0001527469us-gaap:DerivativeFinancialInstrumentsLiabilitiesMember2021-03-31

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

☑ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, ~~2021~~2022

☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

Commission File Number: 001-37963

ATHENE HOLDING LTD.

(Exact name of registrant as specified in its charter)

Bermuda

98-0630022

(State or other jurisdiction of

(I.R.S. Employer

incorporation or organization)

Identification Number)

Second Floor, Washington House

16 Church Street

Hamilton, HM 11, Bermuda

(441) 279-8400

(Address, including zip code, and telephone number, including area code, of registrant’s principal executive offices)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol

Name of each exchange on which registered

~~Class A common shares, par value $0.001 per share~~

~~ATH~~

~~New York Stock Exchange~~

Depositary Shares, each representing a 1/1,000th interest in a

6.35% Fixed-to-Floating Rate Perpetual Non-Cumulative Preference Share, Series A

ATHPrA

New York Stock Exchange

Depositary Shares, each representing a 1/1,000th interest in a

5.625% Fixed-Rate Perpetual Non-Cumulative Preference Share, Series B

ATHPrB

New York Stock Exchange

Depositary Shares, each representing a 1/1,000th interest in a

6.375% Fixed-Rate Reset Perpetual Non-Cumulative Preference Share, Series C

ATHPrC

New York Stock Exchange

Depositary Shares, each representing a 1/1,000th interest in a

4.875% Fixed-Rate Perpetual Non-Cumulative Preference Share, Series D

ATHPrD

New York Stock Exchange

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated ~~filer”,~~filer,” “smaller reporting ~~company”~~company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☑

Accelerated filer ☐

Non-accelerated filer ☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☑

As of April 30, ~~2021, 191,742,821~~2022, 203,805,432 of our Class A common shares were ~~outstanding.~~outstanding, all of which are held by Apollo Global Management, Inc.

TABLE OF CONTENTS

PART I—FINANCIAL INFORMATION


Item 1.	Financial Statements	7
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	5154
Item 3.	Quantitative and Qualitative Disclosures About Market Risks	9798
Item 4.	Controls and Procedures	9899

PART II—OTHER INFORMATION


Item 1.	Legal Proceedings	99100
Item 1A.	Risk Factors	99100
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	~~102~~101



Item 6.	Exhibits	101
Exhibit Index		~~103~~102
Signatures		~~104~~103

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As used in this Quarterly Report on Form 10-Q (report), unless the context otherwise indicates, any reference to “Athene,” “our Company,” “the Company,” “us,” “we” and “our” refer to Athene Holding Ltd. together with its consolidated subsidiaries and any reference to “AHL” refers to Athene Holding Ltd. only.

Forward-Looking Statements

Certain statements in this report are forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, Section 27A of the Securities Act of 1933, as amended (Securities Act), and Section 21E of the Securities Exchange Act of 1934, as amended (Exchange Act). You can identify forward-looking statements by the fact that they do not relate strictly to historical or current facts. These statements may include words such as “anticipate,” “estimate,” “expect,” “project,” “plan,” “intend,” “seek,” “assume,” “believe,” “may,” “will,” “should,” “could,” “would,” “likely” and other words and terms of similar meaning, including the negative of these or similar words and terms, in connection with any discussion of the timing or nature of future operating or financial performance or other events. However, not all forward-looking statements contain these identifying words. Forward-looking statements appear in a number of places throughout and give our current expectations and projections relating to our business, financial condition, results of operations, plans, strategies, objectives, future performance and other matters.

We caution you that forward-looking statements are not guarantees of future performance and that our actual consolidated financial condition, results of operations, liquidity, cash flows and performance may differ materially from that made in or suggested by the forward-looking statements contained in this report. A number of important factors could cause actual results or conditions to differ materially from those contained or implied by the forward-looking statements, including the risks discussed in Part II–Item 1A. Risk Factors included in this report and Part I–Item 1A. Risk Factors included in our Annual Report on Form 10-K for the year ended December 31, ~~2020 (2020~~2021 (2021 Annual Report). Factors that could cause actual results or conditions to differ from those reflected in the forward-looking statements contained in this report include:

•the accuracy of management’s assumptions and estimates;

•variability in the amount of statutory capital that our insurance and reinsurance subsidiaries have or are required to hold;

•interest rate and/or foreign currency fluctuations;

•our potential need for additional capital in the future and the potential unavailability of such capital to us on favorable terms or at all;

•major public health issues, and specifically the pandemic caused by the effects of the spread of the Coronavirus Disease of 2019 (COVID-19);

•changes in relationships with important parties in our product distribution network;

•the activities of our competitors and our ability to grow our retail business in a highly competitive environment;

•the impact of general economic conditions on our ability to sell our products and on the fair value of our investments;

•our ability to successfully acquire new companies or businesses and/or integrate such acquisitions into our existing framework;

•downgrades, potential downgrades or other negative actions by rating agencies;

•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;

•market and credit risks that could diminish the value of our investments;

•changes to the creditworthiness of our reinsurance and derivative counterparties;

•the discontinuation of London Inter-bank Offered Rate (LIBOR);

•changes in consumer perception regarding the desirability of annuities as retirement savings products;

•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;

•the impact of new accounting rules or changes to existing accounting rules on our business;

•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;

•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 certain limitations on our ability to terminate such arrangements;

•Apollo’s dependence on key executives and inability to attract qualified personnel;

•the ~~delay or~~ failure to ~~complete or~~ realize the expected benefits from ~~the proposed~~our merger with AGM;

•the accuracy of our estimates regarding the future performance of our investment portfolio;

•increased regulation or scrutiny of alternative investment advisers and certain trading methods;

•potential changes to laws or regulations affecting, among other things, group supervision and/or group capital requirements, entity-level regulatory capital standards, 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;

•the failure to obtain or maintain licenses and/or other regulatory approvals as required for the operation of our insurance subsidiaries;

•increases in our tax liability resulting from the Base Erosion and Anti-Abuse Tax (BEAT); or otherwise;

•AHL or any of its non-United States (US) subsidiaries becoming subject to US federal income taxation;

•adverse changes in US tax law;

•changes in our ability to pay dividends or make distributions;

•the failure to achieve the economic benefits expected to be derived from the Athene Co-Invest Reinsurance Affiliate 1AHolding Ltd. (together with its subsidiaries, ACRA) capital raise or future ACRA capital raises;

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•the failure of third-party ACRA investors to fund their capital commitment obligations; and

~~Table of Contents~~

•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 ~~2020~~2021 Annual Report and those discussed elsewhere in this report and in our ~~2020~~2021 Annual Report.

We caution you that the important factors referenced above may not be exhaustive. In addition, we cannot assure you that we will realize the results or developments we expect or anticipate or, even if substantially realized, that they will result in the consequences or affect us or our operations in the way we expect or anticipate. In light of these risks, you should not place undue reliance upon any forward-looking statements contained in this report. Unless an earlier date is specified, the forward-looking statements included in this report are made only as of the date that this report was filed with the US Securities and Exchange Commission (SEC). We undertake no obligation, except as may be required by law, to publicly update or revise any forward-looking statement as a result of new information, future events or otherwise. Comparisons of results for current and any prior periods are not intended to express any future trends, or indications of future performance, unless expressed as such, and should only be viewed as historical data.

GLOSSARY OF SELECTED TERMS

Unless otherwise indicated in this report, the following terms have the meanings set forth below:

Entities


Term or Acronym						Definition
A-A Mortgage						A-A Mortgage Opportunities, L.P.
AADE						Athene Annuity & Life Assurance Company
AAIA						Athene Annuity and Life Company
AAM						Apollo Asset Management, Inc., formerly known as Apollo Global Management, Inc.
AARe						Athene Annuity Re Ltd., a Bermuda reinsurance subsidiary
ACRA						Athene Co-Invest Reinsurance Affiliate 1AHolding Ltd., together with its subsidiaries
ACRA HoldCo						Athene Co-Invest Reinsurance Affiliate Holding Ltd.
ADIP						Apollo/Athene Dedicated Investment Program
AGM						Apollo Global Management, Inc.
AHL						Athene Holding Ltd.
ALRe						Athene Life Re Ltd., a Bermuda reinsurance subsidiary
ALReI						Athene Life Re International Ltd., a Bermuda reinsurance subsidiary
AmeriHome						AmeriHome Mortgage Company, LLC
AOG						Apollo Operating Group
Apollo						Apollo Global Management, Inc., together with its subsidiaries (other than us or our subsidiaries)
Apollo Group						(1) AGM and AGM’s subsidiaries, including AAM, (2) ~~AAA Guarantor – Athene, L.P. (3)~~ any investment fund or other collective investment vehicle whose general partner or managing member is owned, directly or indirectly, by ~~AGM or one or more of AGM’s subsidiaries, (4)~~clause (1), (3) BRH Holdings GP, Ltd. and each of its shareholders, ~~(5)~~(4) any executive officer or employee of AGM or AGM’s 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)~~(5) any affiliate of ~~any~~a person described in clauses (1), (2), (3) or (4) above; provided none of ~~the foregoing (except that~~ AHL or its subsidiaries ~~are not members~~(other than ACRA HoldCo and ACRA HoldCo’s subsidiaries) will be deemed to be a member of the Apollo ~~Group)~~Group
AUSA						Athene USA Corporation
Athora						Athora Holding Ltd.
BMA						Bermuda Monetary Authority
ISG						Apollo Insurance Solutions Group LP ~~formerly known as Athene Asset Management LLC~~
Jackson						Jackson ~~National Life Insurance Company~~Financial, Inc., together with its subsidiaries
LIMRA						Life Insurance and Market Research Association
MidCap						MidCap FinCo Designated Activity Company
NAIC						National Association of Insurance Commissioners
NYSDFS						New York State Department of Financial Services
RLI						ReliaStar Life Insurance Company
Treasury						United States Department of the Treasury
VIAC						Venerable Insurance and Annuity Company ~~formerly Voya Insurance and Annuity Company~~
Venerable						Venerable Holdings, Inc., together with its subsidiaries
Wheels/Donlen						Wheels, Inc. (Wheels), merged with Donlen LLC (Donlen)

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Certain Terms & Acronyms


Term or Acronym						Definition
ABS						Asset-backed securities
ACL						Authorized control level RBC as defined by the model created by the National Association of Insurance Commissioners
ALM						Asset liability management
~~ALRe RBC~~						The risk-based capital ratio using ALRe’s Bermuda capital and applying NAIC risk-based capital factors to the statutory financial statements of ALRe and ALRe’s non-US reinsurance subsidiaries on an aggregate basis. Adjustments are made to (i) exclude US subsidiaries which are included within our US 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.
Alternative investments						Alternative investments, including investment funds, CLO equity positions and certain other debt instruments considered to be equity-like
Base of earnings						Earnings generated from our results of operations and the underlying profitability drivers of our business

Bermuda capital						The capital of Athene’s non-US reinsurance subsidiaries calculated under US statutory accounting principles, including that for policyholder reserve liabilities which are subjected to US 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 US statutory accounting principles primarily due to the foregoing differences.
Bermuda RBC						The risk-based capital ratio of our non-US reinsurance subsidiaries by applying NAIC risk-based capital factors to the statutory financial statements on an aggregate basis. Adjustments are made to (i) exclude US subsidiaries which are included within our US 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.
Block reinsurance						A transaction in which the ceding company cedes all or a portion of a block of previously issued annuity contracts through a reinsurance agreement
BSCR						Bermuda Solvency Capital Requirement
CAL						Company action level risk-based capital as defined by the model created by the National Association of Insurance Commissioners
CLO						Collateralized loan obligation
CMBS						Commercial mortgage-backed securities
CML						Commercial mortgage loans
Cost of crediting						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
Cost of funds						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.
DAC						Deferred acquisition costs
Deferred annuities						Fixed indexed annuities, annual reset annuities, multi-year guaranteed annuities and registered index-linked annuities
DSI						Deferred sales inducement
Excess capital						Capital in excess of the level management believes is needed to support our current operating strategy
FIA						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
Fixed annuities						FIAs together with fixed rate annuities
Fixed rate annuity						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
Flow reinsurance						A transaction in which the ceding company cedes a portion of newly issued policies to the reinsurer
GAAP						Accounting principles generally accepted in the United States of America
GLWB						Guaranteed lifetime withdrawal benefit
GMDB						Guaranteed minimum death benefit
Gross invested assets						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
IMA						Investment management agreement

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Term or Acronym						Definition
~~IMA~~						~~Investment management agreement~~
IMO						Independent marketing organization
Investment margin on deferred annuities						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
Liability outflows						The aggregate of withdrawals on our deferred annuities, maturities of our funding agreements, payments on payout annuities, and pension ~~risk~~group annuity benefit payments
MCR						Minimum capital requirements
MMS						Minimum margin of solvency
Modco						Modified coinsurance
MVA						Market value adjustment
MYGA						Multi-year guaranteed annuity
Net invested assets						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
Net investment earned rate						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
Net investment spread						Net investment spread measures our investment performance less the total cost of our liabilities, presented on an annualized basis for interim periods
Net reserve liabilities						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 (loss) 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
Other liability costs						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
Payout annuities						Annuities with a current cash payment component, which consist primarily of single premium immediate annuities, supplemental contracts and structured settlements
Policy loan						A loan to a policyholder under the terms of, and which is secured by, a policyholder’s policy
~~PRT~~						~~Pension risk transfer~~
RBC						Risk-based capital
Rider reserves						Guaranteed lifetime withdrawal benefits and guaranteed minimum death benefits reserves
RMBS						Residential mortgage-backed securities
RML						Residential mortgage loan
Sales						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)
SPIA						Single premium immediate annuity
Surplus assets						Assets in excess of policyholder obligations, determined in accordance with the applicable domiciliary jurisdiction’s statutory accounting principles
TAC						Total adjusted capital as defined by the model created by the NAIC
US RBC Ratio						The CAL RBC ratio for AADE, our parent US insurance company
VIE						Variable interest entity
VOBA						Value of business acquired

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Item 1. Financial Statements

Index to Condensed Consolidated Financial Statements (unaudited)




Condensed Consolidated Balance Sheets (unaudited)		8

Condensed Consolidated Statements of Income (Loss) (unaudited)		10

Condensed Consolidated Statements of Comprehensive Loss (unaudited)		11

Condensed Consolidated Statements of Equity (unaudited)		12

Condensed Consolidated Statements of Cash Flows (unaudited)		13

Notes to Condensed Consolidated Financial Statements (unaudited)		15

	Note 1. Business, Basis of Presentation and Significant Accounting Policies	15

	~~Note~~N ote 2. ~~Investments~~Business Combinati on	1716

	Note ~~3. Derivative Instruments~~3 . Investments	2720

	Note ~~4. Variable Interest Entities~~4 . Derivative Instruments	30

	Note ~~5. Fair Value~~5 . Variable Interest Entities	3133

	Note 6 . Fair Value	34

	Note 7 . Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired	42

	~~Note 7. Equity~~	42

	~~Note 8. Earnings Per Share~~	4347



	Note 9 ~~. Related Parties~~8. Equity	4448

	Note 10 ~~. Commitments and Contingencies~~9. Related Parties	4748

	Note 11 ~~. Segment Information~~10. Commitments and Contingencies	4952

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ATHENE HOLDING LTD.

Condensed Consolidated Balance Sheets (Unaudited)

(In millions) March 31, 2021 December 31, 2020
Assets
Investments
Available-for-sale securities, at fair value (amortized cost: 2021 – $82,190 and 2020 – $76,100; allowance for credit losses: 2021 – $111 and 2020 – $103) $ 85,524 $ 82,853
Trading securities, at fair value 1,979 2,093
Equity securities (portion at fair value: 2021 – $322 and 2020 – $330) 524 532
Mortgage loans (allowance for credit losses: 2021 – $235 and 2020 – $232; portion at fair value: 2021 – $18 and 2020 – $19; consolidated variable interest entities: 2021 – $1,812 and 2020 – $1,880) 16,671 15,264
Investment funds (portion at fair value: 2021 – $319 and 2020 – $161; consolidated variable interest entities: 2021 – $154 and 2020 – $0) 966 803
Policy loans 356 369
Funds withheld at interest (portion at fair value: 2021 – $636 and 2020 – $1,944) 46,024 48,612
Derivative assets 3,677 3,523
Short-term investments (portion at fair value: 2021 – $117 and 2020 – $222) 125 222
Other investments (allowance for credit losses: 2021 – $0 and 2020 – $3; portion at fair value: 2021 – $105 and 2020 – $105) 1,722 572
Total investments 157,568 154,843
Cash and cash equivalents 6,427 7,704
Restricted cash 546 738
Investments in related parties
Available-for-sale securities, at fair value (amortized cost: 2021 – $6,854 and 2020 – $6,444; allowance for credit losses: 2021 – $0 and 2020 – $1) 6,905 6,520
Trading securities, at fair value 1,710 1,529
Equity securities, at fair value 114 72
Mortgage loans (allowance for credit losses: 2021 – $15 and 2020 – $14) 714 674
Investment funds (portion at fair value: 2021 – $2,060 and 2020 – $2,119) 5,899 5,284
Funds withheld at interest (portion at fair value: 2021 – $580 and 2020 – $862) 12,572 13,030
Other investments (allowance for credit losses: 2021 – $2 and 2020 – $4) 469 469
Accrued investment income (related party: 2021 – $61 and 2020 – $38) 968 905
Reinsurance recoverable (portion at fair value: 2021 – $1,880 and 2020 – $2,100) 4,690 4,848
Deferred acquisition costs, deferred sales inducements and value of business acquired 5,303 4,906
Other assets (consolidated variable interest entities: 2021 – $173 and 2020 – $1) 1,785 1,249
Total assets $ 205,670 $ 202,771


	Successor		Predecessor
(In millions)	March 31, 2022		December 31, 2021
Assets
Investments
Available-for-sale securities, at fair value (amortized cost: 2022 – $104,222 and 2021 – $96,458; allowance for credit losses: 2022 – $468 and 2021 – $123)	$	96,899	$	100,159
Trading securities, at fair value	1,852		2,056
Equity securities (portion at fair value: 2022 – $754 and 2021 – $1,170)	1,154		1,170
Mortgage loans (allowance for credit losses: 2021 – $154; portion at fair value: 2022 – $23,696 and 2021 – $17)	23,696		20,748
Investment funds (portion at fair value: 2022 – $180 and 2021 – $183)	1,243		1,178
Policy loans	296		312
Funds withheld at interest (portion at fair value: 2022 – $(1,882) and 2021 – $782)	41,173		43,907
Derivative assets	3,668		4,387
Short-term investments (portion at fair value: 2022 – $149 and 2021 – $139)	175		139
Other investments (portion at fair value: 2022 – $150 and 2021 – $130)	1,214		1,473
Total investments	171,370		175,529
Cash and cash equivalents	8,523		9,479
Restricted cash	834		796
Investments in related parties
Available-for-sale securities, at fair value (amortized cost: 2022 – $8,429 and 2021 – $10,401; allowance for credit losses: 2022 – $20 and 2021 – $0)	8,324		10,402
Trading securities, at fair value	262		1,781
Equity securities, at fair value	166		284
Mortgage loans (allowance for credit losses: 2021 – $5; portion at fair value: 2022 – $1,456 and 2021 – $0)	1,456		1,360
Investment funds (portion at fair value: 2022 – $814 and 2021 – $2,958)	3,088		7,391
Funds withheld at interest (portion at fair value: 2022 – $(570) and 2021 – $578)	11,431		12,207
Short-term investments, at fair value	53		—
Other investments	255		222
Accrued investment income (related party: 2022 – $44 and 2021 – $54)	885		962
Reinsurance recoverable (portion at fair value: 2022 – $1,814 and 2021 – $1,991)	4,648		4,594
Deferred acquisition costs, deferred sales inducements and value of business acquired	4,713		5,362
Goodwill	4,181		—
Other assets (related party: 2022 – $81 and 2021 – $0)	7,094		1,257
Assets of consolidated variable interest entities
Investments

Mortgage loans (related party: 2022 – $224 and 2021 – $231; allowance for credit losses: 2021 – $78; portion at fair value: 2022 – $1,880 and 2021 – $0)	1,880		2,040
Investment funds (related party: 2022 – $2,856 and 2021 – $1,068; portion at fair value: 2022 – $12,779 and 2021 – $1,297)	13,568		1,297
Other investments, at fair value	2,567		—
Cash and cash equivalents	521		154
Other assets	315		32
Total assets	$	246,134	$	235,149

(Continued)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Balance Sheets (Unaudited)


							Successor		Predecessor
(In millions, except per share data)	(In millions, except per share data)	March 31, 2021		December 31, 2020		(In millions, except per share data)	March 31, 2022		December 31, 2021
Liabilities and Equity	Liabilities and Equity					Liabilities and Equity
Liabilities	Liabilities					Liabilities
Interest sensitive contract liabilities (related party: 2021 – $13,830 and 2020 – $14,150; portion at fair value: 2021 – $13,581 and 2020 – $14,181)		$	146,247	$	144,566
Future policy benefits (related party: 2021 – $1,665 and 2020 – $1,610; portion at fair value: 2021 – $2,254 and 2020 – $2,376)		31,767		29,258
Other policy claims and benefits		135		130
Dividends payable to policyholders		110		110
Interest sensitive contract liabilities (related party: 2022 – $13,023 and 2021 – $12,948; portion at fair value: 2022 – $7,800 and 2021 – $16,142)						Interest sensitive contract liabilities (related party: 2022 – $13,023 and 2021 – $12,948; portion at fair value: 2022 – $7,800 and 2021 – $16,142)	$	164,369	$	156,325
Future policy benefits (related party: 2022 – $2,041 and 2021 – $1,853; portion at fair value: 2022 – $2,082 and 2021 – $2,262)						Future policy benefits (related party: 2022 – $2,041 and 2021 – $1,853; portion at fair value: 2022 – $2,082 and 2021 – $2,262)	48,093		42,488

Long-term debt	Long-term debt	1,977		1,976		Long-term debt	3,287		2,964
Derivative liabilities	Derivative liabilities	288		298		Derivative liabilities	631		472
Payables for collateral on derivatives and securities to repurchase	Payables for collateral on derivatives and securities to repurchase	3,952		3,801		Payables for collateral on derivatives and securities to repurchase	7,071		7,044
Funds withheld liability (portion at fair value: 2021 – $34 and 2020 – $59)		422		452
Other liabilities (related party: 2021 – $108 and 2020 – $112; consolidated variable interest entities: 2021 – $200 and 2020 – $134)		2,436		2,040

Other liabilities (related party: 2022 – $225 and 2021 – $936)						Other liabilities (related party: 2022 – $225 and 2021 – $936)	2,190		3,214
Liabilities of consolidated variable interest entities						Liabilities of consolidated variable interest entities
Debt (portion at fair value: 2022 – $4,067 and 2021 – $317)						Debt (portion at fair value: 2022 – $4,067 and 2021 – $317)	5,905		430
Other liabilities						Other liabilities	896		31
Total liabilities	Total liabilities	187,334		182,631		Total liabilities	232,442		212,968
Commitments and Contingencies (Note 10)	Commitments and Contingencies (Note 10)	0		0		Commitments and Contingencies (Note 10)	0		0
Equity	Equity					Equity
Preferred stock	Preferred stock					Preferred stock
Series A – par value $1 per share; $863 aggregate liquidation preference; authorized, issued and outstanding: 2021 and 2020 – 0.0 shares		0		0
Series B – par value $1 per share; $345 aggregate liquidation preference; authorized, issued and outstanding: 2021 and 2020 – 0.0 shares		0		0
Series C – par value $1 per share; $600 aggregate liquidation preference; authorized, issued and outstanding: 2021 and 2020 – 0.0 shares		0		0
Series D – par value $1 per share; $575 aggregate liquidation preference; authorized, issued and outstanding: 2021 and 2020 – 0.0 shares		0		0
Series A – par value $1 per share; $863 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares						Series A – par value $1 per share; $863 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares	—		—
Series B – par value $1 per share; $345 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares						Series B – par value $1 per share; $345 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares	—		—
Series C – par value $1 per share; $600 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares						Series C – par value $1 per share; $600 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares	—		—
Series D – par value $1 per share; $575 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares						Series D – par value $1 per share; $575 aggregate liquidation preference; authorized, issued and outstanding: 2022 and 2021 – 0.0 shares	—		—
Common stock	Common stock					Common stock
Class A – par value $0.001 per share; authorized: 2021 and 2020 – 425.0 shares; issued and outstanding: 2021 – 191.7 and 2020 – 191.5 shares		0		0
Class A – par value $0.001 per share; authorized: 2022 and 2021 – 425.0 shares; issued and outstanding: 2022 – 203.8 and 2021 – 192.2 shares						Class A – par value $0.001 per share; authorized: 2022 and 2021 – 425.0 shares; issued and outstanding: 2022 – 203.8 and 2021 – 192.2 shares	—		—
Additional paid-in capital	Additional paid-in capital	6,623		6,613		Additional paid-in capital	17,555		6,667
Retained earnings		8,647		8,073
Accumulated other comprehensive income (related party: 2021 – $55 and 2020 – $59)		2,021		3,971
Retained earnings (accumulated deficit)						Retained earnings (accumulated deficit)	(1,732)		11,033
Accumulated other comprehensive income (loss) (related party: 2022 – $(62) and 2021 – $33)						Accumulated other comprehensive income (loss) (related party: 2022 – $(62) and 2021 – $33)	(4,674)		2,430
Total Athene Holding Ltd. shareholders’ equity	Total Athene Holding Ltd. shareholders’ equity	17,291		18,657		Total Athene Holding Ltd. shareholders’ equity	11,149		20,130
Noncontrolling interests	Noncontrolling interests	1,045		1,483		Noncontrolling interests	2,543		2,051
Total equity	Total equity	18,336		20,140		Total equity	13,692		22,181
Total liabilities and equity	Total liabilities and equity	$	205,670	$	202,771	Total liabilities and equity	$	246,134	$	235,149

(Concluded)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Income (Loss) (Unaudited)

Three months ended March 31,
(In millions, except per share data) 2021 2020
Revenues
Premiums (related party: 2021 – $79 and 2020 – $69) $ 3,011 $ 1,140
Product charges (related party: 2021 – $11 and 2020 – $16) 150 140
Net investment income (related party investment income (loss): 2021 – $596 and 2020 – $(214); consolidated variable interest entities: 2021 – $35 and 2020 – $0; and related party investment expense: 2021 – $144 and 2020 – $128) 1,704 745
Investment related gains (losses) (related party: 2021 – $(139) and 2020 – $(631); and consolidated variable interest entities: 2021 – $(66) and 2020 – $1) (488) (3,572)
Other revenues 14 (2)
Total revenues 4,391 (1,549)
Benefits and expenses
Interest sensitive contract benefits (related party: 2021 – $76 and 2020 – $(97)) 394 (1,319)
Amortization of deferred sales inducements 84 10
Future policy and other policy benefits (related party: 2021 – $89 and 2020 – $50) 3,317 1,356
Amortization of deferred acquisition costs and value of business acquired 164 (413)
Dividends to policyholders 10 11
Policy and other operating expenses (related party: 2021 – $12 and 2020 – $16) 283 188
Total benefits and expenses 4,252 (167)
Income (loss) before income taxes 139 (1,382)
Income tax expense (benefit) 62 (166)
Net income (loss) 77 (1,216)
Less: Net loss attributable to noncontrolling interests (537) (169)
Net income (loss) attributable to Athene Holding Ltd. shareholders 614 (1,047)
Less: Preferred stock dividends 36 18
Net income (loss) available to Athene Holding Ltd. common shareholders $ 578 $ (1,065)
Earnings (loss) per share
Basic – Class A $ 3.02 $ (5.81)
Basic – Classes B, M-1, M-2, M-3 and M-4 N/A (3.87)
Diluted – Class A 2.94 (5.81)
Diluted – Classes B, M-1, M-2, M-3 and M-4 N/A (3.87)
N/A – Not applicable. See Note 8 – Earnings Per Share.


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Revenues
Premiums (related party of $71 and $79 for the three months ended March 31, 2022 and 2021, respectively)	$	2,110	$	3,011
Product charges (related party of $10 and $11 for the three months ended March 31, 2022 and 2021, respectively)	166		150
Net investment income (related party investment income of $501 and $596 for the three months ended March 31, 2022 and 2021, respectively; and related party investment expense of $186 and $144 for the three months ended March 31, 2022 and 2021, respectively)	1,683		1,669
Investment related gains (losses) (related party of $(604) and $(139) for the three months ended March 31, 2022 and 2021, respectively)	(4,200)		(422)
Other revenues	(3)		14
Revenues of consolidated variable interest entities
Net investment income	17		35
Investment related gains (losses)	(42)		(66)
Total revenues	(269)		4,391
Benefits and expenses
Interest sensitive contract benefits (related party of $(11) and $76 for the three months ended March 31, 2022 and 2021, respectively)	(41)		394
Amortization of deferred sales inducements	—		84
Future policy and other policy benefits (related party of $63 and $89 for the three months ended March 31, 2022 and 2021, respectively)	2,085		3,317
Amortization of deferred acquisition costs and value of business acquired	125		164
Policy and other operating expenses (related party of $57 and $12 for the three months ended March 31, 2022 and 2021, respectively)	335		293

Total benefits and expenses	2,504		4,252
Income (loss) before income taxes	(2,773)		139
Income tax expense (benefit)	(407)		62
Net income (loss)	(2,366)		77
Less: Net loss attributable to noncontrolling interests	(883)		(537)
Net income (loss) attributable to Athene Holding Ltd. shareholders	(1,483)		614
Less: Preferred stock dividends	35		36
Net income (loss) available to Athene Holding Ltd. common shareholder	$	(1,518)	$	578

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Comprehensive Loss (Unaudited)


		Three months ended March 31,					Successor			Predecessor
(In millions)	(In millions)	2021		2020		(In millions)		Three months ended March 31, 2022			Three months ended March 31, 2021
Net income (loss)	Net income (loss)	$	77	$	(1,216)	Net income (loss)		$	(2,366)		$	77
Other comprehensive income (loss), before tax	Other comprehensive income (loss), before tax					Other comprehensive income (loss), before tax
Unrealized investment gains (losses) on available-for-sale securities, net of offsets	Unrealized investment gains (losses) on available-for-sale securities, net of offsets	(2,591)		(4,839)		Unrealized investment gains (losses) on available-for-sale securities, net of offsets		(6,430)			(2,591)
Unrealized gains (losses) on hedging instruments	Unrealized gains (losses) on hedging instruments	(31)		401		Unrealized gains (losses) on hedging instruments		(129)			(31)
Foreign currency translation and other adjustments	Foreign currency translation and other adjustments	0		9		Foreign currency translation and other adjustments		4			—
Other comprehensive loss, before tax	Other comprehensive loss, before tax	(2,622)		(4,429)		Other comprehensive loss, before tax		(6,555)			(2,622)
Income tax benefit related to other comprehensive loss	Income tax benefit related to other comprehensive loss	(496)		(797)		Income tax benefit related to other comprehensive loss		(1,170)			(496)
Other comprehensive loss	Other comprehensive loss	(2,126)		(3,632)		Other comprehensive loss		(5,385)			(2,126)
Comprehensive loss	Comprehensive loss	(2,049)		(4,848)		Comprehensive loss		(7,751)			(2,049)
Less: Comprehensive loss attributable to noncontrolling interests	Less: Comprehensive loss attributable to noncontrolling interests	(713)		(352)		Less: Comprehensive loss attributable to noncontrolling interests		(1,594)			(713)
Comprehensive loss attributable to Athene Holding Ltd. shareholders	Comprehensive loss attributable to Athene Holding Ltd. shareholders	$	(1,336)	$	(4,496)	Comprehensive loss attributable to Athene Holding Ltd. shareholders		$	(6,157)		$	(1,336)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Equity (Unaudited)

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 equity
Balance at December 31, 2020 $ 0 $ 0 $ 6,613 $ 8,073 $ 3,971 $ 18,657 $ 1,483 $ 20,140
Net income — — — 614 — 614 (537) 77
Other comprehensive loss — — — — (1,950) (1,950) (176) (2,126)
Issuance of common shares, net of expenses — — 1 — — 1 — 1
Stock-based compensation — — 9 — — 9 — 9
Retirement or repurchase of shares — — 0 (4) — (4) — (4)
Preferred stock dividends — — — (36) — (36) — (36)
Contributions from noncontrolling interests — — — — — — 235 235
Change in equity of noncontrolling interests of consolidated variable interest entities — — — — — — 40 40
Balance at March 31, 2021 $ 0 $ 0 $ 6,623 $ 8,647 $ 2,021 $ 17,291 $ 1,045 $ 18,336
Balance at December 31, 2019 $ 0 $ 0 $ 4,171 $ 6,939 $ 2,281 $ 13,391 $ 750 $ 14,141
Adoption of accounting standard — — — (117) (6) (123) (2) (125)
Net loss — — — (1,047) — (1,047) (169) (1,216)
Other comprehensive loss — — — — (3,449) (3,449) (183) (3,632)
Issuance of common shares, net of expenses — — 1,509 — — 1,509 — 1,509
Stock-based compensation — — 5 — — 5 — 5
Retirement or repurchase of shares — — (184) (144) — (328) — (328)
Preferred stock dividends — — — (18) — (18) — (18)
Contributions from noncontrolling interests — — — — — — 240 240
Distributions to noncontrolling interests — — — — — — (46) (46)
Balance at March 31, 2020 $ 0 $ 0 $ 5,501 $ 5,613 $ (1,174) $ 9,940 $ 590 $ 10,530


	Successor
	Three months ended
(In millions)	Preferred stock		Common stock		Additional paid-in capital		Retained earnings (accumulated deficit)		Accumulated other comprehensive income (loss)		Total Athene Holding Ltd. shareholders’ equity		Noncontrolling interests		Total equity


Balance as of January 1, 2022	$	—	$	—	$	20,270	$	—	$	—	$	20,270	$	2,276	$	22,546
Net loss	—		—		—		(1,483)		—		(1,483)		(883)		(2,366)
Other comprehensive loss	—		—		—		—		(4,674)		(4,674)		(711)		(5,385)


Stock-based compensation allocation from parent	—		—		11		—		—		11		—		11

Preferred stock dividends	—		—		—		(35)		—		(35)		—		(35)
Common stock dividends	—		—		—		(188)		—		(188)		—		(188)
Distributions to parent	—		—		(2,726)		(26)		—		(2,752)		—		(2,752)
Contributions from noncontrolling interests	—		—		—		—		—		—		311		311

Consolidation of variable interest entities	—		—		—		—		—		—		1,634		1,634
Other changes in equity of noncontrolling interests	—		—		—		—		—		—		(84)		(84)
Balance at March 31, 2022	$	—	$	—	$	17,555	$	(1,732)	$	(4,674)	$	11,149	$	2,543	$	13,692

	Predecessor
	Three months ended
Balance at December 31, 2020	$	—	$	—	$	6,613	$	8,073	$	3,971	$	18,657	$	1,483	$	20,140

Net income	—		—		—		614		—		614		(537)		77
Other comprehensive loss	—		—		—		—		(1,950)		(1,950)		(176)		(2,126)

Issuance of common shares, net of expenses	—		—		1		—		—		1		—		1
Stock-based compensation	—		—		9		—		—		9		—		9
Retirement or repurchase of shares	—		—		—		(4)		—		(4)		—		(4)
Preferred stock dividends	—		—		—		(36)		—		(36)		—		(36)
Contributions from noncontrolling interests	—		—		—		—		—		—		235		235

Consolidation of variable interest entities	—		—		—		—		—		—		40		40
Balance at March 31, 2021	$	—	$	—	$	6,623	$	8,647	$	2,021	$	17,291	$	1,045	$	18,336

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Cash Flows (Unaudited)

Three months ended March 31,
(In millions) 2021 2020
Cash flows from operating activities
Net income (loss) $ 77 $ (1,216)
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of deferred acquisition costs and value of business acquired 164 (413)
Amortization of deferred sales inducements 84 10
Accretion of net investment premiums, discounts and other (49) (62)
Net investment (income) loss (related party: 2021 – $(416) and 2020 – $362; consolidated variable interest entities: 2021 – $56, 2020 – $0) (381) 343
Net recognized (gains) losses on investments and derivatives (related party: 2021 – $(77) and 2020 – $158; consolidated variable interest entities: 2021 – $67 and 2020 – $0) (651) 2,144
Policy acquisition costs deferred (143) (112)
Changes in operating assets and liabilities:
Accrued investment income (related party: 2021 – $(23) and 2020 – $(16)) (63) 5
Interest sensitive contract liabilities (related party: 2021 – $64 and 2020 – $(81)) (34) (1,282)
Future policy benefits, other policy claims and benefits, dividends payable to policyholders and reinsurance recoverable (related party: 2021 – $59 and 2020 – $59) 1,250 186
Funds withheld assets and liabilities (related party: 2021 – $153 and 2020 – $422) 1,252 1,426
Other assets and liabilities 120 (258)
Net cash provided by operating activities 1,626 771
Cash flows from investing activities
Sales, maturities and repayments of:
Available-for-sale securities (related party: 2021 – $350 and 2020 – $205) 3,431 4,541
Trading securities (related party: 2021 – $7 and 2020 – $17) 18 48
Equity securities 38 2
Mortgage loans 325 898
Investment funds (related party: 2021 – $155 and 2020 – $65) 173 111
Derivative instruments and other invested assets 915 475
Short-term investments (related party: 2021 – $98 and 2020 – $0) 330 139
Purchases of:
Available-for-sale securities (related party: 2021 – $(767) and 2020 – $(425)) (8,275) (4,226)
Trading securities (related party: 2021 – $(120) and 2020 – $(77)) (149) (77)
Equity securities (related party: 2021 – $(35) and 2020 – $(3)) (48) (3)
Mortgage loans (related party: 2021 – $(42) and 2020 – $0) (1,786) (1,365)
Investment funds (related party: 2021 – $(429) and 2020 – $(358)) (467) (375)
Derivative instruments and other invested assets (1,613) (305)
Short-term investments (related party: 2021 – $(100) and 2020 – $0) (232) (125)
Other investing activities, net 457 (116)
Net cash used in investing activities (6,883) (378)
(Continued)
See accompanying notes to the unaudited condensed consolidated financial statements


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Cash flows from operating activities
Net income (loss)	$	(2,366)	$	77
Adjustments to reconcile net income (loss) to net cash provided by operating activities:
Amortization of deferred acquisition costs and value of business acquired	125		164
Amortization of deferred sales inducements	—		84
Net amortization (accretion) of net investment premiums, discounts and other	73		(49)

Net investment (income) loss (related party: 2022 – $(199) and 2021 – $(416))	(238)		(381)
Net recognized (gains) losses on investments and derivatives (related party: 2022 – $101 and 2021 – $(77))	1,813		(651)
Policy acquisition costs deferred	(214)		(143)
Changes in operating assets and liabilities:
Accrued investment income (related party: 2022 – $10 and 2021 – $(23))	77		(63)
Interest sensitive contract liabilities (related party: 2022 – $(21) and 2021 – $64)	(480)		(34)
Future policy benefits and reinsurance recoverable (related party: 2022 – $34 and 2021 – $59)	(266)		1,245
Funds withheld assets (related party: 2022 – $475 and 2021 – $153)	2,365		1,278
Other assets and liabilities	(734)		99
Net cash provided by operating activities	155		1,626


Cash flows from investing activities
Sales, maturities and repayments of:
Available-for-sale securities (related party: 2022 – $913 and 2021 – $350)	9,264		3,431
Trading securities (related party: 2022 – $51 and 2021 – $7)	77		18
Equity securities	87		38
Mortgage loans (related party: 2022 – $28 and 2021 – $0)	985		325
Investment funds (related party: 2022 – $351 and 2021 – $155)	427		173
Derivative instruments and other invested assets (related party: 2022 – $44 and 2021 – $0)	1,179		915
Short-term investments (related party: 2022 – $0 and 2021 – $98)	59		330
Purchases of:
Available-for-sale securities (related party: 2022 – $(1,055) and 2021 – $(767))	(11,100)		(8,275)
Trading securities (related party: 2022 – $(143) and 2021 – $(120))	(173)		(149)
Equity securities (related party: 2022 – $(13) and 2021 – $(35))	(59)		(48)
Mortgage loans (related party: 2022 – $(167) and 2021 – $(42))	(4,258)		(1,786)
Investment funds (related party: 2022 – $(1,833) and 2021 – $(429))	(1,956)		(467)
Derivative instruments and other invested assets (related party: 2022 – $(77) and 2021 – $0)	(736)		(1,613)
Short-term investments (related party: 2022 – $(33) and 2021 – $(100))	(129)		(232)
Consolidation of new variable interest entities	393		—

Other investing activities, net	(225)		457
Net cash used in investing activities	(6,165)		(6,883)

			(Continued)
See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Condensed Consolidated Statements of Cash Flows (Unaudited)


		Three months ended March 31,					Successor		Predecessor
(In millions)	(In millions)	2021		2020		(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Cash flows from financing activities	Cash flows from financing activities					Cash flows from financing activities
Issuance of common stock	Issuance of common stock	$	1	$	350	Issuance of common stock	$	—	$	1

Repayment of short-term debt		0		(75)

Deposits on investment-type policies and contracts (related party: 2021 – $26 and 2020 – $18)		5,162		2,838
Withdrawals on investment-type policies and contracts (related party: 2021 – $(100) and 2020 – $(135))		(1,684)		(1,633)

Deposits on investment-type policies and contracts (related party: 2022 – $18 and 2021 – $26)						Deposits on investment-type policies and contracts (related party: 2022 – $18 and 2021 – $26)	8,342		5,162
Withdrawals on investment-type policies and contracts (related party: 2022 – $(88) and 2021 – $(100))						Withdrawals on investment-type policies and contracts (related party: 2022 – $(88) and 2021 – $(100))	(2,245)		(1,684)
Payments for coinsurance agreements on investment-type contracts, net	Payments for coinsurance agreements on investment-type contracts, net	(8)		(6)		Payments for coinsurance agreements on investment-type contracts, net	(13)		(8)
Capital contributions from noncontrolling interests	Capital contributions from noncontrolling interests	235		240		Capital contributions from noncontrolling interests	311		235
Capital distributions to noncontrolling interests	Capital distributions to noncontrolling interests	0		(46)		Capital distributions to noncontrolling interests	—		—
Net change in cash collateral posted for derivative transactions and securities to repurchase	Net change in cash collateral posted for derivative transactions and securities to repurchase	151		(372)		Net change in cash collateral posted for derivative transactions and securities to repurchase	27		151

Preferred stock dividends	Preferred stock dividends	(36)		(18)		Preferred stock dividends	(35)		(36)
Common stock dividends						Common stock dividends	(938)		—

Repurchase of common stock	Repurchase of common stock	(4)		(328)		Repurchase of common stock	—		(4)
Other financing activities, net	Other financing activities, net	(29)		20		Other financing activities, net	14		(29)
Net cash provided by financing activities	Net cash provided by financing activities	3,788		970		Net cash provided by financing activities	5,463		3,788
Effect of exchange rate changes on cash and cash equivalents	Effect of exchange rate changes on cash and cash equivalents	0		(22)		Effect of exchange rate changes on cash and cash equivalents	(4)		—
Net (decrease) increase in cash and cash equivalents		(1,469)		1,341
Net decrease in cash and cash equivalents						Net decrease in cash and cash equivalents	(551)		(1,469)
Cash and cash equivalents at beginning of year1	Cash and cash equivalents at beginning of year1	8,442		4,642		Cash and cash equivalents at beginning of year1	10,429		8,442
Cash and cash equivalents at end of period1	Cash and cash equivalents at end of period1	$	6,973	$	5,983	Cash and cash equivalents at end of period1	$	9,878	$	6,973

Supplementary information	Supplementary information					Supplementary information
Non-cash transactions	Non-cash transactions					Non-cash transactions
Deposits on investment-type policies and contracts through reinsurance agreements (related party: 2021 – $102 and 2020 – $72)		$	214	$	131
Withdrawals on investment-type policies and contracts through reinsurance agreements (related party: 2021 – $408 and 2020 – $418)		1,925		923
Deposits on investment-type policies and contracts through reinsurance agreements (related party: 2022 – $72 and 2021 – $102)						Deposits on investment-type policies and contracts through reinsurance agreements (related party: 2022 – $72 and 2021 – $102)	$	563	$	214
Withdrawals on investment-type policies and contracts through reinsurance agreements (related party: 2022 – $375 and 2021 – $408)						Withdrawals on investment-type policies and contracts through reinsurance agreements (related party: 2022 – $375 and 2021 – $408)	1,774		1,925
Investments received from settlements on reinsurance agreements	Investments received from settlements on reinsurance agreements	54		0		Investments received from settlements on reinsurance agreements	—		54

Investments received from pension risk transfer premiums		1,723		627
Investments received from pension group annuity premiums						Investments received from pension group annuity premiums	1,759		1,723

Related party investments received in exchange for the issuance of Class A common shares		0		1,147

Assets contributed to consolidated VIEs	Assets contributed to consolidated VIEs	169		0		Assets contributed to consolidated VIEs	—		169
Distributions to parent						Distributions to parent	2,145		—

1 Includes cash and cash equivalents and restricted cash.
1 Includes cash and cash equivalents, restricted cash and cash and cash equivalents of consolidated variable interest entities.						1 Includes cash and cash equivalents, restricted cash and cash and cash equivalents of consolidated variable interest entities.

(Concluded)

See accompanying notes to the unaudited condensed consolidated financial statements

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

1. Business, Basis of Presentation and Significant Accounting Policies

Athene Holding Ltd. (AHL), a Bermuda exempted company, together with its subsidiaries (collectively, Athene, we, our, us, or the Company), is a leading financial services company specializing in retirement services that issues, reinsures and acquires retirement savings products in the United States (US) and internationally.

We conduct business primarily through the following consolidated subsidiaries:

•Our non-US 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, AUSA).

In addition, we consolidate certain variable interest entities (VIEs) for which we have determined we are the primary beneficiary. See Note 45 – Variable Interest Entities for further information on VIEs.

Consolidation and Basis of Presentation—We have prepared the accompanying condensed consolidated financial statements in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information and the United States Securities and Exchange Commission’s rules and regulations for Form 10-Q and Article 10 of Regulation S-X. The accompanying condensed consolidated financial statements are unaudited and reflect all adjustments, consisting only of normal recurring items, considered necessary for fair statement of the results for the interim periods presented. All intercompany accounts and transactions have been eliminated. Interim operating results are not necessarily indicative of the results expected for the entire year, particularly in light of the material risks and uncertainties surrounding the spread of the Coronavirus Disease of 2019 (COVID-19), which has resulted in significant volatility in the financial markets.year.

For entities that are consolidated, but not wholly owned, we allocate a portion of the income or loss and corresponding equity to the owners other than us. We include the aggregate of the income or loss and corresponding equity that is not owned by us in noncontrolling interests in the condensed consolidated financial statements.

The condensed consolidated balance sheet as of December 31, ~~2020~~2021 has been derived from the audited financial statements, but does not include all of the information and footnotes required by GAAP for complete financial statements. Therefore, these condensed consolidated financial statements should be read in conjunction with our audited consolidated financial statements included in our Annual Report on Form 10-K for the year ended December 31, ~~2020.~~2021. The preparation of financial statements requires the use of management estimates. ~~Our estimates may vary as more information about the extent to which COVID-19 and the resulting impact on economic conditions and the financial markets become known.~~ Actual results may differ from estimates used in preparing the condensed consolidated financial statements.

Merger— – On ~~March 8, 2021,~~January 1, 2022, we ~~entered into an Agreement and Plan of Merger (Merger Agreement), by and among the Company,~~completed our merger with Apollo Global Management, Inc.~~, a Delaware corporation (AGM), Tango Holdings, Inc., a Delaware corporation~~ (AGM, and together with its subsidiaries other than us or our subsidiaries, Apollo) and are now a direct wholly owned subsidiary of ~~AGM (HoldCo), Blue Merger Sub, Ltd., a~~AGM. We have elected pushdown accounting in which we use AGM’s basis of accounting, which reflects the fair market value of our assets and liabilities at the time of the merger, unless otherwise prescribed by GAAP. Our condensed consolidated financial statements are presented as Predecessor for the periods prior to the merger and Successor for subsequent periods. We, along with certain of our non-US subsidiaries, are Bermuda exempted ~~company and~~companies that have historically not been subject to US corporate income taxes on earnings. Due to the merger, our non-US earnings will generally be subject to US corporate income taxes. See Note 2 – Business Combination for further information on the merger.

Segments—We operate our core business strategies out of one reportable segment. As a ~~direct~~ wholly owned subsidiary of ~~HoldCo (AHL Merger Sub), and Green Merger Sub, Inc.,~~AGM, we no longer report certain other operations in a Delaware corporation and a direct, wholly owned subsidiary of HoldCo (AGM Merger Sub). The Company and AGM have agreed, subject to the terms and conditions of the Merger Agreement, to effect an all-stock merger transaction to combine our respective businesses by: (1) AGM merging with AGM Merger Sub, with AGM surviving such merger as a direct wholly owned subsidiary of HoldCo (AGM Merger), (2) the Company merging with AHL Merger Sub, with the Company surviving such merger as a direct, wholly owned subsidiary of HoldCo (AHL Merger and, together with the AGM Merger, Mergers), and (3) as of the effective time of the Mergers, changing the name of HoldCo to be Apollo Global Management, Inc. At the effective time of the Mergers, each AHL Class A common share, subject to certain exceptions, will be converted automatically into the right to receive 1.149 shares of HoldCo common stock. The Mergers are expected to close in January 2022 and are subject to shareholder and regulatory approvals,corporate and other ~~customary closing conditions.~~segment.

~~Adopted~~Significant Accounting ~~Pronouncements~~Policies

~~Codification Improvements to Subtopic 310-20, Receivables~~Mortgage loans—Effective January 1, 2022, we elected the fair value option on our mortgage loan portfolio. Interest income is accrued on the principal amount of the loan based on its contractual interest rate. We accrue interest on loans until it is probable we will not receive interest, or the loan is 90 days past due unless guaranteed by US government-sponsored agencies. Interest income and prepayment fees are reported in net investment income on the condensed consolidated statements of income (loss). Changes in the fair value of the mortgage loan portfolio are reported in investment related gains (losses) on the condensed consolidated statements of income (loss).

Derivative Instruments

Embedded Derivatives – ~~Nonrefundable Fees~~ We issue and ~~Other Costs (ASU 2020-08)~~

~~The amendments in this update clarify~~reinsure products, primarily indexed annuity products, or purchase investments that ~~callable debt securities should be reevaluated each reporting period to~~contain embedded derivatives. If we determine if the ~~amortized cost exceeds the amount repayable by the issuer at the next earliest call date~~embedded derivative has economic characteristics not clearly and ~~if so, the excess should be amortized~~closely related to the ~~next call date. We adopted this update January 1, 2021~~economic characteristics of the host contract, and a separate instrument with the same terms would qualify as a derivative instrument, the embedded derivative is bifurcated from the host contract and accounted for separately, unless the fair value option is elected on ~~a prospective basis for existing or newly purchased callable debt securities. The adoption~~the host contract. Under the fair value option, bifurcation of ~~this update did~~the embedded derivative is not ~~have a material effect~~necessary as the entire contract is carried at fair value with all related gains and losses recognized in investment related gains (losses) on ~~our~~the condensed consolidated ~~financial statements.~~statements of income (loss). Embedded derivatives are carried on the condensed consolidated balance sheets at fair value in the same line item as the host contract.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

~~Clarifying~~

Fixed indexed annuity, index-linked variable annuity and indexed universal life insurance contracts allow the ~~Interactions between Topic 321, Topic 323, and Topic 815 (ASU 2020-01)~~

~~The amendments in this update are related~~policyholder to ~~certain~~elect a fixed interest rate return or an equity ~~securities without a readily determinable fair value that apply measurement alternative to measure~~market component for which interest credited is based on ~~cost, minus impairment, if any, adjusted for any observable price changes in orderly transactions~~the performance of ~~identical or similar investments~~certain stock market indices. The equity market option is an embedded derivative. The benefit reserve is equal to the sum of the same issuer. The amendment clarifies that an entity should consider observable transactions that require it to either apply or discontinue the equity method of accounting for the purposes of applying the measurement alternative immediately before applying or upon discontinuing the equity method. The amendment further clarifies that for the purpose of applying accounting for certain forward contracts or purchased options, an entity should not consider whether the underlying securities would be accounted for under the equity method or the fair value of the embedded derivative and the host (or guaranteed) component of the contracts. The fair value of the embedded derivatives represents the present value of cash flows attributable to the indexed strategies. The embedded derivative cash flows are based on assumptions for future policy growth, which include assumptions for expected index credits on the next policy anniversary date, future equity option ~~upon settlement or exercise. We adopted this update~~costs, volatility, interest rates and policyholder behavior assumptions including lapses and the use of benefit riders. The embedded derivative cash flows are discounted using a rate that reflects our own credit rating. The host contract is established at contract inception as the initial account value less the initial fair value of the embedded derivative and accreted over the policy’s life. Contracts acquired through a business combination which contain an embedded derivative are re-bifurcated as of the acquisition date. Changes in the fair value of embedded derivatives associated with fixed indexed annuities, index-linked variable annuities and indexed universal life insurance contracts are included in interest sensitive contract benefits on ~~a prospective basis effective January 1, 2021. This update did not have a material effect on our~~the condensed consolidated ~~financial statements.~~statements of income (loss).

~~Income Taxes – Simplifying~~Additionally, reinsurance agreements written on a funds withheld or modco basis contain embedded derivatives. We have determined that the ~~Accounting~~right to receive or obligation to pay the total return on the assets supporting the funds withheld at interest or funds withheld liability, respectively, represents a total return swap with a floating rate leg. The fair value of embedded derivatives on funds withheld and modco agreements is computed as the unrealized gain (loss) on the underlying assets and is included within funds withheld at interest and funds withheld liability on the condensed consolidated balance sheets for ~~Income Taxes (ASU 2019-12)~~

assumed and ceded agreements, respectively. The ~~amendments~~change in ~~this update simplify~~ the accounting for income taxes by eliminating certain exceptions to the tax accounting guidance related to the approach for intraperiod tax allocation, the methodology for calculating income taxes in an interim period, and the recognition of deferred tax liabilities related to foreign investment ownership changes. It also simplifies aspectsfair value of the ~~accounting for franchise taxes~~embedded derivatives is recorded in investment related gains (losses) on the condensed consolidated statements of income (loss). Assumed and ~~enacted~~ceded earnings from funds withheld at interest, funds withheld liability and changes in ~~tax laws or rates and clarifies~~ the ~~accounting for transactions that result~~fair value of embedded derivatives are reported in ~~a step-up in~~operating activities on the ~~tax basis of goodwill and allocating~~condensed consolidated ~~income taxes to separate financial~~ statements of ~~entities not subject~~cash flows. Contributions to ~~income tax. We adopted this update January 1, 2021~~ and ~~applied certain aspects of~~withdrawals from funds withheld at interest and funds withheld liability are reported in operating activities on the ~~update retrospectively while other aspects were applied on a modified retrospective basis. The adoption of this update did not have a material effect on our~~ condensed consolidated ~~financial statements.~~statements of cash flows.

Variable Interest Entities—An entity that does not have sufficient equity to finance its activities without additional financial support, or in which the equity investors, as a group, do not have the characteristics typically afforded to common shareholders is a VIE. The determination as to whether an entity qualifies as a VIE depends on the facts and circumstances surrounding each entity and may require significant judgment. Our investment funds typically qualify as VIEs and are evaluated for consolidation under the VIE model.

We are required to consolidate a VIE if we are the primary beneficiary, defined as the variable interest holder with both the power to direct the activities that most significantly impact the VIE’s economic performance and rights to receive benefits or obligations to absorb losses that could be potentially significant to the VIE. We determine whether we are the primary beneficiary of an entity based on a qualitative assessment of the VIE’s capital structure, contractual terms, nature of the VIE’s operations and purpose and our relative exposure to the related risks of the VIE. Since affiliates of AGM, a related party under common control, are the decision makers in certain of the investment funds and securitization vehicles, we and a member of our related party group may together have the characteristics of the primary beneficiary in a VIE. In this situation, we have concluded we must consolidate the VIE when we have significant economic exposure to the entity. We reassess the VIE and primary beneficiary determinations on an ongoing basis.

Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired

Deferred Acquisition Costs and Deferred Sales Inducements – Costs related directly to the successful acquisition of new, or renewal of, insurance or investment contracts are deferred to the extent they are recoverable from future premiums or gross profits. These costs consist of commissions and policy issuance costs, as well as sales inducements credited to policyholder account balances, and are included in deferred acquisition costs (DAC), deferred sales inducements (DSI) and value of business acquired (VOBA) on the condensed consolidated balance sheets. We perform periodic tests, including at issuance, to determine if the deferred costs are recoverable. If we determine that the deferred costs are not recoverable, we record a cumulative charge to the current period.

Deferred costs related to universal life-type policies and investment contracts with significant revenue streams from sources other than investment of the policyholder funds are amortized over the lives of the policies, based upon the proportion of the present value of actual and expected deferred costs to the present value of actual and expected gross profits to be earned over the life of the policies. Gross profits include investment spread margins, surrender charge income, policy administration charges and expenses, changes in the guaranteed lifetime withdrawal benefit (GLWB) and guaranteed minimum death benefit (GMDB) reserves and realized gains and losses on investments. Current period gross profits for fixed indexed annuities also include the change in fair value of both freestanding and embedded derivatives. Estimates of the expected gross profits and margins are based on assumptions using accepted actuarial methods related to policyholder behavior, including lapses and the utilization of benefit riders, mortality, yields on investments supporting the liabilities, future interest credited amounts (including indexed related credited amounts on fixed indexed annuity products), and other policy changes as applicable, and the level of expenses necessary to maintain the policies over their expected lives. Each reporting period, we update estimated gross profits with actual gross profits as part of the amortization process and adjust the DAC and DSI balances due to the other comprehensive income (OCI) effects of unrealized investment gains and losses on AFS securities. We also periodically revise the key assumptions used in the amortization calculation, which results in revisions to the estimated future gross profits. The effects of changes in assumptions are recorded as unlocking in the period in which the changes are made.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Deferred costs related to investment contracts without significant revenue streams from sources other than investment of the policyholder funds are amortized using the effective interest method. The effective interest method amortizes the deferred costs by discounting the future liability cash flows at a break-even rate. The break-even rate is solved for such that the present value of future liability cash flows is equal to the net liability at the inception of the contract.

Value of Business Acquired – We establish VOBA for blocks of insurance contracts acquired through the acquisition of insurance entities and through application of pushdown accounting. We record the fair value of the liabilities assumed in two components: reserves and VOBA. Reserves are established using our best estimate assumptions consistent with our policies for future policy benefits and interest sensitive contract liabilities. VOBA is the difference between the fair value of the liabilities and the reserves. VOBA can be either positive or negative. Any negative VOBA is recorded to the same financial statement line on the condensed consolidated balance sheets as the associated reserves. Positive VOBA is recorded in deferred acquisition costs, deferred sales inducements and value of business acquired on the condensed consolidated balance sheets. We perform periodic tests to determine if the VOBA remains recoverable. If we determine that VOBA is not recoverable, we record a cumulative charge to the current period.

In connection with the application of pushdown accounting, we changed our VOBA amortization method such that all VOBA and negative VOBA balances are amortized in relation to applicable policyholder liabilities. VOBA and negative VOBA are amortized in relation to applicable policyholder liabilities. Significant assumptions that impact VOBA and negative VOBA amortization are consistent with those that impact the measurement of policyholder liabilities. See Note 7 – Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired for further information.

Recognition of Revenues and Related Expenses—Revenues for universal life-type policies and investment contracts, including surrender and market value adjustments, costs of insurance, policy administration, GMDB, GLWB and no-lapse guarantee charges, are earned when assessed against policyholder account balances during the period. Interest credited to policyholder account balances and the change in fair value of embedded derivatives within fixed indexed annuity contracts is included in interest sensitive contract benefits on the condensed consolidated statements of income (loss).

Premiums for long-duration contracts, including products with fixed and guaranteed premiums and benefits, are recognized as revenue when due from policyholders. When premiums are due over a significantly shorter period than the period over which benefits are provided, such as immediate annuities with life contingencies (which includes pension group annuities), a deferred profit liability is established equal to the excess of the gross premium over the net premium. The deferred profit liability is recognized in future policy benefits on the condensed consolidated balance sheets and amortized into income in relation to applicable policyholder liabilities through future policy and other policy benefits on the condensed consolidated statements of income (loss).

All insurance related revenue is reported net of reinsurance ceded.

Recently Issued Accounting Pronouncements

Insurance – Targeted Improvements to the Accounting for Long-Duration Contracts (ASU 2020-11, ASU 2019-09, ASU 2018-12)

These updates amend four key areas pertaining to the accounting and disclosures for long-duration insurance and investment contracts.

•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 ~~guaranteed lifetime withdrawal benefit (GLWB)~~GLWB and ~~guaranteed minimum death benefit (GMDB)~~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.

We are required to adopt these updates on January 1, 2023. Certain provisions of the update are required to be adopted on a fully retrospective basis, while others may be adopted on a modified retrospective basis. Early adoption is permitted. We are currently evaluating the impact of this guidance on our condensed consolidated financial statements.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

2. Business Combination

At the closing of the merger with AGM, each issued and outstanding AHL Class A common share (other than shares held by Apollo, the Apollo Operating Group (AOG) or the respective direct or indirect wholly owned subsidiaries of Athene or the AOG) was converted automatically into 1.149 shares of AGM common shares and any cash paid in lieu of fractional AGM common shares. In connection with the merger, AGM issued to AHL Class A common shareholders 158.2 million AGM common shares in exchange for 137.6 million AHL Class A common shares that were issued and outstanding as of the acquisition date, exclusive of the 54.6 million shares previously held by Apollo immediately before the acquisition date.

The consideration was calculated based on historical AGM’s December 31, 2021 closing share price multiplied by the AGM common shares issued in the share exchange, as well as the fair value of stock-based compensation awards replaced, fair value of warrants converted to AGM common shares and other equity consideration, and effective settlement of pre-existing relationships and other consideration.

The following represents the calculation of consideration:


(In millions, except exchange ratio and share price data)	Consideration
AHL common shares purchased	138
Exchange ratio	1.149
Shares of common stock issued in exchange	158
AGM Class A shares closing price	$	72.43
Total merger consideration at closing	$	11,455
Fair value of estimated RSUs, options and warrants assumed and other equity consideration	699
Effective settlement of pre-existing relationships	896
Total merger consideration	13,050
Fair value of AHL common shares previously held by Apollo and other adjustments	4,554
Total AHL equity value held by AGM	17,604
Fair value of preferred stock	2,666
Noncontrolling interest	2,276
Total AHL equity value	$	22,546

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the calculation of goodwill and fair value amounts recognized:


(In millions)	Fair value and goodwill calculation
Merger consideration	$	13,050
Fair value of AHL common shares previously held by Apollo and other adjustments	4,554
Total AHL equity value held by AGM	17,604

Assets
Investments	$	175,987
Cash and cash equivalents	9,479
Restricted cash	796
Investment in related parties	33,786

Reinsurance recoverable	4,977
VOBA	4,547
Other assets	5,779
Assets of consolidated variable interest entities	3,635
Estimated fair value of total assets acquired by AGM	238,986
Liabilities
Interest sensitive contract liabilities	160,248
Future policy benefits	47,130
Long-term debt	3,295

Payables for collateral on derivatives and securities to repurchase	7,044
Other liabilities	2,443
Liabilities of consolidated variable interest entities	461
Estimated fair value of total liabilities assumed by AGM	220,621
Identifiable net assets	18,365
Less: Fair value of preferred stock	2,666
Less: Fair value of noncontrolling interests	2,276
Estimated fair value of net assets acquired by AGM, excluding goodwill	13,423
Goodwill attributable to AHL	$	4,181

Included within the above are provisional amounts for (1) VOBA, (2) interest sensitive contract liabilities, (3) future policy benefits, and (4) other assets and other liabilities for the portion of our net assets AGM acquired relating to other identifiable intangible assets and deferred taxes, based on the availability of data as of the date the financial statements were available to be issued. Any adjustment to provisional amounts will be made prospectively as data becomes available. The income effects from changes to provisional amounts will be recorded in the period the adjustment is made, as if the adjustment had been recorded on the merger date. We expect to finalize pushdown accounting as soon as practicable but no later than one year from the merger date.

As part of pushdown accounting, we recorded the calculated goodwill based on the amount that our AHL equity value to be held by AGM exceeded the fair value of identifiable net assets less the amounts attributable to fair values of preferred stock and noncontrolling interests. Goodwill is primarily attributable to the scale, skill sets, operations, and synergies that can be achieved subsequent to the merger. The goodwill recorded is not expected to be deductible for tax purposes. We incurred transaction costs of $70 million associated with the merger which were included in policy and other operating expenses on the consolidated statements of income for the year ended December 31, 2021.

We also recorded VOBA and other identifiable intangible assets. Other identifiable intangible assets are included in other assets on the condensed consolidated balance sheets, as follows:


Distribution channels						These assets are valued using the excess earnings method, which derives value based on the present value of the cash flow attributable to the distribution channels, less returns for contributory assets.
Trade name						This represents the Athene trade name and was valued using the relief-from-royalty method considering publicly available third-party trade name royalty rates as well as expected premiums generated by the use of the trade name over its anticipated life.
Insurance licenses						Licenses are protected through registration and were valued using the market approach based on third-party market transactions from which the prices paid for state insurance licenses could be derived.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The fair value and weighted average estimated useful life of identifiable intangible assets consists of the following:


	Fair value (in millions)		Weighted average useful life (in years)
VOBA	$	4,547	7
Distribution channels	1,870		18
Trade name	160		20
Insurance licenses	26		Indefinite
Total	$	6,603

3. Investments

AFS Securities—Our AFS investment portfolio includes bonds, collateralized loan obligations (CLO), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS), residential mortgage-backed securities (RMBS) and redeemable preferred stock. Our AFS investment portfolio includes related party investments that are primarily comprised of investments over which Apollo can exercise significant influence. These investments are presented as investments in related parties on the condensed consolidated balance sheets, and are separately disclosed below.

The following table represents the amortized cost, allowance for credit losses, gross unrealized gains and losses and fair value of our AFS investments by asset type:

March 31, 2021
(In millions) Amortized Cost Allowance for Credit Losses Gross Unrealized Gains Gross Unrealized Losses Fair Value
AFS securities
US government and agencies $ 375 $ 0 $ 1 $ (25) $ 351
US state, municipal and political subdivisions 898 0 115 (7) 1,006
Foreign governments 373 0 18 (9) 382
Corporate 55,922 (8) 3,750 (816) 58,848
CLO 11,299 0 94 (121) 11,272
ABS 4,761 (11) 152 (70) 4,832
CMBS 2,218 (14) 66 (64) 2,206
RMBS 6,344 (78) 383 (22) 6,627
Total AFS securities 82,190 (111) 4,579 (1,134) 85,524
AFS securities – related party
Corporate 213 0 8 0 221
CLO 1,864 0 13 (8) 1,869
ABS 4,777 0 78 (40) 4,815
Total AFS securities – related party 6,854 0 99 (48) 6,905
Total AFS securities including related party $ 89,044 $ (111) $ 4,678 $ (1,182) $ 92,429


													Successor
		December 31, 2020											March 31, 2022
(In millions)	(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value		(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities	AFS securities											AFS securities
US government and agencies	US government and agencies	$	349	$	0	$	3	$	(1)	$	351	US government and agencies	$	3,123	$	—	$	1	$	(163)	$	2,961
US state, municipal and political subdivisions	US state, municipal and political subdivisions	864		0		169		0		1,033		US state, municipal and political subdivisions	1,209		—		—		(117)		1,092
Foreign governments	Foreign governments	330		0		38		0		368		Foreign governments	1,173		(66)		11		(107)		1,011
Corporate	Corporate	51,934		(6)		6,368		(116)		58,180		Corporate	65,935		(55)		34		(5,675)		60,239
CLO	CLO	9,631		(1)		145		(206)		9,569		CLO	14,282		(18)		3		(239)		14,028
ABS	ABS	4,259		(6)		140		(123)		4,270		ABS	9,572		(11)		4		(281)		9,284
CMBS	CMBS	2,165		(10)		85		(71)		2,169		CMBS	2,883		(6)		14		(144)		2,747
RMBS	RMBS	6,568		(80)		447		(22)		6,913		RMBS	6,045		(312)		8		(204)		5,537
Total AFS securities	Total AFS securities	76,100		(103)		7,395		(539)		82,853		Total AFS securities	104,222		(468)		75		(6,930)		96,899
AFS securities – related party	AFS securities – related party											AFS securities – related party
Corporate	Corporate	213		0		2		0		215		Corporate	948		—		10		(26)		932
CLO	CLO	1,511		(1)		23		(13)		1,520		CLO	2,776		(3)		2		(43)		2,732
ABS	ABS	4,720		0		95		(30)		4,785		ABS	4,705		(17)		4		(32)		4,660
Total AFS securities – related party	Total AFS securities – related party	6,444		(1)		120		(43)		6,520		Total AFS securities – related party	8,429		(20)		16		(101)		8,324
Total AFS securities including related party	Total AFS securities including related party	$	82,544	$	(104)	$	7,515	$	(582)	$	89,373	Total AFS securities including related party	$	112,651	$	(488)	$	91	$	(7,031)	$	105,223

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)


	Predecessor
	December 31, 2021
(In millions)	Amortized Cost		Allowance for Credit Losses		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
AFS securities
US government and agencies	$	231	$	—	$	2	$	(10)	$	223
US state, municipal and political subdivisions	1,081		—		134		(2)		1,213
Foreign governments	1,110		—		35		(17)		1,128
Corporate	62,817		—		4,060		(651)		66,226
CLO	13,793		—		44		(185)		13,652
ABS	8,890		(17)		151		(35)		8,989
CMBS	2,764		(3)		56		(59)		2,758
RMBS	5,772		(103)		326		(25)		5,970
Total AFS securities	96,458		(123)		4,808		(984)		100,159
AFS securities – related party
Corporate	842		—		19		(2)		859
CLO	2,573		—		5		(29)		2,549
ABS	6,986		—		61		(53)		6,994
Total AFS securities – related party	10,401		—		85		(84)		10,402
Total AFS securities including related party	$	106,859	$	(123)	$	4,893	$	(1,068)	$	110,561

The amortized cost and fair value of AFS securities, including related party, are shown by contractual maturity below:


							Successor
		March 31, 2021					March 31, 2022
(In millions)	(In millions)	Amortized Cost		Fair Value		(In millions)	Amortized Cost		Fair Value
AFS securities	AFS securities					AFS securities
Due in one year or less	Due in one year or less	$	985	$	1,000	Due in one year or less	$	1,047	$	1,041
Due after one year through five years	Due after one year through five years	8,603		9,060		Due after one year through five years	9,154		8,734
Due after five years through ten years	Due after five years through ten years	15,913		16,559		Due after five years through ten years	18,960		17,605
Due after ten years	Due after ten years	32,067		33,968		Due after ten years	42,279		37,923
CLO, ABS, CMBS and RMBS	CLO, ABS, CMBS and RMBS	24,622		24,937		CLO, ABS, CMBS and RMBS	32,782		31,596
Total AFS securities	Total AFS securities	82,190		85,524		Total AFS securities	104,222		96,899
AFS securities – related party	AFS securities – related party					AFS securities – related party

Due after one year through five years	Due after one year through five years	18		19		Due after one year through five years	24		23
Due after five years through ten years	Due after five years through ten years	195		202		Due after five years through ten years	776		752

Due after ten years						Due after ten years	148		157
CLO and ABS	CLO and ABS	6,641		6,684		CLO and ABS	7,481		7,392
Total AFS securities – related party	Total AFS securities – related party	6,854		6,905		Total AFS securities – related party	8,429		8,324
Total AFS securities including related party	Total AFS securities including related party	$	89,044	$	92,429	Total AFS securities including related party	$	112,651	$	105,223

Actual maturities can differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment penalties.

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Unrealized Losses on AFS Securities—The following summarizes the fair value and gross unrealized losses for AFS securities, including related party, for which an allowance for credit losses has not been recorded, aggregated by asset type and length of time the fair value has remained below amortized cost:


															Successor
		March 31, 2021													March 31, 2022
		Less than 12 months				12 months or more				Total					Less than 12 months				12 months or more				Total
(In millions)	(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		(In millions)	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
AFS securities	AFS securities													AFS securities
US government and agencies	US government and agencies	$	312	$	(25)	$	0	$	0	$	312	$	(25)	US government and agencies	$	2,919	$	(163)	$	—	$	—	$	2,919	$	(163)
US state, municipal and political subdivisions	US state, municipal and political subdivisions	226		(7)		6		0		232		(7)		US state, municipal and political subdivisions	1,080		(117)		—		—		1,080		(117)
Foreign governments	Foreign governments	211		(9)		1		0		212		(9)		Foreign governments	951		(107)		—		—		951		(107)
Corporate	Corporate	15,665		(749)		398		(43)		16,063		(792)		Corporate	59,336		(5,674)		—		—		59,336		(5,674)
CLO	CLO	2,643		(19)		2,873		(89)		5,516		(108)		CLO	12,066		(214)		—		—		12,066		(214)
ABS	ABS	752		(21)		524		(40)		1,276		(61)		ABS	6,098		(247)		—		—		6,098		(247)
CMBS	CMBS	588		(23)		245		(22)		833		(45)		CMBS	2,360		(134)		—		—		2,360		(134)
RMBS	RMBS	562		(7)		124		(4)		686		(11)		RMBS	3,677		(157)		—		—		3,677		(157)
Total AFS securities	Total AFS securities	20,959		(860)		4,171		(198)		25,130		(1,058)		Total AFS securities	88,487		(6,813)		—		—		88,487		(6,813)
AFS securities – related party	AFS securities – related party													AFS securities – related party

Corporate														Corporate	775		(26)		—		—		775		(26)
CLO	CLO	601		(1)		216		(4)		817		(5)		CLO	2,069		(38)		—		—		2,069		(38)
ABS	ABS	2,262		(40)		14		0		2,276		(40)		ABS	1,521		(28)		—		—		1,521		(28)
Total AFS securities – related party	Total AFS securities – related party	2,863		(41)		230		(4)		3,093		(45)		Total AFS securities – related party	4,365		(92)		—		—		4,365		(92)
Total AFS securities including related party	Total AFS securities including related party	$	23,822	$	(901)	$	4,401	$	(202)	$	28,223	$	(1,103)	Total AFS securities including related party	$	92,852	$	(6,905)	$	—	$	—	$	92,852	$	(6,905)


	Predecessor
	December 31, 2021
	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
US government and agencies	$	164	$	(8)	$	22	$	(2)	$	186	$	(10)
US state, municipal and political subdivisions	122		(2)		1		—		123		(2)
Foreign governments	387		(17)		1		—		388		(17)
Corporate	18,995		(523)		863		(59)		19,858		(582)
CLO	7,685		(124)		1,537		(35)		9,222		(159)
ABS	4,038		(16)		165		(12)		4,203		(28)
CMBS	880		(29)		177		(22)		1,057		(51)
RMBS	437		(9)		274		(5)		711		(14)
Total AFS securities	32,708		(728)		3,040		(135)		35,748		(863)
AFS securities – related party
Corporate	313		(2)		—		—		313		(2)
CLO	1,245		(20)		163		(3)		1,408		(23)
ABS	3,801		(52)		13		(1)		3,814		(53)
Total AFS securities – related party	5,359		(74)		176		(4)		5,535		(78)
Total AFS securities including related party	$	38,067	$	(802)	$	3,216	$	(139)	$	41,283	$	(941)

1822

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

December 31, 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
US government and agencies $ 31 $ (1) $ 0 $ 0 $ 31 $ (1)
US state, municipal and political subdivisions 9 0 6 0 15 0
Foreign governments 2 0 0 0 2 0
Corporate 2,218 (66) 248 (24) 2,466 (90)
CLO 1,649 (33) 3,179 (167) 4,828 (200)
ABS 1,169 (73) 84 (18) 1,253 (91)
CMBS 710 (37) 48 (13) 758 (50)
RMBS 548 (11) 37 (2) 585 (13)
Total AFS securities 6,336 (221) 3,602 (224) 9,938 (445)
AFS securities – related party
CLO 336 (3) 232 (10) 568 (13)
ABS 1,012 (30) 0 0 1,012 (30)
Total AFS securities – related party 1,348 (33) 232 (10) 1,580 (43)
Total AFS securities including related party $ 7,684 $ (254) $ 3,834 $ (234) $ 11,518 $ (488)

The following summarizes the number of AFS securities that were in an unrealized loss position, including related party, for which an allowance for credit losses has not been recorded:

March 31, 2021
Unrealized loss position Unrealized loss position 12 months or more
AFS securities 3,556 480
AFS securities – related party 56 8


	Successor
	March 31, 2022
	Unrealized loss position	Unrealized loss position 12 months or more
AFS securities	8,329	—
AFS securities – related party	106	—

The unrealized losses on AFS securities can primarily be attributed to changes in market interest rates since application of pushdown accounting or acquisition. We did not recognize the unrealized losses in income as we intend to hold these securities and it is not more likely than not we will be required to sell a security before the recovery of its amortized cost.

Allowance for Credit Losses—The following table summarizes the activity in the allowance for credit losses for AFS securities ~~including Purchase Credit Deteriorated (PCD) securities,~~ by asset type:

Three months ended March 31, 2021
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 $ 6 $ 2 $ 0 $ (2) $ 2 $ 8
CLO 1 0 0 0 (1) 0
ABS 6 5 0 0 0 11
CMBS 10 2 0 0 2 14
RMBS 80 0 2 (3) (1) 78
Total AFS securities 103 9 2 (5) 2 111
AFS securities – related party, CLO 1 0 0 (1) 0 0
Total AFS securities including related party $ 104 $ 9 $ 2 $ (6) $ 2 $ 111


	Successor
	Three months ended March 31, 2022
			Additions				Reductions
(In millions)	January 1, 2022		Initial credit losses		Initial credit losses on PCD securities		Securities sold during the period		Additions (reductions) to previously impaired securities		Ending Balance
AFS securities


Foreign governments	$	—	$	66	$	—	$	—	$	—	$	66
Corporate	—		55		—		—		—		55
CLO	—		18		—		—		—		18
ABS	5		5		—		—		1		11
CMBS	—		6		—		—		—		6
RMBS	306		9		—		(8)		5		312
Total AFS securities	311		159		—		(8)		6		468
AFS securities – related party

CLO	—		3		—		—		—		3
ABS	—		17		—		—		—		17
Total AFS securities – related party	—		20		—		—		—		20
Total AFS securities including related party	$	311	$	179	$	—	$	(8)	$	6	$	488


	Predecessor
	Three months ended March 31, 2021
			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	$	6	$	2	$	—	$	(2)	$	2	$	8
CLO	1		—		—		—		(1)		—
ABS	6		5		—		—		—		11
CMBS	10		2		—		—		2		14
RMBS	80		—		2		(3)		(1)		78
Total AFS securities	103		9		2		(5)		2		111

AFS securities - related party, CLO	1		—		—		(1)		—		—


Total AFS securities including related party	$	104	$	9	$	2	$	(6)	$	2	$	111

1923

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Three months ended March 31, 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 $ 0 $ 15 $ 0 $ 0 $ 0 $ 15
ABS 0 5 0 0 0 5
CMBS 0 4 0 0 0 4
RMBS 17 35 1 (1) 2 54
Total AFS securities $ 17 $ 59 $ 1 $ (1) $ 2 $ 78

Net Investment Income—Net investment income by asset class, including related party, consists of the following:


		Three months ended March 31,			Successor						Predecessor
(In millions)	(In millions)		2021			2020		(In millions)	Three months ended March 31, 2022			Three months ended March 31, 2021
AFS securities	AFS securities		$	860		$	837	AFS securities	$	876		$	860
Trading securities	Trading securities		63			48		Trading securities	63			63
Equity securities	Equity securities		4			4		Equity securities	15			4
Mortgage loans	Mortgage loans		192			186		Mortgage loans	237			178
Investment funds	Investment funds		463			(278)		Investment funds	304			442
Funds withheld at interest	Funds withheld at interest		206			41		Funds withheld at interest	337			206
Other	Other		64			37		Other	42			64
Investment revenue	Investment revenue		1,852			875		Investment revenue	1,874			1,817
Investment expenses	Investment expenses		(148)			(130)		Investment expenses	(191)			(148)
Net investment income	Net investment income		$	1,704		$	745	Net investment income	$	1,683		$	1,669

Investment Related Gains (Losses)—Investment related gains (losses) by asset class, including related party, consists of the following:


		Three months ended March 31,			Successor						Predecessor
(In millions)	(In millions)		2021			2020		(In millions)	Three months ended March 31, 2022			Three months ended March 31, 2021
AFS securities	AFS securities							AFS securities
Gross realized gains on investment activity	Gross realized gains on investment activity		$	73		$	164	Gross realized gains on investment activity	$	103		$	73
Gross realized losses on investment activity	Gross realized losses on investment activity		(143)			(134)		Gross realized losses on investment activity	(410)			(143)
Net realized investment gains (losses) on AFS securities			(70)			30
Net realized investment losses on AFS securities								Net realized investment losses on AFS securities	(307)			(70)
Net recognized investment losses on trading securities	Net recognized investment losses on trading securities		(69)			(223)		Net recognized investment losses on trading securities	(207)			(69)
Net recognized investment gains (losses) on equity securities			17			(50)
Net recognized investment gains on equity securities								Net recognized investment gains on equity securities	23			17
Net recognized investment losses on mortgage loans								Net recognized investment losses on mortgage loans	(796)			—
Derivative losses	Derivative losses		(438)			(3,019)		Derivative losses	(3,041)			(438)
Provision for credit losses	Provision for credit losses		(8)			(284)		Provision for credit losses	(192)			58
Other gains (losses)			80			(26)
Other gains								Other gains	320			80
Investment related gains (losses)	Investment related gains (losses)		$	(488)		$	(3,572)	Investment related gains (losses)	$	(4,200)		$	(422)

Proceeds from sales of AFS securities were ~~$892~~$298 million and ~~$1,807~~$892 million for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively.

The following table summarizes the change in unrealized gains (losses) on trading and equity securities, including related party, we held as of the respective period end:


		Three months ended March 31,						Successor			Predecessor
(In millions)	(In millions)		2021		2020		(In millions)		Three months ended March 31, 2022			Three months ended March 31, 2021
Trading securities	Trading securities		$	(121)	$	(73)	Trading securities		$	(189)		$	(121)
Trading securities – related party	Trading securities – related party		58		(109)		Trading securities – related party		(4)			58
Equity securities	Equity securities		9		(37)		Equity securities		17			9
Equity securities – related party	Equity securities – related party		6		0		Equity securities – related party		(5)			6

2024

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

~~Purchased Financial Assets with Credit Deterioration—The following table summarizes our PCD investment purchases with the following amounts at the time of purchase:~~

Three months ended March 31, 2021
(In millions) Fixed maturity securities Mortgage loans
Purchase price $ 6 $ 335
Allowance for credit losses at acquisition 2 6
Discount (premiums) attributable to other factors (2) (26)
Par value $ 6 $ 315

Repurchase Agreements—The following table summarizes the maturities of our repurchase agreements:


															Successor
		March 31, 2021													March 31, 2022
		Remaining Contractual Maturity													Remaining Contractual Maturity
(In millions)	(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total		(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	Payables for repurchase agreements1	$	0	$	0	$	0	$	0	$	599	$	599	Payables for repurchase agreements1	$	—	$	1,927	$	344	$	200	$	1,495	$	3,966

1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.	1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.													1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.


															Predecessor
		December 31, 2020													December 31, 2021
		Remaining Contractual Maturity													Remaining Contractual Maturity
(In millions)	(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total		(In millions)	Overnight and continuous		Less than 30 days		30-90 days		91 days to 1 year		Greater than 1 year		Total
Payables for repurchase agreements1	Payables for repurchase agreements1	$	0	$	0	$	0	$	0	$	598	$	598	Payables for repurchase agreements1	$	—	$	2,512	$	—	$	—	$	598	$	3,110

1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.	1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.													1 Included in payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets.

The following table summarizes the securities pledged as collateral for repurchase agreements:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions)	(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value		(In millions)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
AFS securities										AFS securities
U.S. government and agencies										U.S. government and agencies	$	2,671	$	2,536	$	—	$	—

Corporate										Corporate	1,264		1,170		2,923		3,208
CLO										CLO	263		261		—		—

AFS securities – Corporate		$	553	$	603	$	559	$	644
Total securities pledged under repurchase agreements										Total securities pledged under repurchase agreements	$	4,198	$	3,967	$	2,923	$	3,208

Reverse Repurchase Agreements—As of March 31, 2022, amounts loaned under reverse repurchase agreements were $26 million, and collateral received was $616 million.

Mortgage Loans, including related party and VIEs—Mortgage loans ~~net~~includes both commercial and residential loans. In connection with the merger, we elected the fair value option on our mortgage loan portfolio. See Note 6 – Fair Value for further fair value option information. The following represents the mortgage loan portfolio:


	Successor
(In millions)	March 31, 2022
Commercial mortgage loans	$	18,428
Commercial mortgage loans under development	602
Total commercial mortgage loans – unpaid principal balance	19,030
Mark to fair value	(640)
Commercial mortgage loans	18,390
Residential mortgage loans – unpaid principal balance	8,706
Mark to fair value	(64)
Residential mortgage loans	8,642
Mortgage loans	$	27,032

Table of ~~allowances, consists of~~Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the ~~following:~~mortgage loan portfolio based on amortized cost:

(In millions) March 31, 2021 December 31, 2020
Commercial mortgage loans $ 12,385 $ 11,383
Commercial mortgage loans under development 283 232
Total commercial mortgage loans 12,668 11,615
Allowance for credit losses on commercial mortgage loans (172) (167)
Commercial mortgage loans, net of allowances 12,496 11,448
Residential mortgage loans 4,967 4,569
Allowance for credit losses on residential mortgage loans (78) (79)
Residential mortgage loans, net of allowances 4,889 4,490
Mortgage loans, net of allowances $ 17,385 $ 15,938


	Predecessor
(In millions)	December 31, 2021
Commercial mortgage loans	$	16,565
Commercial mortgage loans under development	499
Total commercial mortgage loans	17,064
Allowance for credit losses on commercial mortgage loans	(167)
Commercial mortgage loans	16,897
Residential mortgage loans	7,321
Allowance for credit losses on residential mortgage loans	(70)
Residential mortgage loans	7,251
Mortgage loans	$	24,148

We primarily invest in commercial mortgage loans on income producing properties including office and retail buildings, apartments, hotels and industrial properties. We diversify the commercial mortgage loan portfolio by geographic region and property type to reduce concentration risk. We evaluate mortgage loans based on relevant current information to confirm if properties are performing at a consistent and acceptable level to secure the related debt.

The distribution of commercial mortgage loans, including those under development, by property type and geographic region, is as follows:


	Successor				Predecessor
	March 31, 2022				December 31, 2021
(In millions, except for percentages)	Fair Value		Percentage of Total		Net Carrying Value		Percentage of Total
Property type
Office building	$	4,857	26.4	%	$	4,870	28.8	%
Retail	2,086		11.3	%	2,022		12.0	%
Apartment	5,602		30.5	%	4,626		27.4	%
Hotels	1,731		9.4	%	1,727		10.2	%
Industrial	2,320		12.6	%	2,336		13.8	%
Other commercial	1,794		9.8	%	1,316		7.8	%
Total commercial mortgage loans	$	18,390	100.0	%	$	16,897	100.0	%

US region
East North Central	$	1,635	8.9	%	$	1,697	10.0	%
East South Central	453		2.4	%	470		2.8	%
Middle Atlantic	3,752		20.4	%	3,637		21.5	%
Mountain	809		4.4	%	460		2.7	%
New England	1,132		6.1	%	453		2.7	%
Pacific	3,993		21.7	%	3,994		23.6	%
South Atlantic	3,008		16.4	%	2,817		16.7	%
West North Central	288		1.6	%	271		1.6	%
West South Central	969		5.3	%	997		5.9	%
Total US region	16,039		87.2	%	14,796		87.5	%
International region
United Kingdom	1,543		8.4	%	1,279		7.6	%
Other International1	808		4.4	%	822		4.9	%
Total international region	2,351		12.8	%	2,101		12.5	%
Total commercial mortgage loans	$	18,390	100.0	%	$	16,897	100.0	%

1 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

~~The distribution of commercial mortgage loans, including those under development, net of allowances, by property type and geographic region, is as follows:~~

March 31, 2021 December 31, 2020
(In millions, except for percentages) Net Carrying Value Percentage of Total Net Carrying Value Percentage of Total
Property type
Office building $ 3,817 30.5 % $ 3,589 31.4 %
Retail 2,100 16.8 % 2,083 18.2 %
Apartment 2,770 22.2 % 2,441 21.3 %
Hotels 1,334 10.7 % 1,294 11.3 %
Industrial 1,801 14.4 % 1,362 11.9 %
Other commercial 674 5.4 % 679 5.9 %
Total commercial mortgage loans $ 12,496 100.0 % $ 11,448 100.0 %
US Region
East North Central $ 1,224 9.8 % $ 1,209 10.5 %
East South Central 414 3.3 % 402 3.5 %
Middle Atlantic 3,227 25.8 % 3,069 26.8 %
Mountain 480 3.9 % 487 4.2 %
New England 376 3.0 % 350 3.1 %
Pacific 2,919 23.4 % 2,746 24.0 %
South Atlantic 1,875 15.0 % 1,773 15.5 %
West North Central 141 1.1 % 145 1.3 %
West South Central 674 5.4 % 640 5.6 %
Total US Region 11,330 90.7 % 10,821 94.5 %
International Region
United Kingdom 724 5.8 % 0 0 %
Other International1
442 3.5 % 627 5.5 %
Total International Region 1,166 9.3 % 627 5.5 %
Total commercial mortgage loans $ 12,496 100.0 % $ 11,448 100.0 %
1 Represents all other countries, with each individual country comprising less than 5% of the portfolio.

Our residential mortgage loan portfolio includes first lien residential mortgage loans collateralized by properties in various geographic locations and is summarized by proportion of the portfolio in the following table:

March 31, 2021 December 31, 2020
US States
California 23.3 % 24.8 %
Florida 12.6 % 13.3 %
New York 6.7 % 6.2 %
Other1
43.1 % 41.1 %
Total US residential mortgage loan percentage 85.7 % 85.4 %
International
Ireland 11.1 % 12.9 %
Other2
3.2 % 1.7 %
Total International residential mortgage loan percentage 14.3 % 14.6 %
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.

~~Table of Contents~~


	Successor		Predecessor
	March 31, 2022		December 31, 2021
US states
California	30.9	%	28.4	%
Florida	10.0	%	11.4	%
New Jersey	5.2	%	5.1	%

Other1	42.9	%	43.3	%
Total US residential mortgage loan percentage	89.0	%	88.2	%
International
Ireland	4.9	%	6.4	%
Other2	6.1	%	5.4	%
Total international residential mortgage loan percentage	11.0	%	11.8	%
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.

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

~~Loan Valuation Allowance~~—~~The allowances for our mortgage loan portfolio and other loans is summarized as follows:~~

Three months ended March 31, 2021
(In millions) Commercial Mortgage Residential Mortgage Other Investments Total
Beginning balance $ 167 $ 79 $ 7 $ 253
Provision (reversal) for expected credit losses 5 (7) (5) (7)
Initial credit losses on PCD loans 0 6 0 6
Ending balance $ 172 $ 78 $ 2 $ 252

Three months ended March 31, 2020
(In millions) Commercial Mortgage Residential Mortgage Other Investments Total
Beginning balance $ 10 $ 1 $ 0 $ 11
Adoption of accounting standard 167 43 11 221
Provision for expected credit losses 166 37 1 204
Ending balance $ 343 $ 81 $ 12 $ 436

~~Commercial mortgage loans~~ – Our allowance model for commercial mortgage loans is based on the characteristics of the loans in our portfolio, historical economic data and loss information, and current and forecasted economic conditions. Key loan characteristics affecting the estimate include, among others: time to maturity, delinquency status, loan-to-value ratios, debt service coverage ratios, etc. Key macroeconomic variables include unemployment rates, rent growth, capitalization rates, and the housing price index. Management reviews and approves forecasted macroeconomic variables, along with the reasonable and supportable forecast period and mean reversion technique. Management also evaluates assumptions from independent third parties and these assumptions have a high degree of subjectivity. The mean reversion technique varies by macroeconomic variable and may vary by geographic location. As of March 31, 2021, our reasonable and supportable forecast period was one year, after which, we revert to the 30-year or greater historical average or the 10-year US Department of the Treasury (Treasury) constant maturity rate over a period of up to eight years.

~~Residential mortgage loans~~ – Our allowance model for residential mortgage loans is based on the characteristics of the loans in our portfolio, historical economic data and loss information, and current and forecasted economic conditions. Key loan characteristics affecting the estimate include, among others: time to maturity, delinquency status, original credit scores and loan-to-value ratios. Key macroeconomic variables include unemployment rates and the housing price index. Management reviews and approves forecasted macroeconomic variables, along with the reasonable and supportable forecast period and mean reversion technique. Management also evaluates assumptions from independent third parties and these assumptions have a high degree of subjectivity. The mean reversion technique varies by macroeconomic variable and may vary by geographic location. As of March 31, 2021, our reasonable and supportable forecast period was one year, after which, we revert to the 30-year or greater historical average over a period of up to one year and then continue at those averages through the contractual life of the loan.

~~Other investments~~ – The allowance model for the loans included in other investments and related party other investments derives an estimate based on historical loss data available for similarly rated unsecured corporate debt obligations, while also incorporating management’s expectations around prepayment. See ~~Note 9 – Related Parties~~ ~~for further information on the related party loans.~~

~~Credit Quality Indicators~~

~~Residential mortgage loans~~ – The underwriting process for our residential mortgage loans includes an evaluation of relevant credit information including past loan performance, credit scores, loan-to-value and other relevant information. Subsequent to purchase or origination, we closely monitor economic conditions and loan performance to manage and evaluate our exposure to credit risk in our residential mortgage loan portfolio. The primary credit quality indicator monitored for residential mortgage loans is loan performance. Nonperforming residential mortgage loans are 90 days or more past due and/or are in non-accrual status.

~~Table of Contents~~

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

~~The following represents our residential loan portfolio by origination year and performance status:~~

March 31, 2021
(In millions) 2021 2020 2019 2018 2017 Prior Total
Current (less than 30 days past due) $ 542 $ 911 $ 789 $ 1,594 $ 458 $ 121 $ 4,415
30 to 59 days past due 49 90 38 31 24 10 242
60 to 89 days past due 0 16 66 15 8 3 108
90 days or more past due 0 17 45 61 51 28 202
Total residential mortgages $ 591 $ 1,034 $ 938 $ 1,701 $ 541 $ 162 $ 4,967
December 31, 2020
(In millions) 2020 2019 2018 2017 2016 Prior Total
Current (less than 30 days past due) $ 955 $ 942 $ 1,730 $ 485 $ 141 $ 6 $ 4,259
30 to 59 days past due 68 16 34 26 8 1 153
60 to 89 days past due 15 7 16 9 3 0 50
90 days or more past due 3 26 22 43 12 1 107
Total residential mortgages $ 1,041 $ 991 $ 1,802 $ 563 $ 164 $ 8 $ 4,569

~~The following represents our residential loan portfolio in non-accrual status:~~

(In millions) March 31, 2021 December 31, 2020
Beginning amortized cost of residential mortgage loans in non-accrual status $ 107 $ 67
Ending amortized cost of residential mortgage loans in non-accrual status 199 107
Amortized cost of residential mortgage loans in non-accrual status without a related allowance for credit losses 38 13

~~During the three months ended March 31, 2021 and 2020, we recognized $2 million and $1 million, respectively, of interest income on residential mortgage loans in non-accrual status.~~

~~Commercial mortgage loans~~ ~~– The following represents our commercial mortgage loan portfolio by origination year and loan performance status:~~

March 31, 2021
(In millions) 2021 2020 2019 2018 2017 Prior Total
Current (less than 30 days past due) $ 1,043 $ 1,982 $ 4,424 $ 2,653 $ 985 $ 1,529 $ 12,616
30 to 59 days past due 0 0 5 22 0 0 27
90 days or more past due 0 0 0 0 25 0 25
Total commercial mortgages $ 1,043 $ 1,982 $ 4,429 $ 2,675 $ 1,010 $ 1,529 $ 12,668
December 31, 2020
(In millions) 2020 2019 2018 2017 2016 Prior Total
Current (less than 30 days past due) $ 1,913 $ 4,400 $ 2,617 $ 987 $ 130 $ 1,452 $ 11,499
30 to 59 days past due 0 20 45 25 0 5 95
90 days or more past due 0 0 0 0 0 21 21
Total commercial mortgages $ 1,913 $ 4,420 $ 2,662 $ 1,012 $ 130 $ 1,478 $ 11,615

~~As of March 31, 2021 and December 31, 2020, we had $25 million and $0 million, respectively, of commercial mortgage loans that were 90 days or more past due and still accruing interest.~~

~~The following represents our commercial mortgage loan portfolio in non-accrual status:~~

(In millions) March 31, 2021 December 31, 2020
Beginning amortized cost of commercial mortgage loans in non-accrual status $ 38 $ 0
Ending amortized cost of commercial mortgage loans in non-accrual status 37 38
Amortized cost of commercial mortgage loans in non-accrual status without a related allowance for credit losses 0 0

~~During the three months ended March 31, 2021 and 2020, 0 interest income was recognized on commercial mortgage loans in non-accrual status.~~

~~Table of Contents~~

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

Loan-to-value and debt service coverage ratios are measures we use to assess the risk and quality of commercial mortgage loans other than those under development. Loans under development are not evaluated using these ratios as the properties underlying these loans are generally not yet income-producing and the value of the underlying property significantly fluctuates based on the progress of construction. Therefore, the risk and quality of loans under development are evaluated based on the aging and geographical distribution of such loans as shown above.

The loan-to-value ratio is expressed as a percentage of the amount of the loan relative to the value of the underlying property. A loan-to-value ratio in excess of 100% indicates the unpaid loan amount exceeds the value of the underlying collateral. Loan-to-value information is updated annually as part of the re-underwriting process supporting the NAIC risk-based capital rating criteria. The following represents the loan-to-value ratio of the commercial mortgage loan portfolio, excluding those under development, by origination year:

March 31, 2021
(In millions) 2021 2020 2019 2018 2017 Prior Total
Less than 50% $ 252 $ 453 $ 606 $ 201 $ 151 $ 1,140 $ 2,803
50% to 59% 67 291 1,332 715 325 196 2,926
60% to 69% 595 646 1,990 1,282 440 138 5,091
70% to 79% 113 459 470 374 94 18 1,528
100% or greater 0 0 0 0 0 37 37
Commercial mortgage loans $ 1,027 $ 1,849 $ 4,398 $ 2,572 $ 1,010 $ 1,529 $ 12,385
December 31, 2020
(In millions) 2020 2019 2018 2017 2016 Prior Total
Less than 50% $ 431 $ 600 $ 201 $ 152 $ 44 $ 1,153 $ 2,581
50% to 59% 315 1,320 765 300 40 147 2,887
60% to 69% 583 1,988 1,222 440 46 106 4,385
70% to 79% 478 485 375 95 0 13 1,446
80% to 99% 0 0 0 25 0 21 46
100% or greater 0 0 0 0 0 38 38
Commercial mortgage loans $ 1,807 $ 4,393 $ 2,563 $ 1,012 $ 130 $ 1,478 $ 11,383

The debt service coverage ratio is expressed as a percentage of a property’s net operating income to its debt service payments. A debt service ratio of less than 1.0 indicates a property’s operations do not generate enough income to cover debt payments. Debt service coverage ratios are updated as more recent financial statements become available, at least annually or as frequently as quarterly in some cases. The following represents the debt service coverage ratio of the commercial mortgage loan portfolio, excluding those under development, by origination year:

March 31, 2021
(In millions) 2021 2020 2019 2018 2017 Prior Total
Greater than 1.20x $ 714 $ 1,068 $ 2,814 $ 2,224 $ 861 $ 1,399 $ 9,080
1.00x – 1.20x 313 524 1,187 62 53 94 2,233
Less than 1.00x 0 257 397 286 96 36 1,072
Commercial mortgage loans $ 1,027 $ 1,849 $ 4,398 $ 2,572 $ 1,010 $ 1,529 $ 12,385
December 31, 2020
(In millions) 2020 2019 2018 2017 2016 Prior Total
Greater than 1.20x $ 1,274 $ 2,964 $ 2,440 $ 846 $ 129 $ 1,369 $ 9,022
1.00x – 1.20x 533 1,122 36 70 1 101 1,863
Less than 1.00x 0 307 87 96 0 8 498
Commercial mortgage loans $ 1,807 $ 4,393 $ 2,563 $ 1,012 $ 130 $ 1,478 $ 11,383

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

Investment Funds—Our investment fund portfolio consists of funds that employ various strategies and include investments in real estate, real assets, credit, equity and natural resources. Investment funds can meet the definition of VIEs, which are discussed further in Note 45 – Variable Interest Entities. Our investment funds do not specify timing of distributions on the funds’ underlying assets.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes our investment funds, including related ~~party:~~party and consolidated VIEs:

March 31, 2021 December 31, 2020
(In millions, except for percentages) Carrying value Percent of total Carrying value Percent of total
Investment funds
Real estate $ 462 47.8 % $ 348 43.3 %
Credit funds 122 12.6 % 107 13.3 %
Private equity 300 31.1 % 267 33.3 %
Real assets 82 8.5 % 81 10.1 %
Total investment funds 966 100.0 % 803 100.0 %
Investment funds – related parties
Differentiated investments
AmeriHome Mortgage Company, LLC (AmeriHome)1
583 9.9 % 444 8.4 %
Catalina Holdings Ltd. (Catalina) 344 5.8 % 334 6.3 %
Athora Holding Ltd. (Athora)1
689 11.7 % 709 13.4 %
Venerable Holdings, Inc. (Venerable)1
316 5.4 % 123 2.3 %
Other 308 5.2 % 279 5.3 %
Total differentiated investments 2,240 38.0 % 1,889 35.7 %
Real estate 942 16.0 % 828 15.7 %
Credit funds 398 6.7 % 375 7.1 %
Private equity 689 11.7 % 473 8.9 %
Real assets 139 2.3 % 172 3.3 %
Natural resources 110 1.9 % 113 2.1 %
Public equities 100 1.7 % 110 2.1 %
Investment in Apollo1
1,281 21.7 % 1,324 25.1 %
Total investment funds – related parties 5,899 100.0 % 5,284 100.0 %
Total investment funds including related party $ 6,865 $ 6,087
1 Our AmeriHome investment was held indirectly through A-A Mortgage Opportunities, L.P. (A-A Mortgage). Our Venerable investment is in its parent company, VA Capital Company LLC (VA Capital). See further discussion on these investments and our investments in Apollo and Athora in Note 9 – Related Parties.

~~Summarized Ownership of Equity Method Investees—The following is the summarized income statement information of our equity method investees, A-A Mortgage and VA Capital:~~

Three months ended March 31,
(In millions) 2021 2020
Net income – VA Capital $ 913 $ 48
Net income – A-A Mortgage 261 39


	Successor				Predecessor
	March 31, 2022				December 31, 2021
(In millions, except for percentages)	Carrying value		Percent of total		Carrying value		Percent of total
Investment funds
Real estate	$	748	60.2	%	$	662	56.2	%
Credit funds	84		6.8	%	86		7.3	%
Private equity	353		28.4	%	343		29.1	%
Real assets	58		4.6	%	87		7.4	%


Total investment funds	1,243		100.0	%	1,178		100.0	%
Investment funds – related parties
Differentiated investments
Athora Holding Ltd. (Athora)1	814		26.4	%	743		10.1	%
Athene Freedom Holdings LP (Athene Freedom)1,2	—		—	%	700		9.5	%
Catalina Holdings Ltd. (Catalina)2	—		—	%	441		6.0	%
Venerable Holdings, Inc. (Venerable)1	230		7.4	%	219		3.0	%
Other	266		8.6	%	459		6.2	%
Total differentiated investments	1,310		42.4	%	2,562		34.8	%
Real estate	520		16.8	%	1,187		16.1	%
Credit funds	392		12.7	%	450		6.1	%
Private equity	621		20.1	%	751		10.1	%
Natural resources	89		2.9	%	172		2.3	%
Real assets	138		4.5	%	157		2.1	%
Public equities	18		0.6	%	—		—	%
Investment in Apollo1	—		—	%	2,112		28.5	%
Total investment funds – related parties	3,088		100.0	%	7,391		100.0	%
Investment funds owned by consolidated VIEs

Differentiated investments	1,350		9.9	%	—		—	%
Private equity	981		7.2	%	—		—	%
Natural resources	256		1.9	%	—		—	%
Real estate	1,599		11.8	%	514		39.6	%
Credit funds	8,001		59.0	%	748		57.7	%
Real assets	1,381		10.2	%	35		2.7	%
Total investment funds owned by consolidated VIEs	13,568		100.0	%	1,297		100.0	%
Total investment funds including related party and funds owned by consolidated VIEs	$	17,899			$	9,866

1 Our Venerable investment is in its parent company, VA Capital Company LLC (VA Capital). See further discussion on this investment and our investments in Apollo, Athora and Athene Freedom in Note 9 – Related Parties.
2 Investment is held as a consolidated VIE as of March 31, 2022.

Non-Consolidated Securities and Investment Funds

Fixed maturity securities – We invest in securitization entities as a debt holder or an investor in the residual interest of the securitization vehicle. These entities are deemed VIEs due to insufficient equity at risk within the structure and lack of control by the equity investors over the activities that significantly impact the economics of the entity. In general, we are a debt investor within these entities and, as such, hold a variable interest; however, due to the debt holders’ lack of ability to control the decisions within the ~~trust~~securitization entity that significantly impact the entity, and the fact the debt holders are protected from losses due to the subordination of the equity tranche, the debt holders are not deemed the primary beneficiary. Securitization vehicles in which we hold the residual tranche are not consolidated because we do not unilaterally have substantive rights to remove the general partner, or when assessing related party interests, we are not under common control, as defined by GAAP, with the related party, nor are substantially all of the activities conducted on our behalf; therefore, we are not deemed the primary beneficiary. Debt investments and investments in the residual tranche of securitization entities are considered debt instruments and are held at fair value on the balance ~~sheet~~sheets and classified as AFS or trading.

Investment funds – Investment funds include non-fixed income, alternative investments in the form of limited partnerships or similar legal structures.

~~Equity securities –~~ ~~We invest in preferred equity securities issued by entities deemed to be VIEs due to insufficient equity within the structure.~~

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Notes to Condensed Consolidated Financial Statements (Unaudited)

Equity securities – We invest in preferred equity securities issued by entities deemed to be VIEs due to insufficient equity at risk within the structure.

Our risk of loss associated with our non-consolidated investments depends on the investment. Investment funds, equity securities and trading securities are limited to the carrying value plus unfunded commitments. AFS securities are limited to amortized cost plus unfunded commitments.

The following summarizes the carrying value and maximum loss exposure of these non-consolidated investments:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions)	(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure		(In millions)	Carrying Value		Maximum Loss Exposure		Carrying Value		Maximum Loss Exposure
Investment funds	Investment funds	$	966	$	1,605	$	803	$	1,265	Investment funds	$	1,243	$	1,954	$	1,178	$	1,792
Investment in related parties – investment funds	Investment in related parties – investment funds	5,899		8,664		5,284		7,989		Investment in related parties – investment funds	3,088		5,504		7,391		10,922
Assets of consolidated VIEs – investment funds										Assets of consolidated VIEs – investment funds	13,568		18,514		1,297		1,647
Investment in fixed maturity securities	Investment in fixed maturity securities	25,324		25,009		23,325		23,027		Investment in fixed maturity securities	31,934		34,112		31,769		31,622
Investment in related parties – fixed maturity securities	Investment in related parties – fixed maturity securities	8,394		9,738		7,834		8,126		Investment in related parties – fixed maturity securities	7,654		7,932		11,324		12,681
Investment in related parties – equity securities	Investment in related parties – equity securities	114		114		72		72		Investment in related parties – equity securities	166		166		284		284
Total non-consolidated investments	Total non-consolidated investments	$	40,697	$	45,130	$	37,318	$	40,479	Total non-consolidated investments	$	57,653	$	68,182	$	53,243	$	58,948

Concentrations—The following represents our investment concentrations in excess of 10% of shareholders’ equity:

Successor

Predecessor

(In millions)

March 31, 2022

December 31, 2021

Athene Freedom1

3,199

3,119

AP Tundra Holdings LLC2

3,079

N/A

MidCap1

2,740

N/A

PK Air1

1,466

N/A

SoftBank Vision Fund II

1,170

N/A

AP Aristotle Holdings LLC2

1,167

N/A

1 Includes investments of the consolidated VIE, in which an underlying investment includes single issuers exceeding concentration threshold, and affiliated securities if applicable and attributable to the single issuer. See further discussion of these investments in Note – 9 Related Parties.

2 Represents a consolidated VIE investment in which an underlying investment includes a single issuer exceeding concentration threshold.

N/A – Not applicable as investment did not meet single issuer concentration threshold for the period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

3.4. Derivative Instruments

We use a variety of derivative instruments to manage risks, primarily equity, interest rate, credit, foreign currency and market volatility. See Note 56 – Fair Value for information about the fair value hierarchy for derivatives.

The following table presents the notional amount and fair value of derivative instruments:


															Successor								Predecessor
		March 31, 2021					December 31, 2020								March 31, 2022								December 31, 2021
		Notional Amount	Fair Value				Notional Amount		Fair Value						Notional Amount			Fair Value					Notional Amount		Fair Value
(In millions)	(In millions)		Assets		Liabilities			Assets			Liabilities	(In millions)					Assets			Liabilities				Assets			Liabilities
Derivatives designated as hedges	Derivatives designated as hedges															Derivatives designated as hedges
Foreign currency swaps		4,856	$	120	$	183	4,417		$	134		$	181
Foreign currency forwards		3,465	58		7		2,038		3			9
Foreign currency interest rate swaps		1,183	1		57		0		0			0
Foreign currency forwards on net investments		224	0		0		173		0			2
Foreign currency hedges														Foreign currency hedges
Swaps														Swaps	6,629			$	350		$	74	6,371		$	281		$	56
Forwards														Forwards	5,004			172			—		6,395		189			2
Interest rate swaps														Interest rate swaps	3,586			—			334		2,783		—			173
Forwards on net investments														Forwards on net investments	236			—			1		231		—			4
Interest rate swaps														Interest rate swaps	1,995			—			2		500		—			1
Total derivatives designated as hedges	Total derivatives designated as hedges		179		247				137			192		Total derivatives designated as hedges				522			411				470			236
Derivatives not designated as hedges	Derivatives not designated as hedges													Derivatives not designated as hedges
Equity options	Equity options	54,116	3,297		17		53,666		3,209			22		Equity options	58,908			2,675			101		57,890		3,629			115
Futures	Futures	26	40		0		24		58			2		Futures	27			48			—		33		67			—
Total return swaps	Total return swaps	119	4		0		97		6			0		Total return swaps	256			8			1		231		10			—
Foreign currency swaps	Foreign currency swaps	1,541	53		0		1,510		96			0		Foreign currency swaps	2,784			98			21		2,592		57			19
Interest rate swaps	Interest rate swaps	805	27		3		803		0			34		Interest rate swaps	1,822			125			2		483		78			1
Credit default swaps	Credit default swaps	10	0		5		10		0			4		Credit default swaps	10			—			3		10		—			3
Foreign currency forwards	Foreign currency forwards	4,686	77		16		3,595		17			44		Foreign currency forwards	10,832			192			92		7,382		76			98
Embedded derivatives	Embedded derivatives													Embedded derivatives
Funds withheld including related party	Funds withheld including related party		1,216		34				2,806			59		Funds withheld including related party				(2,452)			—				1,360			45
Interest sensitive contract liabilities	Interest sensitive contract liabilities		0		12,473				0			12,873		Interest sensitive contract liabilities				—			6,704				—			14,907
Total derivatives not designated as hedges	Total derivatives not designated as hedges		4,714		12,548				6,192			13,038		Total derivatives not designated as hedges				694			6,924				5,277			15,188
Total derivatives	Total derivatives		$	4,893	$	12,795			$	6,329		$	13,230	Total derivatives				$	1,216		$	7,335			$	5,747		$	15,424

Derivatives Designated as Hedges

Cash Flow Hedges – We ~~use~~used foreign currency swaps to convert foreign currency denominated cash flows of investments or liabilities to US dollars to reduce cash flow fluctuations due to changes in currency exchange rates. ~~These swaps will expire by March 2052.~~Effective January 1, 2022, our cash flow hedges were redesignated to fair value hedges as they no longer qualified for cash flow hedge accounting. The following is a summary of the gains (losses) ~~recorded in OCI~~ related to cash flow hedges:

Three months ended March 31,
(In millions) 2021 2020
Foreign currency swaps $ (31) $ 401

Predecessor

(In millions)

Three months ended March 31, 2021

Foreign currency swaps – Other comprehensive income

(31)

Foreign currency swaps – Investment related gains (losses)

—

There were no amounts deemed ineffective during the three months ended March 31, 2021.

Fair Value Hedges – We use foreign currency forward contracts, foreign currency swaps, foreign currency interest rate swaps and interest rate swaps that are designated and accounted for as fair value hedges to hedge certain exposures to foreign currency risk and interest rate risk. The foreign currency forward price is agreed upon at the time of the contract and payment is made at a specified future date.

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Notes to Condensed Consolidated Financial Statements (Unaudited)

~~There were 0 amounts reclassified to income and 0 amounts deemed ineffective during the three months ended March 31, 2021~~ ~~and 2020. As of March 31, 2021, 0 amounts are expected to be reclassified to income within the next 12 months.~~

~~Fair Value Hedges~~ – We use foreign currency forward contracts and foreign currency interest rate swaps that are designated and accounted for as fair value hedges. We use foreign currency forward contracts to hedge certain exposures to foreign currency risk. The price is agreed upon at the time of the contract and payment is made at a specified future date. We use foreign currency interest rate swaps to hedge certain exposures to foreign currency risk and interest rate risk relating to foreign currency denominated funding agreements.

The following represents the carrying amount and the cumulative fair value hedging adjustments included in the hedged assets or liabilities:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions)	(In millions)	Carrying amount of the hedged assets or liabilities1		Cumulative amount of fair value hedging gains (losses)		Carrying amount of the hedged assets or liabilities1		Cumulative amount of fair value hedging gains (losses)		(In millions)	Carrying amount of the hedged assets or liabilities1		Cumulative amount of fair value hedging gains (losses)		Carrying amount of the hedged assets or liabilities1		Cumulative amount of fair value hedging gains (losses)
AFS securities – Foreign currency forwards		$	2,997	$	(102)	$	1,932	$	117
AFS securities										AFS securities
Foreign currency forwards										Foreign currency forwards	$	4,327	$	(124)	$	4,224	$	(136)
Foreign currency swaps										Foreign currency swaps	5,249		(119)		—		—
Mortgage loans – Foreign currency forwards										Mortgage loans – Foreign currency forwards	—		—		1,686		(44)
Interest sensitive contract liabilities	Interest sensitive contract liabilities									Interest sensitive contract liabilities
Foreign currency forwards		75		4		65		(1)

Foreign currency swaps										Foreign currency swaps	1,067		24		—		—
Foreign currency interest rate swaps	Foreign currency interest rate swaps	1,178		50		0		0		Foreign currency interest rate swaps	3,574		197		2,773		121
Interest rate swaps										Interest rate swaps	1,995		83		500		—

1 The carrying amount disclosed for AFS securities is amortized cost.	1 The carrying amount disclosed for AFS securities is amortized cost.									1 The carrying amount disclosed for AFS securities is amortized cost.

The following is a summary of the gains (losses) related to the derivatives and related hedged items in fair value hedge relationships:


							Amount Excluded
(In millions)	Derivatives		Hedged Items		Net		Recognized in income through amortization approach		Recognized in income through changes in fair value
Three months ended March 31, 2022 (Successor)
Investment related gains (losses)
Foreign currency forwards	$	127	$	(126)	$	1	$	14	$	1
Foreign currency swaps	91		(95)		(4)		—		—
Foreign currency interest rate swaps	(159)		197		38		—		—
Interest rate swaps	(72)		75		3		—		—
Interest sensitive contract benefits

Foreign currency interest rate swaps	10		(9)		1		—		—

Three months ended March 31, 2021 (Predecessor)
Investment related gains (losses)
Foreign currency forwards	$	218	$	(217)	$	1	$	—	$	—
Foreign currency interest rate swaps	(36)		41		5		—		—
Interest sensitive contract benefits
Foreign currency interest rate swaps	1		(1)		—		—		—

(In millions) Derivatives Hedged Items Amount Excluded Net
Three months ended March 31, 2021
Investment related gains (losses)
Foreign currency forwards $ 218 $ (217) $ 0 $ 1
Foreign currency interest rate swaps (36) 41 0 5
Interest sensitive contract benefits
Foreign currency interest rate swaps 1 (1) 0 0
Three months ended March 31, 2020
Investment related gains (losses) – Foreign currency forwards $ 12 $ (8) $ 0 $ 4
The following is a summary of the gains (losses) excluded from the assessment of hedge effectiveness that were recognized in OCI:


		Successor			Predecessor
(In millions)	Three months ended March 31, 2022			Three months ended March 31, 2021
Foreign currency forwards		$	(73)		$	—
Foreign currency swaps		(56)			—

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Net Investment Hedges – We use foreign currency forwards to hedge the foreign currency exchange rate risk of our investments in subsidiaries that have a reporting currency other than the US dollar. We assess hedge effectiveness based on the changes in forward rates. During the three months ended March 31, ~~2021~~2022 and ~~2020~~2021, these derivatives had gains of $2 million and losses of $2 million, ~~and gains of $13 million, respectively, which~~respectively. These derivatives are included in foreign currency translation and other adjustments on the condensed consolidated statements of comprehensive loss. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, the cumulative foreign currency ~~translation~~translations recorded in accumulated other comprehensive income (loss) (AOCI) related to these net investment hedges were ~~losses~~gains of $2 million and $0$1 million, respectively. During the three months ended March 31, ~~2021~~2022 and ~~2020~~2021, there were 0no amounts deemed ineffective.

Derivatives Not Designated as Hedges

Equity options – We use equity indexed options to economically hedge fixed indexed annuity products that guarantee the return of principal to the policyholder and credit interest based on a percentage of the gain in a specified market index, primarily the S&P 500. To hedge against adverse changes in equity indices, we enter into contracts to buy equity indexed options. The contracts are net settled in cash based on differentials in the indices at the time of exercise and the strike price.

Futures – Futures contracts are purchased to hedge the growth in interest credited to the customer as a direct result of increases in the related indices. We enter into exchange-traded futures with regulated futures commission clearing brokers who are members of a trading exchange. Under exchange-traded futures contracts, we agree to purchase a specified number of contracts with other parties and to post variation margin on a daily basis in an amount equal to the difference in the daily fair values of those contracts.

Total return swaps – We purchase total rate of return swaps to gain exposure and benefit from a reference asset or index without ownership. Total rate of return swaps are contracts in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of the underlying asset or index, which includes both the income it generates and any capital gains.

Interest rate swaps – We use interest rate swaps to reduce market risks from interest rate changes and to alter interest rate exposure arising from duration mismatches between assets and liabilities. With an interest rate swap, we agree with another party to exchange the difference between fixed-rate and floating-rate interest amounts tied to an agreed-upon notional principal amount at specified intervals.

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

Credit default swaps – Credit default swaps provide a measure of protection against the default of an issuer or allow us to gain credit exposure to an issuer or traded index. We use credit default swaps coupled with a bond to synthetically create the characteristics of a reference bond. These transactions have a lower cost and are generally more liquid relative to the cash market. We receive a periodic premium for these transactions as compensation for accepting credit risk.

Hedging credit risk involves buying protection for existing credit risk. The exposure resulting from the agreements, which is usually the notional amount, is equal to the maximum proceeds that must be paid by a counterparty for a defaulted security. If a credit event occurs on a reference entity, then a counterparty who sold protection is required to pay the buyer the trade notional amount less any recovery value of the security.

Embedded derivatives – We have embedded derivatives which are required to be separated from their host contracts and reported as derivatives. Host contracts include reinsurance agreements structured on a modified coinsurance (modco) or funds withheld basis and indexed annuity products.

The following is a summary of the gains (losses) related to derivatives not designated as hedges:


		Three months ended March 31,							Successor			Predecessor
(In millions)	(In millions)			2021		2020		(In millions)		Three months ended March 31, 2022			Three months ended March 31, 2021
Equity options	Equity options			$	502	$	(1,581)	Equity options		$	(708)		$	502
Futures	Futures			11		16		Futures		(33)			11
Swaps	Swaps			31		(75)		Swaps		63			31
Foreign currency forwards	Foreign currency forwards			(31)		67		Foreign currency forwards		155			(31)
Embedded derivatives on funds withheld	Embedded derivatives on funds withheld			(1,133)		(1,446)		Embedded derivatives on funds withheld		(2,520)			(1,133)
Amounts recognized in investment related gains (losses)	Amounts recognized in investment related gains (losses)			(620)		(3,019)		Amounts recognized in investment related gains (losses)		(3,043)			(620)
Embedded derivatives in indexed annuity products1	Embedded derivatives in indexed annuity products1			335		1,177		Embedded derivatives in indexed annuity products1		957			335
Total gains (losses) on derivatives not designated as hedges				$	(285)	$	(1,842)
Total net gains (losses) on derivatives not designated as hedges								Total net gains (losses) on derivatives not designated as hedges		$	(2,086)		$	(285)

1 Included in interest sensitive contract benefits on the condensed consolidated statements of income (loss).	1 Included in interest sensitive contract benefits on the condensed consolidated statements of income (loss).		1 Included in interest sensitive contract benefits on the condensed consolidated statements of income (loss).

Credit Risk—We may be exposed to credit-related losses in the event of counterparty nonperformance on derivative financial instruments. Generally, the current credit exposure of our derivative contracts is the fair value at the reporting date less any collateral received from the counterparty.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

We manage credit risk related to over-the-counter derivatives by entering into transactions with creditworthy counterparties. Where possible, we maintain collateral arrangements and use master netting agreements that provide for a single net payment from one counterparty to another at each due date and upon termination. We have also established counterparty exposure limits, where possible, in order to evaluate if there is sufficient collateral to support the net exposure.

Collateral arrangements typically require the posting of collateral in connection with its derivative instruments. Collateral agreements often contain posting thresholds, some of which may vary depending on the posting party’s financial strength ratings. Additionally, a decrease in our financial strength rating to a specified level can result in settlement of the derivative position.

The estimated fair value of our net derivative and other financial assets and liabilities after the application of master netting agreements and collateral were as follows:

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
March 31, 2021
Derivative assets $ 3,677 $ (211) $ (3,355) $ 111 $ (26) $ 85
Derivative liabilities (288) 211 67 (10) 0 (10)
December 31, 2020
Derivative assets $ 3,523 $ (165) $ (3,196) $ 162 $ (46) $ 116
Derivative liabilities (298) 165 144 11 0 11
1 The gross amounts of recognized derivative assets and derivative liabilities are reported on the condensed consolidated balance sheets. As of March 31, 2021 and December 31, 2020, 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.

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~


			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
March 31, 2022 (Successor)
Derivative assets	$	3,668	$	(661)	$	(3,105)	$	(98)	$	—	$	(98)
Derivative liabilities	(631)		661		164		194		—		194

December 31, 2021 (Predecessor)
Derivative assets	$	4,387	$	(430)	$	(3,934)	$	23	$	—	$	23
Derivative liabilities	(472)		430		32		(10)		—		(10)

1 The gross amounts of recognized derivative assets and derivative liabilities are reported on the condensed consolidated balance sheets. As of March 31, 2022 and December 31, 2021, 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.

4.5. Variable Interest Entities

~~During the first quarter 2021, we consolidated the following VIEs:~~

•~~Hamlet Securitization Trust 2020-CRE1 (Hamlet)~~

•~~A-A SPN-9 (ASREII - ACRASP), L.P. and A-A SPN-9 (ASREII - ALRESP), L.P. (collectively, A-A SPN-9)~~

•~~A-A Offshore 2021-1 (Java), L.P. (Java)~~

~~Hamlet was formed to securitize~~As a ~~portion~~result of our ~~commercial mortgage loan portfolio as CMBS securities held by AHL subsidiaries~~merger with AGM, we reassessed consolidation conclusions for VIEs. We determined that we are required to consolidate additional Apollo-managed investment funds and ~~third-party cedant portfolios. Securitization of these commercial mortgage loans allows retention of~~certain entities that issue CLOs where Apollo is the ~~full economics of these assets while being able to pledge these assets as~~ collateral tomanager. Since the Federal Home Loan Bank (FHLB) under the funding agreement program. As of March 31, 2021 and December 31, 2020, Hamlet primarily held $1,812 million and $1,880 million, respectively, of commercial mortgage loans. As substantially all of the activities and economics of Hamlet are conducted on our behalf, we arecriteria for the primary beneficiary ~~and consolidate Hamlet and the assets~~ are included in mortgage loans on the condensed consolidated balance sheets. Additionally, as Hamlet is in the form of a trust, the commercial mortgage loan assets are included in the pledged assets and funds in trust table in ~~Note 10 – Commitments and Contingencies~~.

A-A SPN-9 is comprised of limited partnership entities that invest in an underlying investment fund. As of March 31, 2021, A-A SPN-9 primarily held $130 million of investment funds. We are the only limited partner in these entities and receive all of the economic benefits and losses, other than management fees and carried interest, as applicable, paid to the general partner in each entity, or asatisfied by our related entity, which are related parties. We do not have any direct voting rights as a limited partner at the A-A SPN-9 level, but we do have an ability to dissolve the underlying investment that results in dissolution of the entities. Therefore, as we have a unilateral ability to ultimately dissolve the entities and also own all of the economics in each of the entities,party group, we are deemed ~~to be~~ the primary ~~beneficiary of the VIEs.~~

Java is an investment fund. As of March 31, 2021, Java primarily held $24 million of investment funds and $151 million of other assets. We are both the general partner and the only limited partner in this investment fund and receive all of the economic benefits and losses. The general partner hired a related party investment manager who receives management fees and service fees, as applicable. We hold both the power, as a general partner, and significant economics, as a limited partner, satisfying the primary beneficiary criteria.

beneficiary. No arrangement exists requiring us to provide additional funding in excess of our committed capital investment, liquidity, or the funding of losses or an increase to our loss exposure in excess of our investment in any of the consolidated VIEs.

The following summarizes the income statement activity of the consolidated VIEs:


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Mortgage loans	$	20	$	14
Investment funds	(3)		21

Net investment income	$	17	$	35

Provision for credit losses	$	—	$	(66)
Other gains (losses)	(42)		—
Investment related gains (losses)	$	(42)	$	(66)

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Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes the debt of consolidated VIEs as of March 31, 2022:


	Principal balance (in millions)		Weighted average interest rate		Weighted average remaining maturity (in years)
Senior secured notes	$	3,282	2.92	%	14.3
Subordinated notes1	1,663		N/A		N/A
Secured and other borrowings1	1,180		N/A		N/A
Total VIE debt	$	6,125

1 The principal outstanding balances of the subordinated notes do not have contractual interest rates or maturities but instead receive distributions from the excess cash flows of the VIEs. Secured and other borrowings do not generally have principal balances, stated rates and maturities and are included at carrying value.

6. Fair Value

Fair value is the price we would receive to sell an asset or pay to transfer a liability (exit price) in an orderly transaction between market participants. We determine fair value based on the following fair value hierarchy:

Level 1 – Unadjusted quoted prices for identical assets or liabilities in an active market.

Level 2 – Quoted prices for inactive markets or valuation techniques that require observable direct or indirect inputs for substantially the full term of the asset or liability. Level 2 inputs include the following:

•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.

Level 3 – Prices or valuation techniques with unobservable inputs significant to the overall fair value estimate. These valuations use critical assumptions not readily available to market participants. Level 3 valuations are based on market standard valuation methodologies, including discounted cash flows, matrix pricing or other similar techniques.

Net Asset Value (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. Our carrying value reflects our pro rata ownership percentage as indicated by NAV in the investment fund financial statements, which we may adjust if we determine 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 weighted average cost of capital rates applied in valuation models or a discounted cash flow model.

The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure fair value fall within different levels of the hierarchy, the category level is based on the lowest priority level input that is significant to the instrument’s fair value measurement.

We use a number of valuation sources to determine fair values. Valuation sources can include quoted market prices; third-party commercial pricing services; third-party brokers; industry-standard, vendor modeling software that uses market observable inputs; and other internal modeling techniques based on projected cash flows. We periodically review the assumptions and inputs of third-party commercial pricing services through internal valuation price variance reviews, comparisons to internal pricing models, back testing to recent trades, or monitoring trading volumes.

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Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the hierarchy for our assets and liabilities measured at fair value on a recurring basis:


													Successor
		March 31, 2021											March 31, 2022
(In millions)	(In millions)	Total		NAV		Level 1		Level 2		Level 3		(In millions)	Total		NAV		Level 1		Level 2		Level 3
Assets	Assets											Assets
AFS securities	AFS securities											AFS securities
US government and agencies	US government and agencies	$	351	$	—	$	342	$	9	$	0	US government and agencies	$	2,961	$	—	$	2,940	$	21	$	—
US state, municipal and political subdivisions	US state, municipal and political subdivisions	1,006		—		0		1,006		0		US state, municipal and political subdivisions	1,092		—		—		1,092		—
Foreign governments	Foreign governments	382		—		0		380		2		Foreign governments	1,011		—		—		1,009		2
Corporate	Corporate	58,848		—		0		58,066		782		Corporate	60,239		—		—		58,740		1,499
CLO	CLO	11,272		—		0		11,098		174		CLO	14,028		—		—		14,023		5
ABS	ABS	4,832		—		0		3,625		1,207		ABS	9,284		—		—		5,501		3,783
CMBS	CMBS	2,206		—		0		2,158		48		CMBS	2,747		—		—		2,737		10
RMBS	RMBS	6,627		—		0		6,627		0		RMBS	5,537		—		—		5,537		—
Total AFS securities	Total AFS securities	85,524		—		342		82,969		2,213		Total AFS securities	96,899		—		2,940		88,660		5,299
Trading securities	Trading securities											Trading securities
US government and agencies	US government and agencies	6		—		3		3		0		US government and agencies	30		—		27		3		—
US state, municipal and political subdivisions	US state, municipal and political subdivisions	100		—		0		100		0		US state, municipal and political subdivisions	91		—		—		91		—

Foreign governments												Foreign governments	18		—		—		18		—
Corporate	Corporate	1,486		—		0		1,486		0		Corporate	1,375		—		—		1,375		—

CLO												CLO	14		—		—		10		4
ABS	ABS	132		—		0		97		35		ABS	137		—		—		92		45
CMBS	CMBS	57		—		0		57		0		CMBS	77		—		—		77		—
RMBS	RMBS	198		—		0		139		59		RMBS	110		—		—		69		41
Total trading securities	Total trading securities	1,979		—		3		1,882		94		Total trading securities	1,852		—		27		1,735		90
Equity securities	Equity securities	322		—		36		272		14		Equity securities	754		—		114		202		438
Mortgage loans	Mortgage loans	18		—		0		0		18		Mortgage loans	23,696		—		—		—		23,696
Investment funds	Investment funds	319		148		0		0		171		Investment funds	180		161		—		—		19
Funds withheld at interest – embedded derivative	Funds withheld at interest – embedded derivative	636		—		0		0		636		Funds withheld at interest – embedded derivative	(1,882)		—		—		—		(1,882)
Derivative assets	Derivative assets	3,677		—		40		3,637		0		Derivative assets	3,668		—		48		3,620		—
Short-term investments	Short-term investments	117		—		51		66		0		Short-term investments	149		—		68		22		59
Other investments	Other investments	105		—		0		105		0		Other investments	150		—		—		150		—
Cash and cash equivalents	Cash and cash equivalents	6,427		—		6,427		0		0		Cash and cash equivalents	8,523		—		8,523		—		—
Restricted cash	Restricted cash	546		—		546		0		0		Restricted cash	834		—		834		—		—
Investments in related parties	Investments in related parties											Investments in related parties
AFS securities	AFS securities											AFS securities
Corporate	Corporate	221		—		0		20		201		Corporate	932		—		—		171		761
CLO	CLO	1,869		—		0		1,869		0		CLO	2,732		—		—		2,400		332
ABS	ABS	4,815		—		0		684		4,131		ABS	4,660		—		—		251		4,409
Total AFS securities – related party	Total AFS securities – related party	6,905		—		0		2,573		4,332		Total AFS securities – related party	8,324		—		—		2,822		5,502
Trading securities	Trading securities											Trading securities
CLO	CLO	69		—		0		25		44		CLO	38		—		—		10		28
ABS	ABS	1,641		—		0		0		1,641		ABS	224		—		—		—		224
Total trading securities – related party	Total trading securities – related party	1,710		—		0		25		1,685		Total trading securities – related party	262		—		—		10		252
Equity securities	Equity securities	114		—		0		—		114		Equity securities	166		—		—		—		166
Mortgage loans												Mortgage loans	1,456		—		—		—		1,456
Investment funds	Investment funds	2,060		90		0		0		1,970		Investment funds	814		—		—		—		814
Funds withheld at interest – embedded derivative	Funds withheld at interest – embedded derivative	580		—		0		0		580		Funds withheld at interest – embedded derivative	(570)		—		—		—		(570)
Short-term investments												Short-term investments	53		—		—		—		53
																					(Continued)
Reinsurance recoverable		1,880		—		0		0		1,880
Total assets measured at fair value		$	112,919	$	238	$	7,445	$	91,529	$	13,707

Liabilities
Interest sensitive contract liabilities
Embedded derivative		$	12,473	$	—	$	0	$	0	$	12,473
Universal life benefits		1,108		—		0		0		1,108
Future policy benefits
AmerUs Life Insurance Company (AmerUs) Closed Block		1,497		—		0		0		1,497
Indianapolis Life Insurance Company (ILICO) Closed Block and life benefits		757		—		0		0		757
Derivative liabilities		288		—		0		283		5
Funds withheld liability – embedded derivative		34		—		0		34		0
Total liabilities measured at fair value		$	16,157	$	—	$	0	$	317	$	15,840

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Notes to Condensed Consolidated Financial Statements (Unaudited)

December 31, 2020
(In millions) Total NAV Level 1 Level 2 Level 3
Assets
AFS securities
US government and agencies $ 351 $ — $ 332 $ 19 $ 0
US state, municipal and political subdivisions 1,033 — 0 999 34
Foreign governments 368 — 0 366 2
Corporate 58,180 — 0 57,402 778
CLO 9,569 — 0 9,361 208
ABS 4,270 — 0 3,470 800
CMBS 2,169 — 0 2,126 43
RMBS 6,913 — 0 6,913 0
Total AFS securities 82,853 — 332 80,656 1,865
Trading securities
US government and agencies 6 — 3 3 0
US state, municipal and political subdivisions 106 — 0 106 0
Corporate 1,577 — 0 1,577 0
CLO 4 — 0 0 4
ABS 128 — 0 93 35
CMBS 52 — 0 52 0
RMBS 220 — 0 173 47
Total trading securities 2,093 — 3 2,004 86
Equity securities 330 — 57 262 11
Mortgage loans 19 — 0 0 19
Investment funds 161 144 0 0 17
Funds withheld at interest – embedded derivative 1,944 — 0 0 1,944
Derivative assets 3,523 — 58 3,465 0
Short-term investments 222 — 146 74 2
Other investments 105 — 0 105 0
Cash and cash equivalents 7,704 — 7,704 0 0
Restricted cash 738 — 738 0 0
Investments in related parties
AFS securities
Corporate 215 — 0 20 195
CLO 1,520 — 0 1,520 0
ABS 4,785 — 0 676 4,109
Total AFS securities – related party 6,520 — 0 2,216 4,304
Trading securities
CLO 54 — 0 4 50
ABS 1,475 — 0 0 1,475
Total trading securities – related party 1,529 — 0 4 1,525
Equity securities 72 — 0 0 72
Investment funds 2,119 86 0 0 2,033
Funds withheld at interest – embedded derivative 862 — 0 0 862
Reinsurance recoverable 2,100 — 0 0 2,100
Total assets measured at fair value $ 112,894 $ 230 $ 9,038 $ 88,786 $ 14,840
Liabilities
Interest sensitive contract liabilities
Embedded derivative $ 12,873 $ — $ 0 $ 0 $ 12,873
Universal life benefits 1,308 — 0 0 1,308
Future policy benefits
AmerUs Closed Block 1,600 — 0 0 1,600
ILICO Closed Block and life benefits 776 — 0 0 776
Derivative liabilities 298 — 2 292 4
Funds withheld liability – embedded derivative 59 — 0 59 0
Total liabilities measured at fair value $ 16,914 $ — $ 2 $ 351 $ 16,561


	Successor
	March 31, 2022
(In millions)	Total		NAV		Level 1		Level 2		Level 3
Reinsurance recoverable	1,814		—		—		—		1,814
Assets of consolidated VIEs

Mortgage loans	1,880		—		—		—		1,880
Investment funds	12,779		1,875		3		324		10,577
Other investments	2,567		—		—		665		1,902
Cash and cash equivalents	521		—		521		—		—
Total assets measured at fair value	$	164,889	$	2,036	$	13,078	$	98,210	$	51,565
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	6,704	$	—	$	—	$	—	$	6,704
Universal life benefits	1,096		—		—		—		1,096
Future policy benefits
AmerUs Life Insurance Company (AmerUs) Closed Block	1,378		—		—		—		1,378
Indianapolis Life Insurance Company (ILICO) Closed Block and life benefits	704		—		—		—		704
Derivative liabilities	631		—		(3)		631		3

Liabilities of consolidated VIEs – debt	4,067		—		—		422		3,645
Total liabilities measured at fair value	$	14,580	$	—	$	(3)	$	1,053	$	13,530
									(Concluded)


	Predecessor
	December 31, 2021
(In millions)	Total		NAV		Level 1		Level 2		Level 3
Assets
AFS securities
US government and agencies	$	223	$	—	$	214	$	9	$	—
US state, municipal and political subdivisions	1,213		—		—		1,213		—
Foreign governments	1,128		—		—		1,126		2
Corporate	66,226		—		—		64,887		1,339
CLO	13,652		—		—		13,638		14
ABS	8,989		—		—		5,370		3,619
CMBS	2,758		—		—		2,715		43
RMBS	5,970		—		—		5,970		—
Total AFS securities	100,159		—		214		94,928		5,017
Trading securities
US government and agencies	6		—		3		3		—
US state, municipal and political subdivisions	101		—		—		101		—
Foreign governments	19		—		—		19		—
Corporate	1,530		—		—		1,530		—
CLO	11		—		—		6		5
ABS	141		—		—		96		45
CMBS	94		—		—		94		—
RMBS	154		—		—		135		19
Total trading securities	2,056		—		3		1,984		69
Equity securities	1,170		—		86		655		429
Mortgage loans	17		—		—		—		17
Investment funds	183		165		—		—		18
Funds withheld at interest – embedded derivative	782		—		—		—		782
Derivative assets	4,387		—		67		4,320		—
Short-term investments	139		—		49		61		29
Other investments	130		—		—		130		—
									(Continued)

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)


	Predecessor
	December 31, 2021
(In millions)	Total		NAV		Level 1		Level 2		Level 3
Cash and cash equivalents	9,479		—		9,479		—		—
Restricted cash	796		—		796		—		—

Investments in related parties
AFS securities
Corporate	859		—		—		189		670
CLO	2,549		—		—		2,347		202
ABS	6,994		—		—		549		6,445
Total AFS securities – related party	10,402		—		—		3,085		7,317
Trading securities
CLO	52		—		—		10		42
ABS	1,729		—		—		—		1,729
Total trading securities – related party	1,781		—		—		10		1,771
Equity securities	284		—		—		—		284
Investment funds	2,958		103		—		—		2,855
Funds withheld at interest – embedded derivative	578		—		—		—		578

Reinsurance recoverable	1,991		—		—		—		1,991
Assets of consolidated VIEs


Investment funds	1,297		—		—		—		1,297
Cash and cash equivalents	154		—		154		—		—
Total assets measured at fair value	$	138,743	$	268	$	10,848	$	105,173	$	22,454
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	14,907	$	—	$	—	$	—	$	14,907
Universal life benefits	1,235		—		—		—		1,235
Future policy benefits
AmerUs Closed Block	1,520		—		—		—		1,520
ILICO Closed Block and life benefits	742		—		—		—		742
Derivative liabilities	472		—		—		469		3
Funds withheld liability – embedded derivative	45		—		—		45		—
Liabilities of consolidated VIEs – debt	317		—		—		317		—
Total liabilities measured at fair value	$	19,238	$	—	$	—	$	831	$	18,407
									(Concluded)

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Fair Value Valuation Methods—We used the following valuation methods and assumptions to estimate fair value:

AFS and trading securities – We obtain the fair value for most marketable securities without an active market 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 US and non-US corporate bonds, US agency and government guaranteed securities, CLO, ABS, CMBS and RMBS.

We also have 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 our 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.

We value privately placed fixed maturity securities based on the credit quality and duration of comparable marketable securities, which may be securities of another issuer with similar characteristics. In some instances, we use a matrix-based pricing model. 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. We also consider additional factors such as net worth of the borrower, value of collateral, capital structure of the borrower, presence of guarantees and our evaluation of the borrower’s ability to compete in its relevant market. 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, we value based on other sources, such as commercial pricing services or brokers, and are classified as Level 2 or 3.

Mortgage loans – ~~Mortgage loans for which we have elected the fair value option or those held for sale are carried at fair value.~~ We estimate fair value on a monthly basis 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 we 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.

Funds withheld at interest embedded derivative – We estimate 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. We consider and incorporate counterparty credit risk in the valuation process through counterparty credit rating requirements and monitoring of overall exposure. We also evaluate and include our own nonperformance risk in valuing derivatives. The majority of our derivatives trade in liquid markets; therefore, we 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.

Cash and cash equivalents, including restricted cash – The carrying amount for cash equals fair value. We estimate the fair value for cash equivalents based on quoted market prices. These assets are classified as Level 1.

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 – We elected the fair value option for the future policy benefits liability in the AmerUs Closed Block. Our 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.

~~Table of Contents~~

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

ILICO Closed Block – We elected the fair value option for the ILICO Closed Block. Our 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.

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Universal life liabilities and other life benefits – We elected the fair value option for certain blocks of universal and other life business ceded to Global Atlantic. We use 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. These universal life policyholder liabilities and corresponding reinsurance recoverable are classified as Level 3.

Fair Value Option—The following represents the gains (losses) recorded for instruments for which we have elected the fair value option, including related ~~parties:~~parties and consolidated VIEs:


		Three months ended March 31,						Successor			Predecessor
(In millions)	(In millions)		2021		2020		(In millions)		Three months ended March 31, 2022			Three months ended March 31, 2021
Trading securities	Trading securities		$	(69)	$	(223)	Trading securities		$	(207)		$	(69)

Mortgage loans							Mortgage loans		(916)			—
Investment funds	Investment funds		(60)		(300)		Investment funds		20			(60)
Future policy benefits	Future policy benefits		103		65		Future policy benefits		142			103
Total gains (losses)	Total gains (losses)		$	(26)	$	(458)	Total gains (losses)		$	(961)		$	(26)

Gains and losses on trading securities are recorded in investment related gains (losses) on the condensed consolidated statements of income (loss). For fair value option mortgage loans, we record interest income in net investment income and subsequent changes in fair value in investment related gains (losses) on the condensed consolidated statements of income (loss). Gains and losses related to investment funds, including related party investment funds, are recorded in net investment income on the condensed consolidated statements of income (loss). We record the change in fair value of future policy benefits to future policy and other policy benefits on the condensed consolidated statements of income (loss).

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


							Successor		Predecessor
(In millions)	(In millions)	March 31, 2021		December 31, 2020		(In millions)	March 31, 2022		December 31, 2021
Unpaid principal balance	Unpaid principal balance	$	16	$	17	Unpaid principal balance	$	27,736	$	15
Mark to fair value	Mark to fair value	2		2		Mark to fair value	(704)		2
Fair value	Fair value	$	18	$	19	Fair value	$	27,032	$	17

~~There were 0 fair value option mortgage loans 90 days or more past due as of March 31, 2021 and December 31, 2020.~~

3539

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

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


	Successor
(In millions)	March 31, 2022
Unpaid principal balance of commercial mortgage loans 90 days or more past due and/or in non-accrual status	$	127
Mark to fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status	(44)
Fair value of commercial mortgage loans 90 days or more past due and/or in non-accrual status	$	83

Fair value of commercial mortgage loans 90 days or more past due	$	83
Fair value of commercial mortgage loans in non-accrual status	83

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


	Successor
(In millions)	March 31, 2022
Unpaid principal balance of residential mortgage loans 90 days or more past due and/or in non-accrual status	$	864
Mark to fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status	(33)
Fair value of residential mortgage loans 90 days or more past due and/or in non-accrual status	$	831

Fair value of residential mortgage loans 90 days or more past due1	$	831
Fair value of residential mortgage loans in non-accrual status	208

1Includes $623 million of residential mortgage loans that are guaranteed by US government-sponsored agencies.

There were no fair value option mortgage loans 90 days or more past due as of December 31, 2021.

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:


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Mortgage loans	$	(18)	$	—

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

Level 3 Financial Instruments—The following are reconciliations for Level 3 assets and liabilities measured at fair value on a recurring basis. All transfers in and out of Level 3 are based on changes in the availability of pricing sources, as described in the valuation methods above.

Three months ended March 31, 2021
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
US state, municipal and political subdivisions $ 34 $ 0 $ 0 $ 0 $ (34) $ 0 $ 0 $ 0
Foreign governments 2 0 0 0 0 2 0 0
Corporate 778 4 21 22 (43) 782 0 21
CLO 208 0 0 (34) 0 174 0 0
ABS 800 3 27 468 (91) 1,207 0 35
CMBS 43 0 5 0 0 48 0 4
Trading securities
CLO 4 0 0 (4) 0 0 0 0
ABS 35 0 0 0 0 35 0 0
RMBS 47 (5) 0 0 17 59 (2) 0
Equity securities 11 3 0 0 0 14 4 0
Mortgage loans 19 0 0 (1) 0 18 0 0
Investment funds 17 3 0 42 109 171 3 0
Funds withheld at interest – embedded derivative 1,944 (1,308) 0 0 0 636 0 0
Short-term investments 2 0 0 0 (2) 0 0 0
Investments in related parties
AFS securities
Corporate 195 0 6 0 0 201 0 6
ABS 4,109 (5) (27) 115 (61) 4,131 0 (27)
Trading securities
CLO 50 16 0 (3) (19) 44 25 0
ABS 1,475 35 0 131 0 1,641 37 0
Equity securities 72 8 0 34 0 114 8 0
Investment funds 2,033 (63) 0 0 0 1,970 (63) 0
Funds withheld at interest – embedded derivative 862 (282) 0 0 0 580 0 0
Reinsurance recoverable 2,100 (220) 0 0 0 1,880 0 0
Total Level 3 assets $ 14,840 $ (1,811) $ 32 $ 770 $ (124) $ 13,707 $ 12 $ 39
Liabilities
Interest sensitive contract liabilities
Embedded derivative $ (12,873) $ 335 $ 0 $ 65 $ 0 $ (12,473) $ 0 $ 0
Universal life benefits (1,308) 200 0 0 0 (1,108) 0 0
Future policy benefits
AmerUs Closed Block (1,600) 103 0 0 0 (1,497) 0 0
ILICO Closed Block and life benefits (776) 19 0 0 0 (757) 0 0
Derivative liabilities (4) (1) 0 0 0 (5) (1) 0
Total Level 3 liabilities $ (16,561) $ 656 $ 0 $ 65 $ 0 $ (15,840) $ (1) $ 0
1 Related to instruments held at end of period.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Three months ended March 31, 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
US state, municipal and political subdivisions $ 40 $ 0 $ (3) $ 0 $ 0 $ 37 $ 0 $ (3)
Corporate 725 (5) (33) 33 513 1,233 0 (31)
CLO 121 0 (9) 30 (20) 122 0 (9)
ABS 1,374 22 (119) (183) (177) 917 0 (103)
CMBS 46 0 (5) 4 0 45 0 (5)
RMBS 0 0 0 0 42 42 0 0
Trading securities
Corporate 0 0 0 0 32 32 0 0
CLO 6 (3) 0 0 0 3 (3) 0
ABS 16 0 0 (2) 0 14 0 0
RMBS 52 (1) 0 0 19 70 1 0
Equity securities 3 4 0 0 0 7 4 0
Mortgage loans 27 0 0 (1) 0 26 0 0
Investment funds 22 (1) 0 0 0 21 (1) 0
Funds withheld at interest – embedded derivative 801 (1,175) 0 0 0 (374) 0 0
Short-term investments 41 0 (1) 27 0 67 0 0
Investments in related parties
AFS securities, ABS 2,324 (3) (220) (50) (164) 1,887 0 (205)
Trading securities
CLO 38 (16) 0 1 9 32 (24) 0
ABS 711 (101) 0 66 0 676 (101) 0
Equity securities 64 (10) 0 1 (6) 49 (10) 0
Investment funds 132 (300) 0 1,147 0 979 (300) 0
Funds withheld at interest – embedded derivative 594 (609) 0 0 0 (15) 0 0
Reinsurance recoverable 1,821 294 0 0 0 2,115 0 0
Total Level 3 assets $ 8,958 $ (1,904) $ (390) $ 1,073 $ 248 $ 7,985 $ (434) $ (356)
Liabilities
Interest sensitive contract liabilities
Embedded derivative $ (10,942) $ 1,177 $ 0 $ 676 $ 0 $ (9,089) $ 0 $ 0
Universal life benefits (1,050) (272) 0 0 0 (1,322) 0 0
Future policy benefits
AmerUs Closed Block (1,546) 65 0 0 0 (1,481) 0 0
ILICO Closed Block and life benefits (755) (23) 0 0 0 (778) 0 0
Derivative liabilities (3) (4) 0 0 0 (7) 0 0
Total Level 3 liabilities $ (14,296) $ 943 $ 0 $ 676 $ 0 $ (12,677) $ 0 $ 0
1 Related to instruments held at end of period.


	Successor
	Three months ended March 31, 2022
			Total realized and unrealized gains (losses)
(In millions)	Balance at January 1, 2022		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

Foreign governments	$	2	$	—	$	—	$	—	$	—	$	2	$	—	$	—
Corporate	1,339		(3)		(19)		140		42		1,499		—		(19)
CLO	14		(1)		2		(10)		—		5		—		2
ABS	3,619		6		(31)		(148)		337		3,783		—		(30)
CMBS	43		—		(17)		—		(16)		10		—		(17)

Trading securities


CLO	5		—		—		4		(5)		4		—		—
ABS	45		(2)		—		2		—		45		—		—

RMBS	19		(3)		—		—		25		41		—		—
Equity securities	429		9		—		—		—		438		—		—
Mortgage loans	21,154		(744)		—		3,286		—		23,696		(741)		—
Investment funds	18		1		—		—		—		19		1		—
Funds withheld at interest – embedded derivative	—		(1,882)		—		—		—		(1,882)		—		—
Short-term investments	29		—		—		30		—		59		9		—
Investments in related parties
AFS securities
Corporate	670		(4)		1		94		—		761		—		1
CLO	202		—		—		130		—		332		—		—
ABS	6,445		(17)		(10)		(145)		(1,864)		4,409		—		(10)
Trading securities
CLO	42		(5)		—		1		(10)		28		—		—
ABS	1,729		—		—		(255)		(1,250)		224		—		—
Equity securities	284		(5)		—		—		(113)		166		—		—
Mortgage loans	1,369		(52)		—		139		—		1,456		(52)		—
Investment funds	2,855		24		—		(34)		(2,031)		814		24		—
Funds withheld at interest – embedded derivative	—		(570)		—		—		—		(570)		—		—
Short-term investments	—		—		—		53		—		53		—		—
Reinsurance recoverable	1,991		(177)		—		—		—		1,814		—		—
Assets of consolidated VIEs

Mortgage loans	2,152		(120)		—		(152)		—		1,880		(120)		—
Investment funds	1,297		(5)		—		238		9,047		10,577		(5)		—
Other investments	—		—		—		—		1,902		1,902		—		—
Total Level 3 assets	$	45,752	$	(3,550)	$	(74)	$	3,373	$	6,064	$	51,565	$	(884)	$	(73)

Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(7,559)	$	957	$	—	$	(102)	$	—	$	(6,704)	$	—	$	—
Universal life benefits	(1,235)		139		—		—		—		(1,096)		—		—
Future policy benefits
AmerUs Closed Block	(1,520)		142		—		—		—		(1,378)		—		—
ILICO Closed Block and life benefits	(742)		38		—		—		—		(704)		—		—
Derivative liabilities	(3)		—		—		—		—		(3)		—		—
Liabilities of consolidated VIEs – debt	—		—		—		—		(3,645)		(3,645)		—		—
Total Level 3 liabilities	$	(11,059)	$	1,276	$	—	$	(102)	$	(3,645)	$	(13,530)	$	—	$	—

1 Related to instruments held at end of period.

3741

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)


	Predecessor
	Three months ended March 31, 2021
			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
US state, municipal and political subdivisions	$	34	$	—	$	—	$	—	$	(34)	$	—	$	—	$	—
Foreign governments	2		—		—		—		—		2		—		—
Corporate	778		4		21		22		(43)		782		—		21
CLO	208		—		—		(34)		—		174		—		—
ABS	800		3		27		468		(91)		1,207		—		35
CMBS	43		—		5		—		—		48		—		4

Trading securities


CLO	4		—		—		(4)		—		—		—		—
ABS	35		—		—		—		—		35		—		—
RMBS	47		(5)		—		—		17		59		(2)		—
Equity securities	11		3		—		—		—		14		4		—
Mortgage loans	19		—		—		(1)		—		18		—		—
Investment funds	17		—		—		—		—		17		—		—
Funds withheld at interest – embedded derivative	1,944		(1,308)		—		—		—		636		—		—
Short-term investments	2		—		—		—		(2)		—		—		—
Investments in related parties
AFS securities
Corporate	195		—		6		—		—		201		—		6

ABS	4,109		(5)		(27)		115		(61)		4,131		—		(27)
Trading securities
CLO	50		16		—		(3)		(19)		44		25		—
ABS	1,475		35		—		131		—		1,641		37		—
Equity securities	72		8		—		34		—		114		8		—
Investment funds	2,033		(63)		—		—		—		1,970		(63)		—
Funds withheld at interest – embedded derivative	862		(282)		—		—		—		580		—		—

Reinsurance recoverable	2,100		(220)		—		—		—		1,880		—		—
Assets of consolidated VIEs - Investment funds	—		3		—		42		109		154		3		—
Total Level 3 assets	$	14,840	$	(1,811)	$	32	$	770	$	(124)	$	13,707	$	12	$	39
Liabilities
Interest sensitive contract liabilities
Embedded derivative	$	(12,873)	$	335	$	—	$	65	$	—	$	(12,473)	$	—	$	—
Universal life benefits	(1,308)		200		—		—		—		(1,108)		—		—
Future policy benefits
AmerUs Closed Block	(1,600)		103		—		—		—		(1,497)		—		—
ILICO Closed Block and life benefits	(776)		19		—		—		—		(757)		—		—
Derivative liabilities	(4)		(1)		—		—		—		(5)		(1)		—

Total Level 3 liabilities	$	(16,561)	$	656	$	—	$	65	$	—	$	(15,840)	$	(1)	$	—

1 Related to instruments held at end of period.

Table of Contents

ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

The following represents the gross components of purchases, issuances, sales and settlements, net, and net transfers in (out) shown above:


																			Successor
		Three months ended March 31, 2021																	Three months ended March 31, 2022
(In millions)	(In millions)	Purchases		Issuances		Sales		Settlements		Net purchases, issuances, sales and settlements		Transfers in		Transfers out		Net transfers in (out)		(In millions)	Purchases		Issuances		Sales		Settlements		Net purchases, issuances, sales and settlements		Transfers in1		Transfers out2		Net transfers in (out)
Assets	Assets																	Assets
AFS securities	AFS securities																	AFS securities
US state, municipal and political subdivisions		$	0	$	—	$	0	$	0	$	0	$	0	$	(34)	$	(34)

Corporate	Corporate	39		—		(9)		(8)		22		76		(119)		(43)		Corporate	$	324	$	—	$	(168)	$	(16)	$	140	$	43	$	(1)	$	42
CLO	CLO	0		—		0		(34)		(34)		0		0		0		CLO	—		—		—		(10)		(10)		—		—		—
ABS	ABS	513		—		0		(45)		468		47		(138)		(91)		ABS	1,489		—		(1,450)		(187)		(148)		338		(1)		337

CMBS																		CMBS	—		—		—		—		—		—		(16)		(16)

Trading securities	Trading securities																	Trading securities

CLO	CLO	0		—		(4)		0		(4)		0		0		0		CLO	4		—		—		—		4		—		(5)		(5)
ABS																		ABS	2		—		—		—		2		—		—		—

RMBS	RMBS	0		—		0		0		0		20		(3)		17		RMBS	—		—		—		—		—		30		(5)		25

Mortgage loans	Mortgage loans	—		—		—		(1)		(1)		0		0		0		Mortgage loans	4,091		—		(82)		(723)		3,286		—		—		—
Investment funds		42		—		0		0		42		109		0		109

Short-term investments	Short-term investments	0		—		0		0		0		0		(2)		(2)		Short-term investments	30		—		—		—		30		—		—		—
Investments in related parties	Investments in related parties																	Investments in related parties

AFS securities, ABS		873		—		(751)		(7)		115		0		(61)		(61)
AFS securities																		AFS securities
Corporate																		Corporate	315		—		(217)		(4)		94		—		—		—
CLO																		CLO	130		—		—		—		130		—		—		—
ABS																		ABS	374		—		(87)		(432)		(145)		—		(1,864)		(1,864)
Trading securities	Trading securities																	Trading securities
CLO	CLO	3		—		0		(6)		(3)		6		(25)		(19)		CLO	15		—		(1)		(13)		1		—		(10)		(10)
ABS	ABS	131		—		0		0		131		0		0		0		ABS	14		—		(264)		(5)		(255)		—		(1,250)		(1,250)
Equity securities	Equity securities	35		—		0		(1)		34		0		0		0		Equity securities	—		—		—		—		—		—		(113)		(113)
Mortgage loans																		Mortgage loans	146		—		—		(7)		139		—		—		—
Investment funds																		Investment funds	—		—		(34)		—		(34)		—		(2,031)		(2,031)
Short-term investments																		Short-term investments	53		—		—		—		53		—		—		—

Assets of consolidated VIEs																		Assets of consolidated VIEs
Mortgage loans																		Mortgage loans	—		—		—		(152)		(152)		—		—		—
Investment funds																		Investment funds	253		—		(15)		—		238		10,081		(1,034)		9,047
Other investments																		Other investments	—		—		—		—		—		1,902		—		1,902
Total Level 3 assets	Total Level 3 assets	$	1,636	$	0	$	(764)	$	(102)	$	770	$	258	$	(382)	$	(124)	Total Level 3 assets	$	7,240	$	—	$	(2,318)	$	(1,549)	$	3,373	$	12,394	$	(6,330)	$	6,064

Liabilities	Liabilities																	Liabilities
Interest sensitive contract liabilities – embedded derivative	Interest sensitive contract liabilities – embedded derivative	$	0	$	(175)	$	0	$	240	$	65	$	0	$	0	$	0	Interest sensitive contract liabilities – embedded derivative	$	—	$	(255)	$	—	$	153	$	(102)	$	—	$	—	$	—

Liabilities of consolidated VIEs – debt																		Liabilities of consolidated VIEs – debt	—		—		—		—		—		(3,645)		—		(3,645)
Total Level 3 liabilities	Total Level 3 liabilities	$	0	$	(175)	$	0	$	240	$	65	$	0	$	0	$	0	Total Level 3 liabilities	$	—	$	(255)	$	—	$	153	$	(102)	$	(3,645)	$	—	$	(3,645)

1 Transfers in includes assets and liabilities of consolidated VIEs that we consolidated effective March 31, 2022 ($10,081 million investment funds, $1,902 million other investments, and $3,645 million debt).																		1 Transfers in includes assets and liabilities of consolidated VIEs that we consolidated effective March 31, 2022 ($10,081 million investment funds, $1,902 million other investments, and $3,645 million debt).
2 Transfers out includes the elimination of investments in related party securities issued by VIEs that we consolidated effective March 31, 2022 ($1,582 million ABS AFS securities, $1,260 million ABS and CLO trading securities, and $113 million equity securities).																		2 Transfers out includes the elimination of investments in related party securities issued by VIEs that we consolidated effective March 31, 2022 ($1,582 million ABS AFS securities, $1,260 million ABS and CLO trading securities, and $113 million equity securities).

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Notes to Condensed Consolidated Financial Statements (Unaudited)

Three months ended March 31, 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 $ 74 $ — $ (10) $ (31) $ 33 $ 548 $ (35) $ 513
CLO 33 — 0 (3) 30 3 (23) (20)
ABS 73 — (14) (242) (183) 13 (190) (177)
CMBS 4 — 0 0 4 0 0 0
RMBS 0 — 0 0 0 42 0 42
Trading securities
Corporate 0 — 0 0 0 32 0 32
ABS 0 — (2) 0 (2) 0 0 0
RMBS 0 — 0 0 0 20 (1) 19
Mortgage loans — — — (1) (1) 0 0 0
Short-term investments 41 — 0 (14) 27 0 0 0
Investments in related parties
AFS securities, ABS 5 — 0 (55) (50) 0 (164) (164)
Trading securities
CLO 13 — (12) 0 1 9 0 9
ABS 66 — 0 0 66 0 0 0
Equity securities 3 — 0 (2) 1 0 (6) (6)
Investment funds 1,147 0 0 0 1,147 0 0 0
Total Level 3 assets $ 1,459 $ 0 $ (38) $ (348) $ 1,073 $ 667 $ (419) $ 248
Liabilities
Interest sensitive contract liabilities – embedded derivative $ 0 $ (116) $ 0 $ 792 $ 676 $ 0 $ 0 $ 0
Total Level 3 liabilities $ 0 $ (116) $ 0 $ 792 $ 676 $ 0 $ 0 $ 0


	Predecessor
	Three months ended March 31, 2021
(In millions)	Purchases		Issuances		Sales		Settlements		Net purchases, issuances, sales and settlements		Transfers in		Transfers out		Net transfers in (out)
Assets
AFS securities
US state, municipal and political subdivisions	$	—	$	—	$	—	$	—	$	—	$	—	$	(34)	$	(34)

Corporate	39		—		(9)		(8)		22		76		(119)		(43)
CLO	—		—		—		(34)		(34)		—		—		—
ABS	513		—		—		(45)		468		47		(138)		(91)


Trading securities


CLO	—		—		(4)		—		(4)		—		—		—

RMBS	—		—		—		—		—		20		(3)		17

Mortgage loans	—		—		—		(1)		(1)		—		—		—


Short-term investments	—		—		—		—		—		—		(2)		(2)
Investments in related parties

AFS securities, ABS	873		—		(751)		(7)		115		—		(61)		(61)
Trading securities
CLO	3		—		—		(6)		(3)		6		(25)		(19)
ABS	131		—		—		—		131		—		—		—
Equity securities	35		—		—		(1)		34		—		—		—



Assets of consolidated VIEs – Investment funds	42		—		—		—		42		109		—		109
Total Level 3 assets	$	1,636	$	—	$	(764)	$	(102)	$	770	$	258	$	(382)	$	(124)

Liabilities
Interest sensitive contract liabilities – embedded derivative	$	—	$	(175)	$	—	$	240	$	65	$	—	$	—	$	—


Total Level 3 liabilities	$	—	$	(175)	$	—	$	240	$	65	$	—	$	—	$	—

Significant Unobservable Inputs—Significant unobservable inputs occur when we could not obtain or corroborate the quantitative detail of the inputs. This applies to fixed maturity securities, equity securities, mortgage loans and certain derivatives, as well as embedded derivatives in liabilities. Additional significant unobservable inputs are described below.

AFS and trading securities – ~~For certain fixed maturity securities, internal~~We usediscounted cash flow models ~~are used~~ to calculate the fair ~~value. We use a discounted cash flow approach.~~value for certain fixed maturity securities. The discount rate is ~~the~~a significant unobservable input ~~due to~~because the ~~determined~~ credit spread ~~being internally developed, illiquid, or as a result of other~~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, but includes assets for which fair value is provided by affiliated quotes.

Mortgage loans – We use discounted cash flow models from independent commercial pricing services to calculate the fair value of our mortgage loan portfolio. The discount rate is a significant unobservable ~~inputs are not developed internally, primarily consisting of broker quotes.~~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 we use in the fixed indexed annuities embedded derivative of the interest sensitive contract liabilities valuation include:

1.Nonperformance risk – For contracts we issue, we use the credit spread, relative to the US 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.

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Notes to Condensed Consolidated Financial Statements (Unaudited)

The following summarizes the unobservable inputs for AFS and trading securities, mortgage loans and the embedded derivatives of fixed indexed annuities:


															Successor
		March 31, 2021													March 31, 2022
(In millions, except for percentages)	(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	(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	AFS and trading securities	$	5,982	Discounted cash flow	Discount rate	1.4	%	18.0	%	4.7	%	1	Decrease	AFS and trading securities	$	11,322	Discounted cash flow	Discount rate	1.5	%	21.0	%	4.7	%	1	Decrease

Mortgage loans														Mortgage loans	$	27,032	Discounted cash flow	Discount rate	1.4	%	15.1	%	4.4	%	1	Decrease

Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	12,473	Option budget method	Nonperformance risk	0.1	%	1.0	%	0.5	%	2	Decrease	Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	6,704	Discounted cash flow	Nonperformance risk	0.3	%	2.0	%	0.9	%	2	Decrease
																		Option budget	0.5	%	3.8	%	1.8	%	3	Increase
					Option budget	0.5	%	3.5	%	1.8	%	3	Increase					Surrender rate	5.3	%	10.6	%	7.9	%	4	Decrease
					Surrender rate	5.2	%	9.6	%	7.1	%	4	Decrease
															Predecessor
		December 31, 2020													December 31, 2021
(In millions, except for percentages)	(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	(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	AFS and trading securities	$	5,858	Discounted cash flow	Discount rate	1.7	%	35.0	%	4.6	%	1	Decrease	AFS and trading securities	$	10,167	Discounted cash flow	Discount rate	1.4	%	19.4	%	5.2	%	1	Decrease

Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	12,873	Option budget method	Nonperformance risk	0.0	%	1.1	%	0.5	%	2	Decrease	Interest sensitive contract liabilities – fixed indexed annuities embedded derivatives	$	14,907	Option budget method	Nonperformance risk	0.1	%	1.0	%	0.6	%	2	Decrease
					Option budget	0.6	%	3.5	%	1.9	%	3	Increase					Option budget	0.4	%	3.4	%	1.9	%	3	Increase
					Surrender rate	5.3	%	9.5	%	7.1	%	4	Decrease					Surrender rate	5.9	%	10.7	%	8.0	%	4	Decrease

1 The discount rate weighted average is calculated based on the relative fair values of the securities.
1 The discount rate weighted average is calculated based on the relative fair values of the securities or loans.														1 The discount rate weighted average is calculated based on the relative fair values of the securities or loans.
2 The nonperformance risk weighted average is based on the projected excess benefits of reserves used in the calculation of the embedded derivative.	2 The nonperformance risk weighted average is based on the projected excess benefits of reserves used in the calculation of the embedded derivative.													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.	3 The option budget weighted average is calculated based on the indexed account values.													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.	4 The surrender rate weighted average is calculated based on projected account values.													4 The surrender rate weighted average is calculated based on projected account values.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Financial Instruments Without Readily Determinable Fair Values—We have elected the measurement alternative for certain equity securities that do not have a readily determinable fair value. ~~The~~As of March 31, 2022 and December 31, 2021, the carrying amount of the equity securities was ~~$202~~$400 million and $0 million, respectively, with ano cumulative recorded ~~impairment of $231 million as of March 31, 2021 and December 31, 2020.~~impairment.

Fair Value of Financial Instruments Not Carried at Fair Value—The following represents our financial instruments not carried at fair value on the condensed consolidated balance sheets:


															Successor
		March 31, 2021													March 31, 2022
(In millions)	(In millions)	Carrying Value		Fair Value		NAV		Level 1		Level 2		Level 3		(In millions)	Carrying Value		Fair Value		NAV		Level 1		Level 2		Level 3
Financial assets	Financial assets													Financial assets
Mortgage loans		$	16,653	$	17,176	$	—	$	0	$	0	$	17,176

Investment funds	Investment funds	647		647		647		0		0		0		Investment funds	$	1,063	$	1,063	$	1,063	$	—	$	—	$	—
Policy loans	Policy loans	356		356		—		0		356		0		Policy loans	296		296		—		—		296		—
Funds withheld at interest	Funds withheld at interest	45,388		45,388		—		0		0		45,388		Funds withheld at interest	43,055		43,055		—		—		—		43,055
Short-term investments	Short-term investments	8		8		—		0		0		8		Short-term investments	26		26		—		—		—		26
Other investments	Other investments	1,617		1,617		—		0		0		1,617		Other investments	1,064		1,064		—		—		—		1,064
Investments in related parties	Investments in related parties													Investments in related parties
Mortgage loans		714		734		—		0		0		734

Investment funds	Investment funds	3,839		3,839		3,839		0		0		0		Investment funds	2,274		2,274		2,274		—		—		—
Funds withheld at interest	Funds withheld at interest	11,992		11,992		—		0		0		11,992		Funds withheld at interest	12,001		12,001		—		—		—		12,001
Other investments	Other investments	469		492		—		0		0		492		Other investments	255		255		—		—		—		255
Assets of consolidated VIEs – investment funds														Assets of consolidated VIEs – investment funds	789		789		789		—		—		—

Total financial assets not carried at fair value	Total financial assets not carried at fair value	$	81,683	$	82,249	$	4,486	$	0	$	356	$	77,407	Total financial assets not carried at fair value	$	60,823	$	60,823	$	4,126	$	—	$	296	$	56,401

Financial liabilities	Financial liabilities													Financial liabilities
Interest sensitive contract liabilities	Interest sensitive contract liabilities	$	97,239	$	99,298	$	—	$	0	$	0	$	99,298	Interest sensitive contract liabilities	$	114,493	$	107,961	$	—	$	—	$	—	$	107,961

Long-term debt	Long-term debt	1,977		2,215		—		0		2,215		0		Long-term debt	3,287		2,931		—		—		2,931		—
Securities to repurchase	Securities to repurchase	599		599		—		0		599		0		Securities to repurchase	3,966		3,966		—		—		3,966		—
Funds withheld liability		388		388		—		0		388		0

Liabilities of consolidated VIEs – debt														Liabilities of consolidated VIEs – debt	1,838		1,838		—		—		—		1,838
Total financial liabilities not carried at fair value	Total financial liabilities not carried at fair value	$	100,203	$	102,500	$	—	$	0	$	3,202	$	99,298	Total financial liabilities not carried at fair value	$	123,584	$	116,696	$	—	$	—	$	6,897	$	109,799


	Predecessor
	December 31, 2021
(In millions)	Carrying Value		Fair Value		NAV		Level 1		Level 2		Level 3
Financial assets
Mortgage loans	$	20,731	$	21,138	$	—	$	—	$	—	$	21,138
Investment funds	995		995		995		—		—		—
Policy loans	312		312		—		—		312		—
Funds withheld at interest	43,125		43,125		—		—		—		43,125

Other investments	1,343		1,343		—		—		—		1,343
Investments in related parties
Mortgage loans	1,360		1,369		—		—		—		1,369
Investment funds	4,433		4,433		4,433		—		—		—
Funds withheld at interest	11,629		11,629		—		—		—		11,629
Other investments	222		223		—		—		—		223
Assets of consolidated VIEs – mortgage loans	2,040		2,152		—		—		—		2,152
Total financial assets not carried at fair value	$	86,190	$	86,719	$	5,428	$	—	$	312	$	80,979

Financial liabilities
Interest sensitive contract liabilities	$	105,293	$	108,621	$	—	$	—	$	—	$	108,621

Long-term debt	2,964		3,295		—		—		3,295		—
Securities to repurchase	3,110		3,110		—		—		3,110		—
Funds withheld liability	394		394		—		—		394		—
Liabilities of consolidated VIEs – debt	113		113		—		—		—		113
Total financial liabilities not carried at fair value	$	111,874	$	115,533	$	—	$	—	$	6,799	$	108,734

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Notes to Condensed Consolidated Financial Statements (Unaudited)

December 31, 2020
(In millions) Carrying Value Fair Value NAV Level 1 Level 2 Level 3
Financial assets
Mortgage loans $ 15,245 $ 15,811 $ — $ 0 $ 0 $ 15,811
Investment funds 642 642 642 0 0 0
Policy loans 369 369 — 0 369 0
Funds withheld at interest 46,668 46,668 — 0 0 46,668
Other investments 467 471 — 0 0 471
Investments in related parties
Mortgage loans 674 694 — 0 0 694
Investment funds 3,165 3,165 3,165 0 0 0
Funds withheld at interest 12,168 12,168 — 0 0 12,168
Other investments 469 499 — 0 0 499
Total financial assets not carried at fair value $ 79,867 $ 80,487 $ 3,807 $ 0 $ 369 $ 76,311
Financial liabilities
Interest sensitive contract liabilities $ 94,685 $ 98,945 $ — $ 0 $ 0 $ 98,945
Long-term debt 1,976 2,259 — 0 2,259 0
Securities to repurchase 598 598 — 0 598 0
Funds withheld liability 393 393 — 0 393 0
Total financial liabilities not carried at fair value $ 97,652 $ 102,195 $ — $ 0 $ 3,250 $ 98,945

We estimate the fair value for financial instruments not carried at fair value using the same methods and assumptions as those we carry at fair value. The financial instruments presented above are reported at carrying value on the condensed consolidated balance sheets; however, in the case of policy loans, short-term investments, funds withheld at interest and liability, ~~short-term investments, and~~ securities to repurchase, and debt of consolidated VIEs, the carrying amount approximates fair value.

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

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 our nonperformance risk and subtracting a risk margin to reflect uncertainty inherent in the projected cash flows.

Long-term debt – We obtain the fair value of long-term debt 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.

7. Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired

The following represents a rollforward of DAC, DSI and VOBA:


	Successor
(In millions)	DAC		DSI		VOBA		Total
Balance at January 1, 2022	$	—	$	—	$	4,547	$	4,547
Additions	214		77		—		291

Amortization	—		—		(125)		(125)

Balance at March 31, 2022	$	214	$	77	$	4,422	$	4,713


	Predecessor
(In millions)	DAC		DSI		VOBA		Total
Balance at December 31, 2020	$	3,236	$	857	$	813	$	4,906

Additions	143		54		—		197

Amortization	(98)		(84)		(66)		(248)
Impact of unrealized investment (gains) losses	271		87		90		448
Balance at March 31, 2021	$	3,552	$	914	$	837	$	5,303

The expected amortization of VOBA for the next five years is as follows:


(In millions)	Expected Amortization
20221	$	362
2023	452
2024	415
2025	380
2026	343
2027	305

1 Expected amortization for the remainder of 2022.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

~~6. Deferred Acquisition Costs, Deferred Sales Inducements and Value of Business Acquired~~

~~The following represents a rollforward of deferred acquisition costs (DAC), deferred sales inducements (DSI) and value of business acquired (VOBA):~~

(In millions) DAC DSI VOBA Total
Balance at December 31, 2020 $ 3,236 $ 857 $ 813 $ 4,906
Additions 143 54 0 197
Amortization (98) (84) (66) (248)
Impact of unrealized investment (gains) losses 271 87 90 448
Balance at March 31, 2021 $ 3,552 $ 914 $ 837 $ 5,303

(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 112 38 0 150
Amortization 436 (10) (23) 403
Impact of unrealized investment (gains) losses 489 139 181 809
Balance at March 31, 2020 $ 4,323 $ 992 $ 1,077 $ 6,392

7.8. Equity

Distributions to Parent—In the first quarter of 2022, we distributed our investment in AOG units to AGM. See Note 9 – Related Parties for further information on the investment in AOG units. The AOG distribution resulted in a reduction of additional paid-in capital of $1,916 million and an increase in accumulated deficit of $26 million. In connection with the AOG distribution to AGM, we also issued a stock dividend of 11.6 million shares to the Apollo Group shareholders other than AGM. Additionally, we recorded a reestablishment of the liabilities that were considered effectively settled upon merger of $810 million, as these liabilities were settled during the first quarter of 2022 in the normal course of business as intercompany payables to AGM.

Accumulated Other Comprehensive Income (Loss)—The following provides the details and changes in AOCI:


(In millions)	(In millions)	Unrealized investment gains (losses) on AFS securities without a credit allowance		Unrealized investment gains (losses) on AFS securities with a credit allowance		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)		(In millions)	Unrealized investment gains (losses) on AFS securities without a credit allowance		Unrealized investment gains (losses) on AFS securities with a credit allowance		DAC, DSI 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 December 31, 2020		$	5,338	$	(39)	$	(1,310)	$	(26)	$	8	$	3,971
Balance at January 1, 2022														Balance at January 1, 2022	$	—	$	—	$	—	$	—	$	—	$	—

Other comprehensive income (loss) before reclassifications	Other comprehensive income (loss) before reclassifications	(3,271)		(81)		753		(31)		0		(2,630)		Other comprehensive income (loss) before reclassifications	(6,645)		(97)		268		(129)		4		(6,599)
Less: Reclassification adjustments for gains (losses) realized1		(10)		0		2		0		0		(8)
Less: Reclassification adjustments for gains (losses) realized in net income1														Less: Reclassification adjustments for gains (losses) realized in net income1	(38)		(7)		1		—		—		(44)
Less: Income tax expense (benefit)	Less: Income tax expense (benefit)	(631)		(16)		158		(7)		0		(496)		Less: Income tax expense (benefit)	(1,184)		(16)		56		(26)		—		(1,170)
Less: Other comprehensive loss attributable to noncontrolling interests		(175)		0		0		(1)		0		(176)
Balance at March 31, 2021		$	2,883	$	(104)	$	(717)	$	(49)	$	8	$	2,021
Less: Other comprehensive income (loss) attributable to noncontrolling interests														Less: Other comprehensive income (loss) attributable to noncontrolling interests	(676)		(9)		—		(24)		(2)		(711)
Balance at March 31, 2022														Balance at March 31, 2022	$	(4,747)	$	(65)	$	211	$	(79)	$	6	$	(4,674)

1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).	1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).													1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).


(In millions)	(In millions)	Unrealized investment gains (losses) on AFS securities without a credit allowance		Unrealized investment gains (losses) on AFS securities with a credit allowance		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)		(In millions)	Unrealized investment gains (losses) on AFS securities without a credit allowance2		Unrealized investment gains (losses) on AFS securities with a credit allowance2		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 December 31, 2019		$	3,102	$	0	$	(879)	$	61	$	(3)	$	2,281
Adoption of accounting standards		4		(4)		(6)		0		0		(6)
Balance at December 31, 2020														Balance at December 31, 2020	$	5,352	$	(53)	$	(1,310)	$	(26)	$	8	$	3,971

Other comprehensive income (loss) before reclassifications	Other comprehensive income (loss) before reclassifications	(5,762)		(273)		1,352		401		9		(4,273)		Other comprehensive income (loss) before reclassifications	(3,384)		32		753		(31)		—		(2,630)
Less: Reclassification adjustments for gains (losses) realized1		171		0		(15)		0		0		156
Less: Reclassification adjustments for gains (losses) realized in net income1														Less: Reclassification adjustments for gains (losses) realized in net income1	(10)		—		2		—		—		(8)
Less: Income tax expense (benefit)	Less: Income tax expense (benefit)	(1,128)		(53)		287		97		0		(797)		Less: Income tax expense (benefit)	(653)		6		158		(7)		—		(496)
Less: Other comprehensive income (loss) attributable to noncontrolling interests	Less: Other comprehensive income (loss) attributable to noncontrolling interests	(159)		0		0		(30)		6		(183)		Less: Other comprehensive income (loss) attributable to noncontrolling interests	(177)		2		—		(1)		—		(176)
Balance at March 31, 2020		$	(1,540)	$	(224)	$	195	$	395	$	0	$	(1,174)
Balance at March 31, 2021														Balance at March 31, 2021	$	2,808	$	(29)	$	(717)	$	(49)	$	8	$	2,021

1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).	1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).													1 Recognized in investment related gains (losses) on the condensed consolidated statements of income (loss).
2 Previously reported amounts have been revised to correct a misstatement, which was not material, in the classification of balances and changes attributable to AFS securities with and without credit allowances.														2 Previously reported amounts have been revised to correct a misstatement, which was not material, in the classification of balances and changes attributable to AFS securities with and without credit allowances.

~~Table of Contents~~

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

~~8. Earnings Per Share~~

~~The following represents our basic and diluted earnings per share (EPS) calculations, which are calculated using unrounded amounts:~~


	~~Three months ended March 31, 2021~~
~~(In millions, except per share data)~~	~~Class A~~
~~Net income available to Athene Holding Ltd. common shareholders – basic and diluted~~	$	~~578~~

~~Basic weighted average shares outstanding~~	~~191.3~~
~~Dilutive effect of stock compensation plans and warrants~~	~~5.5~~
~~Diluted weighted average shares outstanding~~	~~196.8~~

~~Earnings per share~~
~~Basic~~	$	~~3.02~~
~~Diluted~~	$	~~2.94~~

Three months ended March 31, 2020
(In millions, except 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 $ (938) $ (98) $ (13) $ (3) $ (4) $ (9)
Basic weighted average shares outstanding 161.4 25.4 3.3 0.8 1.0 2.4
Dilutive effect of stock compensation plans and warrants1
0 0 0 0 0 0
Diluted weighted average shares outstanding 161.4 25.4 3.3 0.8 1.0 2.4
Loss per share
Basic $ (5.81) $ (3.87) $ (3.87) $ (3.87) $ (3.87) $ (3.87)
Diluted $ (5.81) $ (3.87) $ (3.87) $ (3.87) $ (3.87) $ (3.87)
1 The dilutive effective of stock compensation plans and warrants is antidilutive as a result of the net loss available to Athene Holding Ltd. common shareholders for the three months ended March 31, 2020.

~~For the periods in which we had multiple classes of stock participating in earnings, we used the two-class method for allocating net income~~ ~~available to Athene Holding Ltd. common shareholders~~ ~~to each class of our common stock. During the first quarter of 2020, as a result of the closing of the share transaction discussed further in~~ ~~Note 9 – Related Parties~~, we converted outstanding Class B shares to Class A shares and Class M shares were converted to Class A shares and warrants. As a result, the EPS calculation for the first quarter of 2020 used the weighted average shares for the quarter to allocate first quarter net loss to Class B and Class M shares; however, for those classes, the weighted average shares outstanding represents only that period of time that the shares were outstanding. The warrants issued as part of the conversion of the Class M shares are included within the dilutive effect of stock compensation plans and warrants above if dilutive.

~~Dilutive shares are calculated using the treasury stock method. For Class A shares, this method takes into account shares that can be settled into Class A shares, net of a conversion price.~~ ~~The diluted EPS calculations for Class A shares excluded 1.0 million and 11.1 million shares, restricted stock units, options and warrants as of March 31, 2021 and 2020, respectively.~~

~~Table of Contents~~

~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

9. Related Parties

Apollo

~~Current fee~~Fee structure – Substantially all of our investments are managed by Apollo. Apollo provides us a full suite of services that includes: direct investment management; asset sourcing and allocation; mergers and acquisition sourcing, execution and asset diligence; and strategic support and advice. Apollo also provides certain operational support services for our investment portfolio including investment compliance, tax, legal and risk management support.

Apollo has extensive experience managing our investment portfolio and its knowledge of our liability profile enables it to tailor an asset management strategy to fit our specific needs. This strategy has proven responsive to changing market conditions and focuses on earning incremental yield by taking liquidity risk and complexity risk, rather than assuming solely credit risk. Our partnership has enabled us to take advantage of investment opportunities that would likely not otherwise have been available to us.

~~Under the Seventh Amended and Restated Fee Agreement between us and AGM’s subsidiary, Apollo Insurance Solutions Group LP (ISG) (Fee Agreement), we pay Apollo:~~

~~(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 US 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, US treasuries, non-preferred equities and alternatives.~~

~~The following represents assets based on the above sub-allocation structure:~~

(In millions, except percentages) March 31, 2021 Percent of Total December 31, 2020 Percent of Total
Core $ 46,343 25.4 % $ 49,392 27.3 %
Core Plus 41,810 22.9 % 41,516 23.0 %
Yield 70,497 38.5 % 64,693 35.8 %
High Alpha 7,038 3.9 % 6,200 3.4 %
Other 17,003 9.3 % 19,088 10.5 %
Total sub-allocation assets $ 182,691 100.0 % $ 180,889 100.0 %

Additionally, the Fee Agreement provides for a possible payment by Apollo to us, or a possible payment by us to Apollo, equal to 0.025% of the Incremental Value as of the end of each year, beginning on December 31, 2019, depending upon the percentage of our investments that consist of Core and Core Plus assets. If more than 60% of our invested assets that are subject to the sub-allocation fees are invested in Core and Core Plus assets, we will receive a 0.025% fee reduction on the Incremental Value. If less than 50% of our invested assets that are subject to the sub-allocation fee are invested in Core and Core Plus assets, we will pay an additional fee of 0.025% on Incremental Value.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Under our fee agreement with Apollo, which was amended and restated as of March 31, 2022, and effective as of January 1, 2022, we pay Apollo a base management fee of (1) 0.225% per year on a monthly basis equal to the lesser of (A) $103.4 billion, which represents the aggregate fair market value of substantially all of the assets in substantially all of the investment accounts of or relating to us (collectively, the Accounts) as of December 31, 2018 (Backbook Value), and (B) the aggregate book value of substantially all of the assets in the Accounts at the end of the respective month, plus (2) 0.15% per year of the amount, if any, by which the aggregate book value of substantially all of the assets in the Accounts at the end of the respective month exceeds the Backbook Value, subject to certain adjustments. Additionally, we pay a sub-allocation fee based on specified asset class tiers ranging from 0.065% to 0.70% of the book value of such assets, with the higher percentages in this range for asset classes that are designed to have more alpha generating abilities.

During the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, we incurred management fees, inclusive of the base and sub-allocation fees, of ~~$144~~$186 million and ~~$128~~$144 million, respectively. Management fees are included within net investment income on the condensed consolidated statements of income (loss). As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, management fees payable were ~~$48~~$84 million and ~~$41~~$59 million, respectively, and are included in other liabilities on the condensed consolidated balance sheets. Such amounts include fees incurred attributable to ACRA including all of the noncontrolling interest in ACRA.

In addition to the assets on our condensed consolidated balance sheets managed by Apollo, Apollo manages the assets underlying our funds withheld receivable. For these assets, the third-party cedants pay Apollo fees based upon the same fee construct we have with Apollo. Such fees directly reduce the settlement payments that we receive from the third-party cedant and, as such, we indirectly pay those fees. Finally, Apollo charges management fees and carried interest on Apollo-managed funds and other entities in which we invest. Neither the fees paid by such third-party cedants nor the fees or carried interest paid by such Apollo-managed funds or other entities are included in the investment management fee amounts noted above.

~~Investment~~Termination of ACRA investment management ~~agreement~~agreements (IMA) ~~termination~~ – Our bye-laws currently provide that, ~~we may not,~~with respect to IMAs covering assets backing reserves and ~~will cause our subsidiaries not to, terminate any IMA~~surplus in ACRA, whether from internal reinsurance, third-party reinsurance, or inorganic transactions, among us or any of our subsidiaries, on the one hand, and ~~a member of the~~ Apollo Insurance Solutions Group ~~(as defined in our bye-laws)~~LP (ISG), on the other hand, we may not, and will not cause our subsidiaries to, terminate any such IMA with Apollo other than ~~on June 4, 2023 or any two year anniversary~~at specified termination dates and with relevant board approvals of ~~such date (each such date, an IMA Termination Election Date)~~independent directors and ~~any termination on an IMA Termination Election Date requires (i) the approval of two-thirds of our Independent Directors (as defined in the bye-laws) and (ii) prior~~ written notice to the applicable Apollo subsidiary of such termination at least 30 days, but not more than 90 days, prior to an IMA Termination Election Date. If our Independent Directors make such election to terminate and notice of such termination is delivered, the termination will be effective no earlier than the second anniversary of the applicable IMA Termination Election Date (IMA Termination Effective Date). Notwithstanding the foregoing, (A) except as set forth in clause (B) below, our board of directors may only elect to terminate an IMA on an IMA Termination Election Date if two-thirds of our Independent Directors determine, in their sole discretion and acting in good faith, that either (i) there has been unsatisfactory long-term performance materially detrimental to us by the applicable Apollo subsidiary or (ii) the fees being charged by the applicable Apollo subsidiary are unfair and excessive compared to a comparable asset manager (provided, that in either case such Independent Directors must deliver notice of any such determination to the applicable Apollo subsidiary and the applicable Apollo subsidiary will have until the applicable IMA Termination Effective Date to address such concerns, and provided, further, that in the case of such a determination that the fees being charged by the applicable Apollo subsidiary are unfair and excessive, the applicable Apollo subsidiary has the right to lower its fees to match the fees of such comparable asset manager) and (B) upon the determination by two-thirds of our Independent Directors, we or our subsidiaries may also terminate an IMA with the applicable Apollo subsidiary, on a date other than an IMA Termination Effective Date, as a result of either (i) a material violation of law relating to the applicable Apollo subsidiary’s advisory business, or (ii) the applicable Apollo subsidiary’s gross negligence, willful misconduct or reckless disregard of its obligations under the relevant agreement, in each case of this clause (B), that is materially detrimental to us, and in either case of this clause (B), subject to the delivery of written notice at least 30 days prior to such termination; provided, that in connection with an event described in clause (B)(i) or (B)(ii), the applicable Apollo subsidiary shall have the right to dispute such determination of the Independent Directors within 30 days after receiving notice from us of such determination, in which case the matter will be submitted to binding arbitration and such IMA shall continue to remain in effect during the period of the arbitration (the events described in the foregoing clauses (A) and (B) are referred to in more detail in our bye-laws as “AHL Cause”).notice.

Governance – We have a management investment and asset liability committee, which includes members of our senior management and reports to the risk committee of our board of directors. The committee focuses on strategic decisions involving our investment portfolio, such as approving investment limits, new asset classes and our allocation strategy, reviewing large asset transactions, as well as monitoring our credit risk, and the management of our assets and liabilities.

APrior to our merger with AGM on January 1, 2022, a significant voting interest in the Company iswas held by shareholders who are members of the Apollo Group. ~~Also,~~ James Belardi, our Chief Executive Officer, isalso serves as a member of the board of directors and an ~~employee~~executive officer of ~~ISG~~AGM, and, ~~receives remuneration from acting~~ as Chief Executive Officer of ~~ISG.~~ISG, receives compensation from ISG for services he provides. Mr. Belardi also owns a 5% profit interest in ISG and in connection with such interest receives ~~distributions in respect~~a specified percentage of ~~ISG and sub-allocation fees~~other fee streams earned by ~~Apollo.~~Apollo from us, including sub-allocation fees. Additionally, six of the sixteen members of our board of directors (including Mr. Belardi) are employees of or consultants to ~~Apollo (including Mr. Belardi).~~Apollo. In order to protect against potential conflicts of interest resulting from transactions into which we have entered and will continue to enter into with the Apollo Group, our bye-laws require us to maintain a conflicts committee comprised solely of directors who are not general partners, directors (other than independent directors of AGM), managers, officers or employees of any member of the Apollo Group. The conflicts committee reviews and approves material transactions between us and the Apollo Group, subject to certain exceptions.

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Notes to Condensed Consolidated Financial Statements (Unaudited)

Other related party transactions

~~A-A Mortgage~~Athene Freedom – We ~~had~~have a limited partnership investment in Athene Freedom, for which an ~~equity method investment~~Apollo affiliate is the general partner. As of ~~$583~~March 31, 2022 and in connection with the reassessment of VIEs resulting from the merger, we consolidated Athene Freedom as a VIE. Athene Freedom indirectly invests in both Wheels, Inc. (Wheels) and Donlen, LLC (Donlen). We own ABS and corporate debt securities issued by Wheels and Donlen of $2,211 million and ~~$444~~$2,419 million as of March 31, ~~2021~~2022 and December 31, ~~2020, respectively, in A-A Mortgage, which had an investment in AmeriHome.~~ ~~On February 16,~~ 2021, ~~Apollo, Athene and AmeriHome announced the sale of AmeriHome to a subsidiary of Western Alliance Bancorporation. This transaction closed on April 7, 2021 and we estimate~~ $184 million of revenue from the premium of the platform sale, net of carry and transaction expenses. Of the total estimated premium, $174 million was recognized during the first quarter of 2021 as a result of the underlying investment being held at fair value. We have a loan purchase agreement with AmeriHome, which survived the sale. The agreement allows us to purchase residential mortgage loans which AmeriHome has purchased from correspondent sellers and pooled for sale in the secondary market. AmeriHome retains the servicing rights to the sold loans. We purchased $0 million and $169 million of residential mortgage loans under this agreement during the three months ended March 31, 2021 and 2020, respectively. Additionally, we hold investments issued by AmeriHome or AmeriHome affiliates of $372 million and $360 million as of ~~March 31, 2021~~ ~~and December 31, 2020,~~ respectively, which are ~~included in~~held as related party AFS securities on the condensed consolidated ~~balances~~balance sheets. ~~We also had commitments to make additional equity investments in A-A Mortgage of $381 million as of~~ ~~March 31, 2021.~~

MidCap – As of March 31, 2022 and in connection with the reassessment of VIEs resulting from the merger, we consolidated MidCap as a VIE. We ~~have~~hold multiple investments in MidCap including profit participating notes, senior unsecured notes and redeemable preferred stock, ~~and amounts advanced under a subordinated debt facility. The subordinated debt facility is~~which prior to consolidation, were included in related party ~~other investments and the redeemable preferred stock and profit participating notes are included in related party~~AFS or trading securities on the condensed consolidated balance ~~sheets.~~ sheets for periods prior to March 31, 2022.

The following summarizes ~~these~~the Predecessor investments in MidCap:

(In millions) March 31, 2021 December 31, 2020
Profit participating notes $ 573 $ 534
Subordinated debt facility 321 328
Redeemable preferred stock 77 77
Total investment in MidCap $ 971 $ 939


	Predecessor
(In millions)	December 31, 2021

Profit participating notes	$	635
Senior unsecured notes	158
Redeemable preferred stock	7
Total investment in MidCap	$	800

Additionally, we hold ABS and CLO securities issued by MidCap affiliates of ~~$801~~$892 million and ~~$630~~$897 million as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively, which are included in related party AFS securities on the condensed consolidated balance sheets.

Athora – We have a cooperation agreement with Athora, pursuant to which, among other things, (1) for a period of 30 days from the receipt of notice of a cession, we have the right of first refusal to reinsure (i) up to 50% of the liabilities ceded from Athora’s reinsurance subsidiaries to Athora Life Re Ltd. and (ii) up to 20% of the liabilities ceded from a third party to any of Athora’s insurance subsidiaries, subject to a limitation in the aggregate of 20% of Athora’s liabilities, (2) Athora agreed to cause its insurance subsidiaries to consider the purchase of certain funding agreements and/or other spread instruments issued by our insurance subsidiaries, subject to a limitation that the fair market value of such funding agreements purchased by any of Athora’s insurance subsidiaries may generally not exceed 3% of the fair market value of such subsidiary’s total assets, (3) we provide Athora with a right of first refusal to pursue acquisition and reinsurance transactions in Europe (other than the United Kingdom (UK)) and (4) Athora provides us and our subsidiaries with a right of first refusal to pursue acquisition and reinsurance transactions in North America and the UK. Notwithstanding the foregoing, pursuant to the cooperation agreement, Athora is only required to use its reasonable best efforts to cause its subsidiaries to adhere to the provisions set forth in the cooperation agreement and therefore Athora’s ability to cause its subsidiaries to act pursuant to the cooperation agreement may be limited by, among other things, legal prohibitions or the inability to obtain the approval of the board of directors or other applicable governing body of the applicable subsidiary, which approval is solely at the discretion of such governing body. As of March 31, ~~2021~~2022, we have not exercised our right of first refusal to reinsure liabilities ceded to Athora’s insurance or reinsurance subsidiaries.

~~Our investment~~The following table summarizes our investments in ~~Athora, which is included in related party investment funds on the condensed consolidated balance sheets, was $689 million and $709 million as of~~ Athora:


	Successor		Predecessor
(In millions)	March 31, 2022		December 31, 2021
Investment fund	$	814	$	743
Non-redeemable preferred equity securities	166		171
Total investment in Athora	$	980	$	914

~~March 31, 2021~~

~~and December 31, 2020, respectively.~~ Additionally, as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had ~~$117~~$61 million and ~~$122~~$63 million, respectively, of funding agreements outstanding to Athora. We also have commitments to make additional ~~equity~~ investments in Athora of ~~$293~~$552 million as of March 31, ~~2021.~~2022.

Venerable – We have coinsurance and modco agreements with Venerable Insurance and Annuity Company (VIAC). VIAC is a related party due to our minority equity investment in its holding company’s parent, VA Capital, which was ~~$316~~$230 million and ~~$123~~$219 million as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The minority equity investment in VA Capital is included in related party investment funds on the condensed consolidated balance sheets and accounted for as an equity method investment. VA Capital is owned by a consortium of investors, led by affiliates of ~~AGM,~~Apollo, Crestview Partners III Management , LLC and Reverence Capital Partners L.P., and is the parent of Venerable, which is the parent of VIAC. Additionally, we have a 15-year term loan receivable from Venerable due in 2033, which is included in related party other investments on the condensed consolidated balance sheets. The loan is held at the principal balance less allowances and was $147 million and $145 million as of ~~March 31, 2021~~ and December 31, 2020, respectively. While management views the overall transactions with Venerable as favorable to us, the stated interest rate of 6.257% on the term loan to Venerable represents a below-market interest rate, and management considered such rate as part of its evaluation and pricing of the reinsurance transactions.

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Notes to Condensed Consolidated Financial Statements (Unaudited)

We also have term loans receivable from Venerable due in 2033, which are included in related party other investments on the condensed consolidated balance sheets. The loans are held at the principal balance less allowances and were $255 million and $222 million as of March 31, 2022 and December 31, 2021, respectively. While management views the overall transactions with Venerable as favorable to us, the stated interest rate of 6.257% on the initial term loan to Venerable represented a below-market interest rate, and management considered such rate as part of its evaluation and pricing of the reinsurance transactions.

Strategic Partnership – We have an agreement pursuant to which we may invest up to ~~$2.5~~$2.875 billion over three years in funds managed by Apollo entities (Strategic Partnership). This arrangement is intended to permit us to invest across the Apollo alternatives platform into credit-oriented, strategic and other alternative investments in a manner and size that is consistent with our existing investment strategy. Fees for such investments payable by us to Apollo would be more favorable to us than market rates, and consistent with our existing alternative investments, investments made under the Strategic Partnership require approval of ISG and remain subject to our existing governance processes, including approval by our conflicts committee where applicable. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had ~~$229~~$823 million and ~~$214~~$415 million, respectively, of investments under the Strategic Partnership and these investments are typically included inas consolidated VIEs or related party investment funds on the condensed consolidated balance sheets.

PK AirFinance – We have ~~an investment~~investments in PK AirFinance ~~(PK)~~(PK Air), an aviation lending business with a portfolio of loans (Aviation Loans). The Aviation Loans are generally fully secured by aircraft leases and aircraft. Apollo owns the PK Air loan origination platform, including personnel and systems and, pursuant to certain agreements entered into between us, Apollo, and certain entities managed by Apollo, the Aviation Loans are securitized by ~~an SPV~~a special purpose vehicle (SPV) for which Apollo acts as ABS manager (ABS-SPV). The ABS-SPV issues tranches of senior notes and subordinated notes, which are secured by the Aviation Loans. AsWe have purchased both senior and subordinated notes of ~~March 31, 2021 and December 31, 2020, our investment in securitizations of loans originated by~~ PK ~~was $1,353 million and $1,373 million, respectively, and~~Air, which are included in related party AFS or trading securities on the condensed consolidated balance sheets. During the first quarter of 2022, we contributed our investment in the subordinated notes to PK Air Holdings, LP (PK Air Holdings), which is a consolidated VIE investment fund on the condensed consolidated balance sheets. The following summarizes our investments in PK Air notes:


	Successor		Predecessor
(In millions)	March 31, 2022		December 31, 2021
AFS or trading securities	$	1,132	$	1,401

We also have commitments to make additional ~~investment~~investments in ~~securitizations~~PK Air of ~~loans originated by PK of $1,270~~$1,252 million as of March 31, ~~2021.~~2022.

Apollo/Athene Dedicated Investment Program (ADIP) – Our subsidiary, Athene Co-Invest Reinsurance Affiliate 1AHolding Ltd. (together with its subsidiaries, ACRA) is partially owned by ADIP, ~~which is~~a series of funds managed by ~~AGM.~~Apollo. ALRe currently holds 36.55% of the economic interests in ACRA and all of ACRA’s voting interests, with ADIP holding the remaining 63.45%. of the economic interests. During the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, we received capital contributions of ~~$235~~$311 million and ~~$240~~$235 million, respectively, from ADIP. Additionally, as of March 31, 2022 and December 31, 2021, we had $108 million and $81 million, respectively, of related party payables for contingent investment fees payable by ACRA to Apollo. ACRA is obligated to pay the contingent investment fees on behalf of ADIP and, ~~paid dividends of $0 million and $46 million, respectively,~~as such, the balance is attributable to ~~ADIP.~~noncontrolling interest.

Apollo Share Exchange and Related Transactions – On February 28, 2020, we closed a strategic transaction with AGM and certain affiliates of AGM which collectively comprise the Apollo Operating Group (AOG), pursuant to which we sold 27,959,184 newly issued Class A common shares to the AOG for an investment in Apollo of 29,154,519 newly issued AOG units valued at $1.1 billion and we sold 7,575,758 newly issued Class A common shares to the AOG for $350 million. ~~Additionally,~~As of December 31, 2021, the investment in Apollo ~~Management Holdings, L.P. (AMH) has~~was $2,112 million, which was included in related party investment funds on the right to purchase up to that number of Class A common shares that would increase by 5 percentage points the percentage of the issued and outstanding Class A common shares beneficially owned by the AOG and certain affiliates, employees and consultants of AGM (inclusive of Class A common shares over which any such persons have a valid proxy), calculated on a fully diluted basis. In connection with the closing of the transaction, we made certain amendmentscondensed consolidated balance sheets. Subsequent to our ~~bye-laws which, among other things, eliminated~~merger with AGM, our ~~multi-class common share structure.~~investment in Apollo was distributed to AGM in the first quarter of 2022.

~~Concurrent~~Apollo Aligned Alternatives, L.P. (AAA) Investment – On April 1, 2022, we contributed certain of our alternative investments to AAA in exchange for limited partnership interests in AAA. Apollo established AAA for the purpose of providing a single vehicle through which we and third-party investors can participate in a portfolio of alternative investments. Additionally, AAA is expected to provide us further diversification in alternatives exposure and provide Apollo the potential to raise additional AUM in alternatives. Third-party investors are expected to invest in AAA at a later date.

Also in connection with ~~our entry into~~ the ~~transaction agreements, AMH, James Belardi, our Chief Executive Officer, and William Wheeler, our President (each an Other Shareholder),~~AAA investment, on April 1, 2022, we entered into a ~~voting~~revolving credit agreement with AAA (AAA Facility), pursuant to which ~~each Other Shareholder irrevocably appointed AMH as its proxy~~we may provide loans to AAA to fund, among other things, withdrawals from and ~~attorney-in-fact (Proxy)~~investments by AAA. The AAA Facility replaces our previous contingent commitments related to ~~vote all~~the investments we contributed, among others. Interest on any loans made pursuant to the AAA Facility accrues at a fixed rate of ~~such Other Shareholder’s Class A common shares at any meeting~~8% per annum, and has a maturity date of ~~our shareholders occurring following the closing date and in connection with any written consent of our shareholders following the closing date. The Proxy will be of no force and effect if~~April 1, 2032, subject to extension. AAA is managed exclusively by Apollo, and ~~certain affiliates thereof cease~~investment advisory services are provided to ~~hold some minimum level~~AAA under the terms of ~~ownership not to exceed 7.5% of our Class A common shares.~~an investment management agreement with Apollo.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

10. Commitments and Contingencies

Contingent Commitments—We had commitments to make investments, primarily capital contributions to investment funds, inclusive of related party commitments discussed previously, of $~~11,198~~16,636 million a~~nd $7,472 million~~ as of March 31, ~~2021 and December 31, 2020, respectively.~~2022. We expect most of our current commitments will be invested over the next five years; however, these commitments could become due any time upon counterparty request.

Funding Agreements—We are a member of the ~~FHLB~~Federal Home Loan Bank of Des Moines (FHLB) and, through membership, we have issued funding agreements to the FHLB in exchange for cash advances. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had ~~$2,001~~$3,246 million and ~~$2,002~~$2,751 million, respectively, of FHLB funding agreements outstanding. We are required to provide collateral in excess of the funding agreement amounts outstanding, considering any discounts to the securities posted and prepayment penalties.

We have a funding agreement backed notes (FABN) program, which allows Athene Global Funding, a special-purpose, unaffiliated statutory trust, to offer its senior secured medium-term notes. Athene Global Funding uses the net proceeds from each sale to purchase one or more funding agreements from us. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had $~~11,958~~22,481 million and ~~$8,822~~$19,728 million, respectively, of board-authorized FABN funding agreements outstanding. We had $~~3,058~~12,330 million of board-authorized FABN capacity remaining as of March 31, ~~2021.~~2022.

~~During the third quarter of 2020, we~~We also established a secured funding agreement backed repurchase agreement (FABR) program, in which a special-purpose, unaffiliated entity ~~entered~~enters into repurchase agreements with a bank and the proceeds of the repurchase agreements were used by the ~~special purpose~~special-purpose entity to purchase funding agreements from us. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had $2,000 million and $1,000 million, respectively, of FABR funding agreements outstanding.

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

Pledged Assets and Funds in Trust (Restricted Assets)—The total restricted assets included on the condensed consolidated balance sheets are as follows:


							Successor		Predecessor
(In millions)	(In millions)	March 31, 2021		December 31, 2020		(In millions)	March 31, 2022		December 31, 2021
AFS securities	AFS securities	$	9,056	$	9,884	AFS securities	$	9,877	$	9,111
Trading securities	Trading securities	69		60		Trading securities	57		75
Equity securities	Equity securities	27		26		Equity securities	31		30
Mortgage loans	Mortgage loans	4,916		5,028		Mortgage loans	5,333		5,033
Investment funds	Investment funds	152		68		Investment funds	208		174
Derivative assets	Derivative assets	107		107		Derivative assets	72		96
Short-term investments		13		52

Other investments	Other investments	105		105		Other investments	150		130
Restricted cash	Restricted cash	546		738		Restricted cash	834		796
Total restricted assets	Total restricted assets	$	14,991	$	16,068	Total restricted assets	$	16,562	$	15,445

The restricted assets are primarily related to reinsurance trusts established in accordance with coinsurance agreements and the FHLB and FABR funding agreements described above.

Letters of Credit—We have undrawn letters of credit totaling ~~$1,401~~$1,369 million as of March 31, ~~2021.~~2022. These letters of credit were issued for our reinsurance program and expire between May 22, 2023 and December 10, ~~2021 and June 19,~~ 2023.

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ATHENE HOLDING LTD.

Notes to Condensed Consolidated Financial Statements (Unaudited)

Litigation, Claims and Assessments

Corporate-owned Life Insurance (COLI) Matter – In 2000 and 2001, two insurance companies which were subsequently merged into ~~Athene Annuity and Life Company (AAIA),~~AAIA, purchased broad based variable COLI policies from American General Life Insurance Company (American General) ~~that, as of March 31, 2021, had an asset value of $413 million, and is included in other assets on the condensed consolidated balance sheets.~~. In January 2012, the COLI policy administrator delivered to AAIA a supplement to the existing COLI policies and advised that American General and ZC Resource Investment Trust (ZC Trust) had unilaterally implemented changes set forth in the supplement that, if effective, would: (1) potentially negatively impact the crediting rate for the policies and (2) change the exit and surrender protocols set forth in the policies. In March 2013, AAIA filed suit against American General, ZC Trust, and ZC Resource LLC in Chancery Court in Delaware, seeking, among other relief, a declaration that the changes set forth in the supplement were ineffectual and in breach of the parties’ agreement. The parties filed cross motions for judgment as a matter of law, and the court granted defendants’ motion and dismissed without prejudice on ripeness grounds. The issue that negatively impacts the crediting rate for one of the COLI policies has subsequently been triggered and, on April 3, 2018, we filed suit against the same defendants in Chancery Court in Delaware seeking substantially similar relief. Defendants moved to dismiss and the court heard oral arguments on February 13, 2019. The court issued an opinion on July 31, 2019 that did not address the merits, but found that the Chancery Court did not have jurisdiction over our claims and directed us to either amend our complaint or transfer the matter to Delaware Superior Court. The matter ~~has been~~was transferred to the Delaware Superior Court. Defendants renewed their motion to dismiss and the Superior Court heard oral arguments on December 18, 2019. The Superior Court issued an opinion on May 18, 2020 in which it granted in part and denied in part defendants’ motion. The Superior Court denied defendants’ motion with respect to the issue that negatively impacts the crediting rate for one of the COLI policies, which issue ~~will proceed~~proceeded to discovery. The Superior Court granted defendants’ motion and dismissed without prejudice on ripeness grounds claims related to the exit and surrender protocols set forth in the policies, and dismissed defendant ZC Resource LLC. If the supplement ~~is ultimately~~were to have been deemed ~~to be~~ effective, the purported changes to the policies could ~~impair~~have impaired AAIA’s ability to access the value of guarantees associated with the policies. The ~~Superior Court issued a scheduling order providing for a July 2022 trial~~parties engaged in discovery as well as discussions concerning whether the matter could be resolved without further litigation and, at the request of the parties, ~~are currently engaged~~on August 11, 2021, the court entered an Amended Scheduling Order setting the trial date for June 2023. On December 27, 2021, the parties agreed in ~~discovery. The value~~principle to a settlement, pursuant to which we will be able to surrender the policies at any time and receive proceeds within six months. During the year ended December 31, 2021, we recorded an impairment of the ~~guarantees included within~~COLI asset of $53 million, and an adjustment to deferred tax liabilities of $47 million, to reflect the ~~asset value reflected above is $196 million as~~terms of ~~March 31, 2021~~.the settlement.

Regulatory Matters – ~~Beginning in~~From 2015 to 2018, our US insurance subsidiaries ~~have~~ experienced increased complaints related to the conversion and administration of the block of life insurance business acquired in connection with our acquisition of Aviva USA and reinsured to affiliates of Global Atlantic. The life insurance policies included in this block have been and are currently being administered by AllianceOne Inc. (AllianceOne), a subsidiary of DXC Technology Company, which was retained by such Global Atlantic affiliates to provide third party administration services on such policies. AllianceOne also administers a small block of annuity policies that were on Aviva USA’s legacy policy administration systems that were also converted in connection with the acquisition of Aviva USA and have experienced some similar service and administration issues, but to a lesser degree.

As a result of the difficulties experienced with respect to the administration of such policies, we have received notifications from several state regulators, including but not limited to New York State Department of Financial Services (NYSDFS), the California Department of Insurance (CDI) and the Texas Department of Insurance (TDI), indicating, in each case, that the respective regulator planned to undertake a market conduct examination or enforcement proceeding of the applicable US insurance subsidiary relating to the treatment of policyholders subject to our reinsurance agreements with affiliates of Global Atlantic and the conversion of the life and annuity policies, including the administration of such blocks by AllianceOne. We entered into consent orders with several state regulators, including the NYSDFS, the CDI and the TDI, to resolve underlying matters in the respective states. All fines and costs, including those associated with remediation plans, paid in connection with the consent orders are subject to indemnification by Global Atlantic or affiliates of Global Atlantic.

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

Pursuant to the terms of the reinsurance agreements between us and the relevant affiliates of Global Atlantic, the applicable affiliates of Global Atlantic have financial responsibility for the ceded life block and are subject to significant administrative service requirements, including compliance with applicable law. The agreements also provide for indemnification to us, including for administration issues.

In addition to the examinations and proceedings initiated to date, it is possible that other regulators may pursue similar formal examinations, inquiries or enforcement proceedings and that any examinations, inquiries and/or enforcement proceedings may result in fines, administrative penalties and payments to policyholders. While we do not expect the amount of any such fines, penalties or payments arising from these matters to be material to our financial condition, results of operations or cash flows, it is possible that such amounts could be material.

~~11. Segment Information~~

~~We operate our core business strategies out of 1 reportable segment, Retirement Services. In addition to Retirement Services, we report certain other operations in Corporate and Other.~~

~~Retirement Services~~—Retirement Services is comprised of our US and Bermuda operations, which issue and reinsure retirement savings products and institutional products. Retirement Services has retail operations, which provide annuity retirement solutions to our policyholders. Retirement Services also has reinsurance operations, which reinsure multi-year guaranteed annuities, fixed indexed annuities, traditional one-year guarantee fixed deferred annuities, immediate annuities and institutional products from our reinsurance partners. In addition, our institutional operations, including funding agreements and group annuities, are included in our Retirement Services segment.

~~Corporate and Other~~—Corporate and Other includes certain other operations related to our corporate activities such as corporate allocated expenses, merger and acquisition costs, debt costs, preferred stock dividends, certain integration and restructuring costs, certain stock-based compensation and intersegment eliminations. In addition, we also hold capital in excess of the level of capital we hold in Retirement Services to support our operating strategy.

~~Financial Measures—Segment adjusted operating income available to common shareholders is an internal measure used by the chief operating decision maker to evaluate and assess the results of our segments.~~

Adjusted operating revenue is a component of adjusted operating income available to common shareholders and excludes market volatility and adjustments for other non-operating activity. Our adjusted operating revenue equals our total revenue, adjusted to eliminate the impact of the following non-operating adjustments:

•~~Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets;~~

•~~Investment gains (losses), net of offsets; and~~

•~~Noncontrolling interests, VIE expenses and other adjustments to revenues.~~

~~The table below reconciles segment adjusted operating revenues to total revenues presented on the condensed consolidated statements of income (loss):~~

Three months ended March 31,
(In millions) 2021 2020
Retirement Services $ 3,637 $ 2,469
Corporate and Other 38 (330)
Non-operating adjustments
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets 493 (1,671)
Investment gains (losses), net of offsets (857) (1,685)
Noncontrolling interests, VIE expenses and other adjustments to revenues 1,080 (332)
Total revenues $ 4,391 $ (1,549)

Adjusted operating income available to common shareholders is an internal measure used to evaluate our financial performance excluding market volatility and expenses related to integration, restructuring, stock compensation and certain other expenses. Our adjusted operating income available to common shareholders equals net income available to Athene Holding Ltd. common shareholders adjusted to eliminate the impact of the following non-operating adjustments:

•~~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.~~

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~~ATHENE HOLDING LTD.~~

~~Notes to Condensed Consolidated Financial Statements~~ ~~(Unaudited)~~

The table below reconciles segment adjusted operating income available to common shareholders to net income available to Athene Holding Ltd. common shareholders presented on the condensed consolidated statements of income (loss):

Three months ended March 31,
(In millions) 2021 2020
Retirement Services $ 784 $ 204
Corporate and Other (36) (312)
Non-operating adjustments
Investment gains (losses), net of offsets (605) (1,139)
Change in fair values of derivatives and embedded derivatives – index annuities, net of offsets 488 65
Integration, restructuring and other non-operating expenses (45) (4)
Stock-based compensation, excluding LTIP 0 (10)
Income tax (expense) benefit – non-operating (8) 131
Net income (loss) available to Athene Holding Ltd. common shareholders $ 578 $ (1,065)

~~The following represents total assets by segment:~~

(In millions) March 31, 2021 December 31, 2020
Retirement Services $ 200,093 $ 197,295
Corporate and Other 5,577 5,476
Total assets $ 205,670 $ 202,771

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Index to Management’s Discussion and Analysis of Financial Condition and Results of Operations



Overview			5255

Industry Trends and Competition			5457

Key Operating and Non-GAAP Measures			6061

~~Consolidated~~ Results of Operations			64

~~Consolidated~~ Investment Portfolio			6967

Non-GAAP Measure Reconciliations			8786

Liquidity and Capital Resources			92

~~Balance Sheet and Other Arrangements~~			9789

Critical Accounting Estimates and Judgments			9795

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Overview

We are a leading financial services company specializing in retirement services that issues, reinsures and acquires retirement savings products designed for the increasing number of individuals and institutions seeking to fund retirement needs. We generate attractive financial results for our policyholders and ~~shareholders~~shareholder by combining our two core competencies of (1) sourcing long-term, generally illiquid liabilities and (2) investing in a high-quality investment portfolio, which takes advantage of the illiquid nature of our liabilities. Our steady and significant base of earnings generates capital that we opportunistically invest across our business to source attractively-priced liabilities and capitalize on opportunities. Effective January 1, 2022, as a result of the closing of the merger involving us and Apollo, Apollo Global Management, Inc. (NYSE: APO) became the beneficial owner of 100% of our Class A common shares and controls all of the voting power to elect members to our board of directors.

We have established a significant base of earnings and, as of March 31, ~~2021,~~2022, have an expected annual net investment spread, ~~for our Retirement Services segment,~~ which measures our investment performance less the total cost of our liabilities, of 1–2% over the ~~8.9~~8.4 year weighted-average life of our net reserve liabilities. The weighted-average life includes deferred annuities, ~~PRT~~pension group annuities, funding agreements, payout annuities and other products.

We operate our core business strategies out of one reportable segment, Retirement Services. In addition to Retirement Services, we report certain other operations in Corporate and Other. Retirement Services is comprised of our US and Bermuda operations which issue and reinsure retirement savings products and institutional products. Corporate and Other includes certain other operations related to our corporate activities.

Our total assets have grown to ~~$205.7~~$246.1 billion as of March 31, 2021. Our book value per common share as of March 31, 2021 was $78.25. Our adjusted book value per common share was $62.88 as of March 31, 2021. Our consolidated annualized ROE for the three months ended March 31, 2021 and the year ended December 31, 2020 was 12.9% and 10.0%, respectively, and our consolidated annualized adjusted operating ROE was 25.3% and 12.1%, respectively.2022. For the three months ended March 31, ~~2021~~2022 and the year ended December 31, ~~2020, in our Retirement Services segment,~~2021, we generated an annualized net investment spread of ~~2.48%~~1.86% and ~~1.31%, respectively, and an annualized adjusted operating ROE of 37.8% and 16.9%~~1.94%, respectively. Our Retirement Services segment generated an annualized investment margin on deferred annuities of 3.29% and 2.09% for the three months ended March 31, 2021 and the year ended December 31, 2020, respectively. As of March 31, 2021, our deferred annuities had a weighted-average life of 8.6 years and made up a significant portion of our reserve liabilities.

The following table presents the inflows generated from our organic and inorganic channels:

Three months ended March 31,
(In millions, except percentages) 2021 2020
Retail $ 1,757 $ 1,246
Flow reinsurance 299 861
Funding agreements1
3,226 823
Pension risk transfer 2,893 1,017
Gross organic inflows 8,175 3,947
Gross inorganic inflows — —
Total gross inflows 8,175 3,947
Inflows attributable to ACRA noncontrolling interest (1,470) —
Net outflows2
(3,481) (2,740)
Net flows $ 3,224 $ 1,207
Gross organic inflows $ 8,175 $ 3,947
Organic inflows attributable to ACRA noncontrolling interest (1,470) —
Net organic inflows 6,705 3,947
Net outflows2
(3,481) (2,740)
Net organic flows $ 3,224 $ 1,207
Net organic growth rate3
8.4 % 4.0 %
Average net invested assets $ 152,947 $ 119,344
1 Funding agreements are comprised of funding agreements issued under our FABN and FABR programs, funding agreements issued to the FHLB and long-term repurchase agreements. 2 Net outflows consist of full and partial policyholder withdrawals on deferred annuities, death benefits, pension risk transfer benefit payments, payments on payout annuities and funding agreement maturities net of the ACRA noncontrolling interest. In 2021 we revised the net outflows metric, for all periods presented, to include all outflows while previously this metric excluded inorganic business. 3 Net organic growth rate is calculated as net organic flows divided by average net invested assets, on an annualized basis. In 2021, we revised the net organic growth rate and average net invested assets metrics, for all periods presented, to include all outflows and net invested assets while previously these metrics excluded inorganic business.


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Retail	$	2,865	$	1,757
Flow reinsurance	1,001		299
Funding agreements1	5,696		3,226
Pension group annuities	1,994		2,893
Gross organic inflows	11,556		8,175
Gross inorganic inflows	—		—
Total gross inflows	11,556		8,175
Gross outflows2	(4,883)		(4,122)
Net flows	$	6,673	$	4,053

Inflows attributable to Athene	$	9,333	$	6,705
Inflows attributable to ACRA noncontrolling interest	2,223		1,470
Total gross inflows	11,556		8,175
Outflows attributable to Athene	(4,072)		(3,481)
Outflows attributable to ACRA noncontrolling interest	(811)		(641)
Total gross outflows2	$	(4,883)	$	(4,122)

1 Funding agreements are comprised of funding agreements issued under our FABN and FABR programs, funding agreements issued to the FHLB and long-term repurchase agreements. 2 Gross outflows consist of full and partial policyholder withdrawals on deferred annuities, death benefits, pension group annuity benefit payments, payments on payout annuities and funding agreement maturities.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Our organic channels, including retail, flow reinsurance and institutional products, provided gross inflows of ~~$8.2~~$11.6 billion and ~~$3.9~~$8.2 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively, which were underwritten to attractive, ~~at-or-above~~above target returns despite the ~~historically~~ low interest rate environment. ~~Organic~~Gross organic inflows increased ~~$4.2~~$3.4 billion, or ~~107%,~~41% from the prior year, reflecting the strength of our multi-channel distribution platform and our ability to quickly pivot into ~~the most~~ optimal and profitable channels as opportunities arise. Withdrawals on our deferred annuities, maturities of our funding agreements, payments on payout annuities and pension ~~risk benefit~~group annuity payments (collectively, ~~liability~~gross outflows), in the aggregate were ~~$3.5~~$4.9 billion and ~~$2.7~~$4.1 billion for the three months ended March 31, 2022 and 2021, ~~and 2020,~~ respectively. ~~Net organic growth rate~~The increase in gross outflows was primarily driven by the maturity of ~~8.4% and 4.0% for the three months ended March 31, 2021 and 2020, respectively, increased reflecting the aforementioned strong growth in organic inflows.~~a funding agreement issuance. We believe that our credit profile, our current product offerings and product design capabilities as well as our growing reputation as both a seasoned funding agreement issuer and a reliable ~~PRT~~pension group annuity counterparty will continue to enable us to grow our existing organic channels and allow us to source additional volumes of profitably underwritten liabilities in various market environments. We plan to continue to grow organically by expanding each of our retail, flow reinsurance and institutional distribution channels. We believe that we have the right people, infrastructure, scale and capital discipline to position us for continued growth.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Within our retail channel, we had fixed annuity sales of ~~$1.8~~$2.9 billion and ~~$1.2~~$1.8 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The increase in our retail channel was primarily driven by ~~very~~the strong performance of our index annuity products in the ~~bank~~independent marketing organizations (IMO) and broker-dealer channels, ~~and exhibits~~exhibiting strong sales execution despite the challenging sales ~~environment.~~environment, and higher MYGA sales. We continued to execute in the retail channel despite industry-wide pressure on sales volumes as the economic impacts of the spread of COVID-19, as well as the mitigation measures undertaken to combat the spread, continue to affect the sales process. Despite the significant headwinds, we have maintained our disciplined approach to pricing, including with respect to targeted underwritten returns. We aim to grow our retail channel by deepening our relationships with our approximately ~~52 independent marketing organizations (IMO);~~53 IMOs; approximately ~~61,000~~68,000 independent agents; and our growing network of 1618 banks and ~~104~~119 regional broker-dealers. Our strong financial position and diverse, capital efficient products allow us to be dependable partners with IMOs, banks and broker-dealers as well as consistently write new business. We expect our retail channel to continue to benefit from our credit profile and recent product launches. We believe this should support growth in sales at our desired cost of funds through increased volumes via current IMOs, while also allowing us to continue to expand our bank and broker-dealer channels. Additionally, we ~~are focusing~~continue to focus on hiring and training a specialized sales force and creating products to capture new potential distribution opportunities.

In our flow reinsurance channel, we target reinsurance business consistent with our preferred liability characteristics and, as such, flow reinsurance provides another opportunistic channel for us to source liabilities with attractive crediting rates. We generated inflows through our flow reinsurance channel of ~~$299 million~~$1.0 billion and ~~$861~~$299 million for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The ~~decrease~~increase in our flow reinsurance channel from prior year was driven by ~~maintaining~~strong volumes with existing partnerships, including volumes from our ~~rate discipline in the lower interest rate environment amid a very competitive market.~~new Japanese partner that was added during second half of 2021. We expect that our credit profile and our reputation as a solutions provider will help us continue to source additional reinsurance partners, which will further diversify our flow reinsurance channel.

Within our institutional channel, we generated inflows of ~~$6.1~~$7.7 billion and ~~$1.8~~$6.1 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The increase in our institutional channel was driven by higher funding ~~agreement inflows as well as higher PRT~~agreements, partially offset by lower pension group annuity inflows. We issued funding agreements in the aggregate principal amount of ~~$3.2~~$5.7 billion and ~~$823 million~~$3.2 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively, which included seven FABN issuances in ~~four~~three different currencies ~~in 2021.~~during the quarter. Funding agreements are comprised of funding agreements issued under our FABN and FABR programs, funding agreements issued to the FHLB and repurchase agreements with maturities exceeding one year at issuance, with inflows in the aggregate principal amount of ~~$3.2~~$3.5 billion, ~~under our FABN program~~$1.0 billion, $495 million and $750 million, respectively, for the three months ended March 31, ~~2021.~~2022. During the three months ended March 31, ~~2021,~~2022, we closed ~~one PRT transaction~~two pension group annuity transactions and issued annuity contracts in the aggregate principal amount of ~~$2.9~~$2.0 billion, compared to ~~$1.0~~$2.9 billion during the three months ended March 31, ~~2020.~~2021. Since entering the ~~PRT~~pension group annuity channel in 2017, ~~through March 31, 2021,~~ we have closed 2535 deals involving more than ~~290,000~~390,000 plan participants resulting in the issuance or reinsurance of group annuities of ~~$19.2 billion.~~$32.2 billion to date. We expect to grow our institutional channel by continuing to engage in ~~PRT~~pension group annuity transactions and ~~opportunistic~~programmatic issuances of funding agreements.

Our inorganic channel has contributed significantly to our growth through both acquisitions and block reinsurance transactions. On June 18, 2020, we entered into an agreement with Jackson, effective June 1, 2020, pursuant to which we agreed to reinsure a block of fixed and fixed indexed annuities on a funds withheld coinsurance basis providing $28.8 billion of gross inflows. Utilizing the strategic benefits of ACRA, approximately 63% of the total capital deployment for the transaction will be funded by third-party investors and approximately 37% will be funded by ALRe. As part of the Jackson reinsurance transaction, ACRA made an equity investment in Jackson Financial Inc. (JFI), an indirect parent of Jackson, which closed on July 17, 2020. On January 28, 2021, Prudential plc announced its intent to reduce its controlling interest in JFI through a direct dividend demerger, which is expected to occur in the second quarter of 2021. We expect that our inorganic channel will continue to be an important source of profitable growth in the future. We believe our internal transactions team, with support from Apollo, has an industry-leading ability to source, underwrite and expeditiously close transactions. With support from Apollo, we are a solutions provider with a proven track record of closing transactions, which we believe makes us the ideal partner to insurance companies seeking to restructure their business. We expect that our inorganic channel will continue to be an important source of profitable growth in the future.

Executing our growth strategy requires that we have sufficient capital available to deploy. We believe that we have significant capital available to us to support our growth aspirations. As of March 31, ~~2021,~~2022, we estimate that we have approximately ~~$8.1~~$7.3 billion in capital available to deploy, consisting of approximately ~~$3.6~~$3.3 billion in excess capital, $2.9 billion in untapped debt capacity (assuming a peer average adjusted debt to capitalization ratio of 25%) and ~~$1.6~~$1.1 billion in available ~~uncalled~~undrawn capital at ACRA, subject, in the case of debt capacity, to favorable market conditions and general availability.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

In order to support our growth strategies and capital deployment opportunities, we established ACRA as a long-duration, on-demand capital vehicle. ~~Effective April 1, 2020, ALRe purchased additional shares in ACRA increasing our ownership from 33% to~~We own 36.55% of the economic interests in ACRA, with the remaining 63.45% of the economic interests being owned by ADIP, a series of funds managed by an affiliate of Apollo. ACRA ~~is expected to participate~~participates in certain transactions by drawing a portion of the required capital for such transactions from third-party investors equal to ADIP’s proportionate economic interest in ACRA. This shareholder-friendly, strategic capital solution ~~is expected to allow~~allows us the flexibility to simultaneously deploy capital across multiple accretive avenues, while maintaining a strong financial position.

~~Strategic Transaction with Apollo~~

On February 28, 2020, we closed a transaction with Apollo in which Apollo acquired an incremental stake in us for AOG units valued at $1.1 billion, upon close, and $350 million of cash. Additionally, we converted our Class B common shares to Class A common shares and our Class M common shares to Class A common shares and warrants, eliminating our multi-class share structure. Changes in the value of the AOG units are reflected within the change in fair value of Apollo investment, net of tax line item and may present future volatility in our results of operations due to changes in the valuation of the AOG units. See ~~Note 9 – Related Parties~~ ~~to the condensed consolidated financial statements for further discussion.~~

Merger with Apollo

On ~~March 8, 2021,~~January 1, 2022, we entered into a Merger Agreement, by and among the Company, AGM, HoldCo, AHL Merger Sub, and AGM Merger Sub. The Company and AGM have agreed, subject to the terms and conditions of the Merger Agreement, to effect an all-stockcompleted our merger ~~transaction to combine our respective businesses by: (1) AGM merging~~ with AGM ~~Merger Sub, with AGM surviving such merger as~~and are now a direct wholly owned subsidiary of ~~HoldCo, (2)~~AGM. The total consideration for the ~~Company merging with AHL Merger Sub, with~~transaction was $13.1 billion. The consideration was calculated based on historical AGM’s December 31, 2021 closing share price multiplied by the ~~Company surviving such merger~~AGM common shares issued in the share exchange, as ~~a direct, wholly owned subsidiary~~well as the fair value of ~~HoldCo,~~stock-based compensation awards replaced, fair value of warrants converted to AGM common shares and ~~(3) as~~other equity consideration, and effective settlement of pre-existing relationships and other consideration.

At the closing of the ~~effective time of the Mergers, changing the name of HoldCo to be Apollo Global Management, Inc. At the effective time of the Mergers,~~merger with AGM, each issued and outstanding AHL Class A common share ~~subject to certain exceptions, will be~~(other than shares held by Apollo, the AOG or the respective direct or indirect wholly owned subsidiaries of Athene or the AOG) was converted automatically into ~~the right to receive~~ 1.149 shares of ~~HoldCo~~AGM common ~~stock. The Mergers are expected~~shares with cash paid in lieu of any fractional AGM common shares. In connection with the merger, AGM issued to ~~close~~AHL Class A common shareholders 158.2 million AGM common shares in ~~January 2022~~exchange for 137.6 million AHL Class A common shares that were issued and ~~are subject to shareholder and regulatory approvals, and other customary closing conditions.~~

~~Industry Trends and Competition~~

~~Market Conditions~~

~~During~~outstanding as of the ~~first quarter~~acquisition date, exclusive of ~~2021, increased availability of vaccinations coupled with expectations of additional fiscal and monetary stimulus measures drove increases in interest rates in~~ the ~~US for~~54.6 million shares previously held by Apollo immediately before the first time in three quarters. The US 10-year treasury rate rose almost 80 basis points during the quarter, and as inflation concerns began to gradually impact treasury prices, treasury rates experienced even more significant changes in longer-dated maturities. In addition, stock markets continued their strong performance, despite significant market volatility driven by a confluence of factors including increased retail investor trading volumes through internet brokerage platforms, persistent blockchain enthusiasm and proliferating Special Purpose Acquisition Companies (SPAC) issuances. As restrictions related to COVID-19 are lifted across the United States, the impact on consumer confidence and market momentum remains strongly positioned, increasing the prospects for higher interest rates and robust equity markets.

More broad-based participation in credit markets drove spreads to new lows in many sectors. Investment grade credit spreads, for example, tightened almost 10 basis points by mid-February driven by purchasing activity as all-in yields had risen by almost 40 basis points at that time. Speculative grade credit tightened by approximately 25 basis points during the quarter, and credit spreads on CMBS and CLOs remained close to their post financial crisis lows. Nonetheless, sponsorship for almost all sectors remained strong, a situation which becomes even more pronounced as limited supply calendars come into play in the second quarter.

COVID-19 remains the primary focus of most markets, and there are lingering concerns regarding vaccination deployment in large sections of Europe, as well as other developed economies. Global travel and leisure activities will likely remain challenged in the near-term. Central banks and global governments however continue to meet these challenges head on, with US Federal Reserve (Fed) Chairman Jerome Powell committing to remain deliberately patient on policy, even if inflation begins to develop, which is a meaningful change from recent Fed policy positions.

~~Interest Rate Environment~~

Despite the increase in rates, it is unlikely that this move represents a sustainable trend. Negative rate government issuance is still widely prevalent globally, and the need for yield has been evidenced by continued buying in spread sectors. A move higher than 2% on the US 10-year would likely be met with another meaningful round of purchase activity, which could then trigger a move back towards lower rates as a more differentiated growth story develops in various markets. Even the significant size of stimulus packages, such as that adopted in the US, will likely not be able to sustain higher rates in the medium-term, until the COVID-19 impact is more fully removed.acquisition date.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

InAAA Investment

On April 1, 2022, we contributed certain of our alternative investments to AAA in exchange for limited partnership interests in AAA. Apollo established AAA for the ~~meantime however,~~purpose of providing a single vehicle through which we and third-party investors can participate in a portfolio of alternative investments. Additionally, AAA enhances Apollo’s ability to increase alternatives assets under management (AUM) by raising capital from 3rd parties, which will allow Athene to achieve greater scale and diversification for alternatives. Third-party investors are expected to invest in AAA at a later date.

Also in connection with the ~~availability~~AAA investment, on April 1, 2022, we entered into the AAA Facility, pursuant to which we may provide loans to AAA to fund, among other things, withdrawals from and investments by AAA. The AAA Facility replaces our previous contingent commitments related to the investments we contributed, among others. Interest on any loans made pursuant to the AAA Facility accrues at a fixed rate of ~~slightly higher~~8% per year, and has a maturity date of April 1, 2032, subject to extension. AAA is managed exclusively by Apollo, and investment advisory services are provided to AAA under the terms of an investment management agreement with Apollo.

Industry Trends and Competition

Market Conditions

As a leading financial services company specializing in retirement services, we are affected by numerous factors, including the condition of global financial markets and the economy. Price fluctuations within equity, credit, commodity and foreign exchange markets, as well as interest rates, iswhich may be volatile and mixed across geographies, can significantly impact the performance of our business including but not limited to the valuation of investments and related income we may recognize.

We carefully monitor economic and market conditions that could potentially give rise to global market volatility and affect our business operations, investment portfolio and derivatives, which includes global inflation. We have seen US inflation continue to rise during 2022, which has been driven by various factors, including supply chain disruptions, consumer demand, employment levels, low (but rising) mortgage interest rates and a ~~welcome opportunity~~severely distorted supply/demand housing imbalance, and ~~far~~residential vacancy rates. During the first quarter of 2022, the US Federal Reserve (Federal Reserve) indicated its plan to be more ~~attractive than what was available~~aggressive at the beginning of the tightening cycle to lessen inflation transpiring widely through the US economy, resulting in considerable market volatility. As a result, the Federal Reserve voted to increase the federal funds rate during the first quarter of 2022. The US Bureau of Labor Statistics reported the annual US inflation rate increased to 8.5% as of March 31, 2022, compared to 7.0% as of December 2021 and continues to be the highest rate since the 1980s.

Adverse economic conditions may result from domestic and global economic and political developments, including plateauing or decreasing economic growth and business activity, civil unrest, geopolitical tensions or military action, such as the armed conflict between Ukraine and Russia and corresponding sanctions imposed by the US and other countries, and new or evolving legal and regulatory requirements on business investment, hiring, migration, labor supply and global supply chains.

Coupled with the drop in equity markets in the ~~fourth~~first quarter ~~for yield-focused buyers. Investment grade credit, still a relevant proxy for risk-asset appetite, has over 30 basis points~~ of ~~room to tighten before it reaches its post-global financial crisis lows. In~~2022, the ~~current market environment institutional investors continue to be willing to assume a greater degree~~Bureau of ~~risk to achieve a specified level~~Economic Analysis reported real GDP decreased at an annual rate of ~~return, and the market reaction functions observed~~1.4% in the ~~early days~~first quarter of 2022. As of April 2022, the International Monetary Fund estimated the US will expand by 4.0% in 2022 and 2.6% in 2023. The US Bureau of Labor Statistics reported the US unemployment rate decreased to 3.9% as of the ~~second~~end of the first quarter ~~suggest that risk appetite can drive investors to re-engage~~of 2022. Although some pressure on oil prices eased in ~~widening markets at a faster pace than had been observed pre-COVID-19. As such, insurance company balance sheets are well positioned to invest~~late 2021, oil price per barrel rose during the first quarter of 2022 and is expected to continue to rise throughout 2022.

Interest Rate Environment

The endpoint for the move higher in rates is difficult to predict and will take ~~advantage~~a delicate balancing act by the Federal Reserve to engineer. There are elements of ~~mispriced risk/reward in~~inflation that seem to be COVID-related or otherwise transitory, but geopolitical conditions including the ~~short-term. Eventually, global~~Russia invasion of Ukraine, and other factors may persist longer and contribute to inflation absent Federal Reserve actions. Generally higher rates ~~will normalize as growth prospects continue~~are reasonable to ~~improve, but in the short-term, the focus on COVID-19 is expected to create an effective ceiling through~~expect for the remainder of the ~~calendar~~ year. While higher rates are beneficial for reinvestment opportunities across an insurance balance sheet and would boost investment income, unrealized losses will increase. It is plausible that inflation pressures could cause the Federal Reserve to raise rates more dramatically, which might ultimately result in an economic recession, although inflation pressures and Federal Reserve actions, along with other geopolitical issues, are difficult to predict.

Our investment portfolio consists predominantly of fixed maturity investments. See –Consolidated Investment Portfolio. If prevailing interest rates were to rise, we believe the yield on our new investment purchases may also rise and our investment income from floating rate investments would increase, while the value of our existing investments may decline. If prevailing interest rates were to decline, it is likely that the yield on our new investment purchases may decline and our investment income from floating rate investments would decrease, while the value of our existing investments may increase. Recent trends of decreasing interest rates, as expected, have led to a decrease in our investment income from floating rate investments, an overall decrease in asset yields and an increase in the value of our existing investments, though we observed a slight reversal of this trend during the first quarter of 2021.

We address interest rate risk through managing the duration of the liabilities we source with assets we acquire through ALM modeling. As part of our investment strategy, we purchase floating rate investments, which we expect would perform well in a rising interest rate environment and which we expect would underperform in a declining rate environment ~~which was~~as experienced in the prior year. Our investment portfolio includes ~~$29.8~~$36.9 billion of floating rate investments, or ~~19%~~20% of our net invested assets as of March 31, ~~2021.~~2022.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

If prevailing interest rates were to rise, we believe our products would be more attractive to consumers and our sales would likely increase. If prevailing interest rates were to decline, it is likely that our products would be less attractive to consumers and our sales would likely decrease. In periods of prolonged low interest rates, the net investment spread may be negatively impacted by reduced investment income to the extent that we are unable to adequately reduce policyholder crediting rates due to policyholder guarantees in the form of minimum crediting rates or otherwise due to market conditions. As of March 31, ~~2021,~~2022, most of our products were deferred annuities with ~~22%~~21% of our FIAs at the minimum guarantees and 37% of our fixed rate annuities at the minimum crediting rates. As of March 31, ~~2021,~~2022, minimum guarantees on all of our deferred annuities, including those with crediting rates already at their minimum guarantees, were, on average, greater than 100 basis points below the crediting rates on such deferred annuities, allowing us room to reduce rates before reaching the minimum guarantees. Our remaining liabilities are associated with immediate annuities, pension ~~risk transfer~~group annuity obligations, funding agreements and life contracts for which we have little to no discretionary ability to change the rates of interest payable to the respective policyholder. A significant majority of our deferred annuity products have crediting rates that we may reset annually upon renewal, following the expiration of the current guaranteed period. While we have the contractual ability to lower these crediting rates to the guaranteed minimum levels, our willingness to do so may be limited by competitive pressures.

See Part I—Item 3. Quantitative and Qualitative Disclosures About Market Risks to this report and Part II—Item 7A. Quantitative and Qualitative Disclosures About Market Risks in our ~~2020~~2021 Annual Report, which includes a discussion regarding interest rate and other significant risks and our strategies for managing these risks.

~~COVID-19~~

The spread of COVID-19 has resulted in significant volatility in the financial markets. The extent to which COVID-19 and the resulting impact on economic conditions and the financial markets may impact our business will depend on future developments and represents a material uncertainty to our business.

~~Risks and Mitigation Measures~~

~~The spread of COVID-19 presents three principal risks to our business: 1) business continuity risk; 2) market risk and 3) liquidity risk, including that resulting from policyholder behavior.~~

~~Business Continuity Risk~~.The spread of COVID-19 threatens the health and safety of our most valuable asset, our people. To mitigate the risk that the virus infects members of our workforce, to ensure the continuity of our operations throughout the duration of this pandemic and to ensure uninterrupted servicing of the policyholders who have entrusted us for their retirement needs, during March 2020 we implemented our business continuity plan. Pursuant to that plan, we implemented remote work protocols pursuant to which the significant majority of our employees worked remotely, with only certain operationally essential employees working at our facilities, to the extent lawfully permitted. For the operationally essential employees who continued working at our facilities, we implemented new safety protocols that incorporated recommendations, guidelines and regulations from the Center for Disease Control and other national, state and local health authorities, including mandated temperature screenings upon entering the building; the appropriate practice of social distancing, which includes but is not limited to a reduction in the number of people allowed in conference rooms and limiting elevator car capacity; the requirement to wear face coverings; and limitations on movement in the building, among other requirements designed to reduce the risk of transmission between employees (collectively, Safety Protocols). In addition, we implemented enhanced cleaning protocols, which include increased staff to clean common areas; availability of cleaning supplies, face coverings and hand sanitizer throughout our facilities that are operational; and actively encouraging our employees to adopt enhanced hygiene practices.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

On June 1, 2020, we commenced our repopulation plan and as of October 31, 2020, substantially all of our workforce had returned to the office. Prior to the commencement of our repopulation plan, all employees were required to complete a comprehensive training covering our repopulation plan and our Safety Protocols. Due to worsening conditions in our local communities, on November 10, 2020, we implemented a workplace rotation plan to reduce our office operating capacity in our West Des Moines office to 50% and on December 10, 2020, we reinstituted remote work arrangements at our Bermuda headquarters. On January 11, 2021, the first wave of employees returned to our Bermuda location and on January 19, 2021, our West Des Moines location returned to standard operating capacity. As of April 30, 2021, our Bermuda location had returned to working remotely, whereas our West Des Moines location continued to work at standard operating capacity. We have implemented case investigation and contact tracing procedures to appropriately identify and quarantine those individuals who have been or may have been exposed to the virus. As of April 30, 2021, we had 10 employees who had been certified as contact tracers through Johns Hopkins University. We have been successful in implementing our business continuity and repopulation plans and to date have experienced no material impairment to our business operations. We continue to closely monitor our situation and the recommendations and guidelines issued by national, state and local health authorities.

~~Market Risk~~. The effects of the spread of COVID-19 on economic conditions and the financial markets may trigger or increase the market risks to which we are subject, namely interest rate risk, credit risk and public equity risk. The spread of COVID-19 and the Federal Reserve’s responsive measures resulted in abrupt and significant decreases in interest rates and abrupt and significant increases in credit spreads. Changes in interest rates and credit spreads may result in a decrease in the value of our invested assets. To the extent that we needed to sell assets at these decreased values in order to satisfy our obligations, we would realize losses. However, approximately 75% of our deferred annuities have surrender charges, which we believe greatly reduce the likelihood and magnitude of unexpected withdrawals. Further, our PRT and funding agreement obligations are predominantly non-surrenderable. In addition, we mitigate interest rate risk by managing the effective duration of our assets and liabilities. In doing so, we closely monitor and manage our net duration mismatch as well as our cash inflows and outflows. Decreases in interest rates impact the interest income that we receive on our floating rate assets. For the three months ended March 31, 2021, we recognized $69 million less in floating rate income than we recognized for the three months ended March 31, 2020, primarily as a result of the period-over-period declines in interest rates.

Certain companies that issued the securities that we hold in our investment portfolio are more likely to experience financial hardship as a result of the economic effects of COVID-19. We mitigate such risk by actively managing our investment portfolio and attempting to exit or reduce exposures we deem to carry disproportionate risk when compared to their return profile.

We are exposed to public equity risk through the index crediting on our FIA products, our AOG unit holdings and our common stock holdings in OneMain Holdings, Inc. (OneMain). We effectively eliminate the public equity risk arising from the index crediting on our FIA products by hedging the relevant index performance over the crediting period. Though this results in an effective hedge for economic purposes, because the instruments used to hedge the index crediting period are for a shorter term than the FIA contract, the hedge is not deemed effective for accounting purposes and results in the recognition of gains and losses from period to period. The public equity volatility arising from our holdings of AOG units and OneMain stock is unhedged.

~~Liquidity Risk.~~ In the current market environment, liquidity risk can arise in several areas of our business, including but not limited to asset-liability mismatch and policyholder behavior risk. As noted above, most of our deferred annuities have surrender charges, which reduce the likelihood and magnitude of expected withdrawals, and our PRT and funding agreement obligations are predominantly non-surrenderable.

To be prepared to capitalize on growth opportunities that may arise in the current market environment as well as to manage any near-term liquidity risk, we have strategically increased our available liquidity. As of March 31, 2021, we had approximately $10.4 billion of available liquidity comprised of $6.4 billion of cash and approximately $4.0 billion of undrawn capacity under various committed financing facilities. We have taken measures to increase our financial flexibility, including negotiating new committed lending facilities. We have also entered into several new securities repurchase arrangements with different financial institutions to provide access to additional short-term liquidity, to the extent available. As economic conditions have continued to stabilize, we have been investing our excess liquidity in yield producing assets.

With a record number of individuals finding themselves abruptly out of work and searching for sources of liquidity, we face policyholder behavior risk in the form of increased withdrawal levels and lapse rates. We have been closely monitoring policyholder behavior. As of April 30, 2021, we had noticed no material adverse change in policyholder behavior. We mitigate policyholder behavior risk by monitoring and projecting cash inflows and outflows and by maintaining greater levels of available liquidity.

~~Emerging Trends~~

As a result of the spread of COVID-19, the resulting impact on economic conditions and the financial markets and the mitigation efforts we have undertaken in response, we expect to see several trends impacting our future operating results.

First, we have held a greater proportion of our invested assets in cash and other liquid assets which has lowered our net investment earned rates and net investment spread compared to what we would have otherwise experienced pre-COVID-19. While we have continued to invest our excess cash in yield producing assets, we expect that our holdings of cash and other liquid assets may remain slightly elevated in the near-term. We expect that as we deploy these holdings and continue to redeploy the Jackson investment portfolio, we will experience increases in net investment earned rates and net investment spread.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Second, we expect that the current market environment will cause certain issuers of securities held in our investment portfolio to experience financial hardship, which could result in the recognition of increased credit losses. Post adoption of the new accounting standard regarding accounting for current expected credit losses, we have increased our reserve for credit losses, net of noncontrolling interests, by $75 million. We cannot predict the duration or severity of the current economic downturn. However, our ultimate loss experience resulting therefrom could be material and could cause our financial position, results of operations, cash flows and liquidity to differ materially from that presented herein.

Third, we have experienced increased volatility in the valuation of our alternative investments. In light of the current market environment, we may continue to experience such volatility in future periods. Given that approximately 50% of our alternative investments are accounted for on a one to three month lag, our financial results as they relate to the performance of our alternative investments may not be reflective of the economic conditions of a particular reporting period.

Fourth, the substantial decrease in interest rates recently experienced has had a negative impact on adjusted operating income. If the current rates persist for a prolonged period, our adjusted operating income would continue to be adversely affected when compared to pre-COVID-19 levels. Currently, we estimate that a 25 basis point decrease in interest rates that persists for a 12-month period will result in an approximate $35 – $45 million decrease in adjusted operating income.

The spread of COVID-19, the resulting impact on economic conditions and the financial markets and the mitigating efforts we have and will undertake may have consequences to our business that are unforeseen at this time. The emerging trends identified above do not purport to be complete and actual experience may differ materially from our current expectations.

Discontinuation of LIBOR

On December ~~4, 2020, the Intercontinental Exchange Benchmark Administrator (IBA)~~31, 2021, (1) most LIBOR settings (i.e., ~~the party that administers the publication~~24 out of ~~LIBOR, published a consultation on its intention to cease publication of~~35, including 1-week and 2-month US Dollar (USD) LIBOR as well as all other non-USD LIBOR settings) ceased to be published and (2) a few of the most widely used GBP and JPY LIBOR settings (i.e., 1-, 3- and 6- month GBP and JPY LIBOR settings) were deemed permanently unrepresentative, but will continue to be published on a synthetic basis, for a limited time period for the purpose of all legacy contracts (except for cleared derivatives). The remaining USD LIBOR settings ~~immediately following the LIBOR publication on December 31, 2021 and the overnight and~~(i.e., 1-, 3-, 6- and 12-month USD LIBOR ~~settings immediately following the LIBOR publication~~settings) will continue to be published, subject to limitations on use, and cease or become unrepresentative on June 30, 2023. ~~The consultation closed on January 25, 2021 and on March 5, 2021, the IBA announced that in the absence of sufficient panel bank support and without~~Without the intervention of the UK Financial Conduct Authority ~~(FCA)~~using enhanced powers provided by the UK Government to compel continued panel bank contribution ~~to LIBOR, it will not be possible for~~by the IBA, ~~to publish~~ the ~~relevant~~ LIBOR settings on a representative basis beyond the dates previously specified for such settings. The UK Government had previously announced that it intends to enact legislation to bestow upon the FCA the power to direct a methodology change to enableadministrator, LIBOR to be published on a synthetic basis after such time that it loses representativeness (Proposed Powers). The FCA advised the IBA that the FCA had no intention of using its Proposed Powers to enable the calculation of a synthetic LIBOR with respect to overnight, 1-week, 2-month and 12-month LIBOR settings and indicated that it would consider the case for using its Proposed Powers in respect of the 1-month, 3-month and 6-month LIBOR settings. Absent use of the FCA’s Proposed Powers with respect to any of the remaining LIBOR settings, LIBOR for substantially all of our contracts with exposure to LIBOR wouldwill cease publication after June 30, 2023.

The discontinuation of LIBOR could have a significant impact on the financial markets and represents a material uncertainty to our business. To manage the uncertainty surrounding the discontinuation of LIBOR, we have established a LIBOR transition team and a transition plan. We have created an Executive Steering Committee composed of senior executives to coordinate and oversee the execution of our plan.

It is difficult to predict the full impact of the transition away from LIBOR on our contracts whose value is tied to LIBOR. The value or profitability of these contracts may be adversely affected.

As of March 31, ~~2021,~~2022, we had contracts tied to LIBOR in the notional amounts set forth in the table below:


(In millions)	(In millions)	Total Exposure		Extending Beyond June 30, 2023		(In millions)	Total Exposure		Extending Beyond June 30, 2023
Investments	Investments	$	29,628	$	23,835	Investments	$	35,211	$	30,036
Product Liabilities	Product Liabilities	14,949		200		Product Liabilities	17,297		5,267
Derivatives Hedging Product Liabilities	Derivatives Hedging Product Liabilities	18,602		1,303		Derivatives Hedging Product Liabilities	20,103		6,870
Other Derivatives	Other Derivatives	1,546		1,463		Other Derivatives	3,530		3,530
Other Contracts	Other Contracts	3,213		2,363		Other Contracts	1,663		1,113
Total notional of contracts tied to LIBOR	Total notional of contracts tied to LIBOR	$	67,938	$	29,164	Total notional of contracts tied to LIBOR	$	77,804	$	46,816

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Investments

As of March 31, ~~2021,~~2022, our investments tied to LIBOR were in the following asset classes:


(In millions)	(In millions)	Total Exposure		Extending Beyond June 30, 2023		(In millions)	Total Exposure		Extending Beyond June 30, 2023
Multi-lateral Arrangements	Multi-lateral Arrangements					Multi-lateral Arrangements
Corporates	Corporates	$	846	$	346	Corporates	$	823	$	623
RMBS	RMBS	3,736		3,293		RMBS	3,076		2,981
CMBS	CMBS	419		100		CMBS	632		476
CLO	CLO	14,707		14,382		CLO	15,191		14,832
ABS	ABS	2,933		2,787		ABS	7,213		6,269
Bank Loans	Bank Loans	383		283		Bank Loans	1,400		1,206
Total Multi-lateral Arrangements	Total Multi-lateral Arrangements	23,024		21,191		Total Multi-lateral Arrangements	28,335		26,387
Bi-lateral Arrangements	Bi-lateral Arrangements					Bi-lateral Arrangements
CML	CML	6,458		2,498		CML	6,750		3,523
RML	RML	146		146		RML	126		126
Total Bi-lateral Arrangements	Total Bi-lateral Arrangements	6,604		2,644		Total Bi-lateral Arrangements	6,876		3,649
Total investments tied to LIBOR	Total investments tied to LIBOR	$	29,628	$	23,835	Total investments tied to LIBOR	$	35,211	$	30,036

Of the total notional value of investment-related contracts tied to LIBOR extending beyond June 30, 2023, ~~$21.2~~$26.4 billion or ~~88.9%~~87.9% relate to multi-lateral arrangements. These arrangements are typically characterized by a large, diverse set of unrelated holders, the majority or all of whom must consent to amendments to the terms of the underlying investment instrument. Generally, when the amendments concern a material term such as the determination of interest, consent must be unanimous. Given the collective action issues inherent in such structures, such consent is typically impracticable and beyond our control. The existence and character of fallback provisions affected by the discontinuation of LIBOR vary widely from instrument to instrument. Many of our legacy contracts may not contemplate the permanent discontinuation of LIBOR and upon LIBOR’s discontinuation may result in the conversion of the instrument from a floating- to a fixed-rate instrument or may involve a significant degree of uncertainty as to the method of determining interest. To the extent that such legacy arrangements do not contemplate the permanent discontinuation of LIBOR, we would most likely look to some broad-based solution, such as the ~~recently adopted~~ New York or US federal LIBOR transition law, ~~amendment,~~ to rectify such deficiency. To the extent that such a solution is ineffective, for example as a result of being ruled unconstitutional, we would likely be required to undertake a re-evaluation of affected investments, which might result in the disposition of individual positions. To the extent that individual positions are retained, we may incur adverse financial consequences, including any mark-to-market impacts resulting from those investments that convert from a floating to a fixed rate. To the extent that the fallback rates ultimately used to determine interest payable on structured securities do not align with the fallback rates used to determine interest payable on the underlying assets, economic losses could be sustained on the overall structure.

The remaining notional value of investment-related contracts tied to LIBOR extending beyond June 30, 2023 of ~~$2.6~~$3.6 billion or ~~11.1%~~12.1% relates to bi-lateral arrangements that are capable of being amended through negotiation with the relevant counterparty.

As our investment manager, Apollo maintains the documentation associated with the assets in our investment portfolio. We are therefore dependent upon Apollo for the successful completion of our LIBOR transition efforts relating to our investment portfolio. See Part I–Item 1A. Risk Factors–Risks Relating to Our Business Operations–Uncertainty relating to the LIBOR Calculation process and the phasing out of LIBOR after a future date may adversely affect the value of our investment portfolio, our ability to achieve our hedging objectives and our ability to issue funding agreements bearing a floating rate of interest included in our ~~2020~~2021 Annual Report. Apollo’s failure to fulfill its responsibilities could have an adverse impact on our results of operations and ability to timely report accurate financial information.

Product Liabilities and Associated Hedging Instruments

As of March 31, ~~2021,~~2022, we had product liabilities with a notional value of approximately ~~$14.9~~$17.3 billion for which LIBOR is a component in the determination of interest credited, of which we expect ~~$200 million~~$5.3 billion to have a current crediting term that extends beyond June 30, 2023. For purposes of evaluating our exposure to LIBOR, we only consider our exposure to the current crediting term, which is typically one to two years. Upon renewal of the crediting term, we have the ability to migrate policyholders into new strategies not involving LIBOR. Generally, there are two categories of indices that use LIBOR in the determination of interest credited, “excess return” indices (return of index in excess of LIBOR) and indices that use LIBOR as a means to control volatility. The indices to which these products are tied are primarily proprietary indices for which key inputs are determined by the index sponsor. The index sponsor generally has the right to unilaterally change the reference rate upon the discontinuation of LIBOR. As a result, we do not anticipate any administrative concerns in connection with the transition from LIBOR to a replacement rate with respect to these products.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

As of March 31, ~~2021,~~2022, we held derivatives with a notional value of approximately ~~$18.6~~$20.1 billion to hedge our exposure to these product liabilities, of which we expect ~~$1.3~~$6.9 billion to extend beyond June 30, 2023. Included within this category are ~~$3.9~~$6.0 billion of Eurodollar futures, of which we expect ~~$1.1~~$2.5 billion to extend beyond June 30, 2023. Exchange traded products, such as Eurodollar futures, will follow the CME Group Inc.’s approach regarding the discontinuation of LIBOR. The remaining derivatives in this category are primarily purchased to hedge the current crediting period. We will be required to purchase new derivatives in future periods to hedge future crediting periods associated with the related existing product liabilities, which will expose us to potential basis mismatch to the extent that the reference rate for the product liability is not the same as the reference rate for the derivative instrument. These derivatives are entered into pursuant to an ISDA Master Agreement and will transition to ~~SOFR~~the Secured Overnight Financing Rate (SOFR) in accordance with the process described below under the caption Other Derivatives.

Other Derivatives

Our other derivative contracts tied to LIBOR are generally entered into pursuant to an ISDA Master Agreement. ISDA published the ISDA 2020 IBOR Fallbacks Protocol (Protocol) and released Supplement 70 to the 2006 ISDA Definitions (Supplement) on October 23, 2020. The Protocol and Supplement include appropriate fallbacks that contemplate the permanent discontinuation of LIBOR. In January 2021, we joined industry peers by adhering to the Protocol and terms of the Supplement, each of which became effective on January 25, 2021. With respect to future transactions, we anticipate adoption of the 2021 ISDA Interest Rate Definitions. To the extent that the fallbacks incorporated into our other derivative contracts result in the use of a replacement rate that differs from that employed in the contract being hedged, we may experience basis mismatch. The Protocol contains templates for possible bilateral amendments to legacy contracts for situations in which the fallbacks contemplated by the Protocol give rise to potential basis risk. We intend to evaluate whether and the extent to which we are subject to such basis risk, as well as the possibility of using the available templates to mitigate such risk.

In addition to the exposure set forth in the table above, since March 31, 2021, we have added an additional $575 million of derivatives tied to LIBOR, all of which are expected to extend beyond June 30, 2023. Given our adherence to the Protocol and terms of the Supplement, all of these derivatives incorporate provisions that contemplate the permanent discontinuation of LIBOR.

Other Contracts and Other Sources of Exposure

The “Other Contracts” category is comprised of our ~~credit agreement,~~LIBOR-based floating rate funding agreements, ~~and~~ fixed-to-float Series A preference shares, and our credit agreement, if any amounts were to be outstanding, all of which contemplate the permanent discontinuation of ~~LIBOR,~~LIBOR. These agreements are tied to LIBOR in a manner that is not expected to have a significant impact upon LIBOR’s discontinuation or have fallback provisions in place that provide for the determination of interest after the discontinuation of LIBOR. In addition to the other contracts for which we have quantified our exposure, we are party to contracts that are tied to LIBOR based upon the occurrence of some remote contingency, such as the accrual of penalty interest, or for which LIBOR is otherwise not a material term of the contract. These contracts do not lend themselves to quantification and are lower in priority in our LIBOR remediation efforts. Finally, LIBOR is used as a component in our internal derivative valuation models. We ~~have begun to transition~~are in the process of transitioning the benchmark yield curve in such models from LIBOR to ~~the Secured Overnight Financing Rate~~SOFR and we expect to complete the transition prior to the discontinuation of LIBOR. Such transition may affect the valuation of our derivative instruments.

We can provide no assurance that we will be successful at fully implementing our plan prior to the discontinuation of LIBOR. Completion of certain components of our plan are contingent upon market developments and are therefore not fully within our control. To the extent management effort and attention is focused on other matters, such as responding to the risks posed by COVID-19, the timely completion of our plan could become more difficult. Failure to fully implement our plan prior to the discontinuation of LIBOR may have a material adverse effect on our business, financial position, results of operations and cash flows and on our ability to timely report accurate financial information.

Demographics

Over the next four decades, the retirement-age population is expected to experience unprecedented growth. Technological advances and improvements in healthcare are projected to continue to contribute to increasing average life expectancy, and aging individuals must be prepared to fund retirement periods that will last longer than ever before. Further, many working households in the United States do not have adequate retirement savings. As a tool for addressing the unmet need for retirement planning, we believe that many Americans have begun to look to tax-efficient savings products with low-risk or guaranteed return features and potential equity market upside. Our tax-efficient savings products are well positioned to meet this increasing customer demand.

Competition

We operate in highly competitive markets. We face a variety of large and small industry participants, including diversified financial institutions, ~~and~~ insurance and reinsurance ~~companies.~~companies and private equity firms. These companies compete in one form or another for the growing pool of retirement assets driven by a number of external factors such as the continued aging of the population and the reduction in safety nets provided by governments and private employers. In the markets in which we operate, scale and the ability to provide value-added services and build long-term relationships are important factors to compete effectively. We believe that our leading presence in the retirement market, diverse range of capabilities and broad distribution network uniquely position us to effectively serve consumers’ increasing demand for retirement solutions, particularly in the FIA market.

According to LIMRA, total fixed annuity market sales in the United States were $129.3 billion for the year ended December 31, 2021, a 7.4% increase from the same time period in 2020, as a rise in interest rates driven by the economic recovery spurred continued growth in the US annuity market. In the total fixed annuity market, for the year ended December 31, 2021 (the most recent period for which specific market share data is available), we were the fourth largest company based on sales of $8.3 billion, translating to a 6.4% market share. For the year ended December 31, 2020, our market share was 6.4% with sales of $7.7 billion.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

According to LIMRA, total fixed annuity market sales in the United States were $120.4 billion for the year ended December 31, 2020, a 13.9% decrease from the same time period in 2019 as interest rates pulled down crediting rates in all fixed product lines and the challenging macroeconomic backdrop amidst the COVID-19 crisis. In the total fixed annuity market, for the year ended December 31, 2020 (the most recent period for which specific market share data is available), we were the 4th largest company based on sales of $7.7 billion, translating to a 6.4% market share. For the year ended December 31, 2019, our market share was 4.8% with sales of $6.8 billion.

According to LIMRA, total fixed-indexed annuity market sales in the United States were ~~$55.5~~$63.7 billion for the year ended December 31, ~~2020,~~2021, a ~~24.5% decrease~~14.8% increase from the same time period in ~~2019.~~2020. For the year ended December 31, ~~2020~~2021 (the most recent period for which specific market share data is available), we were the largest provider of FIAs based on sales of ~~$5.8~~$7.7 billion, and our market share for the same period was ~~10.5%~~12.1%. For the year ended December 31, ~~2019,~~2020, we were the ~~2nd~~ largest provider of FIAs based on sales of ~~$6.1~~$5.8 billion, translating to ~~an 8.3%~~a 10.5% market share.

According to LIMRA, total registered indexed linked annuity (RILA) market sales in the United States were $38.7 billion for the year ended December 31, 2021, a 62.1% increase from the same time period in 2020. For the year ended December 31, 2021 (the most recent period for which specific market share data is available), we were the ninth largest provider of RILAs based on sales of $566 million, and our market share for the same period was 1.5%. For the year ended December 31, 2020, we were the ninth largest provider of RILAs based on sales of $187 million, translating to a 0.8% market share. We believe RILAs represent a significant opportunity for Athene.

Key Operating and Non-GAAP Measures

In addition to our results presented in accordance with GAAP, we present certain financial information that includes non-GAAP measures. Management believes the use of these non-GAAP measures, together with the relevant GAAP measures, provides information that may enhance an investor’s understanding of our results of operations and the underlying profitability drivers of our business. The majority of these non-GAAP measures are intended to remove from the results of operations the impact of market volatility (other than with respect to alternative investments) as well as integration, restructuring and certain other expenses which are not part of our underlying profitability drivers, as such items fluctuate from period to period in a manner inconsistent with these drivers. These measures should be considered supplementary to our results in accordance with GAAP and should not be viewed as a substitute for the corresponding GAAP measures.

~~Adjusted Operating Income (Loss) Available to Common Shareholders~~Spread Related Earnings (SRE)

~~Adjusted operating income (loss) available to common shareholders~~Spread related earnings is a pre-tax non-GAAP measure used to evaluate our financial performance excluding market volatility and expenses related to integration, restructuring, stock compensation and other expenses. Our ~~adjusted operating income (loss) available to common shareholders~~spread related earnings equals net income (loss) available to AHL common ~~shareholders~~shareholder adjusted to eliminate the impact of the ~~following (collectively, the non-operating adjustments):~~following:

•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, changes in the credit loss allowance, 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 mortgage loans, investments held under the fair value option and our investment in Apollo, 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.~~investments. Investment gains and losses are net of offsets related to DAC ~~DSI,~~ and ~~VOBA~~DSI 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~~DSI amortization and changes to rider reserves.

We primarily hedge with options that align with the index terms of our FIA products (typically 1–2 years). On an economic basis, we believe this is suitable because policyholder accounts are credited with index performance at the end of each index term. However, because the term of an embedded derivative in an FIA contract is longer-dated, there is a duration mismatch which may lead to mismatches for accounting purposes.

•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~~including long-term incentive ~~plan,~~expenses, which are not related to our underlying profitability drivers and fluctuate from time to time due to the structure of our plans.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

•~~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~~all income statement adjustments, including our Apollo investment, and is computed by applying the appropriate jurisdiction’s tax rate to ~~the non-operating~~all adjustments ~~that are~~ subject to income tax.

We consider these ~~non-operating~~ adjustments to be meaningful adjustments to net income (loss) available to AHL common ~~shareholders~~shareholder for the reasons discussed in greater detail above. Accordingly, we believe using a measure which excludes the impact of these items is useful in analyzing our business performance and the trends in our results of operations. Together with net income (loss) available to AHL common ~~shareholders,~~shareholder, we believe ~~adjusted operating income (loss) available to common shareholders~~spread related earnings provides a meaningful financial metric that helps investors understand our underlying results and profitability. ~~Adjusted operating income (loss) available to common shareholders~~Spread related earnings should not be used as a substitute for net income (loss) available to AHL common ~~shareholders.~~shareholder.

~~Adjusted Operating ROE~~

Adjusted operating ROE is a non-GAAP measure used to evaluate our financial performance excluding the impacts of AOCI and the cumulative change in fair value of funds withheld and modco reinsurance assets, net of DAC, DSI, rider reserve and tax offsets. Adjusted AHL common shareholders’ equity is calculated as the ending AHL shareholders’ equity excluding AOCI, the cumulative change in fair value of funds withheld and modco reinsurance assets and preferred stock. Adjusted operating ROE is calculated as the adjusted operating income (loss) available to common shareholders, divided by average adjusted AHL common shareholders’ equity. These adjustments fluctuate period to period in a manner inconsistent with our underlying profitability drivers as the majority of such fluctuation is related to the market volatility of the unrealized gains and losses associated with our AFS securities. Except with respect to reinvestment activity relating to acquired blocks of businesses, we typically buy and hold AFS investments to maturity throughout the duration of market fluctuations, therefore, the period-over-period impacts in unrealized gains and losses are not necessarily indicative of current operating fundamentals or future performance. Accordingly, we believe using measures which exclude AOCI and the cumulative change in fair value of funds withheld and modco reinsurance assets are useful in analyzing trends in our operating results. To enhance the ability to analyze these measures across periods, interim periods are annualized. Adjusted operating ROE should not be used as a substitute for ROE. However, we believe the adjustments to net income (loss) available to AHL common shareholders and AHL common shareholders’ equity are significant to gaining an understanding of our overall financial performance.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~Adjusted Operating Earnings (Loss) Per Common Share, Weighted Average Common Shares Outstanding~~ – ~~Adjusted Operating and Adjusted Book Value Per Common Share~~

Adjusted operating earnings (loss) per common share, weighted average common shares outstanding – adjusted operating and adjusted book value per common share are non-GAAP measures used to evaluate our financial performance and financial condition. The non-GAAP measures adjust the number of shares included in the corresponding GAAP measures to reflect the conversion or settlement of all shares and other stock-based awards outstanding. We believe these measures represent an economic view of our share counts and provide a simplified and consistent view of our outstanding shares. Adjusted operating earnings (loss) per common share is calculated as the adjusted operating income (loss) available to common shareholders, over the weighted average common shares outstanding – adjusted operating. Adjusted book value per common share is calculated as the adjusted AHL common shareholders’ equity divided by the adjusted operating common shares outstanding. Effective February 28, 2020, all Class B common shares were converted into Class A common shares and all Class M common shares were converted into warrants and Class A common shares. Our Class B common shares were economically equivalent to Class A common shares and were convertible to Class A common shares on a one-for-one basis at any time. Our Class M common shares were in the legal form of shares but economically functioned as options as they were convertible into Class A common shares after vesting and payment of the conversion price. In calculating Class A diluted earnings per share on a GAAP basis, we are required to apply sequencing rules to determine the dilutive impacts, if any, of our Class B common shares, Class M common shares and any other stock-based awards. To the extent our Class B common shares, Class M common shares and/or any other stock-based awards were not dilutive, after considering the dilutive effects of the more dilutive securities in the sequence, they were excluded. Weighted average common shares outstanding – adjusted operating and adjusted operating common shares outstanding assume conversion or settlement of all outstanding items that are able to be converted to or settled in Class A common shares, including the impacts of Class B common shares on a one-for-one basis, the impacts of all Class M common shares net of the conversion price and any other stock-based awards, but excluding any awards for which the exercise or conversion price exceeds the market value of our Class A common shares on the applicable measurement date. For certain historical periods, Class M shares were not included due to issuance restrictions which were contingent upon our IPO. Adjusted operating earnings (loss) per common share, weighted average common shares outstanding – adjusted operating and adjusted book value per common share should not be used as a substitute for basic earnings (loss) per share – Class A common shares, basic weighted average common shares outstanding – Class A or book value per common share. However, we believe the adjustments to the shares and equity are significant to gaining an understanding of our overall results of operations and financial condition.

Adjusted Debt to Capital Ratio

Adjusted debt to capital ratio is a non-GAAP measure used to evaluate our capital structure excluding the impacts of AOCI and the cumulative ~~change~~changes in fair value of funds withheld and modco reinsurance assets as well as mortgage loan assets, net of DAC, DSI, rider reserve and tax offsets. Adjusted debt to capital ratio is calculated as total long-term and short-term debt at notional value divided by adjusted capitalization. Adjusted capitalization includes our adjusted AHL common shareholder’s equity, preferred stock and the notional value of our debt. Adjusted AHL common shareholder’s equity is calculated as the ending AHL shareholders’ ~~equity.~~equity excluding AOCI, the cumulative changes in fair value of funds withheld and modco reinsurance assets and mortgage loan assets as well as preferred stock. These adjustments fluctuate period to period in a manner inconsistent with our underlying profitability drivers as the majority of such fluctuation is related to the market volatility of the unrealized gains and losses associated with our AFS securities. Except with respect to reinvestment activity relating to acquired blocks of businesses, we typically buy and hold AFS investments to maturity throughout the duration of market fluctuations, therefore, the period-over-period impacts in unrealized gains and losses are not necessarily indicative of current operating fundamentals or future performance. Accordingly, we believe using measures which exclude AOCI and the cumulative changes in fair value of funds withheld and modco reinsurance assets as well as mortgage loan assets are useful in analyzing trends in our operating results. Adjusted debt to capital ratio should not be used as a substitute for the debt to capital ratio. However, we believe the adjustments to shareholders’ equity are significant to gaining an understanding of our capitalization, debt utilization and debt capacity.

~~Retirement Services~~ Net Investment Spread ~~Investment Margin on Deferred Annuities~~ and Other Operating Expenses

Net investment spread is a key measure of ~~the profitability of our Retirement Services segment.~~profitability. Net investment spread measures our investment performance plus our strategic capital management fees from ACRA, less ~~the~~our total cost of ~~our liabilities.~~funds. Net investment earned rate is a key measure of our investment performance while cost of funds is a key measure of the cost of our policyholder benefits and liabilities. Investment margin on our deferred annuities measures our investment performance less the cost of crediting for our deferred annuities, which make up a significant portion of our net reserve liabilities.

Net investment earned rate is a non-GAAP measure we use to evaluate the performance of our net invested assets that does not correspond to GAAP net investment income. Net investment earned rate is computed as the income from our net invested assets divided by the average net invested assets, ~~excluding the impacts of our investment in Apollo,~~ for the relevant period. To enhance the ability to analyze these measures across periods, interim periods are annualized. The adjustments to net investment income to arrive at our net investment earned rate add (a) alternative investment gains and losses, (b) gains and losses related to trading securities for CLOs, (c) net VIE impacts (revenues, expenses and noncontrolling interest), (d) forward points gains and losses on foreign exchange derivative hedges and (e) the change in fair value of reinsurance assets, and removes the proportionate share of the ACRA net investment income associated with the ACRA noncontrolling ~~interest as well as the gain or loss on our investment in Apollo.~~interest. We include the income and assets supporting our change in fair value of reinsurance assets by evaluating the underlying investments of the funds withheld at interest receivables and we include the net investment income from those underlying investments which does not correspond to the GAAP presentation of change in fair value of reinsurance assets. We exclude the income and assets supporting business that we have exited through ceded reinsurance including funds withheld agreements. We believe the adjustments for reinsurance provide a net investment earned rate on the assets for which we have economic exposure.

Cost of funds includes liability costs related to cost of crediting on both deferred annuities and institutional products as well as other liability costs, but does not include the proportionate share of the ACRA cost of funds associated with the noncontrolling interest. Cost of funds is computed as the total liability costs divided by the average net invested assets, excluding our investment in Apollo, for the relevant period. To enhance the ability to analyze these measures across periods, interim periods are annualized.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~Cost of crediting includes the costs for both deferred annuities and institutional products.~~ Cost of crediting on deferred annuities is the interest credited to the policyholders on our fixed strategies as well as the option costs on the indexed annuity strategies. With respect to FIAs, the cost of providing index credits includes the expenses incurred to fund the annual index credits, and where applicable, minimum guaranteed interest credited. Cost of crediting on institutional products is comprised of (i) ~~PRT~~pension group annuity costs, including interest credited, benefit payments and other reserve changes, net of premiums received when issued, and (ii) funding agreement costs, including the interest payments and other reserve changes. Cost of crediting is computed as the cost of crediting for deferred annuities and institutional products divided by the average net invested assets, excluding the investment in Apollo, for the relevant periods. Cost of crediting on deferred annuities is computed as the net interest credited on fixed strategies and option costs on indexed annuity strategies divided by the average net account value of our deferred annuities. Cost of crediting on institutional products is computed as the PRT and funding agreement costs divided by the average net institutional reserve liabilities. Our average net invested assets, excluding our investment in Apollo, net account values and net institutional reserve liabilities are averaged over the number of quarters in the relevant period to obtain our associated cost of crediting for such period. To enhance the ability to analyze these measures across periods, interim periods are annualized.

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,~~ premiums, product charges and other revenues. Cost of funds is computed as the total liability costs divided by the average net invested assets, for the relevant period. To enhance the ability to analyze these measures across periods, interim periods are annualized. We believe a measure like ~~other liability costs~~cost of funds is useful in analyzing the trends of our core business operations and profitability. While we believe ~~other liability costs~~cost of funds is a meaningful financial metric and enhances our understanding of the underlying profitability drivers of our business, it should not be used as a substitute for total benefits and expenses presented under GAAP.

Net investment earned rate, cost of funds, and net investment spread ~~and investment margin on deferred annuities~~ are non-GAAP measures we use to evaluate the profitability of our business. We believe these metrics are useful in analyzing the trends of our business operations, profitability and pricing discipline. While we believe each of these metrics are meaningful financial metrics and enhance our understanding of the underlying profitability drivers of our business, they should not be used as a substitute for net investment income, interest sensitive contract benefits or total benefits and expenses presented under GAAP.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Other operating expenses excludes integration, restructuring and other non-operating expenses, stock compensation ~~expense,~~and long-term incentive plan expenses, interest expense and policy acquisition expenses. We believe a measure like other operating expenses is useful in analyzing the trends of our core business operations and profitability. While we believe other operating expenses is a meaningful financial metric and enhances our understanding of the underlying profitability drivers of our business, it should not be used as a substitute for policy and other operating expenses presented under GAAP.

Net Invested Assets

In managing our business, we analyze net invested assets, which does not correspond to total investments, including investments in related parties, as disclosed in our consolidated financial statements and notes thereto. Net invested assets represents the investments that directly back our net reserve liabilities as well as surplus assets. Net invested assets ~~excluding our investment in Apollo,~~ is used in the computation of net investment earned rate, which allows us to analyze the profitability of our investment portfolio. Net invested assets includes (a) total investments on the consolidated balance sheets with AFS securities at cost or amortized cost, excluding derivatives, (b) cash and cash equivalents and restricted cash, (c) investments in related parties, (d) accrued investment income, (e) VIE assets, liabilities and noncontrolling interest adjustments, (f) net investment payables and receivables, (g) policy loans ceded (which offset the direct policy loans in total investments) and (h) an allowance for credit losses. Net invested assets also excludes assets associated with funds withheld liabilities related to business exited through reinsurance agreements and derivative collateral (offsetting the related cash positions). We include the underlying investments supporting our assumed funds withheld and modco agreements in our net invested assets calculation in order to match the assets with the income received. We believe the adjustments for reinsurance provide a view of the assets for which we have economic exposure. Net invested assets includes our proportionate share of ACRA investments, based on our economic ownership, but does not include the proportionate share of investments associated with the noncontrolling interest. Net invested assets also includes our investment in ~~Apollo.~~Apollo for prior periods. Our net invested assets ~~excluding our investment in Apollo,~~ are averaged over the number of quarters in the relevant period to compute our net investment earned rate for such period. While we believe net invested assets is a meaningful financial metric and enhances our understanding of the underlying drivers of our investment portfolio, it should not be used as a substitute for total investments, including related parties, presented under GAAP.

Net Reserve Liabilities

In managing our business, we also analyze net reserve liabilities, which does not correspond to total liabilities as disclosed in our consolidated financial statements and notes thereto. Net reserve liabilities represent our policyholder liability obligations net of reinsurance and is used to analyze the costs of our liabilities. Net reserve liabilities include (a) ~~the~~ 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 include our proportionate share of ACRA reserve liabilities, based on our economic ownership, but does not include the proportionate share of reserve liabilities associated with the noncontrolling interest. 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. The majority of our ceded reinsurance is a result of reinsuring large blocks of life business following acquisitions. For such transactions, GAAP requires the ceded liabilities and related reinsurance recoverables to continue to be recorded in our consolidated financial statements despite the transfer of economic risk to the counterparty in connection with the reinsurance transaction. While we believe net reserve liabilities is a meaningful financial metric and enhances our understanding of the underlying profitability drivers of our business, it should not be used as a substitute for total liabilities presented under GAAP.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Sales

Sales statistics do not correspond to revenues under GAAP but are used as relevant measures to understand our business performance as it relates to inflows generated during a specific period of time. Our sales statistics include inflows for fixed rate annuities and FIAs and align with the LIMRA definition of 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). While we believe sales is a meaningful metric and enhances our understanding of our business performance, it should not be used as a substitute for premiums presented under GAAP.

~~Net Organic Growth Rate~~

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~~Net organic growth rate is calculated as the net organic flows divided by average net invested assets. Net organic flows are comprised~~Item 2. Management’s Discussion and Analysis of ~~net organic inflows less net outflows. Organic inflows are the deposits generated from our organic channels, which include retail, flow reinsurance~~Financial Condition and institutional. Net outflows are total liability outflows, including full and partial withdrawals on our deferred annuities, death benefits, pension risk transfer benefit payments, payments on payout annuities and maturitiesResults of our funding agreements, net of outflows attributable to the ACRA noncontrolling interest. To enhance the ability to analyze these measures across periods, interim periods are annualized. We believe net organic growth rate provides a meaningful financial metric that enables investors to assess our growth from the channels that provide recurring inflows. Management uses net organic growth rate to monitor our business performance and the underlying profitability drivers of our business.Operations

~~Consolidated~~ Results of Operations

We completed our merger with AGM on January 1, 2022 and have elected pushdown accounting in which we will use AGM’s basis of accounting that reflects the fair market value of our assets and liabilities as of the date of the merger. The resulting change in the value of our assets and liabilities limits the comparability of our financial results for the Predecessor and Successor periods.

The following summarizes the consolidated results of ~~operations:~~operations for two periods, Predecessor and Successor, which relate to the period preceding and period succeeding our merger with AGM, respectively.


		Three months ended March 31,						Successor				Predecessor
(In millions, except per share data and percentages)		2021			2020
(In millions)									(In millions)	Three months ended March 31, 2022			Three months ended March 31, 2021
Revenues	Revenues	$	4,391		$	(1,549)			Revenues	$	(269)		$	4,391
Benefits and expenses	Benefits and expenses	4,252			(167)				Benefits and expenses	2,504			4,252
Income (loss) before income taxes	Income (loss) before income taxes	139			(1,382)				Income (loss) before income taxes	(2,773)			139
Income tax expense (benefit)	Income tax expense (benefit)	62			(166)				Income tax expense (benefit)	(407)			62
Net income (loss)	Net income (loss)	77			(1,216)				Net income (loss)	(2,366)			77
Less: Net loss attributable to noncontrolling interests	Less: Net loss attributable to noncontrolling interests	(537)			(169)				Less: Net loss attributable to noncontrolling interests	(883)			(537)
Net income (loss) attributable to Athene Holding Ltd.	Net income (loss) attributable to Athene Holding Ltd.	614			(1,047)				Net income (loss) attributable to Athene Holding Ltd.	(1,483)			614
Less: Preferred stock dividends	Less: Preferred stock dividends	36			18				Less: Preferred stock dividends	35			36
Net income (loss) available to AHL common shareholders		$	578		$	(1,065)
Net income (loss) available to AHL common shareholder									Net income (loss) available to AHL common shareholder	$	(1,518)		$	578

Earnings (loss) per common share - basic Class A		$	3.02		$	(5.81)
Earnings (loss) per common share – diluted Class A1		$	2.94		$	(5.81)
ROE		12.9		%	(36.5)		%

1 Diluted earnings (loss) per common share on a GAAP basis for Class A common shares, including diluted Class A weighted average common shares outstanding, includes for the three months ended March 31, 2020, the dilutive impacts, if any, of Class B common shares and Class M common shares and for both periods any other stock-based awards.

Three Months Ended March 31, ~~2021~~2022 Compared to the Three Months Ended March 31, ~~2020~~2021

In this section, references to 2022 refer to the three months ended March 31, 2022 and references to 2021 refer to the three months ended March 31, ~~2021 and references to 2020 refer to the three months ended March 31, 2020.~~2021.

Net Income (Loss) Available to AHL Common ~~Shareholders~~Shareholder

Net income (loss) available to AHL common ~~shareholders increased~~shareholder decreased by ~~$1.6~~$2.1 billion, or ~~154%~~363%, to $(1.5) billion in 2022 from $578 million in ~~2021 from $(1.1) billion in 2020. ROE increased to 12.9% from (36.5)% in 2020.~~2021. The ~~increase~~decrease in net income (loss) available to AHL common ~~shareholders~~shareholder was driven by a ~~$5.9~~$4.7 billion ~~increase in revenues and a $368 million~~ decrease in ~~noncontrolling interests,~~revenues, partially offset by an ~~increase~~decrease of ~~$4.4~~$1.7 billion in benefits and expenses, a ~~$228~~$346 million ~~increase~~decrease in noncontrolling interests and a $469 million decrease in income tax ~~expense, and an $18 million increase in preferred stock dividends.~~expense.

Revenues

Revenues ~~increased~~decreased by ~~$5.9~~$4.7 billion to $(269) million in 2022 from $4.4 billion in ~~2021 from $(1.5) billion in 2020.~~2021. The ~~increase~~decrease was driven by ~~an increase~~a decrease in investment related gains and ~~losses, an~~(losses) and a decrease in premiums, partially offset by a slight increase in ~~premiums~~net investment income.

Investment related gains and (losses) decreased by $3.8 billion to $(4.2) billion in 2022 from $(422) million in the prior year, primarily due to the changes in fair value of reinsurance assets, mortgage loans, trading securities, FIA hedging derivatives and provision for credit losses as well as higher realized losses on AFS securities driven by unfavorable economics, partially offset by foreign exchange gains on derivatives. The change in fair value of reinsurance assets decreased $1.4 billion primarily driven by the change in the value of the underlying assets mainly related to credit spread widening compared to credit spread tightening in the prior year. The $704 million unfavorable change in mortgage loans was primarily due to credit spread widening and an increase in US Treasury rates in the current year. Additionally, at the beginning of the year, and in conjunction with our merger with Apollo, we elected the fair value option on our mortgage loans, while in prior periods they were stated at unpaid principal, net ~~investment income.~~of an allowance for credit losses. The unfavorable change in fair value of trading securities of $138 million was mainly due to credit spread widening compared to credit spread tightening in the prior year. The change in fair value of FIA hedging derivatives decreased $1.3 billion primarily driven by the unfavorable performance of the indices upon which our call options are based. The majority of our call options are based on the S&P 500 index which decreased 4.9% in 2022, compared to an increase of 5.8% in 2021. The unfavorable change in the provision for credit losses of $184 million was primarily driven by unfavorable economics, including impacts from the conflict between Russia and Ukraine.The increase in foreign exchange gains on derivatives reflects additional business denominated in foreign currencies including recent funding agreement issuances.

Premiums decreased by $901 million to $2.1 billion in 2022 from $3.0 billion in the prior year, driven by lower pension group annuity premiums compared to the prior year.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Investment related gains and (losses) increased by $3.1 billion to $(488) million in 2021 from $(3.6) billion in the prior year, primarily due to the change in fair value of FIA hedging derivatives, the change in fair value of reinsurance assets, the change in provision for credit losses, the change in fair value of trading securities and an increase in equity securities reflecting the prior year decline in financial markets, partially offset by a decrease in realized gains and losses on AFS securities as a result of redeploying the Jackson reinsurance portfolio. The change in fair value of FIA hedging derivatives increased $2.1 billion driven by the favorable performance of the indices upon which our call options are based. The majority of our call options are based on the S&P 500 index which increased 5.8% in 2021, compared to a decrease of 20.0% in 2020. The change in fair value of reinsurance assets increased $313 million primarily driven by the change in the value of the underlying assets related to significant credit spread widening in the prior year, partially offset by ~~the increase in US Treasury rates in the current quarter compared to a decrease in the prior year. The favorable change in the provision for credit losses of $276 million was primarily due to~~ ~~the unfavorable prior year impacts reflecting the economic downturn from the spread of COVID-19. The favorable change in fair value of trading securities~~ ~~of $154 million was c~~omprised primarily of an increase in CLO equity securities, non-redeemable preferred stock and other trading securities mainly due to credit spread widening in the prior year, partially offset by the change in US Treasury rates.

~~Premiums increased by $1.9 billion to $3.0 billion in~~ ~~2021 from $1.1 billion in the prior year, driven by higher PRT premiums compared to prior year.~~

Net investment income increased by ~~$959~~$14 million to $1.7 billion in ~~2021~~2022 from ~~$745 million~~$1.7 billion in the prior ~~year,~~year, primarily driven by favorable alternative investment performance, a favorable change in the fair value of our investment in Apollo of $272 million mainly attributable to the change in valuation price compared to prior year and growth in our investment portfolio attributed to strong ~~net flows in~~inflows during the previous twelve months, partially offset by ~~$69 million of lower floating rate~~less favorable alternative investment ~~income due~~performance compared to the prior year and lower new money rates reflecting the prolonged lower interest rate environment. As a result of purchase accounting, the book value of our investment portfolio was marked up to fair value resulting in an adverse impact to our net investment income.

Benefits and Expenses

Benefits and expenses ~~increased~~decreased by ~~$4.4~~$1.7 billion to $2.5 billion in 2022 from $4.3 billion in ~~2021 from $(167) million in 2020.~~2021. The ~~increase~~decrease was driven by ~~an increase~~a decrease in future policy and other policy benefits, ~~an increase~~a decrease in interest sensitive contract benefits ~~an increase~~and a decrease in DAC, DSI and VOBA amortization, ~~and~~partially offset by an increase in policy and other operating expenses.

Future policy and other policy benefits ~~increased~~decreased by $~~2.0~~1.2 billion to $2.1 billion in 2022 from $3.3 billion in 2021, ~~from $1.4 billion in 2020,~~ primarily attributable to ~~higher PRT~~lower pension group annuity obligations, ~~as well as an increase~~a decrease in the change in rider ~~reserves.~~reserves and higher negative VOBA amortization resulting from purchase accounting. The favorable change in rider reserves of ~~$116~~$284 million was primarily driven by athe unfavorable ~~favorable net~~ change in reinsurance assets and net FIA derivatives ~~as well as growth in the block of business~~.

Interest sensitive contract benefits ~~increased~~decreased by ~~$1.7 billion~~$435 million to $(41) million in 2022 from $394 million in 2021 ~~from $(1.3) billion~~ driven by a decrease in ~~2020, driven by an increase~~the change in FIA fair value embedded derivatives of ~~$1.6 billion~~$391 million and higher negative VOBA amortization resulting from purchase accounting, partially offset by growth in the block of ~~business including the Jackson reinsurance transaction.~~business. As a result of purchase accounting, we marked our reserve liabilities to fair value resulting in a favorable impact to our interest sensitive contract benefits. The change in the FIA fair value embedded derivatives was primarily due to the performance of the equity indices to which our FIA policies are linked, primarily the S&P 500 index, which experienced a decrease of 4.9% in 2022, compared to an increase of 5.8% in 2021, ~~compared to a decrease of 20.0% in 2020,~~ partially offset by ~~a favorable~~the change in discount rates ~~used in our embedded derivative calculations as~~and economics impacting the ~~current year experienced a larger increase in discount rates compared to~~ ~~2020~~.policyholder cash flow projections.

DAC, DSI and VOBA amortization ~~increased~~decreased by $123 million ~~by $651~~to $125 million toin 2022 from $248 million in 2021 ~~from $(403) million in 2020~~, primarily due to the ~~favorable changes in investment related gains~~impacts from purchase accounting reflecting the removal of historical DAC and ~~losses as~~DSI, partially offset by the establishment of new a ~~result of a favorable change in fair value of reinsurance assets, net FIA derivatives, and equity markets as well as growth in the block of business.~~VOBA asset.

Policy and other operating expenses increased by ~~$95~~$42 million to ~~$283~~$335 million in 2022 from $293 million in 2021, ~~from $188 million in 2020,~~ primarily driven by ~~the significant~~ significant growth in the business and the ~~accrual~~amortization of newly established intangible assets as a result of the merger, partially offset by the costs ~~associated with~~incurred in the ~~previously announced~~prior year related to our merger with Apollo.

Taxes

Income tax expense (benefit) ~~increased~~decreased by ~~$228~~$469 million to $62(407) million in ~~2021~~2022 from ~~$(166)~~$62 million in ~~2020.~~2021. The income tax ~~expense~~benefit for ~~2021~~2022 was calculated by applying the 21% US statutory rate to the income of our US and foreign subsidiaries (net of noncontrolling interests), and was primarily driven by ~~higher income before tax due to an increase in net investment income and a favorable change~~the unfavorable changes in fair value of reinsurance ~~assets.~~assets and mortgage loans.

Our effective tax rate in the first quarter of ~~2021~~2022 was a benefit of 15% and an expense of 45% ~~and 12%~~ in ~~2020. Our~~2021. The effective tax ~~rates may vary period~~rate in 2022 was due to ~~period depending upon~~ the ~~relationship~~change in fair value of ~~income and loss~~reinsurance assets subject to tax compared to ~~consolidated income and loss before income taxes. The~~a significantly higher effective tax rate in 2021 ~~increased significantly~~which was primarily due to the change in fair value of reinsurance assets within our reinsurance investment portfolios that were not subject to tax.

Noncontrolling Interests

Noncontrolling interests decreased by $346 million to $(883) million in 2022 from $(537) million in 2021, primarily due to the unfavorable change in fair value of reinsurance assets as a result of more unrealized losses within reinsurance investment portfolios ~~that are not subject to tax.~~.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

~~Noncontrolling Interest~~

~~Noncontrolling interest decreased by $368 million to $(537) million in 2021 from $(169) million in 2020, driven by the net loss related to noncontrolling interests in ACRA.~~ ~~The net loss attributable to noncontrolling interests was primarily due to an unfavorable change in fair value~~Summary of ~~reinsurance assets as a result of more~~ ~~unrealized losses within reinsurance investment portfolios, magnified by the Jackson reinsurance transaction in the second quarter of 2020.~~

~~Preferred Stock Dividends~~

~~Preferred stock dividends increased by $18 million to $36 million in 2021 from $18 million in 2020, driven by dividends paid on the preferred stock issued in 2020.~~

~~Results of Operations by Segment~~Non-GAAP Earnings

The following summarizes our spread related earnings:~~adjusted operating income (loss) available to common shareholders~~ ~~by segment:~~

Three months ended March 31,
(In millions, except per share data and percentages) 2021 2020
Net income (loss) available to AHL common shareholders $ 578 $ (1,065)
Non-operating adjustments
Realized gains on sale of AFS securities 19 12
Unrealized, allowances and other investment gains (losses) 100 (369)
Change in fair value of reinsurance assets (865) (1,277)
Offsets to investment gains (losses) 141 495
Investment losses, net of offsets (605) (1,139)
Change in fair values of derivatives and embedded derivatives – FIAs, net of offsets 488 65
Integration, restructuring and other non-operating expenses (45) (4)
Stock compensation expense — (10)
Income tax (expense) benefit – non-operating (8) 131
Less: Total non-operating adjustments (170) (957)
Adjusted operating income (loss) available to common shareholders $ 748 $ (108)
Adjusted operating income (loss) available to common shareholders by segment
Retirement Services $ 784 $ 204
Corporate and Other (36) (312)
Adjusted operating income (loss) available to common shareholders $ 748 $ (108)
Adjusted operating earnings (loss) per common share1
$ 3.80 $ (0.60)
Adjusted operating ROE 25.3 % (4.4) %
Retirement Services adjusted operating ROE 37.8 % 10.6 %
1 Represents Class A common shares outstanding or weighted average common shares outstanding assuming conversion or settlement of all outstanding items that are able to be converted to or settled in Class A common shares, including for the three months ended March 31, 2020, the impacts of Class B common shares and Class M common shares and for both periods any other stock-based awards, but excluding any awards for which the exercise or conversion price exceeds the market value of our Class A common shares on the applicable measurement date.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Fixed income and other investment income, net	$	1,207	$	1,286
Alternative investment income	448		712
Net investment earnings	1,655		1,998
Strategic capital management fees	12		9
Cost of funds	(826)		(1,010)
Net investment spread	841		997
Other operating expenses	(109)		(90)
Interest and other financing costs	(62)		(62)
Spread related earnings	$	670	$	845

Three Months Ended March 31, ~~2021~~2022 Compared to the Three Months Ended March 31, ~~2020~~2021

~~Adjusted Operating Income (Loss) Available to Common Shareholders~~Spread Related Earnings

~~Adjusted operating income (loss) available to common shareholders increased~~SRE decreased by ~~$856~~$175 million, or ~~793%~~20.7%, to ~~$748~~$670 million in ~~2021~~2022 from ~~$(108)~~$845 million in ~~2020. Adjusted operating ROE was 25.3%, up from (4.4)%~~2021. The decrease in 2020. Adjusted operating income available to common shareholders excluding the investment in Apollo, net of tax increased by $636 million, or 485%, to $767 million in 2021 from $131 million in 2020. The increase in adjusted operating income (loss) available to common shareholdersSRE was driven by ~~an increase in our Retirement Services segment of $580 million and an increase in our Corporate and Other segment of $276 million.~~

~~Our consolidated~~lower net investment ~~earned rate was 5.27% in 2021, an increase from 3.87% in 2020,~~ ~~primarily due to the favorable performance in our alternative investment portfolio,~~earnings, partially offset by lower ~~returns in our fixed and other~~cost of funds. Net investment ~~portfolio. Alternative net investment earned rate was 38.51% in 2021, an increase from (2.58)% in 2020,~~earnings decreased $343 million primarily driven by ~~higher Venerable~~ ~~returns, unfavorable~~less favorable alternative investment performance ~~in the~~compared to prior year, ~~reflecting the economic downturn from the spread~~unfavorable purchase accounting adjustments (a decrease of ~~COVID-19, the sale of AmeriHome, the increase in the market value of our equity position in OneMain~~approximately 50 basis points or $165 million) and ~~higher MidCap returns. Fixed and other net investment earned rate was 3.57% in 2021, a decrease from 4.20% in 2020, driven by lower floating rate investment income,~~ lower new money ~~rate~~srates reflecting the prolonged lower interest rate environment, l~~ower returns on the assets from the Jackson reinsurance transaction and higher levels of cash during the current quarter.~~

~~Non-operating Adjustments~~

Non-operating adjustments increased by $787 million to $(170) million in 2021 from $(957) million in 2020. The increase in non-operating adjustments was primarily driven by the change in fair value of reinsurance assets, the change in net FIA derivatives, and a change in provision for credit losses, partially offset by higher non-operating expenses related to the accrual of costs associated with the previously announced merger with Apollo. The change in fair value of reinsurance assets was favorable by $412 million primarily due to significant credit spread widening in the prior year, partially offset by the increase in US Treasury rates in the current quarter compared to a decrease in the prior year. Net FIA derivatives were favorable by $423 million primarily due to the favorable performance of the equity indices to which our FIA policies are linked, primarily the S&P 500 index, and a more favorable change in discount rates used in our embedded derivative calculations. The favorable change in provision for credit losses of $277 million (net of noncontrolling interests) was primarily due to the unfavorable prior year impacts reflecting the economic downturn from the spread of COVID-19.

~~Retirement Services~~

Retirement Services is comprised of our United States and Bermuda operations which issue and reinsure retirement savings products and institutional products. Retirement Services has retail operations, which provide annuity retirement solutions to our policyholders. Retirement Services also has reinsurance operations, which reinsure FIAs, MYGAs, traditional one year guarantee fixed deferred annuities, immediate annuities and institutional products from our reinsurance partners. In addition, our institutional operations, including funding agreements and PRT obligations, are included in our Retirement Services segment.

~~Three Months Ended March 31, 2021 Compared to the Three Months Ended March 31, 2020~~

~~Adjusted Operating Income Available to Common Shareholders~~

Adjusted operating income available to common shareholders increased by $580 million, or 284%, to $784 million in 2021, from $204 million in 2020. Adjusted operating ROE was 37.8%, up from 10.6% in the prior period. The increase in adjusted operating income available to common shareholders was driven b~~y higher net investment earnings, partially offset by higher cost of funds and higher operating tax expense related to higher taxable earnings~~ ~~in 2021. Net investment earnings increased $751 million primarily driven by favorable alternative investment performance, $32.1~~$29.8 billion of growth in our average net invested ~~assets from prior year attributed to a strong growth in deposits and the Jackson reinsurance transaction, partially offset by lower floating rate income and lower new money rates reflecting the prolonged lower interest rate environment.~~assets. Cost of funds were ~~$128~~$184 million ~~higher~~lower primarily ~~related to an increase in cost~~driven by favorable purchase accounting adjustments (a decrease of ~~crediting as a result of~~ approximately 52 basis points or $192 million), lower rates on recent funding agreement issuances and pension group annuity transactions and favorable rate actions on deferred annuities, partially offset by growth in the block of business ~~including the Jackson reinsurance transaction. Other liability costs were consistent with prior year as higher gross profits were entirely offset by the favorable~~and an unfavorable change in actuarial experience and market impacts.

Net Investment Spread


		Three months ended March 31,					Successor		Predecessor
		2021		2020			Three months ended March 31, 2022		Three months ended March 31, 2021
Fixed income and other investment earned rate						Fixed income and other investment earned rate	2.83	%	3.57	%
Alternative investment earned rate						Alternative investment earned rate	16.61	%	38.51	%
Net investment earned rate	Net investment earned rate	5.18	%	4.04	%	Net investment earned rate	3.65	%	5.27	%
Strategic capital management fees						Strategic capital management fees	0.03	%	0.02	%
Cost of funds	Cost of funds	2.70	%	3.01	%	Cost of funds	1.82	%	2.66	%
Net investment spread	Net investment spread	2.48	%	1.03	%	Net investment spread	1.86	%	2.63	%

Net investment spread decreased 77 basis points to 1.86% in 2022 from 2.63% in 2021. Our net investment earned rate was 3.65% in 2022, a decrease from 5.27% in 2021, primarily due to less favorable performance in our alternative investment portfolio compared to prior year as well as lower returns in our fixed and other investment portfolio. Alternative net investment earned rate was 16.61% in 2022, a decrease from 38.51% in 2021, primarily driven by significant outperformance in the prior year, partially offset by strong real estate returns and a higher Athora return in the current period. Prior year outperformance was mainly due to a higher AmeriHome return related to a valuation increase resulting from the eventual sale in the second quarter of 2021, higher Venerable returns attributed to a valuation increase driven by a reinsurance agreement with Equitable Financial Life Insurance Company, favorable credit returns related to CLO equities and a MidCap valuation increase related to a capital raise price at a premium. Fixed and other net investment earned rate was 2.83% in 2022, a decrease from 3.57% in 2021, primarily driven by unfavorable purchase accounting impacts andlower new money rates reflecting the prolonged lower interest rate environment.

Cost of funds decreased by 84 basis points to 1.82% in 2022, from 2.66% in 2021, primarily driven by favorable purchase accounting impacts and lower cost of crediting rates on recent funding agreement issuances and pension group annuity transactions as well as favorable rate actions on deferred annuities.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Adjustments to Net ~~investment spread, which measures the spread on our investment performance less the total cost of our liabilities, increased 145 basis points~~Income (Loss) Available to ~~2.48% in 2021 from 1.03% in 2020. Net investment earned rate increased 114 basis points~~ ~~due to a a higher alternative net investment earned rate, partially offset by the decline in the fixed and other net investment earned rate.The alternative net investments earned rate increased in 2021 to 42.33% from 0.56% in 2020, driven by higher Venerable returns~~ primarily due to a valuation increase related to the announced reinsurance agreement with Equitable Financial Life Insurance Company, unfavorable performance in the prior year reflecting the economic downturn from the spread of COVID-19, the sale of AmeriHome and higher MidCap returns as a result of a valuation increase in the quarter relating to a capital raise price at a premium compared to a decrease in valuation in the prior year. The fixed and other net investment earned rate decreased in 2021 to 3.57% from 4.20% in 2020, primarily attributed to lower floating rate investment income, lower new money rate~~s reflecting the prolonged lower interest rate environment, lower returns on the assets from the Jackson reinsurance transaction and higher levels of cash during the current quarter.~~Athene Holding Ltd. Common Shareholder

~~Cost~~Adjustments to net income (loss) available to AHL common shareholder are comprised of ~~funds decreased by 31 basis points~~investment gains (losses), net of offsets, change in fair value of derivatives and embedded derivatives - FIAs, net of offsets, integration, restructuring and other non-operating expenses and stock compensation expense. The decrease in adjustments to ~~2.70% in~~ net income (loss) available to AHL common shareholder compared to 2021 ~~from 3.01% in 2020,~~was primarily driven by ~~lower other liability costs~~the change in investment related gains and ~~cost of crediting~~. ~~Other liability costs decreased 26 basis points~~losses and the net change in FIA derivatives. The change in investment related gains and losses was primarily ~~driven by a~~ ~~favorable rider reserve and DAC amortization related~~due to the change in ~~actuarial experience~~fair value of reinsurance assets, the change in fair value of mortgage loan assets, the change to the provision for credit losses and ~~market impacts, partially offset by higher gross profits, as well as favorable other liability costs from~~realized losses on the ~~Jackson~~sale of AFS securities related to unfavorable economics in the current period. The change in fair value of reinsurance ~~transaction. Cost of crediting decreased 5 basis points~~assets was unfavorable $792 million primarily ~~driven by a decrease in floating rate funding agreements, lower rates on recent funding agreement issuances and PRT transactions and slightly favorable deferred annuity rates~~ due to ~~favorable rate actions~~credit spread widening compared to credit spread tightening in the prior year. The unfavorable change in the fair value of mortgage loans was primarily due to credit spread widening and ~~lower option costs.~~

~~Investment Margin on Deferred Annuities~~

Three months ended March 31,
2021 2020
Net investment earned rate 5.18 % 4.04 %
Cost of crediting on deferred annuities 1.89 % 1.91 %
Investment margin on deferred annuities 3.29 % 2.13 %

Investment margin on deferred annuities, which measures our investment performance less the cost of crediting for our deferred annuities, increased by 116 basis points to 3.29% in 2021, from 2.13% in 2020, driven by an increase in ~~the net investment earned rate and a decrease~~US Treasury rates in the ~~cost~~current year. Additionally, at the beginning of ~~crediting on deferred annuities from~~ the ~~prior~~ year, ~~related to favorable rate actions~~ and ~~lower~~in conjunction with our merger with Apollo, we elected the fair value option ~~costs, as we continue to focus on pricing discipline, managing interest rates credited to policyholders and managing the cost of options to fund the annual index credits~~ on our ~~FIA products.~~

~~Corporate and Other~~

Corporate and Other includes certain other operations related to our corporate activities such as corporate allocated expenses, merger and acquisition costs, debt costs, preferred stock dividends, certain integration and restructuring costs, certain stock-based compensation and intersegment eliminations. In addition, we also hold capitalmortgage loans, while in ~~excess~~prior periods they were stated at unpaid principal, net of an allowance for credit losses. The unfavorable change in the ~~level~~provision for credit losses of ~~capital we hold in Retirement Services to support our operating strategy.~~

~~Adjusted Operating Loss Available to Common Shareholders~~

~~Adjusted operating loss available to common shareholders decreased by $276~~$176 million ~~to $36 million from $312 million for the three months ended March 31, 2021 and 2020, respectively. The decrease in adjusted operating loss available to common shareholders~~(net of noncontrolling interests) was primarily driven by ~~a favorable change of $220 million on our investment in Apollo, net of tax,~~unfavorable economics, including impacts from the conflict between Russia and Ukraine as well as ~~favorable alternative investment~~exposure to China’s real estate market. ~~performance from an increase in the market value of our equity position in OneMain and higher credit fund income~~Net FIA derivatives were unfavorable $569 million primarily due to the ~~decline~~change in ~~CLO equities~~discount rates and economics impacting the policyholder cash flow projections, as well as an unfavorable performance of the equity indices to which our FIA policies are linked, primarily the S&P 500 index, which experienced a decrease of 4.9% in ~~the prior year related~~2022, compared to ~~the unfavorable~~ an increase of 5.8% in 2021~~economic conditions. These items were partially offset by higher preferred stock dividends and higher interest expense due to 2020 issuances.~~.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~Consolidated~~ Investment Portfolio

We had consolidated investments, including related parties and VIEs, of ~~$186.0~~$214.4 billion and ~~$182.4~~$212.5 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. Our investment strategy seeks to achieve sustainable risk-adjusted returns through the disciplined management of our investment portfolio against our long-duration liabilities, coupled with the diversification of risk. The investment strategies utilized by our investment manager focuses primarily on a buy and hold asset allocation strategy that may be adjusted periodically in response to changing market conditions and the nature of our liability profile. Substantially all of our investment portfolio is managed by Apollo, which provides a full suite of services, including direct investment management, asset allocation, mergers and acquisition asset diligence, and certain operational support services, including investment compliance, tax, legal and risk management support. Our relationship with Apollo allows us to take advantage of our generally illiquid liability profile by identifying investment opportunities with an emphasis on earning incremental yield by taking liquidity and complexity risk rather than assuming solely credit risk. Apollo’s investment team and credit portfolio managers utilize their deep experience to assist us in sourcing and underwriting complex asset classes. Apollo has selected a diverse array of corporate bonds and more structured, but highly rated asset classes. We also maintain holdings in floating rate and less rate-sensitive instruments, including CLOs, non-agency RMBS and various types of structured products. In addition to our fixed income portfolio, we opportunistically allocate approximately 5%-6% of our portfolio to alternative investments where we primarily focus on fixed income-like, cash flow-based investments.

Net investment income on the condensed consolidated statements of income (loss) included management fees under our investment management arrangements with ~~Apollo,~~Apollo. We incurred management fees, inclusive of base and sub-allocation fees, of ~~$144~~$186 million and ~~$128~~$144 million, respectively, during the three months ended March 31, ~~2021~~2022 and ~~2020.~~2021. The total amounts we ~~have~~ incurred, directly and indirectly, from Apollo and its affiliates were $299 million, and $242 million, respectively, for the three months ended March 31, 2022 and 2021. Such amounts include (1) fees associated with investment management agreements, which exclude sub-advisory fees paid to ISG for the benefit of third-party sub-advisors but include fees charged by Apollo to third-party cedants with respect to assets supporting obligations reinsured to us (such fees directly reduce the settlement payments that we receive from the third-party cedant and, as ~~follows:~~such, we, as beneficiaries of the services performed, indirectly pay such fees), (2) fees associated with fund investments, which include total management fees, carried interest (including unrealized but accrued carried interest fees) and other fees on Apollo-managed funds and our other alternative investments and (3) other fees resulting from shared services, advisory and other agreements with Apollo or its affiliates; net of fees incurred directly and indirectly attributable to ACRA, based upon the economic ownership of the noncontrolling interest in ACRA.

Three months ended March 31,
(In millions) 2021 2020
Investment management agreements1,2
$ 195 $ 152
Fund investments3
61 (18)
Other4
11 9
Gross fees 267 143
ACRA noncontrolling interest5
25 5
Net fees $ 242 $ 138
1 Excludes $1 million and $0 million of sub-advisory fees paid to ISG for the benefit of third-party sub-advisors for the three months ended March 31, 2021 and 2020, respectively.
2 Includes $55 million and $24 million of fees charged by Apollo to third-party cedants for the three months ended March 31, 2021 and 2020, 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.

Our net invested assets, which are those that directly back our net reserve liabilities as well as surplus assets, were ~~$155.7~~$184.3 billion and ~~$150.2~~$175.3 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. Apollo’s knowledge of our funding structure and regulatory requirements allows it to design customized strategies and investments for our portfolio. Apollo manages our asset portfolio within the limits and constraints set forth in our Investment and Credit Risk Policy. Under this policy, we set limits on investments in our portfolio by asset class, such as corporate bonds, emerging markets securities, municipal bonds, non-agency RMBS, CMBS, CLOs, commercial mortgage whole loans and mezzanine loans and investment funds. We also set credit risk limits for exposure to a single issuer that vary based on the issuer’s ratings. In addition, our investment portfolio is constrained by its scenario-based capital ratio limit and its stressed liquidity limit.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following table presents the carrying values of our total investments including related party and ~~investments in related parties:~~VIEs:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total		(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
AFS securities, at fair value	AFS securities, at fair value	$	85,524	45.9	%	$	82,853	45.4	%	AFS securities, at fair value	$	96,899	45.2	%	$	100,159	47.1	%
Trading securities, at fair value	Trading securities, at fair value	1,979		1.1	%	2,093		1.2	%	Trading securities, at fair value	1,852		0.9	%	2,056		1.0	%
Equity securities	Equity securities	524		0.3	%	532		0.3	%	Equity securities	1,154		0.5	%	1,170		0.5	%
Mortgage loans, net of allowances		16,671		8.9	%	15,264		8.4	%
Mortgage loans										Mortgage loans	23,696		11.1	%	20,748		9.8	%
Investment funds	Investment funds	966		0.5	%	803		0.4	%	Investment funds	1,243		0.6	%	1,178		0.6	%
Policy loans	Policy loans	356		0.2	%	369		0.2	%	Policy loans	296		0.1	%	312		0.1	%
Funds withheld at interest	Funds withheld at interest	46,024		24.7	%	48,612		26.7	%	Funds withheld at interest	41,173		19.2	%	43,907		20.7	%
Derivative assets	Derivative assets	3,677		2.0	%	3,523		1.9	%	Derivative assets	3,668		1.7	%	4,387		2.1	%
Short-term investments	Short-term investments	125		0.1	%	222		0.1	%	Short-term investments	175		0.1	%	139		0.1	%
Other investments, net of allowances		1,722		0.9	%	572		0.3	%
Other investments										Other investments	1,214		0.6	%	1,473		0.7	%
Total investments	Total investments	157,568		84.6	%	154,843		84.9	%	Total investments	171,370		80.0	%	175,529		82.7	%
Investments in related parties	Investments in related parties									Investments in related parties
AFS securities, at fair value	AFS securities, at fair value	6,905		3.7	%	6,520		3.6	%	AFS securities, at fair value	8,324		3.9	%	10,402		4.9	%
Trading securities, at fair value	Trading securities, at fair value	1,710		0.9	%	1,529		0.8	%	Trading securities, at fair value	262		0.1	%	1,781		0.8	%
Equity securities, at fair value	Equity securities, at fair value	114		0.1	%	72		—	%	Equity securities, at fair value	166		0.1	%	284		0.1	%
Mortgage loans, net of allowances		714		0.4	%	674		0.4	%
Mortgage loans										Mortgage loans	1,456		0.7	%	1,360		0.6	%
Investment funds	Investment funds	5,899		3.2	%	5,284		2.9	%	Investment funds	3,088		1.4	%	7,391		3.5	%
Funds withheld at interest	Funds withheld at interest	12,572		6.8	%	13,030		7.1	%	Funds withheld at interest	11,431		5.3	%	12,207		5.7	%

Other investments, net of allowances		469		0.3	%	469		0.3	%
Short-term investments, at fair value										Short-term investments, at fair value	53		—	%	—		—	%
Other investments										Other investments	255		0.1	%	222		0.1	%
Total related party investments	Total related party investments	28,383		15.4	%	27,578		15.1	%	Total related party investments	25,035		11.6	%	33,647		15.7	%
Total investments including related party	Total investments including related party	$	185,951	100.0	%	$	182,421	100.0	%	Total investments including related party	196,405		91.6	%	209,176		98.4	%
Investments owned by consolidated VIEs										Investments owned by consolidated VIEs
Mortgage loans										Mortgage loans	1,880		0.9	%	2,040		1.0	%
Investment funds										Investment funds	13,568		6.3	%	1,297		0.6	%
Other investments										Other investments	2,567		1.2	%	—		—	%
Total investments owned by consolidated VIEs										Total investments owned by consolidated VIEs	18,015		8.4	%	3,337		1.6	%
Total investments including related party and VIEs										Total investments including related party and VIEs	$	214,420	100.0	%	$	212,513	100.0	%

The increase in our total investments, including related party and VIEs, as of March 31, ~~2021~~2022 of ~~$3.5~~$1.9 billion compared to December 31, ~~2020~~2021 was primarily driven by growth from gross organic ~~deposits~~inflows of ~~$8.2~~$11.6 billion in excess of gross liability outflows of ~~$3.5~~$4.1 billion ~~the deployment of higher cash balances in the prior year and~~as well as an increase in investments from the ~~market valuation~~consolidation of ~~several investment funds. These increases were~~additional VIEs in conjunction with our merger with Apollo. This was partially offset by unrealized losses on AFS securities in the three months ended March 31, ~~2021~~2022 of ~~$3.4~~$6.7 billion, ~~and~~unrealized losses within our funds withheld ~~at interest portfolios, both~~portfolio and a decrease in the change in fair value of ~~which were~~mortgage loan assets of $704 million all attributed to an increase in US Treasury rates ~~partially offset by the tightening of~~and credit ~~spreads.~~spread widening.

Our investment portfolio consists largely of high quality fixed maturity securities, loans and short-term investments, as well as additional opportunistic holdings in investment funds and other instruments, including equity holdings. Fixed maturity securities and loans include publicly issued corporate bonds, government and other sovereign bonds, privately placed corporate bonds and loans, mortgage loans, CMBS, RMBS, CLOs and ABS.

While the substantial majority of our investment portfolio has been allocated to corporate bonds and structured credit products, a key component of our investment strategy is the opportunistic acquisition of investment funds with attractive risk and return profiles. Our investment fund portfolio consists of funds that employ various strategies including real estate and other real asset funds, credit funds and private equity funds. We have a strong preference for assets that have some or all of the following characteristics, among others: (1) investments that constitute a direct investment or an investment in a fund with a high degree of co-investment; (2) investments with credit- or debt-like characteristics (for example, a stipulated maturity and par value), or alternatively, investments with reduced volatility when compared to pure equity; or (3) investments that we believe have less downside risk.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

We hold derivatives for economic hedging purposes to reduce our exposure to the cash flow variability of assets and liabilities, equity market risk, interest rate risk, credit risk and foreign exchange risk. Our primary use of derivative instruments relates to providing the income needed to fund the annual indexed credits on our FIA products. We primarily use fixed indexed options to economically hedge ~~FIA~~index annuity products that guarantee the return of principal to the policyholder and credit interest based on a percentage of the gain in a specific market index.

With respect to derivative positions, we transact with highly rated counterparties, and expect the counterparties to fulfill their obligations under the contracts. We generally use industry standard agreements and annexes with bilateral collateral provisions to further reduce counterparty credit exposure.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Related Party Investments

We hold investments in related party assets primarily comprised of AFS securities, trading securities, investment funds and funds withheld at interest reinsurance receivables which are primarily a result of investments over which Apollo can exercise influence. As of March 31, ~~2021,~~2022, these investments totaled ~~$28.4~~$28.1 billion, or ~~13.8%~~11.3% of our total assets. Related party AFS and trading securities primarily consist of structured securities for which Apollo is the manager of the underlying securitization vehicle and securities issued by Apollo direct origination platforms including Wheels/Donlen, PK AirFinance ~~MidCap~~ and ~~until its sale in April 2021, AmeriHome.~~MidCap. In each case, the underlying collateral, borrower or other credit party is generally unaffiliated with us. Related party investment funds include strategic investments in direct origination platforms and insurance companies and investments in Apollo managed ~~funds and our investment in Apollo.~~funds. The funds withheld at interest related party amounts are primarily comprised of the Venerable reinsurance portfolios, which are considered related party even though a significant majority of the underlying assets within the investment portfolios do not have a related party affiliation.

A summary of our related party investments reflecting the nature of the affiliation is as follows:

March 31, 2021 December 31, 2020
(In millions, except percentages) Carrying Value Percent of Total Assets Carrying Value Percent of Total Assets
Venerable funds withheld reinsurance portfolio $ 12,572 6.1 % $ 13,030 6.4 %
Securitizations of unaffiliated assets where Apollo is manager 8,747 4.3 % 8,156 4.0 %
Investments in Apollo funds 2,378 1.2 % 2,071 1.0 %
Strategic investments in Apollo direct origination platforms 1,868 0.9 % 1,664 0.8 %
Strategic investment in Apollo 1,281 0.6 % 1,324 0.7 %
Strategic investments in insurance companies 1,497 0.7 % 1,314 0.6 %
Other 40 — % 19 — %
Total related party investments $ 28,383 13.8 % $ 27,578 13.5 %


	Successor				Predecessor
	March 31, 2022				December 31, 2021
(In millions, except percentages)	Carrying Value		Percent of Total Assets		Carrying Value		Percent of Total Assets
Venerable funds withheld reinsurance portfolio	$	11,431	4.6	%	$	12,207	5.2	%
Securitizations of unaffiliated assets where Apollo is manager	8,932		3.6	%	9,495		4.0	%
Investments in Apollo funds	1,227		0.5	%	3,785		1.6	%
Strategic investments in Apollo direct origination platforms	4,689		1.9	%	5,704		2.4	%
Strategic investment in Apollo	—		—	%	2,112		0.9	%
Strategic investments in insurance companies	1,820		0.7	%	1,626		0.7	%
Other	16		—	%	17		—	%
Total related party investments	$	28,115	11.3	%	$	34,946	14.8	%

As of March 31, ~~2021,~~2022, an $11.4 billion funds withheld reinsurance asset with Venerable was included in our GAAP related party assets. Venerable is a related party due to our minority equity investment in its holding company’s parent, VA Capital. For GAAP, each funds withheld and modified coinsurance reinsurance portfolio is treated as one asset rather than reporting the ~~majority~~underlying investments in the portfolio. For our non-GAAP measure of net invested assets, we provide visibility into the underlying assets within these reinsurance portfolios. The below table looks through to the underlying assets within our reinsurance portfolios to determine the related party ~~investments,~~status. As of March 31, 2022, $25.1 billion, or ~~10.4%~~13.6% of our total net invested assets were related ~~to the Venerable reinsurance portfolio and~~party investments. Of these, $12.7 billion, or 6.9% of our net invested assets were structured securities for which Apollo isor an affiliated direct origination platform was the manager of the underlying securitization vehicle, but the underlying collateral, borrower or other credit party is generally unaffiliated with us. ~~Approximately 3.4% of total assets were comprised of strategic~~Related party investments in strategic affiliated companies or Apollo ~~funds. The~~funds represented $12.3 billion, or 6.7% of our net invested assets.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

A summary of our related party net invested assets ~~which look through to~~reflecting the ~~underlying assets~~nature of the ~~funds withheld and modco reinsurance portfolios’ investments, were $21.4 billion, or 13.7% of our total net invested assets~~affiliation is as of March 31, 2021. Approximately 8.4% of net invested assets were comprised of securitizations where Apollo was the manager of the securitization vehicle but the underlying collateral, borrower or other credit party is unaffiliated with us, while 5.3% was comprised of strategic investments in affiliated companies or Apollo funds.follows:


	Successor				Predecessor
	March 31, 2022				December 31, 20211
(In millions, except percentages)	Net Invested Asset Value		Percent of Net Invested Assets		Net Invested Asset Value		Percent of Net Invested Assets
Securitizations of unaffiliated assets where Apollo is manager	$	12,749	6.9	%	$	13,736	7.8	%
Investments in Apollo funds	4,480		2.4	%	3,802		2.2	%
Strategic investments in Apollo direct origination platforms	6,033		3.3	%	6,074		3.5	%
Strategic investment in Apollo	—		—	%	2,112		1.2	%
Strategic investments in insurance companies	1,820		1.0	%	1,626		0.9	%
Other	16		—	%	17		—	%
Total related party investments	$	25,098	13.6	%	$	27,367	15.6	%

1 Prior year related party net invested asset values have been revised.

AFS Securities

We invest in AFS securities ~~with the intent to hold investments to maturity. In selecting investments we~~and attempt to source investments that match our future cash flow needs. However, we may sell any of our investments in advance of maturity to timely satisfy our liabilities as they become due or in order to respond to a change in the credit profile or other characteristics of the particular investment.

AFS securities are carried at fair value, less allowances for expected credit losses, on our condensed consolidated balance sheets. Changes in fair value of our AFS securities, net of related DAC ~~DSI~~ and ~~VOBA~~DSI amortization and the change in rider reserves, are charged or credited to other comprehensive income, net of tax. All changes in the allowance for expected credit losses, whether due to passage of time, change in expected cash flows, or change in fair value are recorded through credit loss expense within investment related gains (losses) on the condensed consolidated statements of income (loss).

The distribution of our AFS securities, including related parties, by type is as follows:


	Successor
	March 31, 2022
(In millions, except percentages)	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Fair Value		Percent of Total
AFS securities
US government and agencies	$	3,123	$	—	$	1	$	(163)	$	2,961	2.8	%
US state, municipal and political subdivisions	1,209		—		—		(117)		1,092		1.0	%
Foreign governments	1,173		(66)		11		(107)		1,011		1.0	%
Corporate	65,935		(55)		34		(5,675)		60,239		57.2	%
CLO	14,282		(18)		3		(239)		14,028		13.3	%
ABS	9,572		(11)		4		(281)		9,284		8.8	%
CMBS	2,883		(6)		14		(144)		2,747		2.6	%
RMBS	6,045		(312)		8		(204)		5,537		5.3	%
Total AFS securities	104,222		(468)		75		(6,930)		96,899		92.0	%
AFS securities – related party
Corporate	948		—		10		(26)		932		0.9	%
CLO	2,776		(3)		2		(43)		2,732		2.6	%
ABS	4,705		(17)		4		(32)		4,660		4.5	%
Total AFS securities – related party	8,429		(20)		16		(101)		8,324		8.0	%
Total AFS securities including related party	$	112,651	$	(488)	$	91	$	(7,031)	$	105,223	100.0	%

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

~~The distribution of our AFS securities, including related parties, by type is as follows:~~

March 31, 2021
(In millions, except percentages) Amortized Cost Allowance for Credit Losses Unrealized Gains Unrealized Losses Fair Value Percent of Total
AFS securities
US government and agencies $ 375 $ — $ 1 $ (25) $ 351 0.4 %
US state, municipal and political subdivisions 898 — 115 (7) 1,006 1.1 %
Foreign governments 373 — 18 (9) 382 0.4 %
Corporate 55,922 (8) 3,750 (816) 58,848 63.7 %
CLO 11,299 — 94 (121) 11,272 12.2 %
ABS 4,761 (11) 152 (70) 4,832 5.2 %
CMBS 2,218 (14) 66 (64) 2,206 2.4 %
RMBS 6,344 (78) 383 (22) 6,627 7.2 %
Total AFS securities 82,190 (111) 4,579 (1,134) 85,524 92.6 %
AFS securities – related party
Corporate 213 — 8 — 221 0.2 %
CLO 1,864 — 13 (8) 1,869 2.0 %
ABS 4,777 — 78 (40) 4,815 5.2 %
Total AFS securities – related party 6,854 — 99 (48) 6,905 7.4 %
Total AFS securities including related party $ 89,044 $ (111) $ 4,678 $ (1,182) $ 92,429 100.0 %


															Predecessor
		December 31, 2020													December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Fair Value		Percent of Total		(In millions, except percentages)	Amortized Cost		Allowance for Credit Losses		Unrealized Gains		Unrealized Losses		Fair Value		Percent of Total
AFS securities	AFS securities													AFS securities
US government and agencies	US government and agencies	$	349	$	—	$	3	$	(1)	$	351	0.4	%	US government and agencies	$	231	$	—	$	2	$	(10)	$	223	0.2	%
US state, municipal and political subdivisions	US state, municipal and political subdivisions	864		—		169		—		1,033		1.2	%	US state, municipal and political subdivisions	1,081		—		134		(2)		1,213		1.1	%
Foreign governments	Foreign governments	330		—		38		—		368		0.4	%	Foreign governments	1,110		—		35		(17)		1,128		1.0	%
Corporate	Corporate	51,934		(6)		6,368		(116)		58,180		65.1	%	Corporate	62,817		—		4,060		(651)		66,226		59.9	%
CLO	CLO	9,631		(1)		145		(206)		9,569		10.7	%	CLO	13,793		—		44		(185)		13,652		12.4	%
ABS	ABS	4,259		(6)		140		(123)		4,270		4.8	%	ABS	8,890		(17)		151		(35)		8,989		8.1	%
CMBS	CMBS	2,165		(10)		85		(71)		2,169		2.4	%	CMBS	2,764		(3)		56		(59)		2,758		2.5	%
RMBS	RMBS	6,568		(80)		447		(22)		6,913		7.7	%	RMBS	5,772		(103)		326		(25)		5,970		5.4	%
Total AFS securities	Total AFS securities	76,100		(103)		7,395		(539)		82,853		92.7	%	Total AFS securities	96,458		(123)		4,808		(984)		100,159		90.6	%
AFS securities – related party	AFS securities – related party													AFS securities – related party
Corporate	Corporate	213		—		2		—		215		0.2	%	Corporate	842		—		19		(2)		859		0.8	%
CLO	CLO	1,511		(1)		23		(13)		1,520		1.7	%	CLO	2,573		—		5		(29)		2,549		2.3	%
ABS	ABS	4,720		—		95		(30)		4,785		5.4	%	ABS	6,986		—		61		(53)		6,994		6.3	%
Total AFS securities – related party	Total AFS securities – related party	6,444		(1)		120		(43)		6,520		7.3	%	Total AFS securities – related party	10,401		—		85		(84)		10,402		9.4	%
Total AFS securities including related party	Total AFS securities including related party	$	82,544	$	(104)	$	7,515	$	(582)	$	89,373	100.0	%	Total AFS securities including related party	$	106,859	$	(123)	$	4,893	$	(1,068)	$	110,561	100.0	%

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

We maintain a diversified AFS portfolio of corporate fixed maturity securities across industries and issuers, and a diversified portfolio of structured securities. The composition of our AFS securities, including related parties, is as follows:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total		(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
Corporate	Corporate									Corporate
Industrial other1	Industrial other1	$	20,522	22.2	%	$	20,637	23.1	%	Industrial other1	$	21,527	20.5	%	$	23,882	21.6	%
Financial	Financial	18,578		20.1	%	17,759		19.9	%	Financial	19,623		18.7	%	21,537		19.5	%
Utilities	Utilities	13,351		14.4	%	13,471		15.1	%	Utilities	12,955		12.3	%	14,290		12.9	%
Communication	Communication	3,295		3.6	%	3,155		3.5	%	Communication	2,992		2.8	%	3,492		3.2	%
Transportation	Transportation	3,323		3.6	%	3,373		3.8	%	Transportation	4,074		3.9	%	3,884		3.5	%
Total corporate	Total corporate	59,069		63.9	%	58,395		65.4	%	Total corporate	61,171		58.2	%	67,085		60.7	%
Other government-related securities	Other government-related securities									Other government-related securities
US state, municipal and political subdivisions	US state, municipal and political subdivisions	1,006		1.1	%	1,033		1.2	%	US state, municipal and political subdivisions	1,092		1.0	%	1,213		1.1	%
Foreign governments	Foreign governments	382		0.4	%	368		0.4	%	Foreign governments	1,011		1.0	%	1,128		1.0	%
US government and agencies	US government and agencies	351		0.4	%	351		0.4	%	US government and agencies	2,961		2.8	%	223		0.2	%
Total non-structured securities	Total non-structured securities	60,808		65.8	%	60,147		67.4	%	Total non-structured securities	66,235		63.0	%	69,649		63.0	%
Structured securities	Structured securities									Structured securities
CLO	CLO	13,141		14.2	%	11,089		12.4	%	CLO	16,760		15.9	%	16,201		14.7	%
ABS	ABS	9,647		10.4	%	9,055		10.1	%	ABS	13,944		13.3	%	15,983		14.4	%
CMBS	CMBS	2,206		2.4	%	2,169		2.4	%	CMBS	2,747		2.6	%	2,758		2.5	%
RMBS	RMBS									RMBS
Agency	Agency	27		—	%	29		—	%	Agency	15		—	%	23		—	%
Non-agency	Non-agency	6,600		7.2	%	6,884		7.7	%	Non-agency	5,522		5.2	%	5,947		5.4	%
Total structured securities	Total structured securities	31,621		34.2	%	29,226		32.6	%	Total structured securities	38,988		37.0	%	40,912		37.0	%
Total AFS securities including related party	Total AFS securities including related party	$	92,429	100.0	%	$	89,373	100.0	%	Total AFS securities including related party	$	105,223	100.0	%	$	110,561	100.0	%

1 Includes securities within various industry segments including capital goods, basic industry, consumer cyclical, consumer non-cyclical, industrial and technology.	1 Includes securities within various industry segments including capital goods, basic industry, consumer cyclical, consumer non-cyclical, industrial and technology.									1 Includes securities within various industry segments including capital goods, basic industry, consumer cyclical, consumer non-cyclical, industrial and technology.

The fair value of our AFS securities, including related parties, was ~~$92.4~~$105.2 billion and ~~$89.4~~$110.6 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The ~~increase~~decrease was mainly driven ~~by strong growth from organic deposits in excess of liability outflows and the deployment of higher cash balances in the prior year, partially offset~~ by unrealized losses on AFS securities in the three months ended March 31, ~~2021~~2022 of ~~$3.4 billion. The decrease in unrealized gains and losses was~~$6.7 billion attributed to an increase in US Treasury rates and credit spread widening as well as the elimination of $2.0 billion of AFS securities issued by VIEs that we consolidated as of March 31, 2022 as a result of reassessing consolidation conclusions for VIEs after the merger. These decreases were partially offset by ~~a tightening~~growth from organic inflows in excess of ~~credit spreads.~~liability outflows.

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

The Securities Valuation Office (SVO) of the NAIC is responsible for the credit quality assessment and valuation of securities owned by state regulated insurance companies. Insurance companies report ownership of securities to the SVO when such securities are eligible for filing on the relevant schedule of the NAIC Financial Statement. The SVO conducts credit analysis on these securities for the purpose of assigning an NAIC designation and/or unit price. Generally, the process for assigning an NAIC designation varies based upon whether a security is considered “filing exempt” (General Designation Process). Subject to certain exceptions, a security is typically considered “filing exempt” if it has been rated by a Nationally Recognized Statistical Rating Organization (NRSRO). For securities that are not “filing exempt,” insurance companies assign temporary designations based upon a subjective evaluation of credit quality. The insurance company generally must then submit the securities to the SVO within 120 days of acquisition to receive an NAIC designation. For securities considered “filing exempt,” the SVO utilizes the NRSRO rating and assigns an NAIC designation based upon the following system:


NAIC designation1						NRSRO equivalent rating
1 A-G						AAA/AA/A
2 A-C						BBB
3 A-C						BB
4 A-C						B
5 A-C						CCC
6						CC and lower

AsTable of December 31, 2020, the NAIC had introduced 20 NAIC designation modifiers that will be applied to each NAIC designation to determine a security’s NAIC designation category (i.e., NAIC 1.A through 1.G, NAIC 2.A through 2.C, NAIC 3.A through 3.C, NAIC 4.A through 4.C, NAIC 5.A through 5.C and NAIC 6). The NAIC intends to eventually assign unique risk-based capital charges to each NAIC designation category; however, as of March 31, 2021, risk-based capital charges remained unchanged regardless of NAIC designation category assigned (i.e., all securities assigned to an NAIC 1 designation category will receive the same risk-based capital charge as of March 31, 2021).Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

An important exception to the General Designation Process occurs in the case of certain loan-backed and structured securities (LBaSS). The NRSRO ratings methodology is focused on the likelihood of recovery of all contractual payments, including principal at par, regardless of an investor’s carrying value. In effect, the NRSRO rating assumes that the holder is the original purchaser at par. In contrast, the SVO’s LBaSS methodology is focused on determining the risk associated with the recovery of the amortized cost of each security. Because the NAIC’s methodology explicitly considers amortized cost and the likelihood of recovery of such amount, we view the NAIC’s methodology as the most appropriate means of evaluating the credit quality of our fixed maturity portfolio since a large portion of our holdings were purchased and are carried at significant discounts to par.

The SVO has developed a designation process and provides instruction on modeled LBaSS. For modeled LBaSS, the process is specific to the non-agency RMBS and CMBS asset classes. In order to establish ratings at the individual security level, the SVO obtains loan-level analysis of each RMBS and CMBS using a selected vendor’s proprietary financial model. The SVO ensures that the vendor has extensive internal quality-control processes in place and the SVO conducts its own quality-control checks of the selected vendor’s valuation process. The SVO has retained the services of Blackrock, Inc. (Blackrock) to model non-agency RMBS and CMBS owned by US insurers for all years presented herein. Blackrock provides five prices (breakpoints), based on each US insurer’s statutory book value price, to utilize in determining the NAIC designation for each modeled LBaSS.

The NAIC designation determines the associated level of risk-based capital that an insurer is required to hold for all securities owned by the insurer. In general, under the modeled LBaSS process, the larger the discount to par value at the time of determination, the higher the NAIC designation the LBaSS will have.

A summary of our AFS securities, including related parties, by NAIC designation is as follows:


															Successor						Predecessor
		March 31, 2021						December 31, 2020							March 31, 2022						December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total		(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total
NAIC designation	NAIC designation													NAIC designation
1		$	40,955	$	42,552	46.0	%	$	38,171	$	41,532	46.5	%
2		41,753		43,557		47.1	%	38,231		41,704		46.7	%
1 A-G														1 A-G	$	56,099	$	52,696	50.1	%	$	49,639	$	51,514	46.6	%
2 A-C														2 A-C	50,955		47,270��		44.9	%	51,587		53,398		48.3	%
Total investment grade	Total investment grade	82,708		86,109		93.1	%	76,402		83,236		93.2	%	Total investment grade	107,054		99,966		95.0	%	101,226		104,912		94.9	%
3		4,971		5,025		5.4	%	4,777		4,853		5.4	%
4		1,111		1,069		1.2	%	1,191		1,145		1.3	%
5		183		154		0.2	%	149		114		0.1	%
3 A-C														3 A-C	4,175		3,949		3.7	%	4,199		4,247		3.8	%
4 A-C														4 A-C	1,079		1,005		1.0	%	1,113		1,100		1.0	%
5 A-C														5 A-C	151		91		0.1	%	94		88		0.1	%
6	6	71		72		0.1	%	25		25		—	%	6	192		212		0.2	%	227		214		0.2	%
Total below investment grade	Total below investment grade	6,336		6,320		6.9	%	6,142		6,137		6.8	%	Total below investment grade	5,597		5,257		5.0	%	5,633		5,649		5.1	%
Total AFS securities including related party	Total AFS securities including related party	$	89,044	$	92,429	100.0	%	$	82,544	$	89,373	100.0	%	Total AFS securities including related party	$	112,651	$	105,223	100.0	%	$	106,859	$	110,561	100.0	%

A significant majority of our AFS portfolio, 95.0% and 94.9% as of March 31, 2022 and December 31, 2021, respectively, was invested in assets considered investment grade with a NAIC designation of 1 or 2.

7473

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

A significant majority of our AFS portfolio, 93.1% and 93.2% as of March 31, 2021 and December 31, 2020, respectively, was invested in assets considered investment grade with a NAIC designation of 1 or 2.

A summary of our AFS securities, including related parties, by NRSRO ratings is set forth below:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total		(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NRSRO rating agency designation	NRSRO rating agency designation									NRSRO rating agency designation
AAA/AA/A	AAA/AA/A	$	34,931	37.8	%	$	33,553	37.5	%	AAA/AA/A	$	46,144	43.9	%	$	44,501	40.2	%
BBB	BBB	37,032		40.1	%	34,404		38.5	%	BBB	42,120		40.0	%	47,636		43.1	%
Non-rated1	Non-rated1	11,695		12.7	%	12,732		14.3	%	Non-rated1	9,904		9.4	%	10,754		9.7	%
Total investment grade	Total investment grade	83,658		90.6	%	80,689		90.3	%	Total investment grade	98,168		93.3	%	102,891		93.0	%
BB	BB	4,273		4.6	%	4,020		4.5	%	BB	3,460		3.3	%	3,713		3.4	%
B	B	1,061		1.1	%	1,030		1.2	%	B	837		0.8	%	946		0.9	%
CCC	CCC	1,564		1.7	%	1,557		1.7	%	CCC	1,218		1.2	%	1,356		1.2	%
CC and lower	CC and lower	847		0.9	%	973		1.1	%	CC and lower	687		0.6	%	755		0.7	%
Non-rated1	Non-rated1	1,026		1.1	%	1,104		1.2	%	Non-rated1	853		0.8	%	900		0.8	%
Total below investment grade	Total below investment grade	8,771		9.4	%	8,684		9.7	%	Total below investment grade	7,055		6.7	%	7,670		7.0	%
Total AFS securities including related party	Total AFS securities including related party	$	92,429	100.0	%	$	89,373	100.0	%	Total AFS securities including related party	$	105,223	100.0	%	$	110,561	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.	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.									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.

Consistent with the NAIC Process and Procedures Manual, an NRSRO rating was assigned based on the following criteria: (a) the equivalent S&P rating when the security is rated by one NRSRO; (b) the equivalent S&P rating of the lowest NRSRO when the security is rated by two NRSROs; and (c) the equivalent S&P rating of the second lowest NRSRO when the security is rated by three or more NRSROs. If the lowest two NRSRO ratings are equal, then such rating will be the assigned rating. NRSRO ratings available for the periods presented were S&P, Fitch, Moody’s Investor Service, DBRS, and Kroll Bond Rating Agency, Inc.

The portion of our AFS portfolio that was considered below investment grade based on NRSRO ratings was ~~9.4%~~6.7% and ~~9.7%~~7.0% as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The primary driver of the difference in the percentage of securities considered below investment grade by ~~NRSROs~~NRSRO as compared to the securities considered below investment grade by the NAIC is the difference in methodologies between the NRSRO and NAIC for RMBS due to investments acquired and/or carried at a discount to par value, as discussed above.

As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, non-rated securities were comprised of ~~58%~~81% and ~~54%~~73%, respectively, of corporate private placement securities for which we have not sought individual ratings from ~~the~~an NRSRO, and ~~19%~~17% for each of March 31, 2022 and ~~18%, respectively,~~December 31, 2021, of RMBS, many of which were acquired at a significant discount to par. We rely on internal analysis and designations assigned by the NAIC to evaluate the credit risk of our portfolio. As of each of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, 92% of the non-rated securities were designated NAIC 1 or 2.

Asset-backed Securities – We invest in ABS which are securitized by pools of assets such as consumer loans, automobile loans, student loans, insurance-linked securities, operating cash flows of corporations and cash flows from various types of business equipment. Our ABS holdings were ~~$9.6~~$13.9 billion and ~~$9.1~~$16.0 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. ~~The increase in~~

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

A summary of our ABS portfolio, ~~was primarily driven~~including related parties, by ~~the deployment of strong inflows.~~ NAIC designations and NRSRO quality ratings is as follows:


	Successor				Predecessor
	March 31, 2022				December 31, 2021
(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NAIC designation
1 A-G	$	8,971	64.3	%	$	8,089	50.6	%
2 A-C	4,123		29.6	%	7,047		44.1	%
Total investment grade	13,094		93.9	%	15,136		94.7	%
3 A-C	650		4.7	%	643		4.0	%
4 A-C	196		1.4	%	200		1.3	%
5 A-C	4		—	%	4		—	%
6	—		—	%	—		—	%
Total below investment grade	850		6.1	%	847		5.3	%
Total AFS ABS including related party	$	13,944	100.0	%	$	15,983	100.0	%

NRSRO rating agency designation
AAA/AA/A	$	8,946	64.2	%	$	7,892	49.4	%
BBB	4,074		29.2	%	6,975		43.5	%
Non-rated	71		0.5	%	232		1.5	%
Total investment grade	13,091		93.9	%	15,099		94.4	%
BB	653		4.7	%	680		4.3	%
B	196		1.4	%	200		1.3	%
CCC	4		—	%	4		—	%
CC and lower	—		—	%	—		—	%
Non-rated	—		—	%	—		—	%
Total below investment grade	853		6.1	%	884		5.6	%
Total AFS ABS including related party	$	13,944	100.0	%	$	15,983	100.0	%

As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, a substantial majority of our AFS ABS portfolio, ~~included $8.4 billion (87% of the total)~~93.9% and ~~$8.1 billion (89% of the total)~~94.7%, respectively, ~~of securities that are~~was invested in assets considered to be investment grade based ~~on NAIC designations, while $8.3 billion (86%~~upon application of the ~~total)~~NAIC’s methodology while 93.9% and ~~$8.0 billion (88% of the total)~~94.4%, respectively, of securities were considered investment grade based on NRSRO ratings. The decrease in our ABS portfolio was primarily driven by unrealized losses due to an increase in US Treasury rates and credit spread widening as well as an unfavorable change in the allowance for credit losses on ABS securities.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Collateralized Loan Obligations – We also invest in CLOs which pay principal and interest from cash flows received from underlying corporate loans. These holdings were ~~$13.1~~$16.8 billion and ~~$11.1~~$16.2 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively.

A summary of our AFS CLO portfolio, including related parties, by NAIC designations and NRSRO quality ratings is as follows:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total		(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NAIC designation	NAIC designation									NAIC designation
1		$	8,391	63.9	%	$	6,786	61.2	%
2		4,380		33.3	%	3,934		35.5	%
1 A-G										1 A-G	$	10,320	61.6	%	$	9,957	61.5	%
2 A-C										2 A-C	6,295		37.5	%	6,096		37.6	%
Total investment grade	Total investment grade	12,771		97.2	%	10,720		96.7	%	Total investment grade	16,615		99.1	%	16,053		99.1	%
3		358		2.7	%	356		3.2	%
4		8		0.1	%	9		0.1	%
5		4		—	%	4		—	%
3 A-C										3 A-C	126		0.8	%	124		0.8	%
4 A-C										4 A-C	19		0.1	%	24		0.1	%
5 A-C										5 A-C	—		—	%	—		—	%
6	6	—		—	%	—		—	%	6	—		—	%	—		—	%
Total below investment grade	Total below investment grade	370		2.8	%	369		3.3	%	Total below investment grade	145		0.9	%	148		0.9	%
Total AFS CLO including related party	Total AFS CLO including related party	$	13,141	100.0	%	$	11,089	100.0	%	Total AFS CLO including related party	$	16,760	100.0	%	$	16,201	100.0	%

NRSRO rating agency designation	NRSRO rating agency designation									NRSRO rating agency designation
AAA/AA/A	AAA/AA/A	$	8,387	63.8	%	$	6,781	61.2	%	AAA/AA/A	$	10,315	61.5	%	$	9,943	61.4	%
BBB	BBB	4,364		33.2	%	3,930		35.4	%	BBB	6,295		37.6	%	6,101		37.6	%
Non-rated	Non-rated	17		0.1	%	9		0.1	%	Non-rated	—		—	%	—		—	%
Total investment grade	Total investment grade	12,768		97.1	%	10,720		96.7	%	Total investment grade	16,610		99.1	%	16,044		99.0	%
BB	BB	362		2.8	%	356		3.2	%	BB	128		0.8	%	130		0.8	%
B	B	7		0.1	%	9		0.1	%	B	22		0.1	%	27		0.2	%
CCC	CCC	4		—	%	4		—	%	CCC	—		—	%	—		—	%
CC and lower	CC and lower	—		—	%	—		—	%	CC and lower	—		—	%	—		—	%
Non-rated	Non-rated	—		—	%	—		—	%	Non-rated	—		—	%	—		—	%
Total below investment grade	Total below investment grade	373		2.9	%	369		3.3	%	Total below investment grade	150		0.9	%	157		1.0	%
Total AFS CLO including related party	Total AFS CLO including related party	$	13,141	100.0	%	$	11,089	100.0	%	Total AFS CLO including related party	$	16,760	100.0	%	$	16,201	100.0	%

As of each of March 31, ~~2021~~2022 and December 31, ~~2020, a substantial majority~~2021, 99.1% of our AFS CLO portfolio ~~97.2% and 96.7%, respectively,~~ was invested in assets considered to be investment grade based upon application of the NAIC’s ~~methodology and based on NRSRO ratings. The increase in our CLO portfolio was mainly driven by the deployment of strong inflows in the current quarter.~~methodology.

Commercial Mortgage-backed Securities – A portion of our AFS portfolio is invested in CMBS. CMBS are constructed from pools of commercial mortgages. These holdings were ~~$2.2~~$2.7 billion and $2.8 billion as of ~~each of~~ March 31, ~~2021~~2022 and December 31, ~~2020.~~2021, respectively. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, our CMBS portfolio included ~~$1.6~~$2.1 billion ~~(71%~~(75% of the total) and ~~$1.6~~$2.0 billion ~~(72%~~(74% of the total), respectively, of securities that are considered investment grade based on NAIC designations, while ~~$1.6 billion (74%~~as of ~~the total)~~each of March 31, 2022 and ~~$1.6~~December 31, 2021, $2.1 billion (75% of the total)~~, respectively,~~ of securities were considered investment grade based on NRSRO ratings.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Residential Mortgage-backed Securities – A portion of our AFS portfolio is invested in RMBS, which are securities constructed from pools of residential mortgages. These holdings were ~~$6.6~~$5.5 billion and ~~$6.9~~$6.0 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively.

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

A summary of our AFS RMBS portfolio by NAIC designations and NRSRO quality ratings is as follows:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total		(In millions, except percentages)	Fair Value		Percent of Total		Fair Value		Percent of Total
NAIC designation	NAIC designation									NAIC designation
1		$	5,870	88.6	%	$	6,196	89.6	%
2		275		4.1	%	232		3.4	%
1 A-G										1 A-G	$	4,727	85.4	%	$	5,097	85.4	%
2 A-C										2 A-C	330		6.0	%	331		5.5	%
Total investment grade	Total investment grade	6,145		92.7	%	6,428		93.0	%	Total investment grade	5,057		91.4	%	5,428		90.9	%
3		283		4.3	%	323		4.7	%
4		109		1.6	%	120		1.7	%
5		40		0.6	%	37		0.5	%
3 A-C										3 A-C	286		5.2	%	327		5.5	%
4 A-C										4 A-C	161		2.9	%	172		2.9	%
5 A-C										5 A-C	32		0.5	%	29		0.5	%
6	6	50		0.8	%	5		0.1	%	6	1		—	%	14		0.2	%
Total below investment grade	Total below investment grade	482		7.3	%	485		7.0	%	Total below investment grade	480		8.6	%	542		9.1	%
Total AFS RMBS	Total AFS RMBS	$	6,627	100.0	%	$	6,913	100.0	%	Total AFS RMBS	$	5,537	100.0	%	$	5,970	100.0	%

NRSRO rating agency designation	NRSRO rating agency designation									NRSRO rating agency designation
AAA/AA/A	AAA/AA/A	$	827	12.5	%	$	872	12.6	%	AAA/AA/A	$	1,249	22.6	%	$	1,110	18.6	%
BBB	BBB	609		9.2	%	635		9.2	%	BBB	441		8.0	%	522		8.7	%
Non-rated1	Non-rated1	2,125		32.0	%	2,187		31.6	%	Non-rated1	1,545		27.9	%	1,648		27.6	%
Total investment grade	Total investment grade	3,561		53.7	%	3,694		53.4	%	Total investment grade	3,235		58.5	%	3,280		54.9	%
BB	BB	215		3.2	%	233		3.4	%	BB	84		1.5	%	184		3.1	%
B	B	243		3.7	%	261		3.8	%	B	139		2.5	%	193		3.2	%
CCC	CCC	1,484		22.4	%	1,509		21.8	%	CCC	1,142		20.6	%	1,281		21.5	%
CC and lower	CC and lower	847		12.8	%	971		14.1	%	CC and lower	676		12.2	%	733		12.3	%
Non-rated1	Non-rated1	277		4.2	%	245		3.5	%	Non-rated1	261		4.7	%	299		5.0	%
Total below investment grade	Total below investment grade	3,066		46.3	%	3,219		46.6	%	Total below investment grade	2,302		41.5	%	2,690		45.1	%
Total AFS RMBS	Total AFS RMBS	$	6,627	100.0	%	$	6,913	100.0	%	Total AFS RMBS	$	5,537	100.0	%	$	5,970	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.	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.									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.

A significant majority of our RMBS portfolio, ~~92.7%~~91.4% and ~~93.0%~~90.9% as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively, was invested in assets considered to be investment grade based upon an application of the NAIC designations. The NAIC’s methodology with respect to RMBS gives explicit effect to the amortized cost at which an insurance company carries each such investment. Because we invested in RMBS after the stresses related to US housing had caused significant downward pressure on prices of RMBS, we carry most of our investments in RMBS at significant discounts to par value, which results in an investment grade NAIC designation. In contrast, our understanding is that in setting ratings, NRSROs focus on the likelihood of recovering all contractual payments including principal at par value. As a result of a fundamental difference in approach, as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, NRSRO characterized ~~53.7%~~58.5% and ~~53.4%~~54.9%, respectively, of our RMBS portfolio as investment grade.

Unrealized Losses

Our investments in AFS securities, including related parties, are reported at fair value with changes in fair value recorded in other comprehensive income. Certain of our AFS securities, including related parties, have experienced declines in fair value that we consider temporary in nature. These investments are held to support our product liabilities, and we currently have the intent and ability to hold these securities until ~~sale or maturity, and believe the securities will recover~~recovery of the amortized cost basis prior to sale or maturity. As of March 31, 2022, our AFS securities, including related party, had a fair value of $105.2 billion, which was 6.6% below amortized cost of $112.7 billion. As of December 31, 2021, our AFS securities, including related party, had a fair value of ~~$92.4~~$110.6 billion, which was ~~3.8%~~3.5% above amortized cost of ~~$89.0~~$106.9 billion. ~~As of December 31, 2020, our AFS securities, including related party, had a~~Our fair value of ~~$89.4 billion, which~~AFS securities as of March 31, 2022 was ~~8.3% above~~below amortized cost ~~of $82.5 billion.~~as the investment portfolio was marked to fair value on January 1, 2022 in conjunction with purchase accounting, and subsequently interest rates increased and credit spreads widened during the quarter.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following tables reflect the unrealized losses on the AFS portfolio, including related ~~parties,~~party, for which an allowance for credit losses has not been recorded, by NAIC designations:


															Successor
		March 31, 2021													March 31, 2022
(In millions, except percentages)	(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		(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	NAIC designation													NAIC designation
1		$	12,653	$	(425)	$	12,228	96.6	%	$	42,552	(1.0)	%
2		13,854		(520)		13,334		96.2	%	43,557		(1.2)	%
1 A-G														1 A-G	$	48,523	$	(3,104)	$	45,419	93.6	%	$	52,696	(5.9)	%
2 A-C														2 A-C	46,887		(3,552)		43,335		92.4	%	47,270		(7.5)	%
Total investment grade	Total investment grade	26,507		(945)		25,562		96.4	%	86,109		(1.1)	%	Total investment grade	95,410		(6,656)		88,754		93.0	%	99,966		(6.7)	%
3		2,105		(87)		2,018		95.9	%	5,025		(1.7)	%
4		572		(57)		515		90.0	%	1,069		(5.3)	%
5		92		(13)		79		85.9	%	154		(8.4)	%
3 A-C														3 A-C	3,550		(200)		3,350		94.4	%	3,949		(5.1)	%
4 A-C														4 A-C	700		(41)		659		94.1	%	1,005		(4.1)	%
5 A-C														5 A-C	66		(4)		62		93.9	%	91		(4.4)	%
6	6	50		(1)		49		98.0	%	72		(1.4)	%	6	31		(4)		27		87.1	%	212		(1.9)	%
Total below investment grade	Total below investment grade	2,819		(158)		2,661		94.4	%	6,320		(2.5)	%	Total below investment grade	4,347		(249)		4,098		94.3	%	5,257		(4.7)	%
Total	Total	$	29,326	$	(1,103)	$	28,223	96.2	%	$	92,429	(1.2)	%	Total	$	99,757	$	(6,905)	$	92,852	93.1	%	$	105,223	(6.6)	%


															Predecessor
		December 31, 2020													December 31, 2021
(In millions, except percentages)	(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		(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	NAIC designation													NAIC designation
1		$	5,010	$	(129)	$	4,881	97.4	%	$	41,532	(0.3)	%
2		4,732		(168)		4,564		96.4	%	41,704		(0.4)	%
1 A-G														1 A-G	$	19,369	$	(338)	$	19,031	98.3	%	$	51,514	(0.7)	%
2 A-C														2 A-C	20,849		(475)		20,374		97.7	%	53,398		(0.9)	%
Total investment grade	Total investment grade	9,742		(297)		9,445		97.0	%	83,236		(0.4)	%	Total investment grade	40,218		(813)		39,405		98.0	%	104,912		(0.8)	%
3		1,646		(119)		1,527		92.8	%	4,853		(2.5)	%
4		563		(61)		502		89.2	%	1,145		(5.3)	%
5		54		(11)		43		79.6	%	114		(9.6)	%
3 A-C														3 A-C	1,494		(82)		1,412		94.5	%	4,247		(1.9)	%
4 A-C														4 A-C	410		(26)		384		93.7	%	1,100		(2.4)	%
5 A-C														5 A-C	41		(6)		35		85.4	%	88		(6.8)	%
6	6	1		—		1		100.0	%	25		—	%	6	61		(14)		47		77.0	%	214		(6.5)	%
Total below investment grade	Total below investment grade	2,264		(191)		2,073		91.6	%	6,137		(3.1)	%	Total below investment grade	2,006		(128)		1,878		93.6	%	5,649		(2.3)	%
Total	Total	$	12,006	$	(488)	$	11,518	95.9	%	$	89,373	(0.5)	%	Total	$	42,224	$	(941)	$	41,283	97.8	%	$	110,561	(0.9)	%

The gross unrealized losses on AFS securities, including related ~~parties,~~party, were ~~$1.1~~$6.9 billion and ~~$488~~$941 million as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The increase in unrealized losses on AFS securities was driven by the increase in US Treasury rates ~~partially offset by~~and credit ~~spreads tightening during~~spread widening experienced in the ~~three months ended March 31, 2021.~~current year.

As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we held ~~$6.3~~$6.5 billion and ~~$6.9~~$7.4 billion, respectively, in energy sector fixed maturity securities, or 7%6% and 8%7%, respectively, of the total fixed maturity securities, including related ~~parties.~~party. The gross unrealized capital losses on these securities were ~~$73~~$520 million and ~~$28~~$35 million, or 7%8% and 6%4% of the total unrealized losses, respectively.

Provision for Credit Losses

For our credit loss accounting policies and the assumptions used in the allowances, see Note 1 – Business, Basis of Presentation and Significant Accounting Policies and Note 23 – Investments to the condensed consolidated financial statements, as well as Critical Accounting Estimates and ~~Judgments.~~Judgments in this Item 2.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we held an allowance for credit losses on AFS securities of ~~$111~~$488 million and ~~$104~~$123 million, respectively. During the three months ended March 31, 2022, we recorded a change in provision for credit losses on AFS securities of $177 million, of which $191 million had an income statement impact and $(14) million related to PCD securities and other changes. The remaining change in allowance relates to purchase accounting adjustments. The increase in the allowance for credit losses on AFS securities was mainly due to unfavorable economics, including impacts from the conflict between Russia and Ukraine, as well as exposure to China’s real estate market. During the three months ended March 31, 2021, we recorded a change in provision for credit losses on AFS securities of $7 million of which $9 million had an income statement impact and ~~($2)~~$(2) million related to PCD securities. ~~During~~The intent-to-sell impairments for each of the three months ended March 31, ~~2020, we recorded a change in provision of $61 million, of which all $61 million had an income statement impact, primarily driven by an increase in RMBS~~2022 and ~~corporate allowances. The intent-to-sell impairments for the three months ended March 31,~~ 2021 ~~and the three months ended March 31, 2020~~ were $0 ~~million and $13 million, respectively. The decrease was primarily related to improved economic conditions.~~

~~Table of Contents~~million.

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

International Exposure

A portion of our AFS securities are invested in securities with international exposure. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, 34% and 35% ~~and 34%~~ of the carrying value of our AFS securities, including related parties, was comprised of securities of issuers based outside of the United States and debt securities of foreign governments. These securities are either denominated in US dollars or do not expose us to significant foreign currency risk as a result of foreign currency swap arrangements.

The following table presents our international exposure in our AFS portfolio, including related parties, by country or region:


															Successor						Predecessor
		March 31, 2021						December 31, 2020							March 31, 2022						December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total		(In millions, except percentages)	Amortized Cost		Fair Value		Percent of Total		Amortized Cost		Fair Value		Percent of Total
Country of risk	Country of risk													Country of risk
Ireland	Ireland	$	2,907	$	2,972	9.2	%	$	2,407	$	2,597	8.6	%	Ireland	$	4,720	$	4,486	12.3	%	$	5,172	$	5,052	13.0	%
Italy		6		8		—	%	6		8		—	%
Spain		51		57		0.2	%	51		59		0.2	%
Total Ireland, Italy, Greece, Spain and Portugal1		2,964		3,037		9.4	%	2,464		2,664		8.8	%
Other Europe	Other Europe	8,211		8,684		27.1	%	7,991		8,925		29.6	%	Other Europe	9,067		8,268		22.8	%	8,864		9,218		23.7	%
Total Europe	Total Europe	11,175		11,721		36.5	%	10,455		11,589		38.4	%	Total Europe	13,787		12,754		35.1	%	14,036		14,270		36.7	%
Non-US North America	Non-US North America	14,863		15,006		46.8	%	13,188		13,335		44.3	%	Non-US North America	16,691		16,254		44.8	%	17,218		17,387		44.8	%
Australia & New Zealand	Australia & New Zealand	2,084		2,205		6.9	%	1,925		2,143		7.1	%	Australia & New Zealand	2,674		2,496		6.9	%	2,441		2,557		6.6	%
Central & South America	Central & South America	692		707		2.2	%	620		666		2.2	%	Central & South America	1,600		1,515		4.2	%	1,347		1,346		3.5	%
Africa & Middle East	Africa & Middle East	1,630		1,641		5.1	%	1,599		1,680		5.6	%	Africa & Middle East	2,223		2,096		5.8	%	1,966		2,019		5.2	%
Asia/Pacific	Asia/Pacific	804		810		2.5	%	661		712		2.4	%	Asia/Pacific	1,414		1,178		3.2	%	1,256		1,262		3.2	%
Supranational		1		1		—	%	1		1		—	%

Total	Total	$	31,249	$	32,091	100.0	%	$	28,449	$	30,126	100.0	%	Total	$	38,389	$	36,293	100.0	%	$	38,264	$	38,841	100.0	%

1 As of each of the respective periods, we had no holdings in Greece or Portugal.

Approximately ~~95.4%~~96.8% and ~~94.8%~~96.7% of these securities are investment grade by NAIC designation as of March 31, ~~2021~~2022 and December 31, ~~2020.~~2021. As of March 31, ~~2021,~~2022, 11% of our AFS securities, including related parties, were invested in CLOs of Cayman Islands issuers (included in Non-US North America) for which underlying investments are largely loans to US issuers and 24% were invested in securities of other non-US issuers.

Portugal, Ireland, Italy, Greece and Spain continue to represent credit risk as economic conditions in these countries continue to be volatile, especially within the financial and banking sectors. We had $3.0 billion and $2.7 billion of exposure in these countries as of March 31, 2021 and December 31, 2020, respectively. A significantThe majority of ~~these assets relate to~~our investments in Ireland ~~and~~ are ~~primarily made up~~comprised of Euro denominated CLOs, for which the SPV is domiciled in Ireland, but the underlying leveraged loans involve borrowers from the broader European region.

As of March 31, ~~2021,~~2022, we held ~~United Kingdom and Channel Islands~~Russian AFS securities of ~~$3.6 billion, or 3.9% of our AFS securities,~~$26 million, including related parties. ~~As of March 31, 2021, these securities were in a net unrealized gain position of $170 million.~~ Our investment managers analyze each holding for credit risk by economic and other factors of each country and industry.

Trading Securities

Trading securities, including related parties, were ~~$3.7~~$2.1 billion and ~~$3.6~~$3.8 billion as of March 31, ~~2021~~2022 and December 31, ~~2020.~~2021, respectively. Trading securities are primarily comprised of AmerUs Closed Block securities for which we have elected the fair value option valuation, CLO and ABS equity tranche securities, MidCap profit participating notes, structured securities with embedded derivatives and investments which support various reinsurance arrangements. The decrease in trading securities was primarily due to the elimination of $1.5 billion of securities issued by VIEs that we consolidated as of March 31, 2022 as a result of reassessing consolidation conclusions for VIEs after the merger as well as losses due to an increase in US Treasury rates and credit spread widening.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Mortgage Loans

The following is a summary of our mortgage loan portfolio by collateral ~~type:~~type, including assets held by related parties and consolidated VIEs:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Net Carrying Value		Percent of Total		Net Carrying Value		Percent of Total		(In millions, except percentages)	Fair Value		Percent of Total		Net Carrying Value		Percent of Total
Property type	Property type									Property type
Office building	Office building	$	3,817	21.9	%	$	3,589	22.5	%	Office building	$	4,857	18.0	%	$	4,870	20.1	%
Retail	Retail	2,100		12.1	%	2,083		13.1	%	Retail	2,086		7.7	%	2,022		8.4	%
Apartment	Apartment	2,770		15.9	%	2,441		15.3	%	Apartment	5,602		20.7	%	4,626		19.2	%
Hotels	Hotels	1,334		7.7	%	1,294		8.1	%	Hotels	1,731		6.4	%	1,727		7.2	%
Industrial	Industrial	1,801		10.4	%	1,362		8.5	%	Industrial	2,320		8.6	%	2,336		9.7	%
Other commercial1	Other commercial1	674		3.9	%	679		4.3	%	Other commercial1	1,794		6.6	%	1,316		5.4	%
Total net commercial mortgage loans	Total net commercial mortgage loans	12,496		71.9	%	11,448		71.8	%	Total net commercial mortgage loans	18,390		68.0	%	16,897		70.0	%
Residential loans	Residential loans	4,889		28.1	%	4,490		28.2	%	Residential loans	8,642		32.0	%	7,251		30.0	%
Total mortgage loans, net of allowances		$	17,385	100.0	%	$	15,938	100.0	%
Total mortgage loans, including related parties and VIEs										Total mortgage loans, including related parties and VIEs	$	27,032	100.0	%	$	24,148	100.0	%

1 Other commercial loans include investments in nursing homes, other healthcare institutions, parking garages, storage facilities and other commercial properties.	1 Other commercial loans include investments in nursing homes, other healthcare institutions, parking garages, storage facilities and other commercial properties.									1 Other commercial loans include investments in nursing homes, other healthcare institutions, parking garages, storage facilities and other commercial properties.

We invest a portion of our investment portfolio in mortgage loans, which are generally comprised of high quality commercial first lien and mezzanine real estate loans. Our mortgage loan holdings, including related parties and consolidated VIEs, were ~~$17.4~~$27.0 billion and ~~$15.9~~$24.1 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. This included $1.8 billion and $1.9 billion of mezzanine mortgage loans as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. We have acquired mortgage loans through acquisitions and reinsurance arrangements, as well as through an active program to invest in new mortgage loans. We invest in CMLs on income producing properties including hotels, apartments, retail and office buildings, and other commercial and industrial properties. Our RML portfolio primarily consists of first lien RMLs collateralized by properties located in the US. Loan-to-value ratios at the time of loan approval are generally 75% or less.

~~Our~~In connection with the merger, we elected the fair value option on our mortgage loan portfolio; therefore, we no longer have an allowance for credit losses for commercial and residential loans ~~are primarily stated at unpaid principal balance, adjusted for any unamortized premium or discount, and net~~as of ~~credit loss allowances.~~March 31, 2022. Interest income is accrued on the principal amount of the loan based on the loan’s contractual interest rate. ~~Amortization of premiums and discounts is recorded using the effective interest method.~~ Interest income ~~amortization of premiums and discounts,~~ and prepayment fees are reported in net investment ~~income.~~income on the condensed consolidated statements of income (loss). Changes in the fair value of the mortgage loan portfolio are reported in investment related gains (losses) on the condensed consolidated statements of income (loss).

It is our policy to cease to accrue interest on loans that are over 90 days delinquent. For loans less than 90 days delinquent, interest is accrued unless it is determined that the accrued interest is not collectible. If a loan becomes over 90 days delinquent, it is our general policy to initiate foreclosure proceedings unless a workout arrangement to bring the loan current is in place. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had ~~$227~~$914 million and ~~$128~~$990 million, respectively, of mortgage loans that were 90 days past due, of which ~~$43~~$118 million and ~~$38~~$54 million, respectively, were in the process of foreclosure. As of March 31, 2022 and December 31, 2021, $623 million and $856 million of mortgage loans that were 90 days past due were related to Government National Mortgage Association (GNMA) early buyouts that are fully or partially guaranteed and are accruing interest. We will continue to evaluate these policies with regard to the economic downturn brought about by the spread of COVID-19. Our ability to initiate foreclosure proceedings may be limited by legislation passed and executive orders issued in response to the spread of ~~COVID-19.~~COVID-19, though certain of those provisions have begun to expire.

~~See~~ ~~Note 2 – Investments~~ ~~to the condensed consolidated financial statements for information regarding credit loss allowance for collection loss, loan-to-value, and debt service coverage.~~

As of March 31, 2021, we had a valuation allowance of $250 million comprised of $172 million of CML and $78 million of RML allowances. As of December 31, 2020, we had a valuation allowance of $246 million comprised of $167 million of CML and $79 million of RML allowances. During the three months ended March 31, 2021, we recorded a change in provision for credit losses on CMLs of $5 million and RMLs of $(7) million. During the three months ended March 31, 2020, we recorded a change in provision for credit losses on CMLs of $166 million and RMLs of $37 million. The decrease in provision for credit losses was primarily a result of the continued recovery from the economic downturn experienced in the prior year quarter.

Investment Funds

Our investment funds investment strategy primarily focuses on funds with core holdings of credit assets, real assets, real estate, preferred equity and income producing assets. Our investment funds generally meet the definition of a VIE, and in certain cases these investment funds are consolidated in our financial statements because we meet the criteria of the primary beneficiary.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following table illustrates our investment funds, including related ~~party:~~parties and consolidated VIEs:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total		(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Investment funds	Investment funds									Investment funds
Real estate	Real estate	$	462	6.7	%	$	348	5.7	%	Real estate	$	748	4.2	%	$	662	6.7	%
Credit funds	Credit funds	122		1.8	%	107		1.8	%	Credit funds	84		0.5	%	86		0.9	%
Private equity	Private equity	300		4.4	%	267		4.4	%	Private equity	353		2.0	%	343		3.5	%
Real assets	Real assets	82		1.2	%	81		1.3	%	Real assets	58		0.3	%	87		0.9	%

Total investment funds	Total investment funds	966		14.1	%	803		13.2	%	Total investment funds	1,243		7.0	%	1,178		12.0	%
Investment funds – related parties	Investment funds – related parties									Investment funds – related parties
Differentiated investments	Differentiated investments									Differentiated investments

AmeriHome		583		8.5	%	444		7.3	%
Catalina		344		5.0	%	334		5.5	%
Athora	Athora	689		10.0	%	709		11.6	%	Athora	814		4.5	%	743		7.4	%
Wheels/Donlen1										Wheels/Donlen1	—		—	%	700		7.1	%
Catalina1										Catalina1	—		—	%	441		4.5	%
Venerable	Venerable	316		4.6	%	123		2.0	%	Venerable	230		1.3	%	219		2.2	%
Other	Other	308		4.5	%	279		4.6	%	Other	266		1.5	%	459		4.7	%
Total differentiated investments	Total differentiated investments	2,240		32.6	%	1,889		31.0	%	Total differentiated investments	1,310		7.3	%	2,562		25.9	%
Real estate	Real estate	942		13.7	%	828		13.5	%	Real estate	520		2.9	%	1,187		12.0	%
Credit funds	Credit funds	398		5.8	%	375		6.2	%	Credit funds	392		2.2	%	450		4.6	%
Private equity	Private equity	689		10.0	%	473		7.8	%	Private equity	621		3.5	%	751		7.6	%
Natural resources										Natural resources	89		0.5	%	172		1.7	%
Real assets	Real assets	139		2.0	%	172		2.8	%	Real assets	138		0.8	%	157		1.6	%
Natural resources		110		1.6	%	113		1.9	%
Public equities		100		1.5	%	110		1.8	%
Equities										Equities	18		0.1	%	—		—	%
Investment in Apollo	Investment in Apollo	1,281		18.7	%	1,324		21.8	%	Investment in Apollo	—		—	%	2,112		21.4	%
Total investment funds – related parties	Total investment funds – related parties	5,899		85.9	%	5,284		86.8	%	Total investment funds – related parties	3,088		17.3	%	7,391		74.8	%
Total investment funds including related parties		$	6,865	100.0	%	$	6,087	100.0	%
Investment funds owned by consolidated VIEs										Investment funds owned by consolidated VIEs
Differentiated investments										Differentiated investments	1,350		7.5	%	—		—	%
Private equity										Private equity	981		5.5	%	—		—	%
Natural resources										Natural resources	256		1.4	%	—		—	%

Real estate										Real estate	1,599		8.9	%	514		5.2	%
Credit funds										Credit funds	8,001		44.7	%	748		7.6	%
Real assets										Real assets	1,381		7.7	%	35		0.4	%
Total investment funds owned by consolidated VIEs										Total investment funds owned by consolidated VIEs	13,568��		75.7	%	1,297		13.2	%
Total investment funds, including related parties and VIEs										Total investment funds, including related parties and VIEs	$	17,899	100.0	%	$	9,866	100.0	%

1 Investment is held as a consolidated VIE as of March 31, 2022.										1 Investment is held as a consolidated VIE as of March 31, 2022.

Overall, the total investment funds, including related ~~party,~~parties and consolidated VIEs, were ~~$6.9~~$17.9 billion and ~~$6.1~~$9.9 billion, respectively, as of March 31, ~~2021~~2022 and December 31, ~~2020.~~2021. See Note 23 – Investments to the condensed consolidated financial statements for further discussion regarding how we account for our investment funds. Our investment fund portfolio is subject to a number of market related risks including interest rate risk and equity market risk. Interest rate risk represents the potential for changes in the investment fund’s net asset values resulting from changes in the general level of interest rates. Equity market risk represents potential for changes in the investment fund’s net asset values resulting from changes in equity markets or from other external factors which influence equity markets. These risks expose us to potential volatility in our earnings period-over-period. We actively monitor our exposure to these risks. The increase in investment funds, including related ~~party,~~parties and consolidated VIEs, was primarily driven by anthe consolidation of additional VIEs in conjunction with our merger with Apollo, the deployment of organic inflows and the increase in valuation of several funds, partially offset by the ~~valuations~~distribution of ~~Venerable and AmeriHome.~~our investment in Apollo to AGM following the merger.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Funds Withheld at Interest

Funds withheld at interest represents a receivable for amounts contractually withheld by ceding companies in accordance with modco and funds withheld reinsurance agreements in which we act as the reinsurer. Generally, assets equal to statutory reserves are withheld and legally owned by the ceding company. We hold funds withheld at interest receivables, including those held with VIAC, Lincoln and Jackson. As of March 31, ~~2021,~~2022, the majority of the ceding companies holding the assets pursuant to such reinsurance agreements had a financial strength rating of A or better (based on an A.M. Best scale).

The funds withheld at interest is comprised of the host contract and an embedded derivative. We are subject to the investment performance on the withheld assets with the total return directly impacting the host contract and the embedded derivative. Interest accrues at a risk-free rate on the host receivable and is recorded as net investment income in the condensed consolidated statements of income (loss). The embedded derivative in our reinsurance agreements is similar to a total return swap on the income generated by the underlying assets held by the ceding companies. The change in the embedded derivative is recorded in investment related gains (losses). Although we do not legally own the underlying investments in the funds withheld at interest, in each instance the ceding company has hired Apollo to manage the withheld assets in accordance with our investment guidelines.

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

The following summarizes the underlying investment composition of the funds withheld at interest, including related parties:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total		(In millions, except percentages)	Carrying Value		Percent of Total		Carrying Value		Percent of Total
Fixed maturity securities	Fixed maturity securities									Fixed maturity securities

US government and agencies										US government and agencies	$	17	—	%	$	50	0.1	%
US state, municipal and political subdivisions	US state, municipal and political subdivisions	$	462	0.8	%	$	513	0.8	%	US state, municipal and political subdivisions	314		0.6	%	338		0.6	%
Foreign governments	Foreign governments	279		0.5	%	301		0.5	%	Foreign governments	498		1.0	%	553		1.0	%
Corporate	Corporate	30,372		51.8	%	34,057		55.2	%	Corporate	24,113		45.8	%	26,143		46.5	%
CLO	CLO	5,912		10.1	%	5,912		9.6	%	CLO	4,912		9.3	%	5,322		9.5	%
ABS	ABS	5,887		10.1	%	5,212		8.5	%	ABS	7,826		14.9	%	7,951		14.2	%
CMBS	CMBS	2,317		4.0	%	2,374		3.8	%	CMBS	1,449		2.8	%	1,661		3.0	%
RMBS	RMBS	2,077		3.5	%	2,270		3.7	%	RMBS	1,574		3.0	%	1,586		2.8	%
Equity securities	Equity securities	142		0.2	%	119		0.2	%	Equity securities	221		0.4	%	243		0.4	%
Mortgage loans	Mortgage loans	9,068		15.5	%	8,201		13.3	%	Mortgage loans	8,959		17.0	%	9,437		16.8	%
Investment funds	Investment funds	1,522		2.6	%	1,155		1.9	%	Investment funds	1,982		3.8	%	1,807		3.2	%
Derivative assets	Derivative assets	222		0.4	%	200		0.3	%	Derivative assets	159		0.3	%	208		0.4	%
Short-term investments	Short-term investments	226		0.4	%	608		1.0	%	Short-term investments	103		0.2	%	54		0.1	%
Other investments		15		—	%	15		—	%

Cash and cash equivalents	Cash and cash equivalents	594		1.0	%	906		1.5	%	Cash and cash equivalents	841		1.6	%	1,049		1.9	%
Other assets and liabilities	Other assets and liabilities	(499)		(0.9)	%	(201)		(0.3)	%	Other assets and liabilities	(364)		(0.7)	%	(288)		(0.5)	%
Total funds withheld at interest including related party	Total funds withheld at interest including related party	$	58,596	100.0	%	$	61,642	100.0	%	Total funds withheld at interest including related party	$	52,604	100.0	%	$	56,114	100.0	%

As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we held ~~$58.6~~$52.6 billion and ~~$61.6~~$56.1 billion, respectively, of funds withheld at interest receivables, including related party. Approximately ~~93.6%~~93.7% and ~~94.1%~~93.5% of the fixed maturity securities within the funds withheld at interest are investment grade by NAIC designation as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The decrease in funds withheld at interest, including related party, was primarily driven by unrealized losses in the three months ended March 31, ~~2021~~2022 attributed to an increase in US Treasury rates ~~partially offset by~~and credit spread widening as well as run-off of the ~~tightening~~underlying blocks of ~~credit spreads.~~business.

Derivative Instruments

We hold derivative instruments for economic hedging purposes to reduce our exposure to cash flow variability of assets and liabilities, equity market risk, interest rate risk, credit risk and foreign exchange risk. The types of derivatives we may use include interest rate swaps, foreign currency swaps and forward contracts, total return swaps, credit default swaps, variance swaps, futures and equity options.

A discussion regarding our derivative instruments and how such instruments are used to manage risk is included in Note 34 – Derivative Instruments to the condensed consolidated financial statements.

As part of our risk management strategies, management continually evaluates our derivative instrument holdings and the effectiveness of such holdings in addressing risks identified in our operations.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Net Invested Assets

The following summarizes our net invested assets:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Net Invested Asset Value1		Percent of Total		Net Invested Asset Value1		Percent of Total		(In millions, except percentages)	Net Invested Asset Value1		Percent of Total		Net Invested Asset Value1		Percent of Total
Corporate	Corporate	$	74,549	47.9	%	$	71,040	47.3	%	Corporate	$	79,006	42.9	%	$	75,163	42.9	%
CLO	CLO	15,835		10.2	%	14,609		9.7	%	CLO	18,036		9.8	%	17,892		10.2	%
Credit	Credit	90,384		58.1	%	85,649		57.0	%	Credit	97,042		52.7	%	93,055		53.1	%
RMBS		7,968		5.1	%	8,337		5.6	%
CML	CML	18,113		11.6	%	16,778		11.2	%	CML	23,164		12.6	%	21,438		12.2	%
RML	RML	5,229		3.4	%	4,774		3.2	%	RML	8,442		4.6	%	7,116		4.1	%
RMBS										RMBS	7,240		3.9	%	6,969		4.0	%
CMBS	CMBS	3,271		2.1	%	3,227		2.1	%	CMBS	3,551		1.9	%	3,440		2.0	%
Real estate	Real estate	34,581		22.2	%	33,116		22.1	%	Real estate	42,397		23.0	%	38,963		22.3	%
ABS	ABS	14,061		9.0	%	13,137		8.7	%	ABS	20,332		11.0	%	20,376		11.6	%
Alternative investments	Alternative investments	8,004		5.1	%	6,793		4.5	%	Alternative investments	11,506		6.2	%	9,873		5.6	%
State, municipal, political subdivisions and foreign government	State, municipal, political subdivisions and foreign government	2,153		1.5	%	2,136		1.4	%	State, municipal, political subdivisions and foreign government	2,722		1.5	%	2,505		1.4	%
Equity securities	Equity securities	494		0.3	%	478		0.3	%	Equity securities	824		0.4	%	754		0.4	%
Short-term investments	Short-term investments	227		0.1	%	479		0.3	%	Short-term investments	212		0.2	%	111		0.1	%
US government and agencies	US government and agencies	242		0.2	%	206		0.2	%	US government and agencies	2,636		1.4	%	212		0.1	%
Other investments	Other investments	25,181		16.2	%	23,229		15.4	%	Other investments	38,232		20.7	%	33,831		19.2	%
Cash and equivalents	Cash and equivalents	2,844		1.8	%	5,417		3.6	%	Cash and equivalents	5,238		2.8	%	6,086		3.5	%
Policy loans and other	Policy loans and other	1,432		0.9	%	1,455		1.0	%	Policy loans and other	1,362		0.8	%	1,296		0.7	%
Net invested assets excluding investment in Apollo	Net invested assets excluding investment in Apollo	154,422		99.2	%	148,866		99.1	%	Net invested assets excluding investment in Apollo	184,271		100.0	%	173,231		98.8	%
Investment in Apollo	Investment in Apollo	1,281		0.8	%	1,324		0.9	%	Investment in Apollo	—		—	%	2,112		1.2	%
Net invested assets	Net invested assets	$	155,703	100.0	%	$	150,190	100.0	%	Net invested assets	$	184,271	100.0	%	$	175,343	100.0	%

1 See Key Operating and Non-GAAP Measures for the definition of net invested assets.	1 See Key Operating and Non-GAAP Measures for the definition of net invested assets.									1 See Key Operating and Non-GAAP Measures for the definition of net invested assets.

Our net invested assets were ~~$155.7~~$184.3 billion and ~~$150.2~~$175.3 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. ~~As of March 31, 2021, our net invested assets were mainly comprised of 47.9% of corporate securities, 26.4% of structured securities, 15.0% of mortgage loans and 5.1% of alternative investments.~~ Corporate securities included ~~$18.9~~$23.7 billion of private placements, which represented ~~12.1%~~12.9% of our net invested assets. The increase in net invested assets as of March 31, ~~2021~~2022 from December 31, ~~2020~~2021 was primarily driven by growth from net organic inflows over liability outflows, purchase accounting adjustments resulting in an increase in book value as our investment portfolio was marked up to fair value and ~~reinvestment~~an increase in valuation of ~~earnings.~~several alternative investments.

In managing our business, we utilize net invested assets as presented in the above table. Net invested assets do not correspond to total investments, including related parties, on our condensed consolidated balance sheets, as discussed previously in Key Operating and Non-GAAP Measures. Net invested assets represent the investments that directly back our net reserve liabilities and surplus assets. We believe this view of our portfolio provides a view of the assets for which we have economic exposure. We adjust the presentation for funds withheld and modco transactions to include or exclude the underlying investments based upon the contractual transfer of economic exposure to such underlying investments. We also adjust for VIEs to show the net investment in the funds, which are included in the alternative investments line above as well as adjust for the allowance for credit losses. Net invested assets includes our proportionate share of ACRA investments, based on our economic ownership, but excludes the proportionate share of investments associated with the noncontrolling interest.

Net invested assets is utilized by management to evaluate our investment portfolio. Net invested assets ~~excluding our strategic investment in Apollo,~~ is used in the computation of net investment earned rate, which allows us to analyze the profitability of our investment portfolio. Net invested assets is also used in our risk management processes for asset purchases, product design and underwriting, stress scenarios, liquidity, and ALM.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Net Alternative Investments

The following summarizes our net alternative investments:


											Successor				Predecessor
		March 31, 2021				December 31, 2020					March 31, 2022				December 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Net Invested Asset Value		Percent of Total		Net Invested Asset Value		Percent of Total		(In millions, except percentages)	Net Invested Asset Value		Percent of Total		Net Invested Asset Value		Percent of Total
Retirement Services
Differentiated investments	Differentiated investments									Differentiated investments
AmeriHome		$	720	9.0	%	$	546	8.0	%
Athora										Athora	$	836	7.3	%	$	743	7.5	%
MidCap	MidCap	650		8.1	%	611		9.0	%	MidCap	677		5.9	%	666		6.7	%
Wheels/Donlen										Wheels/Donlen	621		5.4	%	590		6.0	%
Catalina	Catalina	344		4.3	%	334		4.9	%	Catalina	436		3.8	%	442		4.6	%
Venerable	Venerable	316		3.9	%	123		1.8	%	Venerable	230		2.0	%	219		2.2	%

Other	Other	373		4.6	%	339		5.0	%	Other	1,527		13.3	%	1,122		11.3	%
Total differentiated investments	Total differentiated investments	2,403		29.9	%	1,953		28.7	%	Total differentiated investments	4,327		37.7	%	3,782		38.3	%
Real estate	Real estate	1,687		21.1	%	1,537		22.6	%	Real estate	2,959		25.7	%	2,673		27.1	%
Credit	Credit	1,055		13.2	%	941		13.9	%	Credit	1,448		12.5	%	1,281		13.0	%
Private equity	Private equity	1,311		16.4	%	831		12.2	%	Private equity	1,877		16.3	%	1,298		13.1	%
Real assets	Real assets	307		3.8	%	296		4.4	%	Real assets	384		3.3	%	330		3.3	%
Natural resources	Natural resources	67		0.8	%	60		0.9	%	Natural resources	388		3.4	%	353		3.7	%

Total Retirement Services alternative investments		6,830		85.2	%	5,618		82.7	%
Corporate and Other

Athora		669		8.4	%	661		9.7	%
Credit		110		1.4	%	93		1.4	%
Natural resources		222		2.8	%	238		3.5	%
Equities1	Equities1	173		2.2	%	183		2.7	%	Equities1	116		1.0	%	133		1.3	%

Total Corporate and Other alternative investments		1,174		14.8	%	1,175		17.3	%
Other										Other	7		0.1	%	23		0.2	%
Net alternative investments	Net alternative investments	$	8,004	100.0	%	$	6,793	100.0	%	Net alternative investments	$	11,506	100.0	%	$	9,873	100.0	%

1 As of March 31, 2021 and December 31, 2020, equities includes our private equity investment in Jackson and a public equity position in OneMain Holdings, Inc. (ticker: OMF).
1 As of March 31, 2022 and December 31, 2021, equities included our public equity position in Jackson.										1 As of March 31, 2022 and December 31, 2021, equities included our public equity position in Jackson.

Net alternative investments were ~~$8.0~~$11.5 billion and ~~$6.8~~$9.9 billion as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively, representing ~~5.1%~~6.2% and ~~4.5%~~5.6% of our net invested assets portfolio as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. The increase in net alternative investments was primarily driven by ~~an increase in~~ the ~~valuations~~deployment of ~~Venerable, AmeriHome and MidCap~~growth from net organic inflows over liability outflows and an increase in ~~CLO equities due to the tightening~~valuation of ~~credit spreads.~~several alternative investments.

Net alternative investments do not correspond to the total investment funds, including related parties and consolidated VIEs, on our condensed consolidated balance sheets. As discussed above in the net invested assets section, we adjust the GAAP presentation for funds withheld, modco and VIEs. ~~The investment in Apollo is excluded from our alternative investments, while we~~We include CLO and ABS equity tranche securities in alternative investments due to their underlying characteristics and equity-like features.

Through our relationship with Apollo, we have indirectly invested in companies that meet the key characteristics we look for in net alternative investments. ~~Of our three~~Our two largest alternative investments ~~two~~ are inAthora and MidCap. Athora is a strategic investment, while MidCap is an asset ~~originators, MidCap and AmeriHome, both of~~originator which, from time to time, ~~provide~~provides us with access to assets for our investment portfolio.

Athora

Athora is a specialized insurance and reinsurance group fully focused on the European market. Athora’s principal operational subsidiaries are Athora Netherlands N.V. in the Netherlands, Athora Belgium SA in Belgium, Athora Lebensversicherung AG in Germany, Athora Ireland plc in Ireland, and Athora Life Re Ltd in Bermuda. Athora deploys capital and resources to further its mission to build a stand-alone independent and integrated insurance and reinsurance business. Athora’s growth is achieved primarily through acquisitions, portfolio ~~with the third being~~transfers and reinsurance. Athora is building a ~~strategic~~European insurance brand and has successfully acquired, integrated, and transformed four insurance companies: Delta Lloyd Deutschland AG (2015), Aegon Ireland plc (2018), Generali Belgium SA (2019) and VIVAT NV (2020).

Our alternative investment in ~~Athora.~~Athora had a carrying value of $836 million and $743 million as of March 31, 2022 and December 31, 2021, respectively. Our investment in Athora represents our proportionate share of its net asset value, which largely reflects any contributions to and distributions from Athora and changes in its fair value. Athora returned a net investment earned rate of 21.98% and 4.36% for the three months ended March 31, 2022 and 2021, respectively. Alternative investment income from Athora was $46 million and $8 million for the three months ended March 31, 2022 and 2021, respectively. The increase in alternative investment income was primarily due to a valuation increase in the current year.

Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

MidCap

MidCap is a commercial finance company that provides various financial products to middle-market businesses in multiple industries, primarily located in the US. MidCap primarily originates and invests in commercial and industrial loans, including senior secured corporate loans, working capital loans collateralized mainly by accounts receivable and inventory, senior secured loans collateralized by portfolios of commercial and consumer loans and related products and secured loans to highly capitalized pharmaceutical and medical device companies, and commercial real estate loans, including multifamily independent-living properties, assisted living, skilled nursing and medical office properties, warehouse, office building, hotel and other commercial use properties and multifamily properties. MidCap originates and acquires loans using borrowings under financing arrangements that it has in place with numerous financial institutions. MidCap’s earnings are primarily driven by the difference between the interest earned on its loan portfolio and the interest accrued under its outstanding borrowings. As a result, MidCap is primarily exposed to the credit risk of its loan counterparties and prepayment risk. Additionally, financial results are influenced by related levels of middle-market business investment and interest rates.

Our alternative investment in MidCap had a carrying value of ~~$650~~$677 million and ~~$611~~$666 million as of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, respectively. As of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, this alternative investment iswas comprised of our equity investment in MidCap, of ~~$573~~$670 million and ~~$534~~$659 million, respectively, and redeemable preferred stock of ~~$77~~$7 million and ~~$77~~$7 million, respectively. The MidCap equity investment returned a net investment earned rate of ~~37.48%~~17.63% and ~~(16.06)%~~37.48% for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. Alternative investment income ~~(loss)~~ from the equity investment in MidCap was ~~$52~~$30 million and ~~$(21)~~$52 million for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The ~~increase~~decrease in alternative investment income for the three months ended March 31, ~~2021~~2022 compared to ~~2020~~2021 was ~~primarily due to~~mainly driven by a valuation increase in the ~~current quarter driven by an increase in valuation~~prior year associated with a capital raise priced at a slight ~~premium and the decrease in valuation in the prior year reflecting an increase in loan loss assumptions and lower origination volumes due to the economic environment.~~premium. The redeemable preferred stock returned a net investment earned rate of ~~26.83%~~(103.47)% and ~~0.00%~~26.83% for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. Alternative investment income (loss) from the redeemable preferred stock was $(2) million and $5 million for the three months ended March 31, 2022 and 2021, respectively.

Equities

We hold a public equity position in Jackson (ticker: JXN), previously held as a private equity investment, after Jackson’s former parent company, Prudential plc, completed a dividend demerger transaction in September of 2021 which resulted in Jackson becoming a publicly traded company. Although the net invested asset value of this equity position is not significant, it has the ability to create volatility in our statements of income. As of March 31, 2022 and December 31, 2021, we held approximately 2.8 million and 3.4 million shares of Jackson, respectively, with a market value of $116 million and $133 million, net of the ACRA noncontrolling interest, respectively. Alternative investment income from Jackson was $12 million and $0 million for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The increase in alternative investment income ~~for the three months ended March 31, 2021 compared to 2020~~ was ~~primarily~~ driven by ~~an initial investment in~~ the ~~redeemable preferred stock in the second quarter of 2020 and favorable profit interests.~~

~~AmeriHome~~

Our equity investment in AmeriHome was held indirectly through A-A Mortgage, of which AmeriHome was the fund’s only investment. AmeriHome is a mortgage origination platform and an aggregator of mortgage servicing rights. AmeriHome acquires mortgage loans from retail originators and re-sells the loans to the Federal National Mortgage Association, the Federal Home Loan Mortgage Corporation, the Government National Mortgage Association and other investors. AmeriHome retains the mortgage servicing rights on the loans that it sells and employs a subservicer to perform servicing operations, including payment collection. AmeriHome’s earnings are primarily driven by two sources: gains or losses on the sale of mortgage loans and the difference between the fee that it charges for mortgage servicing and the fee charged by the subservicer. As a result, AmeriHome’s financial results are influenced by interest rates and related housing demand. AmeriHome is primarily exposed to credit risk related to the accuracy of the representations and warranties in the loans that AmeriHome acquires and prepayment risk, which prematurely terminates fees related to mortgage servicing.

~~On February 16, 2021, Apollo, Athene and AmeriHome announced the sale of AmeriHome to a subsidiary of Western Alliance Bancorporation and the transaction closed on April 7, 2021~~. Our alternative investment in A-A Mortgage had a carrying value of $720 million and $546 million as of March 31, 2021 and December 31, 2020, respectively. Our investment in A-A Mortgage represents our proportionate share of its net asset value, which largely reflects any contributions to and distributions from A-A Mortgage and the fair value of AmeriHome. A-A Mortgage returned a net investment earned rate of 109.67% and 16.93% for the three months ended March 31, 2021 and 2020, respectively. Alternative investment income from A-A Mortgage was $174 million and $26 million for the three months ended March 31, 2021 and 2020, respectively. The increase in alternative investment income for the three months ended March 31, 2021 compared to 2020 was primarily due to an increase in valuation resulting from the April sale reflecting a premium of the platform sale, net of carry and transaction expenses.

~~Athora~~

Athora is a specialized insurance and reinsurance group fully focused on the European market. Athora’s principal operational subsidiaries are Athora Netherlands N.V. in the Netherlands, Athora Belgium SA in Belgium, Athora Lebensversicherung AG in Germany, Athora Ireland plc in Ireland, and Athora Life Re Ltd in Bermuda. Athora deploys capital and resources to further its mission to build a stand-alone independent and integrated insurance and reinsurance business. Athora’s growth is achieved primarily through acquisitions, portfolio transfers and reinsurance. Athora is building a European insurance brand and has successfully acquired, integrated, and transformed four insurance companies: Delta Lloyd Deutschland AG (2015), Aegon Ireland plc (2018), Generali Belgium SA (2019) and VIVAT NV (2020).

Our alternative investment in Athora had a carrying value of $669 million and $661 million as of March 31, 2021 and December 31, 2020, respectively. Our investment in Athora represents our proportionate share of its net asset value, which largely reflects any contributions to and distributions from Athora and changes in its fair value. Athora returned a net investment earned rate of 4.36% and 0.00% for the three months ended March 31, 2021 and 2020, respectively. Alternative investment income from Athora was $8 million and $0 million for the three months ended March 31, 2021 and 2020, respectively. The increase in alternative investment income for the three months ended March 31, 2021 compared to 2020 was primarily due to a slight share price increase in the current quarter.

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~Public Equity~~

We indirectly hold a public equity position in OneMain through our equity investment in an alternative investment. Although the net invested asset value of the security is minor, it has resulted in volatility in our statements of income in recent periods. As of March 31, 2021 and December 31, 2020, we indirectly held approximately 2.4 million and 2.8 million shares of OneMain with a market value of $100 million and $110 million, respectively. Alternative investment income (loss) from OneMain was $24 million and $(57) million for the three months ended March 31, 2021 and 2020, respectively. The increase in alternative investment income for the three months ended March 31, 2021 compared to 2020 was primarily due to an increase inJackson’s share price in the current ~~quarter compared to~~year, partially offset by a ~~decline in share price~~decrease in the ~~prior year.~~

number of shares held.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Non-GAAP Measure Reconciliations

~~The reconciliations to the nearest GAAP measure for adjusted operating income (loss) available to common shareholders is included in the~~ ~~Consolidated Results of Operations~~ ~~section.~~

The reconciliation of ~~basic~~net income available to AHL common shareholder to spread related earnings, ~~per Class A common share to adjusted operating earnings per common share~~ is as follows:

Three months ended March 31,
2021 2020
Basic earnings (loss) per share – Class A common shares $ 3.02 $ (5.81)
Non-operating adjustments
Realized net gains on sale of AFS securities 0.10 0.07
Unrealized, allowances and other investment gains (losses) 0.50 (2.03)
Change in fair value of reinsurance assets (4.40) (7.04)
Offsets to investment gains (losses) 0.72 2.73
Investment gains (losses), net of offsets (3.08) (6.27)
Change in fair values of derivatives and embedded derivatives – FIAs, net of offsets 2.48 0.36
Integration, restructuring and other non-operating expenses (0.22) (0.03)
Stock compensation expense — (0.05)
Income tax (expense) benefit – non-operating (0.04) 0.72
Less: Total non-operating adjustments (0.86) (5.27)
Less: Effect of items convertible to or settled in Class A common shares 0.08 0.06
Adjusted operating earnings (loss) per common share $ 3.80 $ (0.60)

The reconciliation of basic weighted average common shares outstanding - Class A to weighted average common shares outstanding - adjusted operating, which is included in adjusted operating earnings per common share, is as follows:

Three months ended March 31,
(In millions) 2021 2020
Basic weighted average common shares outstanding – Class A 191.3 161.4
Conversion of Class B common shares to Class A common shares — 16.9
Conversion of Class M common shares to Class A common shares — 3.2
Effect of other stock compensation plans 5.5 —
Weighted average common shares outstanding – adjusted operating 196.8 181.5


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Net income (loss) available to Athene Holding Ltd. common shareholder	$	(1,518)	$	578
Preferred stock dividends	35		36
Net loss attributable to noncontrolling interest	(883)		(537)
Net income (loss)	(2,366)		77
Income tax expense (benefit)	(407)		62
Income (loss) before income taxes	(2,773)		139
Realized gains (losses) on sale of AFS securities	(64)		19
Unrealized, allowances and other investment gains1	(871)		75
Change in fair value of reinsurance assets	(1,657)		(865)
Offsets to investment gains (losses)	131		141
Investment losses, net of offsets	(2,461)		(630)
Change in fair values of derivatives and embedded derivatives – FIAs, net of offsets	(81)		488
Integration, restructuring and other non-operating expenses	(34)		(45)
Stock compensation expense2	(12)		(8)
Preferred stock dividends	35		36
Noncontrolling interests - pre-tax loss	(890)		(547)
Total adjustments to income (loss) before income taxes	(3,443)		(706)
Spread related earnings	$	670	$	845

1 Unrealized, allowances and other investment gains (losses) was updated to include the change in fair value of Apollo investment. 2 Stock compensation expense was updated to include our long-term incentive plan expense.

The reconciliation of total AHL shareholders’ equity to total adjusted AHL common ~~shareholders’~~shareholder’s equity ~~which is included in adjusted book value per common share, adjusted debt to capital ratio and adjusted operating ROE,~~ is as follows:

(In millions) March 31, 2021 December 31, 2020
Total AHL shareholders’ equity $ 17,291 $ 18,657
Less: Preferred stock 2,312 2,312
Total AHL common shareholders’ equity 14,979 16,345
Less: AOCI 2,021 3,971
Less: Accumulated change in fair value of reinsurance assets 488 1,142
Total adjusted AHL common shareholders’ equity $ 12,470 $ 11,232
Segment adjusted AHL common shareholders’ equity
Retirement Services $ 8,870 $ 7,732
Corporate and Other 3,600 3,500
Total adjusted AHL common shareholders’ equity $ 12,470 $ 11,232


	Successor		Predecessor
(In millions)	March 31, 2022		December 31, 2021
Total AHL shareholders’ equity	$	11,149	$	20,130
Less: Preferred stock	2,667		2,312
Total AHL common shareholder’s equity	8,482		17,818
Less: AOCI	(4,674)		2,430
Less: Accumulated change in fair value of reinsurance assets	(1,241)		585
Less: Accumulated change in fair value of mortgage loan assets	(533)		—
Total adjusted AHL common shareholder’s equity	$	14,930	$	14,803

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The reconciliation of ~~average AHL shareholders’ equity to average adjusted AHL common shareholders’ equity, which is included in adjusted operating ROE is as follows:~~

Three months ended March 31,
(In millions) 2021 2020
Average AHL shareholders’ equity $ 17,974 $ 11,666
Less: Average preferred stock 2,312 1,172
Less: Average AOCI 2,996 554
Less: Average accumulated change in fair value of reinsurance assets 815 169
Average adjusted AHL common shareholders’ equity $ 11,851 $ 9,771
Segment average adjusted AHL common shareholders’ equity
Retirement Services $ 8,301 $ 7,722
Corporate and Other 3,550 2,049
Average adjusted AHL common shareholders’ equity $ 11,851 $ 9,771

~~The reconciliation of Class A common shares outstanding to adjusted operating common shares outstanding, which is included in adjusted book value per common share, is as follows:~~

(In millions) March 31, 2021 December 31, 2020
Class A common shares outstanding 191.4 191.2
Effect of other stock compensation plans 6.9 6.0
Adjusted operating common shares outstanding 198.3 197.2

~~The reconciliation of book value per common share to adjusted book value per common share is as follows:~~

March 31, 2021 December 31, 2020
Book value per common share $ 78.25 $ 85.51
AOCI (10.56) (20.77)
Accumulated change in fair value of reinsurance assets (2.55) (5.98)
Effect of items convertible to or settled in Class A common shares (2.26) (1.81)
Adjusted book value per common share $ 62.88 $ 56.95

~~The reconciliation of~~ net investment income to net investment earnings and earned rate is as follows:


		Three months ended March 31,								Successor		Predecessor
		2021				2020					Three months ended March 31, 2022					Three months ended March 31, 2021
(In millions, except percentages)	(In millions, except percentages)	Dollar		Rate		Dollar		Rate					(In millions, except percentages)	Dollar			Rate		Dollar		Rate
GAAP net investment income	GAAP net investment income	$	1,704	4.49	%	$	745	2.51	%				GAAP net investment income	$	1,683		3.71	%	$	1,669	4.40	%
Change in fair value of reinsurance assets	Change in fair value of reinsurance assets	366		0.97	%	270		0.90	%				Change in fair value of reinsurance assets	220			0.49	%	366		0.97	%

Alternative gains (losses)		69		0.18	%	(101)		(0.34)	%
VIE earnings adjustment													VIE earnings adjustment	79			0.17	%	37		0.09	%
Alternative gains													Alternative gains	18			0.04	%	69		0.18	%
ACRA noncontrolling interest	ACRA noncontrolling interest	(198)		(0.52)	%	(72)		(0.24)	%				ACRA noncontrolling interest	(305)			(0.67)	%	(198)		(0.52)	%
Apollo investment loss		25		0.07	%	297		1.00	%
Apollo investment gain (loss)													Apollo investment gain (loss)	(33)			(0.07)	%	25		0.07	%
Held for trading amortization and other	Held for trading amortization and other	32		0.08	%	12		0.04	%				Held for trading amortization and other	(7)			(0.02)	%	30		0.08	%
Total adjustments to arrive at net investment earnings/earned rate	Total adjustments to arrive at net investment earnings/earned rate	294		0.78	%	406		1.36	%				Total adjustments to arrive at net investment earnings/earned rate	(28)			(0.06)	%	329		0.87	%
Total net investment earnings/earned rate	Total net investment earnings/earned rate	$	1,998	5.27	%	$	1,151	3.87	%				Total net investment earnings/earned rate	$	1,655		3.65	%	$	1,998	5.27	%

Retirement Services		$	1,935	5.18	%	$	1,184	4.04	%
Corporate and Other		63		11.22	%	(33)		(8.14)	%
Total net investment earnings/earned rate		$	1,998	5.27	%	$	1,151	3.87	%

Retirement Services average net invested assets		$	149,397			$	117,295
Corporate and Other average net invested assets ex. Apollo investment		2,247				1,624
Consolidated average net invested assets ex. Apollo investment		$	151,644			$	118,919
Average net invested assets													Average net invested assets	$	181,398				$	151,644

The reconciliation of GAAP benefits and expenses to cost of funds is as follows:


	Successor				Predecessor
	Three months ended March 31, 2022				Three months ended March 31, 2021
(In millions, except percentages)	Dollar		Rate		Dollar		Rate
GAAP benefits and expenses	$	2,504	5.52	%	$	4,252	11.22	%
Premiums	(2,110)		(4.65)	%	(3,011)		(7.94)	%
Product charges	(166)		(0.37)	%	(150)		(0.40)	%
Other revenues	3		0.01	%	(14)		(0.04)	%
FIA option costs	294		0.65	%	279		0.74	%
Reinsurance embedded derivative impacts	12		0.03	%	14		0.04	%
Change in fair value of embedded derivatives - FIA, net of offsets	350		0.77	%	(298)		(0.79)	%
DAC and DSI amortization related to investment gains and losses	10		0.02	%	139		0.37	%
Rider reserves related to investment gains and losses	124		0.27	%	21		0.05	%
Policy and other operating expenses, excluding policy acquisition expenses	(247)		(0.55)	%	(201)		(0.53)	%

AmerUs closed block fair value liability	127		0.28	%	93		0.24	%
ACRA noncontrolling interest	(87)		(0.19)	%	(107)		(0.28)	%
Other	12		0.03	%	(7)		(0.02)	%
Total adjustments to arrive at cost of funds	(1,678)		(3.70)	%	(3,242)		(8.56)	%
Total cost of funds	$	826	1.82	%	$	1,010	2.66	%

Average net invested assets	$	181,398			$	151,644

Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The reconciliation of policy and other operating expenses to other operating expenses is as follows:


	Successor		Predecessor
(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
GAAP policy and other operating expenses	$	335	$	293
Interest expense	(33)		(32)
Policy acquisition expenses, net of deferrals	(88)		(92)
Integration, restructuring and other non-operating expenses	(34)		(45)
Stock compensation expenses1	(12)		(8)
ACRA noncontrolling interest	(51)		(21)
Other changes in policy and other operating expenses	(8)		(5)
Total adjustments to arrive at other operating expenses	(226)		(203)
Other operating expenses	$	109	$	90

1 Stock compensation expense was updated to include our long-term incentive plan expense.

The reconciliation of total investments, including related parties, to net invested assets is as follows:


	Successor		Predecessor
(In millions)	March 31, 2022		December 31, 2021
Total investments, including related parties	$	196,405	$	209,176
Derivative assets	(3,668)		(4,387)
Cash and cash equivalents (including restricted cash)	9,357		10,275
Accrued investment income	885		962
Payables for collateral on derivatives	(3,105)		(3,934)
Reinsurance funds withheld and modified coinsurance	2,800		(1,035)
VIE and VOE assets, liabilities and noncontrolling interest	10,314		2,958
Unrealized (gains) losses	7,985		(4,057)
Ceded policy loans	(158)		(169)
Net investment receivables (payables)	410		75
Allowance for credit losses	495		361
Total adjustments to arrive at gross invested assets	25,315		1,049
Gross invested assets	221,720		210,225
ACRA noncontrolling interest	(37,449)		(34,882)
Net invested assets	$	184,271	$	175,343

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The reconciliation of ~~interest sensitive contract benefits to Retirement Services’ cost of crediting, and the respective rates, is as follows:~~

Three months ended March 31,
2021 2020
(In millions, except percentages) Dollar Rate Dollar Rate
GAAP interest sensitive contract benefits $ 394 1.05 % $ (1,319) (4.50) %
Interest credited other than deferred annuities and institutional products 97 0.26 % 63 0.21 %
FIA option costs 279 0.75 % 266 0.91 %
Product charges (strategy fees) (38) (0.10) % (32) (0.11) %
Reinsurance embedded derivative impacts 14 0.04 % 14 0.05 %
Change in fair value of embedded derivatives – FIAs 43 0.11 % 1,504 5.13 %
Negative VOBA amortization 3 0.01 % 7 0.02 %
ACRA noncontrolling interest (128) (0.34) % 38 0.13 %
Other changes in interest sensitive contract liabilities 4 0.01 % (1) 0.00 %
Total adjustments to arrive at cost of crediting 274 0.74 % 1,859 6.34 %
Retirement Services cost of crediting $ 668 1.79 % $ 540 1.84 %
Retirement Services cost of crediting on deferred annuities $ 493 1.89 % $ 422 1.91 %
Retirement Services cost of crediting on institutional products 175 2.59 % 118 3.31 %
Retirement Services cost of crediting $ 668 1.79 % $ 540 1.84 %
Retirement Services average net invested assets $ 149,397 $ 117,295
Average account value on deferred annuities 104,310 88,119
Average net institutional reserve liabilities 27,028 14,250

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~The reconciliation of GAAP benefits and expenses to other liability costs is as follows:~~

Three months ended March 31,
(In millions) 2021 2020
GAAP benefits and expenses $ 4,252 $ (167)
Premiums (3,011) (1,140)
Product charges (150) (140)
Other revenues (14) 2
Cost of crediting (375) (259)
Change in fair value of embedded derivatives – FIA, net of offsets (298) 1,456
DAC, DSI and VOBA amortization related to investment gains and losses 139 425
Rider reserves related to investment gains and losses 21 76
Policy and other operating expenses, excluding policy acquisition expenses (201) (117)
AmerUs closed block fair value liability 93 45
ACRA noncontrolling interest (107) 165
Other changes in benefits and expenses (7) (4)
Total adjustments to arrive at other liability costs (3,910) 509
Other liability costs $ 342 $ 342
Retirement Services $ 342 $ 342
Corporate and Other — —
Consolidated other liability costs $ 342 $ 342

~~The reconciliation of policy and other operating expenses to operating expenses is as follows:~~

Three months ended March 31,
(In millions) 2021 2020
GAAP policy and other operating expenses $ 283 $ 188
Interest expense (32) (20)
Policy acquisition expenses, net of deferrals (82) (71)
Integration, restructuring and other non-operating expenses (45) (4)
Stock compensation expenses — (10)
ACRA noncontrolling interest (21) (4)
Other changes in policy and other operating expenses (5) —
Total adjustments to arrive at operating expenses (185) (109)
Operating expenses $ 98 $ 79
Retirement Services $ 78 $ 68
Corporate and Other 20 11
Consolidated operating expenses $ 98 $ 79

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~The reconciliation of total investments, including related parties, to net invested assets is as follows:~~

(In millions) March 31, 2021 December 31, 2020
Total investments, including related parties $ 185,951 $ 182,421
Derivative assets (3,677) (3,523)
Cash and cash equivalents (including restricted cash) 6,973 8,442
Accrued investment income 968 905
Payables for collateral on derivatives (3,353) (3,203)
Reinsurance funds withheld and modified coinsurance (572) (2,459)
VIE and VOE assets, liabilities and noncontrolling interest (70) (136)
Unrealized (gains) losses (3,685) (7,275)
Ceded policy loans (199) (204)
Net investment receivables (payables) (402) 99
Allowance for credit losses 362 357
Total adjustments to arrive at gross invested assets (3,655) (6,997)
Gross invested assets 182,296 175,424
ACRA noncontrolling interest (26,593) (25,234)
Net invested assets $ 155,703 $ 150,190

~~The reconciliation of~~ total investment funds, including related parties and VIEs, to net alternative investments within net invested assets is as follows:


							Successor		Predecessor
(In millions)	(In millions)	March 31, 2021		December 31, 2020		(In millions)	March 31, 2022		December 31, 2021
Investment funds, including related parties		$	6,865	$	6,087
Equity securities		217		165
CLO and ABS equities included in trading securities		1,042		971
Investment funds, including related parties and VIEs						Investment funds, including related parties and VIEs	$	17,899	$	9,866
Equity securities1						Equity securities1	732		872
CLO and ABS equities included in trading securities1						CLO and ABS equities included in trading securities1	1,075		1,418
Investment in Apollo	Investment in Apollo	(1,281)		(1,324)		Investment in Apollo	—		(2,112)
Investment funds within funds withheld at interest	Investment funds within funds withheld at interest	1,522		1,155		Investment funds within funds withheld at interest	1,982		1,807
Royalties and other assets included in other investments	Royalties and other assets included in other investments	140		66		Royalties and other assets included in other investments	48		50

Net assets of the VIE, excluding investment funds						Net assets of the VIE, excluding investment funds	(8,632)		(772)
Unrealized (gains) losses and other adjustments	Unrealized (gains) losses and other adjustments	(24)		(44)		Unrealized (gains) losses and other adjustments	12		14
ACRA noncontrolling interest	ACRA noncontrolling interest	(477)		(283)		ACRA noncontrolling interest	(1,610)		(1,270)
Total adjustments to arrive at alternative investments	Total adjustments to arrive at alternative investments	1,139		706		Total adjustments to arrive at alternative investments	(6,393)		7
Net alternative investments	Net alternative investments	$	8,004	$	6,793	Net alternative investments	$	11,506	$	9,873

1 Prior period has been updated to reflect a reclassification between equity securities and CLO and ABS equities included in trading securities.						1 Prior period has been updated to reflect a reclassification between equity securities and CLO and ABS equities included in trading securities.

The reconciliation of total liabilities to net reserve liabilities is as follows:


							Successor		Predecessor
(In millions)	(In millions)	March 31, 2021		December 31, 2020		(In millions)	March 31, 2022		December 31, 2021
Total liabilities	Total liabilities	$	187,334	$	182,631	Total liabilities	$	232,442	$	212,968

Long-term debt	Long-term debt	(1,977)		(1,976)		Long-term debt	(3,287)		(2,964)

Derivative liabilities	Derivative liabilities	(288)		(298)		Derivative liabilities	(631)		(472)
Payables for collateral on derivatives		(3,353)		(3,203)
Funds withheld liability		(422)		(452)
Payables for collateral on derivatives and short-term repurchase agreements						Payables for collateral on derivatives and short-term repurchase agreements	(5,717)		(6,446)
Other liabilities	Other liabilities	(2,436)		(2,040)		Other liabilities	(1,944)		(2,975)

Liabilities of consolidated VIEs						Liabilities of consolidated VIEs	(6,801)		(461)
Reinsurance ceded receivables	Reinsurance ceded receivables	(4,690)		(4,848)		Reinsurance ceded receivables	(4,648)		(4,594)
Policy loans ceded	Policy loans ceded	(199)		(204)		Policy loans ceded	(158)		(169)
ACRA noncontrolling interest	ACRA noncontrolling interest	(25,625)		(24,618)		ACRA noncontrolling interest	(35,019)		(32,933)
Other	Other	(5)		(3)		Other	(3)		(3)
Total adjustments to arrive at net reserve liabilities	Total adjustments to arrive at net reserve liabilities	(38,995)		(37,642)		Total adjustments to arrive at net reserve liabilities	(58,208)		(51,017)
Net reserve liabilities	Net reserve liabilities	$	148,339	$	144,989	Net reserve liabilities	$	174,234	$	161,951

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Liquidity and Capital Resources

There are two forms of liquidity relevant to our business, funding liquidity and balance sheet liquidity. Funding liquidity relates to the ability to fund operations. Balance sheet liquidity relates to our ability to liquidate or rebalance our balance sheet without incurring significant costs from fees, bid-offer spreads, or market impact. We manage our liquidity position by matching projected cash demands with adequate sources of cash and other liquid assets. Our principal sources of liquidity, in the ordinary course of business, are operating cash flows and holdings of cash, cash equivalents and other readily marketable assets.

Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Our investment portfolio is structured to ensure a strong liquidity position over time in order to permit timely payment of policy and contract benefits without requiring asset sales at inopportune times or at depressed prices. In general, liquid assets include cash and cash equivalents, highly rated corporate bonds, unaffiliated preferred stock and unaffiliated public common stock, all of which generally have liquid markets with a large number of buyers. The carrying value of these assets, excluding assets within modified coinsurance and funds withheld portfolios, as of March 31, ~~2021~~2022 was ~~$73.2~~$85.3 billion. Assets included in modified coinsurance and funds withheld portfolios are available to fund the benefits for the associated obligations but are restricted from other uses. The carrying value of the underlying assets in these modified coinsurance and funds withheld portfolios that we consider liquid as of March 31, ~~2021~~2022 was ~~$34.3~~$28.5 billion. Although our investment portfolio does contain assets that are generally considered illiquid for liquidity monitoring purposes (primarily mortgage loans, policy loans, real estate, investment funds, and affiliated common stock), there is some ability to raise cash from these assets if needed. In periods of economic downturn, such as the one brought about by the spread of COVID-19, we may maintain higher cash balances than required to manage our liquidity risk and to take advantage of market dislocations as they arise. We have access to additional liquidity through our $1.25 billion credit agreement, which was undrawn as of March 31, ~~2021~~2022 and had a remaining term of more than ~~three~~two years, subject to up to two one-year extensions. We also have access to ~~a $1.0~~$2.0 billion of committed repurchase ~~facility.~~facilities. Our registration statement on Form S-3 ASR (Shelf Registration Statement) provides us access to the capital markets, subject to favorable market conditions and other factors. We are also party to repurchase agreements with several different financial institutions, pursuant to which we may obtain short-term liquidity, to the extent available. In addition, through our membership in the FHLB, we are eligible to borrow under variable rate short-term federal funds arrangements to provide additional liquidity.

We proactively manage our liquidity position to meet cash needs while minimizing adverse impacts on investment returns. We analyze our cash-flow liquidity over the upcoming 12 months by modeling potential demands on liquidity under a variety of scenarios, taking into account the provisions of our policies and contracts in force, our cash flow position, and the volume of cash and readily marketable securities in our portfolio. ~~We also monitor our liquidity profile under more severe scenarios.~~

~~We perform~~Liquidity risk is monitored, managed and mitigated through a number of stress tests and analyses to assess our ability to meet our cash flow requirements, as well as the ability of our reinsurance and insurance subsidiaries to meet their collateral ~~obligations. Among these analyses, we manage~~obligations, under various stress scenarios. We further seek to ~~the following ALM limits:~~mitigate liquidity risk by maintaining access to alternative, external sources of liquidity as described below.

•Our liquidity risk management framework is codified in the company’s Liquidity Risk Policy that is reviewed and approved by our board of directors.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 AUSA’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 – AUSA 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~~

▪~~US regulated entity capital maintenance calls from nonmodco activity.~~

Insurance Subsidiaries’ Liquidity

Operations

The primary cash flow sources for our insurance subsidiaries include retirement services product inflows (premiums), investment income, principal repayments on our investments, net transfers from separate accounts and financial product inflows. Uses of cash include investment purchases, payments to policyholders for surrenders, withdrawals and payout benefits, interest and principal payments on funding agreements, payments to satisfy ~~PRT~~pension group annuity obligations, policy acquisition costs and general operating costs.

~~Table of Contents~~

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Our policyholder obligations are generally long-term in nature. However, one liquidity risk is an extraordinary level of early policyholder withdrawals. We include provisions within our annuity policies, such as surrender charges and MVAs, which are intended to protect us from early withdrawals. As of each of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, approximately ~~75%~~74% of our deferred annuity liabilities were subject to penalty upon surrender. In addition, as of each of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, approximately ~~56%~~54% of policies contained MVAs that may also have the effect of limiting early withdrawals if interest rates increase, but may encourage early withdrawals by effectively subsidizing a portion of surrender charges when interest rates decrease. Although interest rates rose during the three months ended March 31, 2021, given the sharp decline in interest rates that occurred during 2020, our MVAs may reduce the surrender charge otherwise required to be paid upon early withdrawal. Our funding agreements, group annuities and payout annuities are generally ~~non-surrenderable.~~non-surrenderable which accounts for approximately 30% of our net reserve liabilities.

Membership in Federal Home Loan Bank

Through our membership in the FHLB, we are eligible to borrow under variable rate short-term federal funds arrangements to provide additional liquidity. The borrowings must be secured by eligible collateral such as mortgage loans, eligible CMBS or RMBS, government or agency securities and guaranteed loans. As of each of March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had $0 million of outstanding borrowings under these arrangements.

We have issued funding agreements to the FHLB. These funding agreements were issued in an investment spread strategy, consistent with other investment spread operations. As of ~~each of~~ March 31, ~~2021~~2022 and December 31, ~~2020,~~2021, we had funding agreements outstanding with the FHLB in the aggregate principal amount of ~~$2.0 billion.~~$3.2 billion and $2.8 billion, respectively.

The maximum FHLB indebtedness by a member is determined by the amount of collateral pledged, and cannot exceed a specified percentage of the member’s total statutory assets dependent on the internal credit rating assigned to the member by the FHLB. As of March 31, ~~2021,~~2022, the total maximum borrowings under the FHLB facilities were limited to ~~$33.3~~$43.3 billion. However, our ability to borrow under the facilities is constrained by the availability of assets that qualify as eligible collateral under the facilities and certain other limitations. Considering these limitations, we estimate that as of March 31, ~~2021~~2022 we had the ability to draw up to a total of approximately ~~$3.7~~$4.2 billion, inclusive of borrowings then outstanding. This estimate is based on our internal analysis and assumptions, and may not accurately measure collateral which is ultimately acceptable to the FHLB. ~~Drawing such amounts would have an adverse impact on AADE’s and/or AAIA’s RBC ratio, which may further restrict our ability or willingness to draw up to our estimated capacity.~~

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Securities Repurchase Agreements

We engage in repurchase transactions whereby we sell fixed income securities to third parties, primarily major brokerage firms or commercial banks, with a concurrent agreement to repurchase such securities at a determined future date. We require that, at all times during the term of the repurchase agreements, we maintain sufficient cash or other liquid assets sufficient to allow us to fund substantially all of the repurchase price. Proceeds received from the sale of securities pursuant to these arrangements are generally invested in short-term investments, with the offsetting obligation to repurchase the security included within payables for collateral on derivatives and securities to repurchase on the condensed consolidated balance sheets. As per the terms of the repurchase agreements, we monitor the market value of the securities sold and may be required to deliver additional collateral (which may be in the form of cash or additional securities) to the extent that the value of the securities sold decreases prior to the repurchase date.

As of March 31, 2022 and December 31, 2021, the payables for repurchase agreements were $4.0 billion and $3.1 billion, respectively, while the fair value of securities and collateral held by counterparties backing the repurchase agreements was $4.0 billion and $3.2 billion, respectively. As of March 31, 2022, payables for repurchase agreements ~~was $603~~were comprised of $2.5 billion of short-term and $1.5 billion of long-term repurchase agreements. As of December 31, 2021, payables for repurchase agreements were comprised of $2.5 billion of short-term and $598 million ~~and $599 million, respectively.~~of long-term repurchase agreements.

~~On May 1, 2020, we signed~~We have a $1.0 billion committed repurchase facility with BNP Paribas. The facility has an initial commitment period of 12 months and automatically renews for successive 12-month periods until terminated by either party. During the commitment period, we may sell and BNP Paribas is required to purchase eligible investment grade corporate bonds pursuant to repurchase transactions at pre-agreed discounts in exchange for a ~~41 basis points per annum~~ commitment fee. As of March 31, ~~2021,~~2022, we had no outstanding payables under this facility.

~~Table~~We have a $1.0 billion committed repurchase facility with Societe Generale. The facility has a commitment term of ~~Contents~~5 years, however, either party may terminate the facility upon 24-months’ notice, in which case the facility will end upon the earlier of (1) such designated termination date, or (2) July 26, 2026. During the commitment period, we may sell and Societe Generale is required to purchase eligible investment grade corporate bonds pursuant to repurchase transactions at pre-agreed rates in exchange for an ongoing commitment fee for the facility. As of March 31, 2022, we had no outstanding payables under this facility.

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

Cash Flows

Our cash flows were as follows:


		Three months ended March 31,					Successor		Predecessor
(In millions)	(In millions)	2021		2020		(In millions)	Three months ended March 31, 2022		Three months ended March 31, 2021
Net income (loss)	Net income (loss)	$	77	$	(1,216)	Net income (loss)	$	(2,366)	$	77

Non-cash revenues and expenses	Non-cash revenues and expenses	1,549		1,987		Non-cash revenues and expenses	2,521		1,549
Net cash provided by operating activities	Net cash provided by operating activities	1,626		771		Net cash provided by operating activities	155		1,626
Sales, maturities and repayments of investments	Sales, maturities and repayments of investments	5,230		6,214		Sales, maturities and repayments of investments	12,078		5,230
Purchases of investments	Purchases of investments	(12,570)		(6,476)		Purchases of investments	(18,411)		(12,570)

Other investing activities	Other investing activities	457		(116)		Other investing activities	168		457
Net cash used in investing activities	Net cash used in investing activities	(6,883)		(378)		Net cash used in investing activities	(6,165)		(6,883)
Issuance of common stock		1		350
Net proceeds and repayments of debt		—		(75)
Inflows on investment-type policies and contracts	Inflows on investment-type policies and contracts	5,162		2,838		Inflows on investment-type policies and contracts	8,342		5,162
Withdrawals on investment-type policies and contracts	Withdrawals on investment-type policies and contracts	(1,684)		(1,633)		Withdrawals on investment-type policies and contracts	(2,245)		(1,684)
Net capital contributions and distributions to/from noncontrolling interests		235		194
Net change in cash collateral posted for derivative transactions and securities to repurchase		151		(372)

Preferred stock dividends		(36)		(18)
Repurchase of common stock		(4)		(328)

Other financing activities	Other financing activities	(37)		14		Other financing activities	(634)		310
Net cash provided by financing activities	Net cash provided by financing activities	3,788		970		Net cash provided by financing activities	5,463		3,788
Effect of exchange rate changes on cash and cash equivalents	Effect of exchange rate changes on cash and cash equivalents	—		(22)		Effect of exchange rate changes on cash and cash equivalents	(4)		—
Net (decrease) increase in cash and cash equivalents1		$	(1,469)	$	1,341
Net decrease in cash and cash equivalents1						Net decrease in cash and cash equivalents1	$	(551)	$	(1,469)

1 Includes cash and cash equivalents and restricted cash.
1 Includes cash and cash equivalents, restricted cash and cash and cash equivalents of consolidated variable interest entities.						1 Includes cash and cash equivalents, restricted cash and cash and cash equivalents of consolidated variable interest entities.

Cash flows from operating activities

The primary cash inflows from operating activities include net investment income, annuity considerations and insurance premiums. The primary cash outflows from operating activities are comprised of benefit payments and operating expenses. Our operating activities generated cash flows totaling $155 million and $1.6 billion ~~and $771 million~~ for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The ~~increase~~decrease in cash provided by operating activities was primarily driven by ~~higher~~lower cash received from ~~PRT~~pension group annuity transactions.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Cash flows from investing activities

The primary cash inflows from investing activities are the sales, maturities and repayments of investments. The primary cash outflows from investing activities are the purchases and acquisitions of new investments. Our investing activities used cash flows totaling ~~$6.9~~$6.2 billion and ~~$378 million~~$6.9 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The ~~increase~~decrease in cash used in investing activities was primarily ~~attributed~~attributable to an increase in sales, maturities and repayments of AFS securities, largely offset by an increase in purchases of investments due to the deployment of significant cash inflows from organic growth ~~as well as a higher amount of sales in the~~compared to prior ~~year to increase liquidity in response to the economic environment during that period.~~year.

Cash flows from financing activities

The primary cash inflows from financing activities are inflows on our investment-type policies, changes of cash collateral posted for derivative transactions, capital contributions, proceeds from the issuance of stock and proceeds from borrowing activities. The primary cash outflows from financing activities are withdrawals on our investment-type policies, changes of cash collateral posted for derivative transactions, repayments of outstanding borrowings, repurchases of common stock and payment of preferred and common stock dividends. Our financing activities provided cash flows totaling ~~$3.8~~$5.5 billion and ~~$1.0~~$3.8 billion for the three months ended March 31, ~~2021~~2022 and ~~2020,~~2021, respectively. The increase in cash provided by financing activities was primarily attributed to higher ~~investment-type~~organic inflows from retail and funding agreements net of liability outflows, the change in cash collateral posted for derivative transactions driven by favorable equity market performance in the current quarter compared to unfavorable performance in the prior year quarter, a decrease in repurchases of common stock and the repayment of $75 million of short-term debt in the prior year quarter,withdrawals. This was partially offset by the ~~issuance~~payment of ~~stock in connection with~~ the ~~strategic transaction with~~$750 million dividend to Apollo declared in the prior ~~year quarter.~~quarter as well as the payment of common stock dividends of $188 million in the quarter ended March 31, 2022.

94Material Cash Obligations

~~Table~~

The following table summarizes estimated future cash obligations as of ~~Contents~~March 31, 2022:

~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~


	Payments Due by Period
(In millions)	Total		2022		2023-2024		2025-2026		2027 and thereafter
Interest sensitive contract liabilities	$	164,369	$	13,831	$	39,241	$	32,335	$	78,962
Future policy benefits	48,093		1,749		3,492		3,411		39,441
Other policy claims and benefits	146		146		—		—		—
Dividends payable to policyholders	100		3		9		9		79

Long-term debt1	4,802		125		253		253		4,171
Securities to repurchase2	4,052		2,430		246		624		752
Total	$	221,562	$	18,284	$	43,241	$	36,632	$	123,405

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.
2 The obligations for securities for repurchase payments include contractual maturities of principal and estimated future interest payments based on the terms of the agreements. Future interest payments on floating rate repurchase agreements were calculated using the March 31, 2022 interest rate.

Holding Company Liquidity

Common Stock Dividends

We declared common stock cash dividends of $750 million on December 31, 2021, payable to holders of AHL’s Class A shares with a record date and payment date following the completion of our merger with AGM. The dividend payable was included in related party other liabilities on the consolidated balance sheets as of December 31, 2021. The dividend was paid on January 4, 2022.

We declared common stock cash dividends of $187.5 million on March 30, 2022, payable to the holders of the AHL’s Class A common shares with a record date of March 30, 2022 and payment date of March 31, 2022.

Dividends from Subsidiaries

AHL is a holding company whose primary liquidity needs include the cash-flow requirements relating to its corporate activities, including its day-to-day operations, debt servicing, preferred and common stock dividend payments and strategic transactions, such as acquisitions. The primary source of AHL’s cash flow is dividends from its subsidiaries, which are expected to be adequate to fund cash flow requirements based on current estimates of future obligations.

The ability of AHL’s insurance subsidiaries to pay dividends is limited by applicable laws and regulations of the jurisdictions where the subsidiaries are domiciled, as well as agreements entered into with regulators. These laws and regulations require, among other things, the insurance subsidiaries to maintain minimum solvency requirements and limit the amount of dividends these subsidiaries can pay.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Subject to these limitations and prior notification to the appropriate regulatory agency, the US insurance subsidiaries are permitted to pay ordinary dividends based on calculations specified under insurance laws of the relevant state of domicile. Any distributions above the amount permitted by statute in any twelve month period are considered to be extraordinary dividends, and require the approval of the appropriate regulator prior to payment. AHL does not currently plan on having the US subsidiaries pay any dividends to ~~ALRe.~~their parents.

Dividends from ~~ALRe~~subsidiaries are projected to be the primary source of AHL’s liquidity. Under the Bermuda Insurance Act, ALRe is prohibited from paying a dividend in an amount exceeding 25% of the prior year’s statutory capital and surplus, unless at least two members of ALRe’s board of directors and its principal representative in Bermuda sign and submit to the Bermuda Monetary Authority (BMA) an affidavit attesting that a dividend in excess of this amount would not cause ALRe to fail to meet its relevant margins. In certain instances, ALRe would also be required to provide prior notice to the BMA in advance of the payment of dividends. In the event that such an affidavit is submitted to the BMA in accordance with the Bermuda Insurance Act, and further subject to ALRe meeting its relevant margins, ALRe is permitted to distribute up to the sum of 100% of statutory surplus and an amount less than 15% of its total statutory capital. Distributions in excess of this amount require the approval of the BMA.

The maximum distribution permitted by law or contract is not necessarily indicative of our actual ability to pay such distributions, which may be further restricted by business and other considerations, such as the impact of such distributions on surplus, which could affect our ratings or competitive position and the amount of premiums that can be written. Specifically, the level of capital needed to maintain desired financial strength ratings from rating agencies, including S&P, A.M. Best and Fitch, is of particular concern when determining the amount of capital available for distributions. AHL believes its insurance subsidiaries have sufficient statutory capital and surplus, combined with additional capital available to be provided by AHL, to meet their financial strength ratings objectives. Finally, state insurance laws and regulations require that the statutory surplus of our insurance subsidiaries following any dividend or distribution must be reasonable in relation to their outstanding liabilities and adequate for the insurance subsidiaries’ financial needs.

Other Sources of Funding

We may seek to secure additional funding at the holding company level by means other than dividends from subsidiaries, such as by drawing on our undrawn $1.25 billion credit agreement or by pursuing future issuances of debt ~~or equity securities~~ to third-party investors. Certain other sources of liquidity potentially available at the holding company level are discussed below.

~~Shelf Registration –~~ Under our Shelf Registration Statement, subject to market conditions, we have the ability to issue, in indeterminate amounts, debt securities, preference shares, depositary shares, Class A common shares, warrants and units.

~~Debt –~~ On January 12, 2018, we issued $1.0 billion in aggregate principal amount of 4.125% senior notes due 2028 (2028 Notes). On April 3, 2020, we issued $500 million in aggregate principal amount of 6.150% senior unsecured notes due 2030 (2030 Notes). On October 8, 2020, we issued $500 million in aggregate principal amount of 3.500% senior unsecured notes due 2031 (2031 Notes).

~~Preferred Stock –~~ On June 10, 2019, we issued 34,500 6.35% Fixed-to-Floating Rate Perpetual Non-Cumulative Preference Shares, Series A, par value of $1.00 per share with a liquidation preference of $25,000 per share, for aggregate proceeds of $839 million, net of the underwriters’ discount and estimated expenses.

On September 19, 2019, we issued 13,800 5.625% Fixed-Rate Perpetual Non-Cumulative Preference shares, Series B, par value of $1.00 per share with a liquidation preference of $25,000 per share, for aggregate proceeds of $333 million, net of the underwriters’ discount and estimated expenses.

On June 11, 2020, we issued 24,000 6.375% Fixed-Rate Reset Perpetual Non-Cumulative Preference shares, Series C, par value of $1.00 per share with a liquidation preference of $25,000 per share, for aggregate proceeds of $583 million, net of the underwriters’ discount and estimated expenses.

On December 18, 2020, we issued 23,000 4.875% Fixed-Rate Perpetual Non-Cumulative Preference shares, Series D, par value of $1.00 per share with a liquidation preference of $25,000 per share, for aggregate proceeds of $557 million, net of the underwriters’ discount and estimated expenses. See ~~Note 7 – Equity~~ ~~to the condensed consolidated financial statements for further information.~~

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~~Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations~~

~~Intercompany Note –~~ AHL has an unsecured revolving note payable with ALRe, which permits AHL to borrow up to $1 billion with a fixed interest rate of 1.25% and a maturity date of March 31, 2024. As of March 31, 2021 and December 31, 2020, the revolving note payable had an outstanding balance of $25 million and $0 million, respectively.

In light of the spread of COVID-19 and the resulting impact on economic conditions and the financial markets, additional funding of the type described above may not be available on terms favorable to us or at all. As a result of the economic consequences of the spread of COVID-19, we have observed an increase in our cost of debt, though this trend has moderated as economic conditions have begun to stabilize. At the time of issuance, our 2028 Notes had a yield to maturity of 4.14% and a spread to benchmark treasury of T + 160 basis points. At the time of issuance, our 2030 Notes had a yield to maturity of 6.18% and a spread to benchmark treasury of T + 550 basis points. At the time of issuance, our 2031 Notes had a yield to maturity of 3.67% and a spread to benchmark treasury of T + 290 basis points. In addition, certain Certain covenants in our credit agreement prohibit us from maintaining debt in excess of specified thresholds. Specifically, our credit agreement prohibits us from permitting the Consolidated Debt to Capitalization Ratio (as such term is defined in the credit agreement) to exceed 35% as of the end of any quarter.

Shelf Registration – Under our Shelf Registration Statement, subject to market conditions, we have the ability to issue, in indeterminate amounts, debt securities, preference shares, depositary shares, Class A common shares, warrants and units.

Debt – The following summarizes our outstanding long-term senior notes (in millions, except percentages):


Issuance	Issue Date	Maturity Date	Interest Rate	Principal Balance
2028 Senior Unsecured Notes	January 12, 2018	2028	4.125%	$1,000
2030 Senior Unsecured Notes	April 3, 2020	2030	6.150%	$500
2031 Senior Unsecured Notes	October 8, 2020	2031	3.500%	$500
2051 Senior Unsecured Notes	May 25, 2021	2051	3.950%	$500
2052 Senior Unsecured Notes	December 13, 2021	2052	3.450%	$500

See Note 9 – Debt to the consolidated financial statements in our 2021 Annual Report for further information on debt.

Preferred Stock – The following summarizes our perpetual non-cumulative preferred stock issuances (in millions, except share, per share data and percentages):


Issuance	Fixed/Floating	Rate	Issue Date	Optional Redemption Date1	Shares Issued	Par Value Per Share	Liquidation Value Per Share	Aggregate Net Proceeds
Series A	Fixed-to-Floating Rate	6.350%	June 10, 2019	June 30, 2029	34,500	$1.00	$25,000	$839
Series B	Fixed-Rate	5.625%	September 19, 2019	September 30, 2024	13,800	$1.00	$25,000	$333
Series C	Fixed-Rate Reset	6.375%	June 11, 2020	Variable2	24,000	$1.00	$25,000	$583
Series D	Fixed-Rate	4.875%	December 18, 2020	December 30, 2025	23,000	$1.00	$25,000	$557

1 We may redeem preferred stock anytime on or after the dates set forth in this column, subject to the terms of the applicable certificate of designations.
2 We may redeem during a period from and including June 30 of each year in which there is a Reset Date to and including such Reset Date. Reset Date means September 30, 2025 and each date falling on the fifth anniversary of the preceding Reset Date.

See Note 10 – Equity to the consolidated financial statements in our 2021 Annual Report for further information on preferred stock.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Intercompany Note – AHL has an unsecured revolving note payable with ALRe, which permits AHL to borrow up to $2 billion with a fixed interest rate of 2.29% and a maturity date of December 15, 2028. As of March 31, 2022 and December 31, 2021, the revolving note payable had an outstanding balance of $417 million and $158 million, respectively.

Capital ~~Resources~~

We believe that we have a strong capital position and that we are well positioned to meet policyholder and other obligations. We measure capital sufficiency using an internal capital model which reflects management’s view on the various risks inherent to our business, the amount of capital required to support our core operating strategies and the amount of capital necessary to maintain our current ratings in a recessionary environment. The amount of capital required to support our core operating strategies is determined based upon internal modeling and analysis of economic risk, as well as inputs from rating agency capital models and consideration of both NAIC RBC and Bermuda capital requirements. Capital in excess of this required amount is considered excess equity capital, which is available to deploy.

As of December 31, ~~2020~~2021 and ~~2019,~~2020, our US insurance companies’ TAC, as defined by the NAIC, was ~~$2.7~~$3.0 billion and ~~$2.4~~$2.7 billion, respectively, and our US RBC ratio was ~~425%~~377% and ~~429%~~425%, respectively. The decrease was primarily driven by strong growth in our organic channels, a recent NAIC update to C-1 factors, higher unfunded commitments and the impairment of a COLI asset, partially offset by higher total adjusted capital largely from capital contributions. Each US domestic insurance subsidiary’s state of domicile imposes minimum RBC requirements that were developed by the NAIC. The formulas for determining the amount of RBC specify various weighting factors that are applied to financial balances or various levels of activity based on the perceived degree of risk. Regulatory compliance is determined by a ratio of TAC to its authorized control level RBC (ACL). Our TAC was significantly in excess of all regulatory standards as of December 31, ~~2020~~2021 and ~~2019,~~2020, respectively.

Bermuda statutory capital and surplus for ~~ALRe~~our Bermuda insurance companies in aggregate was ~~$13.5~~$14.6 billion and ~~$11.0~~$13.5 billion as of December 31, 2021 and 2020, ~~and 2019,~~ respectively. ~~ALRe adheres~~Our Bermuda insurance companies adhere to BMA regulatory capital requirements to maintain statutory capital and surplus to meet the minimum margin of solvency and maintain minimum economic balance sheet (EBS) capital and surplus to meet the enhanced capital requirement. Under the EBS framework, ~~ALRe’s~~ assets are recorded at market value and ~~its~~ insurance reserves are determined by reference to nine prescribed scenarios, with the scenario resulting in the highest reserve balance being ultimately required to be selected. ~~ALRe’s~~The Bermuda group’s EBS capital and surplus was ~~$17.2~~$19.7 billion and ~~$14.1~~$17.2 billion, resulting in a BSCR ratio of ~~254%~~232% and ~~310%~~254% as of December 31, 2021 and 2020, respectively. The decrease was primarily driven by strong growth in our organic channels and ~~2019, respectively. ALRe’s~~the declared dividend. The Bermuda group’s BSCR ratio includes the capital and surplus of ALRe, AARe, ALReI and all of ~~ALRe’s~~their subsidiaries, including AUSA and ~~AOG~~its subsidiaries. An insurer must have a BSCR ratio of 100% or greater to be considered solvent by the BMA. As of December 31, 2021 and 2020, ~~and 2019, ALRe~~our Bermuda insurance companies held the appropriate capital to adhere to these regulatory standards. ~~Prior to the implementation of our internal capital model, we also utilized an ALRe RBC ratio to analyze and determine the amount of capital necessary to support our core operating strategies.~~ As of December 31, 2021 and 2020, ~~and 2019,~~ our ~~ALRe~~Bermuda RBC was ~~460%~~410% and ~~443%~~460%, respectively. The ~~ALRe~~decrease was primarily driven by strong growth in our organic channels, a recent NAIC update to C-1 factors and the declared dividend. The Bermuda RBC ratio is calculated by applying the NAIC RBC factors to the statutory financial statements of ~~ALRe and ALRe's non-U.S.reinsurance~~our non-US reinsurance subsidiaries on an aggregate basis with certain adjustments made by management as described in the glossary. We exclude our interests in the AOG units and other subsidiary holding companies from our capital base for purposes of calculating ~~ALRe~~Bermuda RBC, but do reflect such interests within our capital analysis, net of risk charges.

~~Repurchase of Securities~~ACRA – ACRA provides us with access to on-demand capital to support our growth strategies and capital deployment opportunities. ACRA provides a capital source to fund both our inorganic and organic channels, including PGA, funding agreements and retail channels. This shareholder-friendly, strategic capital solution allows us the flexibility to simultaneously deploy capital across multiple accretive avenues, while maintaining a strong financial position.

~~Share Repurchase Program~~

In December of 2018, our board of directors established a share repurchase program with an initial authorization for the repurchase of up to $250 million of our Class A common shares. In 2019, our board of directors approved four additional authorizations under our share repurchase program for the purchase of up to an additional $1.3 billion of our Class A common shares, in the aggregate, for a total authorization of $1.6 billion. As of May 10, 2021, we have repurchased, in the aggregate, 35.6 million Class A common shares for $1.3 billion since inception of our share repurchase program and have $221 million of repurchase authorization remaining. The timing and amount of share repurchases, if any, will be determined by management in accordance with the authority delegated by our board of directors.

~~Repurchase of Other Securities~~

We may from time to time seek to retire or purchase our other outstanding debt or equity securities through cash purchases and/or exchanges for other securities, purchases in the open market, privately negotiated transactions or otherwise. Any such repurchases will be dependent upon several factors, including our liquidity requirements, contractual restrictions, general market conditions and applicable regulatory, legal and accounting factors. Whether or not we repurchase any of our other securities and the size and timing of any such repurchases will be determined at our discretion.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

~~Balance Sheet and Other Arrangements~~

~~Balance Sheet Arrangements~~

~~Contractual Obligations~~

~~There have been no material changes to our contractual obligations from those previously disclosed in our 2020 Annual Report.~~

~~Off Balance Sheet Arrangements~~

~~None.~~

Critical Accounting Estimates and Judgments

The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of any contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Amounts based on such estimates involve numerous assumptions subject to varying and potentially significant degrees of judgment and uncertainty, particularly related to the future performance of the underlying business, and will likely change in the future as additional information becomes available. Critical estimates and assumptions are evaluated on an ongoing basis based on historical developments, market conditions, industry trends and other information that is reasonable under the circumstances. There can be no assurance that actual results will conform to estimates and assumptions and that reported results of operations will not be materially affected by the need to make future accounting adjustments to reflect periodic changes in these estimates and assumptions. Critical accounting estimates are impacted significantly by our methods, judgments and assumptions used in the preparation of the consolidated financial statements and should be read in conjunction with our significant accounting policies described in Note 1 – Business, Basis of Presentation and Significant Accounting Policies to the consolidated financial statements of our ~~2020~~2021 Annual Report. The ~~most~~following summary of our critical accounting estimates is intended to enhance one’s ability to assess our financial condition and results of operations and the potential volatility due to changes in estimate. Other than as described in this Item 2, there have been no material changes to our critical accounting estimates and judgments ~~include~~from those ~~used~~previously disclosed in ~~determining:~~

•~~fair value of investments;~~

•~~credit loss allowances;~~

•~~future policy benefit reserves;~~

•~~derivatives valuation, including embedded derivatives;~~

•~~deferred acquisition costs, deferred sales inducements~~our 2021 Annual Report. The following updates and ~~value of business acquired;~~

•~~consolidation of VIEs; and~~

•~~valuation allowances on deferred tax assets.~~

~~The above~~supplements the critical accounting estimates and judgments in our 2021 Annual Report.

Investments

We are ~~discussed~~responsible for the fair value measurement of certain investments presented in ~~detail~~our condensed consolidated financial statements. We perform regular analysis and review of our valuation techniques, assumptions and inputs used in determining fair value to evaluate if the valuation approaches are appropriate and consistently applied, and the various assumptions are reasonable. We also perform quantitative and qualitative analysis and review of the information and prices received from commercial pricing services and broker-dealers, to verify it represents a reasonable estimate of the fair value of each investment. In addition, we use both internally-developed and commercially-available cash flow models to analyze the reasonableness of fair values using credit spreads and other market assumptions, where appropriate. For investment funds, we typically recognize our investment, including those for which we have elected the fair value option, based on net asset value information provided by the general partner or related asset manager. For a discussion of our investment funds for which we have elected the fair value option, see ~~Part II—~~Note 6 – Fair Value to the condensed consolidated financial statements.

Valuation of Mortgage Loans

Effective January 1, 2022, we elected the fair value option on our mortgage loan portfolio. We use independent commercial pricing services to value our mortgage loans portfolio. Discounted cash flow analysis is performed through which the loans’ contractual cash flows are modeled and an appropriate discount rate is determined to discount the cash flows to arrive at a present value. Financial factors, credit factors, collateral characteristics and current market conditions are all taken into consideration when performing the discounted cash flow analysis. We perform vendor due diligence exercises annually to review vendor processes, models and assumptions. Additionally, we review price movements on a quarterly basis to ensure reasonableness.

Future Policy Benefits

The future policy benefit liabilities associated with long duration contracts include term and whole-life products, accident and health, disability, and deferred and immediate annuities with life contingencies. Liabilities for non-participating long duration contracts are established using accepted actuarial valuation methods which require us to make certain assumptions regarding expenses, investment yields, mortality, morbidity, and persistency, with a provision for adverse deviation, at the date of issue or acquisition. As of March 31, 2022, the reserve investment yield assumptions for non-participating contracts range from 2.3% to 4.1% and are specific to our expected earned rate on the asset portfolio supporting the reserves. We base other key assumptions, such as mortality and morbidity, on industry standard data adjusted to align with actual company experience, if necessary. Premium deficiency tests are performed periodically using current assumptions, without provisions for adverse deviation, in order to test the appropriateness of the established reserves. If the reserves using current assumptions are greater than the existing reserves, the excess is recorded and the initial assumptions are revised.

Liabilities for Guaranteed Living Withdrawal Benefits and Guaranteed Minimum Death Benefits

We issue and reinsure deferred annuity contracts which contain GLWB and GMDB riders. We establish future policy benefits for GLWB and GMDB by estimating the expected value of withdrawal and death benefits in excess of the projected account balance. We recognize the excess proportionally over the accumulation period based on total actual and expected assessments. The methods we use to estimate the liabilities have assumptions about policyholder behavior, which includes lapses, withdrawals and utilization of the benefit riders; mortality; and market conditions affecting the account balance.

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Item 7.2. Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations—Critical Accounting Estimates~~Operations

Projected policyholder lapse and ~~Judgments~~ withdrawal behavior assumptions are set in one of two ways. For certain blocks of business, this behavior is a function of our ~~2020~~predictive analytics model which considers various observable inputs. For the remaining blocks of business, these assumptions are set at the product level by grouping individual policies sharing similar features and guarantees and reviewed periodically against experience. Base lapse rates consider the level of surrender charges and are dynamically adjusted based on the level of current interest rates relative to the guaranteed rates and the amount by which any rider guarantees are in a net positive position. Rider utilization assumptions consider the number and timing of policyholders electing the riders. We track and update this assumption as experience emerges. Mortality assumptions are set at the product level and generally based on standard industry tables, adjusted for historical experience and a provision for mortality improvement. Projected guaranteed benefit amounts in excess of the underlying account balances are considered over a range of scenarios in order to capture our exposure to the guaranteed withdrawal and death benefits.

The assessments used to accrue liabilities are based on interest margins, rider charges, surrender charges and realized gains (losses). As such, future reserve changes can be sensitive to changes in investment results and the impacts of shadow adjustments, which represent the impact of assuming unrealized gains (losses) are realized in future periods. As of March 31, 2022, the GLWB and GMDB liability balance, including the impacts of shadow adjustments, totaled $5.7 billion. The relative sensitivity of the GLWB and GMDB liability balance from changes to these assumptions, including the impacts of shadow adjustments from hypothetical changes in projected assessments, changes in the discount rate and annual equity growth, has decreased following the business combination and pushdown accounting election described in Note 2 – Business Combination. Using factors consistent with those previously disclosed in our 2021 Annual ~~Report.~~Report, changes to the GLWB and GMDB liability balance from these hypothetical changes in assumptions are not significant.

Derivatives

~~See~~

Valuation of Embedded Derivatives on indexed annuities

We issue and reinsure products, primarily indexed annuity products, or purchase investments that contain embedded derivatives. If we determine the embedded derivative has economic characteristics not clearly and closely related to the economic characteristics of the host contract, and a separate instrument with the same terms would qualify as a derivative instrument, the embedded derivative is bifurcated from the host contract and accounted for separately, unless the fair value option is elected on the host contract.

Indexed annuities and indexed universal life insurance contracts allow the policyholder to elect a fixed interest rate return or an equity market component for which interest credited is based on the performance of certain stock market indices. The equity market option is an embedded derivative, similar to a call option. The benefit reserve is equal to the sum of the fair value of the embedded derivative and the host (or guaranteed) component of the contracts. The fair value of the embedded derivatives represents the present value of cash flows attributable to the indexed strategies. The embedded derivative cash flows are based on assumptions for future policy growth, which include assumptions for expected index credits on the next policy anniversary date, future equity option costs, volatility, interest rates, and policyholder behavior. The embedded derivative cash flows are discounted using a rate that reflects our own credit rating. The host contract is established at contract inception as the initial account value less the initial fair value of the embedded derivative and accreted over the policy’s life. Contracts acquired through a business combination which contain an embedded derivative are re-bifurcated as of the acquisition date.

In general, the change in the fair value of the embedded derivatives will not directly correspond to the change in fair value of the hedging derivative assets. The derivatives are intended to hedge the index credits expected to be granted at the end of the current term. The options valued in the embedded derivatives represent the rights of the policyholder to receive index credits over the period indexed strategies are made available to the policyholder, which is typically longer than the current term of the options. From an economic basis we believe it is suitable to hedge with options that align with index terms of our indexed annuity products because policyholder accounts are credited with index performance at the end of each index term. However, because the value of an embedded derivative in an indexed annuity contract is longer-dated, there is a duration mismatch which may lead to differences in the recognition of income and expense for accounting purposes.

A significant assumption in determining policy liabilities for indexed annuities is the vector of rates used to discount indexed strategy cash flows. The change in risk free rates is expected to drive most of the movement in the discount rates between periods. Changes to credit spreads for a given credit rating as well as any change to our credit rating requiring a revised level of nonperformance risk would also be factors in the changes to the discount rate. If the discount rates used to discount the indexed strategy cash flows were to fluctuate, there would be a resulting change in reserves for indexed annuities recorded through the condensed consolidated statements of income (loss).

As of March 31, 2022, we had embedded derivative liabilities classified as Level 3 in the fair value hierarchy of $6.7 billion. The increase (decrease) to the embedded derivatives on FIA products from hypothetical changes in discount rates is summarized as follows:


(In millions)	March 31, 2022
+100 bps discount rate	$	(364)
–100 bps discount rate	407

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

However, these estimated effects do not take into account potential changes in other variables, such as equity price levels and market volatility, which can also contribute significantly to changes in carrying values. Therefore, the quantitative impact presented in the table above does not necessarily correspond to the ultimate impact on the condensed consolidated financial statements. In determining the ranges, we have considered current market conditions, as well as the market level of discount rates that can reasonably be anticipated over the near-term. For additional information regarding sensitivities to interest rate risk and public equity risk, see Item 3 Quantitative and Qualitative Disclosures About Market Risks.

Deferred Acquisition Costs, Deferred Sales Inducements, and Value of Business Acquired

Costs related directly to the successful acquisition of new or renewal insurance or investment contracts are deferred to the extent they are recoverable from future premiums or gross profits. These costs consist of commissions and policy issuance costs, as well as sales inducements credited to policyholder account balances. We perform periodic tests, including at issuance, to determine if the deferred costs are recoverable. If it is determined that the deferred costs are not recoverable, we record a cumulative charge to the current period.

Our estimates of expected gross profits and margins are based on assumptions using accepted actuarial methods related to policyholder behavior, including lapses and the utilization of benefit riders, mortality, yields on investments supporting the liabilities, future interest credited amounts (including indexed related credited amounts on fixed indexed annuity products), and other policy changes as applicable, and the level of expenses necessary to maintain the policies over their expected lives. Each reporting period, we update estimated gross profits with actual gross profits as part of the amortization process. We also periodically revise the key assumptions used in the amortization calculation which results in revisions to the estimated future gross profits. The effects of changes in assumptions are recorded as unlocking in the period in which the changes are made.

We establish VOBA for blocks of insurance contracts acquired through the acquisition of insurance entities. The fair value of the liabilities purchased is determined using market participant assumptions at the time of acquisition and represents the amount an acquirer would expect to be compensated to assume the contracts. We record the fair value of the liabilities assumed in two components: reserves and VOBA. Reserves are established using our best estimate assumptions, as previously discussed in future policy benefits. VOBA is the difference between the fair value of the liabilities and the reserves. VOBA can be either positive or negative. Any negative VOBA is recorded to the same financial statement line on the condensed consolidated balance sheets as the associated reserves. Positive VOBA is recorded in DAC, DSI and VOBA on the condensed consolidated balance sheets.

VOBA and negative VOBA are amortized in relation to applicable policyholder liabilities. Significant assumptions which impact VOBA and negative VOBA amortization are consistent with those which impact the measurement of policyholder liabilities.

Estimated future gross profits vary based on a number of factors but are typically most sensitive to changes in investment spread margins, which are the most significant component of gross profits. If estimated gross profits for all future years on business in force were to change, including the impacts of shadow adjustments, there would be a resulting increase or decrease to the balances of DAC and DSI recorded as an increase or decrease to amortization of DAC and DSI on the condensed consolidated statements of income (loss) or AOCI.

Actual gross profits will depend on actual margins, including the changes in the value of embedded derivatives. The most sensitive assumption in determining the value of the embedded derivative is the vector of rates used to discount the embedded derivative cash flows. If the discount rates used to discount the embedded derivative cash flows were to change, there would be a resulting increase or decrease to the balances of DAC and DSI recorded as an increase or decrease in amortization of DAC and DSI on the condensed consolidated statements of income (loss).

Following the business combination and application of pushdown accounting described in Note 2 – Business Combination, Predecessor DAC and DSI balances were eliminated. Successor DAC and DSI balances exhibit less sensitivity to hypothetical changes in estimated future gross profits and changes in the embedded derivative discount rate as they are less material following the business combination. VOBA balances no longer amortize based on estimated gross profits, and accordingly, are not sensitive to changes to actual or estimated gross profits.

Impact of Recent Accounting Pronouncements

For a discussion of new accounting pronouncements affecting us, see Note 1 – Business, Basis of Presentation and Significant Accounting Policies to the condensed consolidated financial ~~statements for adoption~~statements.

Table of ~~new and future accounting pronouncements.~~Contents

Item 3. Quantitative and Qualitative Disclosures About Market Risks

We regularly analyze our exposure to market risks, which reflect potential losses in value due to credit and counterparty risk, interest rate risk, currency risk, commodity price risk and equity price risk. As a result of that analysis, we have determined that we are primarily exposed to credit risk, interest rate risk and equity price risk. A description of our market risk exposures, including strategies used to manage our exposure to market risk, may be found under Part II—Item 7A. Quantitative and Qualitative Disclosures About Market Risk of our ~~2020~~2021 Annual Report.

There have been no material changes to our market risk exposures from those previously disclosed in our ~~2020~~2021 Annual ~~Report.~~Report, except as described below.

Sensitivities

Interest Rate Risk

We assess interest rate exposure for financial assets and financial liabilities using hypothetical stress tests and exposure analyses. Assuming all other factors are constant, if there was an immediate parallel increase in interest rates of 25 basis points from levels as of March 31, 2022, we estimate a net decrease to our point-in-time pre-tax income from changes in the fair value of these financial instruments of $992 million. The net change in fair value for these financial instruments would directly impact the current period gross profits and assessments used in the calculations of DAC and DSI amortization and changes to rider reserves, resulting in an offsetting increase to our pre-tax income of $34 million. If there were a similar parallel increase in interest rates from levels as of December 31, 2021, we estimate a net decrease to our point-in-time pre-tax income from changes in the fair value of these financial instruments of $511 million with an offsetting increase to pre-tax income of $17 million from DAC, DSI and VOBA amortization and changes in rider reserves. The increase in sensitivity was primarily due to (i) the election of the fair value accounting option for our mortgage loan portfolio, and (ii) materially different offsets stemming from DAC, DSI, and VOBA balances as a result of purchase accounting. The financial instruments included in the sensitivity analysis are carried at fair value and changes in fair value are recognized in earnings. These financial instruments include derivative instruments, embedded derivatives and certain fixed maturity securities. The sensitivity analysis excludes those financial instruments carried at fair value for which changes in fair value are recognized in equity, such as AFS fixed maturity securities.

Assuming a 25 basis point increase in interest rates that persists for a 12-month period, the estimated impact to spread related earnings would be an increase of approximately $30 – $40 million, and a 25 basis point decrease would generally result in a similar decrease. This is driven by a change in investment income from floating rate assets and liabilities, offset by DAC and DSI amortization and rider reserve change, all calculated without regard to future changes to assumptions. We are unable to make forward-looking estimates regarding the impact on net income of changes in interest rates that persist for a period of time as a result of an inability to determine how such changes will affect certain of the items that we characterize as “adjustments to income (loss) before income taxes” in our reconciliation between net income available to AHL common shareholder and spread related earnings. See Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations—Non-GAAP Measure Reconciliations for the reconciliation of net income available to AHL common shareholder to spread related earnings. The impact of changing rates on these adjustments is likely to be significant. See above for a discussion regarding the estimated impact on net income of an immediate, parallel increase in interest rates of 25 basis points from levels as of March 31, 2022, which discussion encompasses the impact of such an increase on certain of the adjustment items.

The models used to estimate the impact of a 25 basis point change in market interest rates incorporate numerous assumptions, require significant estimates and assume an immediate change in interest rates without any discretionary management action to counteract such a change. Consequently, potential changes in our valuations indicated by these simulations will likely be different from the actual changes experienced under any given interest rate scenarios and these differences may be material. Because we actively manage our assets and liabilities, the net exposure to interest rates can vary over time. However, any such decreases in the fair value of fixed maturity securities, unless related to credit concerns of the issuer requiring recognition of credit losses, would generally be realized only if we were required to sell such securities at losses to meet liquidity needs.

Public Equity Risk

We assess public equity market risk for financial assets and financial liabilities using hypothetical stress tests and exposure analyses. Assuming all other factors are constant, if there were a decline in public equity market prices of 10% as of March 31, 2022, we estimate a net decrease to our pre-tax income from changes in the fair value of these financial instruments of $399 million. The net change in fair value for these financial instruments would directly impact the current period gross profits and assessments used in the calculations of DAC and DSI amortization and changes to rider reserves, resulting in an offsetting increase to our pre-tax income of $30 million. As of December 31, 2021, we estimate that a decline in public equity market prices of 10% would cause a net decrease to our pre-tax income from changes in the fair value of these financial instruments of $392 million with an offsetting increase to our pre-tax income of $131 million from DAC, DSI, and VOBA amortization and changes in rider reserves. The decline in the DAC, DSI, and VOBA amortization as of March 31, 2022 when compared to that as of December 31, 2021 is driven by (i) the decline in the market value of the equity options and (ii) materially different offsets stemming from DAC, DSI, and VOBA balances as a result of purchase accounting. The financial instruments included in the sensitivity analysis are carried at fair value and changes in fair value are recognized in earnings. These financial instruments include public equity investments, derivative instruments and the FIA embedded derivative.

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Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

We maintain disclosure controls and procedures as such term is defined under Exchange Act Rule 13a-15(e), that are designed to ensure that information required to be disclosed in our Exchange Act reports is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms and that such information is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures. In designing and evaluating the disclosure controls and procedures, our management recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives and our management necessarily is required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. We have carried out an evaluation, as of the end of the period covered by this report, under the supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial Officer, of the effectiveness of the design and operation of our disclosure controls and procedures. Based on this evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures were effective at attaining the level of reasonable assurance noted above.

Changes in Internal Control Over Financial Reporting

~~There~~As discussed in Note 1 – Business, Basis of Presentation and Significant Accounting Policies and Note 2 – Business Combination to the unaudited condensed consolidated financial statements included in Part I—Item 1. Financial Statements of this report, we completed our merger with Apollo Global Management, Inc. on January 1, 2022, and elected pushdown accounting as of the acquisition date. In conjunction with this business combination, we established a new basis of accounting, at fair value, for the assets acquired and liabilities assumed as of the date of the merger closing. As a result, we designed and implemented new controls over the accounting and disclosures related to purchase accounting.

Except for the changes in connection with the acquisition as noted above, there were no changes to our internal control over financial reporting as defined in Exchange Act Rule 13a-15(f) during the quarter ended March 31, ~~2021,~~2022, that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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PART II—OTHER INFORMATION

Item 1. Legal Proceedings

We are subject to litigation arising in the ordinary course of our business, including litigation principally relating to our FIA business. We cannot assure you that our insurance coverage will be adequate to cover all liabilities arising out of such claims. The outcomes of legal proceedings and claims brought against us are subject to significant uncertainty. There is significant judgment required in assessing both the probability of an adverse outcome and the determination as to whether an exposure can be reasonably estimated. In management’s opinion, the ultimate disposition of any current legal proceeding or claim brought against us will not have a material effect on our financial condition, results of operations or cash flows. Litigation is, however, inherently uncertain and an adverse outcome from such litigation could have a material effect on the operating results of a particular reporting period.

From time to time, in the ordinary course of business and like others in the insurance and financial services industries, we receive requests for information from government agencies in connection with such agencies’ regulatory or investigatory authority. Such requests can include financial or market conduct examinations, subpoenas or demand letters for documents to assist the government in audits or investigations. We and each of our US insurance subsidiaries review such requests and notices and take appropriate action. We have been subject to certain requests for information and investigations in the past and could be subject to them in the future.

For a description of certain legal proceedings affecting us, see Note 10 – Commitments and Contingencies – Litigation, Claims and Assessments to the condensed consolidated financial statements.

Item 1A. Risk Factors

The following should be read in conjunction with, and supplement and amend, the factors that may affect our business or operations described in Part I–Item 1A. Risk Factors of our ~~2020~~2021 Annual Report. Other than as described in this Item 1A, there have been no material changes to our risk factors from the risk factors previously disclosed in our ~~2020~~2021 Annual Report.

The following updates and supplements the risk factors described in our ~~2020~~2021 Annual Report:

~~Risks Relating~~Changes in the laws and regulations governing the insurance industry or otherwise applicable to ~~the Proposed Merger between Us~~our business, may have a material adverse effect on our business, financial condition, results of operations, liquidity, cash flows and ~~AGM~~prospects.

~~There are a number of required approvals and other closing conditions in addition to shareholder approvals which may prevent or delay completion~~

Certain of the ~~mergers.~~laws and regulations to which we are subject are summarized in Part I–Item 1. Business–Regulation of our 2021 Annual Report. Changes in the laws and regulations relevant to our business may have a material adverse effect on our business, financial condition, results of operations, liquidity, cash flows and prospects. Certain of the risks associated with changes in these laws and regulations are discussed in greater detail below.

The ~~mergers~~Dodd-Frank Act made sweeping changes to the regulation of financial services entities, products and markets. Historically, the federal government had not directly regulated the insurance business; however, the Dodd-Frank Act generally provides for enhanced federal supervision of financial institutions, including some insurance companies in defined circumstances, as well as financial activities that are ~~subject~~deemed to represent a systemic risk to financial stability or the economy. Certain provisions of the Dodd-Frank Act are or may become applicable or relevant to us, our competitors or those entities with which we do business, including, but not limited to: the establishment of a comprehensive federal regulatory regime with respect to derivatives – see Item 1. Business–Regulation–Regulation of OTC Derivatives for further information; the establishment of consolidated federal regulation and resolution authority over SIFIs and/or systemically important financial activities; the establishment of the Federal Insurance Office; changes to the regulation of broker-dealers and investment advisors; changes to the regulation of reinsurance; changes to regulations affecting the rights of shareholders; the imposition of additional regulation over credit rating agencies; and the imposition of concentration limits on financial institutions that restrict the amount of credit that may be extended to a ~~number of conditions~~single person or entity.

Legislative or regulatory requirements imposed by or promulgated in connection with the Dodd-Frank Act may impact us in many ways, including, but not limited to: placing us at a competitive disadvantage relative to ~~closing as specified in~~our competition or other financial services entities; changing the ~~merger agreement. These closing conditions include, among others, (i) receipt~~competitive landscape of the ~~required approval~~financial services sector or the insurance industry; making it more expensive for us to conduct our business; requiring the reallocation of ~~the (a) AGM merger agreement proposal~~significant company resources to government affairs; increasing our legal and ~~(b) AHL merger agreement proposal; (ii) the authorizations, consents, orders or approvals of, or declarations or filings with,~~compliance related activities and the ~~expiration~~costs associated therewith as the Dodd-Frank Act may permit the preemption of ~~waiting periods required from,~~ certain ~~governmental authorities~~state laws when inconsistent with international agreements, such as the EU Covered Agreement and the UK Covered Agreement; and otherwise having been obtained and being in full force and effect; (iii) there being in effect no injunction, judgment, ruling or law enacted, promulgated, issued, entered, amended or enforced by any governmental authority enjoining, restraining or otherwise making illegal or prohibiting the consummation of the mergers; (iv) the SEC having declared the registration statement on Form S-4 effective under the Securities Act, there being no stop order in effect by the SEC suspending the effectiveness of the registration statement and there being no pending proceedings for that purpose; (v) the accuracy of the representations and warranties of the other party to the extent required under the merger agreement; (vi) in the case of each of AGM, AHL and HoldCo’s compliance with, in all material respects, each of the covenants, obligations and agreements it is required to comply with or perform at or prior to the effective times of the mergers and issuance to the other party or parties, as applicable, of a certificate signed by an executive officer of the party to such effect; and (vii) since the date of the merger agreement there must not have occurred and be continuing any (a) state of facts, circumstance, condition, event, change, development, occurrence, result, effect, action or omission that has had or would reasonably be expected to have, individually in the aggregate, a material adverse effect ~~with respect to~~on the ~~other party or (b) material adverse effect with respect to the other party. In addition, the obligations~~overall business climate as well as our financial condition and results of ~~HoldCo to effect the mergers are subject to:~~operations.

•~~AGM and AHL having received~~Heightened standards of sales conduct as a written tax opinion from AGM’s counsel and AHL’s counsel, respectively, or a nationally recognized accounting firm or law firm reasonably acceptable to AGM or AHL, as applicable, in form and substance reasonably satisfactory to AGM and AHL, respectively, dated asresult of the ~~closing date, to the effect~~implementation of SAT, including state adoption of a revised SAT version that ~~based on the AGM tax representation letter and the AHL tax representation letter, the mergers and the exchange of the AOG units, taken together, will be treated as~~includes a ~~transaction described in Section 351 of the Internal Revenue Code of 1986 (Code), dated as of the closing date; and~~

•~~the completion,~~best interest concept, or the completion concurrently with the closing, in all respects of the restructuring involving AGM and its subsidiaries, among others, pursuant to which (i) all AOG units held of record or beneficially by persons other than AGM, AHL and their respective subsidiaries will be exchanged, in a series of steps, for shares of common stock of HoldCo (HoldCo Shares) or other consideration and (ii) the only outstanding class of common stock outstanding upon consummation of the restructuring shall be AGM’s Class A common stock or the HoldCo Shares.

~~Table of Contents~~

No assurance can be given that the required stockholder and shareholder consents and approvals, as applicable, will be obtained or that the required conditions to closing will be satisfied, and, if all required consents and approvals are obtained and the conditions are satisfied, no assurance can be given as to the terms, conditions and timing of the consents and approvals. Any delay in completing the mergers could cause HoldCo not to realize, or to be delayed in realizing, some or all of the benefits that we expect to achieve if the mergers are successfully completed within their expected time frame.

~~Regulatory approvals may not be received, may take longer than expected or may impose conditions that are not presently anticipated or cannot be met.~~

Before the transactions contemplated by the merger agreement and the corporate governance updates can be completed, various approvals must be obtained from regulatory agencies in the United States and other countries. In deciding whether to grant these approvals, the relevant governmental entities will consider a variety of factors, including the regulatory standing of each of the parties. An adverse development in either party’s regulatory standing or other factors could result in an inability to obtain one or more of the required regulatory approvals or delay receipt of required approvals.

The terms of the approvals that are granted may impose conditions, limitations, obligations or costs, or place restrictions on the conduct of AGM’s or AHL’s business or require changes to the terms of the transactions contemplated by the merger agreement and the corporate governance updates. There can be no assurance that regulators will not impose any such conditions, limitations, obligations or restrictions and that such conditions, limitations, obligations or restrictions will not have the effect of delaying the completion of any of the transactions contemplated by the merger agreement and the corporate governance updates, imposing additional material costs on or otherwise reducing the anticipated benefits of the mergers if the mergers were consummated successfully within the expected timeframe. Nor can there be any assurance that any such conditions, terms, obligations or restrictions will not result in the delay or abandonment of the transaction. Additionally, the completion of the mergers is conditioned on the absence of certain orders or injunctions issued by any court of competent jurisdiction or other legal restraints that would prohibit or make illegal the consummation of any of the transactions contemplated by the merger agreement.

The mergers, including uncertainty regarding the mergers, may cause strategic partners to delay or defer decisions concerning us and could adversely affect our ability to effectively manage our business.

~~The mergers will happen only if the stated conditions are met, including~~ the adoption of other similar proposed rules or regulations could also increase the ~~merger agreement by AGM’s stockholders~~compliance and regulatory burdens on our representatives, and could lead to increased litigation and regulatory risks, changes to our business model, a decrease in the ~~approval~~number of our securities-licensed representatives and a reduction in the ~~AHL merger agreement proposal by AHL’s shareholders, among other conditions. Many~~products we offer to our clients, any of the conditions are outside our control, and both parties also have certain rights to terminate the merger agreement. Accordingly, there may be uncertainty regarding the completion of the mergers. This uncertainty may cause strategic partners or others that deal with us to delay or defer entering into contracts with us or making other decisions concerning us or seek to change or cancel existing business relationships with us, which ~~could negatively affect our business. Any delay or deferral of those decisions or changes in existing agreements~~ could have a material adverse effect on our business, ~~regardless~~financial condition and results of ~~whether the mergers are ultimately completed.~~

In addition, the merger agreement restricts us from making certain acquisitions and taking other specified actions until the mergers occur without the consent of the other parties (such consent not to be unreasonably withheld, conditioned or delayed). These restrictions may prevent us from pursuing attractive business opportunities or strategic transactions that may arise prior to the completion of the mergers.

~~The merger agreement may be terminated in accordance with its terms, the mergers may not be consummated and we could be negatively impacted.~~

Either AGM or AHL may terminate the merger agreement under certain circumstances, including, among other reasons, if the mergers are not completed by June 30, 2022. In addition, if the merger agreement is terminated under certain circumstances specified in the merger agreement, AGM may be required to pay AHL a termination fee of $81,900,000, including certain circumstances in which the AGM board of directors makes or publicly proposes to make a change in its recommendation in support of the transaction, amongst other things.

If the mergers are not completed for any reason, including as a result of AGM stockholders or holders of AHL common shares and AHL preferred shares failing to adopt the merger agreement, our ongoing business may be adversely affected and, without realizing any of the benefits of having completed the mergers, we would be subject to a number of risks, including the following:

•~~we may experience negative reactions from the financial markets, including negative impacts on our share price;~~

•~~we may experience negative reactions from our business partners, regulators and employees;~~

•~~we will be required to pay certain legal, financing and accounting costs and associated fees and expenses relating to the mergers, whether or not the mergers are completed; and~~

•matters relating to the mergers require substantial commitments of time and resources by our management, which would otherwise have been devoted to day-to-day operations and other opportunities that may have been beneficial to us as an independent company.operations.

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~~Litigation filed~~In addition, we expect the worldwide demographic trend of population aging will cause policymakers to continue to focus on the framework of US and non-US retirement systems, which may drive additional changes regarding the manner in which individuals plan for and fund their retirement, the extent of government involvement in retirement savings and funding, the regulation of retirement products and services and the oversight of industry participants. Any incremental requirements, costs and risks imposed on us in connection with ~~the mergers~~such current or future legislative or regulatory changes, may constrain our ability to market our products and services to potential customers, and could ~~prevent or delay the consummation of the mergers or result in the payment of damages following completion of the mergers.~~

~~Lawsuits in connection with the mergers may be filed against AGM, AHL, HoldCo, AGM Merger Sub, AHL Merger Sub and/or their respective directors~~negatively impact our profitability and officers, which could prevent or delay the consummation of the mergers and result in additional costs to us. The ultimate resolution of any lawsuits cannot be predicted with certainty, and an adverse ruling in any such lawsuit may cause the mergers to be delayed or not to be completed, which could cause us not to realize some or all of the anticipated benefits of the mergers. The defense or settlement of any lawsuit or claim that remains unresolved at the time the mergers is consummated may adversely affect HoldCo’s business, financial condition, results of operations and cash flows. We cannot currently predict the outcome of or reasonably estimate the possible loss or range of loss from any such lawsuits or claims.

~~Coordinating the businesses of AGM and AHL may be~~make it more difficult ~~costly or time-consuming than expected and HoldCo may fail~~for us to ~~realize the anticipated benefits of the mergers, which may adversely affect HoldCo’s business results and negatively affect the value of HoldCo’s Shares following the mergers.~~

~~The success of the mergers will depend on, among other things, the ability of AGM and AHL to coordinate their businesses under HoldCo in a manner that facilitates~~pursue our growth opportunities. However, AGM and AHL may not be able to successfully coordinate their respective businesses in a manner that permits anticipated growth to be realized, without adversely affecting current revenues and investments. If the combined company is not able to successfully achieve these objectives, the anticipated benefits of the merger may not be realized fully, or at all, or may take longer to realize than expected. Specifically, the following issues, among others, must be addressed in order to realize the anticipated benefits of the mergers so the combined company performs as expected:strategy.

•~~coordinating~~Although we are subject to regulation in each state in which we conduct business, in many instances the ~~businesses of AGM~~state insurance laws and ~~AHL and meeting the capital requirements of the combined company, in a manner that permits the combined company to achieve the growth anticipated to result~~regulations emanate from the ~~mergers;~~

•~~coordinating~~NAIC. State insurance regulators and the ~~companies’ technologies;~~

•~~coordinating~~NAIC regularly re-examine existing laws and regulations applicable to insurance companies and their products. Moreover, the ~~companies’ operating practices, internal controls~~NAIC and ~~other policies, procedures~~state insurance regulators are increasingly focused on the relationships between private equity firms and ~~processes;~~

•~~addressing possible differences in business backgrounds~~insurers. In December 2021, an NAIC task force released a list of 13 regulatory considerations applicable to private equity-owned insurers and ~~corporate cultures;~~

•~~coordinating geographically dispersed organizations;~~asked an NAIC working group to coordinate review of such considerations. These actions signify increased scrutiny of insurance companies owned by private equity firms and

•~~effecting actions that~~ the potential for additional regulation. Any proposed or future legislation or NAIC initiatives, if adopted, may be ~~required in connection with obtaining~~more restrictive on our ability to conduct business than current regulatory ~~approvals.~~

~~In addition, at times the attention of certain members of either company’s~~requirements or both companies’ management and resources may be focused on completion of the mergers and the coordination of the AGM and AHL businesses under HoldCo and diverted from day-to-day business operations, which may disrupt each company’s ongoing business and the business of the combined company.

Furthermore, the board of directors of HoldCo will consist of the current directors of AGM and certain directors of AHL. Combining the boards of directors of each company into a single HoldCo board could require the reconciliation of differing priorities and philosophies.

An inability to realize the full extent of the anticipated benefits of the mergers and the other transactions contemplated by the merger agreement, as well as any delays encountered in the combination process, could have an adverse effect upon the revenues, level of expenses and operating results of the combined company, which may adversely affect the value of the common stock of the combined company after the completion of the mergers. In addition, the actual coordination of the AGM and AHL businesses under HoldCo may result in ~~additional~~higher costs or increased statutory capital and ~~unforeseen expenses,~~reserve requirements. Changes in these laws and regulations or interpretations thereof are often made for the ~~anticipated benefits~~benefit of the ~~coordination plan~~consumer and at the expense of the insurer and could have a material adverse effect on our domestic insurance subsidiaries’ businesses, financial condition and results of operations. We are also subject to the risk that compliance with any particular regulator’s interpretation of a legal or accounting issue may not ~~be realized. If AGM and AHL are not able to adequately address coordination challenges, they may be unable to successfully coordinate their operations or realize the anticipated benefits~~result in compliance with another regulator’s interpretation of the ~~coordination~~same issue, particularly when compliance is judged in hindsight. There is an additional risk that any particular regulator’s interpretation of a legal or accounting issue may change over time to our detriment, or that changes to the ~~two companies.~~

overall legal or market environment, even absent any change of interpretation by a particular regulator, may cause us to change our views regarding the actions we need to take from a legal risk management perspective, which could necessitate changes to our practices that may, in some cases, limit our ability to grow and improve profitability
.

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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

Recent Sales of Unregistered Securities

None.

Issuer Purchases of Securities

~~Purchases of common stock made by or on behalf of us or our affiliates during the three months ended March 31, 2021 are set forth below:~~

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
January 1 – January 31, 2021 56,360 $ 43.14 — $ 221,408,041
February 1 – February 28, 2021 71,361 $ 45.59 — $ 221,408,041
March 1 – March 31, 2021 — $ — — $ 221,408,041
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 December 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.
None.

Item 6. Exhibits

The exhibits listed in the Exhibit Index immediately below are filed as part of this report, which Exhibit Index is incorporated by reference herein.

~~102~~

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EXHIBIT INDEX


Exhibit No.			Description
~~2.1~~			Agreement and Plan of Merger, dated March 8, 2021, by and among Athene Holding Ltd., Apollo Global Management, Inc., Tango Holdings, Inc., Blue Merger Sub, Ltd., and Green Merger Sub, Inc. (incorporated by reference to Exhibit 2.1 to the Form 8-K filed on March 8, 2021).
10.1			~~Voting~~Eighth Amended and Restated Fee Agreement, dated as of March ~~8, 2021, by~~31, 2022, between Apollo Insurance Solutions Group LP and ~~among~~ Athene Holding Ltd. ~~and the other parties thereto (incorporated by reference to Exhibit 10.1 to the Form 8-K filed on March 8, 2021).~~
~~10.2.1~~			~~Form of 2019 Share Incentive Plan Nonqualified Stock Option Award Notice and Nonqualified Stock Option Agreement.~~
~~10.2.2~~			~~Form of 2019 Share Incentive Plan Restricted Share Unit Award Notice (Performance-Based Vesting) and Restricted Share Unit Award Agreement.~~
~~10.2.3~~			~~Form of 2019 Share Incentive Plan Restricted Share Unit Award Notice (Time-Based Vesting) and Restricted Share Unit Award Agreement.~~
~~10.2.4~~			~~Form of 2019 Share Incentive Plan Restricted Share Award Notice (Performance-Based Vesting) and Restricted Share Award Agreement.~~
~~10.2.5~~			~~Form of 2019 Share Incentive Plan Restricted Share Award Notice and Restricted Share Award Agreement.~~
~~10.2.6~~			~~Form of Restricted Cash Award Agreement.~~
31.1			Principal Executive Officer Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2			Principal Financial Officer Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1			Principal Executive Officer Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2			Principal Financial Officer Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
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)

~~103~~102

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


			ATHENE HOLDING LTD.

Date: May 10, ~~2021~~2022			/s/ Martin P. Klein
			Martin P. Klein
			Executive Vice President and Chief Financial Officer
			(principal financial officer and duly authorized signatory)

~~104~~103


	Three months ended March 31, 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	$	0	$	15	$	0	$	0	$	0	$	15

ABS	0		5		0		0		0		5
CMBS	0		4		0		0		0		4
RMBS	17		35		1		(1)		2		54
Total AFS securities	$	17	$	59	$	1	$	(1)	$	2	$	78


	Three months ended March 31, 2021
(In millions)		Commercial Mortgage		Residential Mortgage		Other Investments		Total
Beginning balance		$	167	$	79	$	7	$	253

Provision (reversal) for expected credit losses		5		(7)		(5)		(7)
Initial credit losses on PCD loans		0		6		0		6


Ending balance		$	172	$	78	$	2	$	252


	Three months ended March 31, 2020
(In millions, except 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	$	(938)	$	(98)	$	(13)	$	(3)	$	(4)	$	(9)

Basic weighted average shares outstanding	161.4		25.4		3.3		0.8		1.0		2.4
Dilutive effect of stock compensation plans and warrants1	0		0		0		0		0		0
Diluted weighted average shares outstanding	161.4		25.4		3.3		0.8		1.0		2.4

Loss per share
Basic	$	(5.81)	$	(3.87)	$	(3.87)	$	(3.87)	$	(3.87)	$	(3.87)
Diluted	$	(5.81)	$	(3.87)	$	(3.87)	$	(3.87)	$	(3.87)	$	(3.87)

1 The dilutive effective of stock compensation plans and warrants is antidilutive as a result of the net loss available to Athene Holding Ltd. common shareholders for the three months ended March 31, 2020.


	March 31, 2021		December 31, 2020
Book value per common share	$	78.25	$	85.51
AOCI	(10.56)		(20.77)
Accumulated change in fair value of reinsurance assets	(2.55)		(5.98)
Effect of items convertible to or settled in Class A common shares	(2.26)		(1.81)
Adjusted book value per common share	$	62.88	$	56.95


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
January 1 – January 31, 2021	56,360	$	43.14	—	$	221,408,041
February 1 – February 28, 2021	71,361	$	45.59	—	$	221,408,041
March 1 – March 31, 2021	—	$	—	—	$	221,408,041


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 December 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.