| Fair Value | 8. Fair Value Fair Value Measurements of Financial Instruments The following summarize the Company’s financial assets and liabilities recorded at fair value hierarchy level: June 30, 2023 (In millions) Level 1 Level 2 Level 3 NAV Total Assets Asset Management Cash and cash equivalents $ 1,469 $ — $ — $ — $ 1,469 Restricted cash and cash equivalents 1 270 — — — 270 Cash and cash equivalents of VIEs 119 — — — 119 U.S. Treasury securities 248 — — — 248 Investments, at fair value 213 38 1,147 2 4 1,402 Investments of VIEs — 231 2,608 133 2,972 Due from related parties 3 — — 34 — 34 Derivative assets 4 — 12 18 — 30 Total Assets – Asset Management 2,319 281 3,807 137 6,544 (Continued) June 30, 2023 (In millions) Level 1 Level 2 Level 3 NAV Total Retirement Services AFS Securities U.S. government and agencies 4,814 7 — — 4,821 U.S. state, municipal and political subdivisions — 1,054 — — 1,054 Foreign governments — 960 48 — 1,008 Corporate 10 64,940 2,460 — 67,410 CLO — 18,521 — — 18,521 ABS — 6,045 5,305 — 11,350 CMBS — 4,488 12 — 4,500 RMBS — 6,482 6 — 6,488 Total AFS securities 4,824 102,497 7,831 — 115,152 Trading securities 24 1,566 38 — 1,628 Equity securities 194 635 67 — 896 Mortgage loans — — 34,668 — 34,668 Funds withheld at interest – embedded derivative — — (4,356) — (4,356) Derivative assets 111 5,003 — — 5,114 Short-term investments — 620 30 — 650 Other investments — 210 337 — 547 Cash and cash equivalents 10,601 — — — 10,601 Restricted cash and cash equivalents 2,203 — — — 2,203 Investments in related parties AFS securities Corporate — 172 1,171 — 1,343 CLO — 3,311 495 — 3,806 ABS — 516 7,742 — 8,258 Total AFS securities – related parties — 3,999 9,408 — 13,407 Trading securities — — 867 — 867 Equity securities 61 — 252 — 313 Mortgage loans — — 1,296 — 1,296 Investment funds — — 1,061 — 1,061 Funds withheld at interest – embedded derivative — — (1,297) — (1,297) Other investments — — 343 — 343 Reinsurance recoverable — — 1,436 — 1,436 Other assets 7 — — 433 — 433 Assets of consolidated VIEs Trading securities — 295 717 — 1,012 Mortgage loans — — 2,113 — 2,113 Investment funds — — 1,351 12,655 14,006 Other investments — 1 99 — 100 Cash and cash equivalents 122 — — — 122 Total Assets – Retirement Services 18,140 114,826 56,694 12,655 202,315 Total Assets $ 20,459 $ 115,107 $ 60,501 $ 12,792 $ 208,859 (Continued) June 30, 2023 (In millions) Level 1 Level 2 Level 3 NAV Total Liabilities Asset Management Contingent consideration obligations 5 $ — $ — $ 69 $ — $ 69 Derivative liabilities 4 — 1 — — 1 Other liabilities 6 2 — — — 2 Total Liabilities – Asset Management 2 1 69 — 72 Retirement Services Interest sensitive contract liabilities Embedded derivative — — 8,198 — 8,198 Universal life benefits — — 854 — 854 Future policy benefits AmerUs closed block — — 1,159 — 1,159 ILICO closed block and life benefits — — 571 — 571 Market risk benefits 7 — — 3,195 — 3,195 Derivative liabilities 35 1,717 1 — 1,753 Other liabilities — (28) 209 — 181 Total Liabilities – Retirement Services 35 1,689 14,187 — 15,911 Total Liabilities $ 37 $ 1,690 $ 14,256 $ — $ 15,983 (Concluded) December 31, 2022 (In millions) Level 1 Level 2 Level 3 NAV Total Assets Asset Management Cash and cash equivalents $ 1,201 $ — $ — $ — $ 1,201 Restricted cash and cash equivalents 1 1,048 — — — 1,048 Cash and cash equivalents of VIEs 110 — — — 110 U.S. Treasury securities 709 — — — 709 Investments, at fair value 190 39 1,083 2 8 1,320 Investments of VIEs — 1,537 727 105 2,369 Due from related parties 3 — — 43 — 43 Derivative assets 4 — — 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 (Continued) December 31, 2022 (In millions) Level 1 Level 2 Level 3 NAV Total 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 Other assets 7 — — 481 — 481 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 46,063 10,009 170,587 Total Assets $ 14,846 $ 104,503 $ 47,931 $ 10,122 $ 177,402 Liabilities Asset Management Contingent consideration obligations 5 $ — $ — $ 86 $ — $ 86 Derivative liabilities 4 — 57 — — 57 Other liabilities 6 2 — — — 2 Total Liabilities – Asset Management 2 57 86 — 145 (Continued) December 31, 2022 (In millions) Level 1 Level 2 Level 3 NAV Total 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 Market risk benefits 7 — — 2,970 — 2,970 Derivative liabilities 38 1,607 1 — 1,646 Other liabilities — (77) 142 — 65 Total Liabilities – Retirement Services 38 1,530 11,495 — 13,063 Total Liabilities $ 40 $ 1,587 $ 11,581 $ — $ 13,208 1 Restricted cash and cash equivalents as of June 30, 2023 and December 31, 2022 includes $0.3 billion and $1.0 billion, respectively, of restricted cash and cash equivalents held by consolidated SPACs. 2 Investments as of June 30, 2023 and December 31, 2022 excludes $217 million and $198 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. 3 Due from related parties represents a receivable from a fund. 4 Derivative assets and derivative liabilities are presented as a component of Other assets and Other liabilities, respectively, in the condensed consolidated statements of financial condition. 5 As of June 30, 2023 and December 31, 2022, other liabilities includes $17 million and $31 million, respectively, of contingent obligations related to the Griffin Capital acquisition, classified as Level 3 and profit sharing payable includes $52 million and $55 million, respectively, related to contingent obligations classified as Level 3. 6 Other liabilities as of June 30, 2023 and December 31, 2022 includes the publicly traded warrants of APSG II. 7 Other assets consists of market risk benefits assets. See note 10 for additional information on market risk benefits assets and liabilities valuation methodology and additional fair value disclosures. Changes in fair value of contingent consideration obligations in connection with the acquisitions of Stone Tower and Griffin Capital are recorded in compensation and benefits expense and other income (loss), net, respectively, in the condensed consolidated statements of operations. Refer to note 18 for further details. Level 3 Financial Instruments The following tables summarize the valuation techniques and quantitative inputs and assumptions used for financial assets and liabilities categorized as Level 3: June 30, 2023 Fair Value (In millions) Valuation Technique Unobservable Inputs Ranges Weighted Average Financial Assets Asset Management Investments $ 562 Embedded value N/A N/A N/A 277 Discounted cash flow Discount rate 9.5% – 52.8% 26.7% 1 103 Direct capitalization Capitalization rate 7.0% 7.0% 205 Adjusted transaction value N/A N/A N/A Due from related parties 34 Discounted cash flow Discount rate 14.0% 14.0% Derivative assets 18 Option model Volatility rate 60.0% 60.0% Investments of consolidated VIEs Bank loans 976 Discounted cash flow Discount rate 7.6% – 35.4% 11.0% 1 Adjusted transaction value N/A N/A N/A Equity securities 459 Dividend discount model Discount rate 13.3% 13.3% 1,149 Adjusted transaction value N/A N/A N/A Bonds 24 Discounted cash flow Discount rate 7.5% -11.0% 11.0% 1 June 30, 2023 Fair Value (In millions) Valuation Technique Unobservable Inputs Ranges Weighted Average Retirement Services AFS, trading and equity securities 13,800 Discounted cash flow Discount rate 2.2% – 18.7% 6.9% 1 Mortgage loans 2 38,077 Discounted cash flow Discount rate 2.0% – 24.2% 6.5% 1 Investment funds 2 502 Discounted cash flow Discount rate 6.4% – 6.4% 6.4% 1 512 Net tangible asset values Implied multiple 1.20x 1.20x 337 Reported net asset value Reported net asset value N/A N/A 1,061 Embedded value N/A N/A N/A Financial Liabilities Asset Management Contingent consideration obligations 69 Discounted cash flow Discount rate 21.0% – 26.0% 24.2% 1 Option model Volatility rate 31.6% – 36.2% 36.2% 1 Retirement Services Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives 8,198 Discounted cash flow Nonperformance risk 0.4% – 1.8% 1.2% 3 Option budget 0.5% – 5.7% 2.2% 4 Surrender rate 5.4% – 12.0% 8.1% 4 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 cash flows attributable to the embedded derivative. 4 The option budget and surrender rate weighted averages are calculated based on projected account values. December 31, 2022 Fair Value (In millions) Valuation Techniques 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 loans 2 30,811 Discounted cash flow Discount rate 1.5% – 22.1% 6.3% 1 Investment funds 2 506 Discounted cash flow Discount rate 6.4% 6.4% 873 Discounted cash flow / Discount rate / 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 Contingent consideration obligations 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% 4 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 cash flows attributable to the embedded derivative. 4 The option budget and surrender rate weighted averages are calculated based on projected account values. The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis: Three months ended June 30, 2023 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 earnings 1 Total gains (losses) included in OCI 1 Assets – Asset Management Investments and derivative assets $ 1,131 $ 17 $ — $ 17 $ — $ 1,165 $ 19 $ — Investments of Consolidated VIEs 1,282 (2) — 1,328 — 2,608 6 — Total Level 3 assets – Asset Management $ 2,413 $ 15 $ — $ 1,345 $ — $ 3,773 $ 25 $ — (Continued) Three months ended June 30, 2023 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 earnings 1 Total gains (losses) included in OCI 1 Assets – Retirement Services AFS securities Foreign governments $ 1 $ — $ — $ 47 $ — $ 48 $ — $ — Corporate 1,622 — 12 1,070 (244) 2,460 — 12 ABS 4,942 — (31) 894 (500) 5,305 — (30) CMBS — — — — 12 12 — — RMBS 238 3 (1) (3) (231) 6 — — Trading securities 42 1 — (3) (2) 38 — — Equity securities 71 (4) — — — 67 (4) — Mortgage loans 29,949 (195) — 4,914 — 34,668 (195) — Funds withheld at interest – embedded derivative (4,291) (65) — — — (4,356) — — Short-term investments 30 — — — — 30 — — Other investments 286 (1) — 52 — 337 (1) — Investments in related parties AFS securities Corporate 959 — (1) (2) 215 1,171 — (1) CLO 498 — (3) — — 495 — (3) ABS 7,005 5 5 443 284 7,742 1 2 Trading securities 885 (4) — (14) — 867 (4) — Equity securities 251 1 — — — 252 1 — Mortgage loans 1,324 (9) — (19) — 1,296 (9) — Investment funds 1,034 27 — — — 1,061 27 — Funds withheld at interest – embedded derivative (1,266) (31) — — — (1,297) — — Other investments 338 5 — — — 343 5 — Reinsurance recoverable 1,470 (34) — — — 1,436 — — Assets of consolidated VIEs Trading securities 648 (4) — (8) 81 717 (4) — Mortgage loans 2,119 (17) — 11 — 2,113 (17) — Investment funds 2,581 5 — — (1,235) 1,351 6 — Other investments 97 2 — — — 99 2 — Total Level 3 assets – Retirement Services $ 50,833 $ (315) $ (19) $ 7,382 $ (1,620) $ 56,261 $ (192) $ (20) Liabilities – Asset Management Contingent consideration obligations $ 78 $ (9) $ — $ — $ — $ 69 $ — $ — Total Level 3 liabilities – Asset Management $ 78 $ (9) $ — $ — $ — $ 69 $ — $ — Liabilities – Retirement Services Interest sensitive contract liabilities Embedded derivative $ (6,747) $ (1,055) $ — $ (396) $ — $ (8,198) $ — $ — Universal life benefits (879) 25 — — — (854) — — Future policy benefits AmerUs Closed Block (1,190) 31 — — — (1,159) — — ILICO Closed Block and life benefits (579) 8 — — — (571) — — Derivative liabilities (1) — — — — (1) — — Other liabilities (189) (20) — — — (209) — — Total Level 3 liabilities – Retirement Services $ (9,585) $ (1,011) $ — $ (396) $ — $ (10,992) $ — $ — 1 Related to instruments held at end of period. Three months ended June 30, 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 earnings 1 Total gains (losses) included in OCI 1 Assets – Asset Management Investments and derivative assets $ 1,087 $ (9) $ — $ 1 $ 1 $ 1,080 $ 31 $ — Investments of Consolidated VIEs 931 (43) — 588 (286) 1,190 (15) — Total Level 3 assets – Asset Management $ 2,018 $ (52) $ — $ 589 $ (285) $ 2,270 $ 16 $ — Assets – Retirement Services AFS securities Foreign governments $ 2 $ — $ — $ — $ — $ 2 $ — $ — Corporate 1,499 — (58) 40 107 1,588 — (58) CLO 5 — (3) (2) — — — — ABS 3,783 2 (65) 148 (274) 3,594 — (66) CMBS 10 — — — (10) — — — RMBS — — — 68 — 68 — — Trading securities 90 (1) — 2 (33) 58 — — Equity securities 438 8 — (3) (381) 62 8 — Mortgage loans 23,696 (1,027) — 2,549 — 25,218 (1,025) — Investment funds 19 — — — — 19 — — Funds withheld at interest – embedded derivative (1,882) (2,076) — — — (3,958) — — Short-term investments 59 — (1) — — 58 — — Investments in related parties AFS securities Corporate 761 — (7) 42 53 849 — (7) CLO 332 — (7) — — 325 — (7) ABS 4,409 16 (125) (1,096) 1,822 5,026 — (126) Trading securities 252 4 — (808) 1,443 891 — — Equity securities 166 (9) — (119) 125 163 — — Mortgage loans 1,456 (72) — 32 — 1,416 (73) — Investment funds 814 4 — — — 818 28 — Short-term investments 53 — — — (53) — — — Funds withheld at interest – embedded derivative (570) (559) — — — (1,129) — — Reinsurance recoverable 1,814 (234) — — — 1,580 — — Assets of consolidated VIEs — Trading securities — — — — 330 330 — — Mortgage loans 1,880 (50) — (2) (202) 1,626 (50) — Investment funds 10,577 33 — (77) (9,480) 1,053 27 — Other investments 1,902 — — 31 (1,902) 31 — — Total Level 3 assets – Retirement Services $ 51,565 $ (3,961) $ (266) $ 805 $ (8,455) $ 39,688 $ (1,085) $ (264) Liabilities – Asset Management Contingent consideration obligations $ 110 $ (7) $ — $ 36 $ — $ 139 $ — $ — Total Level 3 liabilities – Asset Management $ 110 $ (7) $ — $ 36 $ — $ 139 $ — $ — (Continued Liabilities – Retirement Services Interest sensitive contract liabilities Embedded derivative (6,485) 1,519 — (210) — (5,176) — — Universal life benefits (1,096) 153 — — — (943) — — Future policy benefits AmerUs Closed Block (1,378) 131 — — — (1,247) — — ILICO Closed Block and life benefits (704) 81 — — — (623) — — Derivative liabilities (3) 2 — — — (1) — — Total Level 3 liabilities – Retirement Services $ (9,666) $ 1,886 $ — $ (210) $ — $ (7,990) $ — $ — (Concluded) 1 Related to instruments held at end of period. Six Months Ended June 30, 2023 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 earnings 1 Total gains (losses) included in OCI 1 Assets – Asset Management Investments and derivative assets $ 1,098 $ 43 $ — $ 24 $ — $ 1,165 $ 46 $ — Investments of Consolidated VIEs 727 32 — 1,851 (2) 2,608 15 — Total Level 3 assets – Asset Management $ 1,825 $ 75 $ — $ 1,875 $ (2) $ 3,773 $ 61 $ — Assets – Retirement Services AFS securities Foreign governments $ 1 $ — $ — $ 47 $ — $ 48 $ — $ — Corporate 1,665 (1) 24 1,196 (424) 2,460 — 17 ABS 4,867 — (50) 1,049 (561) 5,305 — (46) CMBS — — — — 12 12 — (1) RMBS 232 6 2 (3) (231) 6 — — Trading securities 53 3 — (7) (11) 38 1 — Equity securities 92 (12) — — (13) 67 (12) — Mortgage loans 27,454 56 — 7,158 — 34,668 57 — Funds withheld at interest – embedded derivative (4,847) 491 — — — (4,356) — — Short-term investments 36 — (2) (30) 26 30 — — Other investments 441 — — (104) — 337 (1) — Investments in related parties AFS securities Corporate 812 1 (8) 151 215 1,171 — (8) CLO 303 — 7 185 — 495 — 7 ABS 5,542 9 49 1,858 284 7,742 4 46 Trading securities 878 2 — (13) — 867 (1) — Equity securities 279 5 — (32) — 252 5 — Mortgage loans 1,302 17 — (23) — 1,296 17 — Investment funds 959 70 — 32 — 1,061 70 — Funds withheld at interest – embedded derivative (1,425) 128 — — — (1,297) — — Other investments 303 (2) — 42 — 343 (2) — Reinsurance recoverable 1,388 48 — — — 1,436 — — (Continued Six Months Ended June 30, 2023 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 earnings 1 Total gains (losses) included in OCI 1 Assets of consolidated VIEs Trading securities 622 8 — (10) 97 717 8 — Mortgage loans 2,055 2 — 56 — 2,113 2 — Investment funds 2,471 23 — (8) (1,135) 1,351 23 — Other investments 99 2 — (2) — 99 2 — Total Level 3 assets – Retirement Services $ 45,582 $ 856 $ 22 $ 11,542 $ (1,741) $ 56,261 $ 173 $ 15 Liabilities – Asset Management Contingent consideration obligations $ 86 $ (17) $ — $ — $ — $ 69 $ — $ — Debt and other liabilities of consolidated VIEs — — — — — — — — Total Level 3 liabilities – Asset Management $ 86 $ (17) $ — $ — $ — $ 69 $ — $ — Liabilities – Retirement Services Interest sensitive contract liabilities Embedded derivative $ (5,841) $ (1,528) $ — $ (829) $ — $ (8,198) $ — $ — Universal life benefits (829) (25) — — — (854) — — Future policy benefits AmerUs Closed Block (1,164) 5 — — — (1,159) — — ILICO Closed Block and life benefits (548) (23) — — — (571) — — Derivative liabilities (1) — — — — (1) — — Other liabilities (142) (67) — — — (209) — — Total Level 3 liabilities – Retirement Services $ (8,525) $ (1,638) $ — $ (829) $ — $ (10,992) $ — $ — (Concluded) 1 Related to instruments held at end of period. Six Months Ended June 30, 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 earnings 1 Total gains (losses) included in OCI 1 Assets – Asset Management Investments and derivative assets $ 946 $ 9 $ — $ 102 $ 23 $ 1,080 $ 59 $ — Investments of Consolidated VIEs 13,188 173 — 1,717 (13,888) 1,190 (17) — Total Level 3 assets – Asset Management $ 14,134 $ 182 $ — $ 1,819 $ (13,865) $ 2,270 $ 42 $ — Assets – Retirement Services AFS securities Foreign governments $ 2 $ — $ — $ — $ — $ 2 $ — $ — Corporate 1,339 (3) (77) 180 149 1,588 — (76) CLO 14 (2) — (12) — — — — ABS 3,619 7 (95) — 63 3,594 — (89) CMBS 43 — (17) — (26) — — 1 RMBS — — — 68 — 68 — — (Continued) Six Months Ended June 30, 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 earnings 1 Total gains (losses) included in OCI 1 Trading securities 69 (6) — 8 (13) 58 — — Equity securities 429 17 — (3) (381) 62 16 — Mortgage loans 21,154 (1,771) — 5,835 — 25,218 (1,767) — Investment funds 18 1 — — — 19 1 — Funds withheld at interest – embedded derivative — (3,958) — — — (3,958) — — Short-term investments 29 — (1) 30 — 58 — — Investments in related parties AFS securities Corporate 670 (4) (6) 136 53 849 — (6) CLO 202 — (7) 130 — 325 — (7) ABS 6,445 (1) (135) (1,241) (42) 5,026 — (138) Trading securities 1,771 (1) — (1,062) 183 891 — — Equity securities 284 (14) — (119) 12 163 — — Mortgage loans 1,369 (124) — 171 — 1,416 (124) — Investment funds 2,855 28 — (34) (2,031) 818 28 — Funds withheld at interest – embedded derivative — (1,129) — — — (1,129) — — Short-term investments — — — 53 (53) — — — Reinsurance recoverable 1,991 (411) — — — 1,580 — — Assets of consolidated VIEs Trading securities — — — — 330 330 — — Mortgage loans 2,152 (170) — (154) (202) 1,626 (170) — Investment funds 1,297 28 — 161 (433) 1,053 28 — Other investments — — — 31 — 31 — — Total Level 3 assets – Retirement Services $ 45,752 $ (7,513) $ (338) $ 4,178 $ (2,391) $ 39,688 $ (1,988) $ (315) Liabilities – Asset Management Contingent consideration obligations $ 126 $ (10) $ — $ 23 $ — $ 139 $ — $ — Debt and other liabilities of consolidated VIEs 7,528 (28) — 1,126 (8,626) — — — Total Level 3 liabilities – Asset Management $ 7,654 $ (38) $ — $ 1,149 $ (8,626) $ 139 $ — $ — Liabilities – Retirement Services Interest sensitive contract liabilities Embedded derivative $ (7,408) $ 2,553 $ — $ (321) $ — $ (5,176) $ — $ — Universal life benefits (1,235) 292 — — — (943) — — Future policy benefits AmerUs Closed Block (1,520) 273 — — — (1,247) — — ILICO Closed Block and life benefits (742) 119 — — — (623) — — Derivative liabilities (3) 2 — — — (1) — — Total Level 3 liabilities – Retirement Services $ (10,908) $ 3,239 $ — $ (321) $ — $ (7,990) $ — $ — (Concluded) 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: Three months ended June 30, 2023 (In millions) Purchases Issuances Sales Settlements Net purchases, issuances, sales and settlements Transfers In Transfers Out Net Transfers In (Out) Assets – Asset Management Investments and derivative assets $ 18 $ — $ (1) $ — 17 $ — $ — $ — Investments of Consolidated VIEs 1,728 — (400) — 1,328 — — — Total Level 3 assets – Asset Management $ 1,746 $ — $ (401) $ — $ 1,345 $ — $ — $ — Assets – Retirement Services AFS securities Foreign governments $ 53 $ — $ — $ (6) $ 47 $ — $ — $ — Corporate 1,104 — — (34) 1,070 — (244) (244) ABS 1,033 — (20) (119) 894 123 (623) (500) CMBS — — — — — 12 — 12 RMBS — — — (3) (3) 5 (236) (231) Trading securities 8 — — (11) (3) — (2) (2) Mortgage loans 5,783 — (31) (838) 4,914 — — — Other investments 325 — — (273) 52 — — — Investments in related parties AFS securities Corporate 1 — — (3) (2) 215 — 215 ABS 1,072 — (162) (467) 443 284 — 284 Trading securities 25 — (37) (2) (14) — — — Mortgage loans — — — (19) (19) — — — Assets of consolidated VIEs — Trading securities 10 — (18) — (8) 109 (28) 81 Mortgage loans 13 — — (2) 11 — — — Investment funds — — — — — 327 (1,562) (1,235) Total Level 3 assets – Retirement Services $ 9,427 $ — $ (268) $ (1,777) $ 7,382 $ 1,075 $ (2,695) $ (1,620) Liabilities – Retirement Services Interest sensitive contract liabilities - Embedded derivative $ — $ (558) $ — $ 162 $ (396) $ — $ — — Total Level 3 liabilities – Retirement Services $ — $ (558) $ — $ 162 $ (396) $ — $ — $ — Three months ended June 30, 2022 (In millions) Purchases Issuances Sales Settlements Net purchases, issuances, sales and settlements Transfers In 1 Transfers Out 2 Net Transfers In (Out) Assets – Asset Management Investments and derivative assets $ 2 $ — $ (1) $ — $ 1 $ 1 $ — $ 1 Investments of Consolidated VIEs 1,235 — (647) — 588 30 (316) (286) Total Level 3 assets – Asset Management $ 1,237 $ — $ (648) $ — $ 589 $ 31 $ (316) $ (285) Assets – Retirement Services AFS securities Corporate $ 129 $ — $ (2) $ (87) 40 $ 150 $ (43) 107 CLO — — — (2) (2) — — — ABS 746 — (341) (257) 148 30 (304) (274) CMBS — — — — — — (10) (10) RMBS 68 — — — 68 — — — Trading securities 2 — — — 2 9 (42) (33) Equity securities — — (3) — (3) 19 (400) (381) Mortgage loans 3,386 — (48) (789) 2,549 — — — Short-term investments 29 — — (29) — — — — Investments in related parties AFS securities Corporate 52 — — (10) 42 53 — 53 ABS 899 — (6) (1,989) (1,096) 1,822 — 1,822 Trading securities 7 — (787) (28) (808) 1,443 — 1,443 Equity securities — — (119) — (119) 125 — 125 Mortgage loans 36 — — (4) 32 — — — Short-term investments — — — — — — (53) (53) Assets of consolidated VIEs Trading securities — — — — — 330 — 330 Mortgage loans — — — (2) (2) 21 (223) (202) Investment funds 33 — (110) — (77) 1,006 (10,486) (9,480) Other investments 31 — — — 31 — (1,902) (1,902) Total Level 3 assets – Retirement Services $ 5,418 $ — $ (1,416) $ (3,197) $ 805 $ 5,008 $ (13,463) $ (8,455) Liabilities - Asset Management Contingent consideration obligations $ — $ 36 $ — $ — $ 36 $ — $ — $ — Total Level 3 liabilities – Asset Management $ — $ 36 $ — $ — $ 36 $ — $ — $ — Liabilities – Retirement Services Interest sensitive contract liabilities – embedded derivative $ — $ (337) $ — $ 127 $ (210) $ — $ — $ — Total Level 3 liabilities – Retirement Services $ — $ (337) $ — $ 127 $ (210) $ — $ — $ — 1 Transfers in are primarily assets of consolidated VIEs that Athene consolidated effective in the second quarter of 2022. 2 Transfers out are primarily the deconsolidation of certain of Athene’s VIEs effective in the second quarter of 2022. Six Months Ended June 30, 2023 (In millions) Purchases Issuances Sales Settlements Net purchases, issuances, sales and settlements Transfers In Transfers Out Net Transfers In (Out) Assets – Asset Management Investments and derivative assets $ 26 $ — $ (2) $ — $ 24 $ — $ — $ — Investments of consolidated VIEs 2,599 — (748) — 1,851 — (2) (2) Total Level 3 assets – Asset Management $ 2,625 $ — $ (750) $ — $ 1,875 $ — $ (2) $ (2) Assets – Retirement Services AFS securities Foreign governments $ 53 $ — $ — $ (6) $ 47 $ — $ — $ — Corporate 1,312 — — (116) 1,196 29 (453) (424) ABS 1,331 — (20) (262) 1,049 338 (899) (561) CMBS — — — — — 12 — 12 RMBS 1 — — (4) (3) 5 (236) (231) Trading securities 8 — — (15) (7) 5 (16) (11) Equity securities — — — — — — (13) (13) Mortgage loans 8,665 — (63) (1,444) 7,158 — — — Short-term investments — — — (30) (30) 26 — 26 Other investments 327 — — (431) (104) — — — Investments in related parties AFS securities Corporate 157 — — (6) 151 215 — 215 CLO 185 — — — 185 — — — ABS 2,706 — (162) (686) 1,858 284 — 284 Trading securities 27 — (37) (3) (13) — — — Equity securities — — — (32) (32) — — — Mortgage loans — — — (23) (23) — — — Investment funds 32 — — — 32 — — — Other investments 42 — — — 42 — — — Assets of consolidated VIEs Trading securities 20 — (30) — (10) 128 (31) 97 Mortgage loans 59 — — (3) 56 — — — Investment funds — — (8) — (8) 475 (1,610) (1,135) Other investments 5 — (7) — (2) — — — Total Level 3 assets – Retirement Services $ 14,930 $ — $ (327) $ (3,061) $ 11,542 $ 1,517 $ (3,258) $ (1,741) Liabilities – Retirement Services Interest sensitive contract liabilities Interest sensitive contract liabilities - Embedded derivative $ — $ (1,135) $ — $ 306 $ (829) $ — $ — $ — Total Level 3 liabilities – Retirement Services $ — $ (1,135) $ — $ 306 $ (829) $ — $ — $ — Six Months Ended June 30, 2022 (In millions) Purchases Issuances Sales Settlements Net purchases, issuances, sales and settlements Transfers In 1 Transfers Out 2 Net Transfers In (Out) Assets – Asset Management Investments $ 106 $ — $ (4) $ — $ 102 $ 23 $ — $ 23 Investments of consolidated VIEs 3,704 — (1,987) — 1,717 482 (14,370) (13,888) Total Level 3 assets – Asset Management $ 3,810 $ — $ (1,991) $ — $ 1,819 $ 505 $ (14,370) $ (13,865) Assets – Retirement Services AFS securities Corporate $ 453 $ — $ (170) $ (103) $ 180 $ 193 $ (44) $ 149 CLO — — — (12) (12) — — — ABS 2,235 — (1,791) (444) — 368 (305) 63 CMBS — — — — — — (26) (26) RMBS 68 — — — 68 — — — Trading securities 8 — — — 8 39 (52) (13) Equity securities — — (3) — (3) 19 (400) (381) Mortgage loans 7,477 — (130) (1,512) 5,835 — — — Short-term investments 59 — — (29) 30 — — — Investments in related parties AFS securities Corporate 367 — (217) (14) 136 53 — 53 CLO 130 — — — 130 — — — ABS 1,273 — (93) (2,421) (1,241) 1,822 (1,864) (42) Trading securities 36 — (1,052) (46) (1,062) 1,443 (1,260) 183 Equity securities — — (119) — (119) 125 (113) 12 Mortgage loans 182 — — (11) 171 — — — Investment funds — — (34) — (34) — (2,031) (2,031) Short-term investments 53 — — — 53 — (53) (53) Assets of consolidated VIEs Trading Securities — — — — — 330 — 330 Mortgage loans — — — (154) (154) 21 (223) (202) Investment funds 286 — (125) — 161 11,087 (11,520) (433) Other investments 31 — — — 31 1,902 (1,902) — Total Level 3 assets – Retirement Services $ 12,658 $ — $ (3,734) $ (4,746) $ 4,178 $ 17,402 $ (19,793) $ (2,391) Liabilities - Asset Management Contingent consideration obligations $ — $ 36 $ — $ (13) $ 23 $ — $ — $ — Debt and other liabilities of consolidated VIEs — 1,644 — (518) 1,126 — (8,626) (8,626) Total Level 3 liabilities – Asset Management $ — $ 1,680 $ — $ (531) $ 1,149 $ — $ (8,626) $ (8,626) Liabilities – Retirement Services Interest sensitive contract liabilities - Embedded derivative $ — $ (597) $ — $ 276 $ (321) $ — $ — $ — Total Level 3 liabilities – Retirement Services $ — $ (597) $ — $ 276 $ (321) $ — $ — $ — 1 Transfers in are primarily assets of consolidated VIEs that Athene consolidated effective in the second quarter of 2022. 2 Transfers out are primarily the deconsolidation of certain of Athene’s VIEs effective in the second quarter of 2022. Fair Value Option – Retirement Services The following represents the gains (losses) recorded for instruments for which Athene has elected the fair value option, including related parties and VIEs: Three months ended June 30, Six months ended June 30, (In millions) 2023 2022 2023 2022 Trading securities $ (32) $ (161) $ 32 $ (368) Mortgage loans (221) (1,149) 75 (2,065) Investment funds 25 36 89 56 Future policy benefits 31 131 5 273 Other liabilities (21) — (67) — Total gains (losses) $ (218) $ (1,143) $ 134 $ (2,104) Gains and losses on trading securities and other liabilities are recorded in investment related gains (losses) on the condensed consolidated statements of operations. For fair value option mortgage loans, interest income is recorded in net investment in |
