
(a)		Net unrealized gains (losses) related to changes in fair value on securities still held were $41, $(121) and $39 for the years ended December 31, 2019, 2018 and 2017.

As of December 31, 2019, the Company held less than $1 million of

non-income

producing fixed maturity securities.

s of December 31, 2018, the Company held

non-income

producing fixed maturity securities. As of December 31, 2019 and 2018,

investments in a single issuer exceeded 10% of shareholders’ equity, other than investments in securities issued by the U.S.

Treasury

and obligations of government-sponsored enterprises.

Investment gains (losses) are as follows:


Year Ended December 31	2019			2018			2017
(In millions)
Fixed maturity securities	$	(6	)	$	4		$	122
Equity securities		66			(74	)
Derivative instruments		(11	)		9			(4	)
Short term investments and other					4			4

Investment gains (losses) (a)	$	49		$	(57	)	$	122

(a)

Gross

investment

gains on

available-for-sale

securities were $125, $168 and $187 for the years ended December 31, 2019, 2018 and 2017. Gross

investment

losses on

available-for-sale

securities were

131, $164 and $65 for the years ended December 31, 2019, 2018 and 2017. Net

investment g

ains

of $66 were recognized due to the change in fair value of non-redeemable preferred stock still held for the year ended December 31, 2019.

Net investment losses

of $73

were recognized due to the change in fair value of non-redeemable preferred stock still held for the year ended December 31, 2018.

Net change in unrealized gains (losses) on investments is as follows:


Year Ended December 31	2019		2018			2017
(In millions)
Fixed maturity securities	$	2,620	$	(1,811	)	$	728
Equity securities (a)							32
Other							(2	)

Total net change in unrealized gains (losses) on investments	$	2,620	$	(1,811	)	$	758

(a)	Due to the adoption of ASU 2016-01 on January 1, 2018, the change in fair value of equity securities is now recognized through the income statement. See Note 1 for further discussion on the standard.

The components of OTTI losses recognized in earnings by asset type are as follows:


Year Ended December 31	2019		2018		2017
(In millions)
Fixed maturity securities available-for-sale:
Corporate and other bonds	$	33	$	12	$	12
Asset-backed		11		9		1

Total fixed maturity securities available-for-sale		44		21		13
Equity securities available-for-sale						1

Net OTTI losses recognized in earnings	$	44	$	21	$	14

The amortized cost and fair values of fixed maturity and equity securities are as follows:


December 31, 2019	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Loss es		Estimated Fair Value		Unrealized OTTI Losses (Gains)
(In millions)
Fixed maturity securities:
Corporate and other bonds	$	19,789	$	2,292	$	32	$	22,049
States, municipalities and political subdivisions		9,093		1,559				10,652
Asset-backed:
Residential mortgage-backed		4,387		133		1		4,519		$ (17	)
Commercial mortgage-backed		2,265		86		5		2,346		1
Other asset-backed		1,925		41		4		1,962		(3	)

Total asset-backed		8,577		260		10		8,827		(19)
U.S. Treasury and obligations of government- sponsored enterprises		146		1		2		145
Foreign government		491		14		1		504
Redeemable preferred stock		10						10

Fixed maturities available-for-sale		38,106		4,126		45		42,187		(19)
Fixed maturities trading		51		2				53

Total fixed maturities	$	38,157	$	4,128	$	45	$	42,240		$ (19 )


December 31, 2018	Cost or Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Unrealized OTTI Losses (Gains)
(In millions)
Fixed maturity securities:
Corporate and other bonds	$	18,764	$	791	$	395	$	19,160
States, municipalities and political subdivisions		9,681		1,076		9		10,748
Asset-backed:
Residential mortgage-backed		4,815		68		57		4,826		$ (20	)
Commercial mortgage-backed		2,200		28		32		2,196
Other asset-backed		1,975		11		24		1,962

Total asset-backed		8,990		107		113		8,984		(20	)
U.S. Treasury and obligations of government-sponsored enterprises		156		3				159
Foreign government		480		5		4		481
Redeemable preferred stock		10						10

Fixed maturities available-for-sale		38,081		1,982		521		39,542		(20	)
Fixed maturities trading		153		4				157

Total fixed maturities	$	38,234	$	1,986	$	521	$	39,699	$	(20	)

The

available-for-sale

securities in a gross unrealized loss position are as follows:


	Less than 12 Months					12 Months or Longer				Total
December 31, 2019			Estimated Fair V alue		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses		Estimated Fair Value		Gross Unrealized Losses
(In millions )

Fixed maturity securities:
Corporate and other bonds		$	914	$	21	$	186	$	11	$	1,100	$	32
States, municipalities and political subdivisions			34								34
Asset-backed:
Residential mortgage-backed			249		1		30				279		1
Commercial mortgage-backed			381		3		20		2		401		5
Other asset-backed			449		3		33		1		482		4

Total asset-backed			1,079		7		83		3		1,162		10
U.S. Treasury and obligations of government-sponsored enterprises			62		2		2				64		2
Foreign government			59		1		1				60		1

Total fixed maturity securities		$	2,148	$	31	$	272	$	14	$	2,420	$	45


December 31, 2018
Fixed maturity securities:
Corporate and other bonds		$	8,543	$	340	$	825	$	55	$	9,368	$	395
States, municipalities and political subdivisions			517		8		5		1		522		9
Asset-backed:
Residential mortgage-backed			1,932		23		1,119		34		3,051		57
Commercial mortgage-backed			728		10		397		22		1,125		32
Other asset-backed			834		21		125		3		959		24

Total asset-backed			3,494		54		1,641		59		5,135		113
U.S. Treasury and obligations of government-sponsored enterprises			21				19				40
Foreign government			114		2		124		2		238		4

Total fixed maturity securities		$	12,689	$	404	$	2,614	$	117	$	15,303	$	521

Based on current facts and circumstances, the Company believes the unrealized losses presented in the December 31, 2019 securities in a gross unrealized loss position table above are not indicative of the ultimate collectibility of the current amortized cost of the securities, but rather are attributable to changes in interest rates, credit spreads and other

factors. The Company has no current intent to sell securities with unrealized losses, nor is it more likely than not that it will be required to sell prior to recovery of amortized cost; accordingly, the Company has determined that there are no additional OTTI losses to be recorded at December 31, 2019.

The following table presents the activity related to the pretax credit loss component reflected in Retained earnings on fixed maturity securities still held at December 31, 2019, 2018 and 2017 for which a portion of an OTTI loss was recognized in Other comprehensive income.


Year Ended December 31	2019			2018			2017
(In millions)
Beginning balance of credit losses on fixed maturity securities	$	18		$	27		$	36
Reductions for securities sold during the period		(8	)		(9	)		(9	)

Ending balance of credit losses on fixed maturity securities	$	10		$	18		$	27

Contractual Maturity

The following table presents

available-for-sale

fixed maturity securities by contractual maturity.


December 31	2019				2018
	Cost or Amortized Cost		Estimated Fair Value		Cost or Amortized Cost		Estimated Fair Value
(In millions)
Due in one year or less	$	1,334	$	1,356	$	1,350	$	1,359
Due after one year through five years		9,746		10,186		7,979		8,139
Due after five years through ten years		14,892		15,931		16,859		16,870
Due after ten years		12,134		14,714		11,893		13,174

Total	$	38,106	$	42,187	$	38,081	$	39,542

Actual maturities may differ from contractual maturities because certain securities may be called or prepaid. Securities not due at a single date are allocated based on weighted average life.

Limited Partnerships

The carrying value of limited partnerships as of December 31, 2019 and 2018 was approximately $2.0 billion and $2.4 billion, which includes net undistributed earnings of $297 million and $208 million. Limited partnerships comprising 64.4% of the total carrying value are reported on a current basis through December 31, 2019 with no reporting lag, 9.1% of the total carrying value are reported on a one month lag and the remainder are reported on more than a one month lag. The number of limited partnerships held and the strategies employed provide diversification to the limited partnership portfolio and the overall invested asset portfolio.

Limited partnerships comprising 65.7% and 71.3% of the carrying value as of December 31, 2019 and 2018 employ hedge fund strategies. Limited partnerships comprising 29.1% and 24.3% of the carrying value at December 31, 2019 and 2018 were invested in private debt and equity

and

he remainder w

ere

primarily invested in real estate strategies. Hedge fund strategies include both long and short positions in fixed income, equity and derivative instruments. These hedge fund strategies may seek to generate gains from mispriced or undervalued securities, price differentials between securities, distressed investments, sector rotation or various arbitrage disciplines. Within hedge fund strategies, approximately 44.0% were equity related, 32.3% pursued a multi-strategy approach, 18.8% were focused on distressed investments and 4.9% were fixed income related as of December 31, 2019.

The ten largest limited partnership positions held totaled $1.1 billion as of December 31, 2019 and 2018. Based on the most recent information available regarding the Company’s percentage ownership of the individual limited partnerships, the carrying value reflected on the Consolidated Balance Sheets represents approximately 2.3% and 2.6% of the aggregate partnership equity at December 31, 2019 and 2018, and the related income reflected on the Consolidated Statements of Income represents approximately 2.5%, 3.3% and 3.0% of the changes in aggregate partnership equity for the years ended December 31, 2019, 2018 and 2017.

There are risks inherent in limited partnership investments which may result in losses due to short-selling, derivatives or other speculative investment practices. The use of leverage increases volatility generated by the underlying investment strategies.

The Company’s hedge fund limited partnership investments contain withdrawal provisions that generally limit liquidity for a period of thirty days up to one year or longer. Private equity and other

non-hedge

funds generally do not permit voluntary withdrawals. Typically, hedge fund withdrawals require advance written notice of up to 90 days.

Derivative Financial Instruments

The Company may use derivatives in the normal course of business, primarily in an attempt to reduce exposure to market risk (principally interest rate risk, credit risk, equity price risk, commodity price risk and foreign currency risk) stemming from various assets and liabilities. The principal objective under such strategies is to achieve the desired reduction in economic risk, even if the position does not receive hedge accounting treatment.

The Company may enter into interest rate swaps, futures and forward commitments to purchase securities to manage interest rate risk. Credit derivatives such as credit default swaps may be entered into to modify the credit risk inherent in certain investments. Forward contracts, futures, swaps and options may be used to manage foreign currency and commodity price risk.

In addition to the derivatives used for risk management purposes described above, the Company may also use derivatives for purposes of income enhancement. Income enhancement transactions include but are not limited to interest rate swaps, call options, put options, credit default swaps, index futures and foreign currency forwards. See Note 4 for information regarding the fair value of derivative instruments.

The following tables present the aggregate contractual or notional amount and estimated fair value related to derivative financial instruments.


December 31	2019							2018
	Contractual/							Contractual/
	Notional		Estimated Fair Value					Notional		Estimated Fair Value
	Amount		Asset		(Liability)			Amount		Asset		(Liability)
(In millions)
With hedge designation:
Interest rate swaps	$	715			$	(8	)	$	500	$	11
Without hedge designation:
Equity markets:
Options – purchased		57	$	1					213		18
– written		100				(1)			239			$	(17	)
Commodity futures – long									32
Embedded derivative on funds withheld liability		182				(7)			172		4

Investment Commitments

As part of its overall investment strategy, the Company invests in various assets which require future purchase, sale or funding of commitments. These investments are recorded once funded, and the related commitments include future capital calls from various third-party limited partnerships, signed and accepted mortgage loan applications and obligations related to privately placed debt securities. As of December 31, 2019, the Company had commitments to purchase or fund approximately $945 million and sell approximately $85 million under the terms of these investments.

Investments on Deposit

Securities with carrying values of approximately $2.7 billion and $2.5 billion were deposited by CNA’s insurance subsidiaries under requirements of regulatory authorities and others as of December 31, 2019 and 2018.

Cash and securities with carrying values of approximately $1.1 billion and $1.0 billion were deposited with financial institutions in trust accounts or as collateral for letters of credit to secure obligations with various third parties as of December 31, 2019 and 2018.