Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2017

Fair Value Disclosures [Abstract]

Financial Instruments Measured At Fair Value On A Recurring Basis

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

March 31, 2017	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	2,222	$	677	$	—	$	2,899
Foreign	—		21,287		80		21,367
Corporate securities	—		24,105		737		24,842
Mortgage-backed securities	—		14,101		45		14,146
States, municipalities, and political subdivisions	—		17,552		—		17,552
	2,222		77,722		862		80,806
Equity securities	794		—		41		835
Short-term investments	1,548		1,211		21		2,780
Other investments (1)	425		280		232		937
Securities lending collateral	—		1,071		—		1,071
Investment derivative instruments	15		—		—		15
Other derivative instruments	8		—		—		8
Separate account assets	1,970		97		—		2,067
Total assets measured at fair value (1)	$	6,982	$	80,381	$	1,156	$	88,519
Liabilities:
Investment derivative instruments	$	30	$	—	$	—	$	30
Other derivative instruments	—		—		11		11
GLB (2)	—		—		466		466
Total liabilities measured at fair value	$	30	$	—	$	477	$	507

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,594 million and other investments of $20 million at March 31, 2017 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.

December 31, 2016	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	2,175	$	695	$	—	$	2,870
Foreign	—		21,366		74		21,440
Corporate securities	—		23,468		681		24,149
Mortgage-backed securities	—		13,962		45		14,007
States, municipalities, and political subdivisions	—		17,649		—		17,649
	2,175		77,140		800		80,115
Equity securities	773		—		41		814
Short-term investments	1,757		1,220		25		3,002
Other investments (1)	384		259		225		868
Securities lending collateral	—		1,092		—		1,092
Investment derivative instruments	31		—		—		31
Other derivative instruments	3		—		—		3
Separate account assets	1,784		95		—		1,879
Total assets measured at fair value (1)	$	6,907	$	79,806	$	1,091	$	87,804
Liabilities:
Investment derivative instruments	$	54	$	—	$	—	$	54
Other derivative instruments	—		—		13		13
GLB (2)	—		—		559		559
Total liabilities measured at fair value	$	54	$	—	$	572	$	626

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,626 million and other investments of $25 million at December 31, 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.

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:

				March 31				December 31
	Expected Liquidation Period of Underlying Assets			2017				2016
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	5 to 9 Years	$	548	$	398	$	548	$	428
Real Assets	3 to 7 Years	612		186		536		230
Distressed	5 to 9 Years	350		179		485		179
Private Credit	3 to 7 Years	244		248		236		259
Traditional	3 to 9 Years	1,563		870		1,550		930
Vintage	1 to 2 Years	18		14		21		14
Investment funds	Not Applicable	259		—		251		—
		$	3,594	$	1,895	$	3,627	$	2,040

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
	March 31, 2017		December 31, 2016
GLB (1)	$	466	$	559	Actuarial model	Lapse rate	3% – 34%
						Annuitization rate	0% – 78%

⁽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)
March 31, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	74		$	681		$	45		$	41	$	25		$	225		$	13		$	559
Transfers into Level 3	—			29			—			—		—			—			—			—
Transfers out of Level 3	—			(54		)	—			—		—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	(8		)	—			—		—			4			—			—
Net Realized Gains/Losses	(1		)	(1		)	—			—		—			—			(2		)	(93		)
Purchases	14			156			1			—		7			8			—			—
Sales	(3		)	(27		)	(1		)	—		—			—			—			—
Settlements	(3		)	(39		)	—			—		(11		)	(4		)	—			—
Balance – end of period	$	80		$	737		$	45		$	41	$	21		$	233		$	11		$	466
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—	$	—		$	—		$	(2	)	$	(93	)

⁽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 $774 million at March 31, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $466 million and $559 million, respectively.

	Assets																Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities		Other investments			Other derivative instruments		GLB(1)
March 31, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	57		$	174		$	53		$	16	$	212		$	6	$	609
Transfers into Level 3	6			16			—			—		—			—		—
Transfers out of Level 3	(2		)	—			—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	6			2			—			—		—			—		—
Net Realized Gains/Losses	(5		)	(6		)	—			—		—			2		230
Purchases (2)	5			93			—			13		6			2		—
Sales	(1		)	(14		)	(5		)	—		—			—		—
Settlements	(4		)	(4		)	—			—		(7		)	—		—
Balance – end of period	$	62		$	261		$	48		$	29	$	211		$	10	$	839
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(4	)	$	(7	)	$	—		$	—	$	—		$	2	$	230

⁽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 $1.1 billion at March 31, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $839 million and $609 million, respectively.

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

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)
March 31, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	74		$	681		$	45		$	41	$	25		$	225		$	13		$	559
Transfers into Level 3	—			29			—			—		—			—			—			—
Transfers out of Level 3	—			(54		)	—			—		—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	(8		)	—			—		—			4			—			—
Net Realized Gains/Losses	(1		)	(1		)	—			—		—			—			(2		)	(93		)
Purchases	14			156			1			—		7			8			—			—
Sales	(3		)	(27		)	(1		)	—		—			—			—			—
Settlements	(3		)	(39		)	—			—		(11		)	(4		)	—			—
Balance – end of period	$	80		$	737		$	45		$	41	$	21		$	233		$	11		$	466
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—	$	—		$	—		$	(2	)	$	(93	)

⁽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 $774 million at March 31, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $466 million and $559 million, respectively.

	Assets																Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities		Other investments			Other derivative instruments		GLB(1)
March 31, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	57		$	174		$	53		$	16	$	212		$	6	$	609
Transfers into Level 3	6			16			—			—		—			—		—
Transfers out of Level 3	(2		)	—			—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	6			2			—			—		—			—		—
Net Realized Gains/Losses	(5		)	(6		)	—			—		—			2		230
Purchases (2)	5			93			—			13		6			2		—
Sales	(1		)	(14		)	(5		)	—		—			—		—
Settlements	(4		)	(4		)	—			—		(7		)	—		—
Balance – end of period	$	62		$	261		$	48		$	29	$	211		$	10	$	839
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(4	)	$	(7	)	$	—		$	—	$	—		$	2	$	230

⁽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 $1.1 billion at March 31, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $839 million and $609 million, respectively.

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

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:

March 31, 2017	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	518	$	90	$	—	$	608	$	601
Foreign	—		651		—		651		625
Corporate securities	—		2,728		12		2,740		2,710
Mortgage-backed securities	—		1,354		—		1,354		1,319
States, municipalities, and political subdivisions	—		5,251		—		5,251		5,264
Total assets	$	518	$	10,074	$	12	$	10,604	$	10,519
Liabilities:
Repurchase agreements	$	—	$	1,404	$	—	$	1,404	$	1,404
Short-term debt	—		312		—		312		300
Long-term debt	—		12,757		—		12,757		12,300
Trust preferred securities	—		458		—		458		308
Total liabilities	$	—	$	14,931	$	—	$	14,931	$	14,312

December 31, 2016	Fair Value								Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	555	$	106	$	—	$	661	$	655
Foreign	—		667		—		667		640
Corporate securities	—		2,782		13		2,795		2,771
Mortgage-backed securities	—		1,428		—		1,428		1,393
States, municipalities, and political subdivisions	—		5,119		—		5,119		5,185
Total assets	$	555	$	10,102	$	13	$	10,670	$	10,644
Liabilities:
Repurchase agreements	$	—	$	1,403	$	—	$	1,403	$	1,403
Short-term debt	—		503		—		503		500
Long-term debt	—		12,998		—		12,998		12,610
Trust preferred securities	—		456		—		456		308
Total liabilities	$	—	$	15,360	$	—	$	15,360	$	14,821