XML 25 R14.htm IDEA: XBRL DOCUMENT v3.5.0.2
Assumed life reinsurance programs involving minimum benefit guarantees under annuity contracts
 9 Months Ended
Sep. 30, 2016
Reinsurance Disclosures [Abstract]  
Assumed life reinsurance programs involving minimum benefit guarantees under annuity contracts
Assumed life reinsurance programs involving minimum benefit guarantees under variable annuity contracts

The following table presents income and expenses relating to GMDB and GLB reinsurance. GLBs include GMIBs as well as some GMABs originating in Japan.
 
Three Months Ended
 
 
Nine Months Ended
 
 
September 30
 
 
September 30
 
(in millions of U.S. dollars)
2016

 
2015

 
2016

 
2015

GMDB
 
 
 
 
 
 
 
Net premiums earned
$
15

 
$
15

 
$
42

 
$
47

Policy benefits and other reserve adjustments
$
11

 
$
5

 
$
34

 
$
25

GLB
 
 
 
 
 
 
 
Net premiums earned
$
28

 
$
30

 
$
88

 
$
92

Policy benefits and other reserve adjustments
9

 
15

 
24

 
34

Net realized gains (losses)
86

 
(397
)
 
(285
)
 
(338
)
Loss recognized in Net income
$
105

 
$
(382
)
 
$
(221
)
 
$
(280
)
Less: Net cash received
15

 
20

 
57

 
74

Net (increase) decrease in liability
$
90

 
$
(402
)
 
$
(278
)
 
$
(354
)


Net realized gains (losses) in the table above include gains (losses) related to foreign exchange and fair value adjustments on insurance derivatives and exclude gains (losses) on S&P put options and futures used to partially offset the risk in the GLB reinsurance portfolio. Refer to Note 8 for additional information.

The reported liability for GMDB reinsurance was $119 million and $117 million at September 30, 2016 and December 31, 2015, respectively. At September 30, 2016 and December 31, 2015, the reported liability for GLB reinsurance was $1.2 billion and $888 million, respectively, which includes a fair value derivative adjustment of $883 million and $609 million, respectively. Reported liabilities for both GMDB and GLB reinsurance are determined using internal valuation models. Such valuations require considerable judgment and are subject to significant uncertainty. The valuation of these products is subject to fluctuations arising from, among other factors, changes in interest rates, changes in equity markets, changes in credit markets, changes in the allocation of the investments underlying annuitants’ account values, and assumptions regarding future policyholder behavior. These models and the related assumptions are regularly reviewed by management and enhanced, as appropriate, based upon improvements in modeling assumptions and availability of updated information, such as market conditions and demographics of in-force annuities.