FAIR VALUE DISCLOSURES (Tables)
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6 Months Ended |
Jun. 30, 2021 |
Fair Value Disclosures [Abstract] |
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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, 2021 | | | | | | | | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | (in millions) | Assets: | | | | | | | | Investments: | | | | | | | | Fixed maturities, AFS: | | | | | | | | Corporate (1) | $ | — | | | $ | 44,686 | | | $ | 1,249 | | | $ | 45,935 | | U.S. Treasury, government and agency | — | | | 16,298 | | | — | | | 16,298 | | States and political subdivisions | — | | | 537 | | | 37 | | | 574 | | Foreign governments | — | | | 952 | | | — | | | 952 | | Residential mortgage-backed (2) | — | | | 109 | | | — | | | 109 | | Asset-backed (3) | — | | | 4,777 | | | 127 | | | 4,904 | | Commercial mortgage-backed | — | | | 1,584 | | | 11 | | | 1,595 | | Redeemable preferred stock | — | | | 84 | | | — | | | 84 | | Total fixed maturities, AFS | — | | | 69,027 | | | 1,424 | | | 70,451 | | Other equity investments | 302 | | | 247 | | | 3 | | | 552 | | Trading securities | 223 | | | 632 | | | — | | | 855 | | Other invested assets: | | | | | | | | Short-term investments | — | | | 5 | | | 1 | | | 6 | | Assets of consolidated VIEs/VOEs | — | | | — | | | 10 | | | 10 | | Swaps | — | | | (513) | | | — | | | (513) | | Credit default swaps | — | | | 3 | | | — | | | 3 | | Options | — | | | 6,403 | | | — | | | 6,403 | | Total other invested assets | — | | | 5,898 | |
| 11 | |
| 5,909 | | Cash equivalents | 895 | | | 308 | | | — | | | 1,203 | | Amounts due from reinsurer (5) | — | | | — | | | 5,510 | | | 5,510 | | GMIB reinsurance contracts asset | — | | | — | | | 2,290 | | | 2,290 | | Separate Accounts assets (4) | 139,412 | | | 2,585 | | | 1 | | | 141,998 | | Total Assets | $ | 140,832 | | | $ | 78,697 | | | $ | 9,239 | | | $ | 228,768 | | | | | | | | | | Liabilities: | | | | | | | | GMxB derivative features’ liability | $ | — | | | $ | — | | | $ | 8,455 | | | $ | 8,455 | | SCS, SIO, MSO and IUL indexed features’ liability | — | | | 5,955 | | | — | | | 5,955 | | Total Liabilities | $ | — | | | $ | 5,955 | | | $ | 8,455 | | | $ | 14,410 | |
______________ (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, 2021 the fair value of such investments was $379 million. (5)This represents GMIB NLG ceded reserves related to Venerable transaction. See Note 1- Organization for details of the Venerable transaction. Fair Value Measurements as of December 31, 2020 | | | | | | | | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | (in millions) | Assets: | | | | | | | | Investments: | | | | | | | | Fixed maturities, AFS: | | | | | | | | Corporate (1) | $ | — | | | $ | 51,415 | | | $ | 1,687 | | | $ | 53,102 | | U.S. Treasury, government and agency | — | | | 15,943 | | | — | | | 15,943 | | States and political subdivisions | — | | | 535 | | | 39 | | | 574 | | Foreign governments | — | | | 1,103 | | | — | | | 1,103 | | Residential mortgage-backed (2) | — | | | 131 | | | — | | | 131 | | Asset-backed (3) | — | | | 3,636 | | | 20 | | | 3,656 | | Commercial mortgage-backed | — | | | 1,203 | | | — | | | 1,203 | | Redeemable preferred stock | 402 | | | 239 | | | — | | | 641 | | Total fixed maturities, AFS | 402 | | | 74,205 | | | 1,746 | | | 76,353 | | Other equity investments | 13 | | | — | | | 2 | | | 15 | | Trading securities | 285 | | | 5,055 | | | — | | | 5,340 | | Other invested assets: | | | | | | | | Short-term investments | — | | | 82 | | | 1 | | | 83 | | Assets of consolidated VIEs/VOEs | — | | | — | | | 12 | | | 12 | | Swaps | — | | | (96) | | | — | | | (96) | | Credit default swaps | — | | | 7 | | | — | | | 7 | | Options | — | | | 4,668 | | | — | | | 4,668 | | Total other invested assets | — | | | 4,661 | | | 13 | | | 4,674 | | Cash equivalents | 1,183 | | | 287 | | | — | | | 1,470 | | GMIB reinsurance contracts asset | — | | | — | | | 2,859 | | | 2,859 | | Separate Accounts assets (4) | 130,106 | | | 2,668 | | | 1 | | | 132,775 | | Total Assets | $ | 131,989 | | | $ | 86,876 | | | $ | 4,621 | | | $ | 223,486 | | | | | | | | | | Liabilities: | | | | | | | | GMxB derivative features’ liability | $ | — | | | $ | — | | | $ | 10,936 | | | $ | 10,936 | | SCS, SIO, MSO and IUL indexed features’ liability | — | | | 4,378 | | | — | | | 4,378 | | Total Liabilities | $ | — | | | $ | 4,378 | | | $ | 10,936 | | | $ | 15,314 | |
______________ (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, 2020 the fair value of such investments was $356 million.
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Reconciliation of Assets and Liabilities at Level 3 |
The tables below present reconciliations for all Level 3 assets and liabilities for the three and six months ended June 30, 2021 and 2020, respectively. Level 3 Instruments - Fair Value Measurements | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate | | State and Political Subdivisions | | | | CMBS | | Asset-backed | | | | (in millions) | 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 | | | — | | | | | — | | | — | | | | Purchases | 294 | | | — | | | | | 7 | | | 73 | | | | Sales | (135) | | | (1) | | | | | — | | | (11) | | | | Transfers into Level 3 (1) | — | | | — | | | | | — | | | — | | | | Transfers out of Level 3 (1) | (164) | | | — | | | | | — | | | — | | | | Balance, Balance, June 30, 2021 | $ | 1,249 | | | $ | 37 | | | | | $ | 11 | | | $ | 127 | | | | | | | | | | | | | | | | Balance, April 1, 2020 | $ | 1,174 | | | $ | 36 | | | | | $ | — | | | $ | 40 | | | | Total gains and (losses), realized and unrealized, included in: | | | | | | | | | | | | Net income (loss) as: | | | | | | | | | | | | Net investment income (loss) | 1 | | | — | | | | | — | | | — | | | | Investment gains (losses), net | (11) | | | — | | | | | — | | | — | | | | Subtotal | (10) | | | — | | | | | — | | | — | | | | Other comprehensive income (loss) | 6 | | | 5 | | | | | — | | | 8 | | | | Purchases | 284 | | | — | | | | | — | | | (48) | | | | Sales | (44) | | | (1) | | | | | — | | | — | | | | Transfers into Level 3 (1) | 219 | | | — | | | | | — | | | — | | | | Transfers out of Level 3 (1) | 23 | | | — | | | | | — | | | — | | | | Balance, June 30, 2020 | $ | 1,652 | | | $ | 40 | | | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporate | | State and Political Subdivisions | | | | CMBS | | Asset-backed | | | | (in millions) | 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) | | | | | — | | | — | | | | Purchases | 459 | | | — | | | | | 11 | | | 123 | | | | Sales | (202) | | | (1) | | | | | — | | | (16) | | | | Transfers into Level 3 (1) | 2 | | | — | | | | | — | | | — | | | | Transfers out of Level 3 (1) | (713) | | | — | | | | | — | | | — | | | | Balance, June 30, 2021 | $ | 1,249 | | | $ | 37 | | | | | $ | 11 | | | $ | 127 | | | | | | | | | | | | | | | | Balance, January 1, 2020 | $ | 1,246 | | | $ | 39 | | | | | $ | — | | | $ | 100 | | | | Total gains and (losses), realized and unrealized, included in: | | | | | | | | | | | | Net income (loss) as: | | | | | | | | | | | | Net investment income (loss) | 2 | | | — | | | | | — | | | — | | | | Investment gains (losses), net | (13) | | | — | | | | | — | | | — | | | | Subtotal | (11) | | | — | | | | | — | | | — | | | | Other comprehensive income (loss) | (54) | | | 2 | | | | | — | | | — | | | | Purchases | 345 | | | — | | | | | — | | | — | | | | Sales | (90) | | | (1) | | | | | — | | | — | | | | Transfers into Level 3 (1) | 219 | | | — | | | | | — | | | — | | | | Transfers out of Level 3 (1) | (3) | | | — | | | | | — | | | (100) | | | | Balance, June 30, 2020 | $ | 1,652 | | | $ | 40 | | | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
______________ (1)Transfers into/out of the Level 3 classification are reflected at beginning-of-period fair values.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Equity Investments | | Amounts Due from Reinsurers | | GMIB Reinsurance Contract Asset | | Separate Accounts Assets | | GMxB Derivative Features Liability | | | | | | (in millions) | | | Balance, April 1, 2021 | $ | 12 | | | $ | — | | | $ | 2,133 | | | $ | — | | | $ | (7,681) | | | | | | Realized and unrealized gains (losses), included in Net income (loss) as: | | | | | | | | | | | | | | Investment gains (losses), net | 2 | | | 242 | | | — | | | — | | | — | | | | | | Net derivative gains (losses) (1) | — | | | | | 158 | | | — | | | (671) | | | | | | Total realized and unrealized gains (losses) | 2 | |
| 242 | | | 158 | |
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| (671) | | | | | | Other comprehensive income (loss) | (1) | | | — | | | — | | | — | | | — | | | | | | Purchases (2) | — | | | 10 | | | 10 | | | 1 | | | (118) | | | | | | Sales (3) | — | | | (1) | | | (11) | | | — | | | 15 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other (5) | — | | | 5,259 | | | — | | | — | | | — | | | | | | Activity related to consolidated VIEs/VOEs | — | | | — | | | — | | | — | | | — | | | | | | Transfers into Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | | | Transfers out of Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | | | Balance, Balance, June 30, 2021 | $ | 13 | | | $ | 5,510 | | | $ | 2,290 | | | $ | 1 | | | $ | (8,455) | | | | | | | | | | | | | | | | | | | | Balance, April 1, 2020 | $ | 15 | | | $ | — | | | $ | 3,305 | | | $ | — | | | $ | (9,580) | | | | | | Realized and unrealized gains (losses), included in Net income (loss) as: | | | | | | | | | | | | | | Investment gains (losses), net | — | | | — | | | — | | | — | | | — | | | | | | Net derivative gains (losses) | — | | | — | | | 133 | | | — | | | (2,786) | | | | | | Total realized and unrealized gains (losses) | — | |
| — | | | 133 | |
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| (2,786) | | | | | | Other comprehensive income (loss) | — | | | — | | | — | | | — | | | — | | | | | | Purchases (2) | 1 | | | — | | | 12 | | | — | | | (107) | | | | | | Sales (3) | — | | | — | | | (17) | | | — | | | 15 | | | | | | Settlements | — | | | — | | | — | | | — | | | — | | | | | | Activity related to consolidated VIEs/VOEs | — | | | — | | | — | | | — | | | — | | | | | | Transfers into Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | | | Transfers out of Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | | | Balance, June 30, 2020 | $ | 16 | | | $ | — | | | $ | 3,433 | | | $ | — | | | $ | (12,458) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other Equity Investments | | Amounts Due from Reinsurers | | GMIB Reinsurance Contract Asset | | Separate Accounts Assets | | GMxB Derivative Features Liability | | | | (in millions) | | | Balance, January 1, 2021 | $ | 15 | | | $ | — | | | $ | 2,859 | | | $ | 1 | | | $ | (10,936) | | | | Realized and unrealized gains (losses), included in Net income (loss) as: | | | | | | | | | | | | Investment gains (losses), net | 1 | | | 242 | | | — | | | — | | | — | | | | Net derivative gains (losses) (1) | — | | | — | | | (566) | | | — | | | 2,686 | | | | | | | | | | | | | | | | Total realized and unrealized gains (losses) | 1 | |
| 242 | | | (566) | |
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| 2,686 | | | | | | | | | | | | | | | | Purchases (2) | — | | | 10 | | | 22 | | | 1 | | | (235) | | | | Sales (3) | — | | | (1) | | | (25) | | | — | | | 30 | | | | Settlements | — | | | — | | | — | | | — | | | — | | | | Other (5) | — | | | 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) | | | | | | | | | | | | | | | | Balance, January 1, 2020 | $ | 16 | | | $ | — | | | $ | 2,466 | | | $ | — | | | $ | (8,316) | | | | Realized and unrealized gains (losses), included in Net income (loss) as: | | | | | | | | | | | | Investment gains (losses), net | — | | | — | | | — | | | — | | | — | | | | Net derivative gains (losses) | — | | | — | | | 1,026 | | | — | | | (3,952) | | | | | | | | | | | | | | | | Total realized and unrealized gains (losses) | — | | | — | | | 1,026 | | | — | | | (3,952) | | | | | | | | | | | | | | | | Purchases (2) | 1 | | | — | | | 23 | | | — | | | (215) | | | | Sales (3) | — | | | — | | | (37) | | | — | | | 25 | | | | Settlements | — | | | — | | | — | | | — | | | — | | | | Change in estimate | — | | | — | | | (45) | | | — | | | — | | | | Activity related to consolidated VIEs/VOEs | (1) | | | — | | | — | | | — | | | — | | | | Transfers into Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | Transfers out of Level 3 (4) | — | | | — | | | — | | | — | | | — | | | | Balance, June 30, 2020 | $ | 16 | | | $ | — | | | $ | 3,433 | | | $ | — | | | $ | (12,458) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
______________ (1)For the three and six months ended June 30, 2021, the Company’s non-performance risk impact of $(60) million and $24 million for the GMxB Derivative Features Liability, $17 million and $1 million for the GMIB Reinsurance Contract Asset, and $12 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)Represents the opening ceded balance from the Venerable transaction of the GMxB with no lapse guarantee riders.
The table below details changes in unrealized gains (losses) for the six months ended June 30, 2021 and 2020 by category for Level 3 assets and liabilities still held as of June 30, 2021 and 2020, respectively. Change in Unrealized Gains (Losses) for Level 3 Instruments | | | | | | | | | | | | | | | | | Net Income (Loss) | | | | | | Net Derivative Gains (Losses) | | OCI | | | | (in millions) | Held at June 30, 2021: | | | | | |
| | | | | | | | | | | | | | | | | Net Income (Loss) | | | | | | Net Derivative Gains (Losses) | | OCI | | | | (in millions) | Change in unrealized gains (losses): | | | | | | Fixed maturities, AFS: | | | | | | Corporate | | | $ | — | | | $ | 27 | | State and political subdivisions | | | — | | | (1) | | | | | | | | | | | | | | Total fixed maturities, AFS | | | — | | | 26 | | Amounts Due from Reinsurers | | | 242 | | | — | | GMIB reinsurance contracts | | | (566) | | | — | | | | | | | | GMxB derivative features liability | | | 2,686 | | | — | | Total | | | $ | 2,362 | | | $ | 26 | | | | | | | | Held at June 30, 2020: | | | | | | Change in unrealized gains (losses): | | | | | | Fixed maturities, AFS: | | | | | | Corporate | | | $ | — | | | $ | (54) | | State and political subdivisions | | | — | | | 2 | | | | | | | | Asset-backed | | | — | | | — | | Total fixed maturities, AFS | | | — | | | (52) | | GMIB reinsurance contracts | | | 1,026 | | | — | | Separate Account assets | | | — | | | — | | GMxB derivative features liability | | | (3,952) | | | — | | Total | | | $ | (2,926) | | | $ | (52) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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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, 2021 and December 31, 2020, respectively.
Quantitative Information about Level 3 Fair Value Measurements as of June 30, 2021 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Significant Unobservable Input | | Range | | Weighted Average (2) | | (in millions) | | | Assets: | | | | | | | | | | Investments: | | | | | | | | | | Fixed maturities, AFS: | | | | | | | | | | Corporate | $ | 146 | | | Matrix pricing model | | Spread over Benchmark | | 20 - 320 bps | | 95 bps | | 799 | | | Market comparable companies | | EBITDA multiples Discount Rate Cashflow Multiples | | 4.5x - 26.5x 5.88% - 14.58% 0.4x - 16.9x | | 11.2x 9.0% 6.3x | Other equity investments | 3 | | | Market comparable companies | | Revenue multiple | | 8.5x - 11.0x | | 10.5x |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Significant Unobservable Input | | Range | | Weighted Average (2) | GMIB reinsurance contract asset | 2,290 | | | 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 | | 0.56% - 15.62% 0.36% - 2.03% 0.04% - 60.91% 43 bps - 85 bps 9% - 28% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.20% | | 1.89% 0.88% 5.25% 48 bps 24% 2.94% (same for all ages) (same for all ages) | Amount Due from Reinsurers
| 5,510 | | | 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 | | 0.56% - 15.62% 0.36% - 2.03% 0.04% - 60.91% 34 bps - 34 bps 9% - 28% 0.01% - 0.18% 0.07% - 0.54% 0.42% - 42.20% | | 1.79% 1.09% 7.14% 34 bps 24% 2.21% (same for all ages) (same for all ages) | Liabilities: | | | | | | | | | | GMIBNLG | 8,378 | | | Discounted cash flow | | Non-performance risk Lapse Withdrawal Annuitization Mortality (1): Ages 0-40 Ages 41-60 Ages 61-115 | | 98 bps - 98 bps 1.10% - 25.67% 0.36% - 2.03% 0.03% - 100.00% 0.01% - 0.19% 0.06% - 0.53% 0.41% - 41.39%
| | 98 bps 3.37% 0.93% 5.16% 1.66% (same for all ages) (same for all ages) | GWBL/GMWB | 139 | | | Discounted cash flow | | Lapse rates Withdrawal Rates Utilization Rates Volatility rates - Equity Non-performance risk | | 0.80% - 15.62% 0.00% - 8.00% 100% once starting 9% - 28% 98 bps - 98 bps | | 1.89% 0.88%
24% | GIB | (60) | | | Discounted cash flow | | Lapse rates Withdrawal Rates Utilization Rates Volatility rates - Equity Non-performance risk | | 0.80% - 15.62% 0.18% - 2.03% 0.04% - 100.00% 9% - 28% 98 bps - 98 bps | | 1.89% 0.88% 5.25% 24% | GMAB | (2) | | | Discounted cash flow | | Lapse rates Volatility rates - Equity Non-performance risk | | 0.80% - 15.62% 9% - 28% 98 bps - 98 bps | | 1.89% 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, 2020 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value | | Valuation Technique | | Significant Unobservable Input | | Range | | Weighted Average | | (in millions) | | | Assets: | | | | | | | | | | Investments: | | | | | | | | | | Fixed maturities, AFS: | | | | | | | | | | Corporate | $ | 28 | | | Matrix pricing model | | Spread over benchmark | | 45 - 195 bps | | 152 bps |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 1,148 | | | Market comparable companies | | EBITDA multiples Discount rate Cash flow multiples | | 3.5x - 33.1x 5.6% - 28.4% 1.9x -25.0x | | 10.8x 8.6% 6.8x | Other equity investments | 2 | | | Market comparable companies | | Revenue multiple | | 9.7x - 26.4x | | 18.5x | GMIB reinsurance contract asset | 2,859 | | | 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 | | 43 - 85 bps 0.6%-16% 0%-2% 0%-61% 7%-32%
0.01%-0.18% 0.07%-0.54% 0.42%-42.20% | | 50 bps 1.69% 0.91% 5.82% 24%
2.80% (same for all ages) (same for all ages) | Liabilities: | | | | | | | | | | GMIBNLG | 10,713 | | | Discounted cash flow | | Non-performance risk Lapse rates Withdrawal rates Annuitization rates Mortality rates (1): Ages 0 - 40 Ages 41 - 60 Ages 61 - 115 | | 96.0 bps 1.1%-25.7% 0.4%-2% 0%-100%
0.01%-0.19% 0.06%-0.53% 0.41%-41.39% | |
3.19% 0.93% 5.51%
1.56% (same for all ages) (same for all ages) | GWBL/GMWB | 190 | | | Discounted cash flow | | Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity | | 96.0 bps 0.8%-16% 0%-8% 100% once starting 7%-32% | |
1.69% 0.91%
24% | GIB | 31 | | | Discounted cash flow | | Non-performance risk Lapse rates Withdrawal rates Utilization rates Volatility rates - Equity | | 96.0 bps 0.8%-15.6% 0%-2% 0%-100% 7%-32% | |
1.69% 0.91% 5.82% 24% | GMAB | 2 | | | Discounted cash flow | | Non-performance risk Lapse rates Volatility rates - Equity | | 96.0 bps 0.8%-16% 7%-32% | |
1.69% 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.
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Fair Value Disclosure Financial Instruments Not Carried At Fair Value |
The carrying values and fair values as of June 30, 2021 and December 31, 2020 for financial instruments not otherwise disclosed in Note 3 and Note 4 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, 2021: | | | | | | | | | | Mortgage loans on real estate | $ | 13,367 | | | $ | — | | | $ | — | | | $ | 13,683 | | | $ | 13,683 | | Policy loans | $ | 3,562 | | | $ | — | | | $ | — | | | $ | 4,586 | | | $ | 4,586 | | Loans to affiliates | $ | 1,900 | | | $ | — | | | $ | 1,923 | | | $ | — | | | $ | 1,923 | | Policyholders’ liabilities: Investment contracts | $ | 1,989 | | | $ | — | | | $ | — | | | $ | 2,133 | | | $ | 2,133 | | FHLB funding agreements | $ | 8,213 | | | $ | — | | | $ | 8,279 | | | $ | — | | | $ | 8,279 | | FABN funding agreements | $ | 4,736 | | | $ | — | | | $ | 4,738 | | | $ | — | | | $ | 4,738 | | Separate Accounts liabilities | $ | 11,424 | | | $ | — | | | $ | — | | | $ | 11,424 | | | $ | 11,424 | | | | | | | | | | | | December 31, 2020: | | | | | | | | | | Mortgage loans on real estate | $ | 13,142 | | | $ | — | | | $ | — | | | $ | 13,474 | | | $ | 13,474 | | Policy loans | $ | 3,635 | | | $ | — | | | $ | — | | | $ | 4,794 | | | $ | 4,794 | | Loans to affiliates | $ | 900 | | | $ | — | | | $ | 938 | | | $ | — | | | $ | 938 | | Policyholders’ liabilities: Investment contracts | $ | 2,069 | | | $ | — | | | $ | — | | | $ | 2,275 | | | $ | 2,275 | | FHLB funding agreements | $ | 6,897 | | | $ | — | | | $ | 6,990 | | | $ | — | | | $ | 6,990 | | FABN funding agreements | $ | 1,939 | | | $ | — | | | $ | 1,971 | | | $ | — | | | $ | 1,971 | | Separate Accounts liabilities | $ | 10,081 | | | $ | — | | | $ | — | | | $ | 10,081 | | | $ | 10,081 | |
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