The effect of a change in interest rates on asset prices was determined using a duration implied methodology for corporate bonds and government and government agency securities whereby the duration of each security was used to estimate the change in price for the security assuming an increase of 100 basis points in interest rates. The effect of a change in interest rates on the mortgage-backed securities was estimated using a mortgage analytic system which takes into account the impact of changing prepayment speeds resulting from a 100 basis point increase in interest rates on the change in price of the mortgage-backed securities. These hypothetical prices were compared to the actual prices for the period to compute the overall change in market value. The changes in the fair values shown in the chart above for all other items were determined using discounted cash flow analyses. Because we actively manage our investments and liabilities, actual changes could be less than those estimated above. We remain in an environment of low interest rates, which continues to place pressure on our profit margins as we invest cash flows to support our businesses. We estimate that we will have approximately $1.9 billion of investable cash flows in 2020. Assuming interest rates and credit spreads remain constant throughout 2021 at the January 2020 market levels, our net investment income would decrease by an immaterial amount in both 2020 and 2021 as a result of the investment of cash flows at levels below our current expectations. This interest rate scenario does not give consideration to the effect of other factors which could impact these results, such as changes in the bond market and changes in hedging strategies and positions, nor does it consider the potential change to our discount rate reserve assumptions and any mitigating factors such as pricing adjustments. In addition, a continued low or declining interest rate environment may also result in an increase in the net periodic benefit costs for our pension plans, but we do not believe it would materially affect net income in 2020 or 2021. 91 December 31, 2018 (in millions of dollars) Notional Amount of Derivatives Fair Value Hypothetical FV + 100 BP Change in FV Assets Fixed Maturity Securities (1) $ 43,011.7  $ 39,532.1  $ (3,479.6) Mortgage Loans 2,317.4  2,179.6  (137.8) Policy Loans, Net of Reinsurance Ceded 381.8  354.2  (27.6) Liabilities Unrealized Adjustment to Reserves, Net of Reinsurance Ceded and Deferred Acquisition Costs (2) $ (2,986.8) $ (470.7) $ 2,516.1  Long-term Debt (3,069.2) (2,866.2) 203.0  Derivatives  (1) Swaps $ 799.2  $ (7.1) $ (29.1) $ (22.0) Embedded Derivative in Modified Coinsurance Arrangement (31.1) (32.5) (1.4) (1) These financial instruments are carried at fair value in our consolidated balance sheets. Changes in fair value resulting from changes in interest rates may affect the fair value at which the item is reported in our consolidated balance sheets. The corresponding offsetting change is reported in other comprehensive income or loss, net of income tax, except for changes in the fair value of derivatives accounted for as fair value hedges or derivatives not designated as hedging instruments, the offset of which is reported as a component of net realized investment gain or loss. (2) The adjustment to reserves and deferred acquisition costs for unrealized investment gains and losses reflects the adjustments to policyholder liabilities and deferred acquisition costs that would be necessary if the unrealized investment gains and losses related to the fixed maturity securities had been realized. Changes in this adjustment are also reported as a component of other comprehensive income or loss, net of income tax.