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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2019

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



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
Asset backed securities ("ABS")	$	1,476		$	—	$	1,461		$	15
Collateralized loan obligations ("CLOs")	2,183			—		2,088			95
Commercial mortgage-backed securities ("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			—
Residential mortgage-backed securities ("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	)



Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2018
	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	$	1,276		$	—	$	1,266		$	10
CLO	1,437			—		1,337			100
CMBS	3,552			—		3,540			12
Corporate	13,398			—		12,878			520
Foreign government/government agencies	847			—		844			3
Municipal	10,346			—		10,346			—
RMBS	3,279			—		2,359			920
U.S. Treasuries	1,517			330		1,187			—
Total fixed maturities	35,652			330		33,757			1,565
Fixed maturities, FVO	22			—		22			—
Equity securities, at fair value	1,214			1,093		44			77
Derivative assets
Credit derivatives	5			—		5			—
Equity derivatives	3			—		—			3
Foreign exchange derivatives	(2		)	—		(2		)	—
Interest rate derivatives	1			—		1			—
Total derivative assets [1]	7			—		4			3
Short-term investments	4,283			1,039		3,244			—
Total assets accounted for at fair value on a recurring basis	$	41,178		$	2,462	$	37,071		$	1,645
Liabilities accounted for at fair value on a recurring basis
Derivative liabilities
Credit derivatives	$	(2	)	$	—	$	(2	)	$	—
Equity derivatives	1			—		1			—
Foreign exchange derivatives	(5		)	—		(5		)	—
Interest rate derivatives	(62		)	—		(63		)	1
Total derivative liabilities [2]	(68		)	—		(69		)	1
Contingent consideration [3]	(35		)	—		—			(35		)
Total liabilities accounted for at fair value on a recurring basis	$	(103	)	$	—	$	(69	)	$	(34	)


[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. See footnote 2 to this table for derivative liabilities.


[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 - 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
As of December 31, 2018
Interest rate swaptions [3]	$	1		Option model	Interest rate volatility	3	%	3	%	3	%	Increase
Equity options	$	3		Option model	Equity volatility	19	%	21	%	20	%	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.

[3]

The swaptions presented are purchased options that have the right to enter into a pay-fixed swap.

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 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
As of December 31, 2018
CMBS [3]	$	2	Discounted cash flows	Spread (encompasses prepayment, default risk and loss severity)	9 bps	1,040 bps	182 bps	Decrease
Corporate [4]	$	274	Discounted cash flows	Spread	145 bps	1,175 bps	263 bps	Decrease
RMBS [3]	$	815	Discounted cash flows	Spread [6]	12 bps	215 bps	86 bps	Decrease
				Constant prepayment rate [6]	1%	15%	6%	Decrease [5]
				Constant default rate [6]	1%	8%	3%	Decrease
				Loss severity [6]	—%	100%	61%	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.

Fair Value, Assets (Liabilities) Measured on Recurring Basis, Unobservable Input Reconciliation

Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Year Ended December 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 December 31, 2019
Assets
Fixed Maturities, AFS
	ABS	$	10		$	—		$	—		$	20	$	(1	)	$	—		$	—	$	(14	)	$	15
	CLOs	100			—			—			329		(127		)	(6		)	—		(201		)	95
	CMBS	12			—			1			34		(4		)	—			—		(34		)	9
	Corporate	520			(4		)	16			354		(59		)	(88		)	61		(68		)	732
	Foreign Govt./Govt. Agencies	3			—			—			—		—			—			—		—			3
	RMBS	920			1			(8		)	134		(214		)	(35		)	—		(238		)	560
Total Fixed Maturities, AFS		1,565			(3		)	9			871		(405		)	(129		)	61		(555		)	1,414
Equity Securities, at fair value		77			—			—			9		—			(13		)	—		—			73
Derivatives, net [4]
	Interest rate	1			(1		)	—			—		—			—			—		—			—
Total Derivatives, net [4]		1			(1		)	—			—		—			—			—		—			—
Short-term investments		—			—			—			15		—			—			—		—			15
Total Assets		1,643			(4		)	9			895		(405		)	(142		)	61		(555		)	1,502
Liabilities
Derivatives, net [4]
	Equity	3			(18		)	—			—		—			—			—		—			(15		)
Total Derivatives, net [4]		3			(18		)	—			—		—			—			—		—			(15		)
Contingent Consideration		(35		)	(7		)	—			—		20			—			—		—			(22		)
Total Liabilities		$	(32	)	$	(25	)	$	—		$	—	$	20		$	—		$	—	$	—		$	(37	)

Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Year Ended December 31, 2018



					Total realized/unrealized gains (losses)
		Fair value as of January 1, 2018			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 December 31, 2018
Assets
Fixed Maturities, AFS
	ABS	$	19		$	—		$	—		$	90	$	(5	)	$	(4	)	$	12	$	(102	)	$	10
	CLOs	95			—			—			330		—			(13		)	—		(312		)	100
	CMBS	69			(1		)	—			25		(14		)	(8		)	—		(59		)	12
	Corporate	520			1			(18		)	197		(36		)	(52		)	31		(123		)	520
	Foreign Govt./Govt. Agencies	2			—			—			1		—			—			—		—			3
	Municipal	17			—			(1		)	—		—			(1		)	—		(15		)	—
	RMBS	1,230			—			(16		)	273		(319		)	(52		)	4		(200		)	920
Total Fixed Maturities, AFS		1,952			—			(35		)	916		(374		)	(130		)	47		(811		)	1,565
Equity Securities, at fair value		76			29			—			12		—			(40		)	—		—			77
Derivatives, net [4]
	Equity	1			3			—			1		—			(2		)	—		—			3
	Interest rate	1			—			—			—		—			—			—		—			1
Total Derivatives, net [4]		2			3			—			1		—			(2		)	—		—			4
Total Assets		2,030			32			(35		)	929		(374		)	(172		)	47		(811		)	1,646
Liabilities
Contingent Considerations		(29		)	(6		)	—			—		—			—			—		—			(35		)
Total Liabilities		$	(29	)	$	(6	)	$	—		$	—	$	—		$	—		$	—	$	—		$	(35	)


[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 Consolidated Balance Sheets in other investments and other liabilities.

Changes in Unrealized Gains (Losses) for Financial Instruments Classified as Level 3 Still Held at Year End



		December 31,
		2019						2018
		Changes in Unrealized Gain/(Loss) included in Net Income [1] [2]			Changes in Unrealized Gain/(Loss) included in OCI [3]			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
	CMBS	—			1			(1		)	28
	Corporate	(2		)	15			—			(42		)
	Foreign Govt./Govt. Agencies	—			1			—			—
	Municipal	—			—			—			24
	RMBS	—			(7		)	—			17
Total Fixed Maturities, AFS		(2		)	10			(1		)	28
Equity Securities, at fair value		1			—			—			—
Derivatives, net
	Equity	(18		)	—			1
	Interest rate	(1		)	—			—			—
Total Derivatives, net		(19		)	—			1			—
Total Assets		(20		)	10			—			28
Liabilities
Contingent Consideration		(7		)				(6		)
Total Liabilities		$	(7	)	$	—		$	(6	)	$	—


[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 Consolidated Statements of Comprehensive Income. Changes in interest rate derivatives are reported in changes in net gain on cash flow hedging instruments in the 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



	December 31, 2019					December 31, 2018
	Fair Value Hierarchy Level	Carrying Amount		Fair Value		Fair Value Hierarchy Level	Carrying Amount		Fair Value
Assets
Mortgage loans	Level 3	$	4,215	$	4,350	Level 3	$	3,704	$	3,746
Liabilities
Other policyholder funds and benefits payable	Level 3	$	763	$	765	Level 3	$	774	$	775
Senior notes [1]	Level 2	$	3,759	$	4,456	Level 2	$	3,589	$	3,887
Junior subordinated debentures [1]	Level 2	$	1,089	$	1,153	Level 2	$	1,089	$	1,052

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