Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2015

Financial Instruments Measured At Fair Value On A Recurring Basis



September 30, 2015	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	$	1,919	$	966	$	—	$	2,885
Foreign	—		14,238		53		14,291
Corporate securities	—		16,709		183		16,892
Mortgage-backed securities	—		11,065		54		11,119
States, municipalities, and political subdivisions	—		3,091		—		3,091
	1,919		46,069		290		48,278
Equity securities	455		5		4		464
Short-term investments	703		1,105		—		1,808
Other investments ⁽¹⁾	314		218		209		741
Securities lending collateral	—		1,011		—		1,011
Investment derivative instruments	17		—		—		17
Other derivative instruments	26		—		—		26
Separate account assets	1,423		83		—		1,506
Total assets measured at fair value ⁽¹⁾	$	4,857	$	48,491	$	503	$	53,851
Liabilities:
Investment derivative instruments	$	27	$	—	$	—	$	27
Other derivative instruments	—		—		7		7
GLB ⁽²⁾	—		—		744		744
Total liabilities measured at fair value	$	27	$	—	$	751	$	778


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $2,504 million and other investments of $25 million at September 30, 2015 measured using NAV. Based on new accounting guidance adopted this quarter, these investments are excluded from the hierarchy table.


⁽²⁾	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 liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



December 31, 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	$	1,680	$	1,140	$	—	$	2,820
Foreign	—		15,220		22		15,242
Corporate securities	—		17,244		187		17,431
Mortgage-backed securities	—		10,271		15		10,286
States, municipalities, and political subdivisions	—		3,616		—		3,616
	1,680		47,491		224		49,395
Equity securities	492		16		2		510
Short-term investments	1,183		1,139		—		2,322
Other investments ⁽¹⁾	370		211		204		785
Securities lending collateral	—		1,330		—		1,330
Investment derivative instruments	18		—		—		18
Other derivative instruments	—		2		—		2
Separate account assets	1,400		90		—		1,490
Total assets measured at fair value ⁽¹⁾	$	5,143	$	50,279	$	430	$	55,852
Liabilities:
Investment derivative instruments	$	36	$	—	$	—	$	36
Other derivative instruments	21		—		4		25
GLB ⁽²⁾	—		—		406		406
Total liabilities measured at fair value	$	57	$	—	$	410	$	467


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $2,561 million at December 31, 2014 measured using NAV. Based on new accounting guidance adopted this quarter, these investments are excluded from the hierarchy table.


⁽²⁾	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 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



				September 30				December 31
	Expected Liquidation Period of Underlying Assets			2015				2014
(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	$	309	$	107	$	282	$	145
Real Assets	3 to 7 Years	473		168		451		210
Distressed	5 to 9 Years	265		231		232		175
Private Credit	3 to 7 Years	272		226		299		190
Traditional	3 to 9 Years	885		184		908		289
Vintage	1 to 2 Years	14		—		11		1
Investment funds	Not Applicable	286		—		378		—
		$	2,504	$	916	$	2,561	$	1,010

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, 2015

December 31, 2014

GLB⁽¹⁾

744

406

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			Other derivative instruments		GLB⁽¹⁾
September 30, 2015	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	56		$	167		$	55		$	2		$	214		$	3	$	347
Transfers into Level 3	1			2			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	1			1			—			2			(7		)	—		—
Net Realized Gains/Losses	(1		)	(1		)	—			(1		)	—			4		397
Purchases	—			22			—			1			5			—		—
Sales	—			(5		)	(1		)	—			—			—		—
Settlements	(4		)	(3		)	—			—			(3		)	—		—
Balance–End of Period	$	53		$	183		$	54		$	4		$	209		$	7	$	744
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	—		$	—		$	(1	)	$	—		$	4	$	397


⁽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 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												Short-term investments			Other investments			GLB⁽¹⁾
September 30, 2014	Foreign			Corporate securities			MBS			Equity securities
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities
Balance–Beginning of Period	$	44		$	166		$	8		$	4		$	7		$	196		$	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			—			1			—
Net Realized Gains/Losses	1			2			—			—			—			—			124
Purchases	2			65			8			1			—			15			—
Sales	(3		)	(17		)	—			(2		)	—			—			—
Settlements	—			(22		)	(1		)	—			—			(7		)	—
Balance–End of Period	$	12		$	208		$	15		$	2		$	—		$	205		$	317
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	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 liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $566 million at September 30, 2014 and $427 million at December 31, 2013, which includes a fair value derivative adjustment of $317 million and $193 million, respectively.



													Assets					Liabilities
Nine Months Ended	Available-for-Sale Debt Securities									Equity securities			Other investments			Other derivative instruments		GLB⁽¹⁾
September 30, 2015	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	22		$	187		$	15		$	2		$	204		4		$	406
Transfers into Level 3	29			15			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	1			—			2			(7		)	—		—
Net Realized Gains/Losses	(1		)	(4		)	—			(2		)	—			3		338
Purchases	9			38			41			2			21			—		—
Sales	(1		)	(10		)	(1		)	—			—			—		—
Settlements	(4		)	(44		)	(1		)	—			(9		)	—		—
Balance–End of Period	$	53		$	183		$	54		$	4		$	209		$	7	$	744
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(2	)	$	—		$	(2	)	$	—		$	3	$	338


⁽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 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		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	$	203		$	241
Transfers into Level 3	1			5			—		—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			(1		)	—		—		(1		)	—
Net Realized Gains/Losses	—			2			—		—		—			76
Purchases	—			20			8		—		6			—
Sales	(1		)	(9		)	—		—		—			—
Settlements	—			(13		)	—		—		(3		)	—
Balance–End of Period	$	12		$	208		$	15	$	2	$	205		$	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 liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $566 million at September 30, 2014, and $486 million at June 30, 2014, which includes a fair value derivative adjustment of $317 million and $241 million, respectively.

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



September 30, 2015	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	$	599	$	175	$	—	$	774	$	756
Foreign	—		818		—		818		784
Corporate securities	—		3,112		14		3,126		3,093
Mortgage-backed securities	—		1,817		—		1,817		1,758
States, municipalities, and political subdivisions	—		2,215		—		2,215		2,173
Total assets	$	599	$	8,137	$	14	$	8,750	$	8,564
Liabilities:
Short-term debt	$	—	$	2,105	$	—	$	2,105	$	2,103
Long-term debt	—		4,376		—		4,376		4,157
Trust preferred securities	—		457		—		457		309
Total liabilities	$	—	$	6,938	$	—	$	6,938	$	6,569



December 31, 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	$	659	$	191	$	—	$	850	$	832
Foreign	—		963		—		963		916
Corporate securities	—		2,408		15		2,423		2,323
Mortgage-backed securities	—		2,039		—		2,039		1,983
States, municipalities, and political subdivisions	—		1,314		—		1,314		1,277
Total assets	$	659	$	6,915	$	15	$	7,589	$	7,331
Liabilities:
Short-term debt	$	—	$	2,571	$	—	$	2,571	$	2,552
Long-term debt	—		3,690		—		3,690		3,357
Trust preferred securities	—		462		—		462		309
Total liabilities	$	—	$	6,723	$	—	$	6,723	$	6,218