v3.24.0.1
Fair Value
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Fair Value
8. Fair Value

Fair Value Measurements of Financial Instruments

The following summarize the Company’s financial assets and liabilities recorded at fair value hierarchy level:

December 31, 2023
(In millions)Level 1Level 2Level 3NAVTotal
Assets
Asset Management
Cash and cash equivalents$2,748 $— $— $— $2,748 
Restricted cash and cash equivalents1
2 — — — 2 
Cash and cash equivalents of VIEs62 — — — 62 
Investments, at fair value202 38 1,188 
2
61 1,489 
Investments of VIEs— 16 1,492 127 1,635 
Due from related parties3
— — 37 — 37 
Derivative assets4
— — 13 — 13 
Total Assets – Asset Management
3,014 54 2,730 188 5,986 
(Continued)
December 31, 2023
(In millions)Level 1Level 2Level 3NAVTotal
Retirement Services
AFS Securities
U.S. government and agencies5,392 7 — — 5,399 
U.S. state, municipal and political subdivisions— 1,046 — — 1,046 
Foreign governments895 964 40 — 1,899 
Corporate10 75,711 2,525 — 78,246 
CLO— 20,207 — — 20,207 
ABS— 6,440 6,943 — 13,383 
CMBS— 6,570 21 — 6,591 
RMBS— 7,302 265 — 7,567 
Total AFS securities6,297 118,247 9,794 — 134,338 
Trading securities24 1,654 28 — 1,706 
Equity securities210 699 26 — 935 
Mortgage loans— — 44,115 — 44,115 
Funds withheld at interest – embedded derivative— — (3,379)— (3,379)
Derivative assets108 5,190 — — 5,298 
Short-term investments— 236 105 — 341 
Other investments— 313 630 — 943 
Cash and cash equivalents13,020 — — — 13,020 
Restricted cash and cash equivalents1,761 — — — 1,761 
Investments in related parties
AFS securities
Corporate— 181 1,171 — 1,352 
CLO— 3,762 506 — 4,268 
ABS— 563 7,826 — 8,389 
Total AFS securities – related parties— 4,506 9,503 — 14,009 
Trading securities— — 838 — 838 
Equity securities63 — 255 — 318 
Mortgage loans— — 1,281 — 1,281 
Investment funds— — 1,082 — 1,082 
Funds withheld at interest – embedded derivative— — (721)— (721)
Other investments— — 343 — 343 
Reinsurance recoverable— — 1,367 — 1,367 
Other assets7
— — 378 — 378 
Assets of consolidated VIEs
Trading securities— 284 1,852 — 2,136 
Mortgage loans— — 2,173 — 2,173 
Investment funds— — 977 14,843 15,820 
Other investments— 2 101 — 103 
Cash and cash equivalents98 — — — 98 
Total Assets – Retirement Services
21,581 131,131 70,748 14,843 238,303 
Total Assets$24,595 $131,185 $73,478 $15,031 $244,289 
Liabilities
Asset Management
Other liabilities of VIEs, at fair value$— $3 $— $— $3 
Contingent consideration obligations5
— — 93 — 93 
Derivative liabilities4
— 42 — — 42 
Total Liabilities – Asset Management
— 45 93 — 138 
Retirement Services
Interest sensitive contract liabilities
Embedded derivative— — 9,059 — 9,059 
Universal life benefits— — 834 — 834 
(Continued)
December 31, 2023
(In millions)Level 1Level 2Level 3NAVTotal
Future policy benefits
AmerUs Closed Block— — 1,178 — 1,178 
ILICO Closed Block and life benefits— — 522 — 522 
Market risk benefits7
— — 3,751 — 3,751 
Derivative liabilities17 1,977 1 — 1,995 
Other liabilities— (64)330 — 266 
Total Liabilities – Retirement Services
17 1,913 15,675 — 17,605 
Total Liabilities$17 $1,958 $15,768 $— $17,743 
(Concluded)
December 31, 2022
(In millions)Level 1Level 2Level 3NAVTotal
Assets
Asset Management
Cash and cash equivalents$1,201 $— $— $— $1,201 
Restricted cash and cash equivalents1
1,048 — — — 1,048 
Cash and cash equivalents of VIEs110 — — — 110 
U.S. Treasury securities709 — — — 709 
Investments, at fair value190 39 1,083 
2
8 1,320 
Investments of VIEs— 1,537 727 105 2,369 
Due from related parties3
— — 43 — 43 
Derivative assets4
— — 15 — 15 
Total Assets – Asset Management
3,258 1,576 1,868 113 6,815 
Retirement Services
AFS Securities
U.S. government and agencies2,570 7 — — 2,577 
U.S. state, municipal and political subdivisions— 927 — — 927 
Foreign governments— 906 1 — 907 
Corporate— 59,236 1,665 — 60,901 
CLO— 16,493 — — 16,493 
ABS— 5,660 4,867 — 10,527 
CMBS— 4,158 — — 4,158 
RMBS— 5,682 232 — 5,914 
Total AFS securities2,570 93,069 6,765 — 102,404 
Trading securities23 1,519 53 — 1,595 
Equity securities150 845 92 — 1,087 
Mortgage loans— — 27,454 — 27,454 
Funds withheld at interest – embedded derivative— — (4,847)— (4,847)
Derivative assets42 3,267 — — 3,309 
Short-term investments29 455 36 — 520 
Other investments— 170 441 — 611 
Cash and cash equivalents7,779 — — — 7,779 
Restricted cash and cash equivalents628 — — — 628 
Investments in related parties
AFS securities
Corporate— 170 812 — 982 
CLO— 2,776 303 — 3,079 
ABS— 218 5,542 — 5,760 
Total AFS securities – related parties— 3,164 6,657 — 9,821 
Trading securities— — 878 — 878 
(Continued)
December 31, 2022
(In millions)Level 1Level 2Level 3NAVTotal
Equity securities— — 279 — 279 
Mortgage loans— — 1,302 — 1,302 
Investment funds— — 959 — 959 
Funds withheld at interest – embedded derivative— — (1,425)— (1,425)
Other investments— — 303 — 303 
Reinsurance recoverable— — 1,388 — 1,388 
Other assets7
— — 481— 481 
Assets of consolidated VIEs
Trading securities5 436 622 — 1,063 
Mortgage loans— — 2,055 — 2,055 
Investment funds— — 2,471 10,009 12,480 
Other investments— 2 99 — 101 
Cash and cash equivalents362 — — — 362 
Total Assets – Retirement Services
11,588 102,927 46,063 10,009 170,587 
Total Assets$14,846 $104,503 $47,931 $10,122 $177,402 
Liabilities
Asset Management
Contingent consideration obligations5
$— $— $86 $— $86 
Derivative liabilities4
— 57 — — 57 
Other liabilities6
2 — — — 2 
Total Liabilities – Asset Management
2 57 86 — 145 
Retirement Services
Interest sensitive contract liabilities
Embedded derivative— — 5,841 — 5,841 
Universal life benefits— — 829 — 829 
Future policy benefits
AmerUs Closed Block— — 1,164 — 1,164 
ILICO Closed Block and life benefits— — 548 — 548 
Market risk benefits7
— — 2,970 — 2,970 
Derivative liabilities38 1,607 1 — 1,646 
Other liabilities— (77)142 — 65 
Total Liabilities – Retirement Services
38 1,530 11,495 — 13,063 
Total Liabilities$40 $1,587 $11,581 $— $13,208 
(Concluded)
1 Restricted cash and cash equivalents as of December 31, 2023 and 2022 includes $0 million and $1,046 million, respectively, of restricted cash and cash equivalents held by consolidated SPACs.
2 Investments as of December 31, 2023 and 2022 excludes $218 million and $198 million, respectively, of performance allocations classified as Level 3 related to certain investments for which the Company elected the fair value option. The Company’s policy is to account for performance allocations as investments.
3 Due from related parties represents a receivable from a fund.
4 Derivative assets and derivative liabilities are presented as a component of Other assets and Other liabilities, respectively, in the consolidated statements of financial condition.
5 As of December 31, 2023 and 2022, Other liabilities includes $26 million and $31 million, respectively, of contingent obligations related to the Griffin Capital acquisition, classified as Level 3 and profit sharing payable includes $67 million and $55 million, respectively, related to contingent obligations classified as Level 3.
6 Other liabilities as of December 31, 2022 includes the publicly traded warrants of APSG II.
7 Other assets consist of market risk benefits assets. See note 12 for additional information on market risk benefits assets and liabilities valuation methodology and additional fair value disclosures.

Changes in fair value of contingent consideration obligations in connection with the acquisitions of Stone Tower and Griffin Capital are recorded in compensation and benefits expense and other income (loss), net, respectively, in the consolidated statements of operations. Refer to note 20 for further details.
Level 3 Financial Instruments

The following tables summarize the valuation techniques and quantitative inputs and assumptions used for financial assets and liabilities categorized as Level 3:

December 31, 2023
Fair Value
(In millions)
Valuation TechniqueUnobservable InputsRangesWeighted Average
Financial Assets
Asset Management
Investments$857 Discounted cash flowDiscount rate
10.5% – 52.8%
17.2%
1
112Direct capitalizationCapitalization rate6.9%6.9%
219Adjusted transaction valueN/AN/AN/A
Due from related parties37Discounted cash flowDiscount rate14.0%14.0%
Derivative assets13Option modelVolatility rate62.5%62.5%
Investments of consolidated VIEs
Bank loans605 Discounted cash flowDiscount rate
7.7% – 11.0%
9.4%
1
64 Adjusted transaction valueN/AN/AN/A
Equity securities494Dividend discount modelDiscount rate13.5%13.5%
131Adjusted transaction valueN/AN/AN/A
Bonds35Discounted cash flowDiscount rate
6.1% -13.0%
10.7%
1
163Adjusted transaction valueN/AN/AN/A
Retirement Services
AFS, trading and equity securities14,247 Discounted cash flowDiscount rate
2.3% – 18.1%
7.0%
1
Mortgage loans2
47,569 Discounted cash flowDiscount rate
2.5% – 20.6%
6.8%
1
Investment funds2
1,574 Discounted cash flowDiscount rate
6.3% – 13.5%
11.2%
1
483 Net tangible asset valuesImplied multiple
1.14x
1.14x
Financial Liabilities
Asset Management
Contingent consideration obligations93 Discounted cash flowDiscount rate
20.0% – 25.0%
23.3%
1
Option modelVolatility rate
31.4% – 33.4%
32.4%
1
Retirement Services
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives9,059 Discounted cash flowNonperformance risk
0.4% – 1.4%
0.9%
3
Option budget
0.5% – 6.0%
2.3%
4
Surrender rate
6.0% – 13.4%
8.7%
4
1 Unobservable inputs were weighted based on the fair value of the investments included in the range.
2 Includes those of consolidated VIEs.
3 The nonperformance risk weighted average is based on the projected cash flows attributable to the embedded derivative.
4 The option budget and surrender rate weighted averages are calculated based on projected account values.
 December 31, 2022
Fair Value
(In millions)
Valuation TechniquesUnobservable InputsRangesWeighted Average
Financial Assets
Asset Management
Investments$526 Embedded valueN/AN/AN/A
128 Discounted cash flowDiscount rate
8.9% – 52.8%
28.7%
1
429 Adjusted transaction valueN/AN/AN/A
Due from related parties43 Discounted cash flowDiscount rate15.0%15.0%
Derivative assets15 Option modelVolatility rate60.0%60.0%
Investments of consolidated VIEs
Equity securities458 Dividend discount modelDiscount rate12.1%12.1%
Bank loans215 Discounted cash flowDiscount rate
6.4% – 32.7%
8.0%
1
29 Adjusted transaction valueN/AN/AN/A
Bonds25 Discounted cash flowDiscount rate7.9%7.9%
Retirement Services
AFS, trading and equity securities10,671 Discounted cash flowDiscount rate
2.2% – 18.8%
6.8%
1
Mortgage loans2
30,811 Discounted cash flowDiscount rate
1.5% – 22.1%
6.3%
1
Investment funds2
506 Discounted cash flowDiscount rate6.4%6.4%
873 Discounted cash flow /
Guideline public equity		Discount rate /
P/E
16.5% / 9x
16.5% / 9x
529 Net tangible asset valuesImplied multiple
1.26x
1.26x
563 Reported net asset valueReported net asset valueN/AN/A
959 Embedded valueN/AN/AN/A
Financial Liabilities
Contingent consideration obligations86 Discounted cash flowDiscount rate
20.0% – 25.0%
22.7%
1
Option modelVolatility rate
29.8% – 39.6%
34.7%
1
Retirement Services
Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives5,841 Discounted cash flowNonperformance risk
0.1% – 1.7%
1.0%
3
Option budget
0.5% – 5.3%
1.9%
4
Surrender rate
5.1% – 11.5%
8.1%
4
1 Unobservable inputs were weighted based on the fair value of the investments included in the range.
2 Includes those of consolidated VIEs.
3 The nonperformance risk weighted average is based on the projected cash flows attributable to the embedded derivative.
4 The option budget and surrender rate weighted averages are calculated based on projected account values.
The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis:
Year ended December 31, 2023
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets – Asset Management
Investments and derivative assets$1,098 $63 $— $40 $— $1,201 $68 $— 
Investments of Consolidated VIEs727 69 — 698 (2)1,492 13 — 
Total Level 3 assets – Asset Management
$1,825 $132 $— $738 $(2)$2,693 $81 $— 
Assets – Retirement Services
AFS securities
Foreign governments$1 $— $(2)$41 $— $40 $— $(2)
Corporate1,665 (21)45 1,298 (462)2,525 — 21 
ABS4,867 (9)61 3,241 (1,217)6,943 — 45 
CMBS— — 1 — 20 21 — 3 
RMBS232 8 4 256 (235)265 — 2 
Trading securities53 2 — (16)(11)28 — — 
Equity securities92 (8)— (45)(13)26 — — 
Mortgage loans27,454 183 — 16,478 — 44,115 184 — 
Funds withheld at interest – embedded derivative(4,847)1,468 — — — (3,379)— — 
Short-term investments36 — (3)69 3 105 — — 
Other investments441 — — 189 — 630 (3)— 
Investments in related parties
AFS securities
Corporate812 3 (32)173 215 1,171 — (32)
CLO303 — 18 185 — 506 — 18 
ABS5,542 19 103 1,878 284 7,826 6 96 
Trading securities878 12 — (52)— 838 8 — 
Equity securities279 8 — (32)— 255 7 — 
Mortgage loans1,302 9 — (30)— 1,281 8 — 
Investment funds959 91 — 32 — 1,082 91 — 
Funds withheld at interest – embedded derivative(1,425)704 — — — (721)— — 
Other investments303 (2)— 42 — 343 (3)— 
Reinsurance recoverable1,388 (21)— — — 1,367 — — 
(Continued)
Year ended December 31, 2023
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets of consolidated VIEs
Trading securities622 69 — (116)1,277 1,852 69 — 
Mortgage loans2,055 (9)— 127 — 2,173 (9)— 
Investment funds2,471 (30)— 73 (1,537)977 (31)— 
Other investments99 9 — (7)— 101 9 — 
Total Level 3 assets – Retirement Services
$45,582 $2,485 $195 $23,784 $(1,676)$70,370 $336 $151 
Liabilities – Asset Management
Contingent consideration obligations$86 $11 $— $(4)$— $93 $— $— 
Total Level 3 liabilities – Asset Management
$86 $11 $— $(4)$— $93 $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative$(5,841)$(1,443)$— $(1,775)$— $(9,059)$— $— 
Universal life benefits(829)(5)— — — (834)— — 
Future policy benefits
AmerUs Closed Block(1,164)(14)— — — (1,178)— — 
ILICO Closed Block and life benefits(548)26 — — — (522)— — 
Derivative liabilities(1)— — — — (1)— — 
Other liabilities(142)(113)— (75)— (330)— — 
Total Level 3 liabilities – Retirement Services
$(8,525)$(1,549)$— $(1,850)$— $(11,924)$— $— 
(Concluded)
1 Related to instruments held at end of period.

Year ended December 31, 2022
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Assets – Asset Management
Investments and derivative assets$946 $20 $— $109 $23 $1,098 $56 $— 
Investments of Consolidated VIEs13,188 252 — (13)(12,700)727 17 — 
Total Level 3 assets – Asset Management
$14,134 $272 $— $96 $(12,677)$1,825 $73 $— 
Assets – Retirement Services
AFS securities
Foreign governments$2 $(1)$— $— $— $1 $— $— 
Corporate1,339 (16)(123)364 101 1,665 — (119)
CLO14 (2)— (9)(3)— — — 
ABS3,619 1 (183)788 642 4,867 — (216)
CMBS43 — (17)— (26)— — — 
RMBS— — 3 295 (66)232 — 4 
Trading securities69 (9)— (10)3 53 (5)— 
Equity securities429 26 — (4)(359)92 22 — 
Mortgage loans21,154 (2,761)— 9,061 — 27,454 (2,747)— 
(Continued)
Year ended December 31, 2022
Total realized and unrealized gains (losses)
(In millions)Beginning balanceIncluded in incomeIncluded in OCINet purchases, issuances, sales and settlementsNet transfers in (out)Ending balance
Total gains (losses) included in earnings1
Total gains (losses) included in OCI1
Investment funds18 1 — — (19)— — — 
Funds withheld at interest – embedded derivative— (4,847)— — — (4,847)— — 
Short-term investments29 — — 7 — 36 — — 
Other investments— (91)— 36 496 441 (91)— 
Investments in related parties
AFS securities
Corporate670 (3)(16)202 (41)812 — (16)
CLO202 — (29)130 — 303 — (29)
ABS6,445 16 (256)(715)52 5,542 (11)(259)
Trading securities1,771 3 — (1,084)188 878 1 — 
Equity securities284 (2)— (15)12 279 — — 
Mortgage loans1,369 (225)— 158 — 1,302 (225)— 
Investment funds2,855 78 — 57 (2,031)959 119 — 
Funds withheld at interest – embedded derivative— (1,425)— — — (1,425)— — 
Short-term investments— — — 53 (53)— — — 
Other investments— 14 — 15 274 303 14 — 
Reinsurance recoverable1,991 (603)— — — 1,388 — — 
Assets of consolidated VIEs
Trading securities— 49 — 530 43 622 11 — 
Mortgage loans2,152 (227)— (31)161 2,055 (226)— 
Investment funds1,297 72 — 1,862 (760)2,471 58 — 
Other investments — (17)— 31 85 99 (24)— 
Total Level 3 assets – Retirement Services
$45,752 $(9,969)$(621)$11,721 $(1,301)$45,582 $(3,104)$(635)
Liabilities – Asset Management
Contingent consideration obligations$126 $(63)$— $23 $— $86 $— $— 
Debt and other liabilities of consolidated VIEs7,528 (28)— (442)(7,058)— — — 
Total Level 3 liabilities – Asset Management
$7,654 $(91)$— $(419)$(7,058)$86 $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities
Embedded derivative$(7,408)$2,768 $— $(1,201)$— $(5,841)$— $— 
Universal life benefits(1,235)406 — — — (829)— — 
Future policy benefits
AmerUs Closed Block(1,520)356 — — — (1,164)— — 
ILICO Closed Block and life benefits(742)194 — — — (548)— — 
Derivative liabilities(3)2 — — — (1)— — 
Other liabilities— (37)— (105)— (142)— — 
Total Level 3 liabilities – Retirement Services
$(10,908)$3,689 $— $(1,306)$— $(8,525)$— $— 
(Concluded)
1 Related to instruments held at end of period.
The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:

Year ended December 31, 2023
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlementsTransfers InTransfers OutNet Transfers In (Out)
Assets – Asset Management
Investments and derivative assets$45 $— $(5)$— $40 $— $— $— 
Investments of consolidated VIEs5,019 — (4,321)— 698 — (2)(2)
Total Level 3 assets – Asset Management
$5,064 $— $(4,326)$— $738 $— $(2)$(2)
Assets – Retirement Services
AFS securities
Foreign governments$53 $— $— $(12)$41 $— $— $— 
Corporate1,704 — (177)(229)1,298 29 (491)(462)
ABS4,221 — (33)(947)3,241 828 (2,045)(1,217)
CMBS— — — — — 20 — 20 
RMBS262 — — (6)256 5 (240)(235)
Trading securities8 — — (24)(16)5 (16)(11)
Equity securities— — (45)— (45)— (13)(13)
Mortgage loans21,018 — (529)(4,011)16,478 — — — 
Short-term investments100 — — (31)69 26 (23)3 
Other investments620 — — (431)189 — — — 
Investments in related parties
AFS securities
Corporate184 — — (11)173 215 — 215 
CLO185 — — — 185 — — — 
ABS3,751 — (162)(1,711)1,878 284 — 284 
Trading securities66 — (38)(80)(52)— — — 
Equity securities— — — (32)(32)— — — 
Mortgage loans— — — (30)(30)— — — 
Investment funds32 — — — 32 — — — 
Other investments42 — — — 42 — — — 
Assets of consolidated VIEs
Trading securities40 — (156)— (116)1,308 (31)1,277 
Mortgage loans203 — — (76)127 — — — 
Investment funds113 — (40)— 73 475 (2,012)(1,537)
Other investments14 — (21)— (7)— — — 
Total Level 3 assets – Retirement Services
$32,616 $— $(1,201)$(7,631)$23,784 $3,195 $(4,871)$(1,676)
Liabilities - Asset Management
Contingent consideration obligations$— $— $— $(4)$(4)$— $— $— 
Total Level 3 liabilities – Asset Management
$— $— $— $(4)$(4)$— $— $— 
Liabilities – Retirement Services
Interest sensitive contract liabilities
Interest sensitive contract liabilities - Embedded derivative$— $(2,431)$— $656 $(1,775)$— $— $— 
Other liabilities— — — (75)(75)— — — 
Total Level 3 liabilities – Retirement Services
$— $(2,431)$— $581 $(1,850)$— $— $— 
Year ended December 31, 2022
(In millions)PurchasesIssuancesSalesSettlementsNet purchases, issuances, sales and settlements
Transfers In1
Transfers Out1
Net Transfers In (Out)
Assets – Asset Management
Investments and derivative assets$230 $— $(121)$— $109 $23 $— $23 
Investments of consolidated VIEs3,349 — (3,362)— (13)2,072 (14,772)(12,700)
Total Level 3 assets – Asset Management
$3,579 $— $(3,483)$— $96 $2,095 $(14,772)$(12,677)
Assets – Retirement Services
AFS securities
Corporate$685 $— $(177)$(144)$364 $393 $(292)$101 
CLO3 — — (12)(9)— (3)(3)
ABS3,306 — (1,791)(727)788 1,089 (447)642 
CMBS— — — — — — (26)(26)
RMBS296 — — (1)295 — (66)(66)
Trading securities8 — (9)(9)(10)56 (53)3 
Equity securities— — (4)— (4)41 (400)(359)
Mortgage loans12,367 — (198)(3,108)9,061 — — — 
Investment funds— — — — — — (19)(19)
Short-term investments59 — — (52)7 — — — 
Other investments48 — (12)— 36 496 — 496 
Investments in related parties
AFS securities
Corporate483 — (263)(18)202 53 (94)(41)
CLO130 — — — 130 — — — 
ABS2,889 — (94)(3,510)(715)1,916 (1,864)52 
Trading securities43 — (1,081)(46)(1,084)1,448 (1,260)188 
Equity securities195 — (119)(91)(15)125 (113)12 
Mortgage loans182 — — (24)158 — — — 
Investment funds91 — (34)— 57 — (2,031)(2,031)
Short-term investments53 — — — 53 — (53)(53)
Other investments31 — (16)— 15 274 — 274 
Assets of consolidated VIEs
Trading Securities531 — (1)— 530 430 (387)43 
Equity securities— — — — — 15 (15)— 
Mortgage loans176 — — (207)(31)384 (223)161 
Investment funds2,014 — (152)— 1,862 11,550 (12,310)(760)
Other investments33 — (2)— 31 2,018 (1,933)85 
Total Level 3 assets – Retirement Services
$23,623 $— $(3,953)$(7,949)$11,721 $20,288 $(21,589)$(1,301)
Liabilities - Asset Management
Contingent consideration obligations$— $36 $— $(13)$23 $— $— $— 
Debt and other liabilities of consolidated VIEs— — — (442)(442)1,568 (8,626)(7,058)
Total Level 3 liabilities – Asset Management
$— $36 $— $(455)$(419)$1,568 $(8,626)$(7,058)
Liabilities – Retirement Services
Interest sensitive contract liabilities - Embedded derivative$— $(1,701)$— $500 $(1,201)$— $— $— 
Other liabilities— — — (105)(105)— — — 
Total Level 3 liabilities – Retirement Services
$— $(1,701)$— $395 $(1,306)$— $— $— 
1 Transfers in and out are primarily assets of VIEs with changes in consolidation at Athene in 2022.
Fair Value Option – Retirement Services

The following represents the gains (losses) recorded for instruments for which Athene has elected the fair value option, including related parties and VIEs:
Years ended December 31,
(In millions)20232022
Trading securities$66 $(424)
Mortgage loans183 (3,213)
Investment funds77 114 
Future policy benefits(14)356 
Other liabilities(113)(37)
Total gains (losses)$199 $(3,204)

Gains and losses on trading securities, mortgage loans, and other liabilities are recorded in investment related gains (losses) on the consolidated statements of operations. Gains and losses related to investment funds are recorded in net investment income on the consolidated statements of operations. Gains and losses related to investments of consolidated VIEs are recorded in revenues of consolidated VIEs on the consolidated statements of operations. The change in fair value of future policy benefits is recorded to future policy and other policy benefits on the consolidated statements of operations.

The following summarizes information for fair value option mortgage loans, including related parties and VIEs:

(In millions)December 31, 2023December 31, 2022
Unpaid principal balance$50,752 $33,653 
Mark to fair value(3,183)(2,842)
Fair value$47,569 $30,811 

The following represents the commercial mortgage loan portfolio 90 days or more past due and/or in non-accrual status:

(In millions)December 31, 2023December 31, 2022
Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status$221 $74 
Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status(74)(55)
Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status$147 $19 
Fair value of commercial mortgage loans 90 days or more past due$64 $2 
Fair value of commercial mortgage loans in non-accrual status147 19 

The following represents the residential loan portfolio 90 days or more past due and/or in non-accrual status:

(In millions)December 31, 2023December 31, 2022
Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status$528 $522 
Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status(49)(50)
Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status$479 $472 
Fair value of residential mortgage loans 90 days or more past due1
$479 $472 
Fair value of residential mortgage loans in non-accrual status355 360 
1 As of December 31, 2023 and 2022, includes $124 million and $221 million, respectively, of residential mortgage loans that are guaranteed by U.S. government-sponsored agencies.
The following is the estimated amount of gains (losses) included in earnings during the period attributable to changes in instrument-specific credit risk on our mortgage loan portfolio:

Years ended December 31,
(In millions)20232022
Mortgage loans$(53)$(41)

The portion of gains and losses attributable to changes in instrument-specific credit risk is estimated by identifying commercial loans with loan-to-value ratios meeting credit quality criteria, and residential mortgage loans with delinquency status meeting credit quality criteria.

Financial Instruments Without Readily Determinable Fair Values

Athene has elected the measurement alternative for certain equity securities that do not have a readily determinable fair value. The equity securities are held at cost less any impairment. The carrying amount of the equity securities was $358 million, with an impairment of $42 million as of December 31, 2023. As a result of slower than expected growth of the investee, Athene recorded an impairment of $42 million in the fourth quarter of 2023. As of December 31, 2022, the carrying amount of the equity securities was $400 million, with no cumulative recorded impairment.

Fair Value of Financial Instruments Not Carried at Fair Value – Retirement Services

The following represents Athene’s financial instruments not carried at fair value on the consolidated statements of financial condition:

December 31, 2023
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Investment funds$109 $109 $109 $— $— $— 
Policy loans334 334 — — 334 — 
Funds withheld at interest27,738 27,738 — — — 27,738 
Other investments46 52 — — — 52 
Investments in related parties
Investment funds550 550 550 — — — 
Funds withheld at interest7,195 7,195 — — — 7,195 
Short-term investments947 947 — — 947 — 
Total financial assets not carried at fair value$36,919 $36,925 $659 $— $1,281 $34,985 
Financial liabilities
Interest sensitive contract liabilities$154,095 $146,038 $— $— $— $146,038 
Debt4,209 3,660 — — 3,660 — 
Securities to repurchase3,853 3,853 — — 3,853 — 
Funds withheld liability350 350 — — 350 — 
Total financial liabilities not carried at fair value$162,507 $153,901 $— $— $7,863 $146,038 
December 31, 2022
(In millions)Carrying ValueFair ValueNAVLevel 1Level 2Level 3
Financial assets
Investment funds$79 $79 $79 $— $— $— 
Policy loans347 347 — — 347 — 
Funds withheld at interest37,727 37,727 — — — 37,727 
Short-term investments1,640 1,640 — — 1,614 26 
Other investments162 162 — — — 162 
Investments in related parties
Investment funds610 610 610 — — — 
Funds withheld at interest11,233 11,233 — — — 11,233 
Total financial assets not carried at fair value$51,798 $51,798 $689 $— $1,961 $49,148 
Financial liabilities
Interest sensitive contract liabilities$125,101 $111,608 $— $— $— $111,608 
Debt3,658 2,893 — — 2,893 — 
Securities to repurchase4,743 4,743 — — 4,743 — 
Funds withheld liability360 360 — — 360 — 
Total financial liabilities not carried at fair value$133,862 $119,604 $— $— $7,996 $111,608 

The fair value for financial instruments not carried at fair value are estimated using the same methods and assumptions as those carried at fair value. The financial instruments presented above are reported at carrying value on the consolidated statements of financial condition; however, in the case of policy loans, funds withheld at interest and liability, short-term investments, and securities to repurchase, the carrying amount approximates fair value.

Interest sensitive contract liabilities

The carrying and fair value of interest sensitive contract liabilities above includes fixed indexed and traditional fixed annuities without mortality or morbidity risks, funding agreements and payout annuities without life contingencies. The embedded derivatives within fixed indexed annuities without mortality or morbidity risks are excluded, as they are carried at fair value. The valuation of these investment contracts is based on discounted cash flow methodologies using significant unobservable inputs. The estimated fair value is determined using current market risk-free interest rates, adding a spread to reflect nonperformance risk and subtracting a risk margin to reflect uncertainty inherent in the projected cash flows.

Debt

The fair value of debt is obtained from commercial pricing services. These are classified as Level 2. The pricing services incorporate a variety of market observable information in their valuation techniques, including benchmark yields, trading activity, credit quality, issuer spreads, bids, offers and other reference data.

Significant Unobservable Inputs

Asset Management

Discounted Cash Flow and Direct Capitalization Model

When a discounted cash flow or direct capitalization model is used to determine fair value, the significant input used in the valuation model is the discount rate applied to present value the projected cash flows or the capitalization rate, respectively. Increases in the discount or capitalization rate can significantly lower the fair value of an investment and the contingent consideration obligations; conversely decreases in the discount or capitalization rate can significantly increase the fair value of an investment and the contingent consideration obligations. See note 20 for further discussion of the contingent consideration obligations.
Option Model

When an option model is used to determine fair value, the significant input used in the valuation model is the volatility rate applied to present value the projected cash flows. Increases in the volatility rate can significantly lower the fair value of an investment and the contingent consideration obligations; conversely decreases in the discount or capitalization rate can significantly increase the fair value of an investment and the contingent consideration obligations.

Consolidated VIEs’ Investments

The significant unobservable input used in the fair value measurement of the equity securities, bank loans and bonds is the discount rate applied in the valuation models. This input in isolation can cause significant increases or decreases in fair value, which would result in a significantly lower or higher fair value measurement. The discount rate is determined based on the market rates an investor would expect for a similar investment with similar risks.

NAV

Certain investments and investments of VIEs are valued using the NAV per share equivalent calculated by the investment manager as a practical expedient to determine an independent fair value.

Retirement Services

AFS, trading and equity securities

Athene uses discounted cash flow models to calculate the fair value for certain fixed maturity and equity securities. The discount rate is a significant unobservable input because the credit spread includes adjustments made to the base rate. The base rate represents a market comparable rate for securities with similar characteristics. This excludes assets for which fair value is provided by independent broker quotes.

Mortgage loans

Athene uses discounted cash flow models from independent commercial pricing services to calculate the fair value of its mortgage loan portfolio. The discount rate is a significant unobservable input. This approach uses market transaction information and client portfolio-oriented information, such as prepayments or defaults, to support the valuations.

Interest sensitive contract liabilities – embedded derivative

Significant unobservable inputs used in the fixed indexed annuities embedded derivative of the interest sensitive contract liabilities valuation include:

1.Nonperformance risk – For contracts Athene issues, it uses the credit spread, relative to the U.S. Treasury curve based on Athene’s public credit rating as of the valuation date. This represents Athene’s credit risk for use in the estimate of the fair value of embedded derivatives.
2.Option budget – Athene assumes 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 – Athene regularly reviews the full withdrawal (surrender rate) assumptions. These are based on initial pricing assumptions updated for actual experience. Actual experience may be limited for recently issued products.

Valuation of Underlying Investments

Asset Management

As previously noted, the underlying entities that Apollo manages and invests in are primarily investment companies that account for their investments at estimated fair value.

On a quarterly basis, valuation committees consisting of members from senior management review and approve the valuation results related to the investments of the funds Apollo manages. Apollo also retains external valuation firms to provide third-
party valuation consulting services to Apollo, which consist of certain limited procedures that management identifies and requests them to perform. The limited procedures provided by the external valuation firms assist management with validating their valuation results or determining fair value. Apollo performs various back-testing procedures to validate their valuation approaches, including comparisons between expected and observed outcomes, forecast evaluations and variance analyses. However, because of the inherent uncertainty of valuation, those estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and the differences could be material.

Yield Investments

Yield investments are generally valued based on third party vendor prices and/or quoted market prices and valuation models. Valuations using quoted market prices are based on the average of the “bid” and the “ask” quotes provided by multiple brokers wherever possible without any adjustments. Apollo will designate certain brokers to use to value specific securities. In determining the designated brokers, Apollo considers the following: (i) brokers with which Apollo has previously transacted, (ii) the underwriter of the security and (iii) active brokers indicating executable quotes. In addition, when valuing a security based on broker quotes wherever possible Apollo tests the standard deviation amongst the quotes received and the variance between the concluded fair value and the value provided by a pricing service. When relying on a third party vendor as a primary source, Apollo (i) analyzes how the price has moved over the measurement period, (ii) reviews the number of brokers included in the pricing service’s population, if available, and (iii) validates the valuation levels with Apollo’s pricing team and traders.

Debt securities that are not publicly traded or whose market prices are not readily available are valued at fair value utilizing a model based approach to determine fair value. Valuation approaches used to estimate the fair value of illiquid credit investments also may include the income approach, as described below. The valuation approaches used consider, as applicable, market risks, credit risks, counterparty risks and foreign currency risks.

Equity and Hybrid Investments

The majority of illiquid equity and hybrid investments are valued using the market approach and/or the income approach, as described below.

Market Approach

The market approach is driven by current market conditions, including actual trading levels of similar companies and, to the extent available, actual transaction data of similar companies. Judgment is required by management when assessing which companies are similar to the subject company being valued. Consideration may also be given to any of the following factors: (1) the subject company’s historical and projected financial data; (2) valuations given to comparable companies; (3) the size and scope of the subject company’s operations; (4) the subject company’s individual strengths and weaknesses; (5) expectations relating to the market’s receptivity to an offering of the subject company’s securities; (6) applicable restrictions on transfer; (7) industry and market information; (8) general economic and market conditions; and (9) other factors deemed relevant. Market approach valuation models typically employ a multiple that is based on one or more of the factors described above.

Enterprise value as a multiple of EBITDA is common and relevant for most companies and industries, however, other industry specific multiples are employed where available and appropriate. Sources for gaining additional knowledge related to comparable companies include public filings, annual reports, analyst research reports and press releases. Once a comparable company set is determined, Apollo reviews certain aspects of the subject company’s performance and determines how its performance compares to the group and to certain individuals in the group. Apollo compares certain measurements such as EBITDA margins, revenue growth over certain time periods, leverage ratios and growth opportunities. In addition, Apollo compares the entry multiple and its relation to the comparable set at the time of acquisition to understand its relation to the comparable set on each measurement date.

Income Approach

The income approach provides an indication of fair value based on the present value of cash flows that a business or security is expected to generate in the future. The most widely used methodology for the income approach is a discounted cash flow method. Inherent in the discounted cash flow method are significant assumptions related to the subject company’s expected results, the determination of a terminal value and a calculated discount rate, which is normally based on the subject company’s WACC. The WACC represents the required rate of return on total capitalization, which is comprised of a required rate of return on equity, plus the current tax-effected rate of return on debt, weighted by the relative percentages of equity and debt that are
typical in the industry. The most critical step in determining the appropriate WACC for each subject company is to select companies that are comparable in nature to the subject company and the credit quality of the subject company. Sources for gaining additional knowledge about the comparable companies include public filings, annual reports, analyst research reports and press releases. The general formula then used for calculating the WACC considers the after-tax rate of return on debt capital and the rate of return on common equity capital, which further considers the risk-free rate of return, market beta, market risk premium and small stock premium, if applicable. The variables used in the WACC formula are inferred from the comparable market data obtained. The Company evaluates the comparable companies selected and concludes on WACC inputs based on the most comparable company or analyzes the range of data for the investment.

The value of liquid investments, where the primary market is an exchange (whether foreign or domestic), is determined using period end market prices. Such prices are generally based on the close price on the date of determination.

Certain of the funds Apollo manages may also enter into foreign currency exchange contracts, total return swap contracts, credit default swap contracts and other derivative contracts, which may include options, caps, collars and floors. Foreign currency exchange contracts are marked-to-market by recognizing the difference between the contract exchange rate and the current market rate as unrealized appreciation or depreciation. If securities are held at the end of the period, the changes in value are recorded in income as unrealized. Realized gains or losses are recognized when contracts are settled. Total return swap and credit default swap contracts are recorded at fair value as an asset or liability with changes in fair value recorded as unrealized appreciation or depreciation. Realized gains or losses are recognized at the termination of the contract based on the difference between the close-out price of the total return or credit default swap contract and the original contract price. Forward contracts are valued based on market rates obtained from counterparties or prices obtained from recognized financial data service providers.

Retirement Services

NAV

Investment funds are typically measured using NAV as a practical expedient in determining fair value and are not classified in the fair value hierarchy. The carrying value reflects a pro rata ownership percentage as indicated by NAV in the investment fund financial statements, which may be adjusted if it is determined NAV is not calculated consistent with investment company fair value principles. The underlying investments of the investment funds may have significant unobservable inputs, which may include but are not limited to, comparable multiples and WACC rates applied in valuation models or a discounted cash flow model.

AFS and trading securities

The fair value for most marketable securities without an active market are obtained from several commercial pricing services. These are classified as Level 2 assets. The pricing services incorporate a variety of market observable information in their valuation techniques, including benchmark yields, trading activity, credit quality, issuer spreads, bids, offers and other reference data. This category typically includes U.S. and non-U.S. corporate bonds, U.S. agency and government guaranteed securities, CLO, ABS, CMBS and RMBS.

Athene also has fixed maturity securities priced based on indicative broker quotes or by employing market accepted valuation models. For certain fixed maturity securities, the valuation model uses significant unobservable inputs and are included in Level 3 in fair value hierarchy. Significant unobservable inputs used include discount rates, issue-specific credit adjustments, material non-public financial information, estimation of future earnings and cash flows, default rate assumptions, liquidity assumptions and indicative quotes from market makers. These inputs are usually considered unobservable, as not all market participants have access to this data.

Privately placed fixed maturity securities are valued based on the credit quality and duration of comparable marketable securities, which may be securities of another issuer with similar characteristics. In some instances, a matrix-based pricing model is used. These models consider the current level of risk-free interest rates, corporate spreads, credit quality of the issuer and cash flow characteristics of the security. Additional factors such as net worth of the borrower, value of collateral, capital structure of the borrower, presence of guarantees and Athene’s evaluation of the borrower’s ability to compete in its relevant market are also considered. Privately placed fixed maturity securities are classified as Level 2 or 3.
Equity securities

Fair values of publicly traded equity securities are based on quoted market prices and classified as Level 1. Other equity securities, typically private equities or equity securities not traded on an exchange, are valued based on other sources, such as commercial pricing services or brokers, and are classified as Level 2 or 3.

Mortgage loans

Athene estimates fair value monthly using discounted cash flow analysis and rates being offered for similar loans to borrowers with similar credit ratings. Loans with similar characteristics are aggregated for purposes of the calculations. The discounted cash flow model uses unobservable inputs, including estimates of discount rates and loan prepayments. Mortgage loans are classified as Level 3.

Investment funds

Certain investment funds for which Athene has elected the fair value option are included in Level 3 and are priced based on market accepted valuation models. The valuation models use significant unobservable inputs, which include material non-public financial information, estimation of future distributable earnings and demographic assumptions. These inputs are usually considered unobservable, as not all market participants have access to this data.

Other investments

The fair value of other investments are determined using a discounted cash flow model using discount rates for similar investments.

Funds withheld at interest embedded derivative

Athene estimates the fair value of the embedded derivative based on the change in the fair value of the assets supporting the funds withheld payable under modco and funds withheld reinsurance agreements. As a result, the fair value of the embedded derivative is classified as Level 2 or 3 based on the valuation methods used for the assets held supporting the reinsurance agreements.

Derivatives

Derivative contracts can be exchange traded or over the counter. Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy depending on trading activity. Over-the-counter derivatives are valued using valuation models or an income approach using third-party broker valuations. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, prepayment rates and correlation of the inputs. Athene considers and incorporates counterparty credit risk in the valuation process through counterparty credit rating requirements and monitoring of overall exposure. Athene also evaluates and includes its own nonperformance risk in valuing derivatives. The majority of Athene’s derivatives trade in liquid markets; therefore, it can verify model inputs and model selection does not involve significant management judgment. These are typically classified within Level 2 of the fair value hierarchy.

Interest sensitive contract liabilities embedded derivative

Embedded derivatives related to interest sensitive contract liabilities with fixed indexed annuity products are classified as Level 3. The valuations include significant unobservable inputs associated with economic assumptions and actuarial assumptions for policyholder behavior.

AmerUs Closed Block

Athene elected the fair value option for the future policy benefits liability in the AmerUs Closed Block. The valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component is the present value of the projected release of required capital and future earnings before income taxes on required capital supporting the AmerUs Closed Block, discounted at a rate which represents a market participant’s required rate of return, less the initial required capital.
Unobservable inputs include estimates for these items. The AmerUs Closed Block policyholder liabilities and any corresponding reinsurance recoverable are classified as Level 3.

ILICO Closed Block

Athene elected the fair value option for the ILICO Closed Block. The valuation technique is to set the fair value of policyholder liabilities equal to the fair value of assets. There is an additional component which captures the fair value of the open block’s obligations to the closed block business. This component uses the present value of future cash flows which include commissions, administrative expenses, reinsurance premiums and benefits, and an explicit cost of capital. The discount rate includes a margin to reflect the business and nonperformance risk. Unobservable inputs include estimates for these items. The ILICO Closed Block policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Universal life liabilities and other life benefits

Athene elected the fair value option for certain blocks of universal and other life business ceded to Global Atlantic. Athene uses a present value of liability cash flows. Unobservable inputs include estimates of mortality, persistency, expenses, premium payments and a risk margin used in the discount rates that reflects the riskiness of the business. The universal life policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Other liabilities

Other liabilities includes funds withheld liability, as described above in funds withheld at interest embedded derivative, and a ceded modco agreement of certain inforce funding agreement contracts for which Athene elected the fair value option. Athene estimates the fair value of the ceded modco agreement by discounting projected cash flows for net settlements and certain periodic and non-periodic payments. Unobservable inputs include estimates for asset portfolio returns and economic inputs used in the discount rate, including risk margin. Depending on the projected cash flows and other assumptions, the contract may be recorded as an asset or liability. The estimate is classified as Level 3.