Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of March 31, 2020
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
Fixed maturities, AFS
Asset-backed-securities ("ABS")	$	1,348		$	—	$	1,329		$	19
Collateralized loan obligations ("CLOs")	1,989			—		1,906			83
Commercial mortgage-backed securities ("CMBS")	4,302			—		4,284			18
Corporate	16,798			—		16,089			709
Foreign government/government agencies	1,063			—		1,060			3
Municipal	9,497			—		9,497			—
Residential mortgage-backed securities ("RMBS")	4,086			—		3,599			487
U.S. Treasuries	1,122			95		1,027			—
Total fixed maturities	40,205			95		38,791			1,319
Fixed maturities, FVO	8			—		8			—
Equity securities, at fair value	1,155			822		264			69
Derivative assets
Credit derivatives	2			—		2			—
Foreign exchange derivatives	8			—		8			—
Total derivative assets [1]	10			—		10			—
Short-term investments	2,505			1,649		842			14
Total assets accounted for at fair value on a recurring basis	$	43,883		$	2,566	$	39,915		$	1,402
Liabilities accounted for at fair value on a recurring basis
Derivative liabilities
Credit derivatives	$	3		$	—	$	3		$	—
Foreign exchange derivatives	19			—		19			—
Interest rate derivatives	(88		)	—		(88		)	—
Total derivative liabilities [2]	(66		)	—		(66		)	—
Contingent consideration [3]	—			—		—			—
Total liabilities accounted for at fair value on a recurring basis	$	(66	)	$	—	$	(66	)	$	—

Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2019
	Total			Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Assets accounted for at fair value on a recurring basis
Fixed maturities, AFS
ABS	$	1,476		$	—	$	1,461		$	15
CLO	2,183			—		2,088			95
CMBS	4,338			—		4,329			9
Corporate	17,396			—		16,664			732
Foreign government/government agencies	1,123			—		1,120			3
Municipal	9,498			—		9,498			—
RMBS	4,869			—		4,309			560
U.S. Treasuries	1,265			330		935			—
Total fixed maturities	42,148			330		40,404			1,414
Fixed maturities, FVO	11			—		11			—
Equity securities, at fair value	1,657			1,401		183			73
Derivative assets
Credit derivatives	11			—		11			—
Interest rate derivatives	1			—		1			—
Total derivative assets [1]	12			—		12			—
Short-term investments	2,921			1,028		1,878			15
Total assets accounted for at fair value on a recurring basis	$	46,749		$	2,759	$	42,488		$	1,502
Liabilities accounted for at fair value on a recurring basis
Derivative liabilities
Credit derivatives	$	(1	)	$	—	$	(1	)	$	—
Equity derivatives	(15		)	—		—			(15		)
Foreign exchange derivatives	(2		)	—		(2		)	—
Interest rate derivatives	(60		)	—		(60		)	—
Total derivative liabilities [2]	(78		)	—		(63		)	(15		)
Contingent consideration [3]	(22		)	—		—			(22		)
Total liabilities accounted for at fair value on a recurring basis	$	(100	)	$	—	$	(63	)	$	(37	)

[1] Includes derivative instruments in a net positive fair value position after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements and applicable law.

[2] Includes derivative instruments in a net negative fair value position (derivative liability) after consideration of the accrued interest and impact of collateral posting requirements which may be imposed by agreements and applicable law.

[3] For additional information see the Contingent Consideration section below.

Fair Value Inputs, Assets, Quantitative Information

Significant Unobservable Inputs for Level 3 - Securities
Assets accounted for at fair value on a recurring basis	Fair Value		Predominant Valuation Technique	Significant Unobservable Input	Minimum	Maximum	Weighted Average [1]	Impact of Increase in Input on Fair Value [2]
As of March 31, 2020
CLOs [3]	$	83	Discounted cash flows	Spread	684 bps	684 bps	684 bps	Decrease
Corporate [4]	$	594	Discounted cash flows	Spread	112 bps	1,219 bps	371 bps	Decrease
RMBS [3]	$	487	Discounted cash flows	Spread [6]	194 bps	975 bps	324 bps	Decrease
				Constant prepayment rate [6]	—%	11%	6%	Decrease [5]
				Constant default rate [6]	1%	7%	3%	Decrease
				Loss severity [6]	—%	100%	74%	Decrease
As of December 31, 2019
CLOs [3]	$	95	Discounted cash flows	Spread	246 bps	246 bps	246 bps	Decrease
CMBS [3]	$	1	Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	9 bps	1,832 bps	161 bps	Decrease
Corporate [4]	$	633	Discounted cash flows	Spread	93 bps	788 bps	236 bps	Decrease
RMBS [3]	$	560	Discounted cash flows	Spread [6]	5 bps	233 bps	79 bps	Decrease
				Constant prepayment rate [6]	—%	11%	6%	Decrease [5]
				Constant default rate [6]	1%	6%	3%	Decrease
				Loss severity [6]	—%	100%	70%	Decrease

[1] The weighted average is determined based on the fair value of the securities.

[2] Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table.

[3] Excludes securities for which the Company bases fair value on broker quotations.

[4] Excludes securities for which the Company bases fair value on broker quotations; however, included are broker priced lower-rated private placement securities for which the Company receives spread and yield information to corroborate the fair value.

[5] Decrease for above market rate coupons and increase for below market rate coupons.

[6]

Generally, a change in the assumption used for the constant default rate would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for constant prepayment rate and would have resulted in wider spreads.

Significant Unobservable Inputs for Level 3 - Derivatives
	Fair Value			Predominant Valuation  Technique	Significant Unobservable Input	Minimum		Maximum		Weighted Average [1]		Impact of  Increase in Input  on Fair Value [2]
As of December 31, 2019
Equity options	$	(15	)	Option model	Equity volatility	13	%	28	%	17	%	Increase

[1] The weighted average is determined based on the fair value of the derivatives.

[2] Conversely, the impact of a decrease in input would have the opposite impact to the fair value as that presented in the table. Changes are based on long positions, unless otherwise noted. Changes in fair value will be inversely impacted for short positions.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 2020
					Total realized/unrealized gains (losses)
		Fair value as of January 1, 2020			Included in net income [1]			Included in OCI [2]			Purchases		Settlements			Sales			Transfers into Level 3 [3]		Transfers out of Level 3 [3]			Fair value as of March 31, 2020
Assets
Fixed Maturities, AFS
	ABS	$	15		$	—		$	(1	)	$	20	$	—		$	—		$	—	$	(15	)	$	19
	CLOs	95			—			(6		)	—		(6		)	—			—		—			83
	CMBS	9			—			—			10		(1		)	—			—		—			18
	Corporate	732			(10		)	(80		)	94		(36		)	(8		)	47		(30		)	709
	Foreign Govt./Govt. Agencies	3			—			—			—		—			—			—		—			3
	RMBS	560			—			(25		)	5		(46		)	(7		)	—		—			487
Total Fixed Maturities, AFS		1,414			(10		)	(112		)	129		(89		)	(15		)	47		(45		)	1,319
Equity Securities, at fair value		73			(7		)	—			3		—			—			—		—			69
Short-term investments		15			—			—			—		(1		)	—			—		—			14
Total Assets		$	1,502		$	(17	)	$	(112	)	$	132	$	(90	)	$	(15	)	$	47	$	(45	)	$	1,402
Liabilities
Contingent Consideration		$	(22	)	$	12		$	—		$	—	$	10		$	—		$	—	$	—		$	—
Derivatives, net [4]
	Equity	(15		)	36			—			—		—			(21		)	—		—			—
Total Derivatives, net [4]		(15		)	36			—			—		—			(21		)	—		—			—
Total Liabilities		$	(37	)	$	48		$	—		$	—	$	10		$	(21	)	$	—	$	—		$	—

Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 2019
					Total realized/unrealized gains (losses)
		Fair value as of January 1, 2019			Included in net income [1]			Included in OCI [2]			Purchases		Settlements			Sales			Transfers into Level 3 [3]		Transfers out of Level 3 [3]			Fair value as of March 31, 2019
Assets
Fixed Maturities, AFS
	ABS	$	10		$	—		$	—		$	—	$	(1	)	$	—		$	—	$	—		$	9
	CLOs	100			—			—			35		—			(6		)	—		(15		)	114
	CMBS	12			—			1			—		(1		)	—			—		—			12
	Corporate	520			(1		)	7			37		(2		)	(25		)	12		(23		)	525
	Foreign Govt./Govt. Agencies	3			—			—			—		—			—			—		—			3
	RMBS	920			1			(2		)	44		(54		)	(35		)	—		(103		)	771
Total Fixed Maturities, AFS		1,565			—			6			116		(58		)	(66		)	12		(141		)	1,434
Equity Securities, at fair value		77			(1		)	—			5		—			(8		)	—		—			73
Derivatives, net [4]
	Equity	3			(2		)	—			—		—			—			—		—			1
	Interest rate	1			(1		)	—			—		—			—			—		—			—
Total Derivatives, net [4]		4			(3		)	—			—		—			—			—		—			1
Total Assets		$	1,646		$	(4	)	$	6		$	121	$	(58	)	$	(74	)	$	12	$	(141	)	$	1,508
Liabilities
Contingent Consideration		(35		)	(4		)	—			—		10			—			—		—			(29		)
Total Liabilities		$	(35	)	$	(4	)	$	—		$	—	$	10		$	—		$	—	$	—		$	(29	)

[1] Amounts in these columns are generally reported in net realized capital gains (losses). All amounts are before income taxes.

[2] All amounts are before income taxes.

[3] Transfers in and/or (out) of Level 3 are primarily attributable to the availability of market observable information and the re-evaluation of the observability of pricing inputs.

[4] Derivative instruments are reported in this table on a net basis for asset (liability) positions and reported in the Condensed Consolidated Balance Sheets in other investments and other liabilities.

Changes in Unrealized Gains (Losses) for Financial Instruments Classified as Level 3 Still Held at End of Period
		Three months ended March 31,
		2020			2019			2020			2019
		Changes in Unrealized Gain/(Loss) included in Net Income [1] [2]						Changes in Unrealized Gain/(Loss) included in OCI [3]
Assets
Fixed Maturities, AFS
	ABS	$	—		$	—		$	(1	)	$	—
	CLOs	—			—			(6		)	—
	CMBS	—			—			—			1
	Corporate	—			(1		)	(79		)	7
	RMBS	—			—			(24		)	(1		)
Total Fixed Maturities, AFS		—			(1		)	(110		)	7
Equity Securities, at fair value		(6		)	—			—			—
Derivatives, net
	Equity	—			(2		)	—			—
	Interest rate	—			(1		)	—			—
Total Derivatives, net		—			(3		)	—			—
Total Assets		$	(6	)	$	(4	)	$	(110	)	$	7
Liabilities
Contingent Consideration		$	12		$	(4	)	$	—		$	—
Derivatives, net
	Equity	—			—			—			—
Total Derivatives, net		—			—			—			—
Total Liabilities		$	12		$	(4	)	$	—		$	—

[1] All amounts in these rows are reported in net realized capital gains (losses). All amounts are before income taxes.

[2] Amounts presented are for Level 3 only and therefore may not agree to other disclosures included herein.

[3] Changes in unrealized gain (loss) on fixed maturities, AFS are reported in changes in net unrealized gain on securities in the Condensed Consolidated Statements of Comprehensive Income. Changes in interest rate derivatives are reported in changes in net gain on cash flow hedging instruments in the Condensed Consolidated Statements of Comprehensive Income.

Schedule of Carrying Values and Estimated Fair Values of Debt Instruments

Financial Assets and Liabilities Not Carried at Fair Value
	March 31, 2020					December 31, 2019
	Fair Value Hierarchy Level	Carrying Amount		Fair Value		Fair Value Hierarchy Level	Carrying Amount		Fair Value
Assets
Mortgage loans (net of ACL of $21 and $0)	Level 3	$	4,353	$	4,341	Level 3	$	4,215	$	4,350
Liabilities
Other policyholder funds and benefits payable	Level 3	$	766	$	768	Level 3	$	763	$	765
Senior notes [1]	Level 2	$	3,260	$	3,706	Level 2	$	3,759	$	4,456
Junior subordinated debentures [1]	Level 2	$	1,089	$	962	Level 2	$	1,089	$	1,153

[1]

Included in long-term debt in the Condensed Consolidated Balance Sheets, except for current maturities, which are included in short-term debt.