Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2014

Financial Instruments Measured At Fair Value On A Recurring Basis



September 30, 2014	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	$	1,490	$	1,188	$	—	$	2,678
Foreign	202		15,017		12		15,231
Corporate securities	—		17,130		208		17,338
Mortgage-backed securities	—		10,309		15		10,324
States, municipalities, and political subdivisions	—		3,577		—		3,577
	1,692		47,221		235		49,148
Equity securities	520		24		2		546
Short-term investments	1,253		1,500		—		2,753
Other investments	336		252		2,671		3,259
Securities lending collateral	—		1,440		—		1,440
Investment derivative instruments	23		—		—		23
Other derivative instruments	11		2		—		13
Separate account assets	1,389		90		—		1,479
Total assets measured at fair value	$	5,224	$	50,529	$	2,908	$	58,661
Liabilities:
Investment derivative instruments	$	5	$	—	$	—	$	5
Other derivative instruments	—		2		—		2
GLB⁽¹⁾	—		—		317		317
Total liabilities measured at fair value	$	5	$	2	$	317	$	324


⁽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)	Level 1		Level 2		Level 3		Total
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.

Schedule Of Fair Value Transfers Between Level 1 and Level 2 [Table Text Block]



	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2014		2013		2014		2013
Transfers from Level 1 to Level 2	$	—	$	—	$	—	$	19
Transfers from Level 2 to Level 1	$	—	$	—	$	—	$	—

Fair Value And Maximum Future Funding Commitments Related To Investments



				September 30				December 31
	Expected Liquidation Period of Underlying Assets			2014				2013
(in millions of U.S. dollars)	Expected Liquidation Period of Underlying Assets	Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	5 to 9 Years	$	266	$	127	$	256	$	129
Real estate	3 to 9 Years	304		43		322		92
Distressed	6 to 9 Years	289		132		180		230
Mezzanine	6 to 9 Years	300		213		276		252
Traditional	3 to 8 Years	960		388		813		456
Vintage	1 to 3 Years	10		—		13		—
Investment funds	Not Applicable	384		—		428		—
		$	2,513	$	903	$	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

September 30, 2014

December 31, 2013

GLB⁽¹⁾

317

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		Other investments			GLB⁽¹⁾
September 30, 2014	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	12		$	204		$	7	$	2	$	2,640		$	241
Transfers into Level 3	1			5			—		—		—			—
Transfers out of Level 3	—			—			—		—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			(1		)	—		—		(8		)	—
Net Realized Gains/Losses	—			2			—		—		—			76
Purchases	—			20			8		—		170			—
Sales	(1		)	(9		)	—		—		(3		)	—
Settlements	—			(13		)	—		—		(128		)	—
Balance–End of Period	$	12		$	208		$	15	$	2	$	2,671		$	317
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	76


⁽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
Three Months Ended	Available-for-Sale Debt Securities								Equity securities		Short-term investments			Other investments			GLB⁽¹⁾
September 30, 2013	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	48		$	114		$	9	$	4	$	9		$	2,349		$	652
Transfers into Level 3	1			12			—		—		1			—			—
Transfers out of Level 3	(8		)	(1		)	—		—		(2		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	2			(1		)	—		—		—			(1		)	—
Net Realized Gains/Losses	—			(1		)	—		—		—			—			(138		)
Purchases	12			6			—		—		—			138			—
Sales	(13		)	(4		)	—		—		—			(1		)	—
Settlements	—			(4		)	—		—		—			(96		)	—
Balance–End of Period	$	42		$	121		$	9	$	4	$	8		$	2,389		$	514
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	—		$	(138	)

⁽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 $746 million at September 30, 2013, and $880 million at June 30, 2013, which includes a fair value derivative adjustment of $514 million and $652 million, respectively.



	Assets																		Liabilities
Nine Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB⁽¹⁾
September 30, 2014	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	44		$	166		$	8		$	4		$	7		$	2,440		$	193
Transfers into Level 3	3			35			—			—			—			—			—
Transfers out of Level 3	(34		)	(22		)	—			(2		)	(7		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	1			—			1			—			40			—
Net Realized Gains/Losses	1			2			—			—			—			(3		)	124
Purchases	2			65			8			1			—			522			—
Sales	(3		)	(17		)	—			(2		)	—			(6		)	—
Settlements	—			(22		)	(1		)	—			—			(322		)	—
Balance–End of Period	$	12		$	208		$	15		$	2		$	—		$	2,671		$	317
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	(3	)	$	124


⁽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
Nine Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB⁽¹⁾
September 30, 2013	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	60		$	102		$	13		$	3		$	—		$	2,252		$	1,119
Transfers into Level 3	33			29			—			7			8			—			—
Transfers out of Level 3	(49		)	(30		)	—			(1		)	(2		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	(2		)	(1		)	—			(5		)	—			34			—
Net Realized Gains/Losses	1			(2		)	—			4			—			(2		)	(605		)
Purchases	15			39			—			1			2			387			—
Sales	(15		)	(4		)	(3		)	(5		)	—			(10		)	—
Settlements	(1		)	(12		)	(1		)	—			—			(272		)	—
Balance–End of Period	$	42		$	121		$	9		$	4		$	8		$	2,389		$	514
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	(2	)	$	(605	)

⁽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 $746 million at September 30, 2013, and $1.4 billion at December 31, 2012, which includes a fair value derivative adjustment of $514 million and $1.1 billion, respectively.

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



September 30, 2014	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	$	625	$	192	$	—	$	817	$	804
Foreign	—		978		—		978		937
Corporate securities	—		2,510		15		2,525		2,443
Mortgage-backed securities	—		2,130		—		2,130		2,087
States, municipalities, and political subdivisions	—		1,313		—		1,313		1,277
	625		7,123		15		7,763		7,548
Partially-owned insurance companies	—		—		495		495		495
Total assets	$	625	$	7,123	$	510	$	8,258	$	8,043
Liabilities:
Short-term debt	$	—	$	1,864	$	—	$	1,864	$	1,851
Long-term debt	—		4,349		—		4,349		4,057
Trust preferred securities	—		459		—		459		309
Total liabilities	$	—	$	6,672	$	—	$	6,672	$	6,217



December 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	$	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