Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2013

Financial Instruments Measured At Fair Value On A Recurring Basis



March 31, 2013	Level 1			Level 2		Level 3		Total
(in millions of U.S. dollars)	Level 1			Level 2		Level 3		Total
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,986		$	1,857	$	—	$	3,843
Foreign	223			13,406		35		13,664
Corporate securities	19			16,784		118		16,921
Mortgage-backed securities	—			10,158		13		10,171
States, municipalities, and political subdivisions	—			3,348		—		3,348
	2,228			45,553		166		47,947
Equity securities	337			493		2		832
Short-term investments	2,130			763		—		2,893
Other investments	277			215		2,328		2,820
Securities lending collateral	—			1,786		—		1,786
Investment derivative instruments	(51		)	—		—		(51		)
Other derivative instruments	(37		)	17		—		(20		)
Separate account assets	947			69		—		1,016
Total assets measured at fair value	$	5,831		$	48,896	$	2,496	$	57,223
Liabilities:
GLB⁽¹⁾	$	—		$	—	$	753	$	753


⁽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.



December 31, 2012	Level 1			Level 2		Level 3		Total
(in millions of U.S. dollars)	Level 1			Level 2		Level 3		Total
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	2,050		$	1,685	$	—	$	3,735
Foreign	222			13,431		60		13,713
Corporate securities	20			16,586		102		16,708
Mortgage-backed securities	—			10,460		13		10,473
States, municipalities, and political subdivisions	—			2,677		—		2,677
	2,292			44,839		175		47,306
Equity securities	253			488		3		744
Short-term investments	1,503			725		—		2,228
Other investments	268			196		2,252		2,716
Securities lending collateral	—			1,791		—		1,791
Investment derivative instruments	11			—		—		11
Other derivative instruments	(6		)	30		—		24
Separate account assets	872			71		—		943
Total assets measured at fair value	$	5,193		$	48,140	$	2,430	$	55,763
Liabilities:
GLB⁽¹⁾	$	—		$	—	$	1,119	$	1,119


⁽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



				March 31				December 31
	Expected Liquidation Period			2013				2012
(in millions of U.S. dollars)	Expected Liquidation Period	Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	5 to 9 Years	$	237	$	106	$	225	$	111
Real estate	3 to 9 Years	342		67		292		62
Distressed	6 to 9 Years	182		147		192		152
Mezzanine	6 to 9 Years	274		282		284		279
Traditional	3 to 8 Years	737		575		711		587
Vintage	1 to 3 Years	14		—		14		—
Investment funds	Not Applicable	404		—		395		—
		$	2,190	$	1,177	$	2,113	$	1,191

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

(in millions of U.S. dollars, except for percentages)

Fair Value at

March 31, 2013

Fair Value at

December 31, 2012

Valuation

Technique

Significant

Unobservable Inputs

Ranges

GLB⁽¹⁾

753

1,119

Actuarial model

Lapse rate

1% – 30%

Annuitization rate

0% – 50%


⁽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



	Assets														Liabilities
	Available-for-Sale Debt Securities								Equity securities			Other investments			GLB⁽¹⁾
Three Months Ended	Foreign			Corporate securities			MBS
March 31, 2013
(in millions of U.S. dollars)
Balance–Beginning of Period	$	60		$	102		$	13	$	3		$	2,252		$	1,119
Transfers into Level 3	3			12			—		—			—			—
Transfers out of Level 3	(27		)	(2		)	—		(1		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			1			—		—			22			—
Net Realized Gains/Losses	1			—			—		—			(1		)	(366		)
Purchases	—			10			—		—			136			—
Sales	(1		)	—			—		—			(9		)	—
Settlements	(1		)	(5		)	—		—			(72		)	—
Balance–End of Period	$	35		$	118		$	13	$	2		$	2,328		$	753
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—		$	(1	)	$	(366	)


⁽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.



	Assets																							Liabilities
	Available-for-Sale Debt Securities														Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
Three Months Ended	U.S. Treasury and Agency			Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions
March 31, 2012
(in millions of U.S. dollars)
Balance–Beginning of Period	$	5		$	33		$	134		$	28		$	1	$	13		$	1,877		$	3		$	1,319
Transfers out of Level 3	(5		)	(1		)	(7		)	(12		)	—		—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			2			—			—		1			9			—			—
Net Realized Gains/Losses	—			—			—			—			—		—			(2		)	(3		)	(456		)
Purchases	—			34			3			4			—		1			113			—			—
Sales	—			(17		)	(8		)	—			—		(5		)	(2		)	—			—
Settlements	—			—			(7		)	(1		)	—		—			(41		)	(1		)	—
Balance–End of Period	$	—		$	49		$	117		$	19		$	1	$	10		$	1,954		$	(1	)	$	863
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	—		$	(2	)	$	(3	)	$	(456	)

⁽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 $1.05 billion at March 31, 2012, and $1.5 billion at December 31, 2011, which includes a fair value derivative adjustment of $863 million and $1.3 billion, respectively.

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

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:



March 31, 2013	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total		Carrying Value
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	641	$	356	$	—	$	997	$	962
Foreign	—		937		—		937		882
Corporate securities	—		2,185		17		2,202		2,064
Mortgage-backed securities	—		1,893		—		1,893		1,812
States, municipalities, and political subdivisions	—		1,184		—		1,184		1,147
	641		6,555		17		7,213		6,867
Partially-owned insurance companies	—		—		449		449		449
Total assets	$	641	$	6,555	$	466	$	7,662	$	7,316
Liabilities:
Short-term debt	$	—	$	1,402	$	—	$	1,402	$	1,402
Long-term debt	—		4,861		—		4,861		4,307
Trust preferred securities	—		449		—		449		309
Total liabilities	$	—	$	6,712	$	—	$	6,712	$	6,018



December 31, 2012	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total		Carrying Value
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	619	$	464	$	—	$	1,083	$	1,044
Foreign	—		964		—		964		910
Corporate securities	—		2,257		18		2,275		2,133
Mortgage-backed securities	—		2,116		—		2,116		2,028
States, municipalities, and political subdivisions	—		1,195		—		1,195		1,155
	619		6,996		18		7,633		7,270
Partially-owned insurance companies	—		—		454		454		454
Total assets	$	619	$	6,996	$	472	$	8,087	$	7,724
Liabilities:
Short-term debt	$	—	$	1,401	$	—	$	1,401	$	1,401
Long-term debt	—		3,916		—		3,916		3,360
Trust preferred securities	—		446		—		446		309
Total liabilities	$	—	$	5,763	$	—	$	5,763	$	5,070