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FAIR VALUE DISCLOSURES (Tables)
6 Months Ended
Jun. 30, 2021
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, 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 investments302 247 3 552 
Trading securities223 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 equivalents895 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 stock402 239 — 641 
Total fixed maturities, AFS402 74,205 1,746 76,353 
Other equity investments13 — 15 
Trading securities285 5,055 — 5,340 
Other invested assets:
Short-term investments— 82 83 
Assets of consolidated VIEs/VOEs— — 12 12 
Swaps— (96)— (96)
Credit default swaps— — 
Options— 4,668 — 4,668 
Total other invested assets— 4,661 13 4,674 
Cash equivalents1,183 287 — 1,470 
GMIB reinsurance contracts asset— — 2,859 2,859 
Separate Accounts assets (4)130,106 2,668 132,775 
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.
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
CorporateState and Political SubdivisionsCMBSAsset-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    
Purchases294  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)— — — 
Investment gains (losses), net(11)— — — 
Subtotal(10)— — — 
Other comprehensive income (loss)— 
Purchases284 — — (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)  
Purchases459  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)— — — 
Investment gains (losses), net(13)— — — 
Subtotal(11)— — — 
Other comprehensive income (loss)(54)— — 
Purchases345 — — — 
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 InvestmentsAmounts Due from ReinsurersGMIB Reinsurance Contract AssetSeparate Accounts AssetsGMxB 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), net2 242    
Net derivative gains (losses) (1) 158  (671)
Total realized and unrealized gains (losses)2 

242 158 

 

(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 

 

(2,786)
Other comprehensive income (loss)— — — — — 
Purchases (2)— 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 ReinsurersGMIB Reinsurance Contract AssetSeparate Accounts AssetsGMxB 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), net1 242    
Net derivative gains (losses) (1)  (566) 2,686 
Total realized and unrealized gains (losses)
1 

242 (566)

 

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)
— 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 Reinsurers242  
GMIB reinsurance contracts(566) 
GMxB derivative features liability2,686  
Total$2,362 $26 
Held at June 30, 2020:
Change in unrealized gains (losses):
Fixed maturities, AFS:
Corporate$— $(54)
State and political subdivisions— 
Asset-backed— — 
Total fixed maturities, AFS— (52)
GMIB reinsurance contracts1,026 — 
Separate Account assets— — 
GMxB derivative features liability(3,952)— 
Total$(2,926)$(52)
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 TechniqueSignificant
Unobservable Input
RangeWeighted 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 investments3 Market  comparable  companies
Revenue multiple
8.5x - 11.0x
10.5x
Fair
Value
Valuation TechniqueSignificant
Unobservable Input
RangeWeighted Average (2)
GMIB reinsurance contract asset2,290 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:
GMIBNLG8,378 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/GMWB139 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 investmentsMarket  comparable  companies
Revenue multiple
9.7x - 26.4x
18.5x
GMIB reinsurance contract asset2,859 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:
GMIBNLG10,713 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/GMWB190 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%
GIB31 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%
GMABDiscounted 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.
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