Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2013

Financial Instruments Measured At Fair Value On A Recurring Basis



June 30, 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	$	1,846	$	1,442	$	—	$	3,288
Foreign	182		13,611		48		13,841
Corporate securities	19		16,731		114		16,864
Mortgage-backed securities	—		9,769		9		9,778
States, municipalities, and political subdivisions	—		3,245		—		3,245
	2,047		44,798		171		47,016
Equity securities	379		454		4		837
Short-term investments	1,442		974		9		2,425
Other investments	271		216		2,349		2,836
Securities lending collateral	—		1,662		—		1,662
Investment derivative instruments	25		—		—		25
Other derivative instruments	15		24		—		39
Separate account assets	961		72		—		1,033
Total assets measured at fair value	$	5,140	$	48,200	$	2,533	$	55,873
Liabilities:
GLB⁽¹⁾	$	—	$	—	$	652	$	652


⁽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



				June 30				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	$	246	$	94	$	225	$	111
Real estate	3 to 9 Years	347		67		292		62
Distressed	6 to 9 Years	180		130		192		152
Mezzanine	6 to 9 Years	261		285		284		279
Traditional	3 to 8 Years	750		568		711		587
Vintage	1 to 3 Years	12		—		14		—
Investment funds	Not Applicable	414		—		395		—
		$	2,210	$	1,144	$	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

June 30, 2013

Fair Value at

December 31, 2012

Valuation

Technique

Significant

Unobservable Inputs

Ranges

GLB⁽¹⁾

652

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			Short-term investments		Other investments			GLB⁽¹⁾
Three Months Ended	Foreign			Corporate securities			MBS
June 30, 2013
(in millions of U.S. dollars)
Balance–Beginning of Period	$	35		$	118		$	13		$	2		$	—	$	2,328		$	753
Transfers into Level 3	29			5			—			7			7		—			—
Transfers out of Level 3	(14		)	(27		)	—			—			—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	(4		)	(1		)	—			(5		)	—		13			—
Net Realized Gains/Losses	—			(1		)	—			4			—		(1		)	(101		)
Purchases	3			23			—			1			2		113			—
Sales	(1		)	—			(3		)	(5		)	—		—			—
Settlements	—			(3		)	(1		)	—			—		(104		)	—
Balance–End of Period	$	48		$	114		$	9		$	4		$	9	$	2,349		$	652
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	(1	)	$	(101	)


⁽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
June 30, 2012
(in millions of U.S. dollars)
Balance–Beginning of Period	$	—		$	49		$	117		$	19		$	1		$	10	$	1,954		$	(1	)	$	863
Transfers into Level 3	5			1			28			12			1			—		—			—			—
Transfers out of Level 3	—			—			(2		)	(3		)	—			—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			1			—			—			—		16			—			—
Net Realized Gains/Losses	—			—			(1		)	—			—			—		(5		)	(1		)	491
Purchases	—			6			5			—			—			2		132			3			—
Sales	—			(35		)	(7		)	—			—			—		—			—			—
Settlements	(1		)	(1		)	(4		)	(1		)	(1		)	—		(50		)	—			—
Balance–End of Period	$	4		$	20		$	137		$	27		$	1		$	12	$	2,047		$	1		$	1,354
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—	$	(5	)	$	—		$	491

⁽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 $1.6 billion at June 30, 2012, and $1.05 billion at March 31, 2012, which includes a fair value derivative adjustment of $1.4 billion and $863 million, respectively.



	Assets																	Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			GLB⁽¹⁾
Six Months Ended	Foreign			Corporate securities			MBS
June 30, 2013
(in millions of U.S. dollars)
Balance–Beginning of Period	$	60		$	102		$	13		$	3		$	—	$	2,252		$	1,119
Transfers into Level 3	32			17			—			7			7		—			—
Transfers out of Level 3	(41		)	(29		)	—			(1		)	—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	(4		)	—			—			(5		)	—		35			—
Net Realized Gains/Losses	1			(1		)	—			4			—		(2		)	(467		)
Purchases	3			33			—			1			2		249			—
Sales	(2		)	—			(3		)	(5		)	—		(9		)	—
Settlements	(1		)	(8		)	(1		)	—			—		(176		)	—
Balance–End of Period	$	48		$	114		$	9		$	4		$	9	$	2,349		$	652
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	(2	)	$	(467	)


⁽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⁾
Six Months Ended	U.S. Treasury and Agency			Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions
June 30, 2012
(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	—			1			28			12			1			—			—			—			—
Transfers out of Level 3	—			(1		)	(9		)	(15		)	—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			3			—			—			1			24			—			—
Net Realized Gains/Losses	—			—			(1		)	—			—			—			(7		)	(4		)	35
Purchases	—			40			8			4			—			3			245			3			—
Sales	—			(52		)	(15		)	—			—			(5		)	(1		)	—			—
Settlements	(1		)	(1		)	(11		)	(2		)	(1		)	—			(91		)	(1		)	—
Balance–End of Period	$	4		$	20		$	137		$	27		$	1		$	12		$	2,047		$	1		$	1,354
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(7	)	$	(1	)	$	35

⁽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 $1.6 billion at June 30, 2012, and $1.5 billion at December 31, 2011, which includes a fair value derivative adjustment of $1.4 billion 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:



June 30, 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	$	596	$	280	$	—	$	876	$	858
Foreign	—		905		—		905		873
Corporate securities	—		2,091		17		2,108		2,030
Mortgage-backed securities	—		1,667		—		1,667		1,615
States, municipalities, and political subdivisions	—		1,206		—		1,206		1,200
	596		6,149		17		6,762		6,576
Partially-owned insurance companies	—		—		452		452		452
Total assets	$	596	$	6,149	$	469	$	7,214	$	7,028
Liabilities:
Short-term debt	$	—	$	1,925	$	—	$	1,925	$	1,901
Long-term debt	—		4,148		—		4,148		3,807
Trust preferred securities	—		425		—		425		309
Total liabilities	$	—	$	6,498	$	—	$	6,498	$	6,017



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