Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2017

Financial Instruments Measured At Fair Value On A Recurring Basis

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



June 30, 2017	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	$	2,486	$	650	$	—	$	3,136
Foreign	—		21,625		85		21,710
Corporate securities	—		24,617		747		25,364
Mortgage-backed securities	—		14,428		45		14,473
States, municipalities, and political subdivisions	—		16,962		—		16,962
	2,486		78,282		877		81,645
Equity securities	817		—		39		856
Short-term investments	1,421		1,223		7		2,651
Other investments ⁽¹⁾	430		282		243		955
Securities lending collateral	—		1,545		—		1,545
Investment derivative instruments	12		—		—		12
Other derivative instruments	9		—		—		9
Separate account assets	2,147		101		—		2,248
Total assets measured at fair value ⁽¹⁾	$	7,322	$	81,433	$	1,166	$	89,921
Liabilities:
Investment derivative instruments	$	35	$	—	$	—	$	35
Other derivative instruments	—		—		2		2
GLB ⁽²⁾	—		—		357		357
Total liabilities measured at fair value	$	35	$	—	$	359	$	394


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,711 million and other investments of $19 million at June 30, 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)	Level 1		Level 2		Level 3		Total
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:



				June 30				December 31
	Expected Liquidation Period of Underlying Assets			2017				2016
(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	$	576	$	354	$	548	$	428
Real Assets	3 to 7 Years	622		181		536		230
Distressed	5 to 9 Years	350		175		485		179
Private Credit	3 to 7 Years	238		337		236		259
Traditional	3 to 9 Years	1,646		805		1,550		930
Vintage	1 to 2 Years	19		—		21		14
Investment funds	Not Applicable	260		—		251		—
		$	3,711	$	1,852	$	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

June 30, 2017

December 31, 2016

GLB ⁽¹⁾

357

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⁾
June 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	80		$	737		$	45	$	41		$	21		$	233		$	11		$	466
Transfers into Level 3	—			28			—		—			—			—			—			9
Transfers out of Level 3	—			(13		)	—		—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	3			—			—		1			—			(1		)	—			—
Net Realized Gains/Losses	2			—			—		—			—			—			—			(118		)
Purchases	19			65			—		6			7			16			—			—
Sales	(19		)	(28		)	—		(9		)	—			—			—			—
Settlements	—			(42		)	—		—			(21		)	(5		)	—			—
Balance – end of period	$	85		$	747		$	45	$	39		$	7		$	243		$	2		$	357
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	(118	)

⁽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 $684 million at June 30, 2017, and $774 million at March 31, 2017, which includes a fair value derivative adjustment of $357 million and $466 million, respectively.



																			Liabilities
Three Months Ended	Available-for-Sale Debt Securities								Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	62		$	261		$	48	$	29		$	—	$	211		$	10	$	839
Transfers into Level 3	3			2			—		—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	3			9			—		(1		)	—		—			—		—
Net Realized Gains/Losses	(1		)	(2		)	—		1			—		—			—		132
Purchases	27			31			1		10			50		8			—		—
Sales	(7		)	(16		)	—		(2		)	—		—			—		—
Settlements	—			(4		)	—		—			—		(3		)	—		—
Balance – end of period	$	87		$	281		$	49	$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	—		$	—	$	—		$	—	$	—		$	—	$	132

⁽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 $1.3 billion at June 30, 2016, and $1.1 billion at March 31, 2016, which includes a fair value derivative adjustment of $971 million and $839 million, respectively.



	Assets																		Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB⁽¹⁾
June 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			57			—			—			—			—			—			9
Transfers out of Level 3	—			(67		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	2			(8		)	—			1			—			3			—			—
Net Realized Gains/Losses	1			(1		)	—			—			—			—			(2		)	(211		)
Purchases	33			221			1			6			14			24			—			—
Sales	(22		)	(55		)	(1		)	(9		)	—			—			—			—
Settlements	(3		)	(81		)	—			—			(32		)	(9		)	—			—
Balance – end of period	$	85		$	747		$	45		$	39		$	7		$	243		$	2		$	357
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(2	)	$	(211	)

⁽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 $684 million at June 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $357 million and $559 million, respectively.



	Assets																			Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 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	9			11			—			(1		)	—		—			—		—
Net Realized Gains/Losses	(6		)	(8		)	—			1			—		—			2		362
Purchases ⁽²⁾	32			124			1			23			50		14			2		—
Sales	(8		)	(30		)	(5		)	(2		)	—		—			—		—
Settlements	(4		)	(8		)	—			—			—		(10		)	—		—
Balance – end of period	$	87		$	281		$	49		$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(7	)	$	—		$	—		$	—	$	—		$	2	$	362

⁽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 $1.3 billion at June 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $971 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⁾
June 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	80		$	737		$	45	$	41		$	21		$	233		$	11		$	466
Transfers into Level 3	—			28			—		—			—			—			—			9
Transfers out of Level 3	—			(13		)	—		—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	3			—			—		1			—			(1		)	—			—
Net Realized Gains/Losses	2			—			—		—			—			—			—			(118		)
Purchases	19			65			—		6			7			16			—			—
Sales	(19		)	(28		)	—		(9		)	—			—			—			—
Settlements	—			(42		)	—		—			(21		)	(5		)	—			—
Balance – end of period	$	85		$	747		$	45	$	39		$	7		$	243		$	2		$	357
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—		$	—		$	—		$	—		$	(118	)

⁽¹⁾



																			Liabilities
Three Months Ended	Available-for-Sale Debt Securities								Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 30, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	62		$	261		$	48	$	29		$	—	$	211		$	10	$	839
Transfers into Level 3	3			2			—		—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	3			9			—		(1		)	—		—			—		—
Net Realized Gains/Losses	(1		)	(2		)	—		1			—		—			—		132
Purchases	27			31			1		10			50		8			—		—
Sales	(7		)	(16		)	—		(2		)	—		—			—		—
Settlements	—			(4		)	—		—			—		(3		)	—		—
Balance – end of period	$	87		$	281		$	49	$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	—		$	—	$	—		$	—	$	—		$	—	$	132

⁽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 $1.3 billion at June 30, 2016, and $1.1 billion at March 31, 2016, which includes a fair value derivative adjustment of $971 million and $839 million, respectively.



	Assets																		Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB⁽¹⁾
June 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			57			—			—			—			—			—			9
Transfers out of Level 3	—			(67		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	2			(8		)	—			1			—			3			—			—
Net Realized Gains/Losses	1			(1		)	—			—			—			—			(2		)	(211		)
Purchases	33			221			1			6			14			24			—			—
Sales	(22		)	(55		)	(1		)	(9		)	—			—			—			—
Settlements	(3		)	(81		)	—			—			(32		)	(9		)	—			—
Balance – end of period	$	85		$	747		$	45		$	39		$	7		$	243		$	2		$	357
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(2	)	$	(211	)

⁽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 $684 million at June 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $357 million and $559 million, respectively.



	Assets																			Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 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	9			11			—			(1		)	—		—			—		—
Net Realized Gains/Losses	(6		)	(8		)	—			1			—		—			2		362
Purchases ⁽²⁾	32			124			1			23			50		14			2		—
Sales	(8		)	(30		)	(5		)	(2		)	—		—			—		—
Settlements	(4		)	(8		)	—			—			—		(10		)	—		—
Balance – end of period	$	87		$	281		$	49		$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(7	)	$	—		$	—		$	—	$	—		$	2	$	362

⁽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 $1.3 billion at June 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $971 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:



June 30, 2017	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	$	528	$	85	$	—	$	613	$	602
Foreign	—		642		—		642		613
Corporate securities	—		2,688		12		2,700		2,645
Mortgage-backed securities	—		1,304		—		1,304		1,268
States, municipalities, and political subdivisions	—		5,301		—		5,301		5,243
Total assets	$	528	$	10,020	$	12	$	10,560	$	10,371
Liabilities:
Repurchase agreements	$	—	$	1,408	$	—	$	1,408	$	1,408
Short-term debt	—		931		—		931		922
Long-term debt	—		12,366		—		12,366		11,667
Trust preferred securities	—		462		—		462		308
Total liabilities	$	—	$	15,167	$	—	$	15,167	$	14,305



December 31, 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	$	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