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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.