Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2014

Fair Value Disclosures [Abstract]

Financial Instruments Measured At Fair Value On A Recurring Basis

March 31, 2014	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,709	$	1,261	$	—	$	2,970
Foreign	233		14,272		26		14,531
Corporate securities	—		17,534		151		17,685
Mortgage-backed securities	—		10,963		8		10,971
States, municipalities, and political subdivisions	—		3,454		—		3,454
	1,942		47,484		185		49,611
Equity securities	380		469		2		851
Short-term investments	1,590		936		—		2,526
Other investments	314		245		2,611		3,170
Securities lending collateral	—		1,550		—		1,550
Investment derivative instruments	8		—		—		8
Other derivative instruments	7		—		—		7
Separate account assets	1,193		83		—		1,276
Total assets measured at fair value	$	5,434	$	50,767	$	2,798	$	58,999
Liabilities:
Investment derivative instruments	$	6	$	—	$	—	$	6
Other derivative instruments	12		2		—		14
GLB(1)	—		—		243		243
Total liabilities measured at fair value	$	18	$	2	$	243	$	263

⁽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, 2013	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,626	$	1,323	$	—	$	2,949
Foreign	223		14,324		44		14,591
Corporate securities	—		17,304		166		17,470
Mortgage-backed securities	—		10,886		8		10,894
States, municipalities, and political subdivisions	—		3,350		—		3,350
	1,849		47,187		218		49,254
Equity securities	373		460		4		837
Short-term investments	953		803		7		1,763
Other investments	305		231		2,440		2,976
Securities lending collateral	—		1,632		—		1,632
Investment derivative instruments	19		—		—		19
Other derivative instruments	—		6		—		6
Separate account assets	1,145		81		—		1,226
Total assets measured at fair value	$	4,644	$	50,400	$	2,669	$	57,713
Liabilities:
Investment derivative instruments	$	6	$	—	$	—	$	6
Other derivative instruments	60		2		—		62
GLB(1)	—		—		193		193
Total liabilities measured at fair value	$	66	$	2	$	193	$	261

⁽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 of Underlying Assets			2014				2013
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	5 to 9 Years	$	271	$	122	$	256	$	129
Real estate	3 to 9 Years	319		63		322		92
Distressed	6 to 9 Years	243		169		180		230
Mezzanine	6 to 9 Years	290		235		276		252
Traditional	3 to 8 Years	882		414		813		456
Vintage	1 to 3 Years	12		—		13		—
Investment funds	Not Applicable	440		—		428		—
		$	2,457	$	1,003	$	2,288	$	1,159

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

(in millions of U.S. dollars, except for percentages)	Fair Value				Valuation Technique	Significant Unobservable Inputs	Ranges
	March 31, 2014		December 31, 2013
GLB(1)	$	243	$	193	Actuarial model	Lapse rate	1% – 30%
						Annuitization rate	0% – 55%

⁽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
Three Months Ended	Available-for-Sale Debt Securities								Equity securities			Short-term investments			Other investments			GLB(1)
March 31, 2014	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance–Beginning of Period	$	44		$	166		$	8	$	4		$	7		$	2,440		$	193
Transfers into Level 3	—			4			—		—			—			—			—
Transfers out of Level 3	(18		)	(22		)	—		(2		)	(7		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	—			—		1			—			41			—
Net Realized Gains/Losses	—			—			—		—			—			—			50
Purchases	2			15			—		1			—			200			—
Sales	(1		)	(6		)	—		(2		)	—			(1		)	—
Settlements	—			(6		)	—		—			—			(69		)	—
Balance–End of Period	$	26		$	151		$	8	$	2		$	—		$	2,611		$	243
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—		$	—		$	—		$	50

⁽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			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. The liability for GLB reinsurance was $1.0 billion at March 31, 2013, and $1.4 billion at December 31, 2012, which includes a fair value derivative adjustment of $753 million and $1.1 billion, respectively.

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

March 31, 2014	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	595	$	195	$	—	$	790	$	777
Foreign	—		874		—		874		837
Corporate securities	—		1,949		16		1,965		1,876
Mortgage-backed securities	—		1,306		—		1,306		1,265
States, municipalities, and political subdivisions	—		1,145		—		1,145		1,132
	595		5,469		16		6,080		5,887
Partially-owned insurance companies	—		—		466		466		466
Total assets	$	595	$	5,469	$	482	$	6,546	$	6,353
Liabilities:
Short-term debt	$	—	$	1,907	$	—	$	1,907	$	1,901
Long-term debt	—		4,139		—		4,139		3,808
Trust preferred securities	—		452		—		452		309
Total liabilities	$	—	$	6,498	$	—	$	6,498	$	6,018

December 31, 2013	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	596	$	236	$	—	$	832	$	820
Foreign	—		897		—		897		864
Corporate securities	—		1,990		15		2,005		1,922
Mortgage-backed securities	—		1,379		—		1,379		1,341
States, municipalities, and political subdivisions	—		1,150		—		1,150		1,151
	596		5,652		15		6,263		6,098
Partially-owned insurance companies	—		—		470		470		470
Total assets	$	596	$	5,652	$	485	$	6,733	$	6,568
Liabilities:
Short-term debt	$	—	$	1,913	$	—	$	1,913	$	1,901
Long-term debt	—		4,088		—		4,088		3,807
Trust preferred securities	—		438		—		438		309
Total liabilities	$	—	$	6,439	$	—	$	6,439	$	6,017