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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
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Washington, D.C. 20549
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(Exact name of registrant as specified in its charter)
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Bermuda
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98-0630022
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(State or other jurisdiction of
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(I.R.S. Employer
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incorporation or organization)
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Identification Number)
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Large accelerated filer
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☑
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Accelerated filer ☐
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Non-accelerated filer ☐
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Smaller reporting company
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☐
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Emerging growth company
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☐
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•
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the accuracy of management’s assumptions and estimates;
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•
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variability in the amount of statutory capital that our insurance and reinsurance subsidiaries have or are required to hold;
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•
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interest rate and/or foreign currency fluctuations;
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•
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our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;
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•
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major public health issues, and specifically the pandemic caused by the effects of the spread of the Coronavirus Disease of 2019 (COVID-19);
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•
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changes in relationships with important parties in our product distribution network;
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•
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the activities of our competitors and our ability to grow our retail business in a highly competitive environment;
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•
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the impact of general economic conditions on our ability to sell our products and on the fair value of our investments;
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•
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our ability to successfully acquire new companies or businesses and/or integrate such acquisitions into our existing framework;
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•
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downgrades, potential downgrades or other negative actions by rating agencies;
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•
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our dependence on key executives and inability to attract qualified personnel, or the potential loss of Bermudian personnel as a result of Bermuda employment restrictions;
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•
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market and credit risks that could diminish the value of our investments;
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•
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changes to the creditworthiness of our reinsurance and derivative counterparties;
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•
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the discontinuation of London Inter-bank Offered Rate (LIBOR);
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•
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changes in consumer perception regarding the desirability of annuities as retirement savings products;
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•
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potential litigation (including class action litigation), enforcement investigations or regulatory scrutiny against us and our subsidiaries, which we may be required to defend against or respond to;
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•
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the impact of new accounting rules or changes to existing accounting rules on our business;
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•
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interruption or other operational failures in telecommunication and information technology and other operating systems, as well as our ability to maintain the security of those systems;
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•
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the termination by Apollo Global Management, Inc. (AGM) or any of its subsidiaries (collectively, AGM together with its subsidiaries, Apollo) of its investment management agreements with us and limitations on our ability to terminate such arrangements;
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•
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Apollo’s dependence on key executives and inability to attract qualified personnel;
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•
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the accuracy of our estimates regarding the future performance of our investment portfolio;
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•
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increased regulation or scrutiny of alternative investment advisers and certain trading methods;
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•
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potential changes to regulations affecting, among other things, transactions with our affiliates, the ability of our subsidiaries to make dividend payments or distributions to AHL, acquisitions by or of us, minimum capitalization and statutory reserve requirements for insurance companies and fiduciary obligations on parties who distribute our products;
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•
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the failure to obtain or maintain licenses and/or other regulatory approvals as required for the operation of our insurance subsidiaries;
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•
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increases in our tax liability resulting from the Base Erosion and Anti-Abuse Tax (BEAT);
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•
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improper interpretation or application of Public Law no. 115-97, the Act to provide for reconciliation pursuant to titles II and V of the concurrent resolution on the budget for fiscal year 2018 (Tax Act) or subsequent changes to, clarifications of or guidance under the Tax Act that is counter to our interpretation and has retroactive effect;
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•
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AHL or any of its non-United States (U.S.) subsidiaries becoming subject to U.S. federal income taxation;
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•
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adverse changes in U.S. tax law;
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our being subject to U.S. withholding tax under the Foreign Account Tax Compliance Act (FATCA);
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•
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changes in our ability to pay dividends or make distributions;
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our failure to recognize the benefits expected to be derived from the share exchange transaction with Apollo;
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•
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the failure to achieve the economic benefits expected to be derived from the Athene Co-Invest Reinsurance Affiliate 1A Ltd. (together with its subsidiaries, ACRA) capital raise or future ACRA capital raises;
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•
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the failure of third-party ACRA investors to fund their capital commitment obligations; and
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other risks and factors listed in Part II–Item 1A. Risk Factors included in this report, Part I—Item 1A. Risk Factors included in our 2019 Annual Report and those discussed elsewhere in this report and in our 2019 Annual Report.
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Term or Acronym
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Definition
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A-A Mortgage
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A-A Mortgage Opportunities, L.P.
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AAA Investor
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AAA Guarantor – Athene, L.P.
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AAIA
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Athene Annuity and Life Company
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AARe
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Athene Annuity Re Ltd., a Bermuda reinsurance subsidiary
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ACRA
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Athene Co-Invest Reinsurance Affiliate 1A Ltd., together with its subsidiaries
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ADIP
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Apollo/Athene Dedicated Investment Program
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AGM
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Apollo Global Management, Inc.
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AHL
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Athene Holding Ltd.
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ALRe
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Athene Life Re Ltd., a Bermuda reinsurance subsidiary
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ALReI
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Athene Life Re International Ltd., a Bermuda reinsurance subsidiary
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AmeriHome
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AmeriHome Mortgage Company, LLC
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AOG
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Apollo Operating Group
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Apollo
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Apollo Global Management, Inc., together with its subsidiaries
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Apollo Group
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(1) Apollo, (2) the AAA Investor, (3) any investment fund or other collective investment vehicle whose general partner or managing member is owned, directly or indirectly, by Apollo or one or more of Apollo’s subsidiaries, (4) BRH Holdings GP, Ltd. and its shareholders, (5) any executive officer or employee of AGM or its subsidiaries (6) any shareholder that has granted to AGM or any of its affiliates a valid proxy with respect to all of such shareholder’s Class A common shares pursuant to our bye-laws and (7) any affiliate of any of the foregoing (except that AHL or its subsidiaries are not members of the Apollo Group)
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Athene USA
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Athene USA Corporation
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Athora
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Athora Holding Ltd.
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BMA
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Bermuda Monetary Authority
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CoInvest VI
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AAA Investments (Co-Invest VI), L.P.
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CoInvest VII
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AAA Investments (Co-Invest VII), L.P.
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ISG
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Apollo Insurance Solutions Group LP, formerly known as Athene Asset Management LLC
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Jackson
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Jackson National Life Insurance Company
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LIMRA
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Life Insurance and Market Research Association
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MidCap
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MidCap FinCo Designated Activity Company
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NAIC
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National Association of Insurance Commissioners
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NYSDFS
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New York State Department of Financial Services
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RLI
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ReliaStar Life Insurance Company
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Treasury
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United States Department of the Treasury
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VIAC
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Venerable Insurance and Annuity Company, formerly Voya Insurance and Annuity Company
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Venerable
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Venerable Holdings, Inc., together with its subsidiaries
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Term or Acronym
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Definition
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ABS
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Asset-backed securities
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ACL
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Authorized control level RBC as defined by the model created by the National Association of Insurance Commissioners
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ALM
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Asset liability management
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ALRe RBC
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The risk-based capital ratio using Bermuda capital and applying NAIC risk-based capital factors to the statutory financial statements of AHL’s non-U.S. reinsurance subsidiaries on an aggregate basis. Adjustments are made to (i) exclude U.S. subsidiaries which are included within our U.S. RBC Ratio, (ii) exclude our interests in the AOG units and other non-insurance subsidiary holding companies from our capital base and (iii) limit RBC concentration charges such that when they are applied to determine target capital, the charges do not exceed 100% of the asset’s carrying value.
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Alternative investments
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Alternative investments, including investment funds, CLO equity positions and certain other debt instruments considered to be equity-like
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Base of earnings
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Earnings generated from our results of operations and the underlying profitability drivers of our business
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Bermuda capital
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The capital of Athene’s non-U.S. reinsurance subsidiaries calculated under U.S. statutory accounting principles, including that for policyholder reserve liabilities which are subjected to U.S. cash flow testing requirements, but (i) excluding certain items that do not exist under our applicable Bermuda requirements, such as interest maintenance reserves and (ii) including certain Bermuda statutory accounting differences, such as marking to market of inception date investment gains or losses relating to reinsurance transactions. Bermuda capital may from time to time materially differ from the calculation of statutory capital under U.S. statutory accounting principles primarily due to the foregoing differences.
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Block reinsurance
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A transaction in which the ceding company cedes all or a portion of a block of previously issued annuity contracts through a reinsurance agreement
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BSCR
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Bermuda Solvency Capital Requirement
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CAL
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Company action level risk-based capital as defined by the model created by the National Association of Insurance Commissioners
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CLO
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Collateralized loan obligation
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CMBS
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Commercial mortgage-backed securities
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CML
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Commercial mortgage loans
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Cost of crediting
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The interest credited to the policyholders on our fixed annuities, including, with respect to our fixed indexed annuities, option costs, as well as institutional costs related to institutional products, presented on an annualized basis for interim periods
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Cost of funds
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Cost of funds includes liability costs related to cost of crediting on both deferred annuities and institutional products, as well as other liability costs. Cost of funds is computed as the total liability costs divided by the average net invested assets for the relevant period. Presented on an annualized basis for interim periods.
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DAC
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Deferred acquisition costs
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Deferred annuities
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Fixed indexed annuities, annual reset annuities, multi-year guaranteed annuities and registered index-linked annuities
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DSI
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Deferred sales inducement
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Excess capital
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Capital in excess of the level management believes is needed to support our current operating strategy
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FIA
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Fixed indexed annuity, which is an insurance contract that earns interest at a crediting rate based on a specified index on a tax-deferred basis
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Fixed annuities
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FIAs together with fixed rate annuities
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Fixed rate annuity
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An insurance contract that offers tax-deferred growth and the opportunity to produce a guaranteed stream of retirement income for the lifetime of its policyholder
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Flow reinsurance
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A transaction in which the ceding company cedes a portion of newly issued policies to the reinsurer
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GAAP
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Accounting principles generally accepted in the United States of America
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GLWB
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Guaranteed lifetime withdrawal benefit
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GMDB
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Guaranteed minimum death benefit
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Gross invested assets
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The sum of (a) total investments on the consolidated balance sheet with available-for-sale securities at amortized cost, excluding derivatives, (b) cash and cash equivalents and restricted cash, (c) investments in related parties, (d) accrued investment income, (e) consolidated variable interest entities’ assets, liabilities and noncontrolling interest and (f) policy loans ceded (which offset the direct policy loans in total investments). Gross invested assets includes investments supporting assumed funds withheld and modco agreements and excludes assets associated with funds withheld liabilities related to business exited through reinsurance agreements and derivative collateral (offsetting the related cash positions). Gross invested assets includes the entire investment balance attributable to ACRA as ACRA is 100% consolidated
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Term or Acronym
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Definition
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IMA
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Investment management agreement
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IMO
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Independent marketing organization
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Investment margin on deferred annuities
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Investment margin applies to deferred annuities and is the excess of our net investment earned rate over the cost of crediting to our policyholders, presented on an annualized basis for interim periods
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Liability outflows
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The aggregate of withdrawals on our deferred annuities, maturities of our funding agreements, payments on payout annuities, and pension risk benefit payments
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MMS
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Minimum margin of solvency
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Modco
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Modified coinsurance
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MVA
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Market value adjustment
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MYGA
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Multi-year guaranteed annuity
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Net invested assets
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The sum of (a) total investments on the consolidated balance sheet with available-for-sale securities at amortized cost, excluding derivatives, (b) cash and cash equivalents and restricted cash, (c) investments in related parties, (d) accrued investment income, (e) consolidated variable interest entities’ assets, liabilities and noncontrolling interest and (f) policy loans ceded (which offset the direct policy loans in total investments). Net invested assets includes investments supporting assumed funds withheld and modco agreements and excludes assets associated with funds withheld liabilities related to business exited through reinsurance agreements and derivative collateral (offsetting the related cash positions). Net invested assets includes our economic ownership of ACRA investments but does not include the investments associated with the noncontrolling interest
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Net investment earned rate
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Income from our net invested assets divided by the average net invested assets for the relevant period, presented on an annualized basis for interim periods
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Net investment spread
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Net investment spread measures our investment performance less the total cost of our liabilities, presented on an annualized basis for interim periods
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Net reserve liabilities
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The sum of (a) interest sensitive contract liabilities, (b) future policy benefits, (c) dividends payable to policyholders, and (d) other policy claims and benefits, offset by reinsurance recoverable, excluding policy loans ceded. Net reserve liabilities also includes the reserves related to assumed modco agreements in order to appropriately match the costs incurred in the consolidated statements of income with the liabilities. Net reserve liabilities is net of the ceded liabilities to third-party reinsurers as the costs of the liabilities are passed to such reinsurers and therefore we have no net economic exposure to such liabilities, assuming our reinsurance counterparties perform under our agreements. Net reserve liabilities is net of the reserve liabilities attributable to the ACRA noncontrolling interest
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Other liability costs
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Other liability costs include DAC, DSI and VOBA amortization, change in rider reserves, the cost of liabilities on products other than deferred annuities and institutional products, excise taxes, as well as offsets for premiums, product charges and other revenues
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OTTI
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Other-than-temporary impairment
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Payout annuities
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Annuities with a current cash payment component, which consist primarily of single premium immediate annuities, supplemental contracts and structured settlements
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Policy loan
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A loan to a policyholder under the terms of, and which is secured by, a policyholder’s policy
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PRT
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Pension risk transfer
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RBC
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Risk-based capital
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Rider reserves
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Guaranteed lifetime withdrawal benefits and guaranteed minimum death benefits reserves
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RMBS
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Residential mortgage-backed securities
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RML
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Residential mortgage loan
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Sales
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All money paid into an individual annuity, including money paid into new contracts with initial purchase occurring in the specified period and existing contracts with initial purchase occurring prior to the specified period (excluding internal transfers)
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SPIA
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Single premium immediate annuity
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Surplus assets
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Assets in excess of policyholder obligations, determined in accordance with the applicable domiciliary jurisdiction’s statutory accounting principles
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TAC
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Total adjusted capital as defined by the model created by the NAIC
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U.S. RBC Ratio
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The CAL RBC ratio for AADE, our parent U.S. insurance company
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VIE
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Variable interest entity
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VOBA
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Value of business acquired
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(In millions)
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June 30, 2020
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December 31, 2019
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Assets
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Investments
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Available-for-sale securities, at fair value (amortized cost: 2020 – $71,215 and 2019 – $67,479; allowance for credit losses: 2020 – $173)
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$
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74,735
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$
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71,374
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Trading securities, at fair value (consolidated variable interest entities: 2020 – $0 and 2019 – $16)
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2,075
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2,070
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Equity securities, at fair value
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237
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247
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Mortgage loans (allowance for credit losses: 2020 – $352 and 2019 – $11; portion at fair value: 2020 – $25 and 2019 – $27; consolidated variable interest entities: 2020 – $1,856 and 2019 – $0)
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15,203
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14,306
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Investment funds (portion at fair value: 2020 – $146 and 2019 – $154; consolidated variable interest entities: 2020 – $0 and 2019 – $19)
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682
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750
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Policy loans
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393
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417
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Funds withheld at interest (portion at fair value: 2020 – $763 and 2019 – $801)
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42,269
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15,181
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Derivative assets
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2,379
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2,888
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Short-term investments (portion at fair value: 2020 – $364 and 2019 – $406)
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364
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596
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Other investments (allowance for credit losses: 2020 – $6; portion at fair value: 2020 – $109 and 2019 – $93)
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359
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158
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Total investments
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138,696
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107,987
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Cash and cash equivalents (consolidated variable interest entities: 2020 – $0 and 2019 – $3)
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6,240
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4,240
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Restricted cash
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1,281
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402
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Investments in related parties
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Available-for-sale securities, at fair value (amortized cost: 2020 – $4,173 and 2019 – $3,783; allowance for credit losses: 2020 – $2)
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4,070
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3,804
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Trading securities, at fair value
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872
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785
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Equity securities, at fair value (consolidated variable interest entities: 2020 – $0 and 2019 – $6)
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52
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64
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Mortgage loans (allowance for credit losses: 2020 – $27 and 2019 – $0)
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626
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653
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Investment funds (portion at fair value: 2020 – $1,885 and 2019 – $819; consolidated variable interest entities: 2020 – $0 and 2019 – $664)
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5,278
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3,550
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Funds withheld at interest (portion at fair value: 2020 – $560 and 2019 – $594)
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12,971
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13,220
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Other investments (allowance for credit losses: 2020 – $14)
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474
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487
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Accrued investment income (related party: 2020 – $53 and 2019 – $27)
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836
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807
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Reinsurance recoverable (portion at fair value: 2020 – $2,099 and 2019 – $1,821)
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5,310
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4,863
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Deferred acquisition costs, deferred sales inducements and value of business acquired
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5,468
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5,008
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Other assets (consolidated variable interest entities: 2020 – $6 and 2019 – $20)
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1,067
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1,005
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Total assets
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$
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183,241
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$
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146,875
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(In millions, except per share data)
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June 30, 2020
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December 31, 2019
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Liabilities and Equity
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Liabilities
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Interest sensitive contract liabilities (related party: 2020 – $14,609 and 2019 – $15,285; portion at fair value: 2020 – $12,463 and 2019 – $11,992)
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$
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135,537
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$
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102,745
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Future policy benefits (related party: 2020 – $1,446 and 2019 – $1,302; portion at fair value: 2020 – $2,334 and 2019 – $2,301)
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24,596
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23,330
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Other policy claims and benefits (related party: 2020 – $0 and 2019 – $13)
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124
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138
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Dividends payable to policyholders
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112
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113
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Short-term debt
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—
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475
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Long-term debt
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1,486
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992
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Derivative liabilities
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118
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97
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Payables for collateral on derivatives and securities to repurchase
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3,716
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3,255
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Funds withheld liability (portion at fair value: 2020 – $46 and 2019 – $31)
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427
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408
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Other liabilities (related party: 2020 – $70 and 2019 – $79; consolidated variable interest entities: 2020 – $28 and 2019 – $0)
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1,486
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1,181
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Total liabilities
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167,602
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132,734
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Commitments and Contingencies (Note 12)
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Equity
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|
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Preferred stock
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|
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Series A – par value $1 per share; $863 aggregate liquidation preference; authorized, issued and outstanding: 2020 and 2019 – 0.0 shares
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—
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—
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Series B – par value $1 per share; $345 aggregate liquidation preference; authorized, issued and outstanding: 2020 and 2019 – 0.0 shares
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—
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—
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Series C – par value $1 per share; $600 aggregate liquidation preference; authorized, issued and outstanding: 2020 and 2019 – 0.0 shares
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—
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—
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Common stock
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Class A – par value $0.001 per share; authorized: 2020 and 2019 – 425.0 shares; issued and outstanding: 2020 – 194.3 and 2019 – 143.2 shares
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—
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—
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Class B – par value $0.001 per share; convertible to Class A; authorized: 2020 – 0.0 and 2019 – 325.0 shares; issued and outstanding: 2020 – 0.0 and 2019 – 25.4 shares
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—
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—
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Class M-1 – par value $0.001 per share; convertible to Class A; authorized: 2020 – 0.0 and 2019 – 7.1 shares; issued and outstanding: 2020 – 0.0 and 2019 – 3.3 shares
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—
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—
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Class M-2 – par value $0.001 per share; convertible to Class A; authorized: 2020 – 0.0 and 2019 – 5.0 shares; issued and outstanding: 2020 – 0.0 and 2019 – 0.8 shares
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—
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—
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Class M-3 – par value $0.001 per share; convertible to Class A; authorized: 2020 – 0.0 and 2019 – 7.5 shares; issued and outstanding: 2020 – 0.0 and 2019 – 1.0 shares
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—
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—
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Class M-4 – par value $0.001 per share; convertible to Class A; authorized: 2020 – 0.0 and 2019 – 7.5 shares; issued and outstanding: 2020 – 0.0 and 2019 – 4.0 shares
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—
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—
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Additional paid-in capital
|
6,090
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|
4,171
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Retained earnings
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6,437
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|
6,939
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|
||
Accumulated other comprehensive income (related party: 2020 – $(106) and 2019 – $17)
|
2,184
|
|
|
2,281
|
|
||
Total Athene Holding Ltd. shareholders’ equity
|
14,711
|
|
|
13,391
|
|
||
Noncontrolling interests
|
928
|
|
|
750
|
|
||
Total equity
|
15,639
|
|
|
14,141
|
|
||
Total liabilities and equity
|
$
|
183,241
|
|
|
$
|
146,875
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions, except per share data)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Revenues
|
|
|
|
|
|
|
|
||||||||
Premiums (related party of $94 and $56 for the three months ended and $163 and $122 for the six months ended June 30, 2020 and 2019, respectively)
|
$
|
355
|
|
|
$
|
787
|
|
|
$
|
1,495
|
|
|
$
|
2,787
|
|
Product charges (related party of $12 and $14 for the three months ended and $28 and $28 for the six months ended June 30, 2020 and 2019, respectively)
|
141
|
|
|
132
|
|
|
281
|
|
|
257
|
|
||||
Net investment income (related party investment income of $490 and $154 for the three months ended and $276 and $353 for the six months ended June 30, 2020 and 2019, respectively; consolidated variable interest entities of $16 and $21 for the three months ended and $16 and $37 for the six months ended June 30, 2020 and 2019, respectively; and related party investment expense of $123 and $94 for the three months ended and $251 and $186 for the six months ended June 30, 2020 and 2019, respectively)
|
1,336
|
|
|
1,182
|
|
|
2,081
|
|
|
2,264
|
|
||||
Investment related gains (losses) (related party of $761 and $431 for the three months ended and $130 and $752 for the six months ended June 30, 2020 and 2019, respectively; and consolidated variable interest entities of $(7) and $3 for the three months ended and $(6) and $8 for the six months ended June 30, 2020 and 2019, respectively)
|
2,548
|
|
|
1,313
|
|
|
(1,024
|
)
|
|
3,089
|
|
||||
Other revenues
|
18
|
|
|
9
|
|
|
16
|
|
|
21
|
|
||||
Total revenues
|
4,398
|
|
|
3,423
|
|
|
2,849
|
|
|
8,418
|
|
||||
Benefits and expenses
|
|
|
|
|
|
|
|
||||||||
Interest sensitive contract benefits (related party of $197 and $114 for the three months ended and $100 and $297 for the six months ended June 30, 2020 and 2019, respectively)
|
2,076
|
|
|
1,094
|
|
|
757
|
|
|
2,610
|
|
||||
Amortization of deferred sales inducements
|
(21
|
)
|
|
13
|
|
|
(11
|
)
|
|
18
|
|
||||
Future policy and other policy benefits (related party of $142 and $91 for the three months ended and $192 and $197 for the six months ended June 30, 2020 and 2019, respectively)
|
674
|
|
|
1,111
|
|
|
2,030
|
|
|
3,440
|
|
||||
Amortization of deferred acquisition costs and value of business acquired
|
361
|
|
|
261
|
|
|
(52
|
)
|
|
492
|
|
||||
Dividends to policyholders
|
9
|
|
|
9
|
|
|
20
|
|
|
18
|
|
||||
Policy and other operating expenses (related party of $11 and $12 for the three months ended and $27 and $20 for the six months ended June 30, 2020 and 2019, respectively)
|
218
|
|
|
185
|
|
|
406
|
|
|
350
|
|
||||
Total benefits and expenses
|
3,317
|
|
|
2,673
|
|
|
3,150
|
|
|
6,928
|
|
||||
Income (loss) before income taxes
|
1,081
|
|
|
750
|
|
|
(301
|
)
|
|
1,490
|
|
||||
Income tax expense (benefit)
|
150
|
|
|
30
|
|
|
(16
|
)
|
|
62
|
|
||||
Net income (loss)
|
931
|
|
|
720
|
|
|
(285
|
)
|
|
1,428
|
|
||||
Less: Net income (loss) attributable to noncontrolling interests
|
88
|
|
|
—
|
|
|
(81
|
)
|
|
—
|
|
||||
Net income (loss) attributable to Athene Holding Ltd. shareholders
|
843
|
|
|
720
|
|
|
(204
|
)
|
|
1,428
|
|
||||
Less: Preferred stock dividends
|
19
|
|
|
—
|
|
|
37
|
|
|
—
|
|
||||
Net income (loss) available to Athene Holding Ltd. common shareholders
|
$
|
824
|
|
|
$
|
720
|
|
|
$
|
(241
|
)
|
|
$
|
1,428
|
|
|
|
|
|
|
|
|
|
||||||||
Earnings per share
|
|
|
|
|
|
|
|
||||||||
Basic – Class A
|
$
|
4.25
|
|
|
$
|
3.76
|
|
|
$
|
(0.64
|
)
|
|
$
|
7.43
|
|
Basic – Classes B, M-1, M-2, M-3 and M-4
|
N/A
|
|
|
3.76
|
|
|
(3.87
|
)
|
|
7.43
|
|
||||
Diluted – Class A
|
4.19
|
|
|
3.75
|
|
|
(0.64
|
)
|
|
7.41
|
|
||||
Diluted – Class B
|
N/A
|
|
|
3.76
|
|
|
(3.87
|
)
|
|
7.43
|
|
||||
Diluted – Class M-1
|
N/A
|
|
|
3.76
|
|
|
(3.87
|
)
|
|
7.43
|
|
||||
Diluted – Class M-2
|
N/A
|
|
|
3.76
|
|
|
(3.87
|
)
|
|
7.43
|
|
||||
Diluted – Class M-3
|
N/A
|
|
|
3.76
|
|
|
(3.87
|
)
|
|
7.43
|
|
||||
Diluted – Class M-4
|
N/A
|
|
|
3.28
|
|
|
(3.87
|
)
|
|
6.45
|
|
||||
|
|
|
|
|
|
|
|
||||||||
N/A – Not applicable. See Notes 9 – Earnings Per Share and 10 – Equity for further information.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Net income (loss)
|
$
|
931
|
|
|
$
|
720
|
|
|
$
|
(285
|
)
|
|
$
|
1,428
|
|
Other comprehensive income (loss), before tax
|
|
|
|
|
|
|
|
||||||||
Unrealized investment gains (losses) on available-for-sale securities, net of offsets
|
4,506
|
|
|
1,261
|
|
|
(333
|
)
|
|
2,738
|
|
||||
Unrealized gains (losses) on hedging instruments
|
(83
|
)
|
|
55
|
|
|
318
|
|
|
47
|
|
||||
Foreign currency translation and other adjustments
|
(10
|
)
|
|
(1
|
)
|
|
(1
|
)
|
|
(1
|
)
|
||||
Other comprehensive income (loss), before tax
|
4,413
|
|
|
1,315
|
|
|
(16
|
)
|
|
2,784
|
|
||||
Income tax expense related to other comprehensive income (loss)
|
805
|
|
|
261
|
|
|
8
|
|
|
552
|
|
||||
Other comprehensive income (loss)
|
3,608
|
|
|
1,054
|
|
|
(24
|
)
|
|
2,232
|
|
||||
Comprehensive income (loss)
|
4,539
|
|
|
1,774
|
|
|
(309
|
)
|
|
3,660
|
|
||||
Less: Comprehensive income (loss) attributable to noncontrolling interests
|
338
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
||||
Comprehensive income (loss) attributable to Athene Holding Ltd. shareholders
|
$
|
4,201
|
|
|
$
|
1,774
|
|
|
$
|
(295
|
)
|
|
$
|
3,660
|
|
|
Three months ended
|
||||||||||||||||||||||||||||||
(In millions)
|
Preferred stock
|
|
Common stock
|
|
Additional paid-in capital
|
|
Retained earnings
|
|
Accumulated other comprehensive income (loss)
|
|
Total Athene Holding Ltd. shareholders’ equity
|
|
Noncontrolling interests
|
|
Total shareholders’ equity
|
||||||||||||||||
Balance at March 31, 2019
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,448
|
|
|
$
|
5,963
|
|
|
$
|
706
|
|
|
$
|
10,117
|
|
|
$
|
—
|
|
|
$
|
10,117
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
720
|
|
|
—
|
|
|
720
|
|
|
—
|
|
|
720
|
|
||||||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,054
|
|
|
1,054
|
|
|
—
|
|
|
1,054
|
|
||||||||
Issuance of preferred shares, net of expenses
|
—
|
|
|
—
|
|
|
839
|
|
|
—
|
|
|
—
|
|
|
839
|
|
|
—
|
|
|
839
|
|
||||||||
Issuance of common shares, net of expenses
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
10
|
|
|
—
|
|
|
—
|
|
|
10
|
|
|
—
|
|
|
10
|
|
||||||||
Retirement or repurchase of shares
|
—
|
|
|
—
|
|
|
(154
|
)
|
|
(222
|
)
|
|
—
|
|
|
(376
|
)
|
|
—
|
|
|
(376
|
)
|
||||||||
Balance at June 30, 2019
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,144
|
|
|
$
|
6,461
|
|
|
$
|
1,760
|
|
|
$
|
12,365
|
|
|
$
|
—
|
|
|
$
|
12,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at March 31, 2020
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,501
|
|
|
$
|
5,613
|
|
|
$
|
(1,174
|
)
|
|
$
|
9,940
|
|
|
$
|
590
|
|
|
$
|
10,530
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
843
|
|
|
—
|
|
|
843
|
|
|
88
|
|
|
931
|
|
||||||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3,358
|
|
|
3,358
|
|
|
250
|
|
|
3,608
|
|
||||||||
Issuance of preferred shares, net of expenses
|
—
|
|
|
—
|
|
|
583
|
|
|
—
|
|
|
—
|
|
|
583
|
|
|
—
|
|
|
583
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||||||
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
|
—
|
|
|
(19
|
)
|
||||||||
Balance at June 30, 2020
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,090
|
|
|
$
|
6,437
|
|
|
$
|
2,184
|
|
|
$
|
14,711
|
|
|
$
|
928
|
|
|
$
|
15,639
|
|
|
Six months ended
|
||||||||||||||||||||||||||||||
(In millions)
|
Preferred stock
|
|
Common stock
|
|
Additional paid-in capital
|
|
Retained earnings
|
|
Accumulated other comprehensive income (loss)
|
|
Total Athene Holding Ltd. shareholders’ equity
|
|
Noncontrolling interests
|
|
Total shareholders’ equity
|
||||||||||||||||
Balance at December 31, 2018
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,462
|
|
|
$
|
5,286
|
|
|
$
|
(472
|
)
|
|
$
|
8,276
|
|
|
$
|
—
|
|
|
$
|
8,276
|
|
Net income
|
—
|
|
|
—
|
|
|
—
|
|
|
1,428
|
|
|
—
|
|
|
1,428
|
|
|
—
|
|
|
1,428
|
|
||||||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,232
|
|
|
2,232
|
|
|
—
|
|
|
2,232
|
|
||||||||
Issuance of preferred shares, net of expenses
|
—
|
|
|
—
|
|
|
839
|
|
|
—
|
|
|
—
|
|
|
839
|
|
|
—
|
|
|
839
|
|
||||||||
Issuance of common shares, net of expenses
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
2
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
15
|
|
|
—
|
|
|
—
|
|
|
15
|
|
|
—
|
|
|
15
|
|
||||||||
Retirement or repurchase of shares
|
—
|
|
|
—
|
|
|
(174
|
)
|
|
(253
|
)
|
|
—
|
|
|
(427
|
)
|
|
—
|
|
|
(427
|
)
|
||||||||
Balance at June 30, 2019
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,144
|
|
|
$
|
6,461
|
|
|
$
|
1,760
|
|
|
$
|
12,365
|
|
|
$
|
—
|
|
|
$
|
12,365
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Balance at December 31, 2019
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
4,171
|
|
|
$
|
6,939
|
|
|
$
|
2,281
|
|
|
$
|
13,391
|
|
|
$
|
750
|
|
|
$
|
14,141
|
|
Adoption of accounting standard
|
—
|
|
|
—
|
|
|
—
|
|
|
(117
|
)
|
|
(6
|
)
|
|
(123
|
)
|
|
(2
|
)
|
|
(125
|
)
|
||||||||
Net loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(204
|
)
|
|
—
|
|
|
(204
|
)
|
|
(81
|
)
|
|
(285
|
)
|
||||||||
Other comprehensive income (loss)
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(91
|
)
|
|
(91
|
)
|
|
67
|
|
|
(24
|
)
|
||||||||
Issuance of preferred shares, net of expenses
|
—
|
|
|
—
|
|
|
583
|
|
|
—
|
|
|
—
|
|
|
583
|
|
|
—
|
|
|
583
|
|
||||||||
Issuance of common shares, net of expenses
|
—
|
|
|
—
|
|
|
1,509
|
|
|
—
|
|
|
—
|
|
|
1,509
|
|
|
—
|
|
|
1,509
|
|
||||||||
Stock-based compensation
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
—
|
|
|
11
|
|
||||||||
Retirement or repurchase of shares
|
—
|
|
|
—
|
|
|
(184
|
)
|
|
(144
|
)
|
|
—
|
|
|
(328
|
)
|
|
—
|
|
|
(328
|
)
|
||||||||
Preferred stock dividends
|
—
|
|
|
—
|
|
|
—
|
|
|
(37
|
)
|
|
—
|
|
|
(37
|
)
|
|
—
|
|
|
(37
|
)
|
||||||||
Contributions from noncontrolling interests
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
240
|
|
|
240
|
|
||||||||
Distributions to noncontrolling interests
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(46
|
)
|
|
(46
|
)
|
||||||||
Balance at June 30, 2020
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
6,090
|
|
|
$
|
6,437
|
|
|
$
|
2,184
|
|
|
$
|
14,711
|
|
|
$
|
928
|
|
|
$
|
15,639
|
|
|
Six months ended June 30,
|
||||||
(In millions)
|
2020
|
|
2019
|
||||
Cash flows from operating activities
|
|
|
|
||||
Net income (loss)
|
$
|
(285
|
)
|
|
$
|
1,428
|
|
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
|
|
|
|
||||
Amortization of deferred acquisition costs and value of business acquired
|
(52
|
)
|
|
492
|
|
||
Amortization of deferred sales inducements
|
(11
|
)
|
|
18
|
|
||
Accretion of net investment premiums, discounts and other
|
(91
|
)
|
|
(54
|
)
|
||
Net investment income (related party: 2020 – $(12) and 2019 – $(52); consolidated variable interest entities: 2020 – $(5), 2019 – $0)
|
(1
|
)
|
|
(47
|
)
|
||
Net recognized (gains) losses on investments and derivatives (related party: 2020 – $75 and 2019 – $(15); consolidated variable interest entities: 2020 – $7 and 2019 – $(8))
|
1,214
|
|
|
(1,526
|
)
|
||
Policy acquisition costs deferred
|
(281
|
)
|
|
(354
|
)
|
||
Changes in operating assets and liabilities:
|
|
|
|
||||
Accrued investment income (related party: 2020 – $(26) and 2019 – $3)
|
(29
|
)
|
|
(76
|
)
|
||
Interest sensitive contract liabilities (related party: 2020 – $102 and 2019 – $264)
|
611
|
|
|
2,397
|
|
||
Future policy benefits, other policy claims and benefits, dividends payable to policyholders and reinsurance recoverable (related party: 2020 – $140 and 2019 – $162)
|
39
|
|
|
921
|
|
||
Funds withheld assets and liabilities (related party: 2020 – $(325) and 2019 – $(953))
|
375
|
|
|
(1,886
|
)
|
||
Other assets and liabilities
|
(87
|
)
|
|
270
|
|
||
Net cash provided by operating activities
|
1,402
|
|
|
1,583
|
|
||
Cash flows from investing activities
|
|
|
|
||||
Sales, maturities and repayments of:
|
|
|
|
||||
Available-for-sale securities (related party: 2020 – $209 and 2019 – $73)
|
6,425
|
|
|
5,567
|
|
||
Trading securities (related party: 2020 – $31 and 2019 – $60; consolidated variable interest entities: 2020 – $10 and 2019 – $33)
|
85
|
|
|
143
|
|
||
Equity securities (related party: 2020 – $3 and 2019 – $51; consolidated variable interest entities: 2020 – $0 and 2019 – $51)
|
3
|
|
|
70
|
|
||
Mortgage loans (related party: 2020 – $0 and 2019 – $4)
|
1,136
|
|
|
994
|
|
||
Investment funds (related party: 2020 – $241 and 2019 – $116; consolidated variable interest entities: 2020 – $20 and 2019 – $5)
|
313
|
|
|
186
|
|
||
Derivative instruments and other invested assets
|
765
|
|
|
653
|
|
||
Short-term investments (related party: 2020 – $28 and 2019 – $0)
|
650
|
|
|
163
|
|
||
Purchases of:
|
|
|
|
||||
Available-for-sale securities (related party: 2020 – $(611) and 2019 – $(436))
|
(9,624
|
)
|
|
(7,813
|
)
|
||
Trading securities (related party: 2020 – $(150) and 2019 – $(6))
|
(152
|
)
|
|
(382
|
)
|
||
Equity securities (related party: 2020 – $(3) and 2019 – $(213))
|
(16
|
)
|
|
(332
|
)
|
||
Mortgage loans
|
(2,317
|
)
|
|
(2,558
|
)
|
||
Investment funds (related party: 2020 – $(807) and 2019 – $(402); consolidated variable interest entities: 2020 – $0 and 2019 – $(21))
|
(831
|
)
|
|
(500
|
)
|
||
Derivative instruments and other invested assets
|
(1,034
|
)
|
|
(581
|
)
|
||
Short-term investments (related party: 2020 – $(28) and 2019 – $0)
|
(412
|
)
|
|
(259
|
)
|
||
Deconsolidation of previously consolidated variable interest entities
|
(3
|
)
|
|
—
|
|
||
Other investing activities, net
|
276
|
|
|
631
|
|
||
Net cash used in investing activities
|
(4,736
|
)
|
|
(4,018
|
)
|
||
|
|
|
(Continued)
|
|
|||
See accompanying notes to the unaudited condensed consolidated financial statements
|
|
|
|
|
Six months ended June 30,
|
||||||
(In millions)
|
2020
|
|
2019
|
||||
Cash flows from financing activities
|
|
|
|
||||
Issuance of common stock
|
$
|
350
|
|
|
$
|
—
|
|
Repayment of short-term debt
|
(75
|
)
|
|
—
|
|
||
Proceeds from long-term debt
|
499
|
|
|
—
|
|
||
Deposits on investment-type policies and contracts (related party: 2020 – $39 and 2019 – $117)
|
8,398
|
|
|
5,972
|
|
||
Withdrawals on investment-type policies and contracts (related party: 2020 – $(210) and 2019 – $(225))
|
(3,871
|
)
|
|
(3,275
|
)
|
||
Payments for coinsurance agreements on investment-type contracts, net
|
(11
|
)
|
|
(31
|
)
|
||
Capital contributions from noncontrolling interests
|
240
|
|
|
—
|
|
||
Capital distributions to noncontrolling interests
|
(46
|
)
|
|
—
|
|
||
Net change in cash collateral posted for derivative transactions and securities to repurchase
|
461
|
|
|
1,214
|
|
||
Issuance of preferred stock, net of expenses
|
583
|
|
|
839
|
|
||
Preferred stock dividends
|
(37
|
)
|
|
—
|
|
||
Repurchase of common stock
|
(328
|
)
|
|
(427
|
)
|
||
Other financing activities, net
|
71
|
|
|
(23
|
)
|
||
Net cash provided by financing activities
|
6,234
|
|
|
4,269
|
|
||
Effect of exchange rate changes on cash and cash equivalents
|
(21
|
)
|
|
—
|
|
||
Net increase in cash and cash equivalents
|
2,879
|
|
|
1,834
|
|
||
Cash and cash equivalents at beginning of year1
|
4,642
|
|
|
3,405
|
|
||
Cash and cash equivalents at end of period1
|
$
|
7,521
|
|
|
$
|
5,239
|
|
|
|
|
|
||||
Supplementary information
|
|
|
|
||||
Non-cash transactions
|
|
|
|
||||
Deposits on investment-type policies and contracts through reinsurance agreements (related party: 2020 – $156 and 2019 – $108)
|
$
|
28,077
|
|
|
$
|
423
|
|
Withdrawals on investment-type policies and contracts through reinsurance agreements (related party: 2020 – $730 and 2019 – $910)
|
1,895
|
|
|
1,873
|
|
||
Investments received from settlements on reinsurance agreements
|
53
|
|
|
31
|
|
||
Investments received from pension risk transfer premiums
|
829
|
|
|
1,918
|
|
||
Related party investments received in exchange for the issuance of Class A common shares
|
1,147
|
|
|
—
|
|
||
|
|
|
|
||||
1 Includes cash and cash equivalents and restricted cash.
|
•
|
Our non-U.S. reinsurance subsidiaries, to which AHL’s other insurance subsidiaries and third-party ceding companies directly and indirectly reinsure a portion of their liabilities, including Athene Life Re Ltd. (ALRe), a Bermuda exempted company, and Athene Life Re International Ltd. (ALReI); and
|
•
|
Athene USA Corporation, an Iowa corporation (together with its subsidiaries, Athene USA).
|
•
|
The update requires cash flow assumptions used to measure the liability for future policy benefits to be updated at least annually and no longer allows a provision for adverse deviation. The remeasurement of the liability associated with the update of assumptions is required to be recognized in net income. Loss recognition testing is eliminated for traditional and limited-payment contracts. The update also requires the discount rate used in measuring the liability to be an upper-medium grade fixed-income instrument yield, which is to be updated at each reporting date. The change in liability due to changes in the discount rate is to be recognized in other comprehensive income.
|
•
|
The update simplifies the amortization of deferred acquisition costs and other balances amortized in proportion to premiums, gross profits, or gross margins, requiring such balances to be amortized on a constant level basis over the expected term of the contracts. Deferred costs are required to be written off for unexpected contract terminations but are not subject to impairment testing.
|
•
|
The update requires certain contract features meeting the definition of market risk benefits to be measured at fair value. Among the features included in this definition are the guaranteed lifetime withdrawal benefits (GLWB) and guaranteed minimum death benefit (GMDB) riders attached to our annuity products. The change in fair value of the market risk benefits is to be recognized in net income, excluding the portion attributable to changes in instrument-specific credit risk which is recognized in other comprehensive income.
|
•
|
The update also introduces disclosure requirements around the liability for future policy benefits, policyholder account balances, market risk benefits, separate account liabilities, and deferred acquisition costs. This includes disaggregated rollforwards of these balances and information about significant inputs, judgments, assumptions and methods used in their measurement.
|
|
June 30, 2020
|
||||||||||||||||||
(In millions)
|
Amortized Cost
|
|
Allowance for Credit Losses
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
$
|
71
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
74
|
|
U.S. state, municipal and political subdivisions
|
799
|
|
|
—
|
|
|
146
|
|
|
(2
|
)
|
|
943
|
|
|||||
Foreign governments
|
318
|
|
|
—
|
|
|
20
|
|
|
(1
|
)
|
|
337
|
|
|||||
Corporate
|
47,251
|
|
|
(31
|
)
|
|
4,608
|
|
|
(629
|
)
|
|
51,199
|
|
|||||
CLO
|
8,441
|
|
|
(1
|
)
|
|
19
|
|
|
(507
|
)
|
|
7,952
|
|
|||||
ABS
|
4,923
|
|
|
(2
|
)
|
|
110
|
|
|
(258
|
)
|
|
4,773
|
|
|||||
CMBS
|
2,402
|
|
|
(10
|
)
|
|
53
|
|
|
(148
|
)
|
|
2,297
|
|
|||||
RMBS
|
7,010
|
|
|
(129
|
)
|
|
343
|
|
|
(64
|
)
|
|
7,160
|
|
|||||
Total AFS securities
|
71,215
|
|
|
(173
|
)
|
|
5,302
|
|
|
(1,609
|
)
|
|
74,735
|
|
|||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate
|
18
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
20
|
|
|||||
CLO
|
1,297
|
|
|
(2
|
)
|
|
5
|
|
|
(61
|
)
|
|
1,239
|
|
|||||
ABS
|
2,858
|
|
|
—
|
|
|
26
|
|
|
(73
|
)
|
|
2,811
|
|
|||||
Total AFS securities – related party
|
4,173
|
|
|
(2
|
)
|
|
33
|
|
|
(134
|
)
|
|
4,070
|
|
|||||
Total AFS securities including related party
|
$
|
75,388
|
|
|
$
|
(175
|
)
|
|
$
|
5,335
|
|
|
$
|
(1,743
|
)
|
|
$
|
78,805
|
|
|
December 31, 2019
|
||||||||||||||||||
(In millions)
|
Amortized Cost
|
|
Gross Unrealized Gains
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
OTTI
in AOCI
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
$
|
35
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
36
|
|
|
$
|
—
|
|
U.S. state, municipal and political subdivisions
|
1,322
|
|
|
220
|
|
|
(1
|
)
|
|
1,541
|
|
|
—
|
|
|||||
Foreign governments
|
298
|
|
|
29
|
|
|
—
|
|
|
327
|
|
|
—
|
|
|||||
Corporate
|
44,106
|
|
|
3,332
|
|
|
(210
|
)
|
|
47,228
|
|
|
1
|
|
|||||
CLO
|
7,524
|
|
|
21
|
|
|
(196
|
)
|
|
7,349
|
|
|
—
|
|
|||||
ABS
|
5,018
|
|
|
124
|
|
|
(24
|
)
|
|
5,118
|
|
|
4
|
|
|||||
CMBS
|
2,304
|
|
|
104
|
|
|
(8
|
)
|
|
2,400
|
|
|
1
|
|
|||||
RMBS
|
6,872
|
|
|
513
|
|
|
(10
|
)
|
|
7,375
|
|
|
19
|
|
|||||
Total AFS securities
|
67,479
|
|
|
4,344
|
|
|
(449
|
)
|
|
71,374
|
|
|
25
|
|
|||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate
|
18
|
|
|
1
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|||||
CLO
|
951
|
|
|
3
|
|
|
(18
|
)
|
|
936
|
|
|
—
|
|
|||||
ABS
|
2,814
|
|
|
37
|
|
|
(2
|
)
|
|
2,849
|
|
|
—
|
|
|||||
Total AFS securities – related party
|
3,783
|
|
|
41
|
|
|
(20
|
)
|
|
3,804
|
|
|
—
|
|
|||||
Total AFS securities including related party
|
$
|
71,262
|
|
|
$
|
4,385
|
|
|
$
|
(469
|
)
|
|
$
|
75,178
|
|
|
$
|
25
|
|
|
June 30, 2020
|
||||||
(In millions)
|
Amortized Cost
|
|
Fair Value
|
||||
AFS securities
|
|
|
|
||||
Due in one year or less
|
$
|
1,203
|
|
|
$
|
1,210
|
|
Due after one year through five years
|
9,089
|
|
|
9,467
|
|
||
Due after five years through ten years
|
11,247
|
|
|
11,958
|
|
||
Due after ten years
|
26,900
|
|
|
29,918
|
|
||
CLO, ABS, CMBS and RMBS
|
22,776
|
|
|
22,182
|
|
||
Total AFS securities
|
71,215
|
|
|
74,735
|
|
||
AFS securities – related party
|
|
|
|
||||
Due after one year through five years
|
18
|
|
|
20
|
|
||
CLO and ABS
|
4,155
|
|
|
4,050
|
|
||
Total AFS securities – related party
|
4,173
|
|
|
4,070
|
|
||
Total AFS securities including related party
|
$
|
75,388
|
|
|
$
|
78,805
|
|
|
June 30, 2020
|
||||||||||||||||||||||
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
(In millions)
|
Fair Value
|
|
Gross
Unrealized
Losses
|
|
Fair Value
|
|
Gross
Unrealized Losses |
|
Fair Value
|
|
Gross
Unrealized Losses |
||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and agencies
|
$
|
11
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11
|
|
|
$
|
—
|
|
U.S. state, municipal and political subdivisions
|
43
|
|
|
(1
|
)
|
|
10
|
|
|
(1
|
)
|
|
53
|
|
|
(2
|
)
|
||||||
Foreign governments
|
76
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
76
|
|
|
(1
|
)
|
||||||
Corporate
|
7,217
|
|
|
(451
|
)
|
|
398
|
|
|
(84
|
)
|
|
7,615
|
|
|
(535
|
)
|
||||||
CLO
|
4,063
|
|
|
(189
|
)
|
|
2,782
|
|
|
(305
|
)
|
|
6,845
|
|
|
(494
|
)
|
||||||
ABS
|
2,161
|
|
|
(211
|
)
|
|
159
|
|
|
(23
|
)
|
|
2,320
|
|
|
(234
|
)
|
||||||
CMBS
|
878
|
|
|
(123
|
)
|
|
30
|
|
|
(10
|
)
|
|
908
|
|
|
(133
|
)
|
||||||
RMBS
|
817
|
|
|
(36
|
)
|
|
32
|
|
|
(2
|
)
|
|
849
|
|
|
(38
|
)
|
||||||
Total AFS securities
|
15,266
|
|
|
(1,012
|
)
|
|
3,411
|
|
|
(425
|
)
|
|
18,677
|
|
|
(1,437
|
)
|
||||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
CLO
|
937
|
|
|
(44
|
)
|
|
172
|
|
|
(17
|
)
|
|
1,109
|
|
|
(61
|
)
|
||||||
ABS
|
1,930
|
|
|
(73
|
)
|
|
—
|
|
|
—
|
|
|
1,930
|
|
|
(73
|
)
|
||||||
Total AFS securities – related party
|
2,867
|
|
|
(117
|
)
|
|
172
|
|
|
(17
|
)
|
|
3,039
|
|
|
(134
|
)
|
||||||
Total AFS securities including related party
|
$
|
18,133
|
|
|
$
|
(1,129
|
)
|
|
$
|
3,583
|
|
|
$
|
(442
|
)
|
|
$
|
21,716
|
|
|
$
|
(1,571
|
)
|
|
December 31, 2019
|
||||||||||||||||||||||
|
Less than 12 months
|
|
12 months or more
|
|
Total
|
||||||||||||||||||
(In millions)
|
Fair Value
|
|
Gross
Unrealized
Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
|
Fair Value
|
|
Gross Unrealized Losses
|
||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
U.S. government and agencies
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
—
|
|
U.S. state, municipal and political subdivisions
|
78
|
|
|
(1
|
)
|
|
10
|
|
|
—
|
|
|
88
|
|
|
(1
|
)
|
||||||
Corporate
|
2,898
|
|
|
(140
|
)
|
|
902
|
|
|
(70
|
)
|
|
3,800
|
|
|
(210
|
)
|
||||||
CLO
|
1,959
|
|
|
(38
|
)
|
|
3,241
|
|
|
(158
|
)
|
|
5,200
|
|
|
(196
|
)
|
||||||
ABS
|
642
|
|
|
(6
|
)
|
|
255
|
|
|
(18
|
)
|
|
897
|
|
|
(24
|
)
|
||||||
CMBS
|
220
|
|
|
(4
|
)
|
|
41
|
|
|
(4
|
)
|
|
261
|
|
|
(8
|
)
|
||||||
RMBS
|
445
|
|
|
(6
|
)
|
|
163
|
|
|
(4
|
)
|
|
608
|
|
|
(10
|
)
|
||||||
Total AFS securities
|
6,245
|
|
|
(195
|
)
|
|
4,612
|
|
|
(254
|
)
|
|
10,857
|
|
|
(449
|
)
|
||||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
CLO
|
362
|
|
|
(7
|
)
|
|
242
|
|
|
(11
|
)
|
|
604
|
|
|
(18
|
)
|
||||||
ABS
|
357
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
357
|
|
|
(2
|
)
|
||||||
Total AFS securities – related party
|
719
|
|
|
(9
|
)
|
|
242
|
|
|
(11
|
)
|
|
961
|
|
|
(20
|
)
|
||||||
Total AFS securities including related party
|
$
|
6,964
|
|
|
$
|
(204
|
)
|
|
$
|
4,854
|
|
|
$
|
(265
|
)
|
|
$
|
11,818
|
|
|
$
|
(469
|
)
|
|
Three months ended June 30, 2020
|
||||||||||||||||||||||
|
|
|
Additions
|
|
Reductions
|
|
|
|
|
||||||||||||||
(In millions)
|
Beginning balance
|
|
Initial credit losses
|
|
Initial credit losses on PCD securities
|
|
Securities sold during the period
|
|
Additions (reductions) to previously impaired securities
|
|
Ending Balance
|
||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate
|
$
|
15
|
|
|
$
|
16
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
31
|
|
CLO
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||
ABS
|
5
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
2
|
|
||||||
CMBS
|
4
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
10
|
|
||||||
RMBS
|
54
|
|
|
13
|
|
|
60
|
|
|
(1
|
)
|
|
3
|
|
|
129
|
|
||||||
Total AFS securities
|
78
|
|
|
35
|
|
|
60
|
|
|
(1
|
)
|
|
1
|
|
|
173
|
|
||||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
CLO
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
2
|
|
||||||
Total AFS securities including related party
|
$
|
78
|
|
|
$
|
36
|
|
|
$
|
60
|
|
|
$
|
(1
|
)
|
|
$
|
2
|
|
|
$
|
175
|
|
|
Six months ended June 30, 2020
|
||||||||||||||||||||||
|
|
|
Additions
|
|
Reductions
|
|
|
|
|
||||||||||||||
(In millions)
|
Beginning balance
|
|
Initial credit losses
|
|
Initial credit losses on PCD securities
|
|
Securities sold during the period
|
|
Additions (reductions) to previously impaired securities
|
|
Ending Balance
|
||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Corporate
|
$
|
—
|
|
|
$
|
31
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
31
|
|
CLO
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
||||||
ABS
|
—
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
2
|
|
||||||
CMBS
|
—
|
|
|
9
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
10
|
|
||||||
RMBS
|
17
|
|
|
48
|
|
|
61
|
|
|
(2
|
)
|
|
5
|
|
|
129
|
|
||||||
Total AFS securities
|
17
|
|
|
94
|
|
|
61
|
|
|
(2
|
)
|
|
3
|
|
|
173
|
|
||||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
CLO
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
2
|
|
||||||
Total AFS securities including related party
|
$
|
17
|
|
|
$
|
95
|
|
|
$
|
61
|
|
|
$
|
(2
|
)
|
|
$
|
4
|
|
|
$
|
175
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
AFS securities
|
$
|
790
|
|
|
$
|
763
|
|
|
$
|
1,627
|
|
|
$
|
1,516
|
|
Trading securities
|
42
|
|
|
49
|
|
|
90
|
|
|
91
|
|
||||
Equity securities
|
2
|
|
|
4
|
|
|
6
|
|
|
7
|
|
||||
Mortgage loans
|
175
|
|
|
159
|
|
|
361
|
|
|
310
|
|
||||
Investment funds
|
372
|
|
|
123
|
|
|
94
|
|
|
149
|
|
||||
Funds withheld at interest
|
43
|
|
|
134
|
|
|
84
|
|
|
297
|
|
||||
Other
|
38
|
|
|
45
|
|
|
75
|
|
|
84
|
|
||||
Investment revenue
|
1,462
|
|
|
1,277
|
|
|
2,337
|
|
|
2,454
|
|
||||
Investment expenses
|
(126
|
)
|
|
(95
|
)
|
|
(256
|
)
|
|
(190
|
)
|
||||
Net investment income
|
$
|
1,336
|
|
|
$
|
1,182
|
|
|
$
|
2,081
|
|
|
$
|
2,264
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
AFS securities
|
|
|
|
|
|
|
|
||||||||
Gross realized gains on investment activity
|
$
|
68
|
|
|
$
|
56
|
|
|
$
|
232
|
|
|
$
|
73
|
|
Gross realized losses on investment activity
|
(66
|
)
|
|
(4
|
)
|
|
(200
|
)
|
|
(17
|
)
|
||||
Net realized investment gains on AFS securities
|
2
|
|
|
52
|
|
|
32
|
|
|
56
|
|
||||
Net recognized investment gains (losses) on trading securities
|
191
|
|
|
79
|
|
|
(32
|
)
|
|
135
|
|
||||
Net recognized investment gains (losses) on equity securities
|
30
|
|
|
1
|
|
|
(20
|
)
|
|
19
|
|
||||
Derivative gains (losses)
|
2,330
|
|
|
1,181
|
|
|
(689
|
)
|
|
2,873
|
|
||||
Provision for credit losses
|
(5
|
)
|
|
—
|
|
|
(289
|
)
|
|
—
|
|
||||
Other gains (losses)
|
—
|
|
|
—
|
|
|
(26
|
)
|
|
6
|
|
||||
Investment related gains (losses)
|
$
|
2,548
|
|
|
$
|
1,313
|
|
|
$
|
(1,024
|
)
|
|
$
|
3,089
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Trading securities
|
$
|
135
|
|
|
$
|
98
|
|
|
$
|
62
|
|
|
$
|
169
|
|
Trading securities – related party
|
66
|
|
|
(13
|
)
|
|
(43
|
)
|
|
(15
|
)
|
||||
Equity securities
|
17
|
|
|
2
|
|
|
(20
|
)
|
|
20
|
|
||||
Equity securities – related party
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
(2
|
)
|
|
Three months ended June 30, 2020
|
|
Six months ended June 30, 2020
|
||||||||||||
(In millions)
|
Fixed maturity securities
|
|
Mortgage loans
|
|
Fixed maturity securities
|
|
Mortgage loans
|
||||||||
Purchase price
|
$
|
225
|
|
|
$
|
—
|
|
|
$
|
239
|
|
|
$
|
—
|
|
Allowance for credit losses at acquisition
|
60
|
|
|
—
|
|
|
61
|
|
|
—
|
|
||||
Discount (premiums) attributable to other factors
|
33
|
|
|
—
|
|
|
34
|
|
|
—
|
|
||||
Par value
|
$
|
318
|
|
|
$
|
—
|
|
|
$
|
334
|
|
|
$
|
—
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
(In millions)
|
Amortized Cost
|
|
Fair Value
|
|
Amortized Cost
|
|
Fair Value
|
||||||||
AFS securities – Corporate
|
$
|
1,595
|
|
|
$
|
1,829
|
|
|
$
|
498
|
|
|
$
|
534
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Commercial mortgage loans
|
$
|
11,339
|
|
|
$
|
10,422
|
|
Commercial mortgage loans under development
|
186
|
|
|
93
|
|
||
Total commercial mortgage loans
|
11,525
|
|
|
10,515
|
|
||
Allowance for credit losses on commercial mortgage loans
|
(294
|
)
|
|
(10
|
)
|
||
Commercial mortgage loans, net of allowances
|
11,231
|
|
|
10,505
|
|
||
Residential mortgage loans
|
4,683
|
|
|
4,455
|
|
||
Allowance for credit losses on residential mortgage loans
|
(85
|
)
|
|
(1
|
)
|
||
Residential mortgage loans, net of allowances
|
4,598
|
|
|
4,454
|
|
||
Mortgage loans, net of allowances
|
$
|
15,829
|
|
|
$
|
14,959
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except for percentages)
|
Net Carrying Value
|
|
Percentage of Total
|
|
Net Carrying Value
|
|
Percentage of Total
|
||||||
Property type
|
|
|
|
|
|
|
|
||||||
Office building
|
$
|
3,545
|
|
|
31.6
|
%
|
|
$
|
2,899
|
|
|
27.6
|
%
|
Retail
|
2,080
|
|
|
18.5
|
%
|
|
2,182
|
|
|
20.8
|
%
|
||
Apartment
|
2,401
|
|
|
21.4
|
%
|
|
2,142
|
|
|
20.4
|
%
|
||
Hotels
|
1,131
|
|
|
10.1
|
%
|
|
1,104
|
|
|
10.5
|
%
|
||
Industrial
|
1,385
|
|
|
12.3
|
%
|
|
1,448
|
|
|
13.8
|
%
|
||
Other commercial
|
689
|
|
|
6.1
|
%
|
|
730
|
|
|
6.9
|
%
|
||
Total commercial mortgage loans
|
$
|
11,231
|
|
|
100.0
|
%
|
|
$
|
10,505
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
U.S. Region
|
|
|
|
|
|
|
|
||||||
East North Central
|
$
|
1,202
|
|
|
10.7
|
%
|
|
$
|
1,036
|
|
|
9.9
|
%
|
East South Central
|
417
|
|
|
3.7
|
%
|
|
428
|
|
|
4.1
|
%
|
||
Middle Atlantic
|
3,058
|
|
|
27.3
|
%
|
|
2,580
|
|
|
24.6
|
%
|
||
Mountain
|
508
|
|
|
4.5
|
%
|
|
528
|
|
|
5.0
|
%
|
||
New England
|
336
|
|
|
3.0
|
%
|
|
340
|
|
|
3.2
|
%
|
||
Pacific
|
2,585
|
|
|
23.0
|
%
|
|
2,502
|
|
|
23.8
|
%
|
||
South Atlantic
|
1,988
|
|
|
17.7
|
%
|
|
1,920
|
|
|
18.3
|
%
|
||
West North Central
|
137
|
|
|
1.2
|
%
|
|
146
|
|
|
1.4
|
%
|
||
West South Central
|
765
|
|
|
6.8
|
%
|
|
791
|
|
|
7.5
|
%
|
||
Total U.S. Region
|
10,996
|
|
|
97.9
|
%
|
|
10,271
|
|
|
97.8
|
%
|
||
International Region
|
235
|
|
|
2.1
|
%
|
|
234
|
|
|
2.2
|
%
|
||
Total commercial mortgage loans
|
$
|
11,231
|
|
|
100.0
|
%
|
|
$
|
10,505
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||
U.S. States
|
|
|
|
||
California
|
36.5
|
%
|
|
27.0
|
%
|
Florida
|
11.5
|
%
|
|
12.7
|
%
|
Texas
|
4.4
|
%
|
|
6.2
|
%
|
Other1
|
35.5
|
%
|
|
41.7
|
%
|
Total U.S. residential mortgage loan percentage
|
87.9
|
%
|
|
87.6
|
%
|
International – Ireland
|
11.9
|
%
|
|
12.4
|
%
|
International – Other2
|
0.2
|
%
|
|
—
|
%
|
Total residential mortgage loan percentage
|
100.0
|
%
|
|
100.0
|
%
|
|
|
|
|
||
1 Represents all other states, with each individual state comprising less than 5% of the portfolio.
|
|||||
2 Represents all other countries, with each individual country comprising less than 5% of the portfolio.
|
|
Three months ended June 30, 2020
|
|
Six months ended June 30, 2020
|
||||||||||||||||||||||||||||
(In millions)
|
Commercial Mortgage
|
|
Residential Mortgage
|
|
Other Investments
|
|
Total
|
|
Commercial Mortgage
|
|
Residential Mortgage
|
|
Other Investments
|
|
Total
|
||||||||||||||||
Beginning balance
|
$
|
343
|
|
|
$
|
81
|
|
|
$
|
12
|
|
|
$
|
436
|
|
|
$
|
10
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
11
|
|
Adoption of accounting standard
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
167
|
|
|
43
|
|
|
11
|
|
|
221
|
|
||||||||
Provision (reversal) for expected credit losses
|
(49
|
)
|
|
5
|
|
|
8
|
|
|
(36
|
)
|
|
117
|
|
|
42
|
|
|
9
|
|
|
168
|
|
||||||||
Loans charged-off
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
(1
|
)
|
||||||||
Ending balance
|
$
|
294
|
|
|
$
|
85
|
|
|
$
|
20
|
|
|
$
|
399
|
|
|
$
|
294
|
|
|
$
|
85
|
|
|
$
|
20
|
|
|
$
|
399
|
|
|
June 30, 2020
|
||||||||||||||||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
Prior
|
|
Total
|
||||||||||||||
Current (less than 30 days past due)
|
$
|
794
|
|
|
$
|
959
|
|
|
$
|
1,782
|
|
|
$
|
467
|
|
|
$
|
114
|
|
|
$
|
8
|
|
|
$
|
4,124
|
|
30 to 59 days past due
|
4
|
|
|
30
|
|
|
85
|
|
|
43
|
|
|
19
|
|
|
—
|
|
|
181
|
|
|||||||
60 to 89 days past due
|
1
|
|
|
53
|
|
|
122
|
|
|
50
|
|
|
22
|
|
|
—
|
|
|
248
|
|
|||||||
Over 90 days past due
|
—
|
|
|
22
|
|
|
34
|
|
|
48
|
|
|
24
|
|
|
2
|
|
|
130
|
|
|||||||
Total residential mortgages
|
$
|
799
|
|
|
$
|
1,064
|
|
|
$
|
2,023
|
|
|
$
|
608
|
|
|
$
|
179
|
|
|
$
|
10
|
|
|
$
|
4,683
|
|
(In millions)
|
June 30, 2020
|
||
Beginning amortized cost of residential mortgage loans in non-accrual status
|
$
|
67
|
|
Ending amortized cost of residential mortgage loans in non-accrual status
|
130
|
|
|
Amortized cost of residential mortgage loans in non-accrual status without a related allowance for credit losses
|
22
|
|
|
June 30, 2020
|
||||||||||||||||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
Prior
|
|
Total
|
||||||||||||||
Current (less than 30 days past due)
|
$
|
1,266
|
|
|
$
|
4,553
|
|
|
$
|
2,860
|
|
|
$
|
1,049
|
|
|
$
|
146
|
|
|
$
|
1,651
|
|
|
$
|
11,525
|
|
(In millions)
|
June 30, 2020
|
||
Beginning amortized cost of commercial mortgage loans in non-accrual status
|
$
|
—
|
|
Ending amortized cost of commercial mortgage loans in non-accrual status
|
39
|
|
|
Amortized cost of commercial mortgage loans in non-accrual status without a related allowance for credit losses
|
—
|
|
|
June 30, 2020
|
||||||||||||||||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
Prior
|
|
Total
|
||||||||||||||
Less than 50%
|
$
|
274
|
|
|
$
|
631
|
|
|
$
|
207
|
|
|
$
|
147
|
|
|
$
|
60
|
|
|
$
|
1,324
|
|
|
$
|
2,643
|
|
50% to 60%
|
144
|
|
|
1,268
|
|
|
831
|
|
|
332
|
|
|
40
|
|
|
135
|
|
|
2,750
|
|
|||||||
61% to 70%
|
442
|
|
|
2,023
|
|
|
1,445
|
|
|
475
|
|
|
46
|
|
|
106
|
|
|
4,537
|
|
|||||||
71% to 80%
|
342
|
|
|
599
|
|
|
287
|
|
|
95
|
|
|
—
|
|
|
47
|
|
|
1,370
|
|
|||||||
Greater than 100%
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
39
|
|
|
39
|
|
|||||||
Commercial mortgage loans
|
$
|
1,202
|
|
|
$
|
4,521
|
|
|
$
|
2,770
|
|
|
$
|
1,049
|
|
|
$
|
146
|
|
|
$
|
1,651
|
|
|
$
|
11,339
|
|
(In millions)
|
December 31, 2019
|
||
Less than 50%
|
$
|
2,640
|
|
50% to 60%
|
2,486
|
|
|
61% to 70%
|
4,093
|
|
|
71% to 80%
|
1,162
|
|
|
81% to 100%
|
31
|
|
|
Commercial mortgage loans
|
$
|
10,412
|
|
|
June 30, 2020
|
||||||||||||||||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2018
|
|
2017
|
|
2016
|
|
Prior
|
|
Total
|
||||||||||||||
Greater than 1.20x
|
$
|
928
|
|
|
$
|
3,501
|
|
|
$
|
2,712
|
|
|
$
|
994
|
|
|
$
|
146
|
|
|
$
|
1,564
|
|
|
$
|
9,845
|
|
1.00x – 1.20x
|
274
|
|
|
1,020
|
|
|
58
|
|
|
32
|
|
|
—
|
|
|
80
|
|
|
1,464
|
|
|||||||
Less than 1.00x
|
—
|
|
|
—
|
|
|
—
|
|
|
23
|
|
|
—
|
|
|
7
|
|
|
30
|
|
|||||||
Commercial mortgage loans
|
$
|
1,202
|
|
|
$
|
4,521
|
|
|
$
|
2,770
|
|
|
$
|
1,049
|
|
|
$
|
146
|
|
|
$
|
1,651
|
|
|
$
|
11,339
|
|
(In millions)
|
December 31, 2019
|
||
Greater than 1.20x
|
$
|
9,212
|
|
1.00x – 1.20x
|
1,166
|
|
|
Less than 1.00x
|
34
|
|
|
Commercial mortgage loans
|
$
|
10,412
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except for percentages)
|
Carrying value
|
|
Percent of total
|
|
Carrying value
|
|
Percent of total
|
||||||
Investment funds
|
|
|
|
|
|
|
|
||||||
Real estate
|
$
|
274
|
|
|
40.2
|
%
|
|
$
|
277
|
|
|
36.9
|
%
|
Credit funds
|
115
|
|
|
16.9
|
%
|
|
153
|
|
|
20.4
|
%
|
||
Private equity
|
232
|
|
|
34.0
|
%
|
|
236
|
|
|
31.5
|
%
|
||
Real assets
|
61
|
|
|
8.9
|
%
|
|
83
|
|
|
11.1
|
%
|
||
Natural resources
|
—
|
|
|
—
|
%
|
|
1
|
|
|
0.1
|
%
|
||
Total investment funds
|
682
|
|
|
100.0
|
%
|
|
750
|
|
|
100.0
|
%
|
||
Investment funds – related parties
|
|
|
|
|
|
|
|
||||||
Differentiated investments
|
|
|
|
|
|
|
|
||||||
MidCap FinCo Designated Activity Company (MidCap)1
|
517
|
|
|
9.8
|
%
|
|
547
|
|
|
15.4
|
%
|
||
AmeriHome Mortgage Company, LLC (AmeriHome)1
|
594
|
|
|
11.3
|
%
|
|
487
|
|
|
13.7
|
%
|
||
Catalina Holdings Ltd. (Catalina)
|
295
|
|
|
5.6
|
%
|
|
271
|
|
|
7.6
|
%
|
||
Athora Holding Ltd. (Athora)1
|
497
|
|
|
9.4
|
%
|
|
132
|
|
|
3.7
|
%
|
||
Venerable Holdings, Inc. (Venerable)1
|
118
|
|
|
2.2
|
%
|
|
99
|
|
|
2.8
|
%
|
||
Other
|
246
|
|
|
4.7
|
%
|
|
222
|
|
|
6.3
|
%
|
||
Total differentiated investments
|
2,267
|
|
|
43.0
|
%
|
|
1,758
|
|
|
49.5
|
%
|
||
Real estate
|
709
|
|
|
13.4
|
%
|
|
853
|
|
|
24.0
|
%
|
||
Credit funds
|
363
|
|
|
6.9
|
%
|
|
370
|
|
|
10.4
|
%
|
||
Private equity
|
255
|
|
|
4.8
|
%
|
|
105
|
|
|
3.0
|
%
|
||
Real assets
|
233
|
|
|
4.4
|
%
|
|
182
|
|
|
5.1
|
%
|
||
Natural resources
|
95
|
|
|
1.8
|
%
|
|
163
|
|
|
4.6
|
%
|
||
Public equities
|
43
|
|
|
0.8
|
%
|
|
119
|
|
|
3.4
|
%
|
||
Investment in Apollo1
|
1,313
|
|
|
24.9
|
%
|
|
—
|
|
|
—
|
%
|
||
Total investment funds – related parties
|
5,278
|
|
|
100.0
|
%
|
|
3,550
|
|
|
100.0
|
%
|
||
Total investment funds including related party
|
$
|
5,960
|
|
|
|
|
$
|
4,300
|
|
|
|
||
|
|
|
|
|
|
|
|
||||||
1 See further discussion on MidCap, AmeriHome, Athora, Venerable and our investment in Apollo in Note 11 – Related Parties.
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||
(In millions)
|
Carrying Value
|
|
Maximum Loss Exposure
|
|
Carrying Value
|
|
Maximum Loss Exposure
|
||||||||
Investment funds
|
$
|
682
|
|
|
$
|
1,165
|
|
|
$
|
750
|
|
|
$
|
1,265
|
|
Investment in related parties – investment funds
|
5,278
|
|
|
7,316
|
|
|
3,550
|
|
|
5,955
|
|
||||
Investment in fixed maturity securities
|
22,589
|
|
|
23,183
|
|
|
22,694
|
|
|
22,170
|
|
||||
Investment in related parties – fixed maturity securities
|
4,922
|
|
|
5,393
|
|
|
4,570
|
|
|
4,878
|
|
||||
Investment in related parties – equity securities
|
52
|
|
|
52
|
|
|
58
|
|
|
58
|
|
||||
Total non-consolidated investments
|
$
|
33,523
|
|
|
$
|
37,109
|
|
|
$
|
31,622
|
|
|
$
|
34,326
|
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||||||||
|
Notional Amount
|
|
Fair Value
|
|
Notional Amount
|
|
Fair Value
|
||||||||||||||
(In millions)
|
|
Assets
|
|
Liabilities
|
|
|
Assets
|
|
Liabilities
|
||||||||||||
Derivatives designated as hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Foreign currency swaps
|
3,255
|
|
|
$
|
414
|
|
|
$
|
38
|
|
|
3,158
|
|
|
$
|
113
|
|
|
$
|
56
|
|
Foreign currency forwards
|
1,055
|
|
|
4
|
|
|
1
|
|
|
717
|
|
|
1
|
|
|
9
|
|
||||
Foreign currency forwards on net investments
|
132
|
|
|
1
|
|
|
—
|
|
|
139
|
|
|
—
|
|
|
2
|
|
||||
Total derivatives designated as hedges
|
|
|
419
|
|
|
39
|
|
|
|
|
114
|
|
|
67
|
|
||||||
Derivatives not designated as hedges
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Equity options
|
52,123
|
|
|
1,836
|
|
|
14
|
|
|
49,549
|
|
|
2,746
|
|
|
5
|
|
||||
Futures
|
19
|
|
|
80
|
|
|
—
|
|
|
8
|
|
|
10
|
|
|
1
|
|
||||
Total return swaps
|
516
|
|
|
7
|
|
|
2
|
|
|
106
|
|
|
6
|
|
|
—
|
|
||||
Foreign currency swaps
|
511
|
|
|
2
|
|
|
2
|
|
|
35
|
|
|
2
|
|
|
1
|
|
||||
Interest rate swaps
|
887
|
|
|
14
|
|
|
44
|
|
|
776
|
|
|
3
|
|
|
4
|
|
||||
Credit default swaps
|
10
|
|
|
—
|
|
|
5
|
|
|
10
|
|
|
—
|
|
|
3
|
|
||||
Foreign currency forwards
|
2,964
|
|
|
21
|
|
|
12
|
|
|
1,924
|
|
|
7
|
|
|
16
|
|
||||
Embedded derivatives
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
Funds withheld including related party
|
|
|
1,323
|
|
|
46
|
|
|
|
|
1,395
|
|
|
31
|
|
||||||
Interest sensitive contract liabilities
|
|
|
—
|
|
|
11,140
|
|
|
|
|
—
|
|
|
10,942
|
|
||||||
Total derivatives not designated as hedges
|
|
|
3,283
|
|
|
11,265
|
|
|
|
|
4,169
|
|
|
11,003
|
|
||||||
Total derivatives
|
|
|
$
|
3,702
|
|
|
$
|
11,304
|
|
|
|
|
$
|
4,283
|
|
|
$
|
11,070
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Derivatives
|
$
|
(20
|
)
|
|
$
|
(3
|
)
|
|
$
|
(8
|
)
|
|
$
|
—
|
|
Related AFS securities
|
17
|
|
|
(4
|
)
|
|
9
|
|
|
(1
|
)
|
||||
Total gains (losses) on derivatives and related hedged items
|
$
|
(3
|
)
|
|
$
|
(7
|
)
|
|
$
|
1
|
|
|
$
|
(1
|
)
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Equity options
|
$
|
672
|
|
|
$
|
439
|
|
|
$
|
(909
|
)
|
|
$
|
1,288
|
|
Futures
|
(3
|
)
|
|
(3
|
)
|
|
13
|
|
|
(14
|
)
|
||||
Swaps
|
55
|
|
|
11
|
|
|
(20
|
)
|
|
29
|
|
||||
Foreign currency forwards
|
(23
|
)
|
|
(1
|
)
|
|
44
|
|
|
5
|
|
||||
Embedded derivatives on funds withheld
|
1,629
|
|
|
735
|
|
|
183
|
|
|
1,565
|
|
||||
Amounts recognized in investment related gains (losses)
|
2,330
|
|
|
1,181
|
|
|
(689
|
)
|
|
2,873
|
|
||||
Embedded derivatives in indexed annuity products1
|
(1,534
|
)
|
|
(638
|
)
|
|
(357
|
)
|
|
(1,655
|
)
|
||||
Total gains (losses) on derivatives not designated as hedges
|
$
|
796
|
|
|
$
|
543
|
|
|
$
|
(1,046
|
)
|
|
$
|
1,218
|
|
|
|
|
|
|
|
|
|
||||||||
1 Included in interest sensitive contract benefits on the condensed consolidated statements of income (loss).
|
|
|
|
|
Gross amounts not offset on the condensed consolidated balance sheets
|
|
|
|
|
|
|
||||||||||||||
(In millions)
|
Gross amount recognized1
|
|
Financial instruments2
|
|
Collateral (received)/pledged
|
|
Net amount
|
|
Off-balance sheet securities collateral3
|
|
Net amount after securities collateral
|
|||||||||||||
June 30, 2020
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Derivative assets
|
$
|
2,379
|
|
|
$
|
(32
|
)
|
|
$
|
(2,117
|
)
|
|
$
|
230
|
|
|
$
|
(93
|
)
|
|
$
|
137
|
|
|
Derivative liabilities
|
(118
|
)
|
|
32
|
|
|
9
|
|
|
(77
|
)
|
|
—
|
|
|
(77
|
)
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
December 31, 2019
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
Derivative assets
|
$
|
2,888
|
|
|
$
|
(67
|
)
|
|
$
|
(2,743
|
)
|
|
$
|
78
|
|
|
$
|
(145
|
)
|
|
$
|
(67
|
)
|
|
Derivative liabilities
|
(97
|
)
|
|
67
|
|
|
31
|
|
|
1
|
|
|
—
|
|
|
1
|
|
|||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
1
|
The gross amounts of recognized derivative assets and derivative liabilities are reported on the condensed consolidated balance sheets. As of June 30, 2020 and December 31, 2019, amounts not subject to master netting or similar agreements were immaterial.
|
|||||||||||||||||||||||
2
|
Represents amounts offsetting derivative assets and derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets or gross derivative liabilities for presentation on the condensed consolidated balance sheets.
|
|||||||||||||||||||||||
3
|
For non-cash collateral received, we do not recognize the collateral on our balance sheet unless the obligor (transferor) has defaulted under the terms of the secured contract and is no longer entitled to redeem the pledged asset. Amounts do not include any excess of collateral pledged or received.
|
•
|
AAA Investments (Co-Invest VI), L.P. (CoInvest VI);
|
•
|
AAA Investments (Co-Invest VII), L.P. (CoInvest VII);
|
•
|
AAA Investments (Other), L.P. (CoInvest Other);
|
•
|
Entities included under our agreement to purchase funds managed by Apollo entities (Strategic Partnership).
|
•
|
Quoted prices for similar assets or liabilities in active markets,
|
•
|
Observable inputs other than quoted market prices, and
|
•
|
Observable inputs derived principally from market data through correlation or other means.
|
|
June 30, 2020
|
||||||||||||||||||
(In millions)
|
Total
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
$
|
74
|
|
|
$
|
—
|
|
|
$
|
74
|
|
|
$
|
—
|
|
|
$
|
—
|
|
U.S. state, municipal and political subdivisions
|
943
|
|
|
—
|
|
|
—
|
|
|
903
|
|
|
40
|
|
|||||
Foreign governments
|
337
|
|
|
—
|
|
|
—
|
|
|
337
|
|
|
—
|
|
|||||
Corporate
|
51,199
|
|
|
—
|
|
|
—
|
|
|
50,325
|
|
|
874
|
|
|||||
CLO
|
7,952
|
|
|
—
|
|
|
—
|
|
|
7,792
|
|
|
160
|
|
|||||
ABS
|
4,773
|
|
|
—
|
|
|
—
|
|
|
3,905
|
|
|
868
|
|
|||||
CMBS
|
2,297
|
|
|
—
|
|
|
—
|
|
|
2,248
|
|
|
49
|
|
|||||
RMBS
|
7,160
|
|
|
—
|
|
|
—
|
|
|
7,144
|
|
|
16
|
|
|||||
Total AFS securities
|
74,735
|
|
|
—
|
|
|
74
|
|
|
72,654
|
|
|
2,007
|
|
|||||
Trading securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
11
|
|
|
—
|
|
|
8
|
|
|
3
|
|
|
—
|
|
|||||
U.S. state, municipal and political subdivisions
|
114
|
|
|
—
|
|
|
—
|
|
|
114
|
|
|
—
|
|
|||||
Corporate
|
1,543
|
|
|
—
|
|
|
—
|
|
|
1,537
|
|
|
6
|
|
|||||
CLO
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|||||
ABS
|
81
|
|
|
—
|
|
|
—
|
|
|
81
|
|
|
—
|
|
|||||
CMBS
|
51
|
|
|
—
|
|
|
—
|
|
|
51
|
|
|
—
|
|
|||||
RMBS
|
272
|
|
|
—
|
|
|
—
|
|
|
217
|
|
|
55
|
|
|||||
Total trading securities
|
2,075
|
|
|
—
|
|
|
8
|
|
|
2,003
|
|
|
64
|
|
|||||
Equity securities
|
237
|
|
|
—
|
|
|
28
|
|
|
203
|
|
|
6
|
|
|||||
Mortgage loans
|
25
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
25
|
|
|||||
Investment funds
|
146
|
|
|
129
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|||||
Funds withheld at interest – embedded derivative
|
763
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
763
|
|
|||||
Derivative assets
|
2,379
|
|
|
—
|
|
|
81
|
|
|
2,298
|
|
|
—
|
|
|||||
Short-term investments
|
364
|
|
|
—
|
|
|
43
|
|
|
207
|
|
|
114
|
|
|||||
Other investments
|
109
|
|
|
—
|
|
|
—
|
|
|
109
|
|
|
—
|
|
|||||
Cash and cash equivalents
|
6,240
|
|
|
—
|
|
|
6,240
|
|
|
—
|
|
|
—
|
|
|||||
Restricted cash
|
1,281
|
|
|
—
|
|
|
1,281
|
|
|
—
|
|
|
—
|
|
|||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate
|
20
|
|
|
—
|
|
|
—
|
|
|
20
|
|
|
—
|
|
|||||
CLO
|
1,239
|
|
|
—
|
|
|
—
|
|
|
1,239
|
|
|
—
|
|
|||||
ABS
|
2,811
|
|
|
—
|
|
|
—
|
|
|
750
|
|
|
2,061
|
|
|||||
Total AFS securities – related party
|
4,070
|
|
|
—
|
|
|
—
|
|
|
2,009
|
|
|
2,061
|
|
|||||
Trading securities
|
|
|
|
|
|
|
|
|
|
||||||||||
CLO
|
48
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
45
|
|
|||||
ABS
|
824
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
824
|
|
|||||
Total trading securities – related party
|
872
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
869
|
|
|||||
Equity securities
|
52
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
52
|
|
|||||
Investment funds
|
1,885
|
|
|
75
|
|
|
—
|
|
|
—
|
|
|
1,810
|
|
|||||
Funds withheld at interest – embedded derivative
|
560
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
560
|
|
|||||
Reinsurance recoverable
|
2,099
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,099
|
|
|||||
Total assets measured at fair value
|
$
|
97,892
|
|
|
$
|
204
|
|
|
$
|
7,755
|
|
|
$
|
79,486
|
|
|
$
|
10,447
|
|
|
|
|
|
|
|
|
|
|
(Continued)
|
|
|
June 30, 2020
|
||||||||||||||||||
(In millions)
|
Total
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Embedded derivative
|
$
|
11,140
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,140
|
|
Universal life benefits
|
1,323
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,323
|
|
|||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
||||||||||
AmerUs Life Insurance Company (AmerUs) Closed Block
|
1,573
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,573
|
|
|||||
Indianapolis Life Insurance Company (ILICO) Closed Block and life benefits
|
761
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
761
|
|
|||||
Derivative liabilities
|
118
|
|
|
—
|
|
|
—
|
|
|
113
|
|
|
5
|
|
|||||
Funds withheld liability – embedded derivative
|
46
|
|
|
—
|
|
|
—
|
|
|
46
|
|
|
—
|
|
|||||
Total liabilities measured at fair value
|
$
|
14,961
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
159
|
|
|
$
|
14,802
|
|
|
|
|
|
|
|
|
|
|
(Concluded)
|
|
|
December 31, 2019
|
||||||||||||||||||
(In millions)
|
Total
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
$
|
36
|
|
|
$
|
—
|
|
|
$
|
36
|
|
|
$
|
—
|
|
|
$
|
—
|
|
U.S. state, municipal and political subdivisions
|
1,541
|
|
|
—
|
|
|
—
|
|
|
1,501
|
|
|
40
|
|
|||||
Foreign governments
|
327
|
|
|
—
|
|
|
—
|
|
|
327
|
|
|
—
|
|
|||||
Corporate
|
47,228
|
|
|
—
|
|
|
—
|
|
|
46,503
|
|
|
725
|
|
|||||
CLO
|
7,349
|
|
|
—
|
|
|
—
|
|
|
7,228
|
|
|
121
|
|
|||||
ABS
|
5,118
|
|
|
—
|
|
|
—
|
|
|
3,744
|
|
|
1,374
|
|
|||||
CMBS
|
2,400
|
|
|
—
|
|
|
—
|
|
|
2,354
|
|
|
46
|
|
|||||
RMBS
|
7,375
|
|
|
—
|
|
|
—
|
|
|
7,375
|
|
|
—
|
|
|||||
Total AFS securities
|
71,374
|
|
|
—
|
|
|
36
|
|
|
69,032
|
|
|
2,306
|
|
|||||
Trading securities
|
|
|
|
|
|
|
|
|
|
||||||||||
U.S. government and agencies
|
11
|
|
|
—
|
|
|
8
|
|
|
3
|
|
|
—
|
|
|||||
U.S. state, municipal and political subdivisions
|
135
|
|
|
—
|
|
|
—
|
|
|
135
|
|
|
—
|
|
|||||
Corporate
|
1,456
|
|
|
—
|
|
|
—
|
|
|
1,456
|
|
|
—
|
|
|||||
CLO
|
6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|||||
ABS
|
108
|
|
|
—
|
|
|
—
|
|
|
92
|
|
|
16
|
|
|||||
CMBS
|
51
|
|
|
—
|
|
|
—
|
|
|
51
|
|
|
—
|
|
|||||
RMBS
|
303
|
|
|
—
|
|
|
—
|
|
|
251
|
|
|
52
|
|
|||||
Total trading securities
|
2,070
|
|
|
—
|
|
|
8
|
|
|
1,988
|
|
|
74
|
|
|||||
Equity securities
|
247
|
|
|
—
|
|
|
43
|
|
|
201
|
|
|
3
|
|
|||||
Mortgage loans
|
27
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
27
|
|
|||||
Investment funds
|
154
|
|
|
132
|
|
|
—
|
|
|
—
|
|
|
22
|
|
|||||
Funds withheld at interest – embedded derivative
|
801
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
801
|
|
|||||
Derivative assets
|
2,888
|
|
|
—
|
|
|
10
|
|
|
2,878
|
|
|
—
|
|
|||||
Short-term investments
|
406
|
|
|
—
|
|
|
46
|
|
|
319
|
|
|
41
|
|
|||||
Other investments
|
93
|
|
|
—
|
|
|
—
|
|
|
93
|
|
|
—
|
|
|||||
Cash and cash equivalents
|
4,240
|
|
|
—
|
|
|
4,240
|
|
|
—
|
|
|
—
|
|
|||||
Restricted cash
|
402
|
|
|
—
|
|
|
402
|
|
|
—
|
|
|
—
|
|
|||||
|
|
|
|
|
|
|
|
|
(Continued)
|
|
|
December 31, 2019
|
||||||||||||||||||
(In millions)
|
Total
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
||||||||||
Corporate
|
19
|
|
|
—
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|||||
CLO
|
936
|
|
|
—
|
|
|
—
|
|
|
936
|
|
|
—
|
|
|||||
ABS
|
2,849
|
|
|
—
|
|
|
—
|
|
|
525
|
|
|
2,324
|
|
|||||
Total AFS securities – related party
|
3,804
|
|
|
—
|
|
|
—
|
|
|
1,480
|
|
|
2,324
|
|
|||||
Trading securities
|
|
|
|
|
|
|
|
|
|
||||||||||
CLO
|
74
|
|
|
—
|
|
|
—
|
|
|
36
|
|
|
38
|
|
|||||
ABS
|
711
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
711
|
|
|||||
Total trading securities – related party
|
785
|
|
|
—
|
|
|
—
|
|
|
36
|
|
|
749
|
|
|||||
Equity securities
|
64
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
64
|
|
|||||
Investment funds
|
819
|
|
|
687
|
|
|
—
|
|
|
—
|
|
|
132
|
|
|||||
Funds withheld at interest – embedded derivative
|
594
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
594
|
|
|||||
Reinsurance recoverable
|
1,821
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,821
|
|
|||||
Total assets measured at fair value
|
$
|
90,589
|
|
|
$
|
819
|
|
|
$
|
4,785
|
|
|
$
|
76,027
|
|
|
$
|
8,958
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
||||||||||
Embedded derivative
|
$
|
10,942
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
10,942
|
|
Universal life benefits
|
1,050
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,050
|
|
|||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
||||||||||
AmerUs Closed Block
|
1,546
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,546
|
|
|||||
ILICO Closed Block and life benefits
|
755
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
755
|
|
|||||
Derivative liabilities
|
97
|
|
|
—
|
|
|
1
|
|
|
93
|
|
|
3
|
|
|||||
Funds withheld liability – embedded derivative
|
31
|
|
|
—
|
|
|
—
|
|
|
31
|
|
|
—
|
|
|||||
Total liabilities measured at fair value
|
$
|
14,421
|
|
|
$
|
—
|
|
|
$
|
1
|
|
|
$
|
124
|
|
|
$
|
14,296
|
|
|
|
|
|
|
|
|
|
|
(Concluded)
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Trading securities
|
$
|
191
|
|
|
$
|
79
|
|
|
$
|
(32
|
)
|
|
$
|
135
|
|
Mortgage loans
|
—
|
|
|
1
|
|
|
—
|
|
|
1
|
|
||||
Investment funds
|
466
|
|
|
4
|
|
|
166
|
|
|
—
|
|
||||
Future policy benefits
|
(92
|
)
|
|
(52
|
)
|
|
(27
|
)
|
|
(92
|
)
|
||||
Total gains (losses)
|
$
|
565
|
|
|
$
|
32
|
|
|
$
|
107
|
|
|
$
|
44
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Unpaid principal balance
|
$
|
23
|
|
|
$
|
25
|
|
Mark to fair value
|
2
|
|
|
2
|
|
||
Fair value
|
$
|
25
|
|
|
$
|
27
|
|
|
Three months ended June 30, 2020
|
||||||||||||||||||||||||||||||
|
|
|
Total realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
(In millions)
|
Beginning balance
|
|
Included in income
|
|
Included in OCI
|
|
Net purchases, issuances, sales and settlements
|
|
Net transfers in (out)
|
|
Ending balance
|
|
Total gains (losses) included in earnings1
|
|
Total gains (losses) included in OCI1
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
37
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
3
|
|
Corporate
|
1,233
|
|
|
—
|
|
|
41
|
|
|
(32
|
)
|
|
(368
|
)
|
|
874
|
|
|
—
|
|
|
41
|
|
||||||||
CLO
|
122
|
|
|
—
|
|
|
2
|
|
|
39
|
|
|
(3
|
)
|
|
160
|
|
|
—
|
|
|
2
|
|
||||||||
ABS
|
917
|
|
|
1
|
|
|
9
|
|
|
(39
|
)
|
|
(20
|
)
|
|
868
|
|
|
—
|
|
|
10
|
|
||||||||
CMBS
|
45
|
|
|
(5
|
)
|
|
(1
|
)
|
|
(4
|
)
|
|
14
|
|
|
49
|
|
|
—
|
|
|
(1
|
)
|
||||||||
RMBS
|
42
|
|
|
—
|
|
|
2
|
|
|
1
|
|
|
(29
|
)
|
|
16
|
|
|
—
|
|
|
—
|
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
32
|
|
|
4
|
|
|
—
|
|
|
—
|
|
|
(30
|
)
|
|
6
|
|
|
4
|
|
|
—
|
|
||||||||
CLO
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
—
|
|
||||||||
ABS
|
14
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
RMBS
|
70
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
55
|
|
|
7
|
|
|
—
|
|
||||||||
Equity securities
|
7
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(1
|
)
|
|
—
|
|
||||||||
Mortgage loans
|
26
|
|
|
—
|
|
|
—
|
|
|
(1)
|
|
|
—
|
|
|
25
|
|
|
(1
|
)
|
|
—
|
|
||||||||
Investment funds
|
21
|
|
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|
(4
|
)
|
|
—
|
|
||||||||
Funds withheld at interest – embedded derivative
|
(374
|
)
|
|
1,137
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
763
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
67
|
|
|
—
|
|
|
(1
|
)
|
|
53
|
|
|
(5
|
)
|
|
114
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities, ABS
|
1,887
|
|
|
4
|
|
|
169
|
|
|
1
|
|
|
—
|
|
|
2,061
|
|
|
—
|
|
|
169
|
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
32
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
8
|
|
|
45
|
|
|
4
|
|
|
—
|
|
||||||||
ABS
|
676
|
|
|
74
|
|
|
—
|
|
|
74
|
|
|
—
|
|
|
824
|
|
|
74
|
|
|
—
|
|
||||||||
Equity securities
|
49
|
|
|
4
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
52
|
|
|
4
|
|
|
—
|
|
||||||||
Investment funds
|
979
|
|
|
470
|
|
|
—
|
|
|
361
|
|
|
—
|
|
|
1,810
|
|
|
470
|
|
|
—
|
|
||||||||
Funds withheld at interest – embedded derivative
|
(15
|
)
|
|
575
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
560
|
|
|
—
|
|
|
—
|
|
||||||||
Reinsurance recoverable
|
2,115
|
|
|
(16
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,099
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
7,985
|
|
|
$
|
2,250
|
|
|
$
|
224
|
|
|
$
|
438
|
|
|
$
|
(450
|
)
|
|
$
|
10,447
|
|
|
$
|
557
|
|
|
$
|
224
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Embedded derivative
|
$
|
(9,089
|
)
|
|
$
|
(1,534
|
)
|
|
$
|
—
|
|
|
$
|
(517
|
)
|
|
$
|
—
|
|
|
$
|
(11,140
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Universal life benefits
|
(1,322
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,323
|
)
|
|
—
|
|
|
—
|
|
||||||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AmerUs Closed Block
|
(1,481
|
)
|
|
(92
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,573
|
)
|
|
—
|
|
|
—
|
|
||||||||
ILICO Closed Block and life benefits
|
(778
|
)
|
|
17
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(761
|
)
|
|
—
|
|
|
—
|
|
||||||||
Derivative liabilities
|
(7
|
)
|
|
2
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
2
|
|
|
—
|
|
||||||||
Total Level 3 liabilities
|
$
|
(12,677
|
)
|
|
$
|
(1,608
|
)
|
|
$
|
—
|
|
|
$
|
(517
|
)
|
|
$
|
—
|
|
|
$
|
(14,802
|
)
|
|
$
|
2
|
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1 Related to instruments held at end of period.
|
|
|
|
Three months ended June 30, 2019
|
||||||||||||||||||||||||||
|
|
|
Total realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
||||||||||||||||
(In millions)
|
Beginning balance
|
|
Included in income
|
|
Included in OCI
|
|
Net purchases, issuances, sales and settlements
|
|
Net transfers in (out)
|
|
Ending balance
|
|
Total gains (losses) included in earnings1
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
Corporate
|
1,035
|
|
|
3
|
|
|
12
|
|
|
32
|
|
|
(261
|
)
|
|
821
|
|
|
—
|
|
|||||||
CLO
|
110
|
|
|
—
|
|
|
—
|
|
|
122
|
|
|
(32
|
)
|
|
200
|
|
|
—
|
|
|||||||
ABS
|
1,614
|
|
|
2
|
|
|
19
|
|
|
120
|
|
|
(359
|
)
|
|
1,396
|
|
|
—
|
|
|||||||
CMBS
|
174
|
|
|
—
|
|
|
1
|
|
|
39
|
|
|
(8
|
)
|
|
206
|
|
|
—
|
|
|||||||
RMBS
|
57
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|
(60
|
)
|
|
—
|
|
|
—
|
|
|||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Corporate
|
10
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
6
|
|
|
1
|
|
|||||||
CLO
|
8
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
6
|
|
|||||||
ABS
|
6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|||||||
RMBS
|
86
|
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
(38
|
)
|
|
46
|
|
|
2
|
|
|||||||
Equity securities
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
1
|
|
|||||||
Mortgage loans
|
32
|
|
|
1
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
32
|
|
|
—
|
|
|||||||
Investment funds
|
25
|
|
|
2
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
25
|
|
|
2
|
|
|||||||
Funds withheld at interest – embedded derivative
|
446
|
|
|
258
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
704
|
|
|
—
|
|
|||||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
45
|
|
|
—
|
|
|
45
|
|
|
—
|
|
|||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CLO
|
—
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|||||||
ABS
|
497
|
|
|
—
|
|
|
13
|
|
|
(8
|
)
|
|
(103
|
)
|
|
399
|
|
|
—
|
|
|||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CLO
|
89
|
|
|
(2
|
)
|
|
—
|
|
|
(47
|
)
|
|
55
|
|
|
95
|
|
|
(1
|
)
|
|||||||
ABS
|
138
|
|
|
(7
|
)
|
|
—
|
|
|
(17
|
)
|
|
104
|
|
|
218
|
|
|
(14
|
)
|
|||||||
Equity securities
|
307
|
|
|
7
|
|
|
—
|
|
|
36
|
|
|
—
|
|
|
350
|
|
|
(5
|
)
|
|||||||
Investment funds
|
138
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
141
|
|
|
2
|
|
|||||||
Funds withheld at interest – embedded derivative
|
214
|
|
|
287
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
501
|
|
|
—
|
|
|||||||
Reinsurance recoverable
|
1,737
|
|
|
97
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,834
|
|
|
—
|
|
|||||||
Total Level 3 assets
|
$
|
6,726
|
|
|
$
|
649
|
|
|
$
|
48
|
|
|
$
|
396
|
|
|
$
|
(707
|
)
|
|
$
|
7,112
|
|
|
$
|
(6
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Embedded derivative
|
$
|
(9,106
|
)
|
|
$
|
(638
|
)
|
|
$
|
—
|
|
|
$
|
(161
|
)
|
|
$
|
—
|
|
|
$
|
(9,905
|
)
|
|
$
|
—
|
|
Universal life benefits
|
(979
|
)
|
|
(72
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,051
|
)
|
|
—
|
|
|||||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AmerUs Closed Block
|
(1,483
|
)
|
|
(52
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,535
|
)
|
|
—
|
|
|||||||
ILICO Closed Block and life benefits
|
(743
|
)
|
|
(26
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(769
|
)
|
|
—
|
|
|||||||
Derivative liabilities
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|||||||
Total Level 3 liabilities
|
$
|
(12,315
|
)
|
|
$
|
(788
|
)
|
|
$
|
—
|
|
|
$
|
(161
|
)
|
|
$
|
—
|
|
|
$
|
(13,264
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
1 Related to instruments held at end of period.
|
|
Six months ended June 30, 2020
|
||||||||||||||||||||||||||||||
|
|
|
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 income1
|
|
Total gains (losses) included in OCI1
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Corporate
|
725
|
|
|
(4
|
)
|
|
(8
|
)
|
|
(10
|
)
|
|
171
|
|
|
874
|
|
|
—
|
|
|
(8
|
)
|
||||||||
CLO
|
121
|
|
|
—
|
|
|
(4
|
)
|
|
69
|
|
|
(26
|
)
|
|
160
|
|
|
—
|
|
|
(4
|
)
|
||||||||
ABS
|
1,374
|
|
|
23
|
|
|
(102
|
)
|
|
(246
|
)
|
|
(181
|
)
|
|
868
|
|
|
—
|
|
|
(101
|
)
|
||||||||
CMBS
|
46
|
|
|
(4
|
)
|
|
(7
|
)
|
|
(4
|
)
|
|
18
|
|
|
49
|
|
|
—
|
|
|
(6
|
)
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
16
|
|
|
—
|
|
|
—
|
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
6
|
|
|
—
|
|
|
—
|
|
||||||||
CLO
|
6
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
(1
|
)
|
|
—
|
|
||||||||
ABS
|
16
|
|
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
RMBS
|
52
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
4
|
|
|
55
|
|
|
5
|
|
|
—
|
|
||||||||
Equity securities
|
3
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
3
|
|
|
—
|
|
||||||||
Mortgage loans
|
27
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
|
25
|
|
|
—
|
|
|
—
|
|
||||||||
Investment funds
|
22
|
|
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17
|
|
|
(5
|
)
|
|
—
|
|
||||||||
Funds withheld at interest – embedded derivative
|
801
|
|
|
(38
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
763
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
41
|
|
|
—
|
|
|
(1
|
)
|
|
74
|
|
|
—
|
|
|
114
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities, ABS
|
2,324
|
|
|
1
|
|
|
(53
|
)
|
|
(49
|
)
|
|
(162
|
)
|
|
2,061
|
|
|
—
|
|
|
(53
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
38
|
|
|
(17
|
)
|
|
—
|
|
|
14
|
|
|
10
|
|
|
45
|
|
|
(23
|
)
|
|
—
|
|
||||||||
ABS
|
711
|
|
|
(27
|
)
|
|
—
|
|
|
140
|
|
|
—
|
|
|
824
|
|
|
(27
|
)
|
|
—
|
|
||||||||
Equity securities
|
64
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
52
|
|
|
(6
|
)
|
|
—
|
|
||||||||
Investment funds
|
132
|
|
|
170
|
|
|
—
|
|
|
1,508
|
|
|
—
|
|
|
1,810
|
|
|
170
|
|
|
—
|
|
||||||||
Funds withheld at interest – embedded derivative
|
594
|
|
|
(34
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
560
|
|
|
—
|
|
|
—
|
|
||||||||
Reinsurance recoverable
|
1,821
|
|
|
278
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2,099
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
8,958
|
|
|
$
|
336
|
|
|
$
|
(175
|
)
|
|
$
|
1,478
|
|
|
$
|
(150
|
)
|
|
$
|
10,447
|
|
|
$
|
116
|
|
|
$
|
(172
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Embedded derivative
|
$
|
(10,942
|
)
|
|
$
|
(357
|
)
|
|
$
|
—
|
|
|
$
|
159
|
|
|
$
|
—
|
|
|
$
|
(11,140
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
Universal life benefits
|
(1,050
|
)
|
|
(273
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,323
|
)
|
|
—
|
|
|
—
|
|
||||||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AmerUs Closed Block
|
(1,546
|
)
|
|
(27
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,573
|
)
|
|
—
|
|
|
—
|
|
||||||||
ILICO Closed Block and life benefits
|
(755
|
)
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(761
|
)
|
|
—
|
|
|
—
|
|
||||||||
Derivative liabilities
|
(3
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
(2
|
)
|
|
—
|
|
||||||||
Total Level 3 liabilities
|
$
|
(14,296
|
)
|
|
$
|
(665
|
)
|
|
$
|
—
|
|
|
$
|
159
|
|
|
$
|
—
|
|
|
$
|
(14,802
|
)
|
|
$
|
(2
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1 Related to instruments held at end of period.
|
|
|
|
Six months ended June 30, 2019
|
||||||||||||||||||||||||||
|
|
|
Total realized and unrealized gains (losses)
|
|
|
|
|
|
|
|
|
||||||||||||||||
(In millions)
|
Beginning balance
|
|
Included in income
|
|
Included in OCI
|
|
Net purchases, issuances, sales and settlements
|
|
Net transfers in (out)
|
|
Ending balance
|
|
Total gains (losses) included in earnings1
|
||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
Corporate
|
898
|
|
|
1
|
|
|
10
|
|
|
47
|
|
|
(135
|
)
|
|
821
|
|
|
—
|
|
|||||||
CLO
|
107
|
|
|
—
|
|
|
3
|
|
|
121
|
|
|
(31
|
)
|
|
200
|
|
|
—
|
|
|||||||
ABS
|
1,615
|
|
|
4
|
|
|
36
|
|
|
129
|
|
|
(388
|
)
|
|
1,396
|
|
|
—
|
|
|||||||
CMBS
|
187
|
|
|
1
|
|
|
4
|
|
|
32
|
|
|
(18
|
)
|
|
206
|
|
|
—
|
|
|||||||
RMBS
|
56
|
|
|
—
|
|
|
3
|
|
|
1
|
|
|
(60
|
)
|
|
—
|
|
|
—
|
|
|||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
6
|
|
|
—
|
|
|||||||
CLO
|
1
|
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
7
|
|
|
7
|
|
|
6
|
|
|||||||
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|||||||
RMBS
|
134
|
|
|
(5
|
)
|
|
—
|
|
|
—
|
|
|
(83
|
)
|
|
46
|
|
|
5
|
|
|||||||
Equity securities
|
3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
3
|
|
|
—
|
|
|||||||
Mortgage loans
|
32
|
|
|
1
|
|
|
—
|
|
|
(1
|
)
|
|
—
|
|
|
32
|
|
|
1
|
|
|||||||
Investment funds
|
29
|
|
|
(1
|
)
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
25
|
|
|
(2
|
)
|
|||||||
Funds withheld at interest – embedded derivative
|
57
|
|
|
647
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
704
|
|
|
—
|
|
|||||||
Short-term investments
|
—
|
|
|
—
|
|
|
—
|
|
|
45
|
|
|
—
|
|
|
45
|
|
|
—
|
|
|||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CLO
|
—
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|||||||
ABS
|
328
|
|
|
—
|
|
|
13
|
|
|
161
|
|
|
(103
|
)
|
|
399
|
|
|
—
|
|
|||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
CLO
|
113
|
|
|
(3
|
)
|
|
—
|
|
|
(48
|
)
|
|
33
|
|
|
95
|
|
|
2
|
|
|||||||
ABS
|
149
|
|
|
(18
|
)
|
|
—
|
|
|
(17
|
)
|
|
104
|
|
|
218
|
|
|
(17
|
)
|
|||||||
Equity securities
|
133
|
|
|
9
|
|
|
—
|
|
|
208
|
|
|
—
|
|
|
350
|
|
|
(2
|
)
|
|||||||
Investment funds
|
120
|
|
|
2
|
|
|
—
|
|
|
19
|
|
|
—
|
|
|
141
|
|
|
2
|
|
|||||||
Funds withheld at interest – embedded derivative
|
(110
|
)
|
|
611
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
501
|
|
|
—
|
|
|||||||
Reinsurance recoverable
|
1,676
|
|
|
158
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,834
|
|
|
—
|
|
|||||||
Total Level 3 assets
|
$
|
5,528
|
|
|
$
|
1,406
|
|
|
$
|
69
|
|
|
$
|
777
|
|
|
$
|
(668
|
)
|
|
$
|
7,112
|
|
|
$
|
(5
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Interest sensitive contract liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Embedded derivative
|
$
|
(7,969
|
)
|
|
$
|
(1,655
|
)
|
|
$
|
—
|
|
|
$
|
(281
|
)
|
|
$
|
—
|
|
|
$
|
(9,905
|
)
|
|
$
|
—
|
|
Universal life benefits
|
(932
|
)
|
|
(119
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,051
|
)
|
|
—
|
|
|||||||
Future policy benefits
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
AmerUs Closed Block
|
(1,443
|
)
|
|
(92
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(1,535
|
)
|
|
—
|
|
|||||||
ILICO Closed Block and life benefits
|
(730
|
)
|
|
(39
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(769
|
)
|
|
—
|
|
|||||||
Derivative liabilities
|
(4
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|||||||
Total Level 3 liabilities
|
$
|
(11,078
|
)
|
|
$
|
(1,905
|
)
|
|
$
|
—
|
|
|
$
|
(281
|
)
|
|
$
|
—
|
|
|
$
|
(13,264
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
1 Related to instruments held at end of period.
|
|
Three months ended June 30, 2020
|
||||||||||||||||||||||||||||||
(In millions)
|
Purchases
|
|
Issuances
|
|
Sales
|
|
Settlements
|
|
Net purchases, issuances, sales and settlements
|
|
Transfers in
|
|
Transfers out
|
|
Net transfers in (out)
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
(32
|
)
|
|
$
|
(32
|
)
|
|
$
|
122
|
|
|
$
|
(490
|
)
|
|
$
|
(368
|
)
|
CLO
|
44
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
39
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
||||||||
ABS
|
1
|
|
|
—
|
|
|
—
|
|
|
(40
|
)
|
|
(39
|
)
|
|
31
|
|
|
(51
|
)
|
|
(20
|
)
|
||||||||
CMBS
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
18
|
|
|
(4
|
)
|
|
14
|
|
||||||||
RMBS
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
(29
|
)
|
|
(29
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(36
|
)
|
|
(30
|
)
|
||||||||
ABS
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
(14
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4
|
|
|
(21
|
)
|
|
(17
|
)
|
||||||||
Mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
53
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
53
|
|
|
—
|
|
|
(5
|
)
|
|
(5
|
)
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities, ABS
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
11
|
|
|
(3
|
)
|
|
8
|
|
||||||||
ABS
|
88
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
74
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Equity securities
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investment funds
|
361
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
361
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
549
|
|
|
$
|
—
|
|
|
$
|
(18
|
)
|
|
$
|
(93
|
)
|
|
$
|
438
|
|
|
$
|
192
|
|
|
$
|
(642
|
)
|
|
$
|
(450
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities – embedded derivative
|
$
|
—
|
|
|
$
|
(646
|
)
|
|
$
|
—
|
|
|
$
|
129
|
|
|
$
|
(517
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total Level 3 liabilities
|
$
|
—
|
|
|
$
|
(646
|
)
|
|
$
|
—
|
|
|
$
|
129
|
|
|
$
|
(517
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Three months ended June 30, 2019
|
||||||||||||||||||||||||||||||
(In millions)
|
Purchases
|
|
Issuances
|
|
Sales
|
|
Settlements
|
|
Net purchases, issuances, sales and settlements
|
|
Transfers in
|
|
Transfers out
|
|
Net transfers in (out)
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Corporate
|
59
|
|
|
—
|
|
|
—
|
|
|
(27
|
)
|
|
32
|
|
|
1
|
|
|
(262
|
)
|
|
(261
|
)
|
||||||||
CLO
|
122
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
122
|
|
|
—
|
|
|
(32
|
)
|
|
(32
|
)
|
||||||||
ABS
|
155
|
|
|
—
|
|
|
—
|
|
|
(35
|
)
|
|
120
|
|
|
—
|
|
|
(359
|
)
|
|
(359
|
)
|
||||||||
CMBS
|
73
|
|
|
—
|
|
|
(2
|
)
|
|
(32
|
)
|
|
39
|
|
|
—
|
|
|
(8
|
)
|
|
(8
|
)
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(60
|
)
|
|
(60
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
(5
|
)
|
|
(5
|
)
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
(39
|
)
|
|
(38
|
)
|
||||||||
Mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investment funds
|
—
|
|
|
1
|
|
|
—
|
|
|
(3
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
48
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
45
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
37
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
(8
|
)
|
|
(8
|
)
|
|
—
|
|
|
(103
|
)
|
|
(103
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
—
|
|
|
—
|
|
|
(47
|
)
|
|
—
|
|
|
(47
|
)
|
|
55
|
|
|
—
|
|
|
55
|
|
||||||||
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
(17
|
)
|
|
104
|
|
|
—
|
|
|
104
|
|
||||||||
Equity securities
|
36
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
36
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
570
|
|
|
$
|
1
|
|
|
$
|
(49
|
)
|
|
$
|
(126
|
)
|
|
$
|
396
|
|
|
$
|
161
|
|
|
$
|
(868
|
)
|
|
$
|
(707
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities – embedded derivative
|
$
|
—
|
|
|
$
|
(301
|
)
|
|
$
|
—
|
|
|
$
|
140
|
|
|
$
|
(161
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total Level 3 liabilities
|
$
|
—
|
|
|
$
|
(301
|
)
|
|
$
|
—
|
|
|
$
|
140
|
|
|
$
|
(161
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Six months ended June 30, 2020
|
||||||||||||||||||||||||||||||
(In millions)
|
Purchases
|
|
Issuances
|
|
Sales
|
|
Settlements
|
|
Net purchases, issuances, sales and settlements
|
|
Transfers in
|
|
Transfers out
|
|
Net transfers in (out)
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
$
|
62
|
|
|
$
|
—
|
|
|
$
|
(10
|
)
|
|
$
|
(62
|
)
|
|
$
|
(10
|
)
|
|
$
|
209
|
|
|
$
|
(38
|
)
|
|
$
|
171
|
|
CLO
|
78
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|
69
|
|
|
—
|
|
|
(26
|
)
|
|
(26
|
)
|
||||||||
ABS
|
48
|
|
|
—
|
|
|
(13
|
)
|
|
(281
|
)
|
|
(246
|
)
|
|
44
|
|
|
(225
|
)
|
|
(181
|
)
|
||||||||
CMBS
|
—
|
|
|
—
|
|
|
(4
|
)
|
|
—
|
|
|
(4
|
)
|
|
18
|
|
|
—
|
|
|
18
|
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
16
|
|
|
—
|
|
|
16
|
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||||||
ABS
|
—
|
|
|
—
|
|
|
(16
|
)
|
|
—
|
|
|
(16
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
(2
|
)
|
|
4
|
|
||||||||
Mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
(2
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
89
|
|
|
—
|
|
|
—
|
|
|
(15
|
)
|
|
74
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities, ABS
|
5
|
|
|
—
|
|
|
—
|
|
|
(54
|
)
|
|
(49
|
)
|
|
—
|
|
|
(162
|
)
|
|
(162
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
27
|
|
|
—
|
|
|
(13
|
)
|
|
—
|
|
|
14
|
|
|
13
|
|
|
(3
|
)
|
|
10
|
|
||||||||
ABS
|
154
|
|
|
—
|
|
|
—
|
|
|
(14
|
)
|
|
140
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Equity securities
|
3
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
(6
|
)
|
||||||||
Investment funds
|
1,508
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,508
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
1,974
|
|
|
$
|
—
|
|
|
$
|
(56
|
)
|
|
$
|
(440
|
)
|
|
$
|
1,478
|
|
|
$
|
312
|
|
|
$
|
(462
|
)
|
|
$
|
(150
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities – embedded derivative
|
$
|
—
|
|
|
$
|
(762
|
)
|
|
$
|
—
|
|
|
$
|
921
|
|
|
$
|
159
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total Level 3 liabilities
|
$
|
—
|
|
|
$
|
(762
|
)
|
|
$
|
—
|
|
|
$
|
921
|
|
|
$
|
159
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
Six months ended June 30, 2019
|
||||||||||||||||||||||||||||||
(In millions)
|
Purchases
|
|
Issuances
|
|
Sales
|
|
Settlements
|
|
Net purchases, issuances, sales and settlements
|
|
Transfers in
|
|
Transfers out
|
|
Net transfers in (out)
|
||||||||||||||||
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
U.S. state, municipal and political subdivisions
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
40
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Corporate
|
147
|
|
|
—
|
|
|
(2
|
)
|
|
(98
|
)
|
|
47
|
|
|
—
|
|
|
(135
|
)
|
|
(135
|
)
|
||||||||
CLO
|
121
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
121
|
|
|
—
|
|
|
(31
|
)
|
|
(31
|
)
|
||||||||
ABS
|
296
|
|
|
—
|
|
|
(33
|
)
|
|
(134
|
)
|
|
129
|
|
|
—
|
|
|
(388
|
)
|
|
(388
|
)
|
||||||||
CMBS
|
73
|
|
|
—
|
|
|
(3
|
)
|
|
(38
|
)
|
|
32
|
|
|
—
|
|
|
(18
|
)
|
|
(18
|
)
|
||||||||
RMBS
|
1
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1
|
|
|
—
|
|
|
(60
|
)
|
|
(60
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Corporate
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
6
|
|
||||||||
CLO
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
7
|
|
|
—
|
|
|
7
|
|
||||||||
ABS
|
6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
6
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
RMBS
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
2
|
|
|
(85
|
)
|
|
(83
|
)
|
||||||||
Mortgage loans
|
—
|
|
|
—
|
|
|
—
|
|
|
(1
|
)
|
|
(1
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investment funds
|
—
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
(3
|
)
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Short-term investments
|
48
|
|
|
—
|
|
|
—
|
|
|
(3
|
)
|
|
45
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
37
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
37
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
ABS
|
170
|
|
|
—
|
|
|
—
|
|
|
(9
|
)
|
|
161
|
|
|
—
|
|
|
(103
|
)
|
|
(103
|
)
|
||||||||
Trading securities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
CLO
|
—
|
|
|
—
|
|
|
(48
|
)
|
|
—
|
|
|
(48
|
)
|
|
46
|
|
|
(13
|
)
|
|
33
|
|
||||||||
ABS
|
—
|
|
|
—
|
|
|
—
|
|
|
(17
|
)
|
|
(17
|
)
|
|
104
|
|
|
—
|
|
|
104
|
|
||||||||
Equity securities
|
213
|
|
|
—
|
|
|
(5
|
)
|
|
—
|
|
|
208
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Investment funds
|
—
|
|
|
20
|
|
|
—
|
|
|
(1
|
)
|
|
19
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||||
Total Level 3 assets
|
$
|
1,152
|
|
|
$
|
20
|
|
|
$
|
(91
|
)
|
|
$
|
(304
|
)
|
|
$
|
777
|
|
|
$
|
165
|
|
|
$
|
(833
|
)
|
|
$
|
(668
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Interest sensitive contract liabilities – embedded derivative
|
$
|
—
|
|
|
$
|
(534
|
)
|
|
$
|
—
|
|
|
$
|
253
|
|
|
$
|
(281
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Total Level 3 liabilities
|
$
|
—
|
|
|
$
|
(534
|
)
|
|
$
|
—
|
|
|
$
|
253
|
|
|
$
|
(281
|
)
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
1.
|
Nonperformance risk – For contracts we issue, we use the credit spread, relative to the U.S. Department of the Treasury (Treasury) curve, based on our public credit rating as of the valuation date. This represents our credit risk for use in the estimate of the fair value of embedded derivatives.
|
2.
|
Option budget – We assume future hedge costs in the derivative’s fair value estimate. The level of option budgets determines the future costs of the options and impacts future policyholder account value growth.
|
3.
|
Policyholder behavior – We regularly review the lapse and withdrawal assumptions (surrender rate). These are based on our initial pricing assumptions updated for actual experience. Actual experience may be limited for recently issued products.
|
|
|
June 30, 2020
|
||||||||||||||||||
(In millions, except for percentages)
|
|
Fair value
|
|
Valuation technique
|
|
Unobservable inputs
|
|
Minimum
|
|
Maximum
|
|
Weighted average
|
|
Impact of an increase in the input on fair value
|
||||||
AFS and trading securities
|
|
$
|
3,582
|
|
|
Discounted cash flow
|
|
Discount
|
|
2.6
|
%
|
|
22.7
|
%
|
|
6.9
|
%
|
1
|
|
Decrease
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
|
|
$
|
11,140
|
|
|
Option budget method
|
|
Nonperformance risk
|
|
0.2
|
%
|
|
1.7
|
%
|
|
1.0
|
%
|
2
|
|
Decrease
|
|
|
|
|
|
|
Option budget
|
|
0.7
|
%
|
|
3.7
|
%
|
|
1.9
|
%
|
3
|
|
Increase
|
||
|
|
|
|
|
|
Surrender rate
|
|
5.2
|
%
|
|
10.2
|
%
|
|
7.2
|
%
|
4
|
|
Decrease
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
|
|
December 31, 2019
|
||||||||||||||||||
|
|
Fair value
|
|
|
Valuation technique
|
|
Unobservable inputs
|
|
Minimum
|
|
|
Maximum
|
|
|
Weighted average
|
|
Impact of an increase in the input on fair value
|
|||
AFS and trading securities
|
|
$
|
1,289
|
|
|
Discounted cash flow
|
|
Discount
|
|
3.0
|
%
|
|
9.0
|
%
|
|
6.6
|
%
|
1
|
|
Decrease
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives
|
|
$
|
10,942
|
|
|
Option budget method
|
|
Nonperformance risk
|
|
0.2
|
%
|
|
1.1
|
%
|
|
0.6
|
%
|
2
|
|
Decrease
|
|
|
|
|
|
|
Option budget
|
|
0.7
|
%
|
|
3.7
|
%
|
|
1.9
|
%
|
3
|
|
Increase
|
||
|
|
|
|
|
|
Surrender rate
|
|
3.5
|
%
|
|
8.1
|
%
|
|
7.1
|
%
|
4
|
|
Decrease
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
1 The discount weighted average is calculated based on the relative fair values of the securities.
|
||||||||||||||||||||
2 The nonperformance risk weighted average is based on the projected excess benefits of reserves used in the calculation of the embedded derivative.
|
||||||||||||||||||||
3 The option budget weighted average is calculated based on the indexed account values.
|
||||||||||||||||||||
4 The surrender rate weighted average is calculated based on projected account values.
|
|
June 30, 2020
|
||||||||||||||||||||||
(In millions)
|
Carrying Value
|
|
Fair Value
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||||
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans
|
$
|
15,178
|
|
|
$
|
15,636
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
15,636
|
|
Investment funds
|
536
|
|
|
536
|
|
|
536
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Policy loans
|
393
|
|
|
393
|
|
|
—
|
|
|
—
|
|
|
393
|
|
|
—
|
|
||||||
Funds withheld at interest
|
41,506
|
|
|
41,506
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
41,506
|
|
||||||
Other investments
|
250
|
|
|
256
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
256
|
|
||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans
|
626
|
|
|
617
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
617
|
|
||||||
Investment funds
|
3,393
|
|
|
3,392
|
|
|
3,392
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Funds withheld at interest
|
12,411
|
|
|
12,411
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,411
|
|
||||||
Other investments
|
474
|
|
|
476
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
476
|
|
||||||
Total financial assets not carried at fair value
|
$
|
74,767
|
|
|
$
|
75,223
|
|
|
$
|
3,928
|
|
|
$
|
—
|
|
|
$
|
393
|
|
|
$
|
70,902
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest sensitive contract liabilities
|
$
|
86,829
|
|
|
$
|
90,369
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
90,369
|
|
Long-term debt
|
1,486
|
|
|
1,035
|
|
|
—
|
|
|
—
|
|
|
1,035
|
|
|
—
|
|
||||||
Securities to repurchase
|
1,599
|
|
|
1,599
|
|
|
—
|
|
|
—
|
|
|
1,599
|
|
|
—
|
|
||||||
Funds withheld liability
|
381
|
|
|
381
|
|
|
—
|
|
|
—
|
|
|
381
|
|
|
—
|
|
||||||
Total financial liabilities not carried at fair value
|
$
|
90,295
|
|
|
$
|
93,384
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
3,015
|
|
|
$
|
90,369
|
|
|
December 31, 2019
|
||||||||||||||||||||||
(In millions)
|
Carrying Value
|
|
Fair Value
|
|
NAV
|
|
Level 1
|
|
Level 2
|
|
Level 3
|
||||||||||||
Financial assets
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans
|
$
|
14,279
|
|
|
$
|
14,719
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
14,719
|
|
Investment funds
|
596
|
|
|
596
|
|
|
596
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Policy loans
|
417
|
|
|
417
|
|
|
—
|
|
|
—
|
|
|
417
|
|
|
—
|
|
||||||
Funds withheld at interest
|
14,380
|
|
|
14,380
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
14,380
|
|
||||||
Short-term investments
|
190
|
|
|
190
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
190
|
|
||||||
Other investments
|
65
|
|
|
65
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
65
|
|
||||||
Investments in related parties
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Mortgage loans
|
653
|
|
|
641
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
641
|
|
||||||
Investment funds
|
2,731
|
|
|
2,731
|
|
|
2,731
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Funds withheld at interest
|
12,626
|
|
|
12,626
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
12,626
|
|
||||||
Other investments
|
487
|
|
|
537
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
537
|
|
||||||
Total financial assets not carried at fair value
|
$
|
46,424
|
|
|
$
|
46,902
|
|
|
$
|
3,327
|
|
|
$
|
—
|
|
|
$
|
417
|
|
|
$
|
43,158
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Financial liabilities
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Interest sensitive contract liabilities
|
$
|
57,272
|
|
|
$
|
58,027
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
58,027
|
|
Short-term debt
|
475
|
|
|
475
|
|
|
—
|
|
|
—
|
|
|
475
|
|
|
—
|
|
||||||
Long-term debt
|
992
|
|
|
1,036
|
|
|
—
|
|
|
—
|
|
|
1,036
|
|
|
—
|
|
||||||
Securities to repurchase
|
512
|
|
|
512
|
|
|
—
|
|
|
—
|
|
|
512
|
|
|
—
|
|
||||||
Funds withheld liability
|
377
|
|
|
377
|
|
|
—
|
|
|
—
|
|
|
377
|
|
|
—
|
|
||||||
Total financial liabilities not carried at fair value
|
$
|
59,628
|
|
|
$
|
60,427
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
2,400
|
|
|
$
|
58,027
|
|
(In millions)
|
Funds Withheld
|
||
Liabilities assumed
|
$
|
27,439
|
|
Less: Net consideration received
|
28,805
|
|
|
Unearned revenue reserve1
|
$
|
(1,366
|
)
|
|
|
||
1 Included within interest sensitive contract liabilities on the condensed consolidated balance sheets.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Premiums
|
|
|
|
|
|
|
|
||||||||
Direct
|
$
|
281
|
|
|
$
|
765
|
|
|
$
|
1,382
|
|
|
$
|
2,744
|
|
Reinsurance assumed
|
109
|
|
|
62
|
|
|
183
|
|
|
136
|
|
||||
Reinsurance ceded
|
(35
|
)
|
|
(40
|
)
|
|
(70
|
)
|
|
(93
|
)
|
||||
Total premiums
|
$
|
355
|
|
|
$
|
787
|
|
|
$
|
1,495
|
|
|
$
|
2,787
|
|
|
|
|
|
|
|
|
|
||||||||
Future policy and other policy benefits
|
|
|
|
|
|
|
|
||||||||
Direct
|
$
|
588
|
|
|
$
|
1,132
|
|
|
$
|
2,019
|
|
|
$
|
3,456
|
|
Reinsurance assumed
|
163
|
|
|
112
|
|
|
209
|
|
|
236
|
|
||||
Reinsurance ceded
|
(77
|
)
|
|
(133
|
)
|
|
(198
|
)
|
|
(252
|
)
|
||||
Total future policy and other policy benefits
|
$
|
674
|
|
|
$
|
1,111
|
|
|
$
|
2,030
|
|
|
$
|
3,440
|
|
(In millions)
|
DAC
|
|
DSI
|
|
VOBA
|
|
Total
|
||||||||
Balance at December 31, 2019
|
$
|
3,274
|
|
|
$
|
820
|
|
|
$
|
914
|
|
|
$
|
5,008
|
|
Adoption of accounting standard
|
12
|
|
|
5
|
|
|
5
|
|
|
22
|
|
||||
Additions
|
281
|
|
|
83
|
|
|
—
|
|
|
364
|
|
||||
Amortization
|
56
|
|
|
11
|
|
|
(4
|
)
|
|
63
|
|
||||
Impact of unrealized investment (gains) losses
|
—
|
|
|
(4
|
)
|
|
15
|
|
|
11
|
|
||||
Balance at June 30, 2020
|
$
|
3,623
|
|
|
$
|
915
|
|
|
$
|
930
|
|
|
$
|
5,468
|
|
(In millions)
|
DAC
|
|
DSI
|
|
VOBA
|
|
Total
|
||||||||
Balance at December 31, 2018
|
$
|
3,921
|
|
|
$
|
799
|
|
|
$
|
1,187
|
|
|
$
|
5,907
|
|
Additions
|
354
|
|
|
130
|
|
|
—
|
|
|
484
|
|
||||
Amortization
|
(472
|
)
|
|
(18
|
)
|
|
(20
|
)
|
|
(510
|
)
|
||||
Impact of unrealized investment (gains) losses
|
(300
|
)
|
|
(98
|
)
|
|
(159
|
)
|
|
(557
|
)
|
||||
Balance at June 30, 2019
|
$
|
3,503
|
|
|
$
|
813
|
|
|
$
|
1,008
|
|
|
$
|
5,324
|
|
|
Three months ended June 30, 2020
|
||
(In millions, except per share data)
|
Class A
|
||
Net income available to Athene Holding Ltd. common shareholders – basic and diluted
|
$
|
824
|
|
|
|
||
Basic weighted average shares outstanding
|
193.9
|
|
|
Dilutive effect of stock compensation plans
|
3.0
|
|
|
Diluted weighted average shares outstanding
|
196.9
|
|
|
|
|
||
Earnings per share
|
|
||
Basic
|
$
|
4.25
|
|
Diluted
|
$
|
4.19
|
|
|
Three months ended June 30, 2019
|
||||||||||||||||||||||
(In millions, except share and per share data)
|
Class A
|
|
Class B
|
|
Class M-1
|
|
Class M-2
|
|
Class M-3
|
|
Class M-4
|
||||||||||||
Net income available to Athene Holding Ltd. common shareholders – basic and diluted
|
$
|
596
|
|
|
$
|
96
|
|
|
$
|
13
|
|
|
$
|
3
|
|
|
$
|
4
|
|
|
$
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic weighted average shares outstanding
|
158.5
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.2
|
|
||||||
Dilutive effect of stock compensation plans
|
0.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
||||||
Diluted weighted average shares outstanding
|
158.8
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.5
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Earnings per share
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
Diluted
|
$
|
3.75
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.76
|
|
|
$
|
3.28
|
|
|
Six months ended June 30, 2020
|
||||||||||||||||||||||
(In millions, except share and per share data)
|
Class A
|
|
Class B
|
|
Class M-1
|
|
Class M-2
|
|
Class M-3
|
|
Class M-4
|
||||||||||||
Net loss available to Athene Holding Ltd. common shareholders – basic and diluted
|
$
|
(114
|
)
|
|
$
|
(98
|
)
|
|
$
|
(13
|
)
|
|
$
|
(3
|
)
|
|
$
|
(4
|
)
|
|
$
|
(9
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic weighted average shares outstanding
|
177.6
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.4
|
|
||||||
Dilutive effect of stock compensation plans1
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||||
Diluted weighted average shares outstanding
|
177.6
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.4
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Earnings per share
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic
|
$
|
(0.64
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
Diluted
|
$
|
(0.64
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
$
|
(3.87
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
1 The dilutive effect of stock compensation plans is antidilutive as a result of the net loss available to Athene Holding Ltd. common shareholders for the six months ended June 30, 2020.
|
|
Six months ended June 30, 2019
|
||||||||||||||||||||||
(In millions, except per share data)
|
Class A
|
|
Class B
|
|
Class M-1
|
|
Class M-2
|
|
Class M-3
|
|
Class M-4
|
||||||||||||
Net income available to Athene Holding Ltd. common shareholders – basic and diluted
|
$
|
1,184
|
|
|
$
|
189
|
|
|
$
|
25
|
|
|
$
|
6
|
|
|
$
|
8
|
|
|
$
|
16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic weighted average shares outstanding
|
159.4
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.2
|
|
||||||
Dilutive effect of stock compensation plans
|
0.3
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
0.3
|
|
||||||
Diluted weighted average shares outstanding
|
159.7
|
|
|
25.4
|
|
|
3.3
|
|
|
0.8
|
|
|
1.0
|
|
|
2.5
|
|
||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Earnings per share
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Basic
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
Diluted
|
$
|
7.41
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
7.43
|
|
|
$
|
6.45
|
|
|
Series A
|
|
Series B
|
|
Series C
|
||||||
Authorized, issued and outstanding
|
34,500
|
|
|
13,800
|
|
|
24,000
|
|
|||
Liquidation preference per share
|
$
|
25,000
|
|
|
$
|
25,000
|
|
|
$
|
25,000
|
|
Dividends declared and paid per share during the six months ended June 30, 2020
|
$
|
793.76
|
|
|
$
|
703.12
|
|
|
$
|
—
|
|
Aggregate dividends declared and paid during the six months ended June 30, 2020 (in millions)
|
$
|
27
|
|
|
$
|
10
|
|
|
$
|
—
|
|
|
Six months ended June 30,
|
||||||
(In millions)
|
2020
|
|
2019
|
||||
Beginning balance at January 1
|
$
|
640
|
|
|
$
|
150
|
|
Additional authorization
|
—
|
|
|
367
|
|
||
Repurchases
|
(319
|
)
|
|
(423
|
)
|
||
Ending balance at June 30
|
$
|
321
|
|
|
$
|
94
|
|
(In millions)
|
Six months ended June 30, 2020
|
|
Class A
|
|
|
Beginning balance
|
143.2
|
|
Issued shares
|
35.9
|
|
Forfeited shares
|
(0.1
|
)
|
Repurchased shares
|
(10.4
|
)
|
Converted from Class B shares
|
25.4
|
|
Converted from Class M shares
|
0.3
|
|
Ending balance
|
194.3
|
|
Class B
|
|
|
Beginning balance
|
25.4
|
|
Converted to Class A shares
|
(25.4
|
)
|
Ending balance
|
—
|
|
Class M-1
|
|
|
Beginning balance
|
3.3
|
|
Converted to Class A shares
|
(0.2
|
)
|
Converted to warrants
|
(3.1
|
)
|
Ending balance
|
—
|
|
Class M-2
|
|
|
Beginning balance
|
0.8
|
|
Converted to Class A shares
|
0.0
|
|
Converted to warrants
|
(0.8
|
)
|
Ending balance
|
—
|
|
Class M-3
|
|
|
Beginning balance
|
1.0
|
|
Converted to Class A shares
|
0.0
|
|
Converted to warrants
|
(1.0
|
)
|
Ending balance
|
—
|
|
Class M-4
|
|
|
Beginning balance
|
4.0
|
|
Converted to Class A shares
|
(0.1
|
)
|
Converted to warrants
|
(3.6
|
)
|
Repurchased shares
|
(0.3
|
)
|
Ending balance
|
—
|
|
(In millions)
|
Unrealized investment gains (losses) on AFS securities
|
|
DAC, DSI, VOBA and future policy benefits adjustments on AFS securities
|
|
Unrealized gains (losses) on hedging instruments
|
|
Foreign currency translation and other adjustments
|
|
Accumulated other comprehensive income (loss)
|
||||||||||
Balance at March 31, 2019
|
$
|
959
|
|
|
$
|
(282
|
)
|
|
$
|
33
|
|
|
$
|
(4
|
)
|
|
$
|
706
|
|
Other comprehensive income (loss) before reclassifications
|
1,776
|
|
|
(490
|
)
|
|
55
|
|
|
(1
|
)
|
|
1,340
|
|
|||||
Less: Reclassification adjustments for gains (losses) realized in net income (loss)1
|
35
|
|
|
(10
|
)
|
|
—
|
|
|
—
|
|
|
25
|
|
|||||
Less: Income tax expense (benefit)
|
351
|
|
|
(101
|
)
|
|
11
|
|
|
—
|
|
|
261
|
|
|||||
Balance at June 30, 2019
|
$
|
2,349
|
|
|
$
|
(661
|
)
|
|
$
|
77
|
|
|
$
|
(5
|
)
|
|
$
|
1,760
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).
|
(1)
|
a base management fee equal to the sum of (i) 0.225% per year of the lesser of (A) the aggregate market value of substantially all of the assets in substantially all of the investment accounts of or relating to us (collectively, the Accounts) on December 31, 2018 of $103.4 billion (Backbook Value) and (B) the aggregate market value of substantially all of the assets in the Accounts at the end of the respective month, plus (ii) 0.15% per year of the amount, if any (Incremental Value), by which the aggregate market value of substantially all of the assets in the Accounts at the end of the respective month exceeds the Backbook Value; plus
|
(2)
|
with respect to each asset in an Account, subject to certain exceptions, that is managed by Apollo and that belongs to a specified asset class tier (Core, Core Plus, Yield, and High Alpha), a sub-allocation fee as follows, which will, in the case of assets acquired after January 1, 2019, be subject to a cap of 10% of the applicable asset’s gross book yield:
|
(i)
|
0.065% of the market value of Core assets, which include public investment grade corporate bonds, municipal securities, agency RMBS or CMBS, and obligations of governmental agencies or government sponsored entities that are not expressly backed by the U.S. government;
|
(ii)
|
0.13% of the market value of Core Plus assets, which include private investment grade corporate bonds, fixed rate first lien commercial mortgage loans (CML), and certain obligations issued or assumed by financial institutions and determined by Apollo to be “Tier 2 Capital” under Basel III, a set of recommendations for international banking regulations developed by the Bank for International Settlements;
|
(iii)
|
0.375% of the market value of Yield assets, which include non-agency RMBS, investment grade CLO, CMBS and other ABS (other than RMBS and CLO), emerging market investments, below investment grade corporate bonds, subordinated debt obligations, hybrid securities or surplus notes issued or assumed by a financial institution, rated preferred equity, residential mortgage loans (RML), bank loans, investment grade infrastructure debt, and floating rate CMLs on slightly transitional or stabilized traditional real estate;
|
(iv)
|
0.70% of the market value of High Alpha assets, which include subordinated CML, below investment grade CLO, unrated preferred equity, debt obligations originated by MidCap, CMLs for redevelopment or construction loans or secured by non-traditional real estate, below investment grade infrastructure debt, certain loans originated directly by Apollo (other than MidCap loans), and agency mortgage derivatives; and
|
(v)
|
0.00% of the market value of cash and cash equivalents, U.S. treasuries, non-preferred equities and alternatives.
|
(In millions, except percentages)
|
June 30, 2020
|
|
Percent of Total
|
|
December 31, 2019
|
|
Percent of Total
|
||||||
Core
|
$
|
45,163
|
|
|
28.2
|
%
|
|
$
|
32,474
|
|
|
25.5
|
%
|
Core Plus
|
36,148
|
|
|
22.5
|
%
|
|
30,155
|
|
|
23.6
|
%
|
||
Yield
|
55,526
|
|
|
34.6
|
%
|
|
48,557
|
|
|
38.0
|
%
|
||
High Alpha
|
5,799
|
|
|
3.6
|
%
|
|
5,062
|
|
|
4.0
|
%
|
||
Other
|
17,873
|
|
|
11.1
|
%
|
|
11,302
|
|
|
8.9
|
%
|
||
Total sub-allocation assets
|
$
|
160,509
|
|
|
100.0
|
%
|
|
$
|
127,550
|
|
|
100.0
|
%
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Investment fund
|
$
|
517
|
|
|
$
|
547
|
|
Subordinated debt facility
|
329
|
|
|
339
|
|
||
Redeemable preferred stock
|
77
|
|
|
—
|
|
||
Total investment in MidCap
|
$
|
923
|
|
|
$
|
886
|
|
(A)
|
To Apollo, sub-allocation fees on the senior notes based on the rates applicable to Yield assets and sub-allocation fees on the subordinated notes based on the rates applicable to High Alpha assets.
|
(B)
|
To Redding Ridge Asset Management LLC, a company in which certain funds managed by Apollo have an interest, as consideration for assistance with the structuring, monitoring, support and maintenance of the securitization transactions, a one-time structuring fee, as well as ongoing support fees equal to 1.5 bps on the total capitalization amount and certain other fees, which may become due upon the occurrence of certain events; and
|
(C)
|
To Merx Aviation Servicing Limited, a company externally managed by Apollo Investment Management, L.P., with respect to certain diligence, technical support and enforcement, remarketing and restructuring services with respect to the existing Aviation Loans and the Forward Flow Loans, a one-time servicing fee, as well as certain special situations fees, which may become due upon the occurrence of certain events.
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
AFS securities
|
$
|
11,264
|
|
|
$
|
9,369
|
|
Trading securities
|
51
|
|
|
45
|
|
||
Equity securities
|
20
|
|
|
22
|
|
||
Mortgage loans
|
4,888
|
|
|
2,535
|
|
||
Investment funds
|
90
|
|
|
84
|
|
||
Derivative assets
|
96
|
|
|
105
|
|
||
Short-term investments
|
108
|
|
|
92
|
|
||
Other investments
|
104
|
|
|
88
|
|
||
Restricted cash
|
1,281
|
|
|
402
|
|
||
Total restricted assets
|
$
|
17,902
|
|
|
$
|
12,742
|
|
•
|
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets;
|
•
|
Investment gains (losses), net of offsets; and
|
•
|
VIE expenses, noncontrolling interests and other adjustments to revenues.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Retirement Services
|
$
|
1,589
|
|
|
$
|
2,248
|
|
|
$
|
4,058
|
|
|
$
|
5,554
|
|
Corporate and Other
|
446
|
|
|
24
|
|
|
116
|
|
|
56
|
|
||||
Non-operating adjustments
|
|
|
|
|
|
|
|
||||||||
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets
|
754
|
|
|
466
|
|
|
(917
|
)
|
|
1,406
|
|
||||
Investment gains (losses), net of offsets
|
1,246
|
|
|
682
|
|
|
(439
|
)
|
|
1,395
|
|
||||
VIE expenses, noncontrolling interests and other adjustments to revenues
|
363
|
|
|
3
|
|
|
31
|
|
|
7
|
|
||||
Total revenues
|
$
|
4,398
|
|
|
$
|
3,423
|
|
|
$
|
2,849
|
|
|
$
|
8,418
|
|
•
|
Investment gains (losses), net of offsets;
|
•
|
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets;
|
•
|
Integration, restructuring and other non-operating expenses;
|
•
|
Stock-based compensation, excluding the long-term incentive plan (LTIP); and
|
•
|
Income tax (expense) benefit – non-operating.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Retirement Services
|
$
|
208
|
|
|
$
|
376
|
|
|
$
|
412
|
|
|
$
|
662
|
|
Corporate and Other
|
282
|
|
|
(6
|
)
|
|
(30
|
)
|
|
(5
|
)
|
||||
Non-operating adjustments
|
|
|
|
|
|
|
|
||||||||
Investment gains (losses), net of offsets
|
775
|
|
|
417
|
|
|
(364
|
)
|
|
875
|
|
||||
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets
|
(405
|
)
|
|
(57
|
)
|
|
(340
|
)
|
|
(84
|
)
|
||||
Integration, restructuring and other non-operating expenses
|
(9
|
)
|
|
(11
|
)
|
|
(13
|
)
|
|
(12
|
)
|
||||
Stock-based compensation, excluding LTIP
|
—
|
|
|
(3
|
)
|
|
(10
|
)
|
|
(6
|
)
|
||||
Income tax (expense) benefit – non-operating
|
(27
|
)
|
|
4
|
|
|
104
|
|
|
(2
|
)
|
||||
Net income (loss) available to Athene Holding Ltd. common shareholders
|
$
|
824
|
|
|
$
|
720
|
|
|
$
|
(241
|
)
|
|
$
|
1,428
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Retirement Services
|
$
|
178,555
|
|
|
$
|
143,881
|
|
Corporate and Other
|
4,686
|
|
|
2,994
|
|
||
Total assets
|
$
|
183,241
|
|
|
$
|
146,875
|
|
(In millions)
|
Total Exposure
|
|
Extending Beyond 2021
|
||||
Investments
|
$
|
22,952
|
|
|
$
|
19,673
|
|
Product Liabilities
|
13,680
|
|
|
3,128
|
|
||
Derivatives Hedging Product Liabilities
|
18,761
|
|
|
1,143
|
|
||
Other Derivatives
|
477
|
|
|
477
|
|
||
Other Contracts
|
2,963
|
|
|
2,663
|
|
||
Total notional of contracts tied to LIBOR
|
$
|
58,833
|
|
|
$
|
27,084
|
|
(In millions)
|
Total Exposure
|
|
Extending Beyond 2021
|
||||
Multi-lateral Arrangements
|
|
|
|
||||
Corporates
|
$
|
900
|
|
|
$
|
504
|
|
RMBS
|
4,208
|
|
|
3,983
|
|
||
CMBS
|
346
|
|
|
45
|
|
||
CLO
|
11,525
|
|
|
11,438
|
|
||
ABS
|
1,511
|
|
|
1,435
|
|
||
Bank Loans
|
459
|
|
|
280
|
|
||
Total Multi-lateral Arrangements
|
18,949
|
|
|
17,685
|
|
||
Bi-lateral Arrangements
|
|
|
|
|
|||
CML
|
3,864
|
|
|
1,849
|
|
||
RML
|
139
|
|
|
139
|
|
||
Total Bi-lateral Arrangements
|
4,003
|
|
|
1,988
|
|
||
Total investments tied to LIBOR
|
$
|
22,952
|
|
|
$
|
19,673
|
|
•
|
Investment Gains (Losses), Net of Offsets—Consists of the realized gains and losses on the sale of AFS securities, the change in fair value of reinsurance assets, unrealized gains and losses, allowances, and other investment gains and losses. Unrealized, allowances and other investment gains and losses are comprised of the fair value adjustments of trading securities (other than CLOs) and investments held under the fair value option, derivative gains and losses not hedging FIA index credits, and the change in credit loss allowances recognized in operations net of the change in AmerUs Closed Block fair value reserve related to the corresponding change in fair value of investments and the change in unit-linked reserves related to the corresponding trading securities. Investment gains and losses are net of offsets related to DAC, DSI, and VOBA amortization and changes to guaranteed lifetime withdrawal benefit (GLWB) and guaranteed minimum death benefit (GMDB) reserves (together, GLWB and GMDB reserves represent rider reserves) as well as the market value adjustments (MVA) associated with surrenders or terminations of contracts.
|
•
|
Change in Fair Values of Derivatives and Embedded Derivatives – FIAs, Net of Offsets—Consists of impacts related to the fair value accounting for derivatives hedging the FIA index credits and the related embedded derivative liability fluctuations from period to period. The index reserve is measured at fair value for the current period and all periods beyond the current policyholder index term. However, the FIA hedging derivatives are purchased to hedge only the current index period. Upon policyholder renewal at the end of the period, new FIA hedging derivatives are purchased to align with the new term. The difference in duration between the FIA hedging derivatives and the index credit reserves creates a timing difference in earnings. This timing difference of the FIA hedging derivatives and index credit reserves is included as a non-operating adjustment, net of offsets related to DAC, DSI, and VOBA amortization and changes to rider reserves.
|
•
|
Integration, Restructuring, and Other Non-operating Expenses—Consists of restructuring and integration expenses related to acquisitions and block reinsurance costs as well as certain other expenses, which are not predictable or related to our underlying profitability drivers.
|
•
|
Stock Compensation Expense—Consists of stock compensation expenses associated with our share incentive plans, excluding our long-term incentive plan, which are not related to our underlying profitability drivers and fluctuate from time to time due to the structure of our plans.
|
•
|
Bargain Purchase Gain—Consists of adjustments to net income (loss) available to AHL common shareholders as they are not related to our underlying profitability drivers.
|
•
|
Income Tax (Expense) Benefit – Non-operating—Consists of the income tax effect of non-operating adjustments and is computed by applying the appropriate jurisdiction’s tax rate to the non-operating adjustments that are subject to income tax.
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions, except percentages)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Revenues
|
$
|
4,398
|
|
|
$
|
3,423
|
|
|
$
|
2,849
|
|
|
$
|
8,418
|
|
Benefits and expenses
|
3,317
|
|
|
2,673
|
|
|
3,150
|
|
|
6,928
|
|
||||
Income (loss) before income taxes
|
1,081
|
|
|
750
|
|
|
(301
|
)
|
|
1,490
|
|
||||
Income tax expense (benefit)
|
150
|
|
|
30
|
|
|
(16
|
)
|
|
62
|
|
||||
Net income (loss)
|
931
|
|
|
720
|
|
|
(285
|
)
|
|
1,428
|
|
||||
Less: Net income (loss) attributable to noncontrolling interests
|
88
|
|
|
—
|
|
|
(81
|
)
|
|
—
|
|
||||
Net income (loss) attributable to Athene Holding Ltd.
|
843
|
|
|
720
|
|
|
(204
|
)
|
|
1,428
|
|
||||
Less: Preferred stock dividends
|
19
|
|
|
—
|
|
|
37
|
|
|
—
|
|
||||
Net income (loss) available to AHL common shareholders
|
$
|
824
|
|
|
$
|
720
|
|
|
$
|
(241
|
)
|
|
$
|
1,428
|
|
|
|
|
|
|
|
|
|
||||||||
ROE
|
26.8
|
%
|
|
25.6
|
%
|
|
(3.4
|
)%
|
|
27.7
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions, except percentages)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Net income (loss) available to AHL common shareholders
|
$
|
824
|
|
|
$
|
720
|
|
|
$
|
(241
|
)
|
|
$
|
1,428
|
|
|
|
|
|
|
|
|
|
||||||||
Non-operating adjustments
|
|
|
|
|
|
|
|
||||||||
Realized gains (losses) on sale of AFS securities
|
(11
|
)
|
|
41
|
|
|
1
|
|
|
53
|
|
||||
Unrealized, allowances and other investment gains (losses)
|
52
|
|
|
10
|
|
|
(317
|
)
|
|
39
|
|
||||
Change in fair value of reinsurance assets
|
1,113
|
|
|
570
|
|
|
(164
|
)
|
|
1,186
|
|
||||
Offsets to investment gains (losses)
|
(379
|
)
|
|
(204
|
)
|
|
116
|
|
|
(403
|
)
|
||||
Investment gains (losses), net of offsets
|
775
|
|
|
417
|
|
|
(364
|
)
|
|
875
|
|
||||
Change in fair values of derivatives and embedded derivatives – FIAs, net of offsets
|
(405
|
)
|
|
(57
|
)
|
|
(340
|
)
|
|
(84
|
)
|
||||
Integration, restructuring and other non-operating expenses
|
(9
|
)
|
|
(11
|
)
|
|
(13
|
)
|
|
(12
|
)
|
||||
Stock compensation expense
|
—
|
|
|
(3
|
)
|
|
(10
|
)
|
|
(6
|
)
|
||||
Income tax (expense) benefit – non-operating
|
(27
|
)
|
|
4
|
|
|
104
|
|
|
(2
|
)
|
||||
Less: Total non-operating adjustments
|
334
|
|
|
350
|
|
|
(623
|
)
|
|
771
|
|
||||
Adjusted operating income available to common shareholders
|
$
|
490
|
|
|
$
|
370
|
|
|
$
|
382
|
|
|
$
|
657
|
|
|
|
|
|
|
|
|
|
||||||||
Adjusted operating income (loss) available to common shareholders by segment
|
|
|
|
|
|
|
|
||||||||
Retirement Services
|
$
|
208
|
|
|
$
|
376
|
|
|
$
|
412
|
|
|
$
|
662
|
|
Corporate and Other
|
282
|
|
|
(6
|
)
|
|
(30
|
)
|
|
(5
|
)
|
||||
Adjusted operating income available to common shareholders
|
$
|
490
|
|
|
$
|
370
|
|
|
$
|
382
|
|
|
$
|
657
|
|
|
|
|
|
|
|
|
|
||||||||
Adjusted operating ROE
|
19.4
|
%
|
|
16.2
|
%
|
|
7.8
|
%
|
|
14.6
|
%
|
||||
Retirement Services adjusted operating ROE
|
11.1
|
%
|
|
18.9
|
%
|
|
11.4
|
%
|
|
17.1
|
%
|
|
Three months ended June 30,
|
||||
|
2020
|
|
2019
|
||
Net investment earned rate
|
3.44
|
%
|
|
4.63
|
%
|
Cost of funds
|
2.48
|
%
|
|
2.95
|
%
|
Net investment spread
|
0.96
|
%
|
|
1.68
|
%
|
|
Three months ended June 30,
|
||||
|
2020
|
|
2019
|
||
Net investment earned rate
|
3.44
|
%
|
|
4.63
|
%
|
Cost of crediting on deferred annuities
|
1.94
|
%
|
|
1.98
|
%
|
Investment margin on deferred annuities
|
1.50
|
%
|
|
2.65
|
%
|
|
Six months ended June 30,
|
||||
|
2020
|
|
2019
|
||
Net investment earned rate
|
3.73
|
%
|
|
4.42
|
%
|
Cost of funds
|
2.73
|
%
|
|
2.90
|
%
|
Net investment spread
|
1.00
|
%
|
|
1.52
|
%
|
|
Six months ended June 30,
|
||||
|
2020
|
|
2019
|
||
Net investment earned rate
|
3.73
|
%
|
|
4.42
|
%
|
Cost of crediting on deferred annuities
|
1.92
|
%
|
|
1.98
|
%
|
Investment margin on deferred annuities
|
1.81
|
%
|
|
2.44
|
%
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Investment management agreements1,2
|
$
|
139
|
|
|
$
|
128
|
|
|
$
|
291
|
|
|
$
|
244
|
|
Fund investments3
|
29
|
|
|
21
|
|
|
11
|
|
|
41
|
|
||||
Other4
|
13
|
|
|
6
|
|
|
22
|
|
|
12
|
|
||||
Gross fees
|
181
|
|
|
155
|
|
|
324
|
|
|
297
|
|
||||
ACRA noncontrolling interest5
|
9
|
|
|
—
|
|
|
14
|
|
|
—
|
|
||||
Net fees
|
$
|
172
|
|
|
$
|
155
|
|
|
$
|
310
|
|
|
$
|
297
|
|
|
|
|
|
|
|
|
|
||||||||
1 Excludes $1 million and $1 million of sub-advisory fees paid to ISG for the benefit of third-party sub-advisors for the three months ended June 30, 2020 and 2019, respectively, and excludes $1 million and $2 million for the six months ended June 30, 2020 and 2019, respectively.
|
|||||||||||||||
2 Includes $24 million and $36 million of fees charged by Apollo to third-party cedants for the three months ended June 30, 2020 and 2019, respectively, and $48 million and $60 million for the six months ended June 30, 2020 and 2019, respectively, with respect to assets supporting obligations reinsured to us. Third-party cedants bear legal responsibility for payment of the investment management fees charged; however, we are the beneficiaries of the services performed and the fees ultimately reduce the settlement payments received from such third-party cedants.
|
|||||||||||||||
3 Includes total management fees, carried interest (including unrealized but accrued carried interest fees) and other fees, including with respect to those investments we hold as equity method investments.
|
|||||||||||||||
4 Other primarily relates to fees resulting from shared services, advisory and other agreements with Apollo or its affiliates.
|
|||||||||||||||
5 Represents those fees incurred directly and indirectly attributable to ACRA, based upon the economic ownership of the noncontrolling interest in ACRA.
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Carrying Value
|
|
Percent of Total
|
|
Carrying Value
|
|
Percent of Total
|
||||||
AFS securities, at fair value
|
$
|
74,735
|
|
|
45.8
|
%
|
|
$
|
71,374
|
|
|
54.7
|
%
|
Trading securities, at fair value
|
2,075
|
|
|
1.3
|
%
|
|
2,070
|
|
|
1.6
|
%
|
||
Equity securities, at fair value
|
237
|
|
|
0.1
|
%
|
|
247
|
|
|
0.2
|
%
|
||
Mortgage loans, net of allowances
|
15,203
|
|
|
9.4
|
%
|
|
14,306
|
|
|
11.0
|
%
|
||
Investment funds
|
682
|
|
|
0.4
|
%
|
|
750
|
|
|
0.6
|
%
|
||
Policy loans
|
393
|
|
|
0.2
|
%
|
|
417
|
|
|
0.3
|
%
|
||
Funds withheld at interest
|
42,269
|
|
|
25.9
|
%
|
|
15,181
|
|
|
11.6
|
%
|
||
Derivative assets
|
2,379
|
|
|
1.5
|
%
|
|
2,888
|
|
|
2.2
|
%
|
||
Short-term investments
|
364
|
|
|
0.2
|
%
|
|
596
|
|
|
0.5
|
%
|
||
Other investments
|
359
|
|
|
0.2
|
%
|
|
158
|
|
|
0.1
|
%
|
||
Total investments
|
138,696
|
|
|
85.0
|
%
|
|
107,987
|
|
|
82.8
|
%
|
||
Investments in related parties
|
|
|
|
|
|
|
|
||||||
AFS securities, at fair value
|
4,070
|
|
|
2.5
|
%
|
|
3,804
|
|
|
2.9
|
%
|
||
Trading securities, at fair value
|
872
|
|
|
0.5
|
%
|
|
785
|
|
|
0.6
|
%
|
||
Equity securities, at fair value
|
52
|
|
|
—
|
%
|
|
64
|
|
|
—
|
%
|
||
Mortgage loans, net of allowances
|
626
|
|
|
0.4
|
%
|
|
653
|
|
|
0.5
|
%
|
||
Investment funds
|
5,278
|
|
|
3.3
|
%
|
|
3,550
|
|
|
2.7
|
%
|
||
Funds withheld at interest
|
12,971
|
|
|
8.0
|
%
|
|
13,220
|
|
|
10.1
|
%
|
||
Other investments, net of allowances
|
474
|
|
|
0.3
|
%
|
|
487
|
|
|
0.4
|
%
|
||
Total related party investments
|
24,343
|
|
|
15.0
|
%
|
|
22,563
|
|
|
17.2
|
%
|
||
Total investments including related party
|
$
|
163,039
|
|
|
100.0
|
%
|
|
$
|
130,550
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|||||||||||||||||||||
(In millions, except percentages)
|
Amortized Cost
|
|
Allowance for Credit Losses
|
|
Unrealized Gains
|
|
Unrealized Losses
|
|
Fair Value
|
|
Percent of Total
|
|||||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
U.S. government and agencies
|
$
|
71
|
|
|
$
|
—
|
|
|
$
|
3
|
|
|
$
|
—
|
|
|
$
|
74
|
|
|
0.1
|
%
|
U.S. state, municipal and political subdivisions
|
799
|
|
|
—
|
|
|
146
|
|
|
(2
|
)
|
|
943
|
|
|
1.2
|
%
|
|||||
Foreign governments
|
318
|
|
|
—
|
|
|
20
|
|
|
(1
|
)
|
|
337
|
|
|
0.4
|
%
|
|||||
Corporate
|
47,251
|
|
|
(31
|
)
|
|
4,608
|
|
|
(629
|
)
|
|
51,199
|
|
|
65.0
|
%
|
|||||
CLO
|
8,441
|
|
|
(1
|
)
|
|
19
|
|
|
(507
|
)
|
|
7,952
|
|
|
10.1
|
%
|
|||||
ABS
|
4,923
|
|
|
(2
|
)
|
|
110
|
|
|
(258
|
)
|
|
4,773
|
|
|
6.1
|
%
|
|||||
CMBS
|
2,402
|
|
|
(10
|
)
|
|
53
|
|
|
(148
|
)
|
|
2,297
|
|
|
2.9
|
%
|
|||||
RMBS
|
7,010
|
|
|
(129
|
)
|
|
343
|
|
|
(64
|
)
|
|
7,160
|
|
|
9.1
|
%
|
|||||
Total AFS securities
|
71,215
|
|
|
(173
|
)
|
|
5,302
|
|
|
(1,609
|
)
|
|
74,735
|
|
|
94.9
|
%
|
|||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Corporate
|
18
|
|
|
—
|
|
|
2
|
|
|
—
|
|
|
20
|
|
|
—
|
%
|
|||||
CLO
|
1,297
|
|
|
(2
|
)
|
|
5
|
|
|
(61
|
)
|
|
1,239
|
|
|
1.6
|
%
|
|||||
ABS
|
2,858
|
|
|
—
|
|
|
26
|
|
|
(73
|
)
|
|
2,811
|
|
|
3.5
|
%
|
|||||
Total AFS securities – related party
|
4,173
|
|
|
(2
|
)
|
|
33
|
|
|
(134
|
)
|
|
4,070
|
|
|
5.1
|
%
|
|||||
Total AFS securities including related party
|
$
|
75,388
|
|
|
$
|
(175
|
)
|
|
$
|
5,335
|
|
|
$
|
(1,743
|
)
|
|
$
|
78,805
|
|
|
100.0
|
%
|
|
December 31, 2019
|
|||||||||||||||||
(In millions, except percentages)
|
Amortized Cost
|
|
Unrealized Gains
|
|
Unrealized Losses
|
|
Fair Value
|
|
Percent of Total
|
|||||||||
AFS securities
|
|
|
|
|
|
|
|
|
|
|||||||||
U.S. government and agencies
|
$
|
35
|
|
|
$
|
1
|
|
|
$
|
—
|
|
|
$
|
36
|
|
|
—
|
%
|
U.S. state, municipal and political subdivisions
|
1,322
|
|
|
220
|
|
|
(1
|
)
|
|
1,541
|
|
|
2.1
|
%
|
||||
Foreign governments
|
298
|
|
|
29
|
|
|
—
|
|
|
327
|
|
|
0.4
|
%
|
||||
Corporate
|
44,106
|
|
|
3,332
|
|
|
(210
|
)
|
|
47,228
|
|
|
62.8
|
%
|
||||
CLO
|
7,524
|
|
|
21
|
|
|
(196
|
)
|
|
7,349
|
|
|
9.8
|
%
|
||||
ABS
|
5,018
|
|
|
124
|
|
|
(24
|
)
|
|
5,118
|
|
|
6.8
|
%
|
||||
CMBS
|
2,304
|
|
|
104
|
|
|
(8
|
)
|
|
2,400
|
|
|
3.2
|
%
|
||||
RMBS
|
6,872
|
|
|
513
|
|
|
(10
|
)
|
|
7,375
|
|
|
9.8
|
%
|
||||
Total AFS securities
|
67,479
|
|
|
4,344
|
|
|
(449
|
)
|
|
71,374
|
|
|
94.9
|
%
|
||||
AFS securities – related party
|
|
|
|
|
|
|
|
|
|
|||||||||
Corporate
|
18
|
|
|
1
|
|
|
—
|
|
|
19
|
|
|
—
|
%
|
||||
CLO
|
951
|
|
|
3
|
|
|
(18
|
)
|
|
936
|
|
|
1.3
|
%
|
||||
ABS
|
2,814
|
|
|
37
|
|
|
(2
|
)
|
|
2,849
|
|
|
3.8
|
%
|
||||
Total AFS securities – related party
|
3,783
|
|
|
41
|
|
|
(20
|
)
|
|
3,804
|
|
|
5.1
|
%
|
||||
Total AFS securities including related party
|
$
|
71,262
|
|
|
$
|
4,385
|
|
|
$
|
(469
|
)
|
|
$
|
75,178
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Fair Value
|
|
Percent of Total
|
|
Fair Value
|
|
Percent of Total
|
||||||
Corporate
|
|
|
|
|
|
|
|
||||||
Industrial other1
|
$
|
16,726
|
|
|
21.2
|
%
|
|
$
|
14,956
|
|
|
19.9
|
%
|
Financial
|
16,114
|
|
|
20.4
|
%
|
|
15,286
|
|
|
20.3
|
%
|
||
Utilities
|
12,258
|
|
|
15.6
|
%
|
|
11,217
|
|
|
14.9
|
%
|
||
Communication
|
2,966
|
|
|
3.8
|
%
|
|
2,739
|
|
|
3.7
|
%
|
||
Transportation
|
3,155
|
|
|
4.0
|
%
|
|
3,049
|
|
|
4.1
|
%
|
||
Total corporate
|
51,219
|
|
|
65.0
|
%
|
|
47,247
|
|
|
62.9
|
%
|
||
Other government-related securities
|
|
|
|
|
|
|
|
||||||
U.S. state, municipal and political subdivisions
|
943
|
|
|
1.2
|
%
|
|
1,541
|
|
|
2.1
|
%
|
||
Foreign governments
|
337
|
|
|
0.4
|
%
|
|
327
|
|
|
0.4
|
%
|
||
U.S. government and agencies
|
74
|
|
|
0.1
|
%
|
|
36
|
|
|
—
|
%
|
||
Total non-structured securities
|
52,573
|
|
|
66.7
|
%
|
|
49,151
|
|
|
65.4
|
%
|
||
Structured securities
|
|
|
|
|
|
|
|
||||||
CLO
|
9,191
|
|
|
11.7
|
%
|
|
8,285
|
|
|
11.0
|
%
|
||
ABS
|
7,584
|
|
|
9.6
|
%
|
|
7,967
|
|
|
10.6
|
%
|
||
CMBS
|
2,297
|
|
|
2.9
|
%
|
|
2,400
|
|
|
3.2
|
%
|
||
RMBS
|
|
|
|
|
|
|
|
||||||
Agency
|
48
|
|
|
0.1
|
%
|
|
3
|
|
|
—
|
%
|
||
Non-agency
|
7,112
|
|
|
9.0
|
%
|
|
7,372
|
|
|
9.8
|
%
|
||
Total structured securities
|
26,232
|
|
|
33.3
|
%
|
|
26,027
|
|
|
34.6
|
%
|
||
Total AFS securities including related party
|
$
|
78,805
|
|
|
100.0
|
%
|
|
$
|
75,178
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 Includes securities within various industry segments including capital goods, basic industry, consumer cyclical, consumer non-cyclical, industrial and technology.
|
NAIC designation
|
|
NRSRO equivalent rating
|
1
|
|
AAA/AA/A
|
2
|
|
BBB
|
3
|
|
BB
|
4
|
|
B
|
5
|
|
CCC
|
6
|
|
CC and lower
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||||||||||
(In millions, except percentages)
|
Amortized Cost
|
|
Fair Value
|
|
Percent of Total
|
|
Amortized Cost
|
|
Fair Value
|
|
Percent of Total
|
||||||||||
NAIC designation
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1
|
$
|
37,502
|
|
|
$
|
39,700
|
|
|
50.4
|
%
|
|
$
|
36,392
|
|
|
$
|
38,667
|
|
|
51.4
|
%
|
2
|
32,569
|
|
|
34,124
|
|
|
43.3
|
%
|
|
30,752
|
|
|
32,336
|
|
|
43.0
|
%
|
||||
Total investment grade
|
70,071
|
|
|
73,824
|
|
|
93.7
|
%
|
|
67,144
|
|
|
71,003
|
|
|
94.4
|
%
|
||||
3
|
4,143
|
|
|
3,916
|
|
|
5.0
|
%
|
|
3,237
|
|
|
3,300
|
|
|
4.4
|
%
|
||||
4
|
882
|
|
|
827
|
|
|
1.0
|
%
|
|
740
|
|
|
740
|
|
|
1.0
|
%
|
||||
5
|
188
|
|
|
149
|
|
|
0.2
|
%
|
|
102
|
|
|
94
|
|
|
0.1
|
%
|
||||
6
|
104
|
|
|
89
|
|
|
0.1
|
%
|
|
39
|
|
|
41
|
|
|
0.1
|
%
|
||||
Total below investment grade
|
5,317
|
|
|
4,981
|
|
|
6.3
|
%
|
|
4,118
|
|
|
4,175
|
|
|
5.6
|
%
|
||||
Total AFS securities including related party
|
$
|
75,388
|
|
|
$
|
78,805
|
|
|
100.0
|
%
|
|
$
|
71,262
|
|
|
$
|
75,178
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Fair Value
|
|
Percent of Total
|
|
Fair Value
|
|
Percent of Total
|
||||||
NRSRO rating agency designation
|
|
|
|
|
|
|
|
||||||
AAA/AA/A
|
$
|
30,238
|
|
|
38.4
|
%
|
|
$
|
28,299
|
|
|
37.7
|
%
|
BBB
|
28,443
|
|
|
36.1
|
%
|
|
29,032
|
|
|
38.6
|
%
|
||
Non-rated1
|
11,142
|
|
|
14.2
|
%
|
|
10,014
|
|
|
13.3
|
%
|
||
Total investment grade
|
69,823
|
|
|
88.7
|
%
|
|
67,345
|
|
|
89.6
|
%
|
||
BB
|
4,347
|
|
|
5.5
|
%
|
|
3,403
|
|
|
4.5
|
%
|
||
B
|
1,042
|
|
|
1.3
|
%
|
|
813
|
|
|
1.1
|
%
|
||
CCC
|
1,845
|
|
|
2.3
|
%
|
|
1,981
|
|
|
2.6
|
%
|
||
CC and lower
|
1,080
|
|
|
1.4
|
%
|
|
1,076
|
|
|
1.4
|
%
|
||
Non-rated1
|
668
|
|
|
0.8
|
%
|
|
560
|
|
|
0.8
|
%
|
||
Total below investment grade
|
8,982
|
|
|
11.3
|
%
|
|
7,833
|
|
|
10.4
|
%
|
||
Total AFS securities including related party
|
$
|
78,805
|
|
|
100.0
|
%
|
|
$
|
75,178
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 Securities denoted as non-rated by the NRSRO were classified as investment or non-investment grade according to the security’s respective NAIC designation. With respect to modeled LBaSS, the NAIC designation methodology differs in significant respects from the NRSRO rating methodology.
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Fair Value
|
|
Percent of Total
|
|
Fair Value
|
|
Percent of Total
|
||||||
NAIC designation
|
|
|
|
|
|
|
|
||||||
1
|
$
|
5,641
|
|
|
61.4
|
%
|
|
$
|
4,626
|
|
|
55.9
|
%
|
2
|
3,462
|
|
|
37.6
|
%
|
|
3,499
|
|
|
42.2
|
%
|
||
Total investment grade
|
9,103
|
|
|
99.0
|
%
|
|
8,125
|
|
|
98.1
|
%
|
||
3
|
81
|
|
|
0.9
|
%
|
|
133
|
|
|
1.6
|
%
|
||
4
|
7
|
|
|
0.1
|
%
|
|
20
|
|
|
0.2
|
%
|
||
5
|
—
|
|
|
—
|
%
|
|
7
|
|
|
0.1
|
%
|
||
6
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Total below investment grade
|
88
|
|
|
1.0
|
%
|
|
160
|
|
|
1.9
|
%
|
||
Total AFS CLO including related party
|
$
|
9,191
|
|
|
100.0
|
%
|
|
$
|
8,285
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
NRSRO rating agency designation
|
|
|
|
|
|
|
|
||||||
AAA/AA/A
|
$
|
5,641
|
|
|
61.4
|
%
|
|
$
|
4,626
|
|
|
55.9
|
%
|
BBB
|
3,462
|
|
|
37.6
|
%
|
|
3,499
|
|
|
42.2
|
%
|
||
Non-rated
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Total investment grade
|
9,103
|
|
|
99.0
|
%
|
|
8,125
|
|
|
98.1
|
%
|
||
BB
|
81
|
|
|
0.9
|
%
|
|
133
|
|
|
1.6
|
%
|
||
B
|
7
|
|
|
0.1
|
%
|
|
20
|
|
|
0.2
|
%
|
||
CCC
|
—
|
|
|
—
|
%
|
|
7
|
|
|
0.1
|
%
|
||
CC and lower
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Non-rated
|
—
|
|
|
—
|
%
|
|
—
|
|
|
—
|
%
|
||
Total below investment grade
|
88
|
|
|
1.0
|
%
|
|
160
|
|
|
1.9
|
%
|
||
Total AFS CLO including related party
|
$
|
9,191
|
|
|
100.0
|
%
|
|
$
|
8,285
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Fair Value
|
|
Percent of Total
|
|
Fair Value
|
|
Percent of Total
|
||||||
NAIC designation
|
|
|
|
|
|
|
|
||||||
1
|
$
|
6,546
|
|
|
91.4
|
%
|
|
$
|
6,701
|
|
|
90.9
|
%
|
2
|
243
|
|
|
3.4
|
%
|
|
330
|
|
|
4.5
|
%
|
||
Total investment grade
|
6,789
|
|
|
94.8
|
%
|
|
7,031
|
|
|
95.4
|
%
|
||
3
|
243
|
|
|
3.4
|
%
|
|
289
|
|
|
3.9
|
%
|
||
4
|
39
|
|
|
0.6
|
%
|
|
52
|
|
|
0.7
|
%
|
||
5
|
43
|
|
|
0.6
|
%
|
|
3
|
|
|
—
|
%
|
||
6
|
46
|
|
|
0.6
|
%
|
|
—
|
|
|
—
|
%
|
||
Total below investment grade
|
371
|
|
|
5.2
|
%
|
|
344
|
|
|
4.6
|
%
|
||
Total AFS RMBS
|
$
|
7,160
|
|
|
100.0
|
%
|
|
$
|
7,375
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
NRSRO rating agency designation
|
|
|
|
|
|
|
|
||||||
AAA/AA/A
|
$
|
701
|
|
|
9.8
|
%
|
|
$
|
715
|
|
|
9.7
|
%
|
BBB
|
555
|
|
|
7.8
|
%
|
|
606
|
|
|
8.2
|
%
|
||
Non-rated1
|
2,459
|
|
|
34.3
|
%
|
|
2,428
|
|
|
32.9
|
%
|
||
Total investment grade
|
3,715
|
|
|
51.9
|
%
|
|
3,749
|
|
|
50.8
|
%
|
||
BB
|
255
|
|
|
3.6
|
%
|
|
281
|
|
|
3.8
|
%
|
||
B
|
262
|
|
|
3.6
|
%
|
|
232
|
|
|
3.2
|
%
|
||
CCC
|
1,735
|
|
|
24.2
|
%
|
|
1,890
|
|
|
25.6
|
%
|
||
CC and lower
|
1,080
|
|
|
15.1
|
%
|
|
1,074
|
|
|
14.6
|
%
|
||
Non-rated1
|
113
|
|
|
1.6
|
%
|
|
149
|
|
|
2.0
|
%
|
||
Total below investment grade
|
3,445
|
|
|
48.1
|
%
|
|
3,626
|
|
|
49.2
|
%
|
||
Total AFS RMBS
|
$
|
7,160
|
|
|
100.0
|
%
|
|
$
|
7,375
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 Securities denoted as non-rated by the NRSRO were classified as investment or non-investment grade according to the security’s respective NAIC designations. The NAIC designation methodology differs in significant respects from the NRSRO rating methodology.
|
|
June 30, 2020
|
||||||||||||||||||||
(In millions, except percentages)
|
Amortized Cost of AFS Securities with Unrealized Loss
|
|
Gross Unrealized Losses
|
|
Fair Value of AFS Securities with Unrealized Loss
|
|
Fair Value to Amortized Cost Ratio
|
|
Fair Value of Total AFS Securities
|
|
Gross Unrealized Losses to Total AFS Fair Value
|
||||||||||
NAIC designation
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1
|
$
|
10,718
|
|
|
$
|
(499
|
)
|
|
$
|
10,219
|
|
|
95.3
|
%
|
|
$
|
39,700
|
|
|
(1.3
|
)%
|
2
|
9,267
|
|
|
(706
|
)
|
|
8,561
|
|
|
92.4
|
%
|
|
34,124
|
|
|
(2.1
|
)%
|
||||
Total investment grade
|
19,985
|
|
|
(1,205
|
)
|
|
18,780
|
|
|
94.0
|
%
|
|
73,824
|
|
|
(1.6
|
)%
|
||||
3
|
2,554
|
|
|
(264
|
)
|
|
2,290
|
|
|
89.7
|
%
|
|
3,916
|
|
|
(6.7
|
)%
|
||||
4
|
599
|
|
|
(56
|
)
|
|
543
|
|
|
90.7
|
%
|
|
827
|
|
|
(6.8
|
)%
|
||||
5
|
113
|
|
|
(35
|
)
|
|
78
|
|
|
69.0
|
%
|
|
149
|
|
|
(23.5
|
)%
|
||||
6
|
36
|
|
|
(11
|
)
|
|
25
|
|
|
69.4
|
%
|
|
89
|
|
|
(12.4
|
)%
|
||||
Total below investment grade
|
3,302
|
|
|
(366
|
)
|
|
2,936
|
|
|
88.9
|
%
|
|
4,981
|
|
|
(7.3
|
)%
|
||||
Total
|
$
|
23,287
|
|
|
$
|
(1,571
|
)
|
|
$
|
21,716
|
|
|
93.3
|
%
|
|
$
|
78,805
|
|
|
(2.0
|
)%
|
|
December 31, 2019
|
||||||||||||||||||||
(In millions, except percentages)
|
Amortized Cost of AFS Securities with Unrealized Loss
|
|
Gross Unrealized Losses
|
|
Fair Value of AFS Securities with Unrealized Loss
|
|
Fair Value to Amortized Cost Ratio
|
|
Fair Value of Total AFS Securities
|
|
Gross Unrealized Losses to Total AFS Fair Value
|
||||||||||
NAIC designation
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1
|
$
|
5,672
|
|
|
$
|
(160
|
)
|
|
$
|
5,512
|
|
|
97.2
|
%
|
|
$
|
38,667
|
|
|
(0.4
|
)%
|
2
|
5,252
|
|
|
(223
|
)
|
|
5,029
|
|
|
95.8
|
%
|
|
32,336
|
|
|
(0.7
|
)%
|
||||
Total investment grade
|
10,924
|
|
|
(383
|
)
|
|
10,541
|
|
|
96.5
|
%
|
|
71,003
|
|
|
(0.5
|
)%
|
||||
3
|
945
|
|
|
(41
|
)
|
|
904
|
|
|
95.7
|
%
|
|
3,300
|
|
|
(1.2
|
)%
|
||||
4
|
338
|
|
|
(34
|
)
|
|
304
|
|
|
89.9
|
%
|
|
740
|
|
|
(4.6
|
)%
|
||||
5
|
79
|
|
|
(11
|
)
|
|
68
|
|
|
86.1
|
%
|
|
94
|
|
|
(11.7
|
)%
|
||||
6
|
1
|
|
|
—
|
|
|
1
|
|
|
100.0
|
%
|
|
41
|
|
|
—
|
%
|
||||
Total below investment grade
|
1,363
|
|
|
(86
|
)
|
|
1,277
|
|
|
93.7
|
%
|
|
4,175
|
|
|
(2.1
|
)%
|
||||
Total
|
$
|
12,287
|
|
|
$
|
(469
|
)
|
|
$
|
11,818
|
|
|
96.2
|
%
|
|
$
|
75,178
|
|
|
(0.6
|
)%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Net Carrying Value
|
|
Percent of Total
|
|
Net Carrying Value
|
|
Percent of Total
|
||||||
Property type
|
|
|
|
|
|
|
|
||||||
Office building
|
$
|
3,545
|
|
|
22.4
|
%
|
|
$
|
2,899
|
|
|
19.3
|
%
|
Retail
|
2,080
|
|
|
13.1
|
%
|
|
2,182
|
|
|
14.6
|
%
|
||
Apartment
|
2,401
|
|
|
15.2
|
%
|
|
2,142
|
|
|
14.3
|
%
|
||
Hotels
|
1,131
|
|
|
7.1
|
%
|
|
1,104
|
|
|
7.4
|
%
|
||
Industrial
|
1,385
|
|
|
8.8
|
%
|
|
1,448
|
|
|
9.7
|
%
|
||
Other commercial1
|
689
|
|
|
4.4
|
%
|
|
730
|
|
|
4.9
|
%
|
||
Total net commercial mortgage loans
|
11,231
|
|
|
71.0
|
%
|
|
10,505
|
|
|
70.2
|
%
|
||
Residential loans
|
4,598
|
|
|
29.0
|
%
|
|
4,454
|
|
|
29.8
|
%
|
||
Total mortgage loans, net of allowances
|
$
|
15,829
|
|
|
100.0
|
%
|
|
$
|
14,959
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 Other commercial loans include investments in nursing homes, other healthcare institutions, parking garages, storage facilities and other commercial properties.
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Carrying Value
|
|
Percent of Total
|
|
Carrying Value
|
|
Percent of Total
|
||||||
Investment funds
|
|
|
|
|
|
|
|
||||||
Real estate
|
$
|
274
|
|
|
4.6
|
%
|
|
$
|
277
|
|
|
6.4
|
%
|
Credit funds
|
115
|
|
|
1.9
|
%
|
|
153
|
|
|
3.6
|
%
|
||
Private equity
|
232
|
|
|
3.9
|
%
|
|
236
|
|
|
5.5
|
%
|
||
Real assets
|
61
|
|
|
1.0
|
%
|
|
83
|
|
|
2.0
|
%
|
||
Natural resources
|
—
|
|
|
—
|
%
|
|
1
|
|
|
—
|
%
|
||
Total investment funds
|
682
|
|
|
11.4
|
%
|
|
750
|
|
|
17.5
|
%
|
||
Investment funds – related parties
|
|
|
|
|
|
|
|
||||||
Differentiated investments
|
|
|
|
|
|
|
|
||||||
MidCap
|
517
|
|
|
8.7
|
%
|
|
547
|
|
|
12.7
|
%
|
||
AmeriHome
|
594
|
|
|
10.0
|
%
|
|
487
|
|
|
11.3
|
%
|
||
Catalina
|
295
|
|
|
4.9
|
%
|
|
271
|
|
|
6.3
|
%
|
||
Athora
|
497
|
|
|
8.3
|
%
|
|
132
|
|
|
3.1
|
%
|
||
Venerable
|
118
|
|
|
2.0
|
%
|
|
99
|
|
|
2.3
|
%
|
||
Other
|
246
|
|
|
4.1
|
%
|
|
222
|
|
|
5.2
|
%
|
||
Total differentiated investments
|
2,267
|
|
|
38.0
|
%
|
|
1,758
|
|
|
40.9
|
%
|
||
Real estate
|
709
|
|
|
11.9
|
%
|
|
853
|
|
|
19.8
|
%
|
||
Credit funds
|
363
|
|
|
6.1
|
%
|
|
370
|
|
|
8.6
|
%
|
||
Private equity
|
255
|
|
|
4.3
|
%
|
|
105
|
|
|
2.4
|
%
|
||
Real assets
|
233
|
|
|
3.9
|
%
|
|
182
|
|
|
4.2
|
%
|
||
Natural resources
|
95
|
|
|
1.6
|
%
|
|
163
|
|
|
3.8
|
%
|
||
Public equities
|
43
|
|
|
0.8
|
%
|
|
119
|
|
|
2.8
|
%
|
||
Investment in Apollo
|
1,313
|
|
|
22.0
|
%
|
|
—
|
|
|
—
|
%
|
||
Total investment funds – related parties
|
5,278
|
|
|
88.6
|
%
|
|
3,550
|
|
|
82.5
|
%
|
||
Total investment funds including related parties
|
$
|
5,960
|
|
|
100.0
|
%
|
|
$
|
4,300
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Carrying Value
|
|
Percent of Total
|
|
Carrying Value
|
|
Percent of Total
|
||||||
Fixed maturity securities
|
|
|
|
|
|
|
|
||||||
U.S. government and agencies
|
$
|
15
|
|
|
—
|
%
|
|
$
|
15
|
|
|
0.1
|
%
|
U.S. state, municipal and political subdivisions
|
346
|
|
|
0.6
|
%
|
|
482
|
|
|
1.7
|
%
|
||
Foreign governments
|
182
|
|
|
0.3
|
%
|
|
143
|
|
|
0.5
|
%
|
||
Corporate
|
30,405
|
|
|
55.1
|
%
|
|
14,590
|
|
|
51.4
|
%
|
||
CLO
|
3,405
|
|
|
6.2
|
%
|
|
2,586
|
|
|
9.1
|
%
|
||
ABS
|
2,781
|
|
|
5.0
|
%
|
|
2,510
|
|
|
8.8
|
%
|
||
CMBS
|
2,157
|
|
|
3.9
|
%
|
|
756
|
|
|
2.7
|
%
|
||
RMBS
|
2,095
|
|
|
3.8
|
%
|
|
1,482
|
|
|
5.2
|
%
|
||
Equity securities
|
68
|
|
|
0.1
|
%
|
|
74
|
|
|
0.3
|
%
|
||
Mortgage loans
|
5,966
|
|
|
10.8
|
%
|
|
4,357
|
|
|
15.3
|
%
|
||
Investment funds
|
916
|
|
|
1.7
|
%
|
|
807
|
|
|
2.8
|
%
|
||
Derivative assets
|
161
|
|
|
0.3
|
%
|
|
224
|
|
|
0.8
|
%
|
||
Short-term investments
|
1,012
|
|
|
1.8
|
%
|
|
157
|
|
|
0.6
|
%
|
||
Cash and cash equivalents
|
6,736
|
|
|
12.2
|
%
|
|
239
|
|
|
0.8
|
%
|
||
Other assets and liabilities
|
(1,005
|
)
|
|
(1.8
|
)%
|
|
(21
|
)
|
|
(0.1
|
)%
|
||
Total funds withheld at interest including related party
|
$
|
55,240
|
|
|
100.0
|
%
|
|
$
|
28,401
|
|
|
100.0
|
%
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Net Invested Asset Value1
|
|
Percent of Total
|
|
Net Invested Asset Value1
|
|
Percent of Total
|
||||||
Corporate
|
$
|
63,171
|
|
|
46.0
|
%
|
|
$
|
55,077
|
|
|
46.9
|
%
|
CLO
|
11,984
|
|
|
8.7
|
%
|
|
10,223
|
|
|
8.7
|
%
|
||
Credit
|
75,155
|
|
|
54.7
|
%
|
|
65,300
|
|
|
55.6
|
%
|
||
RMBS
|
8,665
|
|
|
6.3
|
%
|
|
8,394
|
|
|
7.1
|
%
|
||
CML
|
15,664
|
|
|
11.4
|
%
|
|
14,038
|
|
|
12.0
|
%
|
||
RML
|
4,755
|
|
|
3.5
|
%
|
|
4,490
|
|
|
3.8
|
%
|
||
CMBS
|
3,417
|
|
|
2.5
|
%
|
|
2,930
|
|
|
2.5
|
%
|
||
Real estate
|
32,501
|
|
|
23.7
|
%
|
|
29,852
|
|
|
25.4
|
%
|
||
ABS
|
10,507
|
|
|
7.6
|
%
|
|
10,317
|
|
|
8.8
|
%
|
||
Alternative investments
|
6,082
|
|
|
4.4
|
%
|
|
5,586
|
|
|
4.8
|
%
|
||
State, municipal, political subdivisions and foreign government
|
1,750
|
|
|
1.3
|
%
|
|
2,260
|
|
|
1.9
|
%
|
||
Equity securities
|
392
|
|
|
0.3
|
%
|
|
365
|
|
|
0.3
|
%
|
||
Short-term investments
|
699
|
|
|
0.5
|
%
|
|
624
|
|
|
0.5
|
%
|
||
U.S. government and agencies
|
85
|
|
|
0.1
|
%
|
|
49
|
|
|
—
|
%
|
||
Other investments
|
19,515
|
|
|
14.2
|
%
|
|
19,201
|
|
|
16.3
|
%
|
||
Cash and equivalents
|
7,541
|
|
|
5.5
|
%
|
|
1,958
|
|
|
1.7
|
%
|
||
Policy loans and other
|
1,244
|
|
|
0.9
|
%
|
|
1,175
|
|
|
1.0
|
%
|
||
Net invested assets excluding investment in Apollo
|
135,956
|
|
|
99.0
|
%
|
|
117,486
|
|
|
100.0
|
%
|
||
Investment in Apollo
|
1,313
|
|
|
1.0
|
%
|
|
—
|
|
|
—
|
%
|
||
Net invested assets
|
$
|
137,269
|
|
|
100.0
|
%
|
|
$
|
117,486
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 See Key Operating and Non-GAAP Measures for the definition of net invested assets.
|
|
June 30, 2020
|
|
December 31, 2019
|
||||||||||
(In millions, except percentages)
|
Net Invested Asset Value
|
|
Percent of Total
|
|
Net Invested Asset Value
|
|
Percent of Total
|
||||||
Retirement Services
|
|
|
|
|
|
|
|
||||||
Differentiated investments
|
|
|
|
|
|
|
|
||||||
AmeriHome
|
$
|
730
|
|
|
12.0
|
%
|
|
$
|
595
|
|
|
10.7
|
%
|
MidCap
|
594
|
|
|
9.8
|
%
|
|
547
|
|
|
9.8
|
%
|
||
Catalina
|
295
|
|
|
4.9
|
%
|
|
271
|
|
|
4.9
|
%
|
||
Venerable
|
118
|
|
|
1.9
|
%
|
|
99
|
|
|
1.8
|
%
|
||
Other
|
309
|
|
|
5.1
|
%
|
|
208
|
|
|
3.7
|
%
|
||
Total differentiated investments
|
2,046
|
|
|
33.7
|
%
|
|
1,720
|
|
|
30.9
|
%
|
||
Real estate
|
1,260
|
|
|
20.7
|
%
|
|
1,430
|
|
|
25.6
|
%
|
||
Credit
|
911
|
|
|
15.0
|
%
|
|
968
|
|
|
17.3
|
%
|
||
Private equity
|
550
|
|
|
9.0
|
%
|
|
378
|
|
|
6.8
|
%
|
||
Real assets
|
411
|
|
|
6.8
|
%
|
|
349
|
|
|
6.2
|
%
|
||
Natural resources
|
45
|
|
|
0.7
|
%
|
|
51
|
|
|
0.9
|
%
|
||
Other
|
—
|
|
|
—
|
%
|
|
58
|
|
|
1.0
|
%
|
||
Total Retirement Services alternative investments
|
5,223
|
|
|
85.9
|
%
|
|
4,954
|
|
|
88.7
|
%
|
||
Corporate and Other
|
|
|
|
|
|
|
|
||||||
Athora
|
501
|
|
|
8.2
|
%
|
|
140
|
|
|
2.5
|
%
|
||
Credit
|
89
|
|
|
1.5
|
%
|
|
128
|
|
|
2.3
|
%
|
||
Natural resources
|
226
|
|
|
3.7
|
%
|
|
245
|
|
|
4.4
|
%
|
||
Public equities1
|
43
|
|
|
0.7
|
%
|
|
119
|
|
|
2.1
|
%
|
||
Total Corporate and Other alternative investments
|
859
|
|
|
14.1
|
%
|
|
632
|
|
|
11.3
|
%
|
||
Net alternative investments
|
$
|
6,082
|
|
|
100.0
|
%
|
|
$
|
5,586
|
|
|
100.0
|
%
|
|
|
|
|
|
|
|
|
||||||
1 As of June 30, 2020 and December 31, 2019, public equities is exclusively comprised of an investment in OneMain Holdings, Inc. (ticker: OMF).
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Total AHL shareholders’ equity
|
$
|
14,711
|
|
|
$
|
13,391
|
|
Less: Preferred stock
|
1,755
|
|
|
1,172
|
|
||
Total AHL common shareholders’ equity
|
12,956
|
|
|
12,219
|
|
||
Less: AOCI
|
2,184
|
|
|
2,281
|
|
||
Less: Accumulated change in fair value of reinsurance assets
|
615
|
|
|
493
|
|
||
Total adjusted AHL common shareholders’ equity
|
$
|
10,157
|
|
|
$
|
9,445
|
|
|
|
|
|
||||
Segment adjusted AHL common shareholders’ equity
|
|
|
|
||||
Retirement Services
|
$
|
6,957
|
|
|
$
|
7,443
|
|
Corporate and Other
|
3,200
|
|
|
2,002
|
|
||
Total adjusted AHL common shareholders’ equity
|
$
|
10,157
|
|
|
$
|
9,445
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
Average AHL shareholders’ equity
|
$
|
12,326
|
|
|
$
|
11,241
|
|
|
$
|
14,051
|
|
|
$
|
10,321
|
|
Less: Average preferred stock
|
1,464
|
|
|
420
|
|
|
1,464
|
|
|
420
|
|
||||
Less: Average AOCI
|
505
|
|
|
1,233
|
|
|
2,233
|
|
|
644
|
|
||||
Less: Average accumulated change in fair value of reinsurance assets
|
230
|
|
|
474
|
|
|
554
|
|
|
282
|
|
||||
Average adjusted AHL common shareholders’ equity
|
$
|
10,127
|
|
|
$
|
9,114
|
|
|
$
|
9,800
|
|
|
$
|
8,975
|
|
|
|
|
|
|
|
|
|
||||||||
Segment average adjusted AHL common shareholders’ equity
|
|
|
|
|
|
|
|
||||||||
Retirement Services
|
$
|
7,480
|
|
|
$
|
7,952
|
|
|
$
|
7,199
|
|
|
$
|
7,755
|
|
Corporate and Other
|
2,647
|
|
|
1,162
|
|
|
2,601
|
|
|
1,220
|
|
||||
Average adjusted AHL common shareholders’ equity
|
$
|
10,127
|
|
|
$
|
9,114
|
|
|
$
|
9,800
|
|
|
$
|
8,975
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||||||||||||||
(In millions, except percentages)
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
||||||||||||
GAAP net investment income
|
$
|
1,336
|
|
|
4.22
|
%
|
|
$
|
1,182
|
|
|
4.10
|
%
|
|
$
|
2,081
|
|
|
3.39
|
%
|
|
$
|
2,264
|
|
|
3.98
|
%
|
Change in fair value of reinsurance assets
|
218
|
|
|
0.69
|
%
|
|
161
|
|
|
0.56
|
%
|
|
488
|
|
|
0.79
|
%
|
|
293
|
|
|
0.52
|
%
|
||||
Alternative income gain (loss)
|
56
|
|
|
0.18
|
%
|
|
12
|
|
|
0.04
|
%
|
|
(45
|
)
|
|
(0.08
|
)%
|
|
7
|
|
|
0.01
|
%
|
||||
ACRA noncontrolling interest
|
(81
|
)
|
|
(0.26
|
)%
|
|
—
|
|
|
—
|
%
|
|
(153
|
)
|
|
(0.25
|
)%
|
|
—
|
|
|
—
|
%
|
||||
Apollo investment (income) loss
|
(481
|
)
|
|
(1.52
|
)%
|
|
—
|
|
|
—
|
%
|
|
(184
|
)
|
|
(0.30
|
)%
|
|
—
|
|
|
—
|
%
|
||||
Held for trading amortization and other
|
(8
|
)
|
|
(0.02
|
)%
|
|
(10
|
)
|
|
(0.03
|
)%
|
|
4
|
|
|
0.01
|
%
|
|
(16
|
)
|
|
(0.03
|
)%
|
||||
Total adjustments to arrive at net investment earnings/earned rate
|
(296
|
)
|
|
(0.93
|
)%
|
|
163
|
|
|
0.57
|
%
|
|
110
|
|
|
0.17
|
%
|
|
284
|
|
|
0.50
|
%
|
||||
Total net investment earnings/earned rate
|
$
|
1,040
|
|
|
3.29
|
%
|
|
$
|
1,345
|
|
|
4.67
|
%
|
|
$
|
2,191
|
|
|
3.56
|
%
|
|
$
|
2,548
|
|
|
4.48
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Retirement Services
|
$
|
1,075
|
|
|
3.44
|
%
|
|
$
|
1,321
|
|
|
4.63
|
%
|
|
$
|
2,259
|
|
|
3.73
|
%
|
|
$
|
2,492
|
|
|
4.42
|
%
|
Corporate and Other
|
(35
|
)
|
|
(8.91
|
)%
|
|
24
|
|
|
8.39
|
%
|
|
(68
|
)
|
|
(7.94
|
)%
|
|
56
|
|
|
10.05
|
%
|
||||
Total net investment earnings/earned rate
|
$
|
1,040
|
|
|
3.29
|
%
|
|
$
|
1,345
|
|
|
4.67
|
%
|
|
$
|
2,191
|
|
|
3.56
|
%
|
|
$
|
2,548
|
|
|
4.48
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Retirement Services average net invested assets
|
$
|
124,943
|
|
|
|
|
$
|
114,059
|
|
|
|
|
$
|
121,213
|
|
|
|
|
$
|
112,711
|
|
|
|
||||
Corporate and Other average net invested assets ex. Apollo investment
|
1,567
|
|
|
|
|
1,162
|
|
|
|
|
1,712
|
|
|
|
|
1,113
|
|
|
|
||||||||
Consolidated average net invested assets ex. Apollo investment
|
$
|
126,510
|
|
|
|
|
$
|
115,221
|
|
|
|
|
$
|
122,925
|
|
|
|
|
$
|
113,824
|
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||||||||||||||
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||||||||||||||
(In millions, except percentages)
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
|
Dollar
|
|
Rate
|
||||||||||||
GAAP interest sensitive contract benefits
|
$
|
2,076
|
|
|
6.65
|
%
|
|
$
|
1,094
|
|
|
3.84
|
%
|
|
$
|
757
|
|
|
1.25
|
%
|
|
$
|
2,610
|
|
|
4.63
|
%
|
Interest credited other than deferred annuities and institutional products
|
75
|
|
|
0.24
|
%
|
|
50
|
|
|
0.18
|
%
|
|
138
|
|
|
0.22
|
%
|
|
105
|
|
|
0.19
|
%
|
||||
FIA option costs
|
271
|
|
|
0.86
|
%
|
|
280
|
|
|
0.98
|
%
|
|
537
|
|
|
0.88
|
%
|
|
558
|
|
|
0.99
|
%
|
||||
Product charges (strategy fees)
|
(34
|
)
|
|
(0.11
|
)%
|
|
(29
|
)
|
|
(0.10
|
)%
|
|
(66
|
)
|
|
(0.11
|
)%
|
|
(57
|
)
|
|
(0.10
|
)%
|
||||
Reinsurance embedded derivative impacts
|
15
|
|
|
0.05
|
%
|
|
14
|
|
|
0.05
|
%
|
|
29
|
|
|
0.05
|
%
|
|
29
|
|
|
0.05
|
%
|
||||
Change in fair value of embedded derivatives – FIAs
|
(1,734
|
)
|
|
(5.55
|
)%
|
|
(868
|
)
|
|
(3.05
|
)%
|
|
(230
|
)
|
|
(0.38
|
)%
|
|
(2,179
|
)
|
|
(3.86
|
)%
|
||||
Negative VOBA amortization
|
5
|
|
|
0.02
|
%
|
|
7
|
|
|
0.02
|
%
|
|
12
|
|
|
0.02
|
%
|
|
19
|
|
|
0.03
|
%
|
||||
ACRA noncontrolling interest
|
(113
|
)
|
|
(0.37
|
)%
|
|
—
|
|
|
—
|
%
|
|
(75
|
)
|
|
(0.12
|
)%
|
|
—
|
|
|
—
|
%
|
||||
Other changes in interest sensitive contract liabilities
|
(1
|
)
|
|
0.00
|
%
|
|
(1
|
)
|
|
0.00
|
%
|
|
(2
|
)
|
|
—
|
%
|
|
(3
|
)
|
|
(0.01
|
)%
|
||||
Total adjustments to arrive at cost of crediting
|
(1,516
|
)
|
|
(4.86
|
)%
|
|
(547
|
)
|
|
(1.92
|
)%
|
|
343
|
|
|
0.56
|
%
|
|
(1,528
|
)
|
|
(2.71
|
)%
|
||||
Retirement Services cost of crediting
|
$
|
560
|
|
|
1.79
|
%
|
|
$
|
547
|
|
|
1.92
|
%
|
|
$
|
1,100
|
|
|
1.81
|
%
|
|
$
|
1,082
|
|
|
1.92
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Retirement Services cost of crediting on deferred annuities
|
$
|
451
|
|
|
1.94
|
%
|
|
$
|
448
|
|
|
1.98
|
%
|
|
$
|
873
|
|
|
1.92
|
%
|
|
$
|
892
|
|
|
1.98
|
%
|
Retirement Services cost of crediting on institutional products
|
109
|
|
|
2.87
|
%
|
|
99
|
|
|
3.76
|
%
|
|
227
|
|
|
3.08
|
%
|
|
190
|
|
|
3.73
|
%
|
||||
Retirement Services cost of crediting
|
$
|
560
|
|
|
1.79
|
%
|
|
$
|
547
|
|
|
1.92
|
%
|
|
$
|
1,100
|
|
|
1.81
|
%
|
|
$
|
1,082
|
|
|
1.92
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Retirement Services average net invested assets
|
$
|
124,943
|
|
|
|
|
$
|
114,059
|
|
|
|
|
$
|
121,213
|
|
|
|
|
$
|
112,711
|
|
|
|
||||
Average account value on deferred annuities
|
92,814
|
|
|
|
|
90,675
|
|
|
|
|
90,654
|
|
|
|
|
90,261
|
|
|
|
||||||||
Average net institutional reserve liabilities
|
15,233
|
|
|
|
|
10,470
|
|
|
|
|
14,742
|
|
|
|
|
10,140
|
|
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
GAAP benefits and expenses
|
$
|
3,317
|
|
|
$
|
2,673
|
|
|
$
|
3,150
|
|
|
$
|
6,928
|
|
Premiums
|
(355
|
)
|
|
(787
|
)
|
|
(1,495
|
)
|
|
(2,787
|
)
|
||||
Product charges
|
(141
|
)
|
|
(132
|
)
|
|
(281
|
)
|
|
(257
|
)
|
||||
Other revenues
|
(18
|
)
|
|
(9
|
)
|
|
(16
|
)
|
|
(21
|
)
|
||||
Cost of crediting
|
(275
|
)
|
|
(253
|
)
|
|
(534
|
)
|
|
(495
|
)
|
||||
Change in fair value of embedded derivatives – FIA, net of offsets
|
(1,445
|
)
|
|
(817
|
)
|
|
11
|
|
|
(2,077
|
)
|
||||
DAC, DSI and VOBA amortization related to investment gains and losses
|
(323
|
)
|
|
(181
|
)
|
|
102
|
|
|
(354
|
)
|
||||
Rider reserves related to investment gains and losses
|
(46
|
)
|
|
(24
|
)
|
|
30
|
|
|
(52
|
)
|
||||
Policy and other operating expenses, excluding policy acquisition expenses
|
(145
|
)
|
|
(117
|
)
|
|
(262
|
)
|
|
(220
|
)
|
||||
AmerUs closed block fair value liability
|
(100
|
)
|
|
(59
|
)
|
|
(55
|
)
|
|
(112
|
)
|
||||
ACRA noncontrolling interest
|
(241
|
)
|
|
—
|
|
|
(76
|
)
|
|
—
|
|
||||
Other
|
(13
|
)
|
|
1
|
|
|
(17
|
)
|
|
2
|
|
||||
Total adjustments to arrive at other liability costs
|
(3,102
|
)
|
|
(2,378
|
)
|
|
(2,593
|
)
|
|
(6,373
|
)
|
||||
Other liability costs
|
$
|
215
|
|
|
$
|
295
|
|
|
$
|
557
|
|
|
$
|
555
|
|
|
|
|
|
|
|
|
|
||||||||
Retirement Services
|
$
|
215
|
|
|
$
|
295
|
|
|
$
|
557
|
|
|
$
|
555
|
|
Corporate and Other
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Consolidated other liability costs
|
$
|
215
|
|
|
$
|
295
|
|
|
$
|
557
|
|
|
$
|
555
|
|
|
Three months ended June 30,
|
|
Six months ended June 30,
|
||||||||||||
(In millions)
|
2020
|
|
2019
|
|
2020
|
|
2019
|
||||||||
GAAP policy and other operating expenses
|
$
|
218
|
|
|
$
|
185
|
|
|
$
|
406
|
|
|
$
|
350
|
|
Interest expense
|
(29
|
)
|
|
(15
|
)
|
|
(49
|
)
|
|
(32
|
)
|
||||
Policy acquisition expenses, net of deferrals
|
(73
|
)
|
|
(69
|
)
|
|
(144
|
)
|
|
(131
|
)
|
||||
Integration, restructuring and other non-operating expenses
|
(9
|
)
|
|
(11
|
)
|
|
(13
|
)
|
|
(12
|
)
|
||||
Stock compensation expenses
|
—
|
|
|
(3
|
)
|
|
(10
|
)
|
|
(6
|
)
|
||||
ACRA noncontrolling interest
|
(19
|
)
|
|
—
|
|
|
(23
|
)
|
|
—
|
|
||||
Total adjustments to arrive at operating expenses
|
(130
|
)
|
|
(98
|
)
|
|
(239
|
)
|
|
(181
|
)
|
||||
Operating expenses
|
$
|
88
|
|
|
$
|
87
|
|
|
$
|
167
|
|
|
$
|
169
|
|
|
|
|
|
|
|
|
|
||||||||
Retirement Services
|
$
|
71
|
|
|
$
|
68
|
|
|
$
|
139
|
|
|
$
|
130
|
|
Corporate and Other
|
17
|
|
|
19
|
|
|
28
|
|
|
39
|
|
||||
Consolidated operating expenses
|
$
|
88
|
|
|
$
|
87
|
|
|
$
|
167
|
|
|
$
|
169
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Total investments, including related parties
|
$
|
163,039
|
|
|
$
|
130,550
|
|
Derivative assets
|
(2,379
|
)
|
|
(2,888
|
)
|
||
Cash and cash equivalents (including restricted cash)
|
7,521
|
|
|
4,639
|
|
||
Accrued investment income
|
836
|
|
|
807
|
|
||
Payables for collateral on derivatives
|
(2,117
|
)
|
|
(2,743
|
)
|
||
Reinsurance funds withheld and modified coinsurance
|
(203
|
)
|
|
(1,440
|
)
|
||
VIE and VOE assets, liabilities and noncontrolling interest
|
(18
|
)
|
|
25
|
|
||
Unrealized (gains) losses
|
(3,782
|
)
|
|
(4,095
|
)
|
||
Ceded policy loans
|
(225
|
)
|
|
(235
|
)
|
||
Net investment receivables (payables)
|
(1,281
|
)
|
|
(57
|
)
|
||
Allowance for credit losses
|
574
|
|
|
—
|
|
||
Total adjustments to arrive at gross invested assets
|
(1,074
|
)
|
|
(5,987
|
)
|
||
Gross invested assets
|
161,965
|
|
|
124,563
|
|
||
ACRA noncontrolling interest
|
(24,696
|
)
|
|
(7,077
|
)
|
||
Net invested assets
|
$
|
137,269
|
|
|
$
|
117,486
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Investment funds, including related parties
|
$
|
5,960
|
|
|
$
|
4,300
|
|
Nonredeemable preferred stock included in equity securities
|
—
|
|
|
78
|
|
||
CLO and ABS equities included in trading securities
|
504
|
|
|
405
|
|
||
Investment in Apollo
|
(1,313
|
)
|
|
—
|
|
||
Investment funds within funds withheld at interest
|
916
|
|
|
807
|
|
||
Royalties and other assets included in other investments
|
85
|
|
|
67
|
|
||
Unrealized (gains) losses and other adjustments
|
8
|
|
|
8
|
|
||
ACRA noncontrolling interest
|
(78
|
)
|
|
(79
|
)
|
||
Total adjustments to arrive at alternative investments
|
122
|
|
|
1,286
|
|
||
Net alternative investments
|
$
|
6,082
|
|
|
$
|
5,586
|
|
(In millions)
|
June 30, 2020
|
|
December 31, 2019
|
||||
Total liabilities
|
$
|
167,602
|
|
|
$
|
132,734
|
|
Short-term debt
|
—
|
|
|
(475
|
)
|
||
Long-term debt
|
(1,486
|
)
|
|
(992
|
)
|
||
Derivative liabilities
|
(118
|
)
|
|
(97
|
)
|
||
Payables for collateral on derivatives and securities to repurchase
|
(3,118
|
)
|
|
(3,255
|
)
|
||
Funds withheld liability
|
(427
|
)
|
|
(408
|
)
|
||
Other liabilities
|
(1,486
|
)
|
|
(1,181
|
)
|
||
Reinsurance ceded receivables
|
(5,310
|
)
|
|
(4,863
|
)
|
||
Policy loans ceded
|
(225
|
)
|
|
(235
|
)
|
||
ACRA noncontrolling interest
|
(24,094
|
)
|
|
(6,574
|
)
|
||
Other
|
(5
|
)
|
|
(2
|
)
|
||
Total adjustments to arrive at net reserve liabilities
|
(36,269
|
)
|
|
(18,082
|
)
|
||
Net reserve liabilities
|
$
|
131,333
|
|
|
$
|
114,652
|
|
•
|
our projected net cumulative cash flows, including both new business and target levels of new investments under a “plan scenario” and a “moderately severe scenario” event, are non-negative over a rolling 12-month horizon;
|
•
|
we hold enough cash, cash equivalents and other discounted liquid limit assets to cover 12 months of AHL’s and Athene USA’s projected obligations, including debt servicing costs:
|
▪
|
minimum of 50% of expenses and 100% of debt servicing to be held in cash and cash equivalents at AHL operating accounts
|
▪
|
minimum of 50% of any required AHL – Athene USA inter-company loan commitments to be held in cash and cash equivalents by AHL
|
▪
|
dividends from ALRe sufficient to support the ongoing operations of AHL must be available under moderate and substantial stress scenarios
|
▪
|
for purposes of administering this test, liquid limit assets are discounted by 25% and include public corporate bonds rated A- or above, liquid ABS (defined as prime auto, auto floorplan, Tier 1 subprime auto, auto lease, prime credit cards, equipment lease or utility stranded assets); RMBS with weighted average lives less than three years rated A- or above and CMBS with weighted average lives less than three years rated AAA- or above
|
•
|
we seek to maintain sufficient capital and surplus at ALRe to meet the following collateral and capital maintenance calls under a substantial stress event, such as the failure of a major financial institution (Lehman event):
|
▪
|
collateral calls from modco and third-party reinsurance contracts
|
▪
|
AARe capital maintenance calls arising from AARe collateral calls from modco reinsurance contracts; and
|
▪
|
U.S. regulated entity capital maintenance calls from nonmodco activity.
|
|
Six months ended June 30,
|
||||||
(In millions)
|
2020
|
|
2019
|
||||
Net income (loss)
|
$
|
(285
|
)
|
|
$
|
1,428
|
|
Non-cash revenues and expenses
|
1,687
|
|
|
155
|
|
||
Net cash provided by operating activities
|
1,402
|
|
|
1,583
|
|
||
Sales, maturities and repayments of investments
|
9,377
|
|
|
7,776
|
|
||
Purchases of investments
|
(14,386
|
)
|
|
(12,425
|
)
|
||
Other investing activities
|
273
|
|
|
631
|
|
||
Net cash used in investing activities
|
(4,736
|
)
|
|
(4,018
|
)
|
||
Issuance of common stock
|
350
|
|
|
—
|
|
||
Net proceeds and repayments of debt
|
424
|
|
|
—
|
|
||
Deposits on investment-type policies and contracts
|
8,398
|
|
|
5,972
|
|
||
Withdrawals on investment-type policies and contracts
|
(3,871
|
)
|
|
(3,275
|
)
|
||
Net capital contributions and distributions to/from noncontrolling interests
|
194
|
|
|
—
|
|
||
Net change in cash collateral posted for derivative transactions and securities to repurchase
|
461
|
|
|
1,214
|
|
||
Issuance of preferred stock, net of expenses
|
583
|
|
|
839
|
|
||
Preferred stock dividends
|
(37
|
)
|
|
—
|
|
||
Repurchase of common stock
|
(328
|
)
|
|
(427
|
)
|
||
Other financing activities
|
60
|
|
|
(54
|
)
|
||
Net cash provided by financing activities
|
6,234
|
|
|
4,269
|
|
||
Effect of exchange rate changes on cash and cash equivalents
|
(21
|
)
|
|
—
|
|
||
Net increase in cash and cash equivalents1
|
$
|
2,879
|
|
|
$
|
1,834
|
|
|
|
|
|
||||
1 Includes cash and cash equivalents and restricted cash.
|
|
Payments Due by Period
|
||||||||||||||||||
(In millions)
|
Total
|
|
2020
|
|
2021-2022
|
|
2023-2024
|
|
2025 and thereafter
|
||||||||||
Interest sensitive contract liabilities
|
$
|
135,537
|
|
|
$
|
12,068
|
|
|
$
|
28,963
|
|
|
$
|
24,019
|
|
|
$
|
70,487
|
|
Future policy benefits
|
24,596
|
|
|
499
|
|
|
1,020
|
|
|
1,055
|
|
|
22,022
|
|
|||||
Other policy claims and benefits
|
124
|
|
|
124
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|||||
Dividends payable to policyholders
|
112
|
|
|
5
|
|
|
10
|
|
|
9
|
|
|
88
|
|
|||||
Long-term debt1
|
2,138
|
|
|
36
|
|
|
144
|
|
|
144
|
|
|
1,814
|
|
|||||
Securities to repurchase2
|
1,672
|
|
|
1,016
|
|
|
26
|
|
|
26
|
|
|
604
|
|
|||||
Total
|
$
|
164,179
|
|
|
$
|
13,748
|
|
|
$
|
30,163
|
|
|
$
|
25,253
|
|
|
$
|
95,015
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||
1 The obligations for long-term debt payments include contractual maturities of principal and estimated future interest payments based on the terms of the debt agreements, as described in Note 8 – Debt to the condensed consolidated financial statements.
|
|||||||||||||||||||
2 The obligations for securities to repurchase payments include contractual maturities of principal and estimated future interest payments based on the terms of the agreements.
|
•
|
fair value of investments;
|
•
|
credit loss allowances;
|
•
|
future policy benefit reserves;
|
•
|
derivatives valuation, including embedded derivatives;
|
•
|
deferred acquisition costs, deferred sales inducements and value of business acquired;
|
•
|
consolidation of VIEs; and
|
•
|
valuation allowances on deferred tax assets.
|
(In millions)
|
June 30, 2020
|
||
+10% assessments
|
$
|
(147
|
)
|
–10% assessments
|
164
|
|
|
+100 bps discount rate
|
143
|
|
|
–100 bps discount rate
|
(167
|
)
|
|
1% higher annual equity growth
|
(46
|
)
|
|
1% lower annual equity growth
|
44
|
|
(In millions)
|
June 30, 2020
|
||
+100 bps discount rate
|
$
|
(921
|
)
|
–100 bps discount rate
|
944
|
|
|
June 30, 2020
|
||||||||||||||
(In millions)
|
DAC
|
|
DSI
|
|
VOBA
|
|
Total
|
||||||||
+10% estimated future gross profits
|
$
|
127
|
|
|
$
|
30
|
|
|
$
|
54
|
|
|
$
|
211
|
|
–10% estimated future gross profits
|
(147
|
)
|
|
(35
|
)
|
|
(59
|
)
|
|
(241
|
)
|
||||
+100 bps discount rate
|
(151
|
)
|
|
(55
|
)
|
|
(39
|
)
|
|
(245
|
)
|
||||
–100 bps discount rate
|
161
|
|
|
58
|
|
|
37
|
|
|
256
|
|
•
|
Collateral market exposure: Abrupt changes to interest rate, equity, and/or currency markets, such as that experienced during the six months ended June 30, 2020, have and may further increase collateral requirements to counterparties and may create liquidity risk. As of June 30, 2020, we had collateral with a value of $3.8 billion pledged to third-parties.
|
•
|
Asset liability mismatch: There are liquidity risks associated with liabilities coming due prior to the matching asset cash flows. Structural maturities mismatch can occur in activities such as securities lending, where the liabilities are effectively overnight open transactions or otherwise short-term in nature and may be used to fund longer-term assets. We also face potential liquidity risks from unexpected cash demands due to severe mortality, policyholder withdrawals or lapse events. If such events were to occur, we may face unexpectedly high levels of claim payments to policyholders.
|
•
|
Funding availability: We have availed ourselves of the financial markets for funding (such as through the issuance of senior notes, securities lending and repurchase arrangements and other forms of borrowing in the capital markets). These sources might not be available during times of stress, or may only be available on unfavorable terms, which can result in a decrease in our profitability and a significant reduction in our financial flexibility.
|
•
|
Funding commitments: We are contractually obligated to fund capital calls of or otherwise make investments in certain entities. These obligations may become due at any time upon counterparty request. Substantial economic stress, such as that brought about by COVID-19, may accelerate the timing and increase the frequency of capital calls. To the extent that a significant amount of such obligations becomes due at any given time, it may give rise to liquidity risk. As of June 30, 2020, we had commitments to make investments in the amount of $5.1 billion, excluding commitments of third-party cedants to investees associated with assets backing obligations reinsured to us.
|
•
|
AmeriHome relies upon a subservicer to perform servicing operations on the loans for which it has mortgage servicing rights. If the subservicer were to experience financial distress or fail to provide adequate or timely services, AmeriHome may have difficulty finding another subservicer to perform servicing operations and may experience a significant decline in its financial performance. Such risks may be heightened in the current economic environment. In addition, mortgage servicers are obligated to advance certain amounts not paid by borrowers, including amounts arising from the forbearance of certain payments as mandated by the CARES Act. AmeriHome may require significant liquidity in order to make these advances and adequate sources of liquidity could be unavailable to AmeriHome to satisfy these obligations.
|
•
|
As a life insurer, Athora is subject to credit risk with respect to its investment portfolio and mortality risk with respect to its product liabilities, each of which may be exacerbated by unforeseen events, including but not limited to the spread of the COVID-19 pandemic. Further, Athora has significant European operations, which expose it to volatile economic conditions and risks relating to European member countries and withdrawals thereof, such as the UK. In addition, Athora is subject to multiple legal and regulatory regimes that may hinder or prevent it from achieving its business objectives.
|
•
|
Our investment in the PK AirFinance securitization of loans is subject to risks to the aircraft and airline industries generally, and specifically in connection with the decrease in air travel as a result of the spread of COVID-19, which has resulted in delinquent loan payments and has likely resulted in a reduction in aircraft valuations. While our investment is supported by significant equity subordination provided by borrowers, if borrowers default on their loans, PK AirFinance may pursue foreclosure and re-market the related aircraft or may restructure the defaulted loans. To the extent that the proceeds from any such restructuring or re-marketing were not sufficient to satisfy the corresponding principal balance in the securitization, significant losses on our investment could be recognized, beginning with the equity tranche of the securitization that we hold.
|
Period
|
(a) Total number of shares purchased
|
(b) Average price paid per share
|
(c) Total number of shares purchased as part of publicly announced programs1
|
(d) Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs1
|
||||||
April 1 – April 30, 2020
|
—
|
|
$
|
—
|
|
—
|
|
$
|
321,408,033
|
|
May 1 – May 31, 2020
|
—
|
|
$
|
—
|
|
—
|
|
$
|
321,408,033
|
|
June 1 – June 30, 2020
|
—
|
|
$
|
—
|
|
—
|
|
$
|
321,408,033
|
|
|
|
|
|
|
||||||
1 Prior to October 28, 2019, we had announced approvals by our board of directors for $967 million of aggregate repurchases under our share repurchase program. Amounts authorized for repurchase under those approvals had been fully used prior to March 31, 2020. On October 28, 2019, we announced that our board of directors had approved an additional $600 million authorization for the repurchase of our Class A common shares. The remaining authorization does not have a definitive expiration date, but may be terminated at any time at the sole discretion of our board of directors. See Note 10 – Equity to the condensed consolidated financial statements for more information.
|
Exhibit No.
|
Description
|
4.1
|
|
4.2
|
|
4.3
|
|
4.4
|
|
10.1
|
|
31.1
|
|
31.2
|
|
32.1
|
|
32.2
|
|
101.INS
|
XBRL Instance Document – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document.
|
101.SCH
|
XBRL Taxonomy Extension Schema.
|
101.CAL
|
XBRL Taxonomy Extension Calculation Linkbase.
|
101.LAB
|
XBRL Taxonomy Extension Label Linkbase.
|
101.PRE
|
XBRL Taxonomy Extension Presentation Linkbase.
|
101.DEF
|
XBRL Taxonomy Extension Definition Linkbase.
|
104
|
Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
|
|
ATHENE HOLDING LTD.
|
|
|
Date: August 5, 2020
|
/s/ Martin P. Klein
|
|
Martin P. Klein
|
|
Executive Vice President and Chief Financial Officer
|
|
(principal financial officer and duly authorized signatory)
|
TABLE OF CONTENTS
|
Page
|
|
ARTICLE I DEFINITIONS
|
|
|
1.01 Definitions
|
1
|
|
ARTICLE II REINSURANCE OF REINSURED LIABILITIES
|
|
|
2.01 Plan of Reinsurance
|
11
|
|
2.02 Follow the Fortunes
|
11
|
|
2.03 Discretionary Elements
|
11
|
|
2.04 Ultimate Authority
|
11
|
|
2.05 Credited Rates and Non-Guaranteed Elements
|
11
|
|
2.06 Reinstatement of Subject Annuities
|
11
|
|
2.07 Conservation Program
|
12
|
|
2.08 Restriction on Retrocession
|
12
|
|
2.09 Policy Changes
|
12
|
|
2.10 Programs of Internal Replacement
|
12
|
|
2.11 Misstatement of Fact
|
12
|
|
2.12 Conservation Program
|
12
|
|
2.13 IMR
|
12
|
|
2.14 Valuation of Liabilities
|
12
|
|
ARTICLE III REINSURANCE PREMIUM; CEDING COMMISSION
|
|
|
3.01 Initial Premium
|
12
|
|
3.02 Ceding Commission
|
12
|
|
3.03 Closing Date Net Settlement
|
13
|
|
3.04 Initial Funds Withheld Account Adjustment; Initial OC Account Funding
|
13
|
|
3.05 Post-Closing Adjustment
|
13
|
|
3.06 Ongoing Liabilities of Cedant
|
14
|
|
3.07 Ongoing Liabilities of Reinsurer
|
15
|
|
ARTICLE IV EXPENSE ALLOWANCE
|
|
|
4.01 Expense Allowance
|
15
|
|
4.02 Reinsurer’s Right to Withhold
|
15
|
|
ARTICLE V ACCOUNTING, SETTLEMENT AND REPORTING
|
|
|
5.01 Reinsurer Reporting
|
15
|
|
5.02 Cedant Reporting
|
15
|
|
5.03 Dispute Resolution
|
16
|
|
5.04 Quarterly Settlement Payments; Funds Withheld Account Adjustments; Delayed Payments
|
17
|
|
5.05 Offset and Recoupment Rights
|
17
|
|
5.06 No Set-off Against Other Agreements
|
18
|
|
ARTICLE VI HEDGING; FUNDS WITHHELD ACCOUNT
|
|
|
6.01 Hedging
|
18
|
|
6.02 Funds Withheld Account
|
18
|
|
ARTICLE VII ACCESS
|
|
|
7.01 Right of Inspection and Audit
|
20
|
|
7.02 Internal Controls
|
20
|
|
ARTICLE VIII ADMINISTRATION
|
|
|
8.01 Administration
|
20
|
|
8.02 Consultation and Escalation Procedures
|
20
|
|
8.03 Claims Settlement
|
21
|
|
8.04 Governmental Notices and Investigations
|
22
|
|
8.05 Litigation
|
22
|
|
ARTICLE IX TRUST ACCOUNT; LETTER OF CREDIT
|
|
|
9.01 Establishment of Trust Account
|
22
|
|
9.02 Cedant Withdrawals
|
22
|
|
9.03 OC Account Settlements
|
22
|
|
9.04 OC Account Substitutions
|
23
|
|
9.05 Letters of Credit
|
23
|
|
9.06 Letter of Credit Reductions
|
23
|
|
9.07 Excess Draws
|
23
|
|
9.08 Additional Letter of Credit
|
23
|
|
ARTICLE X REINSURANCE CREDIT; TRIGGERING EVENTS
|
|
|
10.01 Credit for Reinsurance
|
24
|
|
10.02 Triggering Event
|
24
|
|
10.03 Notice of Triggering Event; Required Balance Top Up
|
24
|
|
10.04 Cure of Triggering Event
|
25
|
|
10.05 ECR Ratio; RBC Ratio
|
25
|
|
10.06 Comparable Triggering Events
|
25
|
|
ARTICLE XI ERRORS AND OMISSIONS
|
|
|
11.01 Oversights
|
26
|
|
ARTICLE XII INSOLVENCY
|
|
|
12.01 Insolvency of Cedant
|
26
|
|
12.02 Insolvency of Reinsurer
|
26
|
|
ARTICLE XIII DURATION AND TERMINATION
|
|
|
13.01 Duration
|
26
|
|
13.02 Survival
|
26
|
|
13.03 Recapture
|
26
|
|
13.04 Recapture Event
|
27
|
|
13.05 Notice of Recapture Event
|
27
|
|
13.06 Reinsurer Termination
|
27
|
|
13.07 Termination Fee
|
27
|
|
ARTICLE XIV TERMINAL ACCOUNTING AND SETTLEMENT
|
|
|
14.01 Terminal Accounting
|
28
|
|
14.02 Proposed Recapture Payment Statement
|
28
|
|
14.03 Changes to Proposed Recapture Payment Statement
|
28
|
|
ARTICLE XV TAX
|
|
|
15.01 Excise and Withholding Tax
|
30
|
|
15.02 Base Erosion and Anti-Abuse Tax
|
31
|
|
15.03 Funds Withheld Investments
|
31
|
|
ARTICLE XVI REPRESENTATIONS, WARRANTIES AND COVENANTS
|
|
|
16.01 Representations and Warranties of the Cedant
|
32
|
|
16.02 Covenants of the Cedant
|
35
|
|
16.03 Representations and Warranties of the Reinsurer
|
36
|
|
16.04 Covenants of the Reinsurer
|
37
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ARTICLE XVII SURVIVAL; INDEMNIFICATION; CERTAIN REMEDIES
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17.01 Survival
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37
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17.02 Indemnification by the Cedant
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37
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17.03 Indemnification by the Reinsurer
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38
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17.04 Claims Procedure
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38
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17.05 Payment
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39
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17.06 Treatment of Indemnification Payments
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39
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17.07 Provisions
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39
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17.08 Exclusive Remedies
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39
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17.09 Damages
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39
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17.10 Right to Recover
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39
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17.11 Double Claims
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40
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ARTICLE XVIII GENERAL PROVISIONS
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18.01 Expenses
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40
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18.02 Notices
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40
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18.03 Severability
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41
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18.04 Entire Agreement
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41
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18.05 Assignment
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41
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18.06 No Third-Party Beneficiaries
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41
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18.07 Amendment
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41
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18.08 Submission to Jurisdiction
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41
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18.09 Governing Law
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41
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18.10 Waiver of Jury Trial
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42
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18.11 Specific Performance
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42
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18.12 Waivers
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42
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18.13 Rules of Construction
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42
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18.14 Counterparts
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42
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18.15 Duty of Utmost Good Faith
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42
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18.16 Treatment of Confidential Information
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42
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18.17 Service of Process
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43
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Exhibit A
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Trust Agreement
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Exhibit B
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Security and Control Agreement
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Exhibit C-1
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Funds Withheld Investment Guidelines (Pre-Triggering Event)
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Exhibit C-2
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Funds Withheld Investment Guidelines (Post-Triggering Event)
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Exhibit D-1
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OC Account Investment Guidelines (Pre-Triggering Event)
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Exhibit D-2
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OC Account Investment Guidelines (Post-Triggering Event)
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Exhibit E
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Investment Management Agreement
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Exhibit F
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Form of Hedge Collateral Assignment Agreement
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Schedule 1.01(a)
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Cedant Quarterly Dispute Representative
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Schedule 1.01(b)
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Reinsurer Quarterly Dispute Representative
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Schedule 1.01(c)
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Cedant Representative of Senior Management
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Schedule 1.01(d)
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Reinsurer Representative of Senior Management
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Schedule 1.01(e)
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Subject Annuities
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Schedule 1.01(f)
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Fair Market Value
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Schedule 1.01(g)
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Reference Hedge Portfolio
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Schedule 2.03
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Discretionary Elements
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Schedule 3.04(a)
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Initial Funds Withheld Account Statement
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Schedule 4.01
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Expense Allowance Calculation Formula
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Schedule 5.01(a)
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Reinsurer Quarterly Asset Report
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Schedule 5.02(a)(ii)
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Seriatim Information
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Schedule 5.02(b)
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Cedant Quarterly Report (including the Settlement Statement (Schedule 5.02(b)(i)), the Required Balance Statement (Schedule 5.02(b)(ii)), and the Funds Withheld Account Asset Report (Schedule 5.02(b)(iii)))
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Schedule 5.02(e)
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Hedge Information Reporting
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Schedule 8.02(a)(i)
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First Level Consultation and Escalation Procedure
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Schedule 8.02(a)(ii)
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Second Level Consultation and Escalation Procedure
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Schedule 10.01
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Credit for Reinsurance
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Schedule 14.01(a)
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Pro Forma Recapture Report
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Schedule 16.01(f)
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Analytical Information
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Schedule 16.01(g)(i)
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Factual Information
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Schedule 16.02(f)
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Transferred Notes
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Schedule 16.02(g)
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Boxed Assets
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Schedule 16.02(h)
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Additional Documentation
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Schedule 17.02(c)
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Specified Reinsurer Persons
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1.
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I have reviewed this Quarterly Report on Form 10-Q of Athene Holding Ltd.;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
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a)
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Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
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b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c)
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
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a)
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All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: August 5, 2020
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/s/ James R. Belardi
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James R. Belardi
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Chairman, Chief Executive Officer and Chief Investment Officer
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(principal executive officer)
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1.
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I have reviewed this Quarterly Report on Form 10-Q of Athene Holding Ltd.;
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2.
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Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;
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3.
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Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;
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4.
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The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
a)
|
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
b)
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Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
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c)
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Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and
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d)
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Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
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5.
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The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):
|
a)
|
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and
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b)
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Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
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Date: August 5, 2020
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/s/ Martin P. Klein
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Martin P. Klein
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Executive Vice President and Chief Financial Officer
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(principal financial officer)
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|
|
|
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Date: August 5, 2020
|
/s/ James R. Belardi
|
|
James R. Belardi
|
|
Chairman, Chief Executive Officer and Chief Investment Officer
|
|
(principal executive officer)
|
|
|
|
|
Date: August 5, 2020
|
/s/ Martin P. Klein
|
|
Martin P. Klein
|
|
Executive Vice President and Chief Financial Officer
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|
(principal financial officer)
|