Fair Value Measurements (Tables)
|
3 Months Ended |
Mar. 31, 2023 |
|---|
| 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, 2023 | | 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") | $ | 2,181 | | $ | — | | $ | 2,145 | | $ | 36 | | Collateralized loan obligations ("CLO") | 3,013 | | — | | 2,862 | | 151 | | Commercial mortgage-backed securities ("CMBS") | 3,329 | | — | | 3,098 | | 231 | | | Corporate | 16,210 | | — | | 14,567 | | 1,643 | | | Foreign government/government agencies | 549 | | — | | 549 | | — | | | Municipal | 6,365 | | — | | 6,365 | | — | | Residential mortgage-backed securities ("RMBS") | 3,737 | | — | | 3,680 | | 57 | | | U.S. Treasuries | 2,060 | | 1 | | 2,059 | | — | | | Total fixed maturities, AFS | 37,444 | | 1 | | 35,325 | | 2,118 | | | Fixed maturities, FVO | 326 | | — | | 154 | | 172 | | | Equity securities, at fair value | 1,301 | | 750 | | 491 | | 60 | | | Derivative assets | | | | | | Credit derivatives | 3 | | — | | 3 | | — | | | | | | | | Foreign exchange derivatives | 46 | | — | | 46 | | — | | | Interest rate derivatives | 1 | | — | | 1 | | — | | | | | | | | Total derivative assets [1] | 50 | | — | | 50 | | — | | | Short-term investments | 4,060 | | 2,498 | | 1,375 | | 187 | | | Total assets accounted for at fair value on a recurring basis | $ | 43,181 | | $ | 3,249 | | $ | 37,395 | | $ | 2,537 | | | Liabilities accounted for at fair value on a recurring basis | | | | | | Derivative liabilities | | | | | | Credit derivatives | $ | (26) | | $ | — | | $ | (26) | | $ | — | | | | | | | | Foreign exchange derivatives | 2 | | — | | 2 | | — | | | Interest rate derivatives | (7) | | — | | (7) | | — | | | | | | | | Total derivative liabilities [2] | (31) | | — | | (31) | | — | | | | | | | | Total liabilities accounted for at fair value on a recurring basis | $ | (31) | | $ | — | | $ | (31) | | $ | — | |
| | | | | | | | | | | | | | | | Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2022 | | 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 | $ | 1,941 | | $ | — | | $ | 1,911 | | $ | 30 | | | CLO | 2,941 | | — | | 2,826 | | 115 | | | CMBS | 3,368 | | — | | 3,146 | | 222 | | | Corporate | 15,233 | | — | | 13,644 | | 1,589 | | | Foreign government/government agencies | 547 | | — | | 547 | | — | | | Municipal | 6,296 | | — | | 6,296 | | — | | | RMBS | 3,708 | | — | | 3,613 | | 95 | | | U.S. Treasuries | 2,197 | | — | | 2,197 | | — | | | Total fixed maturities, AFS | 36,231 | | — | | 34,180 | | 2,051 | | | Fixed maturities, FVO | 333 | | — | | 155 | | 178 | | | Equity securities, at fair value | 1,801 | | 1,261 | | 479 | | 61 | | | Derivative assets | | | | | | Credit derivatives | 2 | | — | | 2 | | — | | | | | | | | Foreign exchange derivatives | 32 | | — | | 32 | | — | | | | | | | | Total derivative assets [1] | 34 | | — | | 34 | | — | | | Short-term investments | 3,859 | | 1,429 | | 2,237 | | 193 | | | Total assets accounted for at fair value on a recurring basis | $ | 42,258 | | $ | 2,690 | | $ | 37,085 | | $ | 2,483 | | | Liabilities accounted for at fair value on a recurring basis | | | | | | Derivative liabilities | | | | | | Credit derivatives | $ | (2) | | $ | — | | $ | (2) | | $ | — | | | | | | | | Foreign exchange derivatives | 21 | | — | | 21 | | — | | | Interest rate derivatives | (6) | | — | | (6) | | — | | | Total derivative liabilities [2] | 13 | | — | | 13 | | — | | | | | | | | Total liabilities accounted for at fair value on a recurring basis | $ | 13 | | $ | — | | $ | 13 | | $ | — | |
[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.
|
| 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, 2023 | | | | CLO [3] | $ | 111 | | Discounted cash flows | Spread | 326 bps | 326 bps | 326 bps | Decrease | | | | CMBS [3] | $ | 228 | | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 449 bps | 1,784 bps | 581 bps | Decrease | | | | Corporate [4] | $ | 1,596 | | Discounted cash flows | Spread | 92 bps | 682 bps | 359 bps | Decrease | | | | RMBS | $ | 57 | | Discounted cash flows | Spread [6] | 114 bps | 260 bps | 187 bps | Decrease | | | | | | Constant prepayment rate [6] | 1% | 10% | 6% | Decrease [5] | | | | | | Constant default rate [6] | 1% | 4% | 2% | Decrease | | | | | | Loss severity [6] | 10% | 100% | 40% | Decrease | | | | Short Term [3] | $ | 154 | | Discounted cash flows | Spread | 243 bps | 587 bps | 251 bps | Decrease | | | | As of December 31, 2022 | | | | CLO | $ | 115 | | Discounted cash flows | Spread | 337 bps | 337 bps | 337 bps | Decrease | | | | CMBS [3] | $ | 219 | | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 419 bps | 1,307 bps | 527 bps | Decrease | | | | Corporate [4] | $ | 1,541 | | Discounted cash flows | Spread | 77 bps | 642 bps | 360 bps | Decrease | | | | RMBS [3] | $ | 65 | | Discounted cash flows | Spread [6] | 62 bps | 249 bps | 160 bps | Decrease | | | | | | Constant prepayment rate [6] | 1% | 10% | 7% | Decrease [5] | | | | | | Constant default rate [6] | 1% | 4% | 2% | Decrease | | | | | | Loss severity [6] | 10% | 100% | 38% | 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 March 31, 2023 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2023 | 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, 2023 | | Assets | | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 30 | | $ | — | | $ | — | | $ | 36 | | $ | — | | $ | — | | $ | — | | $ | (30) | | $ | 36 | | | CLO | 115 | | — | | — | | 40 | | (4) | | — | | — | | — | | 151 | | | CMBS | 222 | | — | | (5) | | 4 | | — | | — | | 10 | | — | | 231 | | | Corporate | 1,589 | | 1 | | 31 | | 66 | | (51) | | (7) | | 27 | | (13) | | 1,643 | | | | | | | | | | | | | | | | | | | | | | | | | RMBS | 95 | | — | | — | | — | | (8) | | — | | — | | (30) | | 57 | | | Total Fixed Maturities, AFS | 2,051 | | 1 | | 26 | | 146 | | (63) | | (7) | | 37 | | (73) | | 2,118 | | | Fixed maturities, FVO | 178 | | (8) | | — | | — | | 2 | | — | | — | | — | | 172 | | | Equity Securities, at fair value | 61 | | (1) | | — | | 1 | | (1) | | — | | — | | — | | 60 | | | Short-term investments | 193 | | — | | — | | 1 | | (7) | | — | | — | | — | | 187 | | | Total Assets | $ | 2,483 | | $ | (8) | | $ | 26 | | $ | 148 | | $ | (69) | | $ | (7) | | $ | 37 | | $ | (73) | | $ | 2,537 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the
Three Months Ended March 31, 2022 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2022 | 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, 2022 | | Assets | | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | — | | $ | — | | $ | — | | $ | 19 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 19 | | | CLO | 257 | | — | | (1) | | 54 | | (17) | | — | | — | | (79) | | 214 | | | CMBS | 196 | | — | | (5) | | 46 | | (1) | | — | | — | | — | | 236 | | | Corporate | 1,618 | | (2) | | (59) | | 59 | | (70) | | (7) | | — | | (24) | | 1,515 | | | Foreign Govt./Govt. Agencies | 5 | | — | | — | | — | | — | | (1) | | — | | — | | 4 | | | | | | | | | | | | | | RMBS | 328 | | — | | (6) | | 137 | | (34) | | — | | — | | (124) | | 301 | | | Total Fixed Maturities, AFS | 2,404 | | (2) | | (71) | | 315 | | (122) | | (8) | | — | | (227) | | 2,289 | | | Fixed maturities, FVO | 160 | | 2 | | — | | 20 | | (8) | | — | | — | | — | | 174 | | | Equity Securities, at fair value | 64 | | 7 | | — | | — | | (14) | | — | | — | | — | | 57 | | | Short-term investments | 80 | | — | | — | | 4 | | (2) | | — | | — | | (50) | | 32 | | | Total Assets | $ | 2,708 | | $ | 7 | | $ | (71) | | $ | 339 | | $ | (146) | | $ | (8) | | $ | — | | $ | (277) | | $ | 2,552 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
[1]Amounts in these columns are generally reported in net realized 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. | | | | | | | | | | | | | | | | | | | | | | | Changes in Unrealized Gains (Losses) for Financial Instruments Classified as
Level 3 Still Held at End of Period | | | Three Months Ended March 31, | | | | | 2023 | 2022 | 2023 | 2022 | | | | | | | | Changes in Unrealized Gains (Losses) included in Net Income [1] [2] | Changes in Unrealized Gains (Losses) included in OCI [3] | | | | | Assets | | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | | | | | | | | | | | | CLO | $ | — | | $ | — | | $ | — | | $ | (1) | | | | | | | | CMBS | — | | — | | (5) | | (5) | | | | | | | | Corporate | — | | (2) | | 31 | | (59) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | RMBS | — | | — | | — | | (6) | | | | | | | | Total Fixed Maturities, AFS | — | | (2) | | 26 | | (71) | | | | | | | | Fixed maturities, FVO | (8) | | 2 | | — | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total Assets | $ | (8) | | $ | — | | $ | 26 | | $ | (71) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
[1]All amounts in these rows are reported in net realized 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 gains (losses) on fixed maturities, AFS are reported in changes in net unrealized gain (loss) on fixed maturities 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, 2023 | | December 31, 2022 | | Fair Value Hierarchy Level | Carrying Amount [1] | Fair Value | | Fair Value Hierarchy Level | Carrying Amount [1] | Fair Value | Assets | | | | | | | | | Mortgage loans | Level 3 | $ | 6,047 | | $ | 5,531 | | | Level 3 | $ | 6,000 | | $ | 5,362 | | Liabilities | | | | | | | | | Other policyholder funds and benefits payable | Level 3 | $ | 647 | | $ | 648 | | | Level 3 | $ | 658 | | $ | 658 | | | Senior notes [2] | Level 2 | $ | 3,859 | | $ | 3,463 | | | Level 2 | $ | 3,858 | | $ | 3,339 | | | Junior subordinated debentures [2] | Level 2 | $ | 499 | | $ | 403 | | | Level 2 | $ | 499 | | $ | 419 | |
[1]As of both March 31, 2023 and December 31, 2022, the carrying amount of mortgage loans is net of ACL of $36. [2]Included in long-term debt in the Condensed Consolidated Balance Sheets, except for any current maturities, which are included in short-term debt when applicable.
|