Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 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 June 30, 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") | $ | 1,416 |
| $ | — |
| $ | 1,393 |
| $ | 23 |
| Collateralized loan obligations ("CLOs") | 2,187 |
| — |
| 2,088 |
| 99 |
| Commercial mortgage-backed securities ("CMBS") | 4,211 |
| — |
| 4,191 |
| 20 |
| Corporate | 18,563 |
| — |
| 17,454 |
| 1,109 |
| Foreign government/government agencies | 972 |
| — |
| 972 |
| — |
| Municipal | 9,394 |
| — |
| 9,394 |
| — |
| Residential mortgage-backed securities ("RMBS") | 3,895 |
| — |
| 3,416 |
| 479 |
| U.S. Treasuries | 1,562 |
| 450 |
| 1,112 |
| — |
| Total fixed maturities | 42,200 |
| 450 |
| 40,020 |
| 1,730 |
| Fixed maturities, FVO | 1 |
| — |
| 1 |
| — |
| Equity securities, at fair value | 756 |
| 320 |
| 370 |
| 66 |
| Derivative assets | | | | | Credit derivatives | 7 |
| — |
| 7 |
| — |
| Foreign exchange derivatives | 5 |
| — |
| 5 |
| — |
| Total derivative assets [1] | 12 |
| — |
| 12 |
| — |
| Short-term investments | 3,668 |
| 3,125 |
| 529 |
| 14 |
| Total assets accounted for at fair value on a recurring basis | $ | 46,637 |
| $ | 3,895 |
| $ | 40,932 |
| $ | 1,810 |
| Liabilities accounted for at fair value on a recurring basis | | | | | Derivative liabilities | | | | | Foreign exchange derivatives | $ | 16 |
| $ | — |
| $ | 16 |
| $ | — |
| Interest rate derivatives | (86 | ) | — |
| (86 | ) | — |
| Total derivative liabilities [2] | (70 | ) | — |
| (70 | ) | — |
| Total liabilities accounted for at fair value on a recurring basis | $ | (70 | ) | $ | — |
| $ | (70 | ) | $ | — |
|
| | | | | | | | | | | | | | 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 |
| CLOs | 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 - Derivatives [1] | | Fair
Value | Predominant
Valuation
Technique | Significant Unobservable Input | Minimum | Maximum | Weighted Average [2] | Impact of
Increase in Input Value [3] | As of December 31, 2019 | Equity options | $ | (15 | ) | Option model | Equity volatility | 13 | % | 28 | % | 17 | % | Increase |
| | [1] | As of June 30, 2020, the fair values of the Company's level 3 derivatives were less than $1 and are excluded from the table. |
| | [2] | The weighted average is determined based on the fair value of the derivatives. |
| | [3] | 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. |
| | | | | | | | | | | 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 June 30, 2020 | CLOs [3] | $ | 79 |
| Discounted cash flows | Spread | 486 bps | 486 bps | 486 bps | Decrease | Corporate [4] | $ | 994 |
| Discounted cash flows | Spread | 78 bps | 1,007 bps | 323 bps | Decrease | RMBS [3] | $ | 479 |
| Discounted cash flows | Spread [6] | 43 bps | 528 bps | 167 bps | Decrease | | | | Constant prepayment rate [6] | —% | 11% | 5% | Decrease [5] | | | | Constant default rate [6] | 1% | 7% | 3% | Decrease | | | | Loss severity [6] | —% | 100% | 77% | 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
|
| 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 June 30, 2020 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of March 31, 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 June 30, 2020 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 19 |
| $ | — |
| $ | — |
| $ | 23 |
| $ | — |
| $ | — |
| $ | — |
| $ | (19 | ) | $ | 23 |
| | CLOs | 83 |
| — |
| 4 |
| 19 |
| (7 | ) | — |
| — |
| — |
| 99 |
| | CMBS | 18 |
| — |
| — |
| 3 |
| (1 | ) | — |
| — |
| — |
| 20 |
| | Corporate | 709 |
| (22 | ) | 61 |
| 22 |
| (28 | ) | (19 | ) | 412 |
| (26 | ) | 1,109 |
| | Foreign Govt./Govt. Agencies | 3 |
| — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | — |
| | RMBS | 487 |
| — |
| 13 |
| 21 |
| (42 | ) | — |
| — |
| — |
| 479 |
| Total Fixed Maturities, AFS | 1,319 |
| (22 | ) | 78 |
| 88 |
| (78 | ) | (19 | ) | 412 |
| (48 | ) | 1,730 |
| Equity Securities, at fair value | 69 |
| (3 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 66 |
| Short-term investments | 14 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 14 |
| Total Assets | $ | 1,402 |
| $ | (25 | ) | $ | 78 |
| $ | 88 |
| $ | (78 | ) | $ | (19 | ) | $ | 412 |
| $ | (48 | ) | $ | 1,810 |
| Liabilities | | | | | | | | | | Contingent Consideration | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Total Liabilities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 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 June 30, 2020 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 15 |
| $ | — |
| $ | (1 | ) | $ | 43 |
| $ | — |
| $ | — |
| $ | — |
| $ | (34 | ) | $ | 23 |
| | CLOs | 95 |
| — |
| (2 | ) | 19 |
| (13 | ) | — |
| — |
| — |
| 99 |
| | CMBS | 9 |
| — |
| — |
| 13 |
| (2 | ) | — |
| — |
| — |
| 20 |
| | Corporate | 732 |
| (32 | ) | (19 | ) | 116 |
| (64 | ) | (27 | ) | 459 |
| (56 | ) | 1,109 |
| | Foreign Govt./Govt. Agencies | 3 |
| — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | — |
| | RMBS | 560 |
| — |
| (12 | ) | 26 |
| (88 | ) | (7 | ) | — |
| — |
| 479 |
| Total Fixed Maturities, AFS | 1,414 |
| (32 | ) | (34 | ) | 217 |
| (167 | ) | (34 | ) | 459 |
| (93 | ) | 1,730 |
| Equity Securities, at fair value | 73 |
| (10 | ) | — |
| 3 |
| — |
| — |
| — |
| — |
| 66 |
| Short-term investments | 15 |
| — |
| — |
| — |
| (1 | ) | — |
| — |
| — |
| 14 |
| Total Assets | $ | 1,502 |
| $ | (42 | ) | $ | (34 | ) | $ | 220 |
| $ | (168 | ) | $ | (34 | ) | $ | 459 |
| $ | (93 | ) | $ | 1,810 |
| 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 June 30, 2019 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of March 31, 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 June 30, 2019 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 9 |
| $ | — |
| $ | — |
| $ | 5 |
| $ | — |
| $ | — |
| $ | — |
| $ | (9 | ) | $ | 5 |
| | CLOs | 114 |
| — |
| — |
| 202 |
| (10 | ) | — |
| — |
| (20 | ) | 286 |
| | CMBS | 12 |
| — |
| — |
| 24 |
| (1 | ) | — |
| — |
| — |
| 35 |
| | Corporate | 525 |
| — |
| 2 |
| 58 |
| (4 | ) | (39 | ) | 34 |
| (8 | ) | 568 |
| | Foreign Govt./Govt. Agencies | 3 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 3 |
| | RMBS | 771 |
| — |
| — |
| 90 |
| (58 | ) | — |
| — |
| (45 | ) | 758 |
| Total Fixed Maturities, AFS | 1,434 |
| — |
| 2 |
| 379 |
| (73 | ) | (39 | ) | 34 |
| (82 | ) | 1,655 |
| Equity Securities, at fair value | 73 |
| — |
| — |
| 4 |
| — |
| (5 | ) | — |
| — |
| 72 |
| Derivatives, net [4] | | | | | | | | | | | Equity | 1 |
| (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | Total Derivatives, net [4] | 1 |
| (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | Total Assets | $ | 1,508 |
| $ | (4 | ) | $ | 2 |
| $ | 383 |
| $ | (73 | ) | $ | (44 | ) | $ | 34 |
| $ | (82 | ) | $ | 1,724 |
| Liabilities | | | | | | | | | | Contingent Consideration | (29 | ) | (2 | ) | — |
| — |
| 10 |
| — |
| — |
| — |
| (21 | ) | Total Liabilities | $ | (29 | ) | $ | (2 | ) | $ | — |
| $ | — |
| $ | 10 |
| $ | — |
| $ | — |
| $ | — |
| $ | (21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 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 June 30, 2019 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 10 |
| $ | — |
| $ | — |
| $ | 5 |
| $ | (1 | ) | $ | — |
| $ | — |
| $ | (9 | ) | $ | 5 |
| | CLOs | 100 |
| — |
| — |
| 237 |
| (10 | ) | (6 | ) | — |
| (35 | ) | 286 |
| | CMBS | 12 |
| — |
| 1 |
| 24 |
| (2 | ) | — |
| — |
| — |
| 35 |
| | Corporate | 520 |
| (1 | ) | 9 |
| 95 |
| (6 | ) | (64 | ) | 46 |
| (31 | ) | 568 |
| | Foreign Govt./Govt. Agencies | 3 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 3 |
| | RMBS | 920 |
| 1 |
| (2 | ) | 134 |
| (112 | ) | (35 | ) | — |
| (148 | ) | 758 |
| Total Fixed Maturities, AFS | 1,565 |
| — |
| 8 |
| 495 |
| (131 | ) | (105 | ) | 46 |
| (223 | ) | 1,655 |
| Equity Securities, at fair value | 77 |
| (1 | ) | — |
| 9 |
| — |
| (13 | ) | — |
| — |
| 72 |
| Derivatives, net [4] | | | | | | | | | | | Equity | 3 |
| (6 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | | Interest rate | 1 |
| (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| Total Derivatives, net [4] | 4 |
| (7 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (3 | ) | Total Assets | $ | 1,646 |
| $ | (8 | ) | $ | 8 |
| $ | 504 |
| $ | (131 | ) | $ | (118 | ) | $ | 46 |
| $ | (223 | ) | $ | 1,724 |
| Liabilities | | | | | | | | | | Contingent Consideration | $ | (35 | ) | $ | (6 | ) | $ | — |
| $ | — |
| $ | 20 |
| $ | — |
| $ | — |
| $ | — |
| $ | (21 | ) | Total Liabilities | $ | (35 | ) | $ | (6 | ) | $ | — |
| $ | — |
| $ | 20 |
| $ | — |
| $ | — |
| $ | — |
| $ | (21 | ) |
| | [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. Transfers into Level 3 for the three and six months ended June 30, 2020, were primarily related to private securities that were priced using internal matrix pricing in the prior period, but changed to broker pricing in the current period. |
| | [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 June 30, | | Six Months Ended June 30, | | | 2020 | 2019 | 2020 | 2019 | | 2020 | 2019 | 2020 | 2019 | | | 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 | | | | | | | | | | | CLOs | $ | — |
| $ | — |
| $ | 4 |
| $ | — |
| | $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| | Corporate | — |
| — |
| 61 |
| 2 |
| | — |
| (1 | ) | (12 | ) | 9 |
| | RMBS | — |
| — |
| 13 |
| — |
| | — |
| — |
| (11 | ) | (1 | ) | Total Fixed Maturities, AFS | — |
| — |
| 78 |
| 2 |
| | — |
| (1 | ) | (25 | ) | 8 |
| Equity Securities, at fair value | (3 | ) | — |
| — |
| — |
| | (9 | ) | — |
| — |
| — |
| Derivatives, net | | | | | | | | | | | Equity | — |
| (4 | ) |
|
| — |
| | — |
| (6 | ) | — |
| — |
| | Interest rate | — |
| — |
| — |
| — |
| | — |
| (1 | ) | — |
| — |
| Total Derivatives, net | — |
| (4 | ) | — |
| — |
| | — |
| (7 | ) | — |
| — |
| Total Assets | $ | (3 | ) | $ | (4 | ) | $ | 78 |
| $ | 2 |
| | $ | (9 | ) | $ | (8 | ) | $ | (25 | ) | $ | 8 |
| Liabilities | | | | | | | | | | Contingent Consideration | $ | — |
| $ | (2 | ) | $ | — |
| $ | — |
| | $ | 12 |
| $ | (6 | ) | $ | — |
| $ | — |
| Total Liabilities | $ | — |
| $ | (2 | ) | $ | — |
| $ | — |
| | $ | 12 |
| $ | (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 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 | | June 30, 2020 | | December 31, 2019 | | Fair Value Hierarchy Level | Carrying Amount [1] | Fair Value | | Fair Value Hierarchy Level | Carrying Amount | Fair Value | Assets | | | | | | | | Mortgage loans | Level 3 | $ | 4,399 |
| $ | 4,586 |
| | Level 3 | $ | 4,215 |
| $ | 4,350 |
| Liabilities | | | | | | | | Other policyholder funds and benefits payable | Level 3 | $ | 758 |
| $ | 760 |
| | Level 3 | $ | 763 |
| $ | 765 |
| Senior notes [2] | Level 2 | $ | 3,260 |
| $ | 4,088 |
| | Level 2 | $ | 3,759 |
| $ | 4,456 |
| Junior subordinated debentures [2] | Level 2 | $ | 1,090 |
| $ | 1,026 |
| | Level 2 | $ | 1,089 |
| $ | 1,153 |
|
| | [1] | As of June 30, 2020, carrying amount of mortgage loans is net of ACL of $43. |
[2] Included in long-term debt in the Condensed Consolidated Balance Sheets, except for current maturities, which are included in short-term debt.
|