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Fair Value
 12 Months Ended
Dec. 31, 2022
Fair Value [Abstract]  
Fair Value
4.
 
FAIR VALUE
 
GAAP guidance regarding fair
 
value measurements address
 
how companies should measure fair value
 
when they
are
 
required
 
to
 
use
 
fair
 
value
 
measures
 
for
 
recognition
 
or
 
disclosure
 
purposes
 
under
 
GAAP
 
and
 
provides
 
a
common
 
definition
 
of fair
 
value
 
to
 
be used
 
throughout
 
GAAP.
 
It
 
defines
 
fair
 
value
 
as
 
the
 
price that
 
would
 
be
received
 
to
 
sell an
 
asset
 
or paid
 
to
 
transfer
 
a liability
 
in an
 
orderly
 
fashion
 
between
 
market
 
participants
 
at the
measurement
 
date.
 
In
 
addition,
 
it
 
establishes
 
a
 
three-level
 
valuation
 
hierarchy
 
for
 
the
 
disclosure
 
of fair
 
value
measurements.
 
The valuation
 
hierarchy
 
is based
 
on the
 
transparency
 
of inputs
 
to
 
the valuation
 
of an
 
asset or
liability.
 
The level in the
 
hierarchy within
 
which a given fair
 
value measurement
 
falls is determined
 
based on the
lowest
 
level
 
input
 
that
 
is
 
significant
 
to
 
the
 
measurement,
 
with
 
Level
 
1
 
being
 
the
 
highest
 
priority
 
and
 
Level
 
3
being the lowest priority.
 
The levels in the hierarchy
 
are defined as follows:
Level 1:
 
Inputs
 
to
 
the valuation
 
methodology
 
are
 
observable
 
inputs that
 
reflect unadjusted
 
quoted
 
prices for
identical assets or liabilities in an active market;
Level 2:
 
Inputs
 
to
 
the
 
valuation
 
methodology
 
include
 
quoted
 
prices
 
for
 
similar
 
assets
 
and
 
liabilities
 
in
 
active
markets,
 
and
 
inputs
 
that
 
are
 
observable
 
for
 
the
 
asset
 
or
 
liability,
 
either
 
directly
 
or
 
indirectly,
 
for
substantially the full term of the financial instrument;
Level 3:
 
Inputs to the valuation methodology are
 
unobservable and significant to the fair value
 
measurement.
The
 
Company’s
 
fixed
 
maturity
 
and
 
equity
 
securities
 
are
 
primarily
 
managed
 
by
 
third
 
party
 
investment
 
asset
managers.
 
The
 
investment
 
asset
 
managers
 
managing
 
publicly
 
traded
 
securities
 
obtain
 
prices
 
from
 
nationally
recognized
 
pricing
 
services.
 
These
 
services
 
seek
 
to
 
utilize
 
market
 
data
 
and
 
observations
 
in
 
their
 
evaluation
process.
 
They use pricing
 
applications that
 
vary by asset
 
class and incorporate
 
available market
 
information and
when fixed
 
maturity securities
 
do not trade
 
on a daily
 
basis the services
 
will apply available
 
information through
processes
 
such
 
as
 
benchmark
 
curves,
 
benchmarking
 
of
 
like
 
securities,
 
sector
 
groupings
 
and
 
matrix
 
pricing.
 
In
addition,
 
they
 
use
 
model
 
processes,
 
such
 
as
 
the
 
Option
 
Adjusted
 
Spread
 
model
 
to
 
develop
 
prepayment
 
and
interest rate scenarios
 
for securities that have
 
prepayment features.
 
The investment
 
asset managers
 
do not
 
make any
 
changes to
 
prices received
 
from either
 
the pricing
 
services or
the
 
investment
 
brokers.
 
In
 
addition,
 
the
 
investment
 
asset
 
managers
 
have
 
procedures
 
in
 
place
 
to
 
review
 
the
reasonableness
 
of
 
the
 
prices
 
from
 
the
 
service
 
providers
 
and
 
may
 
request
 
verification
 
of
 
the
 
prices.
 
The
Company
 
also
 
continually
 
performs
 
quantitative
 
and
 
qualitative
 
analysis
 
of prices,
 
including
 
but
 
not
 
limited
 
to
initial
 
and
 
ongoing
 
review
 
of
 
pricing
 
methodologies,
 
review
 
of
 
prices
 
obtained
 
from
 
pricing
 
services
 
and
 
third
party
 
investment
 
asset
 
managers,
 
review
 
of
 
pricing
 
statistics
 
and
 
trends,
 
and
 
comparison
 
of
 
prices
 
for
 
certain
securities
 
with
 
a
 
secondary
 
price
 
source
 
for
 
reasonableness.
 
No
 
material
 
variances
 
were
 
noted
 
during
 
these
price validation
 
procedures.
 
In limited
 
situations,
 
where financial
 
markets
 
are inactive
 
or illiquid,
 
the Company
may use
 
its own
 
assumptions
 
about future
 
cash flows
 
and risk-adjusted
 
discount
 
rates
 
to determine
 
fair value.
 
At December 31, 2022, $
1.7
 
billion of fixed maturities, fair
 
value were fair valued
 
using unobservable inputs.
 
The
majority
 
of
 
these
 
fixed
 
maturities
 
were
 
valued
 
by
 
investment
 
managers’
 
valuation
 
committees
 
and
 
many
 
of
these fair values were substantiated
 
by valuations from independent third
 
parties.
 
The Company has procedures
in
 
place
 
to
 
evaluate
 
these
 
independent
 
third
 
party
 
valuations.
 
At
 
December
 
31,
 
2021,
 
$
2.1
 
billion
 
of
 
fixed
maturities, fair value were fair
 
valued using unobservable inputs.
 
The
 
Company
 
internally
 
manages
 
a
 
public
 
equity
 
portfolio
 
which
 
had
 
a
 
fair
 
value
 
at
 
December
 
31,
 
2022
 
and
December 31, 2021
 
of $
97
 
million and
 
$
1.3
 
billion, respectively.
 
The Company
 
internally manages
 
a portfolio
 
of
collateralized
 
loan obligations
 
included in
 
asset-backed
 
securities which
 
had a
 
fair value
 
of $
2.6
 
billion and
 
$
2.0
billion at December
 
31, 2022 and
 
December 31, 2021, respectively.
 
All prices for
 
these securities were
 
obtained
from publicly published sources or nationally
 
recognized pricing vendors.
 
Equity
 
securities
 
denominated
 
in
 
U.S.
 
currency
 
with
 
quoted
 
prices
 
in
 
active
 
markets
 
for
 
identical
 
assets
 
are
categorized
 
as
 
Level
 
1
 
since
 
the
 
quoted
 
prices
 
are
 
directly
 
observable.
 
Equity
 
securities
 
traded
 
on
 
foreign
exchanges are
 
categorized as
 
Level 2 due to
 
the added input of
 
a foreign exchange
 
conversion
 
rate to determine
fair value.
 
The Company uses foreign currency
 
exchange rates
 
published by nationally recognized sources.
 
Fixed maturity
 
securities listed in
 
the tables have
 
been categorized
 
as Level 2, since
 
a particular security may
 
not
have
 
traded
 
but
 
the
 
pricing
 
services
 
are
 
able
 
to
 
use
 
valuation
 
models
 
with
 
observable
 
market
 
inputs
 
such
 
as
interest rate yield
 
curves and prices for similar fixed
 
maturity securities in terms of issuer,
 
maturity and seniority.
 
For
 
foreign
 
government
 
securities
 
and
 
foreign
 
corporate
 
securities,
 
the
 
fair
 
values
 
provided
 
by
 
the
 
third
 
party
pricing services
 
in local
 
currencies, and
 
where applicable,
 
are converted
 
to U.S.
 
dollars using
 
currency exchange
rates from nationally recognized
 
sources.
 
In
 
addition
 
to
 
the
 
valuations
 
from
 
investment
 
managers,
 
some
 
of
 
the
 
fixed
 
maturities
 
with
 
fair
 
values
categorized
 
as
 
Level
 
3 result
 
when
 
prices
 
are
 
not
 
available
 
from
 
the
 
nationally
 
recognized
 
pricing
 
services
 
and
are
 
derived
 
using
 
unobservable
 
inputs.
 
The
 
Company
 
will
 
value
 
the
 
securities
 
with
 
unobservable
 
inputs
 
using
comparable
 
market
 
information
 
or
 
receive
 
fair
 
values
 
from
 
investment
 
managers.
 
The
 
investment
 
managers
may obtain
 
non-binding price
 
quotes for
 
the securities
 
from brokers.
 
The single
 
broker
 
quotes are
 
provided by
market
 
makers
 
or
 
broker-dealers
 
who
 
are
 
recognized
 
as
 
market
 
participants
 
in
 
the
 
markets
 
in
 
which
 
they
 
are
providing the quotes.
 
The prices received from
 
brokers are
 
reviewed for
 
reasonableness by the
 
third party asset
managers
 
and
 
the
 
Company.
 
If
 
the
 
broker
 
quotes
 
are
 
for
 
foreign
 
denominated
 
securities,
 
the
 
quotes
 
are
converted to U.S. dollars
 
using currency exchange rates
 
from nationally recognized
 
sources.
 
The composition
 
and
 
valuation
 
inputs
 
for
 
the
 
presented
 
fixed
 
maturities
 
categories
 
Level
 
1 and
 
Level
 
2
 
are
 
as
follows:
•
 
U.S.
 
Treasury
 
securities
 
and
 
obligations
 
of
 
U.S.
 
government
 
agencies
 
and
 
corporations
 
are
 
primarily
comprised
 
of U.S.
 
Treasury
 
bonds
 
and the
 
fair
 
value
 
is based
 
on observable
 
market
 
inputs
 
such as
 
quoted
prices, reported trades, quoted
 
prices for similar issuances or benchmark yields;
•
 
Obligations of U.S.
 
states and political
 
subdivisions are comprised
 
of state and municipal
 
bond issuances and
the
 
fair
 
values
 
are
 
based
 
on
 
observable
 
market
 
inputs
 
such
 
as
 
quoted
 
market
 
prices,
 
quoted
 
prices
 
for
similar securities, benchmark yields and credit spreads;
•
 
Corporate securities
 
are primarily
 
comprised of U.S.
 
corporate
 
and public
 
utility bond issuances
 
and the fair
values
 
are
 
based
 
on
 
observable
 
market
 
inputs
 
such
 
as
 
quoted
 
market
 
prices,
 
quoted
 
prices
 
for
 
similar
securities, benchmark yields and credit spreads;
 
•
 
Asset-backed
 
and
 
mortgage-backed
 
securities
 
fair
 
values
 
are
 
based
 
on
 
observable
 
inputs
 
such
 
as
 
quoted
prices, reported
 
trades, quoted
 
prices for
 
similar issuances
 
or benchmark yields
 
and cash flow
 
models using
observable inputs such as prepayment speeds,
 
collateral performance and default
 
spreads;
•
 
Foreign
 
government
 
securities
 
are
 
comprised
 
of
 
global
 
non-U.S.
 
sovereign
 
bond
 
issuances
 
and
 
the
 
fair
values
 
are
 
based
 
on
 
observable
 
market
 
inputs
 
such
 
as
 
quoted
 
market
 
prices,
 
quoted
 
prices
 
for
 
similar
securities and
 
models with observable
 
inputs such
 
as benchmark
 
yields and
 
credit spreads
 
and then,
 
where
applicable, converted to U.S.
 
dollars using an exchange rate
 
from a nationally recognized
 
source;
•
 
Foreign corporate
 
securities are
 
comprised of
 
global non-U.S.
 
corporate
 
bond issuances
 
and the
 
fair values
are
 
based
 
on
 
observable
 
market
 
inputs
 
such
 
as
 
quoted
 
market
 
prices,
 
quoted
 
prices
 
for
 
similar
 
securities
and models with observable inputs
 
such as benchmark yields and credit
 
spreads and then, where applicable,
converted to U.S. dollars
 
using an exchange rate
 
from a nationally recognized
 
source.
The following
 
table presents
 
the fair
 
value measurement
 
levels for
 
all assets
 
and liabilities,
 
which the
 
Company
has recorded at fair value
 
as of the periods indicated:
Fair Value Measurement Using:
Quoted Prices
in Active
Significant
Markets for
Other
Significant
Identical
Observable
Unobservable
Assets
Inputs
Inputs
(Dollars in millions)
December 31, 2022
(Level 1)
(Level 2)
(Level 3)
Assets:
Fixed maturities, available for sale
U.S. Treasury securities and obligations of
U.S. government agencies and corporations
$
1,257
$
-
$
1,257
$
-
Obligations of U.S. States and political subdivisions
413
-
413
-
Corporate securities
6,469
-
5,754
715
Asset-backed securities
4,063
-
3,069
994
Mortgage-backed securities
Commercial
919
-
919
-
Agency residential
3,099
-
3,099
-
Non-agency residential
4
-
4
-
Foreign government securities
1,415
-
1,415
-
Foreign corporate securities
4,596
-
4,579
16
Total fixed maturities, available for sale
22,236
-
20,511
1,725
Equity securities, fair value
281
132
150
-
(Some amounts may not reconcile due to rounding.)
The following
 
table presents
 
the fair
 
value measurement
 
levels for
 
all assets
 
and liabilities,
 
which the
 
Company
has recorded at fair value
 
as of the periods indicated:
Fair Value Measurement Using:
Quoted Prices
in Active
Significant
Markets for
Other
Significant
Identical
Observable
Unobservable
Assets
Inputs
Inputs
(Dollars in millions)
December 31, 2021
(Level 1)
(Level 2)
(Level 3)
Assets:
Fixed maturities, available for sale
U.S. Treasury securities and obligations of
U.S. government agencies and corporations
$
1,421
$
-
$
1,421
$
-
Obligations of U.S. States and political subdivisions
587
-
587
-
Corporate securities
7,557
-
6,756
801
Asset-backed securities
3,582
-
2,330
1,251
Mortgage-backed securities
Commercial
1,064
-
1,064
-
Agency residential
2,375
-
2,375
-
Non-agency residential
7
-
7
-
Foreign government securities
1,438
-
1,438
-
Foreign corporate securities
4,279
-
4,262
16
Total fixed maturities, available for sale
22,308
-
20,240
2,068
Equity securities, fair value
1,826
1,742
84
-
(Some amounts may not reconcile due to rounding.)
In
 
addition,
 
$
292
 
million
 
and
 
$
287
 
million
 
of
 
investments
 
within
 
other
 
invested
 
assets
 
on
 
the
 
consolidated
balance sheets
 
as of December
 
31, 2022 and
 
2021, respectively,
 
are not
 
included within
 
the fair value
 
hierarchy
tables as the assets are measured at
 
net asset value (“NAV”) as a pract
 
ical expedient to determine fair value.
 
The following
 
table presents
 
the activity
 
under Level
 
3, fair
 
value measurements
 
using significant
 
unobservable
inputs by asset type, for the periods indicated:
Total Fixed Maturities,
 
Available for Sale
December 31, 2022
December 31, 2021
Corporate
Asset-Backed
Foreign
Corporate
Asset-Backed
Foreign
(Dollars in millions)
Securities
Securities
CMBS
Corporate
Total
Securities
Securities
Corporate
Total
Beginning balance fixed maturities
 
$
801
$
1,251
$
-
$
16
$
2,068
$
701
$
623
$
6
$
1,330
Total gains or (losses) (realized/unrealized)
Included in earnings
(10)
-
-
-
(10)
(12)
(6)
-
(18)
Included in other comprehensive income (loss)
3
(35)
-
(4)
(36)
4
(7)
-
(2)
Purchases, issuances and settlements
(45)
513
6
8
481
107
641
10
758
Transfers in and/or (out) of Level
 
3
(35)
(735)
(6)
(4)
(779)
-
-
-
-
Ending balance
$
715
$
994
$
-
$
16
$
1,725
$
801
$
1,251
$
16
$
2,068
The amount of total gains or losses for the period
included in earnings (or changes in net assets)
attributable to the change in unrealized gains
 
or losses relating to assets still held
 
at the reporting date
$
(23)
$
8
$
-
$
-
$
(15)
$
(16)
$
(8)
$
-
$
(24)
(Some amounts may not reconcile due to rounding.)
The $
779
 
million
 
shown
 
as transfers
 
in/(out)
 
of Level
 
3 and
 
reclassification
 
of securities
 
in/(out)
 
of investment
categories for
 
the year ended
 
December 31, 2022
 
related mainly
 
to previously
 
designated Level
 
3 securities that
the Company
 
has reclassified
 
from “fixed
 
maturities – available
 
for sale”
 
to “fixed
 
maturities –
 
held to maturity”
during
 
2022.
 
As
 
“fixed
 
maturities
 
–
 
held
 
to
 
maturity"
 
are
 
carried
 
at
 
amortized
 
cost,
 
net
 
of
 
credit
 
allowances
rather
 
than at
 
fair value
 
as “fixed
 
maturities –
 
available
 
for sale”,
 
these securities
 
are no
 
longer included
 
within
the fair
 
value hierarchy
 
table
 
or in
 
the roll
 
forward
 
of Level
 
3 securities.
 
The fair
 
values
 
of these
 
securities are
determined in a
 
similar manner as
 
the Company’s
 
fixed maturity
 
securities available
 
for sale as
 
described above.
 
The
 
fair
 
values
 
of
 
these
 
securities
 
incorporate
 
the
 
use
 
of
 
significant
 
unobservable
 
inputs
 
and
 
therefore
 
are
classified as Level 3 within the fair value hierarchy
 
as of December 31, 2022.
There were
no
 
transfers of assets
 
in/(out) Level 3 during 2021.
 
Financial Instruments Disclosed, But Not Reported,
 
at Fair Value
Certain financial instruments
 
disclosed, but not
 
reported, at fair
 
value are excluded
 
from the fair
 
value hierarchy
tables above. Fair
 
values of fixed maturity
 
securities held to maturity and senior notes
 
can be found within Notes
2 and 6, respectively.
 
Short-term investments
 
are stated at cost,
 
which approximates fair value.
 
See Note 1.