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Fair Value of Financial Instruments | 9 Months Ended
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Sep. 30, 2023
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 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 net asset value. 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. Net asset value ("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 unconsolidated affiliate's 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 unconsolidated affiliates 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:
| September 30, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | NAV |  | Fair Value |  |
Assets | (In millions) |  |
Cash and cash equivalents | $ | 3,209 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,209 |  |  |
Fixed maturity securities, available-for-sale: |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities | — |  |  | 6,622 |  |  | 6,757 |  |  | — |  |  | 13,379 |  |  |
Commercial mortgage-backed securities | — |  |  | 4,146 |  |  | 27 |  |  | — |  |  | 4,173 |  |  |
Corporates | 25 |  |  | 14,410 |  |  | 1,744 |  |  | — |  |  | 16,179 |  |  |
Hybrids | 93 |  |  | 508 |  |  | — |  |  | — |  |  | 601 |  |  |
Municipals | — |  |  | 1,482 |  |  | 47 |  |  | — |  |  | 1,529 |  |  |
Residential mortgage-backed securities | — |  |  | 2,171 |  |  | 3 |  |  | — |  |  | 2,174 |  |  |
U.S. Government | 437 |  |  | 15 |  |  | — |  |  | — |  |  | 452 |  |  |
Foreign Governments | — |  |  | 282 |  |  | 16 |  |  | — |  |  | 298 |  |  |
Short term investments | 642 |  |  | 8 |  |  | 69 |  |  | — |  |  | 719 |  |  |
Preferred securities | 225 |  |  | 525 |  |  | 8 |  |  | — |  |  | 758 |  |  |
Equity securities | 646 |  |  | — |  |  | 15 |  |  | 39 |  |  | 700 |  |  |
Derivative investments | — |  |  | 420 |  |  | — |  |  | — |  |  | 420 |  |  |
Investment in unconsolidated affiliates | — |  |  | — |  |  | 272 |  |  | — |  |  | 272 |  |  |
Reinsurance related embedded derivative, included in other assets | — |  |  | 313 |  |  | — |  |  | — |  |  | 313 |  |  |
Market risk benefits asset | — |  |  | — |  |  | 118 |  |  | — |  |  | 118 |  |  |
Other long-term investments | — |  |  | — |  |  | 45 |  |  | — |  |  | 45 |  |  |
Total financial assets at fair value | $ | 5,277 |  |  | $ | 30,902 |  |  | $ | 9,121 |  |  | $ | 39 |  |  | $ | 45,339 |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,556 |  |  | — |  |  | 3,556 |  |  |
Interest rate swaps | — |  |  | — |  |  | 16 |  |  | — |  |  | 16 |  |  |
Call options | 2 |  |  | — |  |  | — |  |  | — |  |  | 2 |  |  |
Market risk benefits liability | — |  |  | — |  |  | 278 |  |  | — |  |  | 278 |  |  |
Total financial liabilities at fair value | $ | 2 |  |  | $ | — |  |  | $ | 3,850 |  |  | $ | — |  |  | $ | 3,852 |  |  |
| December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | NAV |  | Fair Value |  |
Assets | (In millions) |  |
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 |  |  |
Corporates | 40 |  |  | 12,857 |  |  | 1,440 |  |  | — |  |  | 14,337 |  |  |
Hybrids | 93 |  |  | 638 |  |  | — |  |  | — |  |  | 731 |  |  |
Municipals | — |  |  | 1,431 |  |  | 29 |  |  | — |  |  | 1,460 |  |  |
Residential mortgage-backed securities | — |  |  | 1,225 |  |  | 302 |  |  | — |  |  | 1,527 |  |  |
U.S. Government | 260 |  |  | 11 |  |  | — |  |  | — |  |  | 271 |  |  |
Foreign Governments | — |  |  | 223 |  |  | 16 |  |  | — |  |  | 239 |  |  |
Short term investments | 2,590 |  |  | — |  |  | — |  |  | — |  |  | 2,590 |  |  |
Preferred securities | 320 |  |  | 582 |  |  | 1 |  |  | — |  |  | 903 |  |  |
Equity securities | 621 |  |  | — |  |  | 10 |  |  | 47 |  |  | 678 |  |  |
Derivative investments | — |  |  | 244 |  |  | — |  |  | — |  |  | 244 |  |  |
Investment in unconsolidated affiliates | — |  |  | — |  |  | 23 |  |  | — |  |  | 23 |  |  |
Reinsurance related embedded derivative, included in other assets | — |  |  | 279 |  |  | — |  |  | — |  |  | 279 |  |  |
Market risk benefits asset | — |  |  | — |  |  | 117 |  |  | — |  |  | 117 |  |  |
Other long-term investments | — |  |  | — |  |  | 48 |  |  | — |  |  | 48 |  |  |
Total financial assets at fair value | $ | 6,210 |  |  | $ | 25,720 |  |  | $ | 8,286 |  |  | $ | 47 |  |  | $ | 40,263 |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Derivatives: |  |  |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | — |  |  | — |  |  | 3,115 |  |  | — |  |  | 3,115 |  |  |
Market risk benefits liability | — |  |  | — |  |  | 282 |  |  | — |  |  | 282 |  |  |
Total financial liabilities at fair value | $ | — |  |  | $ | — |  |  | $ | 3,397 |  |  | $ | — |  |  | $ | 3,397 |  |  |
Valuation Methodologies Cash and Cash Equivalents The carrying amounts reported in the unaudited Condensed 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 September 30, 2023 or December 31, 2022. Certain equity investments are measured using NAV as a practical expedient in determining fair value. Derivative Financial Instruments Our call options, futures contracts, and interest rate swaps can either be exchange traded or over the counter traded. Exchange traded derivatives typically fall within Level 1 of the fair value hierarchy if there is active trading activity. Two methods are used to value over-the-counter derivatives. When required inputs are available, certain derivatives are valued using valuation pricing models, which represent what we would expect to receive or pay at the balance sheet date if we cancelled or exercised the derivative, or entered into offsetting positions. Valuation models require a variety of inputs, which include the use of market-observable inputs, including interest rate, yield curve volatilities, and other factors. These over-the-counter derivatives are typically classified within Level 2 of the fair value hierarchy as the majority trade in liquid markets, we can verify model inputs and model selection does not involve significant management judgment. When inputs aren’t available for valuation models, certain over-the-counter derivatives are valued using independent broker quotes, which are based on unobservable market data and classified within Level 3. 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 September 30, 2023 was 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. 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. See Note L F&G Reinsurance for further discussion on F&G reinsurance agreements. Investments in Unconsolidated Affiliates We have elected the fair value option for certain investments in unconsolidated affiliates as we believe this better aligns them with other investments in unconsolidated affiliates that are measured using NAV as a practical expedient in determining fair value. Investments measured using the fair value option are included in Level 3 and the fair value of these investments are determined using a multiple of the affiliates’ EBITDA, which is derived from market analysis of transactions involving comparable companies. The EBITDA used in this calculation is based on the affiliates’ financial information. The inputs are usually considered unobservable, as not all market participants have access to this data. Short-term Investments The carrying amounts reported in the unaudited Condensed Consolidated Balance Sheets for these instruments approximate fair value. Other Long-term Investments We hold a fund-linked note, which 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 F&G 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 E 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. Market Risk Benefits MRBs are measured at fair value using an attributed fee measurement approach where attributed fees are explicit rider charges collectible from the policyholder used to cover the excess benefits. The fair value is calculated using a risk neutral valuation method and is based on current net amounts at risk, market data, internal and industry experience, and other factors. The balances are computed using assumptions including mortality, full and partial surrender, rider benefit utilization, risk-free rates including non-performance spread and risk margin, market value of options and economic scenarios. Policyholder behavior assumptions are reviewed at least annually, typically in the third quarter, for any revisions. See further discussion on MRBs in Note P - Market Risk Benefits. Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value as of September 30, 2023 and December 31, 2022 are as follows:
| Fair Value at |  | Valuation Technique |  | Unobservable Input(s) |  | Range (Weighted average)
| September 30, 2023 |  |  |
| (In millions) |  |  |  | September 30, 2023
Assets |  |  |  |  |  |  |
Asset-backed securities | $ | 6,534 |  |  | Broker-Quoted |  | Offered Quotes |  | 54.3% - 155.54% (94.88%)
Asset-backed securities | 223 |  |  | Third-Party Valuation |  | Offered Quotes |  | 0.01% - 101.30% (41.17%)
Commercial mortgage-backed securities | 10 |  |  | Broker-Quoted |  | Offered Quotes |  | 100.08% - 100.53% (100.31%)
Commercial mortgage-backed securities | 17 |  |  | Third-Party Valuation |  | Offered Quotes |  | 76.95% - 90.27% (84.73%)
Corporates | 936 |  |  | Broker-Quoted |  | Offered Quotes |  | 39.46% - 104.74% (95.65%)
Corporates | 9 |  |  | Discounted Cash Flow |  | Discount Rate |  | 44.00% - 100.00% (75.20%)
Corporates | 799 |  |  | Third-Party Valuation |  | Offered Quotes |  | 0.00% - 100.88% (88.18%)
Municipals | 30 |  |  | Third-Party Valuation |  | Offered Quotes |  | 97.54% - 97.54% (97.54%)
Municipals | 17 |  |  | Broker-Quoted |  | Offered Quotes |  | 97.50% - 97.50% (97.50%)
Residential mortgage-backed securities | 3 |  |  | Third-Party Valuation |  | Offered Quotes |  | 91.05%
Foreign Governments | 16 |  |  | Third-Party Valuation |  | Offered Quotes |  | 97.50% - 99.32% (98.75%)
Investment in unconsolidated affiliates | 272 |  |  | Market Comparable Company Analysis |  | EBITDA Multiple |  | 5x-23.7x
Short term investments | 69 |  |  | Broker-Quoted |  | Offered Quotes |  | 100.07% - 100.07% (100.07%)
Preferred securities | 7 |  |  | Broker-Quoted |  | Offered Quotes |  | $22.75 - $22.75 ($22.75)
Preferred securities | 1 |  |  | Discounted Cash Flow |  | Discount rate |  | 100.00% - 100.00% (100.00%)
Equity securities | 7 |  |  | Broker Quoted |  | Offered quotes |  | $73.50 - $75.50 ($74.50)
Equity securities | 8 |  |  | Discounted Cash Flow |  | Discount rate |  | 11.50% - 11.50% (11.50%)
|  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 5.3x - 5.3x (5.3x)
Other long-term investments: |  |  |  |  |  |  |
Available-for-sale embedded derivative | 23 |  |  | Black Scholes Model |  | Market Value of Fund |  | 100.00%
Secured borrowing receivable | 10 |  |  | Broker-Quoted |  | Offered Quotes |  | 100.00% - 100.00% (100.00%)
Credit Linked Note | 12 |  |  | Broker-Quoted |  | Offered Quotes |  | 97.57%
Market risk benefits asset | 118 |  |  | Discounted Cash Flow |  | Mortality |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender Rates |  | 0.25% - 10.00% (5.27%)
|  |  |  |  | Partial Withdrawal Rates |  | 2.00% - 14.71% (2.50%)
|  |  |  |  | Non-Performance Spread |  | 0.64% - 1.34% (1.21%)
|  |  |  |  | GMWB Utilization |  | 50.00% - 60.00% (50.81%)
Total financial assets at fair value | $ | 9,121 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Derivative investments: |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | $ | 3,556 |  |  | Discounted Cash Flow |  | Market Value of Option |  | 0.00% - 22.09% (1.54%)
|  |  |  |  | Swap rates |  | 4.59% - 5.53% (5.06%)
|  |  |  |  | Mortality Multiplier |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender Rates |  | 0.25% - 70.00% (6.83%)
|  |  |  |  | Partial Withdrawals |  | 2.00% - 34.48% (2.74%)
|  |  |  |  | Non-Performance Spread |  | 0.64% - 1.34% (1.21%)
|  |  |  |  | Option cost |  | 0.07% - 5.48% (2.30%)
Interest rate swaps | 16 |  |  | Broker-Quoted |  | Offered Quotes |  | 100.00% - 101.87% 100.39%
Market risk benefits liability | 278 |  |  | Discounted Cash Flow |  | Mortality |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender Rates |  | 0.25% - 10.00% (5.27%)
|  |  |  |  | Partial Withdrawal Rates |  | 2.00% - 14.71% (2.50%)
|  |  |  |  | Non-Performance Spread |  | 0.64% - 1.34% (1.21%)
|  |  |  |  | GMWB Utilization |  | 50.00% - 60.00% (50.81%)
Total financial liabilities at fair value | $ | 3,850 |  |  |  |  |  |  |
| Fair Value at |  | Valuation Technique |  | Unobservable 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 securities | 347 |  |  | Third-Party Valuation |  | Offered quotes |  | 41.43% - 210.50% (67.99%)
Commercial mortgage-backed securities | 20 |  |  | Broker-quoted |  | Offered quotes |  | 109.02% - 109.02% (109.02%)
Commercial mortgage-backed securities | 17 |  |  | Third-Party Valuation |  | Offered quotes |  | 74.66% - 88.48% (82.74%)
Corporates | 602 |  |  | Broker-quoted |  | Offered quotes |  | 79.16% - 102.53% (94.16%)
Corporates | 826 |  |  | Third-Party Evaluation |  | Offered quotes |  | 0.00% - 104.96% (89.69%)
Corporates | 12 |  |  | Discounted Cash Flow |  | Discount Rate |  | 44.00% - 100.00% (77.02%)
Municipals | 29 |  |  | Third-Party Evaluation |  | Offered quotes |  | 93.95% - 93.95% (93.95%)
Foreign governments | 16 |  | Third-Party Evaluation |  | Offered quotes |  | 99.78% - 102.29% (100.56%)
Investment in unconsolidated affiliates | 23 |  |  | Market Comparable Company Analysis |  | EBITDA multiple |  | 5x-5.50x
Residential mortgage-backed securities | 302 |  | Broker-quoted |  | Offered quotes |  | 0.00% - 91.04% (86.38%)
Preferred Securities | 1 |  | Discounted Cash Flow |  | Discount rate |  | 100.00%
Equity securities | 6 |  | Broker-quoted |  | Offered Quotes |  | $64.25 - $64.25 ($64.25)
Equity securities | 4 |  |  | 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 derivative | 23 |  |  | Black Scholes model |  | Market value of fund |  | 100.00%
Secured borrowing receivable | 10 |  |  | Broker-quoted |  | Offered quotes |  | 100.00% - 100.00% (100.00%)
Credit Linked Note | 15 |  |  | Broker-quoted |  | Offered quotes |  | 96.23%
Market risk benefits asset | 117 |  |  | Discounted Cash Flow |  | Mortality |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender Rates |  | 0.25% - 10.00% (4.69%)
|  |  |  |  | Partial Withdrawal Rates |  | 2.00% - 21.74% (2.49%)
|  |  |  |  | Non-Performance Spread |  | 0.48% - 1.44% (1.30%)
|  |  |  |  | GMWB Utilization |  | 50.00% - 60.00% (50.94%)
Total financial assets at fair value | $ | 8,286 |  |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |
Derivative investments: |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | 3,115 |  |  | Discounted cash flow |  | Market value of option |  | 0.00% - 23.90% (87.00%)
|  |  |  |  | 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%)
Market risk benefits liability | 282 |  |  | Discounted Cash Flow |  | Mortality |  | 100.00% - 100.00% (100.00%)
|  |  |  |  | Surrender rates |  | 0.25% - 10.00% (4.69%)
|  |  |  |  | Partial withdrawal rates |  | 2.00% - 21.74% (2.49%)
|  |  |  |  | Non-performance spread |  | 0.48% - 1.44% (1.30%)
|  |  |  |  | GMWB utilization |  | 50.00% - 60.00% (50.94%)
Total financial liabilities at fair value | $ | 3,397 |  |  |  |  |  |  |
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three and nine months ended September 30, 2023 and 2022. The gains and losses below may include changes in fair value due in part to observable inputs that are a component of the valuation methodology.
| Three months ended September 30, 2023
| Balance at Beginning of Period |  |  |  | Total Gains (Losses) |  | Purchases |  | Sales |  | Settlements |  | Net transfer In (Out) of Level 3 (a) |  | Balance at End of Period |  | Change in Unrealized Included in OCI
|  |  | Included in Earnings |  | Included in AOCI |  |  |  |  |  |
Assets | (In millions)
Fixed maturity securities available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities | $ | 6,510 |  |  |  |  | $ | (45) |  |  | $ | 75 |  |  | $ | 536 |  |  | $ | (27) |  |  | $ | (171) |  |  | $ | (121) |  |  | $ | 6,757 |  |  | $ | 75 |
Commercial mortgage-backed securities | 17 |  |  |  |  | — |  |  | — |  |  | 10 |  |  | — |  |  | — |  |  | — |  |  | 27 |  |  | — |
Corporates | 1,628 |  |  |  |  | — |  |  | (21) |  |  | 162 |  |  | — |  |  | (24) |  |  | (1) |  |  | 1,744 |  |  | (21) |
Municipals | 49 |  |  |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 47 |  |  | (2) |
Residential mortgage-backed securities | 28 |  |  |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | (1) |  |  | (23) |  |  | 3 |  |  | (1) |
Foreign Governments | 16 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Investment in unconsolidated affiliates | 197 |  |  |  |  | — |  |  | — |  |  | 75 |  |  | — |  |  | — |  |  | — |  |  | 272 |  |  | — |
Short term investments | 126 |  |  |  |  | — |  |  | — |  |  | 65 |  |  | (19) |  |  | (103) |  |  | — |  |  | 69 |  |  | — |
Preferred securities | 7 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 8 |  |  | 1 |
Equity securities | 14 |  |  |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 15 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 26 |  |  |  |  | — |  |  | (3) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | (3) |
Credit linked note | 13 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (1) |  |  | — |  |  | 12 |  |  | — |
Secured borrowing receivable | 10 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | — |
Subtotal Level 3 assets at fair value | $ | 8,641 |  |  |  |  | $ | (44) |  |  | $ | 49 |  |  | $ | 848 |  |  | $ | (46) |  |  | $ | (300) |  |  | $ | (145) |  |  | $ | 9,003 |  |  | $ | 50 |
Market risk benefits asset | 118 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 118 |  |  |
Total Level 3 assets at fair value | $ | 8,759 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 9,121 |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA/ IUL embedded derivatives, included in contractholder funds | 3,821 |  |  |  |  | (796) |  |  | — |  |  | 576 |  |  | — |  |  | (45) |  |  | — |  |  | 3,556 |  |  | — |
Interest rate swaps | — |  |  |  |  | 16 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Subtotal Level 3 liabilities at fair value | $ | 3,821 |  |  |  |  | $ | (780) |  |  | $ | — |  |  | $ | 576 |  |  | $ | — |  |  | $ | (45) |  |  | $ | — |  |  | $ | 3,572 |  |  | $ | — |
Market risk benefits liability | 313 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 278 |  |  |
Total Level 3 liabilities at fair value | $ | 4,134 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 3,850 |  |  |
(a) The net transfers out of Level 3 during the three months ended September 30, 2023 were exclusively to Level 2.
| Three months ended September 30, 2022
| Balance at Beginning of Period |  | Total Gains (Losses) |  | Purchases |  | Sales |  | Settlements |  | Net transfer In (Out) of Level 3 (a) |  | Balance at End of Period |  | Change in Unrealized Included in OCI
|  | Included in Earnings |  | Included in AOCI |  |  |  |  |  |
Assets | (In millions)
Fixed maturity securities available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities | $ | 4,677 |  |  | $ | — |  |  | $ | (71) |  |  | $ | 1,530 |  |  | $ | — |  |  | $ | (123) |  |  | $ | (61) |  |  | $ | 5,952 |  |  | $ | (80) |
Commercial mortgage-backed securities | 37 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 37 |  |  | — |
Corporates | 1,374 |  |  | — |  |  | (53) |  |  | 135 |  |  | — |  |  | (147) |  |  | (9) |  |  | 1,300 |  |  | (57) |
Municipals | 33 |  |  | — |  |  | (3) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 30 |  |  | (4) |
Residential mortgage-backed securities | 9 |  |  | — |  |  | — |  |  | 5 |  |  | — |  |  | — |  |  | (9) |  |  | 5 |  |  | — |
Foreign Governments | 16 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Investment in unconsolidated affiliates | 21 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 21 |  |  | — |
Short term investments | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Preferred securities | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | — |
Equity securities | 10 |  |  | — |  |  | — |  |  | 1 |  |  | (1) |  |  | — |  |  | — |  |  | 10 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 24 |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 22 |  |  | — |
Credit linked note | 17 |  |  | (1) |  |  | — |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | 14 |  |  | — |
Secured borrowing receivable | 10 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | — |
Subtotal Level 3 assets at fair value | $ | 6,229 |  |  | $ | (3) |  |  | $ | (127) |  |  | $ | 1,671 |  |  | $ | (3) |  |  | $ | (270) |  |  | $ | (79) |  |  | $ | 7,418 |  |  | $ | (141) |
Market risk benefits asset | 86 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 121 |  |  |
Total Level 3 assets at fair value | $ | 6,315 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 7,539 |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 2,941 |  |  | (283) |  |  | — |  |  | 138 |  |  | — |  |  | (21) |  |  | — |  |  | 2,775 |  |  | — |
Subtotal Level 3 liabilities at fair value | $ | 2,941 |  |  | $ | (283) |  |  | $ | — |  |  | $ | 138 |  |  | $ | — |  |  | $ | (21) |  |  | $ | — |  |  | $ | 2,775 |  |  | $ | — |
Market risk benefits liability | 292 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 242 |  |  |
Total Level 3 liabilities at fair value | $ | 3,233 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 3,017 |  |  |
(a) The net transfers out of Level 3 during the three months ended September 30, 2022 were exclusively to Level 2.
| Nine months ended September 30, 2023
| Balance at Beginning of Period |  |  |  | Total Gains (Losses) |  | Purchases |  | Sales |  | Settlements |  | Net transfer In (Out) of Level 3 (a) |  | Balance at End of Period |  | Change in Unrealized Included in OCI
|  |  | Included in Earnings |  | Included in AOCI |  |  |  |  |  |
Assets | (In millions)
Fixed maturity securities available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities | $ | 6,263 |  |  |  |  | $ | (56) |  |  | $ | 108 |  |  | $ | 1,331 |  |  | $ | (125) |  |  | $ | (557) |  |  | $ | (207) |  |  | $ | 6,757 |  |  | $ | 107 |
Commercial mortgage-backed securities | 37 |  |  |  |  | — |  |  | 1 |  |  | 22 |  |  | — |  |  | — |  |  | (33) |  |  | 27 |  |  | 1 |
Corporates | 1,440 |  |  |  |  | (1) |  |  | (77) |  |  | 423 |  |  | (1) |  |  | (43) |  |  | 3 |  |  | 1,744 |  |  | (77) |
Municipals | 29 |  |  |  |  | — |  |  | 18 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 47 |  |  | 18 |
Residential mortgage-backed securities | 302 |  |  |  |  | 1 |  |  | 7 |  |  | 32 |  |  | — |  |  | (9) |  |  | (330) |  |  | 3 |  |  | 7 |
Foreign Governments | 16 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Investment in unconsolidated affiliates | 23 |  |  |  |  | — |  |  | — |  |  | 249 |  |  | — |  |  | — |  |  | — |  |  | 272 |  |  | — |
Short-Term | — |  |  |  |  | — |  |  | — |  |  | 191 |  |  | (19) |  |  | (103) |  |  | — |  |  | 69 |  |  | — |
Preferred securities | 1 |  |  |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | 6 |  |  | 8 |  |  | 1 |
Equity securities | 10 |  |  |  |  | 1 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 4 |  |  | 15 |  |  | — |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 23 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 23 |  |  | — |
Credit linked note | 15 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (3) |  |  | — |  |  | 12 |  |  | — |
Secured borrowing receivable | 10 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | — |
Subtotal Level 3 assets at fair value | $ | 8,169 |  |  |  |  | $ | (55) |  |  | $ | 58 |  |  | $ | 2,248 |  |  | $ | (145) |  |  | $ | (715) |  |  | $ | (557) |  |  | $ | 9,003 |  |  | $ | 57 |
Market risk benefits asset | 117 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 118 |  |
Total Level 3 assets at fair value | $ | 8,286 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 9,121 |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 3,115 |  |  |  |  | (214) |  |  | — |  |  | 765 |  |  | — |  |  | (110) |  |  | — |  |  | 3,556 |  |  | — |
Interest rate swaps | — |  |  |  |  | 16 |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | — |
Subtotal Level 3 liabilities at fair value | $ | 3,115 |  |  |  |  | $ | (198) |  |  | $ | — |  |  | $ | 765 |  |  | $ | — |  |  | $ | (110) |  |  | $ | — |  |  | $ | 3,572 |  |  | $ | — |
Market risk benefits liability | $ | 282 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 278 |  |  |
Total Level 3 liabilities at fair value | $ | 3,397 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 3,850 |  |  |
(a) The net transfers out of Level 3 during the nine months ended September 30, 2023 were exclusively to Level 2.
| Nine months ended September 30, 2022 |  |
| Balance at Beginning of Period |  | Total Gains (Losses) |  | Purchases |  | Sales |  | Settlements |  | Net transfer In (Out) of Level 3 (a) |  | Balance at End of Period |  | Change in Unrealized Included in OCI |  |
|  | Included in Earnings |  | Included in AOCI |  |  |  |  |  |  |  |
Assets | (In millions)
Fixed maturity securities available-for-sale: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities | $ | 3,959 |  |  | $ | 1 |  |  | $ | (343) |  |  | $ | 2,757 |  |  | $ | (39) |  |  | $ | (401) |  |  | $ | 18 |  |  | $ | 5,952 |  |  | $ | (371) |  |  |
Commercial mortgage-backed securities | 35 |  |  | — |  |  | (5) |  |  | — |  |  | — |  |  | — |  |  | 7 |  |  | 37 |  |  | (4) |  |  |
Corporates | 1,135 |  |  | — |  |  | (190) |  |  | 521 |  |  | — |  |  | (178) |  |  | 12 |  |  | 1,300 |  |  | (191) |  |  |
Municipals | 43 |  |  | — |  |  | (13) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 30 |  |  | (13) |  |  |
Residential mortgage-backed securities | — |  |  | — |  |  | — |  |  | 14 |  |  | — |  |  | — |  |  | (9) |  |  | 5 |  |  | — |  |  |
Foreign Governments | 18 |  |  | — |  |  | (2) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |  |  | (1) |  |  |
Investment in unconsolidated affiliates | 21 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 21 |  |  |  |  |
Short-Term | 321 |  |  | — |  |  | (1) |  |  | 20 |  |  | — |  |  | — |  |  | (340) |  |  | — |  |  | (1) |  |  |
Preferred securities | 2 |  |  | — |  |  | (1) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | (1) |  |  |
Equity securities | 9 |  |  | — |  |  | — |  |  | 2 |  |  | (1) |  |  | — |  |  | — |  |  | 10 |  |  | — |  |  |
Other long-term investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Available-for-sale embedded derivative | 34 |  |  | (12) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 22 |  |  | — |  |  |
Secured borrowing receivable | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 10 |  |  | 10 |  |  | — |  |  |
Credit linked note | 23 |  |  | (1) |  |  | (3) |  |  | — |  |  | (2) |  |  | (3) |  |  | — |  |  | 14 |  |  | — |  |  |
Subtotal Level 3 assets at fair value | $ | 5,600 |  |  | $ | (12) |  |  | $ | (558) |  |  | $ | 3,314 |  |  | $ | (42) |  |  | $ | (582) |  |  | $ | (302) |  |  | $ | 7,418 |  |  | $ | (582) |  |  |
Market risk benefits asset | 41 |  |  |  |  |  |  |  |  |  |  |  |  |  | 121 |  |  |  |
Total Level 3 assets at fair value | $ | 5,641 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 7,539 |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
FIA embedded derivatives, included in contractholder funds | 3,883 |  |  | (1,442) |  |  | — |  |  | 410 |  |  | — |  |  | (76) |  |  | — |  |  | 2,775 |  |  | — |  |  |
Subtotal Level 3 liabilities at fair value | $ | 3,883 |  |  | $ | (1,442) |  |  | $ | — |  |  | $ | 410 |  |  | $ | — |  |  | $ | (76) |  |  | $ | — |  |  | $ | 2,775 |  |  | $ | — |  |  |
Market risk benefits liability | $ | 469 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 242 |  |  |  |  |
Total Level 3 liabilities at fair value | $ | 4,352 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 3,017 |  |  |  |  |
(a) The net transfers out of Level 3 during the nine months ended September 30, 2022 were exclusively 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 carrying value of Investments in unconsolidated affiliates is primarily 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 $264 million and $187 million as of September 30, 2023 and December 31, 2022, 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 bank loans 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. Bank loans are classified as Level 3 within the fair value hierarchy. For cost method investments, our carrying value approximates fair value. Cost method investments are classified as Level 1 within the fair value hierarchy. Investment Contracts Investment contracts include deferred annuities (FIAs and fixed rate annuities), indexed IULs, funding agreements, PRTs 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., 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, PRTs 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, with the exception of the F&G Credit Agreement, as defined in Note O Notes Payable, is based on quoted market prices. The carrying value of the F&G Credit Agreement approximates fair value as the rates are comparable to those at which we could currently borrow under similar terms. The inputs used to measure the fair value of our outstanding debt are classified as Level 2 within the fair value hierarchy. 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, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | NAV |  | Total Estimated Fair Value |  | Carrying Amount
Assets | (In millions)
FHLB common stock | $ | — |  |  | $ | 130 |  |  | $ | — |  |  | $ | — |  |  | $ | 130 |  |  | $ | 130 |
Commercial mortgage loans | — |  |  | — |  |  | 2,148 |  |  | — |  |  | 2,148 |  |  | 2,519 |
Residential mortgage loans | — |  |  | — |  |  | 2,326 |  |  | — |  |  | 2,326 |  |  | 2,655 |
Investments in unconsolidated affiliates | — |  |  | — |  |  | 8 |  |  | 2,640 |  |  | 2,648 |  |  | 2,648 |
Policy loans | — |  |  | — |  |  | 64 |  |  | — |  |  | 64 |  |  | 64 |
Other invested assets | 19 |  |  | — |  |  | — |  |  | 42 |  |  | 60 |  |  | 60 |
Company-owned life insurance | — |  |  | — |  |  | 391 |  |  | — |  |  | 391 |  |  | 391 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 442 |  |  | — |  |  | 442 |  |  | 442 |
Total | $ | 19 |  |  | $ | 130 |  |  | $ | 5,379 |  |  | $ | 2,682 |  |  | $ | 8,209 |  |  | $ | 8,909 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Investment contracts, included in contractholder funds | $ | — |  |  | $ | — |  |  | $ | 38,737 |  |  | $ | — |  |  | $ | 38,737 |  |  | $ | 42,455 |
Debt | — |  |  | 3,213 |  |  | — |  |  | — |  |  | 3,213 |  |  | 3,695 |
Total | $ | — |  |  | $ | 3,213 |  |  | $ | 38,737 |  |  | $ | — |  |  | $ | 41,950 |  |  | $ | 46,150 |
| December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | NAV |  | Total Estimated Fair Value |  | Carrying Amount
Assets | (In millions)
FHLB common stock | $ | — |  |  | $ | 99 |  |  | $ | — |  |  | $ | — |  |  | $ | 99 |  |  | $ | 99 |
Commercial mortgage loans | — |  |  | — |  |  | 2,083 |  |  | — |  |  | 2,083 |  |  | 2,406 |
Residential mortgage loans | — |  |  | — |  |  | 1,892 |  |  | — |  |  | 1,892 |  |  | 2,148 |
Investments in unconsolidated affiliates | — |  |  | — |  |  | 5 |  |  | 2,427 |  |  | 2,432 |  |  | 2,432 |
Policy loans | — |  |  | — |  |  | 52 |  |  | — |  |  | 52 |  |  | 52 |
Other invested assets | 93 |  |  | — |  |  | 16 |  |  | — |  |  | 109 |  |  | 109 |
Company-owned life insurance | — |  |  | — |  |  | 363 |  |  | — |  |  | 363 |  |  | 363 |
Trade and notes receivables, net of allowance | — |  |  | — |  |  | 467 |  |  | — |  |  | 467 |  |  | 467 |
Total | $ | 93 |  |  | $ | 99 |  |  | $ | 4,878 |  |  | $ | 2,427 |  |  | $ | 7,497 |  |  | $ | 8,076 |
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 |
For investments for which NAV is used as a practical expedient for fair value, we do not have any significant restrictions in our ability to liquidate our positions in these investments, other than obtaining general partner approval, nor do we believe it is probable that a price less than NAV would be received in the event of a liquidation. 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.

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- References No definition available. + Details
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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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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