,235 | | | $ | (458) | | | $ | 13,188 | | | $ | 308 | | | $ | — | | Other Investments | 370 | | | 88 | | | — | | | 489 | | | (1) | | | 946 | | | 82 | | | — | | Total Level 3 assets – Asset Management | $ | 11,333 | | | $ | 536 | | | $ | — | | | $ | 2,724 | | | $ | (459) | | | $ | 14,134 | | | $ | 390 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liabilities – Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | 120 | | | $ | 27 | | | $ | — | | | $ | (21) | | | $ | — | | | $ | 126 | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | 7,100 | | | 42 | | | — | | | 386 | | | — | | | 7,528 | | | 45 | | | — | | Total Level 3 liabilities – Asset Management | $ | 7,220 | | | $ | 69 | | | $ | — | | | $ | 365 | | | $ | — | | | $ | 7,654 | | | $ | 45 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1 Related to instruments held at end of period. | | |
The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In1 | | Transfers Out1 | | Net Transfers In (Out) | Assets – Asset Management | | | | | | | | | | | | | | | | Investments and derivative assets | $ | 230 | | | $ | — | | | $ | (121) | | | $ | — | | | $ | 109 | | | $ | 23 | | | $ | — | | | $ | 23 | | Investments of consolidated VIEs | 3,349 | | | — | | | (3,362) | | | — | | | (13) | | | 2,072 | | | (14,772) | | | (12,700) | | Total Level 3 assets – Asset Management | $ | 3,579 | | | $ | — | | | $ | (3,483) | | | $ | — | | | $ | 96 | | | $ | 2,095 | | | $ | (14,772) | | | $ | (12,677) | | | | | | | | | | | | | | | | | | Assets – Retirement Services | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate | $ | 685 | | | $ | — | | | $ | (177) | | | $ | (144) | | | $ | 364 | | | $ | 393 | | | $ | (292) | | | $ | 101 | | CLO | 3 | | | — | | | — | | | (12) | | | (9) | | | — | | | (3) | | | (3) | | ABS | 3,306 | | | — | | | (1,791) | | | (727) | | | 788 | | | 1,089 | | | (447) | | | 642 | | CMBS | — | | | — | | | — | | | — | | | — | | | — | | | (26) | | | (26) | | RMBS | 296 | | | — | | | — | | | (1) | | | 295 | | | — | | | (66) | | | (66) | | Trading securities | 8 | | | — | | | (9) | | | (9) | | | (10) | | | 56 | | | (53) | | | 3 | | Equity securities | — | | | — | | | (4) | | | — | | | (4) | | | 41 | | | (400) | | | (359) | | Mortgage loans | 12,367 | | | — | | | (198) | | | (3,108) | | | 9,061 | | | — | | | — | | | — | | Investment funds | — | | | — | | | — | | | — | | | — | | | — | | | (19) | | | (19) | | Short-term investments | 59 | | | — | | | — | | | (52) | | | 7 | | | — | | | — | | | — | | | | | | | | | | | | | | | | | | Other investments | 48 | | | — | | | (12) | | | — | | | 36 | | | 496 | | | — | | | 496 | | Investments in related parties | | | | | | | | | | | | | | | | AFS securities | | | | | | | | | | | | | | | | Corporate | 483 | | | — | | | (263) | | | (18) | | | 202 | | | 53 | | | (94) | | | (41) | | CLO | 130 | | | — | | | — | | | — | | | 130 | | | — | | | — | | | — | | ABS | 2,889 | | | — | | | (94) | | | (3,510) | | | (715) | | | 1,916 | | | (1,864) | | | 52 | | Trading securities | 43 | | | — | | | (1,081) | | | (46) | | | (1,084) | | | 1,448 | | | (1,260) | | | 188 | | Equity securities | 195 | | | — | | | (119) | | | (91) | | | (15) | | | 125 | | | (113) | | | 12 | | Mortgage loans | 182 | | | — | | | — | | | (24) | | | 158 | | | — | | | — | | | — | | Investment funds | 91 | | | — | | | (34) | | | — | | | 57 | | | — | | | (2,031) | | | (2,031) | | Short-term investments | 53 | | | — | | | — | | | — | | | 53 | | | — | | | (53) | | | (53) | | | | | | | | | | | | | | | | | | Other investments | 31 | | | — | | | (16) | | | — | | | 15 | | | 274 | | | — | | | 274 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2022 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In1 | | Transfers Out1 | | Net Transfers In (Out) | Assets of consolidated VIEs | | | | | | | | | | | | | | | | Trading securities | 531 | | | — | | | (1) | | | — | | | 530 | | | 430 | | | (387) | | | 43 | | Equity securities | — | | | — | | | — | | | — | | | — | | | 15 | | | (15) | | | — | | Mortgage loans | 176 | | | — | | | — | | | (207) | | | (31) | | | 384 | | | (223) | | | 161 | | Investment funds | 2,014 | | | — | | | (152) | | | — | | | 1,862 | | | 11,550 | | | (12,310) | | | (760) | | Other investments | 33 | | | — | | | (2) | | | — | | | 31 | | | 2,018 | | | (1,933) | | | 85 | | Total Level 3 assets – Retirement Services | $ | 23,623 | | | $ | — | | | $ | (3,953) | | | $ | (7,949) | | | $ | 11,721 | | | $ | 20,288 | | | $ | (21,589) | | | $ | (1,301) | | | | | | | | | | | | | | | | | | Liabilities - Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | — | | | $ | 36 | | | $ | — | | | $ | (13) | | | $ | 23 | | | $ | — | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | — | | | — | | | — | | | (442) | | | (442) | | | 1,568 | | | (8,626) | | | (7,058) | | Total Level 3 liabilities – Asset Management | $ | — | | | $ | 36 | | | $ | — | | | $ | (455) | | | $ | (419) | | | $ | 1,568 | | | $ | (8,626) | | | $ | (7,058) | | | | | | | | | | | | | | | | | | Liabilities – Retirement Services | | | | | | | | | | | | | | | | Interest sensitive contract liabilities | | | | | | | | | | | | | | | | Interest sensitive contract liabilities - Embedded derivative | $ | — | | | $ | (1,722) | | | $ | — | | | $ | 506 | | | $ | (1,216) | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other liabilities | — | | | — | | | — | | | (105) | | | (105) | | | — | | | — | | | — | | Total Level 3 liabilities – Retirement Services | $ | — | | | $ | (1,722) | | | $ | — | | | $ | 401 | | | $ | (1,321) | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | 1 Transfers in and out are primarily assets of VIEs with changes in consolidation at Athene in 2022. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Year ended December 31, 2021 | (In millions) | Purchases | | Issuances | | Sales | | Settlements | | Net purchases, issuances, sales and settlements | | Transfers In | | Transfers Out | | Net Transfers In (Out) | Assets – Asset Management | | | | | | | | | | | | | | | | Investments | $ | 492 | | | $ | — | | | $ | (3) | | | $ | — | | | $ | 489 | | | $ | 1 | | | $ | (2) | | | $ | (1) | | Investments of consolidated VIEs | 3,680 | | | — | | | (1,445) | | | — | | | 2,235 | | | 45 | | | (503) | | | (458) | | Total Level 3 assets – Asset Management | $ | 4,172 | | | $ | — | | | $ | (1,448) | | | $ | — | | | $ | 2,724 | | | $ | 46 | | | $ | (505) | | | $ | (459) | | | | | | | | | | | | | | | | | | Liabilities - Asset Management | | | | | | | | | | | | | | | | Contingent consideration obligations | $ | — | | | $ | — | | | $ | — | | | $ | (21) | | | $ | (21) | | | $ | — | | | $ | — | | | $ | — | | Debt and other liabilities of consolidated VIEs | — | | | 706 | | | — | | | (320) | | | 386 | | | — | | | — | | | — | | Total Level 3 liabilities – Asset Management | $ | — | | | $ | 706 | | | $ | — | | | $ | (341) | | | $ | 365 | | | $ | — | | | $ | — | | | $ | — | |
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Schedule of Gain (Losses) Recorded for Financial Instruments Elected the Fair Value Option |
The following represents the mortgage loan portfolio, with fair value option loans presented at unpaid principal balance: | | | | | | | | (In millions) | December 31, 2022 | | | Commercial mortgage loans | $ | 21,061 | | | | Commercial mortgage loans under development | 790 | | | | Total commercial mortgage loans | 21,851 | | | | Mark to fair value | (1,743) | | | | | | | | Commercial mortgage loans | 20,108 | | | | Residential mortgage loans | 11,802 | | | | Mark to fair value | (1,099) | | | | | | | | Residential mortgage loans | 10,703 | | | | Mortgage loans | $ | 30,811 | | | |
The following represents the gains (losses) recorded for instruments for which Athene has elected the fair value option, including related parties and VIEs: | | | | | | | | (In millions) | | | Year ended December 31, 2022 | Trading securities | | | $ | (424) | | Mortgage loans | | | (3,213) | | Investment funds | | | 114 | | Future policy benefits | | | 356 | | Other liabilities | | | (37) | | Total gains (losses) | | | $ | (3,204) | |
The following summarizes information for fair value option mortgage loans, including related parties and VIEs:
| | | | | | (In millions) | December 31, 2022 | Unpaid principal balance | $ | 33,653 | | Mark to fair value | (2,842) | | Fair value | $ | 30,811 | |
The following represents the commercial mortgage loan portfolio 90 days or more past due and/or in non-accrual status:
| | | | | | (In millions) | December 31, 2022 | Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status | $ | 74 | | Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status | (55) | | Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status | $ | 19 | | | | Fair value of commercial mortgage loans 90 days or more past due | $ | 2 | | Fair value of commercial mortgage loans in non-accrual status | 19 | |
The following represents the residential loan portfolio 90 days or more past due and/or in non-accrual status:
| | | | | | (In millions) | December 31, 2022 | Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status | $ | 522 | | Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status | (50) | | Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status | $ | 472 | | | | Fair value of residential mortgage loans 90 days or more past due1 | $ | 472 | | Fair value of residential mortgage loans in non-accrual status | 360 | | | | 1 Includes $221 million of residential mortgage loans that are guaranteed by U.S. government-sponsored agencies. |
The following is the estimated amount of gains (losses) included in earnings during the period attributable to changes in instrument-specific credit risk on our mortgage loan portfolio:
| | | | | | | | (In millions) | | | Year ended December 31, 2022 | Mortgage loans | | | $ | (41) | |
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Schedule of Financial Instruments Not Measured at Fair Value |
The following represents Athene’s financial instruments not carried at fair value on the consolidated statements of financial condition: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | (In millions) | Carrying Value | | Fair Value | | NAV | | Level 1 | | Level 2 | | Level 3 | Financial assets | | | | | | | | | | | | | | | | | | | | | | | | Investment funds | $ | 79 | | | $ | 79 | | | $ | 79 | | | $ | — | | | $ | — | | | $ | — | | Policy loans | 347 | | | 347 | | | — | | | — | | | 347 | | | — | | Funds withheld at interest | 37,727 | | | 37,727 | | | — | | | — | | | — | | | 37,727 | | Short-term investments | 1,640 | | | 1,640 | | | — | | | — | | | 1,614 | | | 26 | | Other investments | 162 | | | 162 | | | — | | | — | | | — | | | 162 | | Investments in related parties | | | | | | | | | | | | | | | | | | | | | | | | Investment funds | 610 | | | 610 | | | 610 | | | — | | | — | | | — | | Funds withheld at interest | 11,233 | | | 11,233 | | | — | | | — | | | — | | | 11,233 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total financial assets not carried at fair value | $ | 51,798 | | | $ | 51,798 | | | $ | 689 | | | $ | — | | | $ | 1,961 | | | $ | 49,148 | | | | | | | | | | | | | | Financial liabilities | | | | | | | | | | | | Interest sensitive contract liabilities | $ | 125,101 | | | $ | 111,608 | | | $ | — | | | $ | — | | | $ | — | | | $ | 111,608 | | Debt | 3,658 | | | 2,893 | | | — | | | — | | | 2,893 | | | — | | Securities to repurchase | 4,743 | | | 4,743 | | | — | | | — | | | 4,743 | | | — | | Funds withheld liability | 360 | | | 360 | | | — | | | — | | | 360 | | | — | | Total financial liabilities not carried at fair value | $ | 133,862 | | | $ | 119,604 | | | $ | — | | | $ | — | | | $ | 7,996 | | | $ | 111,608 | |
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