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Level 3 (Tables) | 3 Months Ended
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Mar. 31, 2018
Fair Value Disclosures [Abstract] |
Schedule of Participating Mortgage Loans [Table Text Block] |
Valuation Allowance Activity
| 2018 | 2017
Balance, as of January 1 | $ | (1 | ) | $ | — |
Reversals | — |  | — |
Deductions | — |  | — |
Balance, as of March 31 | $ | (1 | ) | $ | — |
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 March 31, 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 March 31, 2018
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 19 |  | $ | — |  | $ | — |  | $ | — |  | $ | (2 | ) | $ | — |  | $ | — |  | $ | (3 | ) | $ | 14 |
| CDOs | 95 |  | — |  | — |  | 21 |  | — |  | — |  | — |  | (10 | ) | 106 |
| CMBS | 69 |  | — |  | (1 | ) | — |  | (1 | ) | — |  | — |  | (34 | ) | 33 |
| Corporate | 520 |  | 1 |  | (1 | ) | 65 |  | (14 | ) | (23 | ) | — |  | (33 | ) | 515 |
| Foreign Govt./Govt. Agencies | 2 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 2 |
| Municipal | 17 |  | — |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | 16 |
| RMBS | 1,230 |  | — |  | (3 | ) | 102 |  | (81 | ) | — |  | — |  | (15 | ) | 1,233 |
Total Fixed Maturities, AFS | 1,952 |  | 1 |  | (6 | ) | 188 |  | (98 | ) | (23 | ) | — |  | (95 | ) | 1,919 |
Equity Securities, at fair value | 76 |  | 28 |  | — |  | — |  | — |  | (39 | ) | — |  | — |  | 65 |
Derivatives, net [4] |  |  |  |  |  |  |  |  |
| Equity | 1 |  | 2 |  | — |  | — |  | — |  | (2 | ) | — |  | — |  | 1 |
| Interest rate | 1 |  | 1 |  | — |  | — |  | — |  | — |  | — |  | — |  | 2 |
Total Derivatives, net [4] | 2 |  | 3 |  | — |  | — |  | — |  | (2 | ) | — |  | — |  | 3 |
Total Assets | $ | 2,030 |  | $ | 32 |  | $ | (6 | ) | $ | 188 |  | $ | (98 | ) | $ | (64 | ) | $ | — |  | $ | (95 | ) | $ | 1,987 |
Liabilities |  |  |  |  |  |  |  |  |
Contingent Consideration [6] | (29 | ) | 2 |  | — |  | — |  | — |  | — |  | — |  | — |  | (27 | )
Total Liabilities | $ | (29 | ) | $ | 2 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (27 | )
Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 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 March 31, 2017
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 45 |  | $ | — |  | $ | — |  | $ | 33 |  | $ | (3 | ) | $ | — |  | $ | 23 |  | $ | (17 | ) | $ | 81 |
| CDOs | 154 |  | — |  | 3 |  | — |  | (1 | ) | — |  | — |  | (36 | ) | 120 |
| CMBS | 59 |  | (1 | ) | — |  | 28 |  | (2 | ) | — |  | — |  | (12 | ) | 72 |
| Corporate | 514 |  | 1 |  | 5 |  | 100 |  | (37 | ) | (97 | ) | 35 |  | — |  | 521 |
| Foreign Govt./Govt. Agencies | 47 |  | — |  | 2 |  | — |  | — |  | — |  | — |  | — |  | 49 |
| Municipal | 46 |  | — |  | 3 |  | — |  | — |  | (5 | ) | — |  | — |  | 44 |
| RMBS | 1,261 |  | — |  | 4 |  | 88 |  | (55 | ) | (7 | ) | — |  | — |  | 1,291 |
Total Fixed Maturities, AFS | 2,126 |  | — |  | 17 |  | 249 |  | (98 | ) | (109 | ) | 58 |  | (65 | ) | 2,178 |
Fixed Maturities, FVO | 11 |  | — |  | — |  | 4 |  | (2 | ) | (13 | ) | — |  | — |  | — |
Equity Securities, AFS | 55 |  | — |  | (2 | ) | 2 |  | — |  | — |  | — |  | — |  | 55 |
Derivatives, net [4] |  |  |  |  |  |  |  |  |
| Equity | — |  | (1 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 4 |
| Interest rate | 9 |  | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 5 |
| Other contracts | 1 |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total Derivatives, net [4] | 10 |  | (6 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 9 |
Total Assets | $ | 2,202 |  | $ | (6 | ) | $ | 15 |  | $ | 260 |  | $ | (100 | ) | $ | (122 | ) | $ | 58 |  | $ | (65 | ) | $ | 2,242 |
Liabilities |  |  |  |  |  |  |  |  |
Contingent Consideration [6] | (25 | ) | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (26 | )
Total Liabilities | $ | (25 | ) | $ | (1 | ) | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (26 | )
[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 March 31,
|  | 2018 [1] [2] | 2017 [1] [2]
Assets |  |
Fixed Maturities, AFS |  |
| CMBS | $ | — |  | $ | (1 | )
Total Fixed Maturities, AFS | — |  | (1 | )
Derivatives, net |  |
| Equity | — |  | (1 | )
| Interest rate | 1 |  | (3 | )
Total Derivatives, net | 1 |  | (4 | )
Total Assets | $ | 1 |  | $ | (5 | )
Liabilities |  |
Contingent Consideration [3] | 2 |  | (1 | )
Total Liabilities | $ | 2 |  | $ | (1 | )
[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.
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, 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") | $ | 911 |  | $ | — |  | $ | 897 |  | $ | 14 |
Collateralized debt obligations ("CDOs") | 1,144 |  | — |  | 1,038 |  | 106 |
Commercial mortgage-backed securities ("CMBS") | 3,311 |  | — |  | 3,278 |  | 33 |
Corporate | 12,634 |  | — |  | 12,119 |  | 515 |
Foreign government/government agencies | 1,082 |  | — |  | 1,080 |  | 2 |
Municipal | 11,544 |  | — |  | 11,528 |  | 16 |
Residential mortgage-backed securities ("RMBS") | 3,086 |  | — |  | 1,853 |  | 1,233 |
U.S. Treasuries | 2,212 |  | 458 |  | 1,754 |  | — |
Total fixed maturities | 35,924 |  | 458 |  | 33,547 |  | 1,919 |
Fixed maturities, FVO | 38 |  | — |  | 38 |  | — |
Equity securities, at fair value | 1,123 |  | 1,009 |  | 49 |  | 65 |
Derivative assets |  |  |  |
Credit derivatives | 11 |  | — |  | 11 |  | — |
Equity derivatives | 1 |  | — |  | — |  | 1 |
Total derivative assets [1] | 12 |  | — |  | 11 |  | 1 |
Short-term investments | 2,385 |  | 874 |  | 1,511 |  | — |
Total assets accounted for at fair value on a recurring basis | $ | 39,482 |  | $ | 2,341 |  | $ | 35,156 |  | $ | 1,985 |
Liabilities accounted for at fair value on a recurring basis |  |  |  |
Derivative liabilities |  |  |  |
Credit derivatives | 1 |  | — |  | 1 |  | — |
Foreign exchange derivatives | (21 | ) | — |  | (21 | ) | — |
Interest rate derivatives | (66 | ) | — |  | (68 | ) | 2 |
Total derivative liabilities [2] | (86 | ) | — |  | (88 | ) | 2 |
Contingent consideration [3] | (27 | ) | — |  | — |  | (27 | )
Total liabilities accounted for at fair value on a recurring basis | $ | (113 | ) | $ | — |  | $ | (88 | ) | $ | (25 | )
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, clearing house rules 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, clearing house rules 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 March 31, 2018
Interest rate swaptions [2] | $ | 2 |  | Option model | Interest rate volatility | 3 | % | 3 | % | Increase
Equity Options | 1 |  | Option model | Equity volatility | 20 | % | 27 | % | 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.
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, 2018
CMBS [3] | $ | 21 |  | Discounted cash flows | Spread (encompasses prepayment, default risk and loss severity) | 9 bps | 1,040 bps | 389 bps | Decrease
Corporate [4] | $ | 277 |  | Discounted cash flows | Spread | 112 bps | 768 bps | 197 bps | Decrease
Municipal | $ | 16 |  | Discounted cash flows | Spread | 199 bps | 240 bps | 218 bps | Decrease
RMBS [3] | $ | 1,163 |  | Discounted cash flows | Spread | 6 bps | 335 bps | 69 bps | Decrease
|  |  | Constant prepayment rate | 1% | 25% | 7% | Decrease [5]
|  |  | Constant default rate | —% | 9% | 4% | Decrease
|  |  | Loss severity | —% | 100% | 59% | 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 [3] | $ | 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 based 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.
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
Fair Value, Assets (Liabilities) Measured on Recurring Basis, Unobservable Input Reconciliation |
Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 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 March 31, 2018
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 19 |  | $ | — |  | $ | — |  | $ | — |  | $ | (2 | ) | $ | — |  | $ | — |  | $ | (3 | ) | $ | 14 |
| CDOs | 95 |  | — |  | — |  | 21 |  | — |  | — |  | — |  | (10 | ) | 106 |
| CMBS | 69 |  | — |  | (1 | ) | — |  | (1 | ) | — |  | — |  | (34 | ) | 33 |
| Corporate | 520 |  | 1 |  | (1 | ) | 65 |  | (14 | ) | (23 | ) | — |  | (33 | ) | 515 |
| Foreign Govt./Govt. Agencies | 2 |  | — |  | — |  | — |  | — |  | — |  | — |  | — |  | 2 |
| Municipal | 17 |  | — |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | 16 |
| RMBS | 1,230 |  | — |  | (3 | ) | 102 |  | (81 | ) | — |  | — |  | (15 | ) | 1,233 |
Total Fixed Maturities, AFS | 1,952 |  | 1 |  | (6 | ) | 188 |  | (98 | ) | (23 | ) | — |  | (95 | ) | 1,919 |
Equity Securities, at fair value | 76 |  | 28 |  | — |  | — |  | — |  | (39 | ) | — |  | — |  | 65 |
Derivatives, net [4] |  |  |  |  |  |  |  |  |
| Equity | 1 |  | 2 |  | — |  | — |  | — |  | (2 | ) | — |  | — |  | 1 |
| Interest rate | 1 |  | 1 |  | — |  | — |  | — |  | — |  | — |  | — |  | 2 |
Total Derivatives, net [4] | 2 |  | 3 |  | — |  | — |  | — |  | (2 | ) | — |  | — |  | 3 |
Total Assets | $ | 2,030 |  | $ | 32 |  | $ | (6 | ) | $ | 188 |  | $ | (98 | ) | $ | (64 | ) | $ | — |  | $ | (95 | ) | $ | 1,987 |
Liabilities |  |  |  |  |  |  |  |  |
Contingent Consideration [6] | (29 | ) | 2 |  | — |  | — |  | — |  | — |  | — |  | — |  | (27 | )
Total Liabilities | $ | (29 | ) | $ | 2 |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (27 | )
Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Three Months Ended March 31, 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 March 31, 2017
Assets |  |  |  |  |  |  |  |  |
Fixed Maturities, AFS |  |  |  |  |  |  |  |  |
| ABS | $ | 45 |  | $ | — |  | $ | — |  | $ | 33 |  | $ | (3 | ) | $ | — |  | $ | 23 |  | $ | (17 | ) | $ | 81 |
| CDOs | 154 |  | — |  | 3 |  | — |  | (1 | ) | — |  | — |  | (36 | ) | 120 |
| CMBS | 59 |  | (1 | ) | — |  | 28 |  | (2 | ) | — |  | — |  | (12 | ) | 72 |
| Corporate | 514 |  | 1 |  | 5 |  | 100 |  | (37 | ) | (97 | ) | 35 |  | — |  | 521 |
| Foreign Govt./Govt. Agencies | 47 |  | — |  | 2 |  | — |  | — |  | — |  | — |  | — |  | 49 |
| Municipal | 46 |  | — |  | 3 |  | — |  | — |  | (5 | ) | — |  | — |  | 44 |
| RMBS | 1,261 |  | — |  | 4 |  | 88 |  | (55 | ) | (7 | ) | — |  | — |  | 1,291 |
Total Fixed Maturities, AFS | 2,126 |  | — |  | 17 |  | 249 |  | (98 | ) | (109 | ) | 58 |  | (65 | ) | 2,178 |
Fixed Maturities, FVO | 11 |  | — |  | — |  | 4 |  | (2 | ) | (13 | ) | — |  | — |  | — |
Equity Securities, AFS | 55 |  | — |  | (2 | ) | 2 |  | — |  | — |  | — |  | — |  | 55 |
Derivatives, net [4] |  |  |  |  |  |  |  |  |
| Equity | — |  | (1 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 4 |
| Interest rate | 9 |  | (4 | ) | — |  | — |  | — |  | — |  | — |  | — |  | 5 |
| Other contracts | 1 |  | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total Derivatives, net [4] | 10 |  | (6 | ) | — |  | 5 |  | — |  | — |  | — |  | — |  | 9 |
Total Assets | $ | 2,202 |  | $ | (6 | ) | $ | 15 |  | $ | 260 |  | $ | (100 | ) | $ | (122 | ) | $ | 58 |  | $ | (65 | ) | $ | 2,242 |
Liabilities |  |  |  |  |  |  |  |  |
Contingent Consideration [6] | (25 | ) | (1 | ) | — |  | — |  | — |  | — |  | — |  | — |  | (26 | )
Total Liabilities | $ | (25 | ) | $ | (1 | ) | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (26 | )
[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 March 31,
|  | 2018 [1] [2] | 2017 [1] [2]
Assets |  |
Fixed Maturities, AFS |  |
| CMBS | $ | — |  | $ | (1 | )
Total Fixed Maturities, AFS | — |  | (1 | )
Derivatives, net |  |
| Equity | — |  | (1 | )
| Interest rate | 1 |  | (3 | )
Total Derivatives, net | 1 |  | (4 | )
Total Assets | $ | 1 |  | $ | (5 | )
Liabilities |  |
Contingent Consideration [3] | 2 |  | (1 | )
Total Liabilities | $ | 2 |  | $ | (1 | )
[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 March 31,
| 2018 | 2017
Assets |  |
Fixed maturities, FVO |  |
Corporate | $ | — |  | $ | (1 | )
Total realized capital gains (losses) | $ | — |  | $ | (1 | )
Fair Value of Assets and Liabilities using the Fair Value Option
| March 31, 2018 | December 31, 2017
Assets |  |
Fixed maturities, FVO |  |
RMBS | $ | 38 |  | $ | 41 |
Total fixed maturities, FVO | $ | 38 |  | $ | 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
March 31, 2018
Assets |  |  |
Mortgage loans | Level 3 | $ | 3,221 |  | $ | 3,220 |
Liabilities |  |  |
Other policyholder funds and benefits payable | Level 3 | $ | 809 |  | $ | 811 |
Senior notes [1] | Level 2 | $ | 3,585 |  | $ | 4,097 |
Junior subordinated debentures [1] | Level 2 | $ | 1,583 |  | $ | 1,694 |
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.

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