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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 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 December 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")
$
1,276

$
—

$
1,266

$
10

Collateralized loan obligations ("CLOs")
1,437

—

1,337

100

Commercial mortgage-backed securities ("CMBS")
3,552

—

3,540

12

Corporate
13,398

—

12,878

520

Foreign government/government agencies
847

—

844

3

Municipal
10,346

—

10,346

—

Residential mortgage-backed securities ("RMBS")
3,279

—

2,359

920

U.S. Treasuries
1,517

330

1,187

—

Total fixed maturities
35,652

330

33,757

1,565

Fixed maturities, FVO
22

—

22

—

Equity securities, at fair value
1,214

1,093

44

77

Derivative assets
 
 
 
 
Credit derivatives
5

—

5

—

Equity derivatives
3

—

—

3

Foreign exchange derivatives
(2
)
—

(2
)
—

Interest rate derivatives
1

—

1

—

Total derivative assets [1]
7

—

4

3

Short-term investments
4,283

1,039

3,244

—

Total assets accounted for at fair value on a recurring basis
$
41,178

$
2,462

$
37,071

$
1,645

Liabilities accounted for at fair value on a recurring basis
 

 

 

 

Derivative liabilities
 

 

 

 

Credit derivatives
(2
)
—

(2
)
—

Equity derivatives
1

—

1

—

Foreign exchange derivatives
(5
)
—

(5
)
—

Interest rate derivatives
(62
)
—

(63
)
1

Total derivative liabilities [2]
(68
)
—

(69
)
1

Contingent consideration [3]
(35
)
—

—

(35
)
Total liabilities accounted for at fair value on a recurring basis
$
(103
)
$
—

$
(69
)
$
(34
)

[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.
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 loan obligations ("CLOs")
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

—

Foreign exchange derivatives
(1
)
—

(1
)
—

Equity 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 - 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 December 31, 2018
CMBS [3]
$
2

Discounted cash flows
Spread (encompasses prepayment, default risk and loss severity)
9 bps
1,040 bps
182 bps
Decrease
Corporate [4]
274

Discounted cash flows
Spread
145 bps
1,175 bps
263 bps
Decrease
RMBS [3]
815

Discounted cash flows
Spread [6]
12 bps
215 bps
86 bps
Decrease
 
 
 
Constant prepayment rate [6]
1%
15%
6%
 Decrease [5]
 
 
 
Constant default rate [6]
1%
8%
3%
Decrease
 
 
 
Loss severity [6]
—%
100%
61%
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 [6]
24
 bps
351
 bps
74
 bps
Decrease
 
 
 
Constant prepayment rate [6]
1%
25%
6%
Decrease [5]
 
 
 
Constant default rate [6]
—%
9%
4%
Decrease
 
 
 
Loss severity [6]
—%
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.
[6]
Generally, a change in the assumption used for the constant default rate would have been accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for constant prepayment rate and would have resulted in wider spreads.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, CLOs 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 - Derivatives
  
Fair
Value
Predominant Valuation
Technique
Significant
Unobservable Input
Minimum
Maximum
Weighted Average [1]
Impact of Increase in Input on Fair Value [2]
As of December 31, 2018
Interest rate swaptions [3]
1

Option model
Interest rate volatility
3
%
3
%
3
%
Increase
Equity options
3

Option model
Equity volatility
19
%
21
%
20
%
Increase
As of December 31, 2017
Interest rate swaptions [3]
1

Option model
Interest rate volatility
2
%
2
%
2
%
Increase
Equity options
1

Option model
Equity volatility
18
%
22
%
20
%
Increase
[1]
The weighted average is determined based on the fair value of the derivatives.
[2]
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.
[3]
The swaptions presented are purchased options that have the right to enter into a pay-fixed swap.
Fair Value, Assets (Liabilities) Measured on Recurring Basis, Unobservable Input Reconciliation Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Year Ended December 31, 2018
 
Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
Fair value as of January 1, 2018
Included in net income [1]
Included in OCI [2]
Purchases
Settlements
Sales
Transfers into Level 3 [3]
Transfers out of Level 3 [3]
Fair value as of December 31, 2018
Assets
 
 
 
 
 
 
 
 
 
Fixed Maturities, AFS
 
 
 
 
 
 
 
 
 
 
ABS
$
19

$
—

$
—

$
90

$
(5
)
$
(4
)
$
12

$
(102
)
$
10

 
CLOs
95

—

—

330

—

(13
)
—

(312
)
100

 
CMBS
69

(1
)
—

25

(14
)
(8
)
—

(59
)
12

 
Corporate
520

1

(18
)
197

(36
)
(52
)
31

(123
)
520

 
Foreign Govt./Govt. Agencies
2

—

—

1

—

—

—

—

3

 
Municipal
17

—

(1
)
—

—

(1
)
—

(15
)
—

 
RMBS
1,230

—

(16
)
273

(319
)
(52
)
4

(200
)
920

Total Fixed Maturities, AFS
1,952

—

(35
)
916

(374
)
(130
)
47

(811
)
1,565

Equity Securities, at fair value
76

29

—

12

—

(40
)
—

—

77

Derivatives, net [4]
 
 
 
 
 
 
 
 
 
 
Equity
1

3

—

1

—

(2
)
—

—

3

 
Interest rate
1

—

—

—

—

—

—

—

1

Total Derivatives, net [4]
2

3

—

1

—

(2
)
—

—

4

Total Assets
2,030

32

(35
)
929

(374
)
(172
)
47

(811
)
1,646

Liabilities
 
 
 
 
 
 
 
 
 
Contingent Consideration [5]
(29
)
(6
)
—

—

—

—

—

—

(35
)
Total Liabilities
$
(29
)
$
(6
)
$
—

$
—

$
—

$
—

$
—

$
—

$
(35
)

[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 Consolidated Balance Sheets in other investments and other liabilities.
[5]
For additional information, see Note 2 - Business Acquisitions of Notes to Consolidated Financial Statement for discussion of the contingent consideration in connection with the acquisition of Lattice. Includes both market and non-market impacts in deriving realized and unrealized gains (losses).
Fair Value Rollforwards for Financial Instruments Classified as Level 3 for the Year Ended December 31, 2017
 
Total realized/unrealized gains (losses)
 
 
 
 
 
 
 
 
Fair value as of January 1, 2017
Included in net income [1]
Included in OCI [2]
Purchases
Settlements
Sales
Transfers into Level 3 [3]
Transfers out of Level 3 [3]
Fair value as of December 31, 2017
Assets
 
 
 
 
 
 
 
 
 
Fixed Maturities, AFS
 
 
 
 
 
 
 
 
 
 
ABS
$
45

$
—

$
—

$
56

$
(6
)
$
(6
)
$
27

$
(97
)
$
19

 
CLOs
154

18

(13
)
214

(101
)
(24
)
—

(153
)
95

 
CMBS
59

(2
)
—

76

(9
)
(10
)
—

(45
)
69

 
Corporate
514

1

19

232

(76
)
(157
)
71

(84
)
520

 
Foreign Govt./Govt. Agencies
47

—

3

12

(1
)
(2
)
—

(57
)
2

 
Municipal
46

4

1

1

—

(35
)
—

—

17

 
RMBS
1,261

—

36

209

(268
)
(7
)
—

(1
)
1,230

Total Fixed Maturities, AFS
2,126

21

46

800

(461
)
(241
)
98

(437
)
1,952

Fixed Maturities, FVO
11

—

—

4

(2
)
(13
)
—

—

—

Equity Securities, AFS
55

—

(3
)
24

—

—

—

—

76

Derivatives, net [4]
 
 
 
 
 
 
 
 
 
 
Equity
—

(4
)
—

5

—

—

—

—

1

 
Interest rate
9

(8
)
—

—

—

—

—

—

1

 
Other contracts
1

(1
)
—

—

—

—

—

—

—

Total Derivatives, net [4]
10

(13
)
—

5

—

—

—

—

2

Total Assets
2,202

8

43

833

(463
)
(254
)
98

(437
)
2,030

Liabilities
 
 
 
 
 
 
 
 
 
Contingent Considerations [5]
(25
)
(4
)
—

—

—

—

—

—

(29
)
Total Liabilities
$
(25
)
$
(4
)
$
—

$
—

$
—

$
—

$
—

$
—

$
(29
)

[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 Consolidated Balance Sheets in other investments and other liabilities.
[5]
For additional information, see Note 2 - Business Acquisitions of Notes to Consolidated Financial Statement for discussion of the contingent consideration in connection with the acquisition of Lattice. Includes both market and non-market impacts in deriving realized and unrealized gains (losses).
Changes in Unrealized Gains (Losses) for Financial Instruments Classified as Level 3 Still Held at Year End
 
 
December 31,
 
 
2018
2017
 
 
Changes in Unrealized Gain/(Loss) included in Net Income [1] [2]
Changes in Unrealized Gain/(Loss) included in OCI [3]
Changes in Unrealized Gain/(Loss) included in Net Income [1] [2]
Assets
 
 
 
Fixed Maturities, AFS
 
 
 
 
ABS
$
—

$
1

$
—

 
CMBS
(1
)
28

(2
)
 
Corporate
—

(42
)
—

 
Municipal
—

24

—

 
RMBS
—

17

—

Total Fixed Maturities, AFS
(1
)
28

(2
)
Derivatives, net
 
 
 
 
Equity
1



(5
)
 
Interest rate
—

—

(7
)
Total Derivatives, net
1

—

(12
)
Total Assets
—

28

(14
)
Liabilities
 
 
 
Contingent Consideration [4]
(6
)


(4
)
Total Liabilities
$
(6
)
$
—

$
(4
)
[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]
Changes in unrealized gain/(loss) on fixed maturities, AFS are reported in changes in net unrealized gain on securities in the Consolidated Statements of Comprehensive Income. Changes in interest rate derivatives are reported in changes in net gain on cash flow hedging instruments in the Consolidated Statements of Comprehensive Income.
[4]
For additional information, see Note 2 - Business Acquisitions of Notes to Consolidated Financial Statements for discussion of the contingent consideration in connection with the acquisition of Lattice.
Schedule of Carrying Values and Estimated Fair Values of Debt Instruments Financial Assets and Liabilities Not Carried at Fair Value
 
December 31, 2018
 
December 31, 2017
 
Fair Value Hierarchy Level
Carrying Amount
Fair Value
 
Fair Value Hierarchy Level
Carrying Amount
Fair Value
Assets
 
 
 
 
 
 
 
Mortgage loans
Level 3
$
3,704

$
3,746

 
Level 3
$
3,175

$
3,220

Liabilities
 
 
 
 
 
 
 
Other policyholder funds and benefits payable
Level 3
$
774

$
775

 
Level 3
$
825

$
827

Senior notes [1]
Level 2
$
3,589

$
3,887

 
Level 2
$
3,415

$
4,054

Junior subordinated debentures [1]
Level 2
$
1,089

$
1,052

 
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.