FAIR VALUE DISCLOSURES (Tables)

12 Months Ended

Dec. 31, 2021

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 December 31, 2021


	Level 1		Level 2		Level 3		Total
	(in millions)
Assets:
Investments:
Fixed maturities, AFS:
Corporate (1)	$	—	$	46,231	$	1,493	$	47,724
U.S. Treasury, government and agency	—		15,214		—		15,214
States and political subdivisions	—		562		35		597
Foreign governments	—		1,152		—		1,152
Residential mortgage-backed (2)	—		90		—		90
Asset-backed (3)	—		5,897		8		5,905
Commercial mortgage-backed	—		2,321		20		2,341
Redeemable preferred stock	—		53		—		53
Total fixed maturities, AFS	—		71,520		1,556		73,076
Other equity investments	243		434		5		682
Trading securities	193		186		—		379
Other invested assets:
Short-term investments	—		—		—		—
Assets of consolidated VIEs/VOEs	—		—		8		8
Swaps	—		(469)		—		(469)
Credit default swaps	—		(1)		—		(1)
Options	—		6,956		—		6,956
Total other invested assets	—		6,486		8		6,494
Cash equivalents	1,109		273		—		1,382
Amounts due from reinsurer (5)	—		—		5,813		5,813
GMIB reinsurance contracts asset	—		—		2,068		2,068
Separate Accounts assets (4)	140,740		2,565		1		143,306
Total Assets	$	142,285	$	81,464	$	9,451	$	233,200

Liabilities:
GMxB derivative features’ liability	$	—	$	—	$	8,525	$	8,525
SCS, SIO, MSO and IUL indexed features’ liability	—		6,641		—		6,641
Total Liabilities	$	—	$	6,641	$	8,525	$	15,166

______________

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

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

(3)Includes credit-tranched securities collateralized by sub-prime mortgages, 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 December 31, 2021 the fair value of such investments was $404 million.

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

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.

Reconciliation of Assets and Liabilities at Level 3

The tables below present reconciliations for all Level 3 assets and liabilities and changes in unrealized gains (losses) for the years ended December 31, 2021, 2020 and 2019, respectively.


	Corporate		State and Political Subdivisions		CMBS		Asset-backed		Trading Securities, at Fair Value
	(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)	5		—		—		—		—
Investment gains (losses), net	(16)		—		—		—		—
Subtotal	(11)		—		—		—		—
Other comprehensive income (loss)	34		(2)		—		—		—
Purchases	937		—		20		6		—
Sales	(468)		(2)		—		(18)		—
Activity related to consolidated VIEs/VOEs	—		—				—		—
Transfers into Level 3 (1)	27		—		—		—		—
Transfers out of Level 3 (1)	(713)		—		—		—		—


	Corporate		State and Political Subdivisions		CMBS		Asset-backed		Trading Securities, at Fair Value
	(in millions)
Balance, December 31, 2021	$	1,493	$	35	$	20	$	8	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	28	$	(2)	$	—	$	—	$	—

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)	4		—		—		—		—
Investment gains (losses), net	(16)		—		—		—		—
Subtotal	(12)		—		—		—		—
Other comprehensive income (loss)	(17)		2		—		—		—
Purchases	513		—		—		20		—
Sales	(224)		(2)		—		—		—

Transfers into Level 3 (1)	184		—		—		—		—
Transfers out of Level 3 (1)	(3)		—		—		(100)		—
Balance, December 31, 2020	$	1,687	$	39	$	—	$	20	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	(18)	$	2	$	—	$	—	$	—

Balance, January 1, 2019	$	1,174	$	38	$	—	$	519	$	29
Total gains and (losses), realized and unrealized, included in:
Net income (loss) as:
Net investment income (loss)	4		—		—		—		—
Investment gains (losses), net	—		—		—		—		—
Subtotal	4		—		—		—		—
Other comprehensive income (loss)	5		3		—		1		—
Purchases	273		—		—		100		—
Sales	(120)		(2)		—		(84)		—

Transfers into Level 3 (1)	14		—		—		—		—
Transfers out of Level 3 (1)	(104)		—		—		(436)		(29)
Balance, December 31, 2019	$	1,246	$	39	$	—	$	100	$	—
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (2)	$	—	$	—	$	—	$	—	$	—
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (2)	$	3	$	3	$	—	$	—	$	—

______________

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

(2)For instruments held as of December 31, 2021, December 31, 2020 and December 31, 2019 amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.


	Other Equity Investments (7)		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), reported in net investment income	2				—		—		—
Net derivative gains (losses) (1)	—		517		(777)		—		2,792

Total realized and unrealized gains (losses)	2		517		(777)		—		2,792

Purchases (2)	1		73		44		1		(458)
Sales (3)	(1)		(36)		(58)		—		77
Settlements	—		—		—		—		—
Other (5)	—		5,259		—		—		—
Activity related to consolidated VIEs/VOEs	(4)		—		—		—		—
Transfers into Level 3 (4)	—		—		—		—		—
Transfers out of Level 3 (4)	—		—		—		(1)		—
Balance, December 31, 2021	$	13	$	5,813	$	2,068	$	1	$	(8,525)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (6)	$	2	$	517	$	(777)	$	—	$	2,792
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (6)	$	—	$	—	$	—	$	—	$	—

Balance, January 1, 2020	$	16	$	—	$	2,466	$	—	$	(8,316)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), reported in net investment income	—		—		—		—		—
Net derivative gains (losses)	—		—		472		—		(2,238)

Total realized and unrealized gains (losses)	—		—		472		—		(2,238)

Purchases (2)	3		—		45		1		(441)
Sales (3)	—		—		(79)		—		59
Settlements	—		—		—		—		—
Change in estimate	—		—		(45)		—		—


	Other Equity Investments (7)		Amounts Due from Reinsurers		GMIB Reinsurance Contract Asset		Separate Accounts Assets		GMxB Derivative Features Liability
	(in millions)
Activity related to consolidated VIEs/VOEs	(4)		—		—		—		—
Transfers into Level 3 (4)	—		—		—		—		—
Transfers out of Level 3 (4)	—		—		—		—		—
Balance, December 31, 2020	$	15	$	—	$	2,859	$	1	$	(10,936)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period (6)	$	—	$	—	$	472	$	—	$	(2,238)
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period (6)	$	—	$	—	$	—	$	—	$	—

Balance, January 1, 2019	$	19	$	—	$	1,993	$	21	$	(5,491)
Realized and unrealized gains (losses), included in Net income (loss) as:
Investment gains (losses), net	—		—		—		—		—
Net derivative gains (losses)	—		—		500		—		(2,439)
Total realized and unrealized gains (losses)	—		—		500		—		(2,439)
Purchases	—		—		45		—		(417)
Sales	—		—		(72)		(1)		31
Settlements	—		—		—		(2)		—
Activity related to consolidated VIEs/VOEs	(3)		—		—		—		—
Transfers into Level 3	—		—		—		—		—
Transfers out of Level 3	—		—		—		(18)		—
Balance, December 31, 2019	$	16	$	—	$	2,466	$	—	$	(8,316)
Change in unrealized gains or losses for the period included in earnings for instruments held at the end of the reporting period	$	—	$	—	$	500	$	—	$	(2,439)
Change in unrealized gains or losses for the period included in other comprehensive income for instruments held at the end of the reporting period	$	—	$	—	$	—	$	—	$	—

______________

(1)For the years ended December 31, 2021 and 2020, the Company’s non-performance risk impact of $(217) million and $(758) million for the GMxB Derivative Features Liability, $(26) million and $14 million for the GMIB Reinsurance Contract Asset, and $(19) million and $0 million for the Amounts due from Reinsurers, respectively, is recorded through Net derivative gains (losses).

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

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

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

(5)Represents the opening ceded balance from the Venerable transaction of the GMxB with no lapse guarantee riders.

(6)For instruments held as of December 31, 2021, December 31, 2020 and December 31, 2019, amounts are included in net investment income or net derivative gains (losses) in the consolidated statements of income (loss) or unrealized gains (losses) on investments in the consolidated statements of comprehensive income.

(7)Other Equity Investments include other invested assets.

Quantitative Information About Level 3 Fair Value Measurement

The following tables disclose quantitative information about Level 3 fair value measurements by category for assets and liabilities as of December 31, 2021 and December 31, 2020, respectively.

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

Fair
Value

Valuation Technique

Significant
Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

248

Matrix pricing model

Spread over Benchmark

20 bps - 270 bps

146 bps

888

Market comparable companies

EBITDA multiples

Discount Rate

Cashflow Multiples

Loan to Value

4.9x - 62.3x

6.2% - 21.5%

0.5x - 10.0x

3.1% - 63.4%

13.0x

9.1%

5.5x

30.8%

Other equity investments

Market comparable companies

Revenue multiple

7.8x - 10.3x

9.5x

GMIB reinsurance contract asset

2,068

Discounted cash flow

Lapse rates

Withdrawal Rates

GMIB Utilization Rates

Non-performance risk

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.45% - 20.86%

0.27% - 8.66%

0.04% - 60.44%

57 bps - 93 bps

11% - 31%

0.01% - 0.17%

0.06% - 0.53%

0.31% - 40.00%

2.65%

0.93%

5.27%

60 bps

24%

2.79%

(same for all ages)

Amount Due from Reinsurers

5,813

Discounted Cash Flow

Lapse rates

Withdrawal Rates

GMIB Utilization Rates

Non-performance risk (bps)

Volatility rates - Equity

Mortality: Ages 0-40

Ages 41-60

Ages 61-115

0.45% - 20.86%

0.27% - 8.66%

0.04% - 60.44%

37 bps

11% - 31%

0.01% - 0.17%

0.06% - 0.53%

0.31% - 40.00%

1.70%

1.18%

7.20%

37 bps

24%

2.17%

(same for all ages)

Liabilities:

GMIBNLG

8,503

Discounted cash flow

Non-performance risk

Lapse

Withdrawal

Annuitization

Mortality (1): Ages 0-40

Ages 41-60

Ages 61-115

111 bps

1.04% - 23.57%

0.27% - 8.66%

0.03% - 100.00%

0.01% - 0.19%

0.07% - 0.57%

0.44% - 43.60%

111 bps

3.55%

1.04%

5.24%

1.62%

(same for all ages)

GWBL/GMWB

Discounted cash flow

Lapse rates

Withdrawal Rates

Utilization Rates

Volatility rates - Equity

Non-performance risk

0.60% - 20.86%

0.00% - 8.00%

100% once starting

11% - 31%

111 bps

2.65%

0.93%

24%

GIB

(75)

Discounted cash flow

Lapse rates

Withdrawal Rates

Utilization Rates

Volatility rates - Equity

Non-performance risk

0.60% - 20.86%

0.13% - 8.66%

0.04% - 100.00%

11% - 31%

111 bps

2.65%

0.93%

5.27%

24%

GMAB

(3)

Discounted cash flow

Lapse rates

Volatility rates - Equity

Non-performance risk

0.60% - 20.86%

11% - 31%

111 bps

2.65%

24%

______________

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

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

Quantitative Information about Level 3 Fair Value Measurements as of December 31, 2020

Fair

Value

Valuation Technique

Significant

Unobservable Input

Range

Weighted Average (2)

(in millions)

Assets:

Investments:

Fixed maturities, AFS:

Corporate

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

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)

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)

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

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

Discounted cash flow

Non-performance risk

Lapse rates

Volatility rates - Equity

96.0 bps

0.8%-16%

7%-32%

1.69%

24%

______________

Fair Value Disclosure Financial Instruments Not Carried At Fair Value

The carrying values and fair values as of December 31, 2021 and December 31, 2020 for financial instruments not otherwise disclosed in Note 3 and Note 4 of the Notes to these Consolidated Financial Statements are presented in the table below:

Carrying Values and Fair Values for Financial Instruments Not Otherwise Disclosed


	Carrying Value		Fair Value
			Level 1		Level 2		Level 3		Total
	(in millions)
December 31, 2021:
Mortgage loans on real estate	$	14,016	$	—	$	—	$	14,291	$	14,291
Policy loans	$	3,540	$	—	$	—	$	4,512	$	4,512
Loans to affiliates	$	1,900	$	—	$	1,974	$	—	$	1,974
Policyholders’ liabilities: Investment contracts (1)	$	1,916	$	—	$	—	$	1,980	$	1,980
FHLB funding agreements	$	6,647	$	—	$	6,679	$	—	$	6,679
FABN funding agreements	$	6,689	$	—	$	6,626	$	—	$	6,626
Separate Accounts liabilities	$	11,620	$	—	$	—	$	11,620	$	11,620

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

_____________

(1) As of December 31, 2021, reflects transfer of certain policyholders account balances to future policyholder benefits and other policyholders liabilities related to structured settlement contracts.