Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2016

Financial Instruments Measured At Fair Value On A Recurring Basis

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



September 30, 2016	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	$	2,155	$	553	$	—	$	2,708
Foreign	—		22,405		103		22,508
Corporate securities	—		23,167		606		23,773
Mortgage-backed securities	—		13,415		46		13,461
States, municipalities, and political subdivisions	—		18,908		—		18,908
	2,155		78,448		755		81,358
Equity securities	766		—		37		803
Short-term investments	2,127		1,359		62		3,548
Other investments ⁽¹⁾	404		250		223		877
Securities lending collateral	—		1,140		—		1,140
Investment derivative instruments	20		—		—		20
Other derivative instruments	14		—		—		14
Separate account assets	1,743		97		—		1,840
Total assets measured at fair value ⁽¹⁾	$	7,229	$	81,294	$	1,077	$	89,600
Liabilities:
Investment derivative instruments	$	34	$	—	$	—	$	34
Other derivative instruments	—		—		8		8
GLB ⁽²⁾	—		—		883		883
Total liabilities measured at fair value	$	34	$	—	$	891	$	925


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,498 million and other investments of $25 million at September 30, 2016 measured using NAV as a practical expedient.


⁽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 for additional information.



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 as a practical expedient.


⁽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 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:



				September 30				December 31
	Expected Liquidation Period of Underlying Assets			2016				2015
(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	$	549	$	188	$	300	$	105
Real Assets	3 to 7 Years	520		274		474		140
Distressed	5 to 9 Years	463		196		261		218
Private Credit	3 to 7 Years	241		294		265		209
Traditional	3 to 9 Years	1,458		999		895		152
Vintage	1 to 2 Years	23		14		13		—
Investment funds	Not Applicable	244		—		269		—
		$	3,498	$	1,965	$	2,477	$	824

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

Valuation

Technique

Significant

Unobservable Inputs

Ranges

September 30, 2016

December 31, 2015

GLB⁽¹⁾

883

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.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments			GLB⁽¹⁾
September 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	87		$	281		$	49		$	37		$	50	$	216		$	10		$	971
Transfers into Level 3	—			—			—			—			—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	6			—			3			—		4			—			—
Net Realized Gains/Losses	—			(4		)	—			—			—		—			—			(88		)
Purchases	20			348			—			—			12		8			—			—
Sales	(2		)	(18		)	(3		)	(3		)	—		—			—			—
Settlements	(1		)	(7		)	—			—			—		(5		)	(2		)	—
Balance–End of Period	$	103		$	606		$	46		$	37		$	62	$	223		$	8		$	883
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(4	)	$	—		$	—		$	—	$	—		$	—		$	(88	)


⁽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			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 derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1.0 billion at September 30, 2015, and $615 million at June 30, 2015, which includes a fair value derivative adjustment of $744 million and $347 million, respectively.



															Assets			Liabilities
Nine Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments			GLB⁽¹⁾
September 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	57		$	174		$	53		$	16		$	—	$	212		$	6		$	609
Transfers into Level 3	9			18			—			—			—		—			—			—
Transfers out of Level 3	(2		)	—			—			—			—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	8			17			—			2			—		4			—			—
Net Realized Gains/Losses	(6		)	(12		)	—			1			—		—			2			274
Purchases ⁽²⁾	52			472			1			23			62		22			2			—
Sales	(10		)	(48		)	(8		)	(5		)	—		—			—			—
Settlements	(5		)	(15		)	—			—			—		(15		)	(2		)	—
Balance–End of Period	$	103		$	606		$	46		$	37		$	62	$	223		$	8		$	883
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(11	)	$	—		$	—		$	—	$	—		$	2		$	274


⁽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.


⁽²⁾	Includes acquired invested assets as a result of the Chubb Corp acquisition.



	Assets																	Liabilities
Nine Months Ended	Available-for-Sale Debt Securities												Other investments			Other derivative instruments		GLB⁽¹⁾
September 30, 2015	Foreign			Corporate securities			MBS			Equity securities
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities
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 derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1.0 billion at September 30, 2015, and $663 million at December 31, 2014, which includes a fair value derivative adjustment of $744 million and $406 million, respectively.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments			GLB⁽¹⁾
September 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	87		$	281		$	49		$	37		$	50	$	216		$	10		$	971
Transfers into Level 3	—			—			—			—			—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	6			—			3			—		4			—			—
Net Realized Gains/Losses	—			(4		)	—			—			—		—			—			(88		)
Purchases	20			348			—			—			12		8			—			—
Sales	(2		)	(18		)	(3		)	(3		)	—		—			—			—
Settlements	(1		)	(7		)	—			—			—		(5		)	(2		)	—
Balance–End of Period	$	103		$	606		$	46		$	37		$	62	$	223		$	8		$	883
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(4	)	$	—		$	—		$	—	$	—		$	—		$	(88	)


⁽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			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⁾



															Assets			Liabilities
Nine Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments			GLB⁽¹⁾
September 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	57		$	174		$	53		$	16		$	—	$	212		$	6		$	609
Transfers into Level 3	9			18			—			—			—		—			—			—
Transfers out of Level 3	(2		)	—			—			—			—		—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	8			17			—			2			—		4			—			—
Net Realized Gains/Losses	(6		)	(12		)	—			1			—		—			2			274
Purchases ⁽²⁾	52			472			1			23			62		22			2			—
Sales	(10		)	(48		)	(8		)	(5		)	—		—			—			—
Settlements	(5		)	(15		)	—			—			—		(15		)	(2		)	—
Balance–End of Period	$	103		$	606		$	46		$	37		$	62	$	223		$	8		$	883
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(11	)	$	—		$	—		$	—	$	—		$	2		$	274


⁽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.


⁽²⁾	Includes acquired invested assets as a result of the Chubb Corp acquisition.



	Assets																	Liabilities
Nine Months Ended	Available-for-Sale Debt Securities												Other investments			Other derivative instruments		GLB⁽¹⁾
September 30, 2015	Foreign			Corporate securities			MBS			Equity securities
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities
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 derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $1.0 billion at September 30, 2015, and $663 million at December 31, 2014, which includes a fair value derivative adjustment of $744 million and $406 million, respectively.

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

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:



September 30, 2016	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	$	628	$	107	$	—	$	735	$	709
Foreign	—		739		—		739		694
Corporate securities	—		2,968		13		2,981		2,852
Mortgage-backed securities	—		1,579		—		1,579		1,507
States, municipalities, and political subdivisions	—		5,332		—		5,332		5,165
Total assets	$	628	$	10,725	$	13	$	11,366	$	10,927
Liabilities:
Repurchase agreements	$	—	$	1,406	$	—	$	1,406	$	1,406
Short-term debt	—		508		—		508		500
Long-term debt	—		13,762		—		13,762		12,621
Trust preferred securities	—		463		—		463		308
Total liabilities	$	—	$	16,139	$	—	$	16,139	$	14,835



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		9,389
Trust preferred securities	—		446		—		446		307
Total liabilities	$	—	$	11,528	$	—	$	11,528	$	11,100