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Fair Value of Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2022
Fair Value Disclosures [Abstract] |
Carrying Amount and Estimated Fair Value of Assets and Liabilities 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):
| March 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 2,793 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,793 |  |  | $ | 2,793 |
Fixed maturity securities, available-for-sale: |  |  |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 4,897 |  |  | 4,161 |  |  | 9,058 |  |  | 9,058 |
Commercial mortgage-backed securities | — |  |  | 3,012 |  |  | 40 |  |  | 3,052 |  |  | 3,052 |
Corporates | 35 |  |  | 14,365 |  |  | 1,141 |  |  | 15,541 |  |  | 15,541 |
Hybrids | 126 |  |  | 723 |  |  | — |  |  | 849 |  |  | 849 |
Municipals | — |  |  | 1,335 |  |  | 37 |  |  | 1,372 |  |  | 1,372 |
Residential mortgage-backed securities | — |  |  | 761 |  |  | — |  |  | 761 |  |  | 761 |
U.S. Government | 587 |  |  | — |  |  | — |  |  | 587 |  |  | 587 |
Foreign Governments | — |  |  | 241 |  |  | 17 |  |  | 258 |  |  | 258 |
Short term investments | 1,403 |  |  | 324 |  |  | 19 |  |  | 1,746 |  |  | 1,746 |
Preferred securities | 449 |  |  | 833 |  |  | 1 |  |  | 1,283 |  |  | 1,283 |
Equity securities | 1,004 |  |  | — |  |  | 10 |  |  | 1,014 |  |  | 1,014 |
Derivative investments | — |  |  | 487 |  |  | — |  |  | 487 |  |  | 487 |
Reinsurance related embedded derivative, included in other assets | — |  |  | 50 |  |  | — |  |  | 50 |  |  | 50 |
Other long-term investments | — |  |  | — |  |  | 70 |  |  | 70 |  |  | 70 |
Total financial assets at fair value | $ | 6,397 |  |  | $ | 27,028 |  |  | $ | 5,496 |  |  | $ | 38,921 |  |  | $ | 38,921 |
Liabilities |  |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,395 |  |  | 3,395 |  |  | 3,395 |
Reinsurance related embedded derivatives, included in accounts payable and accrued liabilities | — |  |  | 1 |  |  | — |  |  | 1 |  |  | 1 |
Total financial liabilities at fair value | $ | — |  |  | $ | 1 |  |  | $ | 3,395 |  |  | $ | 3,396 |  |  | $ | 3,396 |
| December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
Cash and cash equivalents | $ | 4,360 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,360 |  |  | $ | 4,360 |
Fixed maturity securities, available-for-sale: |  |  |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 4,736 |  |  | 3,959 |  |  | 8,695 |  |  | 8,695 |
Commercial mortgage-backed securities | — |  |  | 2,944 |  |  | 35 |  |  | 2,979 |  |  | 2,979 |
Corporates | 37 |  |  | 15,322 |  |  | 1,135 |  |  | 16,494 |  |  | 16,494 |
Hybrids | 132 |  |  | 780 |  |  | — |  |  | 912 |  |  | 912 |
Municipals | — |  |  | 1,458 |  |  | 43 |  |  | 1,501 |  |  | 1,501 |
Residential mortgage-backed securities | — |  |  | 731 |  |  | — |  |  | 731 |  |  | 731 |
U.S. Government | 394 |  |  | — |  |  | — |  |  | 394 |  |  | 394 |
Foreign Governments | — |  |  | 266 |  |  | 18 |  |  | 284 |  |  | 284 |
Short term investments | 168 |  |  | 2 |  |  | 321 |  |  | 491 |  |  | 491 |
Preferred securities | 506 |  |  | 893 |  |  | 2 |  |  | 1,401 |  |  | 1,401 |
Equity securities | 1,206 |  |  | — |  |  | 9 |  |  | 1,215 |  |  | 1,215 |
Derivative investments | — |  |  | 816 |  |  | — |  |  | 816 |  |  | 816 |
Other long-term investments | — |  |  | — |  |  | 78 |  |  | 78 |  |  | 78 |
Total financial assets at fair value | $ | 6,803 |  |  | $ | 27,948 |  |  | $ | 5,600 |  |  | $ | 40,351 |  |  | $ | 40,351 |
Liabilities |  |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,883 |  |  | 3,883 |  |  | 3,883 |
Reinsurance related embedded derivatives, included in accounts payable and accrued liabilities | — |  |  | 73 |  |  | — |  |  | 73 |  |  | 73 |
Total financial liabilities at fair value | $ | — |  |  | $ | 73 |  |  | $ | 3,883 |  |  | $ | 3,956 |  |  | $ | 3,956 |
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.
| March 31, 2022
| (in millions)
| Level 1 |  | Level 2 |  | Level 3 |  | Total Estimated Fair Value |  | Carrying Amount
Assets |  |  |  |  |  |  |  |  |
FHLB common stock | $ | — |  |  | $ | 79 |  |  | $ | — |  |  | $ | 79 |  |  | $ | 79 |
Commercial mortgage loans | — |  |  | — |  |  | 2,147 |  |  | 2,147 |  |  | 2,231 |
Residential mortgage loans | — |  |  | — |  |  | 1,904 |  |  | 1,904 |  |  | 1,986 |
Policy loans | — |  |  | — |  |  | 40 |  |  | 40 |  |  | 40 |
Other invested assets | — |  |  | — |  |  | 67 |  |  | 67 |  |  | 67 |
Company-owned life insurance | — |  |  | — |  |  | 350 |  |  | 350 |  |  | 350 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 529 |  |  | 529 |  |  | 529 |
Total | $ | — |  |  | $ | 79 |  |  | $ | 5,037 |  |  | $ | 5,116 |  |  | $ | 5,282 |
Liabilities |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds | $ | — |  |  | $ | — |  |  | $ | 29,031 |  |  | $ | 29,031 |  |  | $ | 32,903 |
Debt | — |  |  | 2,929 |  |  | — |  |  | 2,929 |  |  | 3,095 |
Total | $ | — |  |  | $ | 2,929 |  |  | $ | 29,031 |  |  | $ | 31,960 |  |  | $ | 35,998 |
| December 31, 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 | — |  |  | — |  |  | 2,265 |  |  | 2,265 |  |  | 2,168 |
Residential mortgage loans | — |  |  | — |  |  | 1,549 |  |  | 1,549 |  |  | 1,581 |
Policy loans | — |  |  | — |  |  | 39 |  |  | 39 |  |  | 39 |
Other invested assets | — |  |  | — |  |  | 57 |  |  | 57 |  |  | 57 |
Company-owned life insurance | — |  |  | — |  |  | 333 |  |  | 333 |  |  | 333 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 557 |  |  | 557 |  |  | 557 |
Total | $ | — |  |  | $ | 72 |  |  | $ | 4,800 |  |  | $ | 4,872 |  |  | $ | 4,807 |
Liabilities |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds | $ | — |  |  | $ | — |  |  | $ | 27,448 |  |  | $ | 27,448 |  |  | $ | 31,529 |
Debt | — |  |  | 3,218 |  |  | — |  |  | 3,218 |  |  | 3,096 |
Total | $ | — |  |  | $ | 3,218 |  |  | $ | 27,448 |  |  | $ | 30,666 |  |  | $ | 34,625 |
Quantitative Information Regarding Significant Unobservable Inputs Used for Recurring Level Three Fair Value Measurements of Financial Instruments | Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of March 31, 2022 and December 31, 2021 are as follows:
| Fair Value at |  | Valuation Technique |  | Unobservable Input(s) |  | Range (Weighted average)
| March 31, 2022 |  |  |
| (in millions) |  |  |  | March 31, 2022
Assets |  |  |  |  |  |  |
Asset-backed securities | $ | 4,064 |  |  | Broker-quoted |  | Offered quotes |  | 44.79% - 728.00% (94.48%)
Asset-backed securities | 97 |  |  | Third-Party Valuation |  | Offered quotes |  | 86.52% - 103.47% (101.78%)
Commercial mortgage-backed securities | 23 |  |  | Broker-quoted |  | Offered quotes |  | 120.24% - 120.24% (120.24%)
Commercial mortgage-backed securities | 17 |  |  | Third Party Valuation |  | Offered quotes |  | 77.78% - 92.37% (86.30%)
Corporates | 456 |  |  | Broker-quoted |  | Offered quotes |  | 0.00% - 124.44% (94.94%)
Corporates | 14 |  |  | Discounted Cash Flow |  | Discount Rate |  | 44.00% - 100.00% (77.00%)
Corporates | 671 |  |  | Third-Party Valuation |  | Offered quotes |  | 81.09% - 113.62% (99.17%)
Municipals | 37 |  |  | Third-Party Valuation |  | Offered quotes |  | 118.69% - 118.69% (118.69%)
Foreign Governments | 17 |  |  | Third-Party Valuation |  | Offered quotes |  | 104.86% - 113.31% (107.50%)
Short term investments | 19 |  |  | Third-Party Valuation |  | Offered quotes |  | 94.33% - 95.49% (94.91%)
Preferred securities | 1 |  |  | Income-Approach |  | Yield |  | 2.43%
Equity securities | 2 |  |  | Black Scholes model |  | Risk Free Rate |  | 1.00% - 1.00% (1.00%)
|  |  |  |  | Strike Price |  | $1.50 - $1.50 ($1.50)
|  |  |  |  | Volatility |  | 81.00% - 81.00% (81.00%)
|  |  |  |  | Dividend Yield |  | 0.00% - 0.00% (0.00%)
Equity securities | 4 |  |  | Broker Quoted |  | Offered quotes |  | $50.00 - $55.00 ($52.50)
Equity securities | 4 |  |  | Discounted Cash Flow |  | Discount rate |  | 11.10% - 11.10% (11.10%)
|  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 4.8x - 4.8x (4.8x)
Other long-term investments: |  |  |  |  |  |  |
Available-for-sale embedded derivative | 30 |  |  | Black Scholes model |  | Market value of fund |  | 100.00%
Credit Linked Note | 19 |  |  | Broker-quoted |  | Offered quotes |  | 100.00%
Investment in affiliate | 21 |  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 8x-8x
Total financial assets at fair value | $ | 5,496 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Derivative investments: |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | $ | 3,395 |  |  | Discounted cash flow |  | Market value of option |  | 0.00% - 26.75% (1.74%)
|  |  |  |  | Swap rates |  | 0.17% - 2.59% (1.38%)
|  |  |  |  | Mortality multiplier |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender rates |  | 0.25% - 70.00% (6.24%)
|  |  |  |  | Partial withdrawals |  | 2.00% - 23.26% (2.73%)
|  |  |  |  | Non-performance spread |  | 0.49% - 1.23% (1.01%)
|  |  |  |  | Option cost |  | 0.00% - 4.97% (1.82%)
Total financial liabilities at fair value | $ | 3,395 |  |  |  |  |  |  |
| Fair Value at |  | Valuation Technique |  | Unobservable Input(s) |  | Range (Weighted average)
| December 31, 2021 |  |  |
| (in millions) |  |  |  | December 31, 2021
Assets |  |  |  |  |  |  |
Asset-backed securities | $ | 3,844 |  |  | Broker-quoted |  | Offered quotes |  | 52.56% - 260.70% (97.06%)
Asset-backed securities | 115 |  |  | Third-Party Valuation |  | Offered quotes |  | 93.02% - 108.45% (104.95%)
Commercial mortgage-backed securities | 24 |  |  | Broker-quoted |  | Offered quotes |  | 126.70% - 126.70% (126.70%)
Commercial mortgage-backed securities | 11 |  |  | Third Party Valuation |  | Offered quotes |  | 97.91% - 97.91% (97.91%)
Corporates | 380 |  |  | Broker-quoted |  | Offered quotes |  | 0.00% - 109.69% (100.91%)
Corporates | 741 |  |  | Third-Party Valuation |  | Offered quotes |  | 85.71% - 119.57% (107.72%)
Corporates | 14 |  |  | Discounted Cash Flow |  | Discount Rate |  | 44.00% - 100.00% (62.00%)
Municipals | 43 |  |  | Third-Party Valuation |  | Offered quotes |  | 135.09% - 135.09% (135.09%)
Foreign Governments | 18 |  | Third-Party Valuation |  | Offered quotes |  | 107.23% - 116.44% (110.11%)
Short term investments | 321 |  | Broker-quoted |  | Offered quotes |  | 100.00% - 100.00% (100.00%)
Preferred securities | 2 |  | Income-Approach |  | Yield |  | 2.43%
Equity securities | 3 |  | Broker Quoted |  | Offered quotes |  | $6.23 - $6.23 ($6.23)
Equity securities | 2 |  | Black Scholes model |  | Risk Free Rate |  | 1.00% -1.00% (1.00%)
|  |  |  |  | Strike Price |  | $1.50 - $1.50 ($1.50)
|  |  |  |  | Volatility |  | 81.00% - 81.00% (81.00%)
|  |  |  |  | Dividend Yield |  | 0.00% - 0.00% (0.00%)
Equity securities | 4 |  |  | Discounted Cash Flow |  | Discount rate |  | 12.70% - 12.70% (12.70%)
|  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 5.9x - 5.9x (5.9x)
Other long-term investments: |  |  |  |  |  |  |
Available-for-sale embedded derivative | 34 |  |  | Black Scholes model |  | Market value of fund |  | 100.00%
Credit Linked Note | 23 |  |  | Broker-quoted |  | Offered quotes |  | 100.00%
Investment in affiliate | 21 |  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 8x-8x
Total financial assets at fair value | $ | 5,600 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Future policy benefits | — |  |  | Discounted cash flow |  | Non-performance spread |  | 0.50%
Derivative investments: |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | 3,883 |  |  | Discounted cash flow |  | Market value of option |  | 0.00% - 38.72% (3.16%)
|  |  |  |  | Swap rates |  | 0.05% - 1.94% (1.00%)
|  |  |  |  | Mortality multiplier |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender rates |  | 0.25% - 70.00% (6.26%)
|  |  |  |  | Partial withdrawals |  | 2.00% - 23.26% (2.72%)
|  |  |  |  | Non-performance spread |  | 0.43% - 1.01% (0.68%)
|  |  |  |  | Option cost |  | 0.07% - 4.97% (1.83%)
Total financial liabilities at fair value | $ | 3,883 |  |  |  |  |  |  |
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 months ended March 31, 2022 and 2021. 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 March 31, 2022 |  |
| (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 | $ | 3,959 |  |  |  |  | $ | — |  |  | $ | (130) |  |  | $ | 400 |  |  | $ | — |  |  | $ | (152) |  |  | $ | 84 |  |  | $ | 4,161 |  |  | $ | (138) |
Commercial mortgage-backed securities | 35 |  |  |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | 7 |  |  | 40 |  |  | (2) |
Corporates | 1,135 |  |  |  |  | — |  |  | (74) |  |  | 80 |  |  | — |  |  | (26) |  |  | 26 |  |  | 1,141 |  |  | (73) |
Municipals | 43 |  |  |  |  | — |  |  | (6) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 37 |  |  | (5) |
Residential mortgage-backed securities | — |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Foreign Governments | 18 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17 |  |  | (1) |
Short term investments | 321 |  |  |  |  | — |  |  | (1) |  |  | 20 |  |  | — |  |  | — |  |  | (321) |  |  | 19 |  |  | (1) |
Preferred securities | 2 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | (1) |
Equity securities | 9 |  |  |  |  | — |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 34 |  |  |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 30 |  |  | — |
Investment in affiliate | 21 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 21 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | (3) |  |  | — |  |  | — |  |  | (1) |  |  | — |  |  | 19 |  |  | — |
Total Level 3 assets at fair value | $ | 5,600 |  |  |  |  | $ | (4) |  |  | $ | (218) |  |  | $ | 501 |  |  | $ | — |  |  | $ | (179) |  |  | $ | (204) |  |  | $ | 5,496 |  |  | $ | (221) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | 3,883 |  |  |  |  | (488) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,395 |  |  | — |
Total Level 3 liabilities at fair value | $ | 3,883 |  |  |  |  | $ | (488) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,395 |  |  | $ | — |
(a) The net transfers out of Level 3 during the three months ended March 31, 2022 were exclusively to Level 2.
| Three months ended March 31, 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 | $ | 1,350 |  |  |  |  | $ | — |  |  | $ | (23) |  |  | $ | 358 |  |  | $ | — |  |  | $ | (92) |  |  | $ | — |  |  | $ | 1,593 |  |  | $ | (4) |
Commercial mortgage-backed securities | 26 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25 |  |  | 1 |
Corporates | 1,289 |  |  |  |  | 6 |  |  | (39) |  |  | 40 |  |  | (5) |  |  | (31) |  |  | (14) |  |  | 1,246 |  |  | 19 |
Hybrids | 4 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |
Municipals | 43 |  |  |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 41 |  |  | 4 |
Residential mortgage-backed securities | 483 |  |  |  |  | — |  |  | 12 |  |  | 5 |  |  | — |  |  | (13) |  |  | — |  |  | 487 |  |  | 27 |
Foreign Governments | 17 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17 |  |  | 2 |
Equity securities | 5 |  |  |  |  | 1 |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 9 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 27 |  |  |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 29 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 19 |  |  | — |
Total Level 3 assets at fair value | $ | 3,267 |  |  |  |  | $ | 9 |  |  | $ | (57) |  |  | $ | 406 |  |  | $ | (5) |  |  | $ | (140) |  |  | $ | (14) |  |  | $ | 3,466 |  |  | $ | 49 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits | $ | 5 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  | $ | 4 |  |  | $ | — |
FIA/IUL embedded derivatives, included in contractholder funds | 3,404 |  |  |  |  | (111) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,293 |  |  | — |
Total Level 3 liabilities at fair value | $ | 3,409 |  |  |  |  | $ | (111) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  | $ | 3,297 |  |  | $ | — |
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 months ended March 31, 2022 and 2021. 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 March 31, 2022 |  |
| (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 | $ | 3,959 |  |  |  |  | $ | — |  |  | $ | (130) |  |  | $ | 400 |  |  | $ | — |  |  | $ | (152) |  |  | $ | 84 |  |  | $ | 4,161 |  |  | $ | (138) |
Commercial mortgage-backed securities | 35 |  |  |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | 7 |  |  | 40 |  |  | (2) |
Corporates | 1,135 |  |  |  |  | — |  |  | (74) |  |  | 80 |  |  | — |  |  | (26) |  |  | 26 |  |  | 1,141 |  |  | (73) |
Municipals | 43 |  |  |  |  | — |  |  | (6) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 37 |  |  | (5) |
Residential mortgage-backed securities | — |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Foreign Governments | 18 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17 |  |  | (1) |
Short term investments | 321 |  |  |  |  | — |  |  | (1) |  |  | 20 |  |  | — |  |  | — |  |  | (321) |  |  | 19 |  |  | (1) |
Preferred securities | 2 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | (1) |
Equity securities | 9 |  |  |  |  | — |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 34 |  |  |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 30 |  |  | — |
Investment in affiliate | 21 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 21 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | (3) |  |  | — |  |  | — |  |  | (1) |  |  | — |  |  | 19 |  |  | — |
Total Level 3 assets at fair value | $ | 5,600 |  |  |  |  | $ | (4) |  |  | $ | (218) |  |  | $ | 501 |  |  | $ | — |  |  | $ | (179) |  |  | $ | (204) |  |  | $ | 5,496 |  |  | $ | (221) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | 3,883 |  |  |  |  | (488) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,395 |  |  | — |
Total Level 3 liabilities at fair value | $ | 3,883 |  |  |  |  | $ | (488) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,395 |  |  | $ | — |
(a) The net transfers out of Level 3 during the three months ended March 31, 2022 were exclusively to Level 2.
| Three months ended March 31, 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 | $ | 1,350 |  |  |  |  | $ | — |  |  | $ | (23) |  |  | $ | 358 |  |  | $ | — |  |  | $ | (92) |  |  | $ | — |  |  | $ | 1,593 |  |  | $ | (4) |
Commercial mortgage-backed securities | 26 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 25 |  |  | 1 |
Corporates | 1,289 |  |  |  |  | 6 |  |  | (39) |  |  | 40 |  |  | (5) |  |  | (31) |  |  | (14) |  |  | 1,246 |  |  | 19 |
Hybrids | 4 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |
Municipals | 43 |  |  |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 41 |  |  | 4 |
Residential mortgage-backed securities | 483 |  |  |  |  | — |  |  | 12 |  |  | 5 |  |  | — |  |  | (13) |  |  | — |  |  | 487 |  |  | 27 |
Foreign Governments | 17 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 17 |  |  | 2 |
Equity securities | 5 |  |  |  |  | 1 |  |  | — |  |  | 3 |  |  | — |  |  | — |  |  | — |  |  | 9 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 27 |  |  |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 29 |  |  | — |
Credit linked note | 23 |  |  |  |  | — |  |  | (4) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 19 |  |  | — |
Total Level 3 assets at fair value | $ | 3,267 |  |  |  |  | $ | 9 |  |  | $ | (57) |  |  | $ | 406 |  |  | $ | (5) |  |  | $ | (140) |  |  | $ | (14) |  |  | $ | 3,466 |  |  | $ | 49 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Future policy benefits | $ | 5 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  | $ | 4 |  |  | $ | — |
FIA/IUL embedded derivatives, included in contractholder funds | 3,404 |  |  |  |  | (111) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 3,293 |  |  | — |
Total Level 3 liabilities at fair value | $ | 3,409 |  |  |  |  | $ | (111) |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  | $ | 3,297 |  |  | $ | — |
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 net asset value ("NAV") is used as a practical expedient in determining fair value:
|  | Carrying Amount (in millions)
|  | March 31, 2022 |  | December 31, 2021
Investments in unconsolidated affiliates |  | $ | 153 |  |  | $ | 136 |
Equity securities (NAV) |  | 47 |  |  | 48 |
Investments in unconsolidated affiliates (a) |  | 2,696 |  |  | 2,350 |
|  | $ | 2,896 |  |  | $ | 2,534 |
(a) The fair value of these investments using the NAV practical expedient and their carrying amount are generally equal.

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