Fair Value of Financial Instruments (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The carrying amounts and estimated fair values of our financial instruments for which the disclosure of fair values is required, including financial assets and liabilities measured and carried at fair value on a recurring basis, was summarized according to the hierarchy previously described, as follows (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| September 30, 2023 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Fair Value | | Carrying Amount | | Assets | | | | | | | | | | | | | Cash and cash equivalents | $ | 1,742 | | | $ | — | | | $ | — | | | $ | — | | | $ | 1,742 | | | $ | 1,742 | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | Asset-backed securities | — | | | 6,615 | | | 6,757 | | | — | | | 13,372 | | | 13,372 | | | Commercial mortgage-backed securities | — | | | 4,082 | | | 27 | | | — | | | 4,109 | | | 4,109 | | | Corporates | — | | | 13,095 | | | 1,735 | | | — | | | 14,830 | | | 14,830 | | | Hybrids | 93 | | | 508 | | | — | | | — | | | 601 | | | 601 | | | Municipals | — | | | 1,438 | | | 47 | | | — | | | 1,485 | | | 1,485 | | | Residential mortgage-backed securities | — | | | 2,166 | | | 3 | | | — | | | 2,169 | | | 2,169 | | | U.S. Government | 99 | | | — | | | — | | | — | | | 99 | | | 99 | | | Foreign Governments | — | | | 190 | | | 16 | | | — | | | 206 | | | 206 | | | Preferred securities | 163 | | | 435 | | | 7 | | | — | | | 605 | | | 605 | | | Equity securities | 77 | | | — | | | — | | | 39 | | | 116 | | | 116 | | | Derivative investments | — | | | 420 | | | — | | | — | | | 420 | | | 420 | | | Investment in unconsolidated affiliates | — | | | — | | | 272 | | | — | | | 272 | | | 272 | | | Short term investments | 91 | | | 8 | | | 69 | | | — | | | 168 | | | 168 | | | Reinsurance related embedded derivative, included in other assets | — | | | 313 | | | — | | | — | | | 313 | | | 313 | | | Other long-term investments | — | | | — | | | 45 | | | | | 45 | | | 45 | | | Market risk benefits asset | — | | | — | | | 118 | | | — | | | 118 | | | 118 | | | Total financial assets at fair value | $ | 2,265 | | | $ | 29,270 | | | $ | 9,096 | | | $ | 39 | | | $ | 40,670 | | | $ | 40,670 | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | — | | | — | | | 3,556 | | | — | | | 3,556 | | | 3,556 | | | Interest rate swaps | — | | | — | | | 16 | | | — | | | 16 | | | 16 | | | Market risk benefits liability | — | | | — | | | 278 | | | — | | | 278 | | | 278 | | | | | | | | | | | | | | | Total financial liabilities at fair value | $ | — | | | $ | — | | | $ | 3,850 | | | $ | — | | | $ | 3,850 | | | $ | 3,850 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Fair Value | | Carrying Amount | | Assets | | | | | | | | | | | | | Cash and cash equivalents | $ | 960 | | | $ | — | | | $ | — | | | $ | — | | | $ | 960 | | | $ | 960 | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | Asset-backed securities | — | | | 5,204 | | | 6,263 | | | — | | | 11,467 | | | 11,467 | | | Commercial mortgage-backed securities | — | | | 2,999 | | | 37 | | | — | | | 3,036 | | | 3,036 | | | Corporates | — | | | 11,472 | | | 1,427 | | | — | | | 12,899 | | | 12,899 | | | Hybrids | 93 | | | 612 | | | — | | | — | | | 705 | | | 705 | | | Municipals | — | | | 1,381 | | | 29 | | | — | | | 1,410 | | | 1,410 | | | Residential mortgage-backed securities | — | | | 1,219 | | | 302 | | | — | | | 1,521 | | | 1,521 | | | U.S. Government | 32 | | | — | | | — | | | — | | | 32 | | | 32 | | | Foreign Governments | — | | | 132 | | | 16 | | | — | | | 148 | | | 148 | | | Preferred securities | 248 | | | 474 | | | — | | | — | | | 722 | | | 722 | | | Equity securities | 54 | | | — | | | — | | | 47 | | | 101 | | | 101 | | | Derivative investments | — | | | 244 | | | — | | | — | | | 244 | | | 244 | | | Investment in unconsolidated affiliates | — | | | — | | | 23 | | | — | | | 23 | | | 23 | | | Short term investments | 1,556 | | | — | | | — | | | — | | | 1,556 | | | 1,556 | | | Reinsurance related embedded derivative, included in other assets | — | | | 279 | | | — | | | — | | | 279 | | | 279 | | | Other long-term investments | — | | | — | | | 48 | | | — | | | 48 | | | 48 | | | Market risk benefits asset | — | | | — | | | 117 | | | — | | | 117 | | | 117 | | | Total financial assets at fair value | $ | 2,943 | | | $ | 24,016 | | | $ | 8,262 | | | $ | 47 | | | $ | 35,268 | | | $ | 35,268 | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | — | | | — | | | 3,115 | | | — | | | 3,115 | | | 3,115 | | | | | | | | | | | | | | | Market risk benefits liability | — | | | — | | | 282 | | | — | | | 282 | | | 282 | | | | | | | | | | | | | | | Total financial liabilities at fair value | $ | — | | | $ | — | | | $ | 3,397 | | | $ | — | | | $ | 3,397 | | | $ | 3,397 | |
The following tables provide the carrying value and estimated fair value of our financial instruments that are carried on the Condensed Consolidated Balance Sheets at amounts other than fair value, summarized according to the fair value hierarchy previously described (in millions). | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | September 30, 2023 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Total Estimated Fair Value | | Carrying Amount | | Assets | | | | | | | | | | | | | FHLB common stock | $ | — | | | $ | 130 | | | $ | — | | | $ | — | | | $ | 130 | | | $ | 130 | | | Commercial mortgage loans | — | | | — | | | 2,148 | | | — | | | 2,148 | | | 2,519 | | | Residential mortgage loans | — | | | — | | | 2,326 | | | — | | | 2,326 | | | 2,655 | | | Investments in unconsolidated affiliates | — | | | — | | | 8 | | | 2,640 | | | 2,648 | | | 2,648 | | | Policy loans | — | | | — | | | 64 | | | — | | | 64 | | | 64 | | | | | | | | | | | | | | | Company-owned life insurance | — | | | — | | | 356 | | | — | | | 356 | | | 356 | | | | | | | | | | | | | | | | | | | | | | | | | | Total | $ | — | | | $ | 130 | | | $ | 4,902 | | | $ | 2,640 | | | $ | 7,672 | | | $ | 8,372 | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | Investment contracts, included in contractholder funds | — | | | — | | | 38,737 | | | — | | | 38,737 | | | 42,455 | | | Debt | | | 1,548 | | | — | | | — | | | 1,548 | | | 1,569 | | | | | | | | | | | | | | Total | $ | — | | | $ | 1,548 | | | $ | 38,737 | | | $ | — | | | $ | 40,285 | | | $ | 44,024 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Total Estimated Fair Value | | Carrying Amount | | Assets | | | | | | | | | | | | | FHLB common stock | $ | — | | | $ | 99 | | | $ | — | | | $ | — | | | $ | 99 | | | $ | 99 | | | Commercial mortgage loans | — | | | — | | | 2,083 | | | — | | | 2,083 | | | 2,406 | | | Residential mortgage loans | — | | | — | | | 1,892 | | | — | | | 1,892 | | | 2,148 | | | Investments in unconsolidated affiliates | — | | | — | | | 5 | | | 2,427 | | | 2,432 | | | 2,432 | | | Policy loans | — | | | — | | | 52 | | | — | | | 52 | | | 52 | | | Other invested assets | — | | | — | | | 10 | | | — | | | 10 | | | 10 | | | Company-owned life insurance | — | | | — | | | 328 | | | — | | | 328 | | | 328 | | | | | | | | | | | | | | | | | | | | | | | | | | Total | $ | — | | | $ | 99 | | | $ | 4,370 | | | $ | 2,427 | | | $ | 6,896 | | | $ | 7,475 | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | Investment contracts, included in contractholder funds | — | | | — | | | 34,464 | | | — | | | 34,464 | | | 38,412 | | | Debt | — | | | 1,092 | | | — | | | — | | | 1,092 | | | 1,114 | | | | | | | | | | | | | | Total | $ | — | | | $ | 1,092 | | | $ | 34,464 | | | $ | — | | | $ | 35,556 | | | $ | 39,526 | |
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| Fair Value Measurement Inputs and Valuation Techniques |
Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of September 30, 2023 and December 31, 2022 are as follows (in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | Valuation Technique | | Unobservable Input(s) | | Range (Weighted average) | | Fair Value at | | | | | Assets | September 30, 2023 | | | | September 30, 2023 | | Asset-backed securities | $ | 6,534 | | | Broker-Quoted | | Offered Quotes | | 54.30% - 155.54% (94.88%) | | | | | | | | | | Asset-backed securities | 223 | | | Third-Party Valuation | | Offered Quotes | | 0.01% - 101.30% (41.17%) | | Commercial mortgage-backed securities | 10 | | | Broker-Quoted | | Offered Quotes | | 100.08% - 100.53% (100.31%) | | Commercial mortgage-backed securities | 17 | | | Third-Party Valuation | | Offered Quotes | | 76.95% - 90.27%% (84.73%) | | Corporates | 936 | | | Broker-Quoted | | Offered Quotes | | 39.46% - 104.74% (95.65%) | | | | | | | | | | Corporates | 799 | | | Third-Party Valuation | | Offered Quotes | | 0.00% - 100.88% (88.18%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Municipals | 30 | | | Third-Party Valuation | | Offered Quotes | | 97.54% - 97.54% (97.54%) | | | | | | | | | | | | | | | | | | | | | Municipals | 17 | | | Broker-Quoted | | Offered Quotes | | 97.50% - 97.50% (97.50%) | | | | | | | | | | Residential mortgage-backed securities | 3 | | | Third-Party Valuation | | Offered Quotes | | 91.05% - 91.05% (91.05%) | | Foreign governments | 16 | | | Third-Party Valuation | | Offered Quotes | | 97.50% - 99.32% (98.75%) | | Investment in unconsolidated affiliates | 272 | | | Market Comparable Company Analysis | | EBITDA Multiple | | 5x - 23.7x (17.4x) | | Short term investments | 69 | | | Broker-Quoted | | Offered Quotes | | 100.07% - 100.07% (100.07%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 7 | | | Broker-Quoted | | Offered Quotes | | $22.75-$22.75 ($22.75) | | | | | | | | | | | | | | | | | | Other long-term investments: | | | | | | | | | Available-for-sale embedded derivative | 23 | | | Black Scholes Model | | Market Value of Fund | | 100.00% | | Secured borrowing receivable | 10 | | | Broker-Quoted | | Offered Quotes | | 100.00% - 100.00% (100.00%) | | Credit linked note | 12 | | | Broker-Quoted | | Offered Quotes | | 97.57% | | Market risk benefits asset | 118 | | Discounted Cash Flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (5.27%) | | | | | | Partial Withdrawal Rates | | 2.00% - 14.71%% (2.50%) | | | | | | Non-Performance Spread | | 0.64% - 1.34%% (1.21%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.81%) | | Total financial assets at fair value | $ | 9,096 | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | $ | 3,556 | | | Discounted Cash Flow | | Market Value of Option | | 0.00% - 22.09% (1.54%) | | | | | | Swap Rates | | 4.59% - 5.53% (5.06%) | | | | | | Mortality Multiplier | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 70.00% (6.83%) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Partial Withdrawals | | 2.00% - 34.48% (2.74%) | | | | | | Non-Performance Spread | | 0.64% - 1.34% (1.21%) | | | | | | Option cost | | 0.07% - 5.48% (2.30%) | | Interest rate swaps | 16 | | | Broker-Quoted | | Offered Quotes | | 100.00% - 101.87% (100.39%) | | Market risk benefits liability | 278 | | | Discounted Cash Flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (5.27%) | | | | | | Partial Withdrawal Rates | | 2.00% - 14.71% (2.50%) | | | | | | Non-Performance Spread | | 0.64% - 1.34% (1.21%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.81%) | | | | | | | | | | | | | | | | | | Total financial liabilities at fair value | $ | 3,850 | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Valuation Technique | | Unobservable Input(s) | | Range (Weighted average) | | Fair Value at | | | | | December 31, 2022 | | | | December 31, 2022 | | Assets | | | | | | | | | Asset-backed securities | $ | 5,916 | | | Broker-Quoted | | Offered Quotes | | 52.85% - 117.17% (94.18%) | | | | | | | | | | Asset-backed securities | 347 | | | Third-Party Valuation | | Offered Quotes | | 41.43% - 210.50% (67.99%) | | | | | | | | | | Commercial mortgage-backed securities | 20 | | | Broker-Quoted | | Offered Quotes | | 109.02% - 109.02% (109.02%) | | | | | | | | | | Commercial mortgage-backed securities | 17 | | | Third-Party Valuation | | Offered Quotes | | 74.66% - 88.48% (82.74%) | | Corporates | 602 | | | Broker-Quoted | | Offered Quotes | | 79.16% - 102.53% (94.16%) | | Corporates | 825 | | | Third-Party Valuation | | Offered Quotes | | 0.00% - 104.96% (89.69%) | | | | | | | | | | Municipals | 29 | | | Third-Party Valuation | | Offered Quotes | | 93.95% - 93.95% (93.95%) | | Residential mortgage-backed securities | 302 | | | Broker-Quoted | | Offered Quotes | | 0.00% - 91.04% (86.38%) | | | | | | | | | | Foreign governments | 16 | | | Third-Party Valuation | | Offered Quotes | | 99.78% - 102.29%% (100.56%) | | Investment in unconsolidated affiliates | 23 | | | Market Comparable Company Analysis | | EBITDA Multiple | | 5x - 5.5x | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Other long-term investments: | | | | | | | | | Available-for-sale embedded derivative | 23 | | | Black Scholes Model | | Market Value of Fund | | 100.00% | | Secured borrowing receivable | 10 | | | Broker-Quoted | | Offered Quotes | | 100.00% - 100.00% (100.00%) | | | | | | | | | | | | | | | | | | Credit linked note | 15 | | | Broker-Quoted | | Offered Quotes | | 96.23% | | Market risk benefits asset | 117 | | | Discounted Cash flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (4.69%) | | | | | | Partial Withdrawal Rates | | 2.00% - 21.74% (2.49%) | | | | | | Non-Performance Spread | | 0.48% - 1.44% (1.30%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.94%) | | Total financial assets at fair value | $ | 8,262 | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | FIA/ IUL embedded derivatives, included in contractholder funds | $ | 3,115 | | | Discounted Cash Flow | | Market Value of Option | | 0.00% - 23.90% (0.87%) | | | | | | Swap Rates | | 3.88% - 4.73% (4.31%) | | | | | | Mortality Multiplier | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 70.00% (6.57%) | | | | | | Partial Withdrawals | | 2.00% - 29.41% (2.73%) | | | | | | Non-Performance Spread | | 0.48% - 1.44% (1.30%) | | | | | | Option Cost | | 0.07% - 4.97% (1.89%) | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Valuation Technique | | Unobservable Input(s) | | Range (Weighted average) | | Fair Value at | | | | | December 31, 2022 | | | | December 31, 2022 | | Market risk benefits liability | 282 | | | Discounted Cash Flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (4.69%) | | | | | | Partial Withdrawal Rates | | 2.00% - 21.74% (2.49%) | | | | | | Non-Performance Spread | | 0.48% - 1.44% (1.30%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.94%) | | | | | | | | | | | | | | | | | | Total financial liabilities at fair value | $ | 3,397 | | | | | | | |
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three and nine months ended September 30, 2023 and September 30, 2022 (in millions). The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2023 | | | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of
Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Gains (Losses) Incl in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 6,510 | | | $ | (45) | | | $ | 75 | | | $ | 536 | | | $ | (27) | | | $ | (171) | | | $ | (121) | | | $ | 6,757 | | | $ | 75 | | | Commercial mortgage-backed securities | 17 | | | — | | | — | | | 10 | | | — | | | — | | | — | | | 27 | | | — | | | Corporates | 1,618 | | | — | | | (21) | | | 162 | | | — | | | (24) | | | — | | | 1,735 | | | (21) | | | | | | | | | | | | | | | | | | | | | Municipals | 49 | | | — | | | (2) | | | — | | | — | | | — | | | — | | | 47 | | | (2) | | | Residential mortgage-backed securities | 28 | | | — | | | (1) | | | — | | | — | | | (1) | | | (23) | | | 3 | | | (1) | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | | | Investment in unconsolidated affiliates | 197 | | | — | | | — | | | 75 | | | — | | | — | | | — | | | 272 | | | — | | | Short-term | 126 | | | — | | | — | | | 65 | | | (19) | | | (103) | | | — | | | 69 | | | — | | | | | | | | | | | | | | | | | | | | | Preferred securities | 6 | | | — | | | 1 | | | — | | | — | | | — | | | — | | | 7 | | | 1 | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 26 | | | — | | | (3) | | | — | | | — | | | — | | | — | | | 23 | | | (3) | | | | | | | | | | | | | | | | | | | | | Credit linked note | 13 | | | — | | | — | | | — | | | — | | | (1) | | | — | | | 12 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | Subtotal assets at Level 3 fair value | $ | 8,616 | | | $ | (45) | | | $ | 49 | | | $ | 848 | | | $ | (46) | | | $ | (300) | | | $ | (144) | | | $ | 8,978 | | | $ | 49 | | | Market risk benefits asset (b) | 118 | | | | | | | | | | | | | | | 118 | | | | | Total assets at Level 3 fair value | $ | 8,734 | | | | | | | | | | | | | | | $ | 9,096 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | FIA/ IUL embedded derivatives, included in contractholder funds | 3,821 | | | (796) | | | — | | | 576 | | | — | | | (45) | | | — | | | 3,556 | | | — | | | Interest rate swaps | — | | | 16 | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Subtotal liabilities at Level 3 fair value | $ | 3,821 | | | $ | (780) | | | $ | — | | | $ | 576 | | | $ | — | | | $ | (45) | | | $ | — | | | $ | 3,572 | | | $ | — | | | Market risk benefits liability (b) | 313 | | | | | | | | | | | | | | | 278 | | | | Total liabilities at Level 3 fair value | $ | 4,134 | | | | | | | | | | | | | | | $ | 3,850 | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2023 were exclusively to Level 2. (b) Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2022 | | | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Included in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 4,677 | | | $ | — | | | $ | (71) | | | $ | 1,530 | | | $ | — | | | $ | (123) | | | $ | (61) | | | $ | 5,952 | | | $ | (80) | | | Commercial mortgage-backed securities | 37 | | | — | | | — | | | — | | | — | | | — | | | — | | | 37 | | | — | | | Corporates | 1,356 | | | — | | | (53) | | | 135 | | | — | | | (147) | | | (4) | | | 1,287 | | | (57) | | | Hybrids | — | | | — | | | — | | | — | | | — | | | — | | | — | | | — | | | — | | | Municipals | 33 | | | — | | | (3) | | | — | | | — | | | — | | | — | | | 30 | | | (4) | | | Residential mortgage-backed securities | 9 | | | — | | | — | | | 5 | | | — | | | — | | | (9) | | | 5 | | | — | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Investment in unconsolidated affiliates | 21 | | | — | | | — | | | — | | | — | | | — | | | — | | | 21 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 24 | | | (2) | | | — | | | — | | | — | | | — | | | — | | | 22 | | | — | | | Loan participations | | | | | | | | | | | | | | | | | | | Credit linked note | 17 | | | (1) | | | — | | | — | | | (2) | | | — | | | — | | | 14 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | Other long-term investment | | | | | | | | | | | | | | | | | | | Subtotal assets at Level 3 fair value | $ | 6,200 | | | $ | (3) | | | $ | (127) | | | $ | 1,670 | | | $ | (2) | | | $ | (270) | | | $ | (74) | | | $ | 7,394 | | | $ | (141) | | | Market risk benefits asset (b) | 86 | | | | | | | | | | | | | | | 121 | | | | | Total assets at Level 3 fair value | $ | 6,286 | | | | | | | | | | | | | | | $ | 7,515 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | Future policy benefits | | | | | | | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | 2,941 | | | (283) | | | — | | | 138 | | | — | | | (21) | | | — | | | 2,775 | | | — | | | Subtotal liabilities at Level 3 fair value | $ | 2,941 | | | $ | (283) | | | $ | — | | | $ | 138 | | | $ | — | | | $ | (21) | | | $ | — | | | $ | 2,775 | | | $ | — | | | Market risk benefits liability (b) | 292 | | | | | | | | | | | | | | | 242 | | | | Total liabilities at Level 3 fair value | $ | 3,233 | | | | | | | | | | | | | | | $ | 3,017 | | | |
(a)The net transfers out of Level 3 during the three months ended September 30, 2022 were to Level 2. (b)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2023 | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Included in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 6,263 | | | $ | (56) | | | $ | 108 | | | $ | 1,331 | | | $ | (125) | | | $ | (557) | | | $ | (207) | | | $ | 6,757 | | | $ | 107 | | | Commercial mortgage-backed securities | 37 | | | — | | | 1 | | | 22 | | | — | | | — | | | (33) | | | 27 | | | 1 | | | Corporates | 1,427 | | | (1) | | | (77) | | | 421 | | | | | (43) | | | 8 | | | 1,735 | | | (77) | | | | | | | | | | | | | | | | | | | | | Municipals | 29 | | | — | | | 18 | | | — | | | — | | | — | | | — | | | 47 | | | 18 | | | Residential mortgage-backed securities | 302 | | | 1 | | | 7 | | | 32 | | | | | (9) | | | (330) | | | 3 | | | 7 | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Short-term | — | | | — | | | — | | | 191 | | | (19) | | | (103) | | | — | | | 69 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | — | | | — | | | 1 | | | — | | | — | | | — | | | 6 | | | 7 | | | 1 | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 23 | | | — | | | — | | | — | | | — | | | — | | | — | | | 23 | | | — | | | Investment in affiliate | 23 | | | — | | | | | 249 | | | — | | | — | | | — | | | 272 | | | — | | | | | | | | | | | | | | | | | | | | | Credit linked note | 15 | | | — | | | — | | | — | | | — | | | (3) | | | — | | | 12 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Subtotal assets at Level 3 fair value | $ | 8,145 | | | $ | (56) | | | $ | 58 | | | $ | 2,246 | | | $ | (144) | | | $ | (715) | | | $ | (556) | | | $ | 8,978 | | | $ | 57 | | | Market risk benefits asset (b) | 117 | | | | | | | | | | | | | | | 118 | | | | | Total assets at Level 3 fair value | $ | 8,262 | | | | | | | | | | | | | | | $ | 9,096 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | Future policy benefits | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | FIA/IUL embedded derivatives, included in contractholder funds | 3,115 | | | (214) | | | — | | | 765 | | | — | | | (110) | | | — | | | 3,556 | | | — | | | Interest rate swaps | — | | | 16 | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | Subtotal liabilities at Level 3 fair value | $ | 3,115 | | | $ | (198) | | | $ | — | | | $ | 765 | | | $ | — | | | $ | (110) | | | $ | — | | | $ | 3,572 | | | $ | — | | | Market risk benefits liability (b) | 282 | | | | | | | | | | | | | | | 278 | | | | Total liabilities at Level 3 fair value | $ | 3,397 | | | | | | | | | | | | | | | $ | 3,850 | | | |
(a)The net transfers out of Level 3 during the nine months ended September 30, 2023 were to Level 2, except for the net transfers out related to our other long-term investment, which was to Level 1. (b)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2022 | | | | Balance at Beginning of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of Period | | Change in Unrealized Included in OCI | | | | | Included in Earnings | | Included in AOCI | | | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | | | Asset-backed securities | 3,959 | | | 1 | | | (343) | | | 2,757 | | | (39) | | | (401) | | | 18 | | | 5,952 | | | $ | (371) | | | | | Commercial mortgage-backed securities | 35 | | | — | | | (5) | | | — | | | — | | | — | | | 7 | | | 37 | | | (4) | | | | | Corporates | 1,121 | | | — | | | (190) | | | 517 | | | — | | | (178) | | | 17 | | | 1,287 | | | (191) | | | | | | | | | | | | | | | | | | | | | | | | | Municipals | 43 | | | — | | | (13) | | | — | | | — | | | — | | | — | | | 30 | | | (13) | | | | | Residential mortgage-backed securities | — | | | — | | | — | | | 14 | | | — | | | — | | | (9) | | | 5 | | | — | | | | | Foreign Governments | 18 | | | — | | | (2) | | | — | | | — | | | — | | | — | | | 16 | | | (1) | | | | | Short-term | 321 | | | — | | | (1) | | | 20 | | | — | | | — | | | (340) | | | — | | | (1) | | | | | Preferred securities | 1 | | | — | | | (1) | | | — | | | — | | | — | | | — | | | — | | | (1) | | | | | | | | | | | | | | | | | | | | | | | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 34 | | | (12) | | | — | | | — | | | — | | | — | | | — | | | 22 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 23 | | | (1) | | | (3) | | | — | | | (2) | | | (3) | | | — | | | 14 | | | — | | | | | Secured borrowing receivable | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | 10 | | | — | | | | | Investment in affiliate | 21 | | | — | | | — | | | — | | | — | | | — | | | — | | | 21 | | | — | | | | Subtotal assets at Level 3 fair value | $ | 5,576 | | | $ | (12) | | | $ | (558) | | | $ | 3,308 | | | $ | (41) | | | $ | (582) | | | $ | (297) | | | $ | 7,394 | | | $ | (582) | | | | | Market risk benefits asset (b) | 41 | | | | | | | | | | | | | | | 121 | | | | | | | Total assets at Level 3 fair value | $ | 5,617 | | | | | | | | | | | | | | | $ | 7,515 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | 3,883 | | | (1,442) | | | — | | | 410 | | | — | | | (76) | | | — | | | 2,775 | | | — | | | | | | | | | | | | | | | | | | | | | | | | Subtotal liabilities at Level 3 fair value | $ | 3,883 | | | $ | (1,442) | | | $ | — | | | $ | 410 | | | $ | — | | | $ | (76) | | | $ | — | | | $ | 2,775 | | | $ | — | | | | | Market risk benefits liability (b) | 469 | | | | | | | | | | | | | | | 242 | | | | | | Total liabilities at Level 3 fair value | $ | 4,352 | | | | | | | | | | | | | | | $ | 3,017 | | | | | |
(a) The net transfers out of Level 3 during the nine months ended September 30, 2022 were to Level 2. (b) Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability.
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three and nine months ended September 30, 2023 and September 30, 2022 (in millions). The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2023 | | | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of
Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Gains (Losses) Incl in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 6,510 | | | $ | (45) | | | $ | 75 | | | $ | 536 | | | $ | (27) | | | $ | (171) | | | $ | (121) | | | $ | 6,757 | | | $ | 75 | | | Commercial mortgage-backed securities | 17 | | | — | | | — | | | 10 | | | — | | | — | | | — | | | 27 | | | — | | | Corporates | 1,618 | | | — | | | (21) | | | 162 | | | — | | | (24) | | | — | | | 1,735 | | | (21) | | | | | | | | | | | | | | | | | | | | | Municipals | 49 | | | — | | | (2) | | | — | | | — | | | — | | | — | | | 47 | | | (2) | | | Residential mortgage-backed securities | 28 | | | — | | | (1) | | | — | | | — | | | (1) | | | (23) | | | 3 | | | (1) | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | | | Investment in unconsolidated affiliates | 197 | | | — | | | — | | | 75 | | | — | | | — | | | — | | | 272 | | | — | | | Short-term | 126 | | | — | | | — | | | 65 | | | (19) | | | (103) | | | — | | | 69 | | | — | | | | | | | | | | | | | | | | | | | | | Preferred securities | 6 | | | — | | | 1 | | | — | | | — | | | — | | | — | | | 7 | | | 1 | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 26 | | | — | | | (3) | | | — | | | — | | | — | | | — | | | 23 | | | (3) | | | | | | | | | | | | | | | | | | | | | Credit linked note | 13 | | | — | | | — | | | — | | | — | | | (1) | | | — | | | 12 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | Subtotal assets at Level 3 fair value | $ | 8,616 | | | $ | (45) | | | $ | 49 | | | $ | 848 | | | $ | (46) | | | $ | (300) | | | $ | (144) | | | $ | 8,978 | | | $ | 49 | | | Market risk benefits asset (b) | 118 | | | | | | | | | | | | | | | 118 | | | | | Total assets at Level 3 fair value | $ | 8,734 | | | | | | | | | | | | | | | $ | 9,096 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | FIA/ IUL embedded derivatives, included in contractholder funds | 3,821 | | | (796) | | | — | | | 576 | | | — | | | (45) | | | — | | | 3,556 | | | — | | | Interest rate swaps | — | | | 16 | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Subtotal liabilities at Level 3 fair value | $ | 3,821 | | | $ | (780) | | | $ | — | | | $ | 576 | | | $ | — | | | $ | (45) | | | $ | — | | | $ | 3,572 | | | $ | — | | | Market risk benefits liability (b) | 313 | | | | | | | | | | | | | | | 278 | | | | Total liabilities at Level 3 fair value | $ | 4,134 | | | | | | | | | | | | | | | $ | 3,850 | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2023 were exclusively to Level 2. (b) Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2022 | | | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Included in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 4,677 | | | $ | — | | | $ | (71) | | | $ | 1,530 | | | $ | — | | | $ | (123) | | | $ | (61) | | | $ | 5,952 | | | $ | (80) | | | Commercial mortgage-backed securities | 37 | | | — | | | — | | | — | | | — | | | — | | | — | | | 37 | | | — | | | Corporates | 1,356 | | | — | | | (53) | | | 135 | | | — | | | (147) | | | (4) | | | 1,287 | | | (57) | | | Hybrids | — | | | — | | | — | | | — | | | — | | | — | | | — | | | — | | | — | | | Municipals | 33 | | | — | | | (3) | | | — | | | — | | | — | | | — | | | 30 | | | (4) | | | Residential mortgage-backed securities | 9 | | | — | | | — | | | 5 | | | — | | | — | | | (9) | | | 5 | | | — | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Investment in unconsolidated affiliates | 21 | | | — | | | — | | | — | | | — | | | — | | | — | | | 21 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 24 | | | (2) | | | — | | | — | | | — | | | — | | | — | | | 22 | | | — | | | Loan participations | | | | | | | | | | | | | | | | | | | Credit linked note | 17 | | | (1) | | | — | | | — | | | (2) | | | — | | | — | | | 14 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | Other long-term investment | | | | | | | | | | | | | | | | | | | Subtotal assets at Level 3 fair value | $ | 6,200 | | | $ | (3) | | | $ | (127) | | | $ | 1,670 | | | $ | (2) | | | $ | (270) | | | $ | (74) | | | $ | 7,394 | | | $ | (141) | | | Market risk benefits asset (b) | 86 | | | | | | | | | | | | | | | 121 | | | | | Total assets at Level 3 fair value | $ | 6,286 | | | | | | | | | | | | | | | $ | 7,515 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | Future policy benefits | | | | | | | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | 2,941 | | | (283) | | | — | | | 138 | | | — | | | (21) | | | — | | | 2,775 | | | — | | | Subtotal liabilities at Level 3 fair value | $ | 2,941 | | | $ | (283) | | | $ | — | | | $ | 138 | | | $ | — | | | $ | (21) | | | $ | — | | | $ | 2,775 | | | $ | — | | | Market risk benefits liability (b) | 292 | | | | | | | | | | | | | | | 242 | | | | Total liabilities at Level 3 fair value | $ | 3,233 | | | | | | | | | | | | | | | $ | 3,017 | | | |
(a)The net transfers out of Level 3 during the three months ended September 30, 2022 were to Level 2. (b)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2023 | | Balance at Beginning
of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of
Period | | Change in Unrealized Included in OCI | | | Included in
Earnings | | Included in
AOCI | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 6,263 | | | $ | (56) | | | $ | 108 | | | $ | 1,331 | | | $ | (125) | | | $ | (557) | | | $ | (207) | | | $ | 6,757 | | | $ | 107 | | | Commercial mortgage-backed securities | 37 | | | — | | | 1 | | | 22 | | | — | | | — | | | (33) | | | 27 | | | 1 | | | Corporates | 1,427 | | | (1) | | | (77) | | | 421 | | | | | (43) | | | 8 | | | 1,735 | | | (77) | | | | | | | | | | | | | | | | | | | | | Municipals | 29 | | | — | | | 18 | | | — | | | — | | | — | | | — | | | 47 | | | 18 | | | Residential mortgage-backed securities | 302 | | | 1 | | | 7 | | | 32 | | | | | (9) | | | (330) | | | 3 | | | 7 | | | Foreign governments | 16 | | | — | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | | Short-term | — | | | — | | | — | | | 191 | | | (19) | | | (103) | | | — | | | 69 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | — | | | — | | | 1 | | | — | | | — | | | — | | | 6 | | | 7 | | | 1 | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 23 | | | — | | | — | | | — | | | — | | | — | | | — | | | 23 | | | — | | | Investment in affiliate | 23 | | | — | | | | | 249 | | | — | | | — | | | — | | | 272 | | | — | | | | | | | | | | | | | | | | | | | | | Credit linked note | 15 | | | — | | | — | | | — | | | — | | | (3) | | | — | | | 12 | | | — | | | Secured borrowing receivable | 10 | | | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Subtotal assets at Level 3 fair value | $ | 8,145 | | | $ | (56) | | | $ | 58 | | | $ | 2,246 | | | $ | (144) | | | $ | (715) | | | $ | (556) | | | $ | 8,978 | | | $ | 57 | | | Market risk benefits asset (b) | 117 | | | | | | | | | | | | | | | 118 | | | | | Total assets at Level 3 fair value | $ | 8,262 | | | | | | | | | | | | | | | $ | 9,096 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | Future policy benefits | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | FIA/IUL embedded derivatives, included in contractholder funds | 3,115 | | | (214) | | | — | | | 765 | | | — | | | (110) | | | — | | | 3,556 | | | — | | | Interest rate swaps | — | | | 16 | | | — | | | — | | | — | | | — | | | — | | | 16 | | | — | | Subtotal liabilities at Level 3 fair value | $ | 3,115 | | | $ | (198) | | | $ | — | | | $ | 765 | | | $ | — | | | $ | (110) | | | $ | — | | | $ | 3,572 | | | $ | — | | | Market risk benefits liability (b) | 282 | | | | | | | | | | | | | | | 278 | | | | Total liabilities at Level 3 fair value | $ | 3,397 | | | | | | | | | | | | | | | $ | 3,850 | | | |
(a)The net transfers out of Level 3 during the nine months ended September 30, 2023 were to Level 2, except for the net transfers out related to our other long-term investment, which was to Level 1. (b)Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2022 | | | | Balance at Beginning of Period | | Total Gains (Losses) | | Purchases | | Sales | | Settlements | | Net transfer In (Out) of Level 3 (a) | | Balance at End of Period | | Change in Unrealized Included in OCI | | | | | Included in Earnings | | Included in AOCI | | | | | | | | | | Assets | | | | | | | | | | | | | | | | | | | | | Fixed maturity securities available-for-sale: | | | | | | | | | | | | | | | | | | | | | Asset-backed securities | 3,959 | | | 1 | | | (343) | | | 2,757 | | | (39) | | | (401) | | | 18 | | | 5,952 | | | $ | (371) | | | | | Commercial mortgage-backed securities | 35 | | | — | | | (5) | | | — | | | — | | | — | | | 7 | | | 37 | | | (4) | | | | | Corporates | 1,121 | | | — | | | (190) | | | 517 | | | — | | | (178) | | | 17 | | | 1,287 | | | (191) | | | | | | | | | | | | | | | | | | | | | | | | | Municipals | 43 | | | — | | | (13) | | | — | | | — | | | — | | | — | | | 30 | | | (13) | | | | | Residential mortgage-backed securities | — | | | — | | | — | | | 14 | | | — | | | — | | | (9) | | | 5 | | | — | | | | | Foreign Governments | 18 | | | — | | | (2) | | | — | | | — | | | — | | | — | | | 16 | | | (1) | | | | | Short-term | 321 | | | — | | | (1) | | | 20 | | | — | | | — | | | (340) | | | — | | | (1) | | | | | Preferred securities | 1 | | | — | | | (1) | | | — | | | — | | | — | | | — | | | — | | | (1) | | | | | | | | | | | | | | | | | | | | | | | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 34 | | | (12) | | | — | | | — | | | — | | | — | | | — | | | 22 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 23 | | | (1) | | | (3) | | | — | | | (2) | | | (3) | | | — | | | 14 | | | — | | | | | Secured borrowing receivable | — | | | — | | | — | | | — | | | — | | | — | | | 10 | | | 10 | | | — | | | | | Investment in affiliate | 21 | | | — | | | — | | | — | | | — | | | — | | | — | | | 21 | | | — | | | | Subtotal assets at Level 3 fair value | $ | 5,576 | | | $ | (12) | | | $ | (558) | | | $ | 3,308 | | | $ | (41) | | | $ | (582) | | | $ | (297) | | | $ | 7,394 | | | $ | (582) | | | | | Market risk benefits asset (b) | 41 | | | | | | | | | | | | | | | 121 | | | | | | | Total assets at Level 3 fair value | $ | 5,617 | | | | | | | | | | | | | | | $ | 7,515 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | FIA/IUL embedded derivatives, included in contractholder funds | 3,883 | | | (1,442) | | | — | | | 410 | | | — | | | (76) | | | — | | | 2,775 | | | — | | | | | | | | | | | | | | | | | | | | | | | | Subtotal liabilities at Level 3 fair value | $ | 3,883 | | | $ | (1,442) | | | $ | — | | | $ | 410 | | | $ | — | | | $ | (76) | | | $ | — | | | $ | 2,775 | | | $ | — | | | | | Market risk benefits liability (b) | 469 | | | | | | | | | | | | | | | 242 | | | | | | Total liabilities at Level 3 fair value | $ | 4,352 | | | | | | | | | | | | | | | $ | 3,017 | | | | | |
(a) The net transfers out of Level 3 during the nine months ended September 30, 2022 were to Level 2. (b) Refer to Note G - Market Risk Benefits for roll forward activity of the net Market Risk Benefits Asset and Liability.
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