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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS Fair Value Hierarchy U.S. GAAP specifies a hierarchy of valuation techniques based on whether the inputs to those valuation techniques are observable or unobservable. These two types of inputs create three valuation hierarchy levels. Level 1 valuations reflect quoted market prices for identical assets or liabilities in active markets. Level 2 valuations reflect quoted market prices for similar assets or liabilities in an active market, quoted market prices for identical or similar assets or liabilities in non-active markets or model-derived valuations in which all significant valuation inputs are observable in active markets. Level 3 valuations reflect valuations in which one or more of the significant inputs are not observable in an active market. The following tables present the fair value hierarchy levels of the Company's assets and liabilities that are measured and carried at fair value on a recurring basis.
| September 30, 2022
(In millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 22,987 |  |  |  |  | $ | 923 |  |  |  |  | $ | 0 |  |  |  |  | $ | 23,910 |  |
Municipalities |  | 0 |  |  |  |  | 2,276 |  |  |  |  | 0 |  |  |  |  | 2,276 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 1,699 |  |  |  |  | 310 |  |  |  |  | 2,009 |  |
Public utilities |  | 0 |  |  |  |  | 6,843 |  |  |  |  | 507 |  |  |  |  | 7,350 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 828 |  |  |  |  | 34 |  |  |  |  | 862 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 8,883 |  |  |  |  | 148 |  |  |  |  | 9,031 |  |
Other corporate |  | 0 |  |  |  |  | 27,584 |  |  |  |  | 621 |  |  |  |  | 28,205 |  |
Total fixed maturity securities |  | 22,987 |  |  |  |  | 49,036 |  |  |  |  | 1,620 |  |  |  |  | 73,643 |  |
Equity securities |  | 801 |  |  |  |  | 66 |  |  |  |  | 197 |  |  |  |  | 1,064 |  |
Other investments |  | 1,816 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 1,816 |  |
Cash and cash equivalents |  | 4,710 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 4,710 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 146 |  |  |  |  | 0 |  |  |  |  | 146 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 995 |  |  |  |  | 0 |  |  |  |  | 995 |  |
Foreign currency options |  | 0 |  |  |  |  | 5 |  |  |  |  | 0 |  |  |  |  | 5 |  |
Total other assets |  | 0 |  |  |  |  | 1,146 |  |  |  |  | 0 |  |  |  |  | 1,146 |  |
Total assets |  | $ | 30,314 |  |  |  |  | $ | 50,248 |  |  |  |  | $ | 1,817 |  |  |  |  | $ | 82,379 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 462 |  |  |  |  | $ | 0 |  |  |  |  | $ | 462 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 1,035 |  |  |  |  | 0 |  |  |  |  | 1,035 |  |
Interest rate swaps |  | 0 |  |  |  |  | 590 |  |  |  |  | 0 |  |  |  |  | 590 |  |
Forward bond purchase commitment |  | 0 |  |  |  |  | 1 |  |  |  |  | 0 |  |  |  |  | 1 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 2,088 |  |  |  |  | $ | 0 |  |  |  |  | $ | 2,088 |  |
| December 31, 2021
(In millions) | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 32,532 |  |  |  |  | $ | 1,288 |  |  |  |  | $ | 0 |  |  |  |  | $ | 33,820 |  |
Municipalities |  | 0 |  |  |  |  | 3,036 |  |  |  |  | 0 |  |  |  |  | 3,036 |  |
Mortgage- and asset-backed securities |  | 0 |  |  |  |  | 955 |  |  |  |  | 291 |  |  |  |  | 1,246 |  |
Public utilities |  | 0 |  |  |  |  | 9,558 |  |  |  |  | 493 |  |  |  |  | 10,051 |  |
Sovereign and supranational |  | 0 |  |  |  |  | 1,072 |  |  |  |  | 43 |  |  |  |  | 1,115 |  |
Banks/financial institutions |  | 0 |  |  |  |  | 11,546 |  |  |  |  | 45 |  |  |  |  | 11,591 |  |
Other corporate |  | 0 |  |  |  |  | 37,411 |  |  |  |  | 426 |  |  |  |  | 37,837 |  |
Total fixed maturity securities |  | 32,532 |  |  |  |  | 64,866 |  |  |  |  | 1,298 |  |  |  |  | 98,696 |  |
Equity securities |  | 1,340 |  |  |  |  | 90 |  |  |  |  | 173 |  |  |  |  | 1,603 |  |
Other investments |  | 1,726 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 1,726 |  |
Cash and cash equivalents |  | 5,051 |  |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 5,051 |  |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | 0 |  |  |  |  | 137 |  |  |  |  | 0 |  |  |  |  | 137 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 791 |  |  |  |  | 0 |  |  |  |  | 791 |  |
Foreign currency options |  | 0 |  |  |  |  | 8 |  |  |  |  | 0 |  |  |  |  | 8 |  |
Total other assets |  | 0 |  |  |  |  | 936 |  |  |  |  | 0 |  |  |  |  | 936 |  |
Total assets |  | $ | 40,649 |  |  |  |  | $ | 65,892 |  |  |  |  | $ | 1,471 |  |  |  |  | $ | 108,012 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency swaps |  | $ | 0 |  |  |  |  | $ | 427 |  |  |  |  | $ | 0 |  |  |  |  | $ | 427 |  |
Foreign currency forwards |  | 0 |  |  |  |  | 1,138 |  |  |  |  | 0 |  |  |  |  | 1,138 |  |
Interest rate swaps |  | 0 |  |  |  |  | 54 |  |  |  |  | 0 |  |  |  |  | 54 |  |
Total liabilities |  | $ | 0 |  |  |  |  | $ | 1,619 |  |  |  |  | $ | 0 |  |  |  |  | $ | 1,619 |  |
The following tables present the carrying amount and fair value categorized by fair value hierarchy level for the Company's financial instruments that are not carried at fair value.
| September 30, 2022
(In millions) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 16,742 |  |  |  | $ | 19,053 |  |  |  |  | $ | 172 |  |  |  |  | $ | 0 |  |  |  |  | $ | 19,225 |  |
Municipalities |  | 264 |  |  |  | 0 |  |  |  |  | 321 |  |  |  |  | 0 |  |  |  |  | 321 |  |
Public utilities |  | 34 |  |  |  | 0 |  |  |  |  | 41 |  |  |  |  | 0 |  |  |  |  | 41 |  |
Sovereign and supranational |  | 409 |  |  |  | 0 |  |  |  |  | 477 |  |  |  |  | 0 |  |  |  |  | 477 |  |
Other corporate |  | 17 |  |  |  | 0 |  |  |  |  | 21 |  |  |  |  | 0 |  |  |  |  | 21 |  |
Commercial mortgage and other loans |  | 13,459 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 13,189 |  |  |  |  | 13,189 |  |
Other investments (1) |  | 30 |  |  |  | 0 |  |  |  |  | 30 |  |  |  |  | 0 |  |  |  |  | 30 |  |
Total assets |  | $ | 30,955 |  |  |  | $ | 19,053 |  |  |  |  | $ | 1,062 |  |  |  |  | $ | 13,189 |  |  |  |  | $ | 33,304 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 5,632 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 5,539 |  |  |  |  | $ | 5,539 |  |
Notes payable (excluding leases) |  | 7,393 |  |  |  | 0 |  |  |  |  | 6,237 |  |  |  |  | 757 |  |  |  |  | 6,994 |  |
Total liabilities |  | $ | 13,025 |  |  |  | $ | 0 |  |  |  |  | $ | 6,237 |  |  |  |  | $ | 6,296 |  |  |  |  | $ | 12,533 |  |
(1) Excludes policy loans of $195 and equity method investments of $2,145, at carrying value
| December 31, 2021
(In millions) | Carrying Value | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies |  | $ | 21,086 |  |  |  | $ | 25,469 |  |  |  |  | $ | 230 |  |  |  |  | $ | 0 |  |  |  |  | $ | 25,699 |  |
Municipalities |  | 335 |  |  |  | 0 |  |  |  |  | 436 |  |  |  |  | 0 |  |  |  |  | 436 |  |
Public utilities |  | 43 |  |  |  | 0 |  |  |  |  | 55 |  |  |  |  | 0 |  |  |  |  | 55 |  |
Sovereign and supranational |  | 514 |  |  |  | 0 |  |  |  |  | 650 |  |  |  |  | 0 |  |  |  |  | 650 |  |
Other corporate |  | 22 |  |  |  | 0 |  |  |  |  | 29 |  |  |  |  | 0 |  |  |  |  | 29 |  |
Commercial mortgage and other loans |  | 11,786 |  |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 11,996 |  |  |  |  | 11,996 |  |
Other investments (1) |  | 22 |  |  |  | 0 |  |  |  |  | 22 |  |  |  |  | 0 |  |  |  |  | 22 |  |
Total assets |  | $ | 33,808 |  |  |  | $ | 25,469 |  |  |  |  | $ | 1,422 |  |  |  |  | $ | 11,996 |  |  |  |  | $ | 38,887 |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other policyholders’ funds |  | $ | 7,072 |  |  |  | $ | 0 |  |  |  |  | $ | 0 |  |  |  |  | $ | 6,957 |  |  |  |  | $ | 6,957 |  |
Notes payable (excluding leases) |  | 7,839 |  |  |  | 0 |  |  |  |  | 8,280 |  |  |  |  | 259 |  |  |  |  | 8,539 |  |
Total liabilities |  | $ | 14,911 |  |  |  | $ | 0 |  |  |  |  | $ | 8,280 |  |  |  |  | $ | 7,216 |  |  |  |  | $ | 15,496 |  |
(1) Excludes policy loans of $236 and equity method investments of $1,858, at carrying value Fair Value of Financial Instruments Fixed maturity and equity securities The Company determines the fair values of fixed maturity securities and public and privately-issued equity securities using the following approaches or techniques: price quotes and valuations from third party pricing vendors (including quoted market prices readily available from public exchange markets), in-house valuations and non-binding price quotes the Company obtains from outside brokers. A third party pricing vendor has developed valuation models to determine fair values of privately issued securities and derivatives associated with VIEs. Starting in June 2021 and July 2022, respectively, these models and associated processes and controls were transitioned to and executed by Company personnel. These models are discounted cash flow (DCF) valuation models but also use information from related markets, specifically the credit default swap (CDS) market, to estimate expected cash flows. These models take into consideration any unique characteristics of the securities or derivatives and make various adjustments to arrive at an appropriate issuer-specific loss adjusted credit curve. This credit curve is then used with the relevant recovery rates to estimate expected cash flows and modeling of additional features, including illiquidity adjustments, if necessary, to price the security or derivative by discounting those loss adjusted cash flows. In cases where a credit curve cannot be developed from the specific security features, the valuation methodology takes into consideration other market observable inputs, including: 1) the most appropriate comparable security(ies) of the issuer 2) issuer-specific CDS spreads 3) bonds or CDS spreads of comparable issuers with similar characteristics such as rating, geography, or sector 4) bond indices that are comparative in rating, industry, maturity, and region. The pricing data and market quotes the Company obtains from outside sources, including third party pricing services, are reviewed internally for reasonableness. If a fair value appears unreasonable, the Company will re-examine the inputs and assess the reasonableness of the pricing data with the vendor. Additionally, the Company may compare the inputs to relevant market indices and other performance measurements. Based on management's analysis, the valuation is confirmed or may be revised if there is evidence of a more appropriate estimate of fair value based on available market data. The Company has performed verification of the inputs and calculations in any valuation models to confirm that the valuations represent reasonable estimates of fair value. For the periods presented, the Company has not adjusted the quotes or prices it obtains from the pricing services and brokers it uses. The following tables present the pricing sources for the fair values of the Company's fixed maturity and equity securities.
|  | September 30, 2022
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 22,987 |  |  |  |  | $ | 570 |  |  |  |  | $ | 0 |  |  |  |  | $ | 23,557 |  |
Internal |  |  | 0 |  |  |  |  | 353 |  |  |  |  | 0 |  |  |  |  | 353 |  |
Total government and agencies |  |  | 22,987 |  |  |  |  | 923 |  |  |  |  | 0 |  |  |  |  | 23,910 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,975 |  |  |  |  | 0 |  |  |  |  | 1,975 |  |
Internal |  |  | 0 |  |  |  |  | 301 |  |  |  |  | 0 |  |  |  |  | 301 |  |
Total municipalities |  |  | 0 |  |  |  |  | 2,276 |  |  |  |  | 0 |  |  |  |  | 2,276 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 1,676 |  |  |  |  | 0 |  |  |  |  | 1,676 |  |
Internal |  |  | 0 |  |  |  |  | 3 |  |  |  |  | 0 |  |  |  |  | 3 |  |
Broker/other |  |  | 0 |  |  |  |  | 20 |  |  |  |  | 310 |  |  |  |  | 330 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 1,699 |  |  |  |  | 310 |  |  |  |  | 2,009 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 3,717 |  |  |  |  | 0 |  |  |  |  | 3,717 |  |
Internal |  |  | 0 |  |  |  |  | 3,126 |  |  |  |  | 0 |  |  |  |  | 3,126 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 507 |  |  |  |  | 507 |  |
Total public utilities |  |  | 0 |  |  |  |  | 6,843 |  |  |  |  | 507 |  |  |  |  | 7,350 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 295 |  |  |  |  | 0 |  |  |  |  | 295 |  |
Internal |  |  | 0 |  |  |  |  | 533 |  |  |  |  | 0 |  |  |  |  | 533 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 34 |  |  |  |  | 34 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 828 |  |  |  |  | 34 |  |  |  |  | 862 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,650 |  |  |  |  | 0 |  |  |  |  | 4,650 |  |
Internal |  |  | 0 |  |  |  |  | 4,233 |  |  |  |  | 93 |  |  |  |  | 4,326 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 55 |  |  |  |  | 55 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 8,883 |  |  |  |  | 148 |  |  |  |  | 9,031 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 22,427 |  |  |  |  | 0 |  |  |  |  | 22,427 |  |
Internal |  |  | 0 |  |  |  |  | 5,157 |  |  |  |  | 192 |  |  |  |  | 5,349 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 429 |  |  |  |  | 429 |  |
Total other corporate |  |  | 0 |  |  |  |  | 27,584 |  |  |  |  | 621 |  |  |  |  | 28,205 |  |
Total securities available for sale |  |  | $ | 22,987 |  |  |  |  | $ | 49,036 |  |  |  |  | $ | 1,620 |  |  |  |  | $ | 73,643 |  |
Equity securities, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 801 |  |  |  |  | $ | 66 |  |  |  |  | $ | 0 |  |  |  |  | $ | 867 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 197 |  |  |  |  | 197 |  |
Total equity securities |  |  | $ | 801 |  |  |  |  | $ | 66 |  |  |  |  | $ | 197 |  |  |  |  | $ | 1,064 |  |
|  | September 30, 2022
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 19,053 |  |  |  |  | $ | 172 |  |  |  |  | $ | 0 |  |  |  |  | $ | 19,225 |  |
Total government and agencies |  |  | 19,053 |  |  |  |  | 172 |  |  |  |  | 0 |  |  |  |  | 19,225 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 321 |  |  |  |  | 0 |  |  |  |  | 321 |  |
Total municipalities |  |  | 0 |  |  |  |  | 321 |  |  |  |  | 0 |  |  |  |  | 321 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 41 |  |  |  |  | 0 |  |  |  |  | 41 |  |
Total public utilities |  |  | 0 |  |  |  |  | 41 |  |  |  |  | 0 |  |  |  |  | 41 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 232 |  |  |  |  | 0 |  |  |  |  | 232 |  |
Broker/other |  |  | 0 |  |  |  |  | 245 |  |  |  |  | 0 |  |  |  |  | 245 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 477 |  |  |  |  | 0 |  |  |  |  | 477 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 21 |  |  |  |  | 0 |  |  |  |  | 21 |  |
Total other corporate |  |  | 0 |  |  |  |  | 21 |  |  |  |  | 0 |  |  |  |  | 21 |  |
Total securities held to maturity |  |  | $ | 19,053 |  |  |  |  | $ | 1,032 |  |  |  |  | $ | 0 |  |  |  |  | $ | 20,085 |  |
|  | December 31, 2021
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 32,532 |  |  |  |  | $ | 808 |  |  |  |  | $ | 0 |  |  |  |  | $ | 33,340 |  |
Internal |  |  | 0 |  |  |  |  | 480 |  |  |  |  | 0 |  |  |  |  | 480 |  |
Total government and agencies |  |  | 32,532 |  |  |  |  | 1,288 |  |  |  |  | 0 |  |  |  |  | 33,820 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 2,222 |  |  |  |  | 0 |  |  |  |  | 2,222 |  |
Internal |  |  | 0 |  |  |  |  | 814 |  |  |  |  | 0 |  |  |  |  | 814 |  |
Total municipalities |  |  | 0 |  |  |  |  | 3,036 |  |  |  |  | 0 |  |  |  |  | 3,036 |  |
Mortgage- and asset-backed securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 955 |  |  |  |  | 0 |  |  |  |  | 955 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 291 |  |  |  |  | 291 |  |
Total mortgage- and asset-backed securities |  |  | 0 |  |  |  |  | 955 |  |  |  |  | 291 |  |  |  |  | 1,246 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 4,527 |  |  |  |  | 0 |  |  |  |  | 4,527 |  |
Internal |  |  | 0 |  |  |  |  | 5,031 |  |  |  |  | 0 |  |  |  |  | 5,031 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 493 |  |  |  |  | 493 |  |
Total public utilities |  |  | 0 |  |  |  |  | 9,558 |  |  |  |  | 493 |  |  |  |  | 10,051 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 273 |  |  |  |  | 0 |  |  |  |  | 273 |  |
Internal |  |  | 0 |  |  |  |  | 799 |  |  |  |  | 0 |  |  |  |  | 799 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 43 |  |  |  |  | 43 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 1,072 |  |  |  |  | 43 |  |  |  |  | 1,115 |  |
Banks/financial institutions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 5,237 |  |  |  |  | 0 |  |  |  |  | 5,237 |  |
Internal |  |  | 0 |  |  |  |  | 6,309 |  |  |  |  | 0 |  |  |  |  | 6,309 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 45 |  |  |  |  | 45 |  |
Total banks/financial institutions |  |  | 0 |  |  |  |  | 11,546 |  |  |  |  | 45 |  |  |  |  | 11,591 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 29,495 |  |  |  |  | 0 |  |  |  |  | 29,495 |  |
Internal |  |  | 0 |  |  |  |  | 7,916 |  |  |  |  | 0 |  |  |  |  | 7,916 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 426 |  |  |  |  | 426 |  |
Total other corporate |  |  | 0 |  |  |  |  | 37,411 |  |  |  |  | 426 |  |  |  |  | 37,837 |  |
Total securities available for sale |  |  | $ | 32,532 |  |  |  |  | $ | 64,866 |  |  |  |  | $ | 1,298 |  |  |  |  | $ | 98,696 |  |
Equity securities, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 1,340 |  |  |  |  | $ | 90 |  |  |  |  | $ | 0 |  |  |  |  | $ | 1,430 |  |
Broker/other |  |  | 0 |  |  |  |  | 0 |  |  |  |  | 173 |  |  |  |  | 173 |  |
Total equity securities |  |  | $ | 1,340 |  |  |  |  | $ | 90 |  |  |  |  | $ | 173 |  |  |  |  | $ | 1,603 |  |
|  | December 31, 2021
(In millions) |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total Fair Value
Securities held to maturity, carried at amortized cost: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Government and agencies: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | $ | 25,469 |  |  |  |  | $ | 230 |  |  |  |  | $ | 0 |  |  |  |  | $ | 25,699 |  |
Total government and agencies |  |  | 25,469 |  |  |  |  | 230 |  |  |  |  | 0 |  |  |  |  | 25,699 |  |
Municipalities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 436 |  |  |  |  | 0 |  |  |  |  | 436 |  |
Total municipalities |  |  | 0 |  |  |  |  | 436 |  |  |  |  | 0 |  |  |  |  | 436 |  |
Public utilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 55 |  |  |  |  | 0 |  |  |  |  | 55 |  |
Total public utilities |  |  | 0 |  |  |  |  | 55 |  |  |  |  | 0 |  |  |  |  | 55 |  |
Sovereign and supranational: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 313 |  |  |  |  | 0 |  |  |  |  | 313 |  |
Broker/other |  |  | 0 |  |  |  |  | 337 |  |  |  |  | 0 |  |  |  |  | 337 |  |
Total sovereign and supranational |  |  | 0 |  |  |  |  | 650 |  |  |  |  | 0 |  |  |  |  | 650 |  |
Other corporate: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Third party pricing vendor |  |  | 0 |  |  |  |  | 29 |  |  |  |  | 0 |  |  |  |  | 29 |  |
Total other corporate |  |  | 0 |  |  |  |  | 29 |  |  |  |  | 0 |  |  |  |  | 29 |  |
Total securities held to maturity |  |  | $ | 25,469 |  |  |  |  | $ | 1,400 |  |  |  |  | $ | 0 |  |  |  |  | $ | 26,869 |  |
The following is a discussion of the determination of fair value of the Company's remaining financial instruments. Derivatives The Company uses derivative instruments to manage the risk associated with certain assets. However, the derivative instrument may not be classified in the same fair value hierarchy level as the associated asset. The significant inputs to pricing derivatives are generally observable in the market or can be derived by observable market data. When these inputs are observable, the derivatives are classified as Level 2. The Company uses present value techniques to value non-option based derivatives. It also uses option pricing models to value option based derivatives. Key inputs are as follows:
Instrument Type |  | Level 2 |
Interest rate derivatives |  | Swap yield curves Basic curves Interest rate volatility (1) |
Foreign currency exchange rate derivatives - Non-VIES (forwards, swaps and options) |  | Foreign currency forward rates Swap yield curves Basis curves Foreign currency spot rates Cross foreign currency basis curves Foreign currency volatility (1) |
Foreign currency exchange rate derivatives - VIEs (swaps) |  | Foreign currency spot rates Swap yield curves Credit default swap curves Basis curves Recovery rates Foreign currency forward rates Foreign cross currency basis curves |
(1) Option-based only The fair values of the foreign currency forwards and options are based on observable market inputs, therefore they are classified as Level 2. The Parent Company has cross-currency swap agreements related to certain of its U.S. dollar-denominated senior notes to effectively convert a portion of the interest on the notes from U.S dollar to Japanese yen. Their fair values are based on observable market inputs, therefore they are classified as Level 2. To determine the fair value of its interest rate derivatives, the Company uses inputs that are generally observable in the market or can be derived from observable market data. Interest rate swaps are cleared trades. In a cleared swap contract, the clearinghouse provides benefits to the counterparties similar to contracts listed for investment traded on an exchange since it maintains a daily margin to mitigate counterparties' credit risk. These derivatives are priced using observable inputs, accordingly, they are classified as Level 2. For its interest rate swaptions, the Company estimates their fair values using observable market data, including interest rate curves and volatility. Their fair values are also classified as Level 2. For derivatives associated with VIEs where the Company is the primary beneficiary, the Company is not the direct counterparty to the swap contracts. Nevertheless, the Company has full transparency into the contracts to properly value the swaps for reporting purposes. Prior to October 1, 2021, these derivatives were classified as Level 3 because certain significant inputs were determined to be unobservable, primarily due to the long duration of the swaps which required extrapolation beyond the observable limits of the curve(s). However, due to the natural aging of the swap portfolio and the continued evolution of capital market inputs, especially the availability of long-term interest rates with tenors beyond 30 years, the Company has concluded that all significant inputs are now observable. As a result, effective October 1, 2021, the Company transferred the derivatives associated with its consolidated VIEs to Level 2 of the fair value hierarchy. For forward bond purchase commitments with VIEs, the fair value of the derivative is based on the difference in the fixed purchase price and the current market value of the related bond prior to the settlement date. Since the bond is typically a public bond with readily available pricing, the derivatives associated with the forward purchase commitment are classified as Level 2 of the fair value hierarchy. Commercial mortgage and other loans Commercial mortgage and other loans include TREs, CMLs and MMLs. The Company's loan receivables do not have readily determinable market prices and generally lack market liquidity. Fair values for loan receivables are determined based on the present value of expected future cash flows discounted at the applicable U.S. Treasury or floating-rate benchmark yield plus an appropriate spread that considers other risk factors, such as credit and liquidity risk. The spreads are a significant component of the pricing inputs and are generally considered unobservable. Therefore, these investments have been assigned a Level 3 within the fair value hierarchy. Other investments Other investments includes short-term investments that are measured at fair value where amortized cost approximates fair value. Other policyholders' funds The largest component of the other policyholders' funds liability is the Company's annuity line of business in Aflac Japan. The Company's annuities have fixed benefits and premiums. For this product, the Company estimates the fair value to be equal to the cash surrender value. This is analogous to the value paid to policyholders on the valuation date if they were to surrender their policy. The Company periodically checks the cash value against discounted cash flow projections for reasonableness. The Company considers its inputs for this valuation to be unobservable and have accordingly classified this valuation as Level 3. Notes payable The fair values of the Company's publicly issued notes payable are determined by utilizing available sources of observable inputs from third party pricing vendors and are classified as Level 2. The fair values of the Company's yen-denominated loans approximate their carrying values and are classified as Level 3. Transfers between Hierarchy Levels and Level 3 Rollforward Assets and liabilities are transferred into Level 3 when a significant input cannot be corroborated with market observable data. This occurs when market activity decreases significantly and underlying inputs cannot be observed, current prices are not available, and/or when there are significant variances in quoted prices, thereby affecting transparency. Assets and liabilities are transferred out of Level 3 when circumstances change such that a significant input can be corroborated with market observable data. This may be due to a significant increase in market activity, a specific event, or one or more significant input(s) becoming observable. Effective October 1, 2021, the foreign exchange swaps discussed above were transferred from Level 3 to Level 2 because the significant inputs used for their valuation that were previously unobservable are now observable. The following tables present the changes in fair value of the Company's investments and derivatives carried at fair value classified as Level 3. Derivative assets and liabilities are presented as a net value.
Three Months Ended September 30, 2022
| Fixed Maturity Securities |  | Equity Securities |  | Derivatives |  |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  |  |  | Foreign Currency Swaps |  |  | Total |
Balance, beginning of period | $ | 311 |  |  | $ | 537 |  |  | $ | 36 |  |  | $ | 91 |  |  | $ | 632 |  |  | $ | 190 |  |  | $ | 0 |  |  |  | $ | 1,797 |  |
Net investment gains (losses) included in earnings | 0 |  |  | 1 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | (3) |  |  | 0 |  |  |  | (1) |  |
Unrealized gains (losses) included in other comprehensive income (loss) | (12) |  |  | (30) |  |  | (2) |  |  | (12) |  |  | (41) |  |  | 0 |  |  | 0 |  |  |  | (97) |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 56 |  |  | 7 |  |  | 0 |  |  | 88 |  |  | 145 |  |  | 10 |  |  | 0 |  |  |  | 306 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  | 0 |  |
Settlements | (21) |  |  | (8) |  |  | 0 |  |  | (20) |  |  | (183) |  |  | 0 |  |  | 0 |  |  |  | (232) |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 68 |  |  | 0 |  |  | 0 |  |  |  | 68 |  |
Transfers out of Level 3 | (24) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  | (24) |  |
Balance, end of period | $ | 310 |  |  | $ | 507 |  |  | $ | 34 |  |  | $ | 148 |  |  | $ | 621 |  |  | $ | 197 |  |  | $ | 0 |  |  |  | $ | 1,817 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings | $ | 0 |  |  | $ | 1 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (2) |  |  | $ | 0 |  |  |  | $ | (1) |  |
Three Months Ended September 30, 2021
| Fixed Maturity Securities |  | Equity Securities | Derivatives |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  |  |  | Foreign Currency Swaps |  |  |  | Total |
Balance, beginning of period | $ | 258 |  |  | $ | 480 |  |  | $ | 45 |  |  | $ | 38 |  |  | $ | 316 |  |  | $ | 158 |  |  | $ | (200) |  |  |  |  | $ | 1,095 |  |
Net investment gains (losses) included in earnings | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | (1) |  |  | (57) |  |  |  |  | (56) |  |
Unrealized gains (losses) included in other comprehensive income (loss) | (4) |  |  | (3) |  |  | 0 |  |  | 0 |  |  | (7) |  |  | 0 |  |  | 0 |  |  |  |  | (14) |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 35 |  |  | 54 |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 12 |  |  | 0 |  |  |  |  | 109 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (8) |  |  | 0 |  |  |  |  | (8) |  |
Settlements | 0 |  |  | (8) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | (8) |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  |  | 0 |  |
Transfers out of Level 3 | (39) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (5) |  |  | 0 |  |  | 0 |  |  |  |  | (44) |  |
Balance, end of period | $ | 250 |  |  | $ | 523 |  |  | $ | 45 |  |  | $ | 46 |  |  | $ | 306 |  |  | $ | 161 |  |  | $ | (257) |  |  |  |  | $ | 1,074 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings | $ | (4) |  |  | $ | (3) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (7) |  |  | $ | (1) |  |  | $ | (57) |  |  |  |  | $ | (72) |  |
Nine Months Ended September 30, 2022
| Fixed Maturity Securities |  | Equity Securities |  | Derivatives |  |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  |  |  | Foreign Currency Swaps |  |  | Total |
Balance, beginning of period | $ | 291 |  |  | $ | 493 |  |  | $ | 43 |  |  | $ | 45 |  |  | $ | 426 |  |  | $ | 173 |  |  | $ | 0 |  |  |  | $ | 1,471 |  |
Net investment gains (losses) included in earnings | 0 |  |  | 2 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | (2) |  |  | 0 |  |  |  | 1 |  |
Unrealized gains (losses) included in other comprehensive income (loss) | (81) |  |  | (111) |  |  | (9) |  |  | (14) |  |  | (96) |  |  | 0 |  |  | 0 |  |  |  | (311) |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 222 |  |  | 35 |  |  | 0 |  |  | 121 |  |  | 267 |  |  | 53 |  |  | 0 |  |  |  | 698 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  | 0 |  |
Sales | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  |  | 0 |  |
Settlements | (59) |  |  | (40) |  |  | 0 |  |  | (23) |  |  | (185) |  |  | (7) |  |  | 0 |  |  |  | (314) |  |
Transfers into Level 3 | 0 |  |  | 128 |  |  | 0 |  |  | 18 |  |  | 350 |  |  | 0 |  |  | 0 |  |  |  | 496 |  |
Transfers out of Level 3 | (63) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (141) |  |  | (20) |  |  | 0 |  |  |  | (224) |  |
Balance, end of period | $ | 310 |  |  | $ | 507 |  |  | $ | 34 |  |  | $ | 148 |  |  | $ | 621 |  |  | $ | 197 |  |  | $ | 0 |  |  |  | $ | 1,817 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings | $ | 0 |  |  | $ | 1 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (4) |  |  | $ | 0 |  |  |  | $ | (3) |  |
Nine Months Ended September 30, 2021
| Fixed Maturity Securities |  | Equity Securities |  | Derivatives |  |  |  |  |
(In millions) | Mortgage- and Asset- Backed Securities |  | Public Utilities |  | Sovereign and Supranational |  | Banks/ Financial Institutions |  | Other Corporate |  |  |  | Foreign Currency Swaps |  |  |  | Total |
Balance, beginning of period | $ | 224 |  |  | $ | 422 |  |  | $ | 48 |  |  | $ | 24 |  |  | $ | 299 |  |  | $ | 102 |  |  | $ | (98) |  |  |  |  | $ | 1,021 |  |
Net investment gains (losses) included in earnings | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | 21 |  |  | (158) |  |  |  |  | (135) |  |
Unrealized gains (losses) included in other comprehensive income (loss) | (19) |  |  | (13) |  |  | (3) |  |  | (1) |  |  | (5) |  |  | 0 |  |  | (1) |  |  |  |  | (42) |  |
Purchases, issuances, sales and settlements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Purchases | 99 |  |  | 132 |  |  | 0 |  |  | 23 |  |  | 0 |  |  | 29 |  |  | 0 |  |  |  |  | 283 |  |
Issuances | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 17 |  |  | 0 |  |  |  |  | 17 |  |
Sales | 0 |  |  | 0 |  |  | (23) |  |  | 0 |  |  | 0 |  |  | (8) |  |  | 0 |  |  |  |  | (31) |  |
Settlements | 0 |  |  | (18) |  |  | 0 |  |  | 0 |  |  | (17) |  |  | 0 |  |  | 0 |  |  |  |  | (35) |  |
Transfers into Level 3 | 0 |  |  | 0 |  |  | 23 |  |  | 0 |  |  | 32 |  |  | 0 |  |  | 0 |  |  |  |  | 55 |  |
Transfers out of Level 3 | (54) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (5) |  |  | 0 |  |  | 0 |  |  |  |  | (59) |  |
Balance, end of period | $ | 250 |  |  | $ | 523 |  |  | $ | 45 |  |  | $ | 46 |  |  | $ | 306 |  |  | $ | 161 |  |  | $ | (257) |  |  |  |  | $ | 1,074 |  |
Changes in unrealized gains (losses) relating to Level 3 assets and liabilities still held at the end of the period included in earnings | $ | (19) |  |  | $ | (13) |  |  | $ | (3) |  |  | $ | (1) |  |  | $ | (5) |  |  | $ | 21 |  |  | $ | (158) |  |  |  |  | $ | (178) |  |
Fair Value Sensitivity Level 3 Significant Unobservable Input Sensitivity The following tables summarize the significant unobservable inputs used in the valuation of the Company's Level 3 investments carried at fair value. Included in the tables are the inputs or range of possible inputs that have an effect on the overall valuation of the financial instruments.
September 30, 2022
(In millions) |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range (Weighted Average) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage- and asset-backed securities |  |  | $ | 310 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (a)
Public utilities |  |  | 507 |  |  |  | Discounted cash flow |  | Credit spreads |  | N/A | (a)
Sovereign and supranational |  |  | 34 |  |  |  | Discounted cash flow |  | Historical volatility |  | N/A | (a)
Banks/financial institutions |  |  | 148 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (a)
Other corporate |  |  | 621 |  |  |  | Discounted cash flow |  | Credit spreads |  | N/A | (a)
Equity securities |  |  | 197 |  |  |  | Net asset value |  | Offered quotes |  | N/A | (a)
Total assets |  |  | $ | 1,817 |  |  |  |  |  |  |  |  |  |  |
(a) N/A represents securities where the Company receives unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs.
December 31, 2021
(In millions) |  | Fair Value |  | Valuation Technique(s) |  | Unobservable Input |  | Range (Weighted Average) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale, carried at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities: |  |  |  |  |  |  |  |  |  |  |  |  |
Mortgage- and asset-backed securities |  |  | $ | 291 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (a)
Public utilities |  |  | 493 |  |  |  | Discounted cash flow |  | Credit spreads |  | N/A | (a)
Sovereign and supranational |  |  | 43 |  |  |  | Discounted cash flow |  | Historical volatility |  | N/A | (a)
Banks/financial institutions |  |  | 45 |  |  |  | Consensus pricing |  | Offered quotes |  | N/A | (a)
Other corporate |  |  | 426 |  |  |  | Discounted cash flow |  | Credit spreads |  | N/A | (a)
Equity securities |  |  | 173 |  |  |  | Net asset value |  | Offered quotes |  | N/A | (a)
Total assets |  |  | $ | 1,471 |  |  |  |  |  |  |  |  |  |  |
(a) N/A represents securities where the Company receives unadjusted broker quotes and for which there is no transparency into the providers' valuation techniques or unobservable inputs. The following is a discussion of the significant unobservable inputs or valuation techniques used in determining the fair value of securities and derivatives classified as Level 3. Net Asset Value The Company holds certain unlisted equity securities whose fair value is derived based on the financial statements published by the investee. These securities do not trade on an active market and the valuations derived are dependent on the availability of timely financial reporting of the investee. Net asset value is an unobservable input in the determination of fair value of equity securities. Offered Quotes In circumstances where the Company's valuation model price is overridden because it implies a value that is not consistent with current market conditions, the Company will solicit bids from a limited number of brokers. The Company also receives unadjusted prices from brokers for its mortgage and asset-backed securities. These quotes are non-binding but are reflective of valuation best estimates at that particular point in time. Offered quotes are an unobservable input in the determination of fair value of mortgage- and asset-backed securities, certain banks/financial institutions, certain other corporate, and equity securities investments. Interest Rates and CDS Spreads The significant drivers of the valuation of the foreign exchange swaps are interest rates and CDS spreads. Some of the Company's swaps have long maturities that increase the sensitivity of the swaps to interest rate fluctuations. For the Company's foreign exchange or cross currency swaps that are in a net asset position, an increase in yen interest rates (all other factors held constant) will decrease the present value of the yen final settlement receivable (receive leg), thus decreasing the value of the swap as long as the derivative remains in a net asset position. Foreign exchange swaps also have a lump-sum final settlement of foreign exchange principal amounts at the termination of the swap. Assuming all other factors are held constant, an increase in yen interest rates will decrease the receive leg and decrease the net value of the swap. Likewise, holding all other factors constant, an increase in U.S. dollar interest rates will increase the swap's net value due to the decrease in the present value of the dollar final settlement payable (pay leg). The extinguisher feature in most of the Company's VIE swaps results in a cessation of cash flows and no further payments between the parties to the swap in the event of a default on the referenced or underlying collateral. To price this feature, the Company applies the survival probability of the referenced entity to the projected cash flows. The survival probability uses the CDS spreads and recovery rates to adjust the present value of the cash flows. For extinguisher swaps with positive values, an increase in CDS spreads decreases the likelihood of receiving the final exchange payments and reduces the value of the swap. Effective October 1, 2021, the foreign exchange swaps mentioned above were transferred from Level 3 to Level 2 because the significant inputs used for their valuation that were previously unobservable are now observable. For additional information on the Company's investments and financial instruments, see the accompanying Notes 1, 3 and 4 and Notes 1, 3 and 4 of the Notes to the Consolidated Financial Statements in the 2021 Annual Report.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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