XML 149 R133.htm IDEA: XBRL DOCUMENT v3.8.0.1
Fair Value Measurements - Quantitative Information for Level 3 Measurements (Details) - Recurring Fair Value Measurements - USD ($)
$ in Millions
12 Months Ended
Dec. 31, 2017
Dec. 31, 2016
Unobservable inputs    
Assets measured at fair value $ 223,689.0 $ 199,900.1
Liabilities measured at fair value (688.4) (1,021.7)
Fair value hierarchy Level 3    
Unobservable inputs    
Assets measured at fair value 7,958.1 8,038.6
Liabilities measured at fair value (166.4) (259.0)
Fair value hierarchy Level 3 | Available-for-sale | Non-U.S. governments    
Unobservable inputs    
Assets measured at fair value $ 6.1 $ 7.6
Fair value hierarchy Level 3 | Available-for-sale | Non-U.S. governments | Discounted cash flow    
Unobservable inputs    
Discount rate (as a percent) 2.70% 2.30%
Illiquidity premium (as a percent) 0.50% 0.50%
Comparability adjustment (as a percent) (0.25%) (0.25%)
Fair value hierarchy Level 3 | Available-for-sale | Non-U.S. governments | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 2.70% 2.30%
Illiquidity premium (as a percent) 0.50% 0.50%
Comparability adjustment (as a percent) (0.25%) (0.25%)
Fair value hierarchy Level 3 | Available-for-sale | Corporate debt securities    
Unobservable inputs    
Assets measured at fair value $ 51.0 $ 49.8
Fair value hierarchy Level 3 | Available-for-sale | Corporate debt securities | Discounted cash flow | Minimum    
Unobservable inputs    
Discount rate (as a percent) 1.90% 1.50%
Illiquidity premium (as a percent) 0.00% 0.00%
Comparability adjustment (as a percent)   0.00%
Fair value hierarchy Level 3 | Available-for-sale | Corporate debt securities | Discounted cash flow | Maximum    
Unobservable inputs    
Discount rate (as a percent) 7.50% 7.60%
Illiquidity premium (as a percent) 0.60% 0.60%
Comparability adjustment (as a percent)   0.20%
Fair value hierarchy Level 3 | Available-for-sale | Corporate debt securities | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 4.60% 4.00%
Illiquidity premium (as a percent) 0.21% 0.27%
Comparability adjustment (as a percent)   0.06%
Fair value hierarchy Level 3 | Available-for-sale | Commercial mortgage-backed securities    
Unobservable inputs    
Assets measured at fair value $ 0.5 $ 49.3
Fair value hierarchy Level 3 | Available-for-sale | Commercial mortgage-backed securities | Discounted cash flow    
Unobservable inputs    
Discount rate (as a percent) 6.00%  
Probability of default (as a percent) 85.00%  
Potential loss severity (as a percent) 32.00%  
Fair value hierarchy Level 3 | Available-for-sale | Commercial mortgage-backed securities | Discounted cash flow | Minimum    
Unobservable inputs    
Discount rate (as a percent)   3.10%
Probability of default (as a percent)   0.00%
Potential loss severity (as a percent)   0.00%
Fair value hierarchy Level 3 | Available-for-sale | Commercial mortgage-backed securities | Discounted cash flow | Maximum    
Unobservable inputs    
Discount rate (as a percent)   12.80%
Probability of default (as a percent)   10.00%
Potential loss severity (as a percent)   99.50%
Fair value hierarchy Level 3 | Available-for-sale | Commercial mortgage-backed securities | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 6.00% 10.20%
Probability of default (as a percent) 85.00% 7.80%
Potential loss severity (as a percent) 32.00% 39.50%
Fair value hierarchy Level 3 | Available-for-sale | Collateralized debt obligations    
Unobservable inputs    
Assets measured at fair value   $ 0.2
Fair value hierarchy Level 3 | Available-for-sale | Collateralized debt obligations | Discounted cash flow    
Unobservable inputs    
Discount rate (as a percent)   95.10%
Probability of default (as a percent)   100.00%
Potential loss severity (as a percent)   91.20%
Fair value hierarchy Level 3 | Available-for-sale | Collateralized debt obligations | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent)   95.10%
Probability of default (as a percent)   100.00%
Potential loss severity (as a percent)   91.20%
Fair value hierarchy Level 3 | Available-for-sale | Other debt obligations    
Unobservable inputs    
Assets measured at fair value $ 2.3 $ 6.8
Fair value hierarchy Level 3 | Available-for-sale | Other debt obligations | Discounted cash flow    
Unobservable inputs    
Discount rate (as a percent) 5.00% 5.00%
Illiquidity premium (as a percent) 5.00% 5.00%
Fair value hierarchy Level 3 | Available-for-sale | Other debt obligations | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 5.00% 5.00%
Illiquidity premium (as a percent) 5.00% 5.00%
Fair value hierarchy Level 3 | Trading | Fixed maturities    
Unobservable inputs    
Assets measured at fair value   $ 10.5
Fair value hierarchy Level 3 | Trading | Fixed maturities | Discounted cash flow | Minimum    
Unobservable inputs    
Discount rate (as a percent)   2.30%
Illiquidity premium (as a percent)   0.00%
Fair value hierarchy Level 3 | Trading | Fixed maturities | Discounted cash flow | Maximum    
Unobservable inputs    
Discount rate (as a percent)   9.00%
Illiquidity premium (as a percent)   3.00%
Fair value hierarchy Level 3 | Trading | Fixed maturities | Discounted cash flow | Weighted average input    
Unobservable inputs    
Discount rate (as a percent)   2.70%
Illiquidity premium (as a percent)   2.40%
Fair value hierarchy Level 3 | Other investments    
Unobservable inputs    
Assets measured at fair value   $ 36.9
Fair value hierarchy Level 3 | Other investments | Discounted cash flow, equity method real estate investment    
Unobservable inputs    
Discount rate (as a percent)   7.60%
Terminal capitalization rate (as a percent)   6.80%
Average market rent growth rate (as a percent)   2.90%
Fair value hierarchy Level 3 | Other investments | Discounted cash flow, equity method real estate investment | Weighted average input    
Unobservable inputs    
Discount rate (as a percent)   7.60%
Terminal capitalization rate (as a percent)   6.80%
Average market rent growth rate (as a percent)   2.90%
Fair value hierarchy Level 3 | Other investments | Discounted cash flow, equity method real estate investment debt    
Unobservable inputs    
Loan to value (as a percent)   52.50%
Credit spread rate (as a percent)   2.10%
Fair value hierarchy Level 3 | Other investments | Discounted cash flow, equity method real estate investment debt | Weighted average input    
Unobservable inputs    
Loan to value (as a percent)   52.50%
Credit spread rate (as a percent)   2.10%
Fair value hierarchy Level 3 | Separate account assets    
Unobservable inputs    
Assets measured at fair value $ 7,484.6 $ 7,225.4
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Minimum    
Unobservable inputs    
Discount rate (as a percent) 2.30% 1.40%
Illiquidity premium (as a percent) 0.00% 0.00%
Credit spread rate (as a percent) 0.62% 0.83%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Maximum    
Unobservable inputs    
Discount rate (as a percent) 8.00% 5.30%
Illiquidity premium (as a percent) 0.60% 0.60%
Credit spread rate (as a percent) 6.90% 4.72%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, mortgage loans | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 4.80% 3.70%
Illiquidity premium (as a percent) 0.17% 0.13%
Credit spread rate (as a percent) 2.93% 2.27%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Minimum    
Unobservable inputs    
Discount rate (as a percent) 5.80% 5.80%
Terminal capitalization rate (as a percent) 4.30% 4.30%
Average market rent growth rate (as a percent) 0.50% 1.80%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Maximum    
Unobservable inputs    
Discount rate (as a percent) 17.20% 16.20%
Terminal capitalization rate (as a percent) 9.30% 9.30%
Average market rent growth rate (as a percent) 4.70% 4.30%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate | Weighted average input    
Unobservable inputs    
Discount rate (as a percent) 6.90% 7.00%
Terminal capitalization rate (as a percent) 6.10% 6.10%
Average market rent growth rate (as a percent) 2.90% 2.90%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Minimum    
Unobservable inputs    
Loan to value (as a percent) 12.10% 6.30%
Market interest rate (as a percent) 3.10% 3.30%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Maximum    
Unobservable inputs    
Loan to value (as a percent) 71.40% 69.70%
Market interest rate (as a percent) 4.50% 4.60%
Fair value hierarchy Level 3 | Separate account assets | Discounted cash flow, real estate debt | Weighted average input    
Unobservable inputs    
Loan to value (as a percent) 45.80% 47.00%
Market interest rate (as a percent) 3.80% 3.90%
Fair value hierarchy Level 3 | Investment contracts    
Unobservable inputs    
Liabilities measured at fair value $ (160.3) $ (176.5)
Fair value hierarchy Level 3 | Investment contracts | Discounted cash flow | Minimum    
Unobservable inputs    
Long duration interest rate (as a percent) 2.50% 2.60%
Long-term equity market volatility (as a percent) 18.70% 16.00%
Non-performance risk (as a percent) 0.20% 0.30%
Lapse rate (as a percent) 1.30% 0.50%
Fair value hierarchy Level 3 | Investment contracts | Discounted cash flow | Maximum    
Unobservable inputs    
Long duration interest rate (as a percent) 2.70% 2.70%
Long-term equity market volatility (as a percent) 41.10% 45.90%
Non-performance risk (as a percent) 1.20% 1.70%
Lapse rate (as a percent) 16.00% 14.10%