Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2015

GMIB Annuitization Experience [Table Text Block]



% of total GMIB guaranteed value	Year of GMIB eligibility	Maximum annuitization rate(s) (per year)	Maximum annuitization rates based on
68%	First year	7% - 55%	Actual Experience
68%	Subsequent years	5% - 27%	Actual Experience
4%	First year	18%	Actual Experience
4%	Subsequent years	5%, 10%, 27%	Weighted average⁽¹⁾
28%	First year	7%, 15%, 55%	Weighted average⁽¹⁾
28%	Subsequent years	5%, 10%, 27%	Weighted average⁽¹⁾

⁽¹⁾Weighted average of three different annuitization rates (with heavier weighting on credible experience from other clients when own experience is less credible)

Financial Instruments Measured At Fair Value On A Recurring Basis

Financial instruments measured at fair value on a recurring basis, by valuation hierarchy



December 31, 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	$	1,712	$	816	$	—	$	2,528
Foreign	—		13,388		57		13,445
Corporate securities	—		14,755		174		14,929
Mortgage-backed securities	—		9,905		53		9,958
States, municipalities, and political subdivisions	—		2,727		—		2,727
	1,712		41,591		284		43,587
Equity securities	481		—		16		497
Short-term investments	7,171		3,275		—		10,446
Other investments⁽¹⁾	347		230		212		789
Securities lending collateral	—		1,046		—		1,046
Investment derivative instruments	12		—		—		12
Separate account assets	1,464		88		—		1,552
Total assets measured at fair value⁽¹⁾	$	11,187	$	46,230	$	512	$	57,929
Liabilities:
Investment derivative instruments	$	13	$	—	$	—	$	13
Other derivative instruments	4		—		6		10
GLB⁽²⁾	—		—		609		609
Total liabilities measured at fair value	$	17	$	—	$	615	$	632


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $2,477 million and other investments of $25 million at December 31, 2015 measured using NAV. Based on new accounting guidance adopted in 2015, 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 derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 c) 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 in 2015, 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 derivative liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 c) for additional information.

Fair Value And Maximum Future Funding Commitments Related To Investments

The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments:



		December 31				December 31
		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	$	300	$	105	$	282	$	145
Real Assets	3 to 7 Years	474		140		451		210
Distressed	5 to 9 Years	261		218		232		175
Private Credit	3 to 7 Years	265		209		299		190
Traditional	3 to 9 Years	895		152		895		285
Vintage	1 to 2 Years	13		—		24		5
Investment funds	Not Applicable	269		—		378		—
		$	2,477	$	824	$	2,561	$	1,010

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

The following table presents the significant unobservable inputs used in the Level 3 liability valuations. Excluded from the table below are inputs used to determine the fair value of Level 3 assets which are based on single broker quotes and contain no quantitative unobservable inputs developed by management.



(in millions of U.S. dollars, except for percentages)	Fair Value at December 31, 2015		Valuation Technique	Significant Unobservable Inputs	Ranges
GLB⁽¹⁾	$	609	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

The following tables present a reconciliation of the beginning and ending balances of financial instruments measured at fair value using significant unobservable inputs (Level 3):



														Assets					Liabilities
	Available-for-Sale Debt Securities										Equity securities			Other investments			Other derivative instruments		GLB⁽¹⁾
Year Ended December 31, 2015		Foreign			Corporate securities			MBS
(in millions of U.S. dollars)		Foreign			Corporate securities			MBS
Balance, beginning of year		$	22		$	187		$	15		$	2		$	204		$	4	$	406
Transfers into Level 3		34			16			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI		(2		)	(1		)	—			3			(6		)	—		—
Net Realized Gains/Losses		(1		)	(4		)	—			(2		)	—			2		203
Purchases		15			52			41			13			33			—		—
Sales		(3		)	(28		)	(2		)	—			—			—		—
Settlements		(8		)	(48		)	(1		)	—			(19		)	—		—
Balance, end of year		$	57		$	174		$	53		$	16		$	212		$	6	$	609
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	(1	)	$	(2	)	$	—		$	(2	)	$	—		$	2	$	203


⁽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 c) for additional information.



	Assets																					Liabilities
	Available-for-Sale Debt Securities										Equity securities			Short-term investments			Other investments			Other derivative instruments		GLB⁽¹⁾
Year ended December 31, 2014		Foreign			Corporate securities			MBS
(in millions of U.S. dollars)		Foreign			Corporate securities			MBS
Balance, beginning of year		$	44		$	166		$	8		$	4		$	7		$	196		$	—	$	193
Transfers into Level 3		10			37			—			—			—			—			2		—
Transfers out of Level 3		(34		)	(23		)	—			(2		)	(7		)	—			—		—
Change in Net Unrealized Gains (Losses) included in OCI		(1		)	(1		)	—			—			—			(1		)	—		—
Net Realized Gains/Losses		(3		)	(5		)	—			—			—			—			2		213
Purchases		15			73			8			2			—			20			—		—
Sales		(4		)	(38		)	—			(2		)	—			—			—		—
Settlements		(5		)	(22		)	(1		)	—			—			(11		)	—		—
Balance, end of year		$	22		$	187		$	15		$	2		$	—		$	204		$	4	$	406
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	(4	)	$	(5	)	$	—		$	—		$	—		$	—		$	2	$	213

⁽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 $663 million at December 31, 2014 and $427 million at December 31, 2013, which includes a fair value derivative adjustment of $406 million and $193 million, respectively.



	Assets																		Liabilities
	Available-for-Sale Debt Securities																		GLB⁽¹⁾
Year ended December 31, 2013	Foreign			Corporate securities			MBS			Equity securities			Short term investments			Other investments
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities			Short term investments			Other investments
Balance, beginning of year	$	60		$	102		$	13		$	3		$	—		$	180		$	1,119
Transfers into Level 3	36			47			—			8			8			—			—
Transfers out of Level 3	(54		)	(31		)	—			(1		)	(2		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			—			—			(6		)	—			(2		)	—
Net Realized Gains/Losses	1			(2		)	—			4			—			—			(926		)
Purchases	24			75			—			2			3			29			—
Sales	(21		)	(7		)	(3		)	(6		)	(1		)	—			—
Settlements	(2		)	(18		)	(2		)	—			(1		)	(11		)	—
Balance, end of year	$	44		$	166		$	8		$	4		$	7		$	196		$	193
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(2	)	$	—		$	—		$	—		$	—		$	(926	)

⁽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 $427 million at December 31, 2013 and $1.4 billion at December 31, 2012, which includes a fair value derivative adjustment of $193 million and $1.1 billion, respectively.

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



December 31, 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	$	583	$	162	$	—	$	745	$	733
Foreign	—		785		—		785		763
Corporate securities	—		3,042		14		3,056		3,054
Mortgage-backed securities	—		1,743		—		1,743		1,707
States, municipalities, and political subdivisions	—		2,223		—		2,223		2,173
Total assets	$	583	$	7,955	$	14	$	8,552	$	8,430
Liabilities:
Repurchase agreements	$	—	$	1,404	$	—	$	1,404	$	1,404
Long-term debt	—		9,678		—		9,678		9,447
Trust preferred securities	—		446		—		446		309
Total liabilities	$	—	$	11,528	$	—	$	11,528	$	11,160



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:
Repurchase Agreements	$	—	$	1,402	$	—	$	1,402	$	1,402
Short-term debt	—		1,169		—		1,169		1,150
Long-term debt	—		3,690		—		3,690		3,357
Trust preferred securities	—		462		—		462		309
Total liabilities	$	—	$	6,723	$	—	$	6,723	$	6,218

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



			Year Ended December 31
(in millions of U.S. dollars)	2015		2014		2013
Transfers from Level 1 to Level 2	$	—	$	189	$	19
Transfers from Level 2 to Level 1	$	—	$	—	$	—