Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2012

Financial Instruments Measured At Fair Value On A Recurring Basis



	Level 1			Level 2		Level 3		Total
	(in millions of U.S. dollars)
September 30, 2012
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,991		$	1,563	$	—	$	3,554
Foreign	204			13,738		25		13,967
Corporate securities	19			15,684		130		15,833
Mortgage-backed securities	—			10,707		29		10,736
States, municipalities, and political subdivisions	—			2,413		1		2,414
	2,214			44,105		185		46,504
Equity securities	761			5		4		770
Short-term investments	1,561			868		—		2,429
Other investments	248			195		2,178		2,621
Securities lending collateral	—			2,039		—		2,039
Investment derivative instruments	(3		)	—		—		(3		)
Other derivative instruments	6			32		—		38
Separate account assets	1,024			61		—		1,085
Total assets measured at fair value	$	5,811		$	47,305	$	2,367	$	55,483
Liabilities:
GLB⁽¹⁾	$	—		$	—	$	1,279	$	1,279

____________________


⁽¹⁾	Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



	Level 1			Level 2		Level 3		Total
	(in millions of U.S. dollars)
December 31, 2011
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,691		$	1,264	$	5	$	2,960
Foreign	212			12,156		33		12,401
Corporate securities	20			14,539		134		14,693
Mortgage-backed securities	—			10,173		28		10,201
States, municipalities, and political subdivisions	—			1,711		1		1,712
	1,923			39,843		201		41,967
Equity securities	632			2		13		647
Short-term investments	1,246			1,055		—		2,301
Other investments	208			229		1,877		2,314
Securities lending collateral	—			1,375		—		1,375
Investment derivative instruments	10			—		—		10
Other derivative instruments	(16		)	54		3		41
Separate account assets	607			53		—		660
Total assets measured at fair value	$	4,610		$	42,611	$	2,094	$	49,315
Liabilities:
GLB⁽¹⁾	$	—		$	—	$	1,319	$	1,319

____________________


⁽¹⁾	Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.

Fair Value And Maximum Future Funding Commitments Related To Investments



	Expected Liquidation Period	September 30, 2012				December 31, 2011
	Expected Liquidation Period	Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
		(in millions of U.S. dollars)
Financial	5 to 9 Years	$	210	$	124	$	205	$	141
Real estate	3 to 9 Years	323		66		270		96
Distressed	6 to 9 Years	189		142		182		57
Mezzanine	6 to 9 Years	269		294		195		282
Traditional	3 to 8 Years	647		541		565		200
Vintage	1 to 3 Years	16		1		18		1
Investment funds	Not Applicable	389		—		378		—
		$	2,043	$	1,168	$	1,813	$	777

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations



(in millions of U.S. dollars)	Fair Value at September 30, 2012		Valuation Technique	Significant Unobservable Inputs	Ranges
GLB⁽¹⁾	$	1,279	Actuarial model	Lapse rate	1% - 30%
				Annuitization rate	0% - 50%

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⁽¹⁾	Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits.

Financial Instruments Measured At Fair Value Using Significant Unobservable Inputs



	Three Months Ended September 30, 2012
	Assets																							Liabilities
	Available-for-Sale Debt Securities														Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
	U.S. Treasury and Agency			Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions		Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
				(in millions of U.S. dollars)
Balance-Beginning of Period	$	4		$	20		$	137		$	27		$	1	$	12		$	2,047		$	1		$	1,354
Transfers into Level 3	—			5			5			10			—		2			53			—			—
Transfers out of Level 3	(4		)	(6		)	(26		)	—			—		(10		)	—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			3			—			—		(1		)	13			—			—
Net Realized Gains/Losses	—			—			—			—			—		—			—			—			(75		)
Purchases	—			6			11			—			—		1			121			—			—
Sales	—			—			—			(7		)	—		—			(5		)	—			—
Settlements	—			—			—			(1		)	—		—			(51		)	(1		)	—
Balance-End of Period	$	—		$	25		$	130		$	29		$	1	$	4		$	2,178		$	—		$	1,279
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	—		$	—		$	—		$	(75	)

____________________


⁽¹⁾	Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



	Three Months Ended September 30, 2011
	Assets																			Liabilities
	Available-for-Sale Debt Securities											Equity securities		Other investments			Other derivative instruments			GLB⁽¹⁾
	Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions		Equity securities		Other investments			Other derivative instruments			GLB⁽¹⁾
	(in millions of U.S. dollars)
Balance-Beginning of Period	$	27		$	142		$	34		$	1	$	10	$	1,680		$	4		$	524
Transfers into Level 3	—			—			—			—		—		—			—			—
Transfers out of Level 3	(11		)	—			(13		)	—		—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			(6		)	—			—		—		59			—			—
Net Realized Gains/Losses	(1		)	—			—			—		—		(1		)	5			952
Purchases	1			1			—			—		—		85			—			—
Sales	—			(3		)	(2		)	—		—		—			—			—
Settlements	—			(9		)	(1		)	—		—		(58		)	(1		)	—
Balance-End of Period	$	16		$	125		$	18		$	1	$	10	$	1,765		$	8		$	1,476
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—	$	—	$	(1	)	$	4		$	952

____________________

⁽¹⁾

Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1,635 million at September 30, 2011, and $676 million at June 30, 2011, which includes a fair value derivative adjustment of $1,476 million and $524 million, respectively.



	Nine Months Ended September 30, 2012
	Assets																								Liabilities
	Available-for-Sale Debt Securities															Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
	U.S. Treasury and Agency			Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions			Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
				(in millions of U.S. dollars)
Balance-Beginning of Period	$	5		$	33		$	134		$	28		$	1		$	13		$	1,877		$	3		$	1,319
Transfers into Level 3	—			6			33			22			1			2			53			—			—
Transfers out of Level 3	(4		)	(7		)	(35		)	(15		)	—			(10		)	—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			6			—			—			—			37			—			—
Net Realized Gains/Losses	—			—			(1		)	—			—			—			(7		)	(4		)	(40		)
Purchases	—			46			19			4			—			4			366			3			—
Sales	—			(52		)	(15		)	(7		)	—			(5		)	(6		)	—			—
Settlements	(1		)	(1		)	(11		)	(3		)	(1		)	—			(142		)	(2		)	—
Balance-End of Period	$	—		$	25		$	130		$	29		$	1		$	4		$	2,178		$	—		$	1,279
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(7	)	$	—		$	(40	)

____________________


⁽¹⁾	Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



	Nine Months Ended September 30, 2011
	Assets																					Liabilities
	Available-for-Sale Debt Securities												Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
	Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions			Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
	(in millions of U.S. dollars)
Balance-Beginning of Period	$	26		$	115		$	39		$	2		$	13		$	1,432		$	4		$	507
Transfers into Level 3	9			34			4			—			—			—			—			—
Transfers out of Level 3	(18		)	(4		)	(48		)	—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	(5		)	—			—			(1		)	110			—			—
Net Realized Gains/Losses	—			(2		)	—			—			4			(4		)	6			969
Purchases	6			23			46			—			2			418			—			—
Sales	(3		)	(23		)	(17		)	—			(8		)	(55		)	—			—
Settlements	(3		)	(13		)	(6		)	(1		)	—			(136		)	(2		)	—
Balance-End of Period	$	16		$	125		$	18		$	1		$	10		$	1,765		$	8		$	1,476
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	(4	)	$	4		$	969

____________________

⁽¹⁾

Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1,635 million at September 30, 2011, and $648 million at December 31, 2010, which includes a fair value derivative adjustment of $1,476 million and $507 million, respectively.

Carrying Values And Fair Values Of Financial Instruments Not Measured At Fair Value



	September 30, 2012				December 31, 2011
	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:	(in millions of U.S. dollars)
Fixed maturities held to maturity
U.S. Treasury and agency	$	1,084	$	1,129	$	1,078	$	1,126
Foreign	919		970		935		930
Corporate securities	2,182		2,322		2,338		2,337
Mortgage-backed securities	2,222		2,330		2,949		3,036
States, municipalities, and political subdivisions	1,086		1,128		1,147		1,176
	7,493		7,879		8,447		8,605
Partially-owned insurance companies	354		354		352		352
Total assets	$	7,847	$	8,233	$	8,799	$	8,957
Liabilities:
Short-term debt	$	1,402	$	1,402	$	1,251	$	1,251
Long-term debt	3,360		3,964		3,360		3,823
Trust preferred securities	309		459		309		404
Total liabilities	$	5,071	$	5,825	$	4,920	$	5,478

Financial Instruments Not Carried At Fair Value



	Level 1		Level 2		Level 3		Total
September 30, 2012	(in millions of U.S. dollars)
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	615	$	514	$	—	$	1,129
Foreign	—		970		—		970
Corporate securities	—		2,306		16		2,322
Mortgage-backed securities	—		2,330		—		2,330
States, municipalities, and political subdivisions	—		1,128		—		1,128
	615		7,248		16		7,879
Partially-owned insurance companies	—		—		354		354
Total assets	$	615	$	7,248	$	370	$	8,233
Liabilities:
Short-term debt	$	—	$	1,402	$	—	$	1,402
Long-term debt	—		3,964		—		3,964
Trust preferred securities	—		459		—		459
Total liabilities	$	—	$	5,825	$	—	$	5,825