XML 41 R14.htm IDEA: XBRL DOCUMENT v3.22.4
Fair Value of Financial Instruments
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value of Financial Instruments Fair Value of Financial Instruments
Our measurement of fair value is based on assumptions used by market participants in pricing the asset or liability, which may include inherent risk, restrictions on the sale or use of an asset, or non-performance risk, which may include our own credit risk. We estimate an exchange price is the price in an orderly transaction between market participants to sell the asset or transfer the liability (“exit price”) in the principal market, or the most advantageous market for that asset or liability in the absence of a principal market as opposed to the price that would be paid to acquire the asset or assume a liability (“entry price”). We categorize financial instruments carried at fair value into a three-level fair value hierarchy, based on the priority of inputs to the respective valuation technique, along with NAV. The hierarchy for fair value measurement is defined as follows:
Level 1 - Values are unadjusted quoted prices for identical assets and liabilities in active markets accessible at the measurement date.
Level 2 - Inputs include quoted prices for similar assets or liabilities in active markets, quoted prices from those willing to trade in markets that are not active, or other inputs that are observable or can be corroborated by market data for the term of the instrument. Such inputs include market interest rates and volatilities, spreads, and yield curves.
Level 3 - Certain inputs are unobservable (supported by little or no market activity) and significant to the fair value measurement. Unobservable inputs reflect the Company’s best estimate of what hypothetical market participants would use to determine a transaction price for the asset or liability at the reporting date based on the best information available in the circumstances.
NAV - Certain equity investments are measured using NAV as a practical expedient in determining fair value. In addition, our unconsolidated affiliates (primarily limited partnerships) are primarily accounted for using the equity method of accounting with fair value determined using NAV as a practical expedient. Our carrying value reflects our pro rata ownership percentage as indicated by NAV in the limited partnership financial statements, which we may adjust if we determine NAV is not calculated consistent with investment company fair value principles. The underlying investments of the limited partnerships may have significant unobservable inputs, which may include, but are not limited to, comparable multiples and weighted average cost of capital rates applied in valuation models or a discounted cash flow model. Additionally, management meets quarterly with the general partner to determine whether any credit or other market events have occurred since prior quarter financial statements to ensure any material events are properly included in current quarter valuation and investment income.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the investment.
When a determination is made to classify an asset or liability within Level 3 of the fair value hierarchy, the determination is based upon the significance of the unobservable inputs to the overall fair value measurement. Because certain securities trade in less liquid or illiquid markets with limited or no pricing information, the determination of fair value for these securities is inherently more difficult. In addition to the unobservable inputs, Level 3 fair value investments may include observable components, which are components that are actively quoted or can be validated to market-based sources.
 
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):
December 31, 2022
Level 1Level 2Level 3NAVFair Value
Assets
Cash and cash equivalents $2,286 $— $— $— $2,286 
Fixed maturity securities, available-for-sale:
Asset-backed securities— 5,204 6,263 — 11,467 
Commercial mortgage-backed securities— 3,026 37 — 3,063 
Corporates40 12,857 1,440 — 14,337 
Hybrids93 638 — — 731 
Municipals— 1,431 29 — 1,460 
Residential mortgage-backed securities— 1,225 302 — 1,527 
U.S. Government260 11 — — 271 
Foreign Governments— 223 16 — 239 
Equity securities621 — 10 47 678 
Preferred securities320 582 1 — 903 
Derivative investments— 244 — — 244 
Reinsurance related embedded derivative, included in other assets— 279 — — 279 
Short term investments2,590 — — — 2,590 
Other long-term investments— — 71 — 71 
Total financial assets at fair value$6,210 $25,720 $8,169 $47 $40,146 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds— — 3,115 — 3,115 
Total financial liabilities at fair value$— $— $3,115 $— $3,115 
December 31, 2021
Level 1Level 2Level 3NAVFair Value
Assets
Cash and cash equivalents $4,360 $— $— $— $4,360 
Fixed maturity securities, available-for-sale:
Asset-backed securities— 4,736 3,959 — 8,695 
Commercial mortgage-backed securities— 2,944 35 — 2,979 
Corporates37 15,322 1,135 — 16,494 
Hybrids132 780 — — 912 
Municipals— 1,458 43 — 1,501 
Residential mortgage-backed securities— 731 — — 731 
U.S. Government394 — — — 394 
Foreign Governments— 266 18 — 284 
Equity securities1,206 — 9 48 1,263 
Preferred securities506 893 2 — 1,401 
Derivative investments— 816 — — 816 
Short term investments168 2 321 — 491 
Other long-term investments— — 78 — 78 
Total financial assets at fair value$6,803 $27,948 $5,600 $48 $40,399 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds— — 3,883 — 3,883 
Reinsurance related embedded derivatives, included in other liabilities— 73 — — 73 
Total financial liabilities at fair value$— $73 $3,883 $— $3,956 
Valuation Methodologies
Cash and Cash Equivalents
The carrying amounts reported in the Consolidated Balance Sheets for these instruments approximate fair value.
Fixed Maturity, Preferred and Equity Securities
We measure the fair value of our securities based on assumptions used by market participants in pricing the security. The most appropriate valuation methodology is selected based on the specific characteristics of the fixed maturity, preferred or equity security, and we will then consistently apply the valuation methodology to measure the security’s fair value. Our fair value measurement is based on a market approach, which utilizes prices and other relevant information generated by market transactions involving identical or comparable securities. Sources of inputs to the market approach include third-party pricing services, independent broker quotations, or pricing matrices. We use observable and unobservable inputs in our valuation methodologies. Observable inputs include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, and reference data including market research publications. In addition, market indicators and industry and economic events are monitored and further market data will be acquired when certain thresholds are met.
For certain security types, additional inputs may be used, or some of the inputs described above may not be applicable. The significant input used in the fair value measurement of equity securities for which the market approach valuation technique is employed is yield for comparable securities. Increases or decreases in the yields would result in lower or higher, respectively, fair value measurements. For broker-quoted only securities, quotes from market makers or broker-dealers are obtained from sources recognized to be market participants. We believe the broker quotes are prices at which trades could be executed based on historical trades executed at broker-quoted or slightly higher prices.
We analyze the third-party valuation methodologies and related inputs to perform assessments to determine the appropriate level within the fair value hierarchy. However, we did not adjust prices received from third parties as of December 31, 2022 or December 31, 2021.
Certain equity investments are measured using NAV as a practical expedient in determining fair value.
Derivative Financial Instruments
The fair value of call options is based upon valuation pricing models, which represents what we would expect to receive or pay at the balance sheet date if we canceled the options, entered into offsetting positions, or exercised the options. Fair values for these instruments are determined internally, based on industry accepted valuation pricing models, which use market-observable inputs, including interest rates, yield curve volatilities, and other factors.
The fair value of futures contracts (specifically for FIA contracts) represents the cumulative unsettled variation margin (open trade equity, net of cash settlements), which represents what we would expect to receive or pay at the balance sheet date if we canceled the contracts or entered into offsetting positions. These contracts are classified as Level 1.
The fair value measurement of the FIA/ IUL embedded derivatives included in contractholder funds is determined through a combination of market observable information and significant unobservable inputs using the option budget method. The market observable inputs are the market value of option and treasury rates. The significant unobservable inputs are the budgeted option cost (i.e., the expected cost to purchase call options in future periods to fund the equity indexed linked feature), surrender rates, mortality multiplier and non-performance spread. The mortality multiplier at December 31, 2022 and December 31, 2021was applied to the 2012 Individual Annuity mortality tables. Increases or decreases in the market value of an option in isolation would result in a higher or lower, respectively, fair value measurement. Increases or decreases in treasury rates, mortality multiplier, surrender rates, or non-performance spread in isolation would result in a lower or higher fair value measurement, respectively. Generally, a change in any one unobservable input would not directly result in a change in any other unobservable input. Also refer to Management's Estimates in Note A Business and Summary of Significant Accounting Policies regarding updated assumptions during the fourth quarter of 2022 and the implementation of a new actuarial valuation system and assumption updates during third quarter of 2021. The system implementation and assumption review process included refinements in the calculation of the fair value of the embedded derivative component of our fixed indexed annuities.
The fair value of the reinsurance-related embedded derivatives in the funds withheld reinsurance agreements with Kubera Insurance (SAC) Ltd. ("Kubera") (effective October 31, 2021, this agreement was novated from Kubera to Somerset Reinsurance Ltd. ("Somerset"), a certified third-party reinsurer) and ASPIDA Life Re Ltd ("Aspida Re") are estimated based upon the fair value of the assets supporting the funds withheld from reinsurance liabilities. The fair value of the assets is based on a quoted market price of similar assets (Level 2) and; therefore, the fair value of the embedded derivative is based on market-observable inputs and classified as Level 2. Please see Note O F&G Reinsurance for further discussion on F&G reinsurance agreements.
Other long-term investments
We hold a fund-linked note that provides for an additional payment at maturity based on the value of an embedded derivative based on the actual return of a dedicated return fund. Fair value of the embedded derivative is based on an unobservable input, the NAV of the fund at the balance sheet date.  The embedded derivative is similar to a call option on the NAV of the fund with a strike price of zero since Fidelity & Guaranty Life Insurance Company ("FGL Insurance") will not be required to make any additional payments at maturity of the fund-linked note in order to receive the NAV of the fund on the maturity date. A Black-Scholes model determines the NAV of the fund as the fair value of the call option regardless of the values used for the other inputs to the option pricing model.  The NAV of the fund is provided by the fund manager at the end of each calendar month and represents the value an investor would receive if it withdrew its investment on the balance sheet date. Therefore, the key unobservable input used in the Black-Scholes model is the value of the fund. As the value of the fund increases or decreases, the fair value of the embedded derivative will increase or decrease. See further discussion on the available-for-sale embedded derivative in Note F Derivative Financial Instruments.
The fair value of the credit-linked note is based on a weighted average of a broker quote and a discounted cash flow analysis. The discounted cash flow approach is based on the expected portfolio cash flows and amortization schedule reflecting investment expectations, adjusted for assumptions on the portfolio's default and recovery rates, and the note's discount rate. The fair value of the note is provided by the fund manager at the end of each quarter.
Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of December 31, 2022 and December 31, 2021 are as follows:
Fair Value atValuation TechniqueUnobservable Input(s)Range (Weighted average)
December 31, 2022
(in millions)December 31, 2022
Assets
Asset-backed securities$5,916  Broker-quoted  Offered quotes
52.85% - 117.17% (94.18%)
Asset-backed securities347  Third-Party Valuation  Offered quotes
41.43% - 210.50% (67.99%)
Commercial mortgage-backed securities20  Broker-quoted  Offered quotes
109.02% - 109.02% (109.02%)
Commercial mortgage-backed securities17  Third-Party Valuation  Offered quotes
74.66% -88.48% (82.74%)
Corporates602  Broker-quoted  Offered quotes
79.16% - 102.53% (94.16%)
Corporates826  Third-Party Valuation  Offered quotes
—% - 104.96% (89.69%)
Corporates 12 Discounted Cash FlowDiscount Rate
44.00% - 100.00%
 (77.02%)
Municipals29  Third-Party Valuation  Offered quotes
93.95% - 93.95% (93.95%)
Residential mortgage-backed securities302  Broker-quoted  Offered quotes
0.00% - 91.04% (86.38%)
Foreign Governments16  Third-Party Valuation  Offered quotes
99.78% - 102.29% (100.56%)
Preferred securities1 Discounted Cash FlowDiscount rate
100.00%
Equity securities6 Broker Quoted Offered quotes
$64.25 - $64.25
($64.25)
Equity securities4 Discounted Cash Flow Discount rate
11.10% - 11.10% (11.10%)
Market Comparable Company Analysis EBITDA multiple
5.6x - 5.6x (5.6x)
Other long-term investments:
Available-for-sale embedded derivative23 Black Scholes modelMarket value of fund
100.00%
Secured borrowing receivable10  Broker-quoted  Offered quotes
100.00% - 100.00% (100.00%)
Credit Linked Note15  Broker-quoted  Offered quotes
96.23%
Investment in affiliate23 Market Comparable Company AnalysisEBITDA multiple
5x - 5.5x
Total financial assets at fair value$8,169 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds3,115 Discounted cash flowMarket value of option
0.00% - 23.90% (0.87%)
Swap rates
3.88% - 4.73% (4.31%)
Mortality multiplier
100.00% - 100.00% (100.00%)
Surrender rates
0.25% - 70.00% (6.57%)
Partial withdrawals
2.00% - 29.41% (2.73%)
Non-performance spread
0.48% - 1.44% (1.30%)
Option cost
0.07% - 4.97% (1.89%)
Total financial liabilities at fair value$3,115 
Fair Value atValuation TechniqueUnobservable Input(s)Range (Weighted average)
December 31, 2021December 31, 2021
Assets
Asset-backed securities$3,844 Broker-quotedOffered quotes
52.56% - 260.70% (97.06%)
Asset-backed securities115 Third-Party ValuationOffered quotes
93.02% - 108.45% (104.95%)
Commercial mortgage-backed securities24 Broker-quotedOffered quotes
126.70% - 126.70% (126.70%)
Commercial mortgage-backed securities11 Third-Party ValuationOffered quotes
97.91% - 97.91% (97.91%)
Corporates380 Broker-quotedOffered quotes
—% - 109.69% (100.91%)
Corporates741 Third-Party Evaluation Offered quotes
85.71% - 119.57% (107.72%)
Corporates14 Discounted Cash FlowDiscount Rate
44.00% - 100.00% (62.00%)
Municipals43 Third-Party EvaluationOffered quotes
135.09% - 135.09% (135.09%)
Short-term321 Broker-quotedOffered quotes
100.00% - 100.00% (100.00%)
Foreign governments18 Third-Party EvaluationOffered quotes
107.23% - 116.44% (110.11%)
Preferred Securities2 Income-ApproachYield
2.43%
Equity securities3 Broker-quotedOffered Quotes
$6.23 - $6.23 ($6.23)
Equity securities2 Black Scholes ModelRisk 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 securities4 Discounted Cash FlowDiscount Rate
12.70% - 12.70% (12.70%)
Market Comparable Company AnalysisEBITDA multiple
5.9x - 5.9x (5.9x)
Other long-term investments:
Available-for-sale embedded derivative 34 Black Scholes modelMarket value of fund
100.00%
Credit Linked Note23 Broker-quotedOffered quotes
100.00%
Investment in affiliate21 Market Comparable Company AnalysisEBITDA multiple
8x - 8x
Total financial assets at fair value$5,600 
Liabilities
Derivatives:
FIA/ IUL embedded derivatives, included in contractholder funds3,883 Discounted cash flowMarket 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 
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 years ended December 31, 2022 and December 31, 2021, respectively. This summary excludes any impact of amortization of VOBA, DAC and 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.
Year ended December 31, 2022
(in millions)
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$3,959 $(6)$(393)$3,269 $(39)$(541)$14 $6,263 $(426)
Commercial mortgage-backed securities35 — (5)— — — 7 37 (4)
Corporates1,135 1 (187)714 (20)(215)12 1,440 (188)
Hybrids— — — — — — — — — 
Municipals43 — (14)— — — — 29 (13)
Residential mortgage-backed securities— — — 316 — — (14)302 — 
Foreign Governments18 — (2)— — — — 16 (1)
Short-term321 — (1)20 — — (340)— (1)
Preferred securities2 — (1)— — — — 1 (1)
Equity securities9 — — 2 (1)— — 10 — 
Other long-term assets:
Available-for-sale embedded derivative34 (11)— — — — — 23 — 
Credit linked note23 (1)(1)— (2)(4)— 15 — 
Investment in affiliate21 — 2 — — — — 23 2 
Secured borrowing receivable$— $— $— $— $— $— $10 $10 $— 
Total assets at Level 3 fair value$5,600 $(17)$(602)$4,321 $(62)$(760)$(311)$8,169 $(632)
Liabilities
Future policy benefits$— $— $— $— $— $— $— $— $— 
FIA/ IUL embedded derivatives, included in contractholder funds3,883 (1,382)— 768 — (154)— 3,115 — 
Total liabilities at Level 3 fair value$3,883 $(1,382)$— $768 $— $(154)$— $3,115 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2022 were to Level 2.
Year ended December 31, 2021
Balance at Beginning
of Period		Total Gains (Losses)PurchasesSalesSettlementsNet transfer In (Out) of
Level 3 (a)		Balance at End of
Period		Change in Unrealized Incl in OCI
Included in
Earnings		Included in
AOCI
Assets
Fixed maturity securities available-for-sale:
Asset-backed securities$1,350 $(1)$(8)$3,417 $(97)$(595)$(107)$3,959 $4 
Commercial mortgage-backed securities26 — (3)12 — — — 35 1 
Corporates1,289 8 (40)161 (23)(247)(13)1,135 23 
Hybrids4 — — — — (4)— — — 
Municipals43 — — — — — — 43 7 
Residential mortgage-backed securities483 — (1)14 — (102)(394)— 22 
Foreign Governments17 — 1 — — — — 18 2 
Short-term — — 2 820 — (501)— 321 — 
Preferred securities1 (1)1 1 — — — 2 — 
Equity securities4 2 — 3 — — — 9 — 
Other long-term assets:
Available-for-sale embedded derivative27 7 — — — — — 34 — 
Credit linked note23 — — — — — — 23 — 
      Investment in affiliate— — — 21 — — — 21 — 
Total assets at Level 3 fair value$3,267 $15 $(48)$4,449 $(120)$(1,449)$(514)$5,600 $59 
Liabilities
Future policy benefits (FSRC)$5 $— $— $— $(4)$(1)$— $— $— 
FIA embedded derivatives, included in contractholder funds3,404 121 — 513 — (155)— 3,883 — 
Total liabilities at Level 3 fair value$3,409 $121 $— $513 $(4)$(156)$— $3,883 $— 
(a) The net transfers out of Level 3 during the year ended December 31, 2021 were to Level 2.

Valuation Methodologies and Associated Inputs for Financial Instruments Not Carried at Fair Value
The following discussion outlines the methodologies and assumptions used to determine the fair value of our financial instruments not carried at fair value. Considerable judgment is required to develop these assumptions used to measure fair value. Accordingly, the estimates shown are not necessarily indicative of the amounts that would be realized in a one-time, current market exchange of all of our financial instruments.
Mortgage Loans
The fair value of mortgage loans is established using a discounted cash flow method based on internal credit rating, maturity and future income. This yield-based approach is sourced from our third-party vendor. The internal ratings for mortgages in good standing are based on property type, location, market conditions, occupancy, debt service coverage, loan-to-value, quality of tenancy, borrower, and payment record. The inputs used to measure the fair value of our mortgage loans are classified as Level 3 within the fair value hierarchy.
Investments in Unconsolidated affiliates
In our F&G segment, the fair value of Investments in unconsolidated affiliates is determined using NAV as a practical expedient and are included in the NAV column in the table below. In our Title segment, Investments in unconsolidated affiliates are accounted for under the equity method of accounting. In our Title segment, Investments in unconsolidated affiliates were $187 million and $136 million as of December 31, 2022 and December 31, 2021, respectively.
Policy Loans (included within Other long-term investments)
Fair values for policy loans are estimated from a discounted cash flow analysis, using interest rates currently being offered for loans with similar credit risk. Loans with similar characteristics are aggregated for purposes of the calculations.
Company Owned Life Insurance
Company owned life insurance (COLI) is a life insurance program used to finance certain employee benefit expenses. The fair value of COLI is based on net realizable value, which is generally cash surrender value. COLI is classified as Level 3 within the fair value hierarchy.
Other Invested Assets (included within Other long-term investments)
The fair value of the bank loan is estimated using a discounted cash flow method with the discount rate based on weighted average cost of capital ("WACC"). This yield-based approach is sourced from a third-party vendor and the WACC establishes a market participant discount rate by determining the hypothetical capital structure for the asset should it be underwritten as of each period end. Other invested assets are classified as Level 3 within the fair value hierarchy.
Investment Contracts
Investment contracts include deferred annuities (FIAs and fixed rate annuities), indexed IULs, funding agreements and pension risk transfer solutions ("PRT") and immediate annuity contracts without life contingencies. The FIA/ IUL embedded derivatives, included in contractholder funds, are excluded as they are carried at fair value. The fair value of the FIA, fixed rate annuity and IUL contracts is based on their cash surrender value (i.e. the cost the Company would incur to extinguish the liability) as these contracts are generally issued without an annuitization date. The fair value of funding agreements and PRT and immediate annuity contracts without life contingencies is derived by calculating a new fair value interest rate using the updated yield curve and treasury spreads as of the respective reporting date. The Company is not required to, and has not, estimated the fair value of the liabilities under contracts that involve significant mortality or morbidity risks, as these liabilities fall within the definition of insurance contracts that are exceptions from financial instruments that require disclosures of fair value.
Other
Federal Home Loan Bank of Atlanta ("FHLB") common stock, Accounts receivable and Notes receivable are carried at cost, which approximates fair value. FHLB common stock is classified as Level 2 within the fair value hierarchy. Accounts receivable and Notes receivable are classified as Level 3 within the fair value hierarchy.
Debt
The fair value of debt is based on quoted market prices. The inputs used to measure the fair value of our outstanding debt are classified as Level 2 within the fair value hierarchy. The carrying value of the F&G Credit Facility at December 31, 2022 approximates fair value as the rates are comparable to those at which we could currently borrow under similar terms. As such, the fair value of the revolving credit facility was classified as a Level 2 measurement.
The following tables provide the carrying value and estimated fair value of our financial instruments that are carried on the accompanying Consolidated Balance Sheets at amounts other than fair value, summarized according to the fair value hierarchy previously described.
December 31, 2022
(in millions)
Level 1Level 2Level 3NAVTotal Estimated Fair ValueCarrying Amount
Assets
FHLB common stock$— $99 $— $— $99 $99 
Commercial mortgage loans— — 2,083 — 2,083 2,406 
Residential mortgage loans— — 1,892 — 1,892 2,148 
Investments in unconsolidated affiliates— — — 2,427 2,427 2,427 
Policy loans— — 52 — 52 52 
Other invested assets93 — 16 — 109 109 
Company-owned life insurance35 — 328 — 363 363 
Trade and notes receivables, net of allowance— — 467 — 467 467 
Total$128 $99 $4,838 $2,427 $7,492 $8,071 
Liabilities
Investment contracts, included in contractholder funds$— $— $34,464 $— $34,464 $38,412 
Debt— 2,776 — — 2,776 3,238 
Total$— $2,776 $34,464 $— $37,240 $41,650 
December 31, 2021
(in millions)
Level 1Level 2Level 3NAVTotal Estimated Fair ValueCarrying Amount
Assets
FHLB common stock$— $72 $— $— $72 $72 
Commercial mortgage loans— — 2,265 — 2,265 2,168 
Residential mortgage loans— — 1,549 — 1,549 1,581 
Investments in unconsolidated affiliates — — — 2,350 2,350 2,350 
Policy loans— — 39 — 39 39 
Other invested assets— — 57 — 57 57 
Company-owned life insurance— — 333 — 333 333 
Trade and notes receivables, net of allowance— — 557 — 557 557 
Total$— $72 $4,800 $2,350 $7,222 $7,157 
Liabilities
Investment contracts, included in contractholder funds$— $— $27,448 $— $27,448 $31,529 
Debt— 3,218 — — 3,218 3,096 
Total$— $3,218 $27,448 $— $30,666 $34,625 
We review the fair value hierarchy classifications each reporting period. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in and out of Level 3, or between other levels, at the beginning fair value for the reporting period in which the changes occur. The transfers into and out of Level 3 were related to changes in the primary pricing source and changes in the observability of external information used in determining the fair value.