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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Assets and Liabilities Carrying at Fair Value 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, with the exception of investment contracts, portions of other long-term investments and debt which are disclosed later within this footnote, was summarized according to the hierarchy previously described, as follows (in millions):
| September 30, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 5,148 |  |  | $ | — |  |  | $ | — |  |  | $ | 5,148 |  |  | $ | 5,148 |
Fixed maturity securities, available-for-sale: |  |  |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 4,947 |  |  | 3,244 |  |  | 8,191 |  |  | 8,191 |
Commercial mortgage-backed securities | — |  |  | 2,988 |  |  | 36 |  |  | 3,024 |  |  | 3,024 |
Corporates | 37 |  |  | 14,027 |  |  | 1,113 |  |  | 15,177 |  |  | 15,177 |
Hybrids | 132 |  |  | 791 |  |  | — |  |  | 923 |  |  | 923 |
Municipals | — |  |  | 1,325 |  |  | 43 |  |  | 1,368 |  |  | 1,368 |
Residential mortgage-backed securities | — |  |  | 347 |  |  | 394 |  |  | 741 |  |  | 741 |
U.S. Government | 805 |  |  | — |  |  | — |  |  | 805 |  |  | 805 |
Foreign Governments | — |  |  | 188 |  |  | 18 |  |  | 206 |  |  | 206 |
Equity securities | 1,349 |  |  | — |  |  | 9 |  |  | 1,358 |  |  | 1,358 |
Preferred securities | 448 |  |  | 751 |  |  | 3 |  |  | 1,202 |  |  | 1,202 |
Derivative investments | — |  |  | 581 |  |  | — |  |  | 581 |  |  | 581 |
Short term investments | 333 |  |  | 2 |  |  | 192 |  |  | 527 |  |  | 527 |
Other long-term investments | — |  |  | — |  |  | 51 |  |  | 51 |  |  | 51 |
Total financial assets at fair value | $ | 8,252 |  |  | $ | 25,947 |  |  | $ | 5,103 |  |  | $ | 39,302 |  |  | $ | 39,302 |
Liabilities |  |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,439 |  |  | 3,439 |  |  | 3,439 |
Reinsurance related embedded derivatives, included in accounts payable and accrued liabilities | — |  |  | 84 |  |  | — |  |  | 84 |  |  | 84 |
Total financial liabilities at fair value | $ | — |  |  | $ | 84 |  |  | $ | 3,439 |  |  | $ | 3,523 |  |  | $ | 3,523 |
| December 31, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 2,719 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,719 |  |  | $ | 2,719 |
Fixed maturity securities, available-for-sale: |  |  |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 4,916 |  |  | 1,350 |  |  | 6,266 |  |  | 6,266 |
Commercial mortgage-backed securities | — |  |  | 2,803 |  |  | 26 |  |  | 2,829 |  |  | 2,829 |
Corporates | 25 |  |  | 13,421 |  |  | 1,289 |  |  | 14,735 |  |  | 14,735 |
Hybrids | 175 |  |  | 815 |  |  | 4 |  |  | 994 |  |  | 994 |
Municipals | — |  |  | 1,360 |  |  | 43 |  |  | 1,403 |  |  | 1,403 |
Residential mortgage-backed securities | — |  |  | 342 |  |  | 483 |  |  | 825 |  |  | 825 |
U.S. Government | 342 |  |  | — |  |  | — |  |  | 342 |  |  | 342 |
Foreign Governments | — |  |  | 176 |  |  | 17 |  |  | 193 |  |  | 193 |
Equity securities | 791 |  |  | — |  |  | 5 |  |  | 796 |  |  | 796 |
Preferred securities | 490 |  |  | 851 |  |  | — |  |  | 1,341 |  |  | 1,341 |
Subscription agreements (1) | — |  |  | 199 |  |  | — |  |  | 199 |  |  | 199 |
Derivative investments | — |  |  | 548 |  |  | — |  |  | 548 |  |  | 548 |
Short term investments | 769 |  |  | — |  |  | — |  |  | 769 |  |  | 769 |
Other long-term investments | — |  |  | — |  |  | 50 |  |  | 50 |  |  | 50 |
Total financial assets at fair value | $ | 5,311 |  |  | $ | 25,431 |  |  | $ | 3,267 |  |  | $ | 34,009 |  |  | $ | 34,009 |
Liabilities |  |  |  |  |  |  |  |  |
Fair value of future policy benefits | — |  |  | — |  |  | 5 |  |  | 5 |  |  | 5 |
Derivatives: |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,404 |  |  | 3,404 |  |  | 3,404 |
Reinsurance related embedded derivatives, included in accounts payable and accrued liabilities | — |  |  | 101 |  |  | — |  |  | 101 |  |  | 101 |
Total financial liabilities at fair value | $ | — |  |  | $ | 101 |  |  | $ | 3,409 |  |  | $ | 3,510 |  |  | $ | 3,510 |
(1) Included within equity securities in the accompanying Condensed Consolidated Balance Sheets as of December 31, 2020. The following tables provide the carrying value and estimated fair value of our financial instruments that are carried on the unaudited Condensed Consolidated Balance Sheets at amounts other than fair value, summarized according to the fair value hierarchy previously described.
| September 30, 2021
| (in millions)
| Level 1 |  | Level 2 |  | Level 3 |  | Total Estimated Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
FHLB common stock | $ | — |  |  | $ | 72 |  |  | $ | — |  |  | $ | 72 |  |  | $ | 72 |
Commercial mortgage loans | — |  |  | — |  |  | 2,011 |  |  | 2,011 |  |  | 1,984 |
Residential mortgage loans | — |  |  | — |  |  | 1,473 |  |  | 1,473 |  |  | 1,500 |
Policy loans | — |  |  | — |  |  | 37 |  |  | 37 |  |  | 37 |
Other invested assets | — |  |  | — |  |  | 5 |  |  | 5 |  |  | 5 |
Company-owned life insurance | — |  |  | — |  |  | 327 |  |  | 327 |  |  | 327 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 523 |  |  | 523 |  |  | 523 |
Total | $ | — |  |  | $ | 72 |  |  | $ | 4,376 |  |  | $ | 4,448 |  |  | $ | 4,448 |
Liabilities |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds | $ | — |  |  | $ | — |  |  | $ | 26,953 |  |  | $ | 26,953 |  |  | $ | 30,425 |
Debt | — |  |  | 3,247 |  |  | — |  |  | 3,247 |  |  | 3,097 |
Total | $ | — |  |  | $ | 3,247 |  |  | $ | 26,953 |  |  | $ | 30,200 |  |  | $ | 33,522 |
| December 31, 2020
| (in millions)
| Level 1 |  | Level 2 |  | Level 3 |  | Total Estimated Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
FHLB common stock | $ | — |  |  | $ | 66 |  |  | $ | — |  |  | $ | 66 |  |  | $ | 66 |
Commercial mortgage loans | — |  |  | — |  |  | 926 |  |  | 926 |  |  | 903 |
Residential mortgage loans | — |  |  | — |  |  | 1,123 |  |  | 1,123 |  |  | 1,128 |
Policy loans | — |  |  | — |  |  | 33 |  |  | 33 |  |  | 33 |
Other invested assets | — |  |  | — |  |  | 28 |  |  | 28 |  |  | 28 |
Company-owned life insurance | — |  |  | — |  |  | 305 |  |  | 305 |  |  | 305 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 437 |  |  | 437 |  |  | 437 |
Total | $ | — |  |  | $ | 66 |  |  | $ | 2,852 |  |  | $ | 2,918 |  |  | $ | 2,900 |
Liabilities |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds | $ | — |  |  | $ | — |  |  | $ | 21,719 |  |  | $ | 21,719 |  |  | $ | 25,199 |
Debt | — |  |  | 2,896 |  |  | — |  |  | 2,896 |  |  | 2,662 |
Total | $ | — |  |  | $ | 2,896 |  |  | $ | 21,719 |  |  | $ | 24,615 |  |  | $ | 27,861 |
Schedule of Unobservable Inputs Used for Level Three Fair Value Measurements of Financial Instruments on Recurring Basis | 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, 2021 and December 31, 2020 are as follows:
| Fair Value at |  | Valuation Technique |  | Unobservable Input(s) |  | Range (Weighted average)
| September 30, 2021 |  |  |
| (in millions) |  |  |  | September 30, 2021
Assets |  |  |  |  |  |  |
Asset-backed securities | $ | 3,105 |  |  | Broker-quoted |  | Offered quotes |  | 53.66% - 145.43% (97.03%)
Asset-backed securities | 139 |  |  | Third-Party Valuation |  | Offered quotes |  | 95.55% - 107.08% (103.58%)
Commercial mortgage-backed securities | 36 |  |  | Broker-quoted |  | Offered quotes |  | 101.04% - 127.33% (117.40%)
Corporates | 344 |  |  | Broker-quoted |  | Offered quotes |  | 93.33% - 113.92% (103.68%)
Corporates | 13 |  |  | Discounted Cash Flow |  | Discount Rate |  | 44.00% - 100.00% (78.00%)
Corporates | 756 |  |  | Third-Party Valuation |  | Offered quotes |  | 86.58% - 121.41% (108.34%)
Municipals | 43 |  |  | Third-Party Valuation |  | Offered quotes |  | 134.75% - 134.75% (134.75%)
Residential mortgage-backed securities | 394 |  |  | Broker-quoted |  | Offered quotes |  | 0.00% - 115.44% (115.44%)
Foreign governments | 18 |  |  | Third-Party Valuation |  | Offered quotes |  | 108.78% - 116.83% (111.29%)
Short-term | 192 |  |  | Broker-quoted |  | Offered quotes |  | 100.00% - 100.00% (100.00%)
Preferred securities | 3 |  |  | Income-Approach |  | Yield |  | 2.49%
Equity securities | 2 |  |  | Black Scholes model |  | Risk Free Rate |  | 0.50% - 0.50% (0.50%)
|  |  |  |  | Strike Price |  | $1.50 - $1.50 ($1.50)
|  |  |  |  | Volatility |  | 150.00% - 150.00% (150.00%)
|  |  |  |  | Dividend Yield |  | 0.00% - 0.00% (0.00%)
Equity securities | 3 |  |  | Broker Quoted |  | Offered quotes |  | 44.00% - 100.00% (78.00%)
Equity securities | 4 |  |  | Discounted Cash Flow |  | Discount rate |  | 13.37% - 13.37% (13.37%)
|  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 6.6x - 6.6x (6.6x)
Other long-term assets: |  |  |  |  |  |  |
Available-for-sale embedded derivative | 31 |  |  | Third-Party Valuation |  | Market value of fund |  | 100.00%
Credit Linked Note | 20 |  |  | Broker-quoted |  | Offered quotes |  | 100.00%
Total financial assets at fair value | $ | 5,103 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | $ | 3,439 |  |  | Discounted cash flow |  | Market value of option |  | 0.00% - 28.41% (2.48%)
|  |  |  |  | Swap rates |  | 0.01% - 2.41% (1.21%)
|  |  |  |  | Mortality multiplier |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender rates |  | 0.25% - 70.00% (6.19%)
|  |  |  |  | Partial withdrawals |  | 2.00% - 21.74% (2.72%)
|  |  |  |  | Non-performance spread |  | 0.30% - 0.93% (0.62%)
|  |  |  |  | Option cost |  | 0.00% - 4.97% (1.81%)
Total financial liabilities at fair value | $ | 3,439 |  |  |  |  |  |  |
| Fair Value at |  | Valuation Technique |  | Unobservable Input(s) |  | Range (Weighted average)
| December 31, 2020 |  |  |
| (in millions) |  |  |  | December 31, 2020
Assets |  |  |  |  |  |  |
Asset-backed securities | $ | 1,175 |  |  | Broker-quoted |  | Offered quotes |  | 85% - 126.15% (103.96%)
Asset-backed securities | 175 |  |  | Third-Party Valuation |  | Offered quotes |  | 0.00% - 107.25% (79.87%)
Commercial mortgage-backed securities | 26 |  |  | Broker-quoted |  | Offered quotes |  | 131.59% - 131.59% (131.59%)
Corporates | 388 |  |  | Broker-quoted |  | Offered quotes |  | 75.20% - 114.68% ( 103.36%)
Corporates | 901 |  |  | Third-Party Valuation |  | Offered quotes |  | 88.42% - 125.83% (109.47%)
Hybrids | 4 |  |  | Third-Party Valuation |  | Offered quotes |  | 112.06% - 112.06% ( 112.06%)
Municipals | 43 |  |  | Third-Party Valuation |  | Offered quotes |  | 133.53% - 133.53% (133.53%)
Residential mortgage-backed securities | 483 |  |  | Broker-quoted |  | Offered quotes |  | 112.58% - 112.58% (112.58%)
Foreign governments | 17 |  |  | Third-Party Valuation |  | Offered quotes |  | 107.87% - 113.80% (109.72%)
Equity securities | 1 |  |  | Income-Approach |  | Yield |  | 2.61%
Equity securities | 1 |  |  | Black Scholes model |  | Risk Free Rate |  | 0.29% - 0.29% (0.29%)
|  |  |  |  | Strike Price |  | $1.50 - $1.50 ($1.50)
|  |  |  |  | Volatility |  | 1.00% - 1.00% (1.00%)
|  |  |  |  | Dividend Yield |  | 0.00% - 0.00% (0.00%)
Equity securities | 3 |  |  | Discounted Cash Flow |  | Discount rate |  | 10.60% - 10.60% (10.60%)
|  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 6.6x - 6.6x (6.6x)
Other long-term assets: |  |  |  |  |  |  |
Available-for-sale embedded derivative | 27 |  |  | Third-Party Valuation |  | Market value of fund |  | 100.00%
Credit Linked Note | 23 |  |  | Broker-quoted |  | Offered quotes |  | 100.00%
Total financial assets at fair value | $ | 3,267 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Future policy benefits | $ | 5 |  |  | Discounted cash flow |  | Non-performance spread |  | 0.00%
|  |  |  |  | Risk margin to reflect uncertainty |  | 0.50%
Derivatives: |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 3,404 |  |  | Discounted cash flow |  | Market value of option |  | 0.00% - 67.65% (2.25%)
|  |  |  |  | Treasury rates |  | 0.08% - 1.65% (0.87%)
|  |  |  |  | Mortality multiplier |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender rates |  | 0.25% - 55.00% (5.24%)
|  |  |  |  | Partial withdrawals |  | 2.00% - 3.50% (2.58%)
|  |  |  |  | Non-performance spread |  | 0.74% - 0.74% (0.74%)
|  |  |  |  | Option cost |  | 0.05% - 16.61% (2.25%)
Total financial liabilities at fair value | $ | 3,409 |  |  |  |  |  |  |
Changes in Fair Value of Financial Instruments - Assets | 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, 2021 and 2020. This summary excludes any impact of amortization of value of business acquired (“VOBA”), deferred acquisition cost (“DAC”), and deferred sales inducements (“DSI”). 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, 2021 |  |
| (in millions) |  |
| 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 | $ | 2,309 |  |  |  |  | $ | (1) |  |  | $ | 14 |  |  | $ | 1,188 |  |  | $ | (97) |  |  | $ | (125) |  |  | $ | (44) |  |  | $ | 3,244 |  |  | $ | 11 |
Commercial mortgage-backed securities | 25 |  |  |  |  | — |  |  | (1) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | 36 |  |  | — |
Corporates | 1,201 |  |  |  |  | (1) |  |  | (3) |  |  | 19 |  |  | (14) |  |  | (89) |  |  | — |  |  | 1,113 |  |  | (2) |
Municipals | 43 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 43 |  |  | — |
Residential mortgage-backed securities | 443 |  |  |  |  | — |  |  | (3) |  |  | 4 |  |  | — |  |  | (50) |  |  | — |  |  | 394 |  |  | 1 |
Foreign Governments | 17 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 18 |  |  | — |
Short-Term | 303 |  |  |  |  | — |  |  | 1 |  |  | 192 |  |  | — |  |  | (304) |  |  | — |  |  | 192 |  |  | 1 |
Equity and preferred securities | 10 |  |  |  |  | (1) |  |  | 1 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 12 |  |  | — |
Other long-term assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 30 |  |  |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 31 |  |  | — |
Credit linked note | 19 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 20 |  |  | — |
Total assets at Level 3 fair value | $ | 4,400 |  |  |  |  | $ | (2) |  |  | $ | 11 |  |  | $ | 1,417 |  |  | $ | (111) |  |  | $ | (568) |  |  | $ | (44) |  |  | $ | 5,103 |  |  | $ | 11 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 3,759 |  |  |  |  | (320) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,439 |  |  | — |
Total liabilities at Level 3 fair value | $ | 3,759 |  |  |  |  | $ | (320) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,439 |  |  | $ | — |
(a) The net transfers out of Level 3 during the three months ended September 30, 2021 were exclusively to Level 2.
| Three months ended September 30, 2020 |  |
| (in millions) |  |
| 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 | $ | 1,016 |  |  |  |  | $ | (1) |  |  | $ | 11 |  |  | $ | 118 |  |  | $ | (1) |  |  | $ | (109) |  |  | $ | (90) |  |  | $ | 944 |  |  | $ | 12 |
Commercial mortgage-backed securities | 26 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 26 |  |  | 1 |
Corporates | 1,264 |  |  |  |  | (1) |  |  | 21 |  |  | 3 |  |  | — |  |  | (20) |  |  | — |  |  | 1,267 |  |  | 19 |
Hybrids | 4 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |
Municipals | 40 |  |  |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 42 |  |  | 2 |
Residential mortgage-backed securities | 509 |  |  |  |  | — |  |  | 12 |  |  | 5 |  |  | — |  |  | (25) |  |  | — |  |  | 501 |  |  | 14 |
Foreign Governments | 16 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Equity securities | 1 |  |  |  |  | 1 |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |
Other long-term assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 21 |  |  |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | — |
Total assets at Level 3 fair value | $ | 2,920 |  |  |  |  | $ | 1 |  |  | $ | 46 |  |  | $ | 128 |  |  | $ | (1) |  |  | $ | (154) |  |  | $ | (90) |  |  | $ | 2,850 |  |  | $ | 48 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits | $ | 5 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |
FIA embedded derivatives, included in contractholder funds | 2,952 |  |  |  |  | 209 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,161 |  |  | — |
Total liabilities at Level 3 fair value | $ | 2,957 |  |  |  |  | $ | 209 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,166 |  |  | $ | — |
Changes in Fair Value of Financial Instruments - Liabilities | 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, 2021 and 2020. This summary excludes any impact of amortization of value of business acquired (“VOBA”), deferred acquisition cost (“DAC”), and deferred sales inducements (“DSI”). 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, 2021 |  |
| (in millions) |  |
| 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 | $ | 2,309 |  |  |  |  | $ | (1) |  |  | $ | 14 |  |  | $ | 1,188 |  |  | $ | (97) |  |  | $ | (125) |  |  | $ | (44) |  |  | $ | 3,244 |  |  | $ | 11 |
Commercial mortgage-backed securities | 25 |  |  |  |  | — |  |  | (1) |  |  | 12 |  |  | — |  |  | — |  |  | — |  |  | 36 |  |  | — |
Corporates | 1,201 |  |  |  |  | (1) |  |  | (3) |  |  | 19 |  |  | (14) |  |  | (89) |  |  | — |  |  | 1,113 |  |  | (2) |
Municipals | 43 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 43 |  |  | — |
Residential mortgage-backed securities | 443 |  |  |  |  | — |  |  | (3) |  |  | 4 |  |  | — |  |  | (50) |  |  | — |  |  | 394 |  |  | 1 |
Foreign Governments | 17 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 18 |  |  | — |
Short-Term | 303 |  |  |  |  | — |  |  | 1 |  |  | 192 |  |  | — |  |  | (304) |  |  | — |  |  | 192 |  |  | 1 |
Equity and preferred securities | 10 |  |  |  |  | (1) |  |  | 1 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 12 |  |  | — |
Other long-term assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 30 |  |  |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 31 |  |  | — |
Credit linked note | 19 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 20 |  |  | — |
Total assets at Level 3 fair value | $ | 4,400 |  |  |  |  | $ | (2) |  |  | $ | 11 |  |  | $ | 1,417 |  |  | $ | (111) |  |  | $ | (568) |  |  | $ | (44) |  |  | $ | 5,103 |  |  | $ | 11 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 3,759 |  |  |  |  | (320) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,439 |  |  | — |
Total liabilities at Level 3 fair value | $ | 3,759 |  |  |  |  | $ | (320) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,439 |  |  | $ | — |
(a) The net transfers out of Level 3 during the three months ended September 30, 2021 were exclusively to Level 2.
| Three months ended September 30, 2020 |  |
| (in millions) |  |
| 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 | $ | 1,016 |  |  |  |  | $ | (1) |  |  | $ | 11 |  |  | $ | 118 |  |  | $ | (1) |  |  | $ | (109) |  |  | $ | (90) |  |  | $ | 944 |  |  | $ | 12 |
Commercial mortgage-backed securities | 26 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 26 |  |  | 1 |
Corporates | 1,264 |  |  |  |  | (1) |  |  | 21 |  |  | 3 |  |  | — |  |  | (20) |  |  | — |  |  | 1,267 |  |  | 19 |
Hybrids | 4 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |
Municipals | 40 |  |  |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 42 |  |  | 2 |
Residential mortgage-backed securities | 509 |  |  |  |  | — |  |  | 12 |  |  | 5 |  |  | — |  |  | (25) |  |  | — |  |  | 501 |  |  | 14 |
Foreign Governments | 16 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Equity securities | 1 |  |  |  |  | 1 |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | — |
Other long-term assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 21 |  |  |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | — |
Total assets at Level 3 fair value | $ | 2,920 |  |  |  |  | $ | 1 |  |  | $ | 46 |  |  | $ | 128 |  |  | $ | (1) |  |  | $ | (154) |  |  | $ | (90) |  |  | $ | 2,850 |  |  | $ | 48 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits | $ | 5 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |
FIA embedded derivatives, included in contractholder funds | 2,952 |  |  |  |  | 209 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,161 |  |  | — |
Total liabilities at Level 3 fair value | $ | 2,957 |  |  |  |  | $ | 209 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,166 |  |  | $ | — |
Schedule of Net Asset Value | The following table includes assets that have not been classified in the fair value hierarchy as the value of these investments are measured using the equity method of accounting or the net asset value ("NAV") per share practical expedient (in millions):
| Carrying Value After Measurement (in millions)
| September 30, 2021 |  | December 31, 2020
Investments in unconsolidated affiliates (equity method of accounting) | $ | 138 |  |  | $ | 146 |
Equity securities (NAV) | 35 |  |  | — |
Investments in unconsolidated affiliates (NAV) | 2,022 |  |  | 1,148 |

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