XML 66 R131.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Fair Value Measurements - Quantitative Information for Level 3 Measurements (Details) - Recurring Fair Value Measurements
$ in Millions
Dec. 31, 2019
USD ($)
item
Dec. 31, 2018
USD ($)
item
Unobservable inputs    
Assets measured at fair value | $ $ 240,519.2 $ 210,374.7
Liabilities measured at fair value | $ (530.8) (293.8)
Fair value hierarchy Level 3    
Unobservable inputs    
Assets measured at fair value | $ 9,421.5 8,790.1
Liabilities measured at fair value | $ (230.5) (60.7)
Fair value hierarchy Level 3 | Investment and universal life contracts    
Unobservable inputs    
Liabilities measured at fair value | $ $ (214.2) $ (45.2)
Embedded derivative, Valuation technique us-gaap:ValuationTechniqueDiscountedCashFlowMember us-gaap:ValuationTechniqueDiscountedCashFlowMember
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Long duration interest rate | Minimum    
Unobservable inputs    
Embedded derivative, Input 0.020 0.028
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Long duration interest rate | Maximum    
Unobservable inputs    
Embedded derivative, Input 0.021 0.029
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Long-term equity market volatility | Minimum    
Unobservable inputs    
Embedded derivative, Input 0.150 0.167
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Long-term equity market volatility | Maximum    
Unobservable inputs    
Embedded derivative, Input 0.269 0.278
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Non-performance risk | Minimum    
Unobservable inputs    
Embedded derivative, Input 0.002 0.006
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Non-performance risk | Maximum    
Unobservable inputs    
Embedded derivative, Input 0.013 0.016
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Lapse rate | Minimum    
Unobservable inputs    
Embedded derivative, Input 0.000 0.013
Fair value hierarchy Level 3 | Investment and universal life contracts | Discounted cash flow | Lapse rate | Maximum    
Unobservable inputs    
Embedded derivative, Input 0.180 0.160
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale    
Unobservable inputs    
Assets measured at fair value | $   $ 4.6
Fixed maturities, available-for-sale, Valuation technique   us-gaap:ValuationTechniqueDiscountedCashFlowMember
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Discount rate    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   0.032
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Discount rate | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   0.032
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Illiquidity premium    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   0.0050
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Illiquidity premium | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   0.0050
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Comparability adjustment    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   (0.0025)
Fair value hierarchy Level 3 | Non-U.S. governments | Available-for-sale | Discounted cash flow | Comparability adjustment | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input   (0.0025)
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale    
Unobservable inputs    
Assets measured at fair value | $ $ 72.5 $ 25.4
Fixed maturities, available-for-sale, Valuation technique us-gaap:ValuationTechniqueDiscountedCashFlowMember us-gaap:ValuationTechniqueDiscountedCashFlowMember
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Discount rate | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.019 0.033
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Discount rate | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.051 0.045
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Discount rate | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.038 0.039
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Illiquidity premium | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0 0
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Illiquidity premium | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.0410 0.0060
Fair value hierarchy Level 3 | Corporate debt securities | Available-for-sale | Discounted cash flow | Illiquidity premium | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.0152 0.0036
Fair value hierarchy Level 3 | Commercial mortgage-backed securities | Available-for-sale    
Unobservable inputs    
Assets measured at fair value | $ $ 2.4  
Fixed maturities, available-for-sale, Valuation technique gaap:ValuationTechniqueDiscountedCashFlowMember  
Fair value hierarchy Level 3 | Commercial mortgage-backed securities | Available-for-sale | Discounted cash flow | Probability of default    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 1.000  
Fair value hierarchy Level 3 | Commercial mortgage-backed securities | Available-for-sale | Discounted cash flow | Probability of default | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 1.000  
Fair value hierarchy Level 3 | Commercial mortgage-backed securities | Available-for-sale | Discounted cash flow | Potential loss severity    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.531  
Fair value hierarchy Level 3 | Commercial mortgage-backed securities | Available-for-sale | Discounted cash flow | Potential loss severity | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.531  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale    
Unobservable inputs    
Assets measured at fair value | $ $ 108.7  
Fixed maturities, available-for-sale, Valuation technique gaap:ValuationTechniqueDiscountedCashFlowMember  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Discount rate | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.029  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Discount rate | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.100  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Discount rate | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.034  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Probability of default    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 1.000  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Probability of default | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 1.000  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Potential loss severity    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.230  
Fair value hierarchy Level 3 | Collateralized debt obligations | Available-for-sale | Discounted cash flow | Potential loss severity | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.230  
Fair value hierarchy Level 3 | Other debt obligations | Available-for-sale    
Unobservable inputs    
Assets measured at fair value | $ $ 1.2 $ 1.7
Fixed maturities, available-for-sale, Valuation technique us-gaap:ValuationTechniqueDiscountedCashFlowMember us-gaap:ValuationTechniqueDiscountedCashFlowMember
Fair value hierarchy Level 3 | Other debt obligations | Available-for-sale | Discounted cash flow | Discount rate    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.050 0.050
Fair value hierarchy Level 3 | Other debt obligations | Available-for-sale | Discounted cash flow | Discount rate | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.050 0.050
Fair value hierarchy Level 3 | Other debt obligations | Available-for-sale | Discounted cash flow | Illiquidity premium    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.0500 0.0500
Fair value hierarchy Level 3 | Other debt obligations | Available-for-sale | Discounted cash flow | Illiquidity premium | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.0500 0.0500
Fair value hierarchy Level 3 | Other investments    
Unobservable inputs    
Assets measured at fair value | $ $ 14.8  
Fixed maturities, available-for-sale, Valuation technique gaap:ValuationTechniqueDiscountedCashFlowMember  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Discount rate | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.250  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Discount rate | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.300  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Discount rate | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.275  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Terminal earnings before interest, taxes, depreciation and amortization multiple | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 3.5  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Terminal earnings before interest, taxes, depreciation and amortization multiple | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 4.5  
Fair value hierarchy Level 3 | Other investments | Discounted cash flow | Terminal earnings before interest, taxes, depreciation and amortization multiple | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 4.0  
Fair value hierarchy Level 3 | Other investments | Market comparables | Revenue multiples | Minimum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 0.8  
Fair value hierarchy Level 3 | Other investments | Market comparables | Revenue multiples | Maximum    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 7.0  
Fair value hierarchy Level 3 | Other investments | Market comparables | Revenue multiples | Weighted average input    
Unobservable inputs    
Fixed maturities, available-for-sale, Input 4.1  
Fair value hierarchy Level 3 | Separate account assets    
Unobservable inputs    
Assets measured at fair value | $ $ 8,966.2 $ 8,440.8
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Discount rate | Minimum    
Unobservable inputs    
Separate account assets, Input   0.033
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Discount rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.028 0.047
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Discount rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.028 0.042
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Illiquidity premium | Minimum    
Unobservable inputs    
Separate account assets, Input   0
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Illiquidity premium | Maximum    
Unobservable inputs    
Separate account assets, Input 0.0060 0.0060
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Illiquidity premium | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.0060 0.0056
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Credit spread rate | Minimum    
Unobservable inputs    
Separate account assets, Input   0.0085
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Credit spread rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.0120 0.0172
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Credit spread rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.0120 0.0168
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Discount rate | Minimum    
Unobservable inputs    
Separate account assets, Input 0.055 0.056
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Discount rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.118 0.115
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Discount rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.067 0.067
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Terminal capitalization rate | Minimum    
Unobservable inputs    
Separate account assets, Input 0.045 0.043
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Terminal capitalization rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.093 0.093
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Terminal capitalization rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.057 0.058
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Average market rent growth rate | Minimum    
Unobservable inputs    
Separate account assets, Input 0.020 0.020
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Average market rent growth rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.047 0.047
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Average market rent growth rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.030 0.029
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Loan to value | Minimum    
Unobservable inputs    
Separate account assets, Input 0.080 0.110
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Loan to value | Maximum    
Unobservable inputs    
Separate account assets, Input 0.804 0.693
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Loan to value | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.459 0.459
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Market interest rate | Minimum    
Unobservable inputs    
Separate account assets, Input 0.032 0.039
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Market interest rate | Maximum    
Unobservable inputs    
Separate account assets, Input 0.058 0.060
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Market interest rate | Weighted average input    
Unobservable inputs    
Separate account assets, Input 0.036 0.043