Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2018 |
|---|
| 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, 2018 | | 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") | $ | 994 |
| $ | — |
| $ | 937 |
| $ | 57 |
| Collateralized debt obligations ("CDOs") | 1,089 |
| — |
| 930 |
| 159 |
| Commercial mortgage-backed securities ("CMBS") | 3,494 |
| — |
| 3,466 |
| 28 |
| Corporate | 13,349 |
| — |
| 12,790 |
| 559 |
| Foreign government/government agencies | 1,133 |
| — |
| 1,130 |
| 3 |
| Municipal | 11,142 |
| — |
| 11,133 |
| 9 |
| Residential mortgage-backed securities ("RMBS") | 3,207 |
| — |
| 2,070 |
| 1,137 |
| U.S. Treasuries | 1,786 |
| 378 |
| 1,408 |
| — |
| Total fixed maturities | 36,194 |
| 378 |
| 33,864 |
| 1,952 |
| Fixed maturities, FVO | 36 |
| — |
| 36 |
| — |
| Equity securities, at fair value | 1,003 |
| 892 |
| 45 |
| 66 |
| Derivative assets | | | | | Credit derivatives | 15 |
| — |
| 15 |
| — |
| Equity derivatives | 1 |
| — |
| — |
| 1 |
| Foreign exchange derivatives | (1 | ) | — |
| (1 | ) | — |
| Total derivative assets [1] | 15 |
| — |
| 14 |
| 1 |
| Short-term investments | 3,296 |
| 861 |
| 2,435 |
| — |
| Total assets accounted for at fair value on a recurring basis | $ | 40,544 |
| $ | 2,131 |
| $ | 36,394 |
| $ | 2,019 |
| Liabilities accounted for at fair value on a recurring basis | | | | | Derivative liabilities | | | | | Credit derivatives | (5 | ) | — |
| (5 | ) | — |
| Foreign exchange derivatives | (11 | ) | — |
| (11 | ) | — |
| Interest rate derivatives | (59 | ) | — |
| (61 | ) | 2 |
| Total derivative liabilities [2] | (75 | ) | — |
| (77 | ) | 2 |
| Contingent consideration [3] | (31 | ) | — |
| — |
| (31 | ) | Total liabilities accounted for at fair value on a recurring basis | $ | (106 | ) | $ | — |
| $ | (77 | ) | $ | (29 | ) |
| | | | | | | | | | | | | | Assets and (Liabilities) Carried at Fair Value by Hierarchy Level as of December 31, 2017 | | 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") | $ | 1,126 |
| $ | — |
| $ | 1,107 |
| $ | 19 |
| Collateralized debt obligations ("CDOs") | 1,260 |
| — |
| 1,165 |
| 95 |
| Commercial mortgage-backed securities ("CMBS") | 3,336 |
| — |
| 3,267 |
| 69 |
| Corporate | 12,804 |
| — |
| 12,284 |
| 520 |
| Foreign government/government agencies | 1,110 |
| — |
| 1,108 |
| 2 |
| Municipal | 12,485 |
| — |
| 12,468 |
| 17 |
| Residential mortgage-backed securities ("RMBS") | 3,044 |
| — |
| 1,814 |
| 1,230 |
| U.S. Treasuries | 1,799 |
| 333 |
| 1,466 |
| — |
| Total fixed maturities | 36,964 |
| 333 |
| 34,679 |
| 1,952 |
| Fixed maturities, FVO | 41 |
| — |
| 41 |
| — |
| Equity securities, AFS | 1,012 |
| 887 |
| 49 |
| 76 |
| Derivative assets | | | | | Credit derivatives | 9 |
| — |
| 9 |
| — |
| Equity derivatives | 1 |
| — |
| — |
| 1 |
| Foreign exchange derivatives | (1 | ) | — |
| (1 | ) | — |
| Interest rate derivatives | 1 |
| — |
| 1 |
| — |
| Total derivative assets [1] | 10 |
| — |
| 9 |
| 1 |
| Short-term investments | 2,270 |
| 1,098 |
| 1,172 |
| — |
| Total assets accounted for at fair value on a recurring basis | $ | 40,297 |
| $ | 2,318 |
| $ | 35,950 |
| $ | 2,029 |
| Liabilities accounted for at fair value on a recurring basis | | | | | Derivative liabilities | | | | | Credit derivatives | (3 | ) | — |
| (3 | ) | — |
| Foreign exchange derivatives | (13 | ) | — |
| (13 | ) | — |
| Interest rate derivatives | (84 | ) | — |
| (85 | ) | 1 |
| Total derivative liabilities [2] | (100 | ) | — |
| (101 | ) | 1 |
| Contingent consideration [3] | (29 | ) | — |
| — |
| (29 | ) | Total liabilities accounted for at fair value on a recurring basis | $ | (129 | ) | $ | — |
| $ | (101 | ) | $ | (28 | ) |
| | [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. |
| | [3] | For additional information see the Contingent Consideration section below. |
|
| Fair Value Inputs, Assets, Quantitative Information |
| | | | | | | | | | | | Significant Unobservable Inputs for Level 3 - Derivatives | | Fair
Value | Predominant
Valuation
Technique | Significant Unobservable Input | Minimum | Maximum | Impact of
Increase in Input on
Fair Value [1] | As of June 30, 2018 | Interest rate swaptions [2] | $ | 2 |
| Option model | Interest rate volatility | 3 | % | 3 | % | Increase | Equity Options | 1 |
| Option model | Equity volatility | 16 | % | 24 | % | Increase | As of December 31, 2017 | Interest rate swaptions [2] | $ | 1 |
| Option model | Interest rate volatility | 2 | % | 2 | % | Increase | Equity options | $ | 1 |
| Option model | Equity volatility | 18 | % | 22 | % | Increase |
| | [1] | 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. |
| | [2] | The swaptions presented are purchased options that have the right to enter into a pay-fixed swap. |
| | | | | Valuation Inputs Used in Levels 2 and 3 Measurements for Securities and Derivatives | Level 2 Primary Observable Inputs | Level 3 Primary Unobservable Inputs | Fixed Maturity Investments | Structured securities (includes ABS, CDOs, CMBS and RMBS) | | • Benchmark yields and spreads • Monthly payment information • Collateral performance, which varies by vintage year and includes delinquency rates, loss severity rates and refinancing assumptions • Credit default swap indices
Other inputs for ABS and RMBS: • Estimate of future principal prepayments, derived from the characteristics of the underlying structure • Prepayment speeds previously experienced at the interest rate levels projected for the collateral | | • Independent broker quotes • Credit spreads beyond observable curve • Interest rates beyond observable curve
Other inputs for less liquid securities or those that trade less actively, including subprime RMBS: • Estimated cash flows • Credit spreads, which include illiquidity premium • Constant prepayment rates • Constant default rates • Loss severity | Corporates | | • Benchmark yields and spreads • Reported trades, bids, offers of the same or similar securities • Issuer spreads and credit default swap curves
Other inputs for investment grade privately placed securities that utilize internal matrix pricing: • Credit spreads for public securities of similar quality, maturity, and sector, adjusted for non-public nature | | • Independent broker quotes • Credit spreads beyond observable curve • Interest rates beyond observable curve
Other inputs for below investment grade privately placed securities: • Independent broker quotes • Credit spreads for public securities of similar quality, maturity, and sector, adjusted for non-public nature | U.S Treasuries, Municipals, and Foreign government/government agencies | | • Benchmark yields and spreads • Issuer credit default swap curves • Political events in emerging market economies • Municipal Securities Rulemaking Board reported trades and material event notices • Issuer financial statements | | • Credit spreads beyond observable curve • Interest rates beyond observable curve | Equity Securities | | • Quoted prices in markets that are not active | | • For privately traded equity securities, internal discounted cash flow models utilizing earnings multiples or other cash flow assumptions that are not observable | Short Term Investments | | • Benchmark yields and spreads • Reported trades, bids, offers • Issuer spreads and credit default swap curves • Material event notices and new issue money market rates | | Not applicable | Derivatives | Credit derivatives | | • Swap yield curve • Credit default swap curves | | Not applicable | Equity derivatives | | • Equity index levels • Swap yield curve | | • Independent broker quotes • Equity volatility | Foreign exchange derivatives | | • Swap yield curve • Currency spot and forward rates • Cross currency basis curves | | Not applicable | Interest rate derivatives | | • Swap yield curve | | • Independent broker quotes • Interest rate volatility |
| | | | | | | | | | | 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, 2018 | CMBS [3] | $ | 17 |
| Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 9 bps | 1,040 bps | 182 bps | Decrease | Corporate [4] | $ | 284 |
| Discounted cash flows | Spread | 113 bps | 767 bps | 209 bps | Decrease | Municipal | $ | 9 |
| Discounted cash flows | Spread | 161 bps | 161 bps | 161 bps | Decrease | RMBS [3] | $ | 1,071 |
| Discounted cash flows | Spread | 19 bps | 326 bps | 69 bps | Decrease | | | | Constant prepayment rate | 1% | 25% | 7% | Decrease [5] | | | | Constant default rate | —% | 8% | 4% | Decrease | | | | Loss severity | —% | 100% | 58% | Decrease | As of December 31, 2017 | CMBS [3] | $ | 56 |
| Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 9 bps | 1,040 bps | 400 bps | Decrease | Corporate [4] | $ | 251 |
| Discounted cash flows | Spread | 103 bps | 1,000 bps | 242 bps | Decrease | Municipal | $ | 17 |
| Discounted cash flows | Spread | 192 bps | 250 bps | 219 bps | Decrease | RMBS [3] | $ | 1,215 |
| Discounted cash flows | Spread | 24 bps | 351 bps | 74 bps | Decrease | | | | Constant prepayment rate | 1% | 25% | 6% | Decrease [5] | | | | Constant default rate | —% | 9% | 4% | Decrease | | | | Loss severity | —% | 100% | 66% | 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. |
|
| Fair Value, Liabilities 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, 2018 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of March 31, 2018 | Included in net income [1] [5] | Included in OCI [2] | Purchases | Settlements | Sales | Transfers into Level 3 [3] | Transfers out of Level 3 [3] | Fair value as of June 30, 2018 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 14 |
| $ | — |
| $ | — |
| $ | 50 |
| $ | (1 | ) | $ | — |
| $ | 3 |
| $ | (9 | ) | $ | 57 |
| | CDOs | 106 |
| — |
| — |
| 77 |
| — |
| (4 | ) | — |
| (20 | ) | 159 |
| | CMBS | 33 |
| — |
| — |
| 25 |
| (2 | ) | (8 | ) | — |
| (20 | ) | 28 |
| | Corporate | 515 |
| — |
| (7 | ) | 66 |
| (18 | ) | (8 | ) | 15 |
| (4 | ) | 559 |
| | Foreign Govt./Govt. Agencies | 2 |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| 3 |
| | Municipal | 16 |
| — |
| — |
| — |
| — |
| — |
| — |
| (7 | ) | 9 |
| | RMBS | 1,233 |
| — |
| (4 | ) | 68 |
| (93 | ) | (1 | ) | — |
| (66 | ) | 1,137 |
| Total Fixed Maturities, AFS | 1,919 |
| — |
| (11 | ) | 287 |
| (114 | ) | (21 | ) | 18 |
| (126 | ) | 1,952 |
| Equity Securities, at fair value | 65 |
| — |
| 1 |
| 1 |
| — |
| (1 | ) | — |
| — |
| 66 |
| Derivatives, net [4] | | | | | | | | | | | Equity | 1 |
| (1 | ) | — |
| 1 |
| — |
| — |
| — |
| — |
| 1 |
| | Interest rate | 2 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 2 |
| Total Derivatives, net [4] | 3 |
| (1 | ) | — |
| 1 |
| — |
| — |
| — |
| — |
| 3 |
| Total Assets | $ | 1,987 |
| $ | (1 | ) | $ | (10 | ) | $ | 289 |
| $ | (114 | ) | $ | (22 | ) | $ | 18 |
| $ | (126 | ) | $ | 2,021 |
| Liabilities | | | | | | | | | | Contingent Consideration [6] | (27 | ) | (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (31 | ) | Total Liabilities | $ | (27 | ) | $ | (4 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 2018 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2018 | Included in net income [1] [5] | Included in OCI [2] | Purchases | Settlements | Sales | Transfers into Level 3 [3] | Transfers out of Level 3 [3] | Fair value as of June 30, 2018 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 19 |
| $ | — |
| $ | — |
| $ | 50 |
| $ | (3 | ) | $ | — |
| $ | 3 |
| $ | (12 | ) | $ | 57 |
| | CDOs | 95 |
| — |
| — |
| 98 |
| — |
| (4 | ) | — |
| (30 | ) | 159 |
| | CMBS | 69 |
| — |
| (1 | ) | 25 |
| (3 | ) | (8 | ) | — |
| (54 | ) | 28 |
| | Corporate | 520 |
| 1 |
| (8 | ) | 131 |
| (32 | ) | (31 | ) | 15 |
| (37 | ) | 559 |
| | Foreign Govt./Govt. Agencies | 2 |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| 3 |
| | Municipal | 17 |
| — |
| (1 | ) | — |
| — |
| — |
| — |
| (7 | ) | 9 |
| | RMBS | 1,230 |
| — |
| (7 | ) | 170 |
| (174 | ) | (1 | ) | — |
| (81 | ) | 1,137 |
| Total Fixed Maturities, AFS | 1,952 |
| 1 |
| (17 | ) | 475 |
| (212 | ) | (44 | ) | 18 |
| (221 | ) | 1,952 |
| Equity Securities, at fair value | 76 |
| 28 |
| 1 |
| 1 |
| — |
| (40 | ) | — |
| — |
| 66 |
| Derivatives, net [4] | | | | | | | | | | | Equity | 1 |
| 1 |
| — |
| 1 |
| — |
| (2 | ) | — |
| — |
| 1 |
| | Interest rate | 1 |
| 1 |
| — |
| — |
| — |
| — |
| — |
| — |
| 2 |
| Total Derivatives, net [4] | 2 |
| 2 |
| — |
| 1 |
| — |
| (2 | ) | — |
| — |
| 3 |
| Total Assets | $ | 2,030 |
| $ | 31 |
| $ | (16 | ) | $ | 477 |
| $ | (212 | ) | $ | (86 | ) | $ | 18 |
| $ | (221 | ) | $ | 2,021 |
| Liabilities | | | | | | | | | | Contingent Consideration [6] | (29 | ) | (2 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (31 | ) | Total Liabilities | $ | (29 | ) | $ | (2 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended June 30, 2017 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of March 31, 2017 | Included in net income [1] [5] | Included in OCI [2] | Purchases | Settlements | Sales | Transfers into Level 3 [3] | Transfers out of Level 3 [3] | Fair value as of June 30, 2017 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 81 |
| $ | — |
| $ | — |
| $ | 23 |
| $ | — |
| $ | — |
| $ | — |
| $ | (41 | ) | $ | 63 |
| | CDOs | 120 |
| — |
| (3 | ) | 186 |
| (100 | ) | — |
| — |
| — |
| 203 |
| | CMBS | 72 |
| — |
| — |
| 14 |
| (2 | ) | — |
| — |
| (19 | ) | 65 |
| | Corporate | 521 |
| — |
| 6 |
| 33 |
| (4 | ) | (20 | ) | — |
| (8 | ) | 528 |
| | Foreign Govt./Govt. Agencies | 49 |
| — |
| — |
| 5 |
| — |
| (2 | ) | — |
| (30 | ) | 22 |
| | Municipal | 44 |
| 4 |
| (2 | ) | — |
| — |
| (30 | ) | — |
| — |
| 16 |
| | RMBS | 1,291 |
| — |
| 18 |
| 29 |
| (66 | ) | — |
| — |
| — |
| 1,272 |
| Total Fixed Maturities, AFS | 2,178 |
| 4 |
| 19 |
| 290 |
| (172 | ) | (52 | ) | — |
| (98 | ) | 2,169 |
| Equity Securities, AFS | 55 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 55 |
| Derivatives, net [4] | | | | | | | | | | | Equity | 4 |
| (2 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 2 |
| | Interest rate | 5 |
| (2 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 3 |
| | Other contracts | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Total Derivatives, net [4] | 9 |
| (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 5 |
| Total Assets | $ | 2,242 |
| $ | — |
| $ | 19 |
| $ | 290 |
| $ | (172 | ) | $ | (52 | ) | $ | — |
| $ | (98 | ) | $ | 2,229 |
| Liabilities | | | | | | | | | | Contingent Consideration [6] | (26 | ) | (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (27 | ) | Total Liabilities | $ | (26 | ) | $ | (1 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Six Months Ended June 30, 2017 | | Total realized/unrealized gains (losses) | | | | | | | | | Fair value as of January 1, 2017 | Included in net income [1] [5] | Included in OCI [2] | Purchases | Settlements | Sales | Transfers into Level 3 [3] | Transfers out of Level 3 [3] | Fair value as of June 30, 2017 | Assets | | | | | | | | | | Fixed Maturities, AFS | | | | | | | | | | | ABS | $ | 45 |
| $ | — |
| $ | — |
| $ | 56 |
| $ | (3 | ) | $ | — |
| $ | 23 |
| $ | (58 | ) | $ | 63 |
| | CDOs | 154 |
| — |
| — |
| 186 |
| (101 | ) | — |
| — |
| (36 | ) | 203 |
| | CMBS | 59 |
| (1 | ) | — |
| 42 |
| (4 | ) | — |
| — |
| (31 | ) | 65 |
| | Corporate | 514 |
| 1 |
| 11 |
| 133 |
| (41 | ) | (117 | ) | 35 |
| (8 | ) | 528 |
| | Foreign Govt./Govt. Agencies | 47 |
| — |
| 2 |
| 5 |
| — |
| (2 | ) | — |
| (30 | ) | 22 |
| | Municipal | 46 |
| 4 |
| 1 |
| — |
| — |
| (35 | ) | — |
| — |
| 16 |
| | RMBS | 1,261 |
| — |
| 22 |
| 117 |
| (121 | ) | (7 | ) | — |
| — |
| 1,272 |
| Total Fixed Maturities, AFS | 2,126 |
| 4 |
| 36 |
| 539 |
| (270 | ) | (161 | ) | 58 |
| (163 | ) | 2,169 |
| Fixed Maturities, FVO | 11 |
| — |
| — |
| 4 |
| (2 | ) | (13 | ) | — |
| — |
| — |
| Equity Securities, AFS | 55 |
| — |
| (2 | ) | 2 |
| — |
| — |
| — |
| — |
| 55 |
| Derivatives, net [4] | | | | | | | | | | | Equity | — |
| (3 | ) | — |
| 5 |
| — |
| — |
| — |
| — |
| 2 |
| | Interest rate | 9 |
| (6 | ) | — |
| — |
| — |
| — |
| — |
| — |
| 3 |
| | Other contracts | 1 |
| (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| Total Derivatives, net [4] | 10 |
| (10 | ) | — |
| 5 |
| — |
| — |
| — |
| — |
| 5 |
| Total Assets | $ | 2,202 |
| $ | (6 | ) | $ | 34 |
| $ | 550 |
| $ | (272 | ) | $ | (174 | ) | $ | 58 |
| $ | (163 | ) | $ | 2,229 |
| Liabilities | | | | | | | | | | Contingent Consideration [6] | (25 | ) | (2 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (27 | ) | Total Liabilities | $ | (25 | ) | $ | (2 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (27 | ) |
| | [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. |
| | [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. |
| | [5] | Includes both market and non-market impacts in deriving realized and unrealized gains (losses). |
| | [6] | For additional information, see Note 2 - Business Acquisitions of Notes to Consolidated Financial Statements included in the Company's 2017 form 10-K Annual Report for discussion of the contingent consideration in connection with the acquisition of Lattice. |
| | | | | | | | | | | | | | | Changes in Unrealized Gains (Losses) Included in Net Income for Financial Instruments Classified as Level 3 Still Held at End of Period | | | Three months ended June 30, | Six months ended June 30, | | | 2018 [1] [2] | 2017 [1] [2] | 2018 [1] [2] | 2017 [1] [2] | Assets | | | | | Fixed Maturities, AFS | | | | | | CMBS | $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | Total Fixed Maturities, AFS | — |
| — |
| — |
| (1 | ) | Derivatives, net | | | | | | Equity | (1 | ) | (2 | ) | — |
| (2 | ) | | Interest rate | — |
| (2 | ) | 1 |
| (2 | ) | Total Derivatives, net | (1 | ) | (4 | ) | 1 |
| (4 | ) | Total Assets | $ | (1 | ) | $ | (4 | ) | $ | 1 |
| $ | (5 | ) | Liabilities | | | | | Contingent Consideration [3] | (4 | ) | (1 | ) | (2 | ) | (2 | ) | Total Liabilities | $ | (4 | ) | $ | (1 | ) | $ | (2 | ) | $ | (2 | ) |
| | [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] | For additional information, see Note 2 - Business Acquisitions of Notes to Consolidated Financial Statements included in the Company's 2017 form 10-K Annual Report for discussion of the contingent consideration in connection with the acquisition of Lattice. |
|
| Fair Value, by Balance Sheet Grouping |
| | | | | | | | | | | | | | | Changes in Fair Value of Assets using Fair Value Option | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2018 | 2017 | | 2018 | 2017 | Assets | | | | | | Fixed maturities, FVO | | | | | | Corporate | $ | — |
| $ | — |
| | $ | — |
| $ | (1 | ) | RMBS | — |
| 1 |
| | — |
| 1 |
| Total fixed maturities, FVO | — |
| 1 |
| | — |
| — |
| Total realized capital gains | $ | — |
| $ | 1 |
| | $ | — |
| $ | — |
|
| | | | | | | | Fair Value of Assets and Liabilities using the Fair Value Option | | June 30, 2018 | December 31, 2017 | Assets | | | Fixed maturities, FVO | | | RMBS | $ | 36 |
| $ | 41 |
| Total fixed maturities, FVO | $ | 36 |
| $ | 41 |
|
|
| Schedule of Carrying Values and Estimated Fair Values of Debt Instruments |
| | | | | | | | | Financial Assets and Liabilities Not Carried at Fair Value | | Fair Value Hierarchy Level | Carrying Amount | Fair Value | June 30, 2018 | Assets | | | | Mortgage loans | Level 3 | $ | 3,355 |
| $ | 3,340 |
| Liabilities | | | | Other policyholder funds and benefits payable | Level 3 | $ | 795 |
| $ | 797 |
| Senior notes [1] | Level 2 | $ | 3,586 |
| $ | 3,991 |
| Junior subordinated debentures [1] | Level 2 | $ | 1,089 |
| $ | 1,173 |
| December 31, 2017 | Assets | | | | Mortgage loans | Level 3 | $ | 3,175 |
| $ | 3,220 |
| Liabilities | | | | Other policyholder funds and benefits payable | Level 3 | $ | 825 |
| $ | 827 |
| Senior notes [1] | Level 2 | $ | 3,415 |
| $ | 4,054 |
| Junior subordinated debentures [1] | Level 2 | $ | 1,583 |
| $ | 1,699 |
|
| | [1] | Included in long-term debt in the Consolidated Balance Sheets, except for current maturities, which are included in short-term debt. |
|