Fair Value of Financial Instruments (Tables)
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9 Months Ended |
Sep. 30, 2024 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Carrying Amount and Estimated Fair Value of Assets and Liabilities on Recurring Basis |
The 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, 2024 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Fair Value | | | | Assets | (In millions) | | | | Cash and cash equivalents | $ | 4,970 | | | $ | — | | | $ | — | | | $ | — | | | $ | 4,970 | | | | | Fixed maturity securities, available-for-sale: | | | | | | | | | | | | | Asset-backed securities ("ABS") | — | | | 7,779 | | | 8,184 | | | — | | | 15,963 | | | | | Commercial mortgage-backed securities | — | | | 5,179 | | | — | | | — | | | 5,179 | | | | | Corporates | 78 | | | 19,166 | | | 2,728 | | | — | | | 21,972 | | | | | Hybrids | 37 | | | 559 | | | — | | | — | | | 596 | | | | | Municipals | — | | | 1,515 | | | — | | | — | | | 1,515 | | | | | Residential mortgage-backed securities | — | | | 2,597 | | | 3 | | | — | | | 2,600 | | | | | U.S. Government | 797 | | | 6 | | | — | | | — | | | 803 | | | | | Foreign Governments | — | | | 307 | | | 5 | | | — | | | 312 | | | | | Short term investments | 1,013 | | | 8 | | | 156 | | | — | | | 1,177 | | | | | Preferred securities | 199 | | | 253 | | | 8 | | | — | | | 460 | | | | | Equity securities | 657 | | | — | | | 13 | | | 59 | | | 729 | | | | | Derivative investments | — | | | 1,401 | | | — | | | — | | | 1,401 | | | | | Investment in unconsolidated affiliates | — | | | — | | | 272 | | | — | | | 272 | | | | | | | | | | | | | | | | | Market risk benefits asset | — | | | — | | | 134 | | | — | | | 134 | | | | | Other assets | — | | | — | | | 55 | | | — | | | 55 | | | | | Other long-term investments | — | | | — | | | 38 | | | — | | | 38 | | | | | | | | | | | | | | | | | Total financial assets at fair value | $ | 7,751 | | | $ | 38,770 | | | $ | 11,596 | | | $ | 59 | | | $ | 58,176 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | | | | | Indexed annuities/indexed universal life insurance ("IUL") embedded derivatives, included in contractholder funds | — | | | — | | | 5,411 | | | — | | | 5,411 | | | | | Reinsurance related embedded derivative | — | | | 34 | | | — | | | — | | | 34 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Equity options | 5 | | | — | | | — | | | — | | | 5 | | | | | Contingent consideration obligation | — | | | — | | | 69 | | | — | | | 69 | | | | | Market risk benefits liability | — | | | — | | | 603 | | | — | | | 603 | | | | | Total financial liabilities at fair value | $ | 5 | | | $ | 34 | | | $ | 6,083 | | | $ | — | | | $ | 6,122 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Fair Value | | | | Assets | (In millions) | | | | Cash and cash equivalents | $ | 2,767 | | | $ | — | | | $ | — | | | $ | — | | | $ | 2,767 | | | | | Fixed maturity securities, available-for-sale: | | | | | | | | | | | | | Asset-backed securities | — | | | 7,220 | | | 7,122 | | | — | | | 14,342 | | | | | Commercial mortgage-backed securities | — | | | 4,457 | | | 18 | | | — | | | 4,475 | | | | | Corporates | 25 | | | 15,892 | | | 1,979 | | | — | | | 17,896 | | | | | Hybrids | 95 | | | 523 | | | — | | | — | | | 618 | | | | | Municipals | — | | | 1,562 | | | 49 | | | — | | | 1,611 | | | | | Residential mortgage-backed securities | — | | | 2,426 | | | 3 | | | — | | | 2,429 | | | | | U.S. Government | 662 | | | 16 | | | — | | | — | | | 678 | | | | | Foreign Governments | — | | | 308 | | | 16 | | | — | | | 324 | | | | | Short term investments | 2,111 | | | 8 | | | — | | | — | | | 2,119 | | | | | Preferred securities | 214 | | | 399 | | | 8 | | | — | | | 621 | | | | | Equity securities | 692 | | | — | | | 15 | | | 59 | | | 766 | | | | | | | | | | | | | | | | | Derivative investments | — | | | 740 | | | 57 | | | — | | | 797 | | | | | Investment in unconsolidated affiliates | — | | | — | | | 285 | | | — | | | 285 | | | | | Reinsurance related embedded derivative, included in other assets | — | | | 152 | | | — | | | — | | | 152 | | | | | Market risk benefits asset | — | | | — | | | 88 | | | — | | | 88 | | | | | | | | | | | | | | | | | Other long-term investments | — | | | — | | | 37 | | | — | | | 37 | | | | | | | | | | | | | | | | | Total financial assets at fair value | $ | 6,566 | | | $ | 33,703 | | | $ | 9,677 | | | $ | 59 | | | $ | 50,005 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | | | | | Indexed annuities/IUL embedded derivatives, included in contractholder funds | $ | — | | | $ | — | | | $ | 4,258 | | | $ | — | | | $ | 4,258 | | | | | Market risk benefits liability | — | | | — | | | 403 | | | — | | | 403 | | | | | | | | | | | | | | | | | Equity options | 1 | | | — | | | — | | | | | 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total financial liabilities at fair value | $ | 1 | | | $ | — | | | $ | 4,661 | | | $ | — | | | $ | 4,662 | | | |
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, 2024 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Total Estimated Fair Value | | Carrying Amount | | Assets | (In millions) | | FHLB common stock | $ | — | | | $ | 153 | | | $ | — | | | $ | — | | | $ | 153 | | | $ | 153 | | | Commercial mortgage loans | — | | | — | | | 2,342 | | | — | | | 2,342 | | | 2,572 | | | Residential mortgage loans | — | | | — | | | 2,830 | | | — | | | 2,830 | | | 3,054 | | | Investments in unconsolidated affiliates | — | | | — | | | 4 | | | 3,390 | | | 3,394 | | | 3,394 | | | Policy loans | — | | | — | | | 94 | | | — | | | 94 | | | 94 | | | Other invested assets | 22 | | | — | | | — | | | 47 | | | 69 | | | 69 | | | Company-owned life insurance | — | | | — | | | 426 | | | — | | | 426 | | | 426 | | | | | | | | | | | | | | | Trade and notes receivables, net of allowance | — | | | — | | | 443 | | | — | | | 443 | | | 443 | | | Total | $ | 22 | | | $ | 153 | | | $ | 6,139 | | | $ | 3,437 | | | $ | 9,751 | | | $ | 10,205 | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | Investment contracts, included in contractholder funds | $ | — | | | $ | — | | | $ | 44,762 | | | $ | — | | | $ | 44,762 | | | $ | 55,057 | | | Debt | — | | | 3,986 | | | — | | | — | | | 3,986 | | | 4,186 | | | | | | | | | | | | | | | Total | $ | — | | | $ | 3,986 | | | $ | 44,762 | | | $ | — | | | $ | 48,748 | | | $ | 59,243 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | Level 1 | | Level 2 | | Level 3 | | NAV | | Total Estimated Fair Value | | Carrying Amount | | Assets | (In millions) | | FHLB common stock | $ | — | | | $ | 138 | | | $ | — | | | $ | — | | | $ | 138 | | | $ | 138 | | | Commercial mortgage loans | — | | | — | | | 2,253 | | | — | | | 2,253 | | | 2,538 | | | Residential mortgage loans | — | | | — | | | 2,545 | | | — | | | 2,545 | | | 2,798 | | | Investments in unconsolidated affiliates | — | | | — | | | 7 | | | 2,779 | | | 2,786 | | | 2,786 | | | Policy loans | — | | | — | | | 71 | | | — | | | 71 | | | 71 | | | Other invested assets | 17 | | | — | | | — | | | 42 | | | 59 | | | 59 | | | Company-owned life insurance | — | | | — | | | 397 | | | — | | | 397 | | | 397 | | | Trade and notes receivables, net of allowance | — | | | — | | | 442 | | | — | | | 442 | | | 442 | | | Total | $ | 17 | | | $ | 138 | | | $ | 5,715 | | | $ | 2,821 | | | $ | 8,691 | | | $ | 9,229 | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | Investment contracts, included in contractholder funds | $ | — | | | $ | — | | | $ | 40,229 | | | $ | — | | | $ | 40,229 | | | $ | 44,540 | | | Debt | — | | | 3,568 | | | — | | | — | | | 3,568 | | | 3,887 | | | Total | $ | — | | | $ | 3,568 | | | $ | 40,229 | | | $ | — | | | $ | 43,797 | | | $ | 48,427 | |
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| Schedule of 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 September 30, 2024 and December 31, 2023 are as follows: | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of | | Valuation Technique | | Unobservable Input(s) | | Range (Weighted average) | | September 30, 2024 | | | | | (In millions) | | | | September 30, 2024 | | Assets | | | | | | | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 99 | | | Third-Party Valuation | | Discount Rate | | 4.82% - 6.71% (5.83%) | | | | | | | | | | | | | | | | | | | | | | | | | | Corporates | 4 | | | Discounted Cash Flow | | Discount Rate | | 29.17% - 100.00% (73.00%) | | Corporates | 741 | | | Third-Party Valuation | | Discount Rate | | 3.55% - 20.69% (6.47%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | 3 | | | Third-Party Valuation | | Discount Rate | | 5.19% - 5.19% (5.19%) | | Foreign Governments | 5 | | | Third-Party Valuation | | Discount Rate | | 6.91% - 6.91% (6.91%) | | Investment in unconsolidated affiliates | 272 | | | Market Comparable Company Analysis | | EBITDA Multiple | | 8.8x - 15.1x (11.7x) | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 1 | | | Discounted Cash Flow | | Discount rate | | 100.00% - 100.00% (100.00%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Equity securities | 7 | | | Discounted Cash Flow | | Discount rate | | 11.20% - 11.20% (11.20%) | | | | Market Comparable Company Analysis | | EBITDA multiple | | 5.1x - 5.1x (5.1x) | | Other assets | 55 | | | Discounted Cash Flow | | Discount Rate | | 9.27% - 13.40% (11.34%) | | | | | | Conditional Prepayment Rate | | 6.67% -15.71% (11.19%) | | Other long-term investments: | | | | | | | | | Available-for-sale embedded derivative | 34 | | | Black Scholes Model | | Market Value of AnchorPath Fund | | 100.00% | | | | | | | | | | | | | | | | | | Market risk benefits asset | 134 | | | Discounted Cash Flow | | Mortality | | 80.00% - 115.00% (100.00%) | | | | | | | | | | | | | | Surrender Rates | | 0.25% - 30.00% (5.22%) | | | | | | Partial Withdrawal Rates | | 2.00% - 24.39% (2.48%) | | | | | | Non-Performance Spread | | 0.30% - 0.98% (0.82%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.57%) | | Total financial assets at fair value (a) | $ | 1,355 | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives: | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | $ | 5,411 | | | Discounted Cash Flow | | Market Value of Option | | 0.00% - 30.14% (4.21%) | | | | | | | | | | | | | | Mortality Multiplier | | 80.00% - 115.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 50.00% (7.23%) | | | | | | Partial Withdrawals | | 2.00% - 35.71% (2.72%) | | | | | | Non-Performance Spread | | 0.30% - 0.98% (0.82%) | | | | | | Option Cost | | 0.07% - 5.70% (2.61%) | | Contingent consideration | 69 | | | Discounted Cash Flow | | Risk-Adjusted Discount Rate | | 13.00% - 13.00% (13.00%) | | | | | | EBITDA Volatility | | 35.00% - 35.00% (35.00%) | | | | | | | | | | | | | | Counterparty Discount Rate | | 6.00% - 6.00% (6.00%) | | | | | | | | | | | | | | | | | | | | | | | | | | Market risk benefits liability | 603 | | | Discounted Cash Flow | | Mortality | | 80.00% - 115.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 30.00% (5.22%) | | | | | | Partial Withdrawal Rates | | 2.00% - 24.39% (2.48%) | | | | | | Non-Performance Spread | | 0.30% - 0.98% (0.82%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.57%) | | Total financial liabilities at fair value | $ | 6,083 | | | | | | | |
(a) Assets of $10,241 million for which significant quantitative unobservable inputs are not developed internally and not readily available to the Company (primarily those valued using broker quotes and certain third-party pricing services) are excluded from the respective totals in the table above. | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of | | Valuation Technique | | Unobservable Input(s) | | Range (Weighted average) | | December 31, 2023 | | | | | (In millions) | | | | December 31, 2023 | | Assets | | | | | | | | | | | | | | | | | | | | | | | | | Asset-backed securities | $ | 57 | | | Third-Party Valuation | | Discount Rate | | 5.09% - 6.95% (6.00%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporates | 787 | | | Third-Party Valuation | | Discount Rate | | 0.00% - 12.87% (6.91%) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Corporates | 8 | | Discounted Cash Flow | | Discount Rate | | 44.00% - 100.00% (75.20%) | | | | | | | | | | | | | | | | | | | | | | | | | | Municipals | 32 | | Third-Party Valuation | | Discount Rate | | 6.25% - 6.25% (6.25%) | | | | | | | | | | Residential mortgage-backed securities | 3 | | | Third-Party Valuation | | Discount Rate | | 5.46% - 5.46% (5.46%) | | Foreign Governments | 16 | | | Third-Party Valuation | | Discount Rate | | 6.94% - 7.68% (7.45%) | | Investment in unconsolidated affiliates | 285 | | | Market Comparable Company Analysis | | EBITDA Multiple | | 4.4x - 31.8x (23.2x) | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 1 | | | Discounted Cash Flow | | Discount rate | | 100.00% | | | | | | | | | | | | | | | | | | | | | | | | | | Equity securities | 7 | | | Discounted Cash Flow | | Discount rate | | 11.50% - 11.50% (11.50%) | | Other long-term investments: | | | | | | | | | Available-for-sale embedded derivative | 28 | | | Black Scholes Model | | Market Value of Fund | | 100.00% | | Market risk benefits asset | 88 | | | Discounted Cash Flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (5.22%) | | | | | | Partial Withdrawal Rates | | 0.00% -23.26% (2.50%) | | | | | | Non-Performance Spread | | 0.38% - 1.10% (0.96%) | | | | | | GMWB Utilization | | 50.00% -60.00% (50.81%) | | Total financial assets at fair value (a) | $ | 1,312 | | | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | Derivatives | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | $ | 4,258 | | | Discounted Cash Flow | | Market Value of Option | | 0.00% - 18.93% (2.63%) | | | | | | | | | | | | | | 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 | | 0.38% - 1.10% (0.96%) | | | | | | Option Cost | | 0.07% - 5.48% (2.38%) | | | | | | | | | | | | | | | | | | Market risk benefits liability | 403 | | Discounted Cash Flow | | Mortality | | 100.00% - 100.00% (100.00%) | | | | | | Surrender Rates | | 0.25% - 10.00% (5.22%) | | | | | | Partial Withdrawal Rates | | 0.00% - 23.26% (2.50%) | | | | | | Non-Performance Spread | | 0.38% - 1.10% (0.96%) | | | | | | GMWB Utilization | | 50.00% - 60.00% (50.81%) | | Total financial liabilities at fair value | $ | 4,661 | | | | | | | |
(a) Assets of $8,365 million for which significant quantitative unobservable inputs are not developed internally and not readily available to the Company (primarily those valued using broker quotes and certain third-party pricing services) are excluded from the table above. |
| Schedule of Changes in Fair Value of Financial Instruments - Assets |
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three and nine months ended September 30, 2024 and 2023. 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, 2024 | | | | Balance at Beginning
of Period | | | | Total (Losses) Gains | | Purchases | | Sales | | Settlements | | Net Transfer 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 | $ | 8,042 | | | | | $ | (3) | | | $ | 77 | | | $ | 515 | | | $ | (30) | | | $ | (358) | | | $ | (59) | | | $ | 8,184 | | | $ | 77 | | | | | Commercial mortgage-backed securities | 15 | | | | | — | | | — | | | — | | | — | | | — | | | (15) | | | — | | | — | | | | | Corporates | 2,355 | | | | | (2) | | | 67 | | | 354 | | | — | | | (43) | | | (3) | | | 2,728 | | | 64 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | 3 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 3 | | | — | | | | | Foreign Governments | 5 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 5 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 8 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 8 | | | — | | | | | Equity securities | 13 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 13 | | | — | | | | | Interest Rate Swaps | 8 | | | | | — | | | (1) | | | — | | | — | | | — | | | (7) | | | — | | | — | | | | | Investment in unconsolidated affiliates (b) | 358 | | | | | 6 | | | — | | | — | | | — | | | — | | | (92) | | | 272 | | | — | | | | | Short term investments | 71 | | | | | — | | | — | | | 85 | | | — | | | — | | | — | | | 156 | | | — | | | | | Other assets | 50 | | | | | (3) | | | — | | | 8 | | | — | | | — | | | — | | | 55 | | | — | | | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 31 | | | | | — | | | 3 | | | — | | | — | | | — | | | — | | | 34 | | | 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 6 | | | | | — | | | — | | | — | | | — | | | (2) | | | — | | | 4 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | Subtotal Level 3 assets at fair value | $ | 10,965 | | | | | $ | (2) | | | $ | 146 | | | $ | 962 | | | $ | (30) | | | $ | (403) | | | $ | (176) | | | $ | 11,462 | | | $ | 144 | | | | | Market risk benefits asset (c) | 103 | | | | | | | | | | | | | | | | | 134 | | | | | | | Total Level 3 assets at fair value | $ | 11,068 | | | | | | | | | | | | | | | | | $ | 11,596 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | 4,848 | | | | | 308 | | | — | | | 390 | | | — | | | (135) | | | — | | | 5,411 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate swaps | 28 | | | | | — | | | — | | | — | | | — | | | — | | | (28) | | | — | | | — | | | | | Contingent consideration | 63 | | | | | 6 | | | — | | | — | | | — | | | — | | | — | | | 69 | | | — | | | | | Subtotal Level 3 liabilities at fair value | $ | 4,939 | | | | | $ | 314 | | | $ | — | | | $ | 390 | | | $ | — | | | $ | (135) | | | $ | (28) | | | $ | 5,480 | | | $ | — | | | | | Market risk benefits liability (c) | 459 | | | | | | | | | | | | | | | | | 603 | | | | | | | Total Level 3 liabilities at fair value | $ | 5,398 | | | | | | | | | | | | | | | | | $ | 6,083 | | | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2024 were exclusively to Level 2. (b) The transfer out of investments in unconsolidated affiliates represents F&G’s 30% ownership of PALH prior to the majority acquisition on July 18, 2024. Refer to Note N Acquisitions for details of the PALH majority acquisition. (c) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2023 | | | | Balance at Beginning
of Period | | Total (Losses) Gains | | Purchases | | Sales | | Settlements | | Net Transfer 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 | | | $ | 49 | | | | | Market risk benefits asset (b) | 118 | | | | | | | | | | | | | | | 118 | | | | | | | Total Level 3 assets at fair value | $ | 8,759 | | | | | | | | | | | | | | | $ | 9,121 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/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 (b) | 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. (b) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2024 | | 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 | $ | 7,122 | | | | | $ | 12 | | | $ | 187 | | | $ | 1,981 | | | $ | (109) | | | $ | (904) | | | $ | (105) | | | $ | 8,184 | | | $ | 184 | | | Commercial mortgage-backed securities | 18 | | | | | — | | | — | | | 58 | | | — | | | — | | | (76) | | | — | | | — | | | Corporates | 1,979 | | | | | (2) | | | 79 | | | 873 | | | (96) | | | (85) | | | (20) | | | 2,728 | | | 77 | | | | | | | | | | | | | | | | | | | | | | | Municipals | 49 | | | | | — | | | 1 | | | — | | | (50) | | | — | | | — | | | — | | | 1 | | | Residential mortgage-backed securities | 3 | | | | | — | | | — | | | 1 | | | — | | | — | | | (1) | | | 3 | | | — | | | Foreign Governments | 16 | | | | | — | | | — | | | — | | | — | | | (11) | | | — | | | 5 | | | — | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 8 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 8 | | | — | | | Equity securities | 15 | | | | | (2) | | | — | | | — | | | — | | | — | | | — | | | 13 | | | — | | | Interest Rate Swaps | 57 | | | | | (50) | | | — | | | — | | | — | | | — | | | (7) | | | — | | | 1 | | | Investment in unconsolidated affiliates (b) | 285 | | | | | 79 | | | — | | | — | | | — | | | — | | | (92) | | | 272 | | | — | | | Other assets | — | | | | | (3) | | | — | | | 58 | | | — | | | — | | | — | | | 55 | | | — | | | Short term investments | — | | | | | — | | | — | | | 156 | | | — | | | — | | | — | | | 156 | | | — | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 27 | | | | | — | | | 7 | | | — | | | — | | | — | | | — | | | 34 | | | 7 | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 10 | | | | | 1 | | | — | | | — | | | — | | | (7) | | | — | | | 4 | | | — | | | | | | | | | | | | | | | | | | | | | | | Subtotal Level 3 assets at fair value | $ | 9,589 | | | | | $ | 35 | | | $ | 274 | | | $ | 3,127 | | | $ | (255) | | | $ | (1,007) | | | $ | (301) | | | $ | 11,462 | | | $ | 270 | | | Market risk benefits asset (c) | 88 | | | | | | | | | | | | | | | | | 134 | | | | | Total Level 3 assets at fair value | $ | 9,677 | | | | | | | | | | | | | | | | | $ | 11,596 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | $ | 4,258 | | | | | $ | 452 | | | $ | — | | | $ | 1,011 | | | $ | — | | | $ | (310) | | | $ | — | | | $ | 5,411 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | Interest rate swaps | — | | | | | 28 | | | — | | | — | | | — | | | — | | | (28) | | | — | | | — | | | Contingent consideration (d) | — | | | | | 21 | | | — | | | 48 | | | — | | | — | | | — | | | 69 | | | — | | | Subtotal Level 3 liabilities at fair value | $ | 4,258 | | | | | $ | 501 | | | $ | — | | | $ | 1,059 | | | $ | — | | | $ | (310) | | | $ | (28) | | | $ | 5,480 | | | $ | — | | | Market risk benefits liability (c) | 403 | | | | | | | | | | | | | | | | | 603 | | | | | Total Level 3 liabilities at fair value | $ | 4,661 | | | | | | | | | | | | | | | | | $ | 6,083 | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2024 were exclusively to Level 2. (b) The transfer out of investments in unconsolidated affiliates represents F&G’s 30% ownership of PALH prior to the majority acquisition on July 18, 2024. Refer to Note N Acquisitions for details of the PALH majority acquisition. (c) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. (d) The initial contingent consideration recorded in the Roar transaction is included in purchases in the table above. Refer to Note N Acquisition for more information. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2023 | | Balance at Beginning
of Period | | Total (Losses) Gain | | Purchases | | Sales | | Settlements | | Net Transfer (Out) In 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 investments | — | | | — | | | — | | | 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 (b) | 117 | | | | | | | | | | | | | | | 118 | | | | | Total Level 3 assets at fair value | $ | 8,286 | | | | | | | | | | | | | | | $ | 9,121 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/IUL 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 (b) | 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 (b) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability.
|
| Schedule of Changes in Fair Value of Financial Instruments - Liabilities |
The following tables summarize changes to the Company’s financial instruments carried at fair value and classified within Level 3 of the fair value hierarchy for the three and nine months ended September 30, 2024 and 2023. 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, 2024 | | | | Balance at Beginning
of Period | | | | Total (Losses) Gains | | Purchases | | Sales | | Settlements | | Net Transfer 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 | $ | 8,042 | | | | | $ | (3) | | | $ | 77 | | | $ | 515 | | | $ | (30) | | | $ | (358) | | | $ | (59) | | | $ | 8,184 | | | $ | 77 | | | | | Commercial mortgage-backed securities | 15 | | | | | — | | | — | | | — | | | — | | | — | | | (15) | | | — | | | — | | | | | Corporates | 2,355 | | | | | (2) | | | 67 | | | 354 | | | — | | | (43) | | | (3) | | | 2,728 | | | 64 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Residential mortgage-backed securities | 3 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 3 | | | — | | | | | Foreign Governments | 5 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 5 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 8 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 8 | | | — | | | | | Equity securities | 13 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 13 | | | — | | | | | Interest Rate Swaps | 8 | | | | | — | | | (1) | | | — | | | — | | | — | | | (7) | | | — | | | — | | | | | Investment in unconsolidated affiliates (b) | 358 | | | | | 6 | | | — | | | — | | | — | | | — | | | (92) | | | 272 | | | — | | | | | Short term investments | 71 | | | | | — | | | — | | | 85 | | | — | | | — | | | — | | | 156 | | | — | | | | | Other assets | 50 | | | | | (3) | | | — | | | 8 | | | — | | | — | | | — | | | 55 | | | — | | | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 31 | | | | | — | | | 3 | | | — | | | — | | | — | | | — | | | 34 | | | 3 | | | | | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 6 | | | | | — | | | — | | | — | | | — | | | (2) | | | — | | | 4 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | Subtotal Level 3 assets at fair value | $ | 10,965 | | | | | $ | (2) | | | $ | 146 | | | $ | 962 | | | $ | (30) | | | $ | (403) | | | $ | (176) | | | $ | 11,462 | | | $ | 144 | | | | | Market risk benefits asset (c) | 103 | | | | | | | | | | | | | | | | | 134 | | | | | | | Total Level 3 assets at fair value | $ | 11,068 | | | | | | | | | | | | | | | | | $ | 11,596 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | 4,848 | | | | | 308 | | | — | | | 390 | | | — | | | (135) | | | — | | | 5,411 | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | Interest rate swaps | 28 | | | | | — | | | — | | | — | | | — | | | — | | | (28) | | | — | | | — | | | | | Contingent consideration | 63 | | | | | 6 | | | — | | | — | | | — | | | — | | | — | | | 69 | | | — | | | | | Subtotal Level 3 liabilities at fair value | $ | 4,939 | | | | | $ | 314 | | | $ | — | | | $ | 390 | | | $ | — | | | $ | (135) | | | $ | (28) | | | $ | 5,480 | | | $ | — | | | | | Market risk benefits liability (c) | 459 | | | | | | | | | | | | | | | | | 603 | | | | | | | Total Level 3 liabilities at fair value | $ | 5,398 | | | | | | | | | | | | | | | | | $ | 6,083 | | | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2024 were exclusively to Level 2. (b) The transfer out of investments in unconsolidated affiliates represents F&G’s 30% ownership of PALH prior to the majority acquisition on July 18, 2024. Refer to Note N Acquisitions for details of the PALH majority acquisition. (c) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three months ended September 30, 2023 | | | | Balance at Beginning
of Period | | Total (Losses) Gains | | Purchases | | Sales | | Settlements | | Net Transfer 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 | | | $ | 49 | | | | | Market risk benefits asset (b) | 118 | | | | | | | | | | | | | | | 118 | | | | | | | Total Level 3 assets at fair value | $ | 8,759 | | | | | | | | | | | | | | | $ | 9,121 | | | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/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 (b) | 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. (b) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2024 | | 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 | $ | 7,122 | | | | | $ | 12 | | | $ | 187 | | | $ | 1,981 | | | $ | (109) | | | $ | (904) | | | $ | (105) | | | $ | 8,184 | | | $ | 184 | | | Commercial mortgage-backed securities | 18 | | | | | — | | | — | | | 58 | | | — | | | — | | | (76) | | | — | | | — | | | Corporates | 1,979 | | | | | (2) | | | 79 | | | 873 | | | (96) | | | (85) | | | (20) | | | 2,728 | | | 77 | | | | | | | | | | | | | | | | | | | | | | | Municipals | 49 | | | | | — | | | 1 | | | — | | | (50) | | | — | | | — | | | — | | | 1 | | | Residential mortgage-backed securities | 3 | | | | | — | | | — | | | 1 | | | — | | | — | | | (1) | | | 3 | | | — | | | Foreign Governments | 16 | | | | | — | | | — | | | — | | | — | | | (11) | | | — | | | 5 | | | — | | | | | | | | | | | | | | | | | | | | | | | Preferred securities | 8 | | | | | — | | | — | | | — | | | — | | | — | | | — | | | 8 | | | — | | | Equity securities | 15 | | | | | (2) | | | — | | | — | | | — | | | — | | | — | | | 13 | | | — | | | Interest Rate Swaps | 57 | | | | | (50) | | | — | | | — | | | — | | | — | | | (7) | | | — | | | 1 | | | Investment in unconsolidated affiliates (b) | 285 | | | | | 79 | | | — | | | — | | | — | | | — | | | (92) | | | 272 | | | — | | | Other assets | — | | | | | (3) | | | — | | | 58 | | | — | | | — | | | — | | | 55 | | | — | | | Short term investments | — | | | | | — | | | — | | | 156 | | | — | | | — | | | — | | | 156 | | | — | | | Other long-term investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Available-for-sale embedded derivative | 27 | | | | | — | | | 7 | | | — | | | — | | | — | | | — | | | 34 | | | 7 | | | | | | | | | | | | | | | | | | | | | | | Credit linked note | 10 | | | | | 1 | | | — | | | — | | | — | | | (7) | | | — | | | 4 | | | — | | | | | | | | | | | | | | | | | | | | | | | Subtotal Level 3 assets at fair value | $ | 9,589 | | | | | $ | 35 | | | $ | 274 | | | $ | 3,127 | | | $ | (255) | | | $ | (1,007) | | | $ | (301) | | | $ | 11,462 | | | $ | 270 | | | Market risk benefits asset (c) | 88 | | | | | | | | | | | | | | | | | 134 | | | | | Total Level 3 assets at fair value | $ | 9,677 | | | | | | | | | | | | | | | | | $ | 11,596 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | Indexed annuity/ IUL embedded derivatives, included in contractholder funds | $ | 4,258 | | | | | $ | 452 | | | $ | — | | | $ | 1,011 | | | $ | — | | | $ | (310) | | | $ | — | | | $ | 5,411 | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | Interest rate swaps | — | | | | | 28 | | | — | | | — | | | — | | | — | | | (28) | | | — | | | — | | | Contingent consideration (d) | — | | | | | 21 | | | — | | | 48 | | | — | | | — | | | — | | | 69 | | | — | | | Subtotal Level 3 liabilities at fair value | $ | 4,258 | | | | | $ | 501 | | | $ | — | | | $ | 1,059 | | | $ | — | | | $ | (310) | | | $ | (28) | | | $ | 5,480 | | | $ | — | | | Market risk benefits liability (c) | 403 | | | | | | | | | | | | | | | | | 603 | | | | | Total Level 3 liabilities at fair value | $ | 4,661 | | | | | | | | | | | | | | | | | $ | 6,083 | | | |
(a) The net transfers out of Level 3 during the three months ended September 30, 2024 were exclusively to Level 2. (b) The transfer out of investments in unconsolidated affiliates represents F&G’s 30% ownership of PALH prior to the majority acquisition on July 18, 2024. Refer to Note N Acquisitions for details of the PALH majority acquisition. (c) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability. (d) The initial contingent consideration recorded in the Roar transaction is included in purchases in the table above. Refer to Note N Acquisition for more information. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Nine months ended September 30, 2023 | | Balance at Beginning
of Period | | Total (Losses) Gain | | Purchases | | Sales | | Settlements | | Net Transfer (Out) In 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 investments | — | | | — | | | — | | | 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 (b) | 117 | | | | | | | | | | | | | | | 118 | | | | | Total Level 3 assets at fair value | $ | 8,286 | | | | | | | | | | | | | | | $ | 9,121 | | | | | Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Indexed annuity/IUL 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 (b) | 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 (b) Refer to Note P Market Risk Benefits for roll forward activity of the net Market risk benefits asset and liability.
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