Fair value measurements (Tables)

9 Months Ended

Sep. 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



September 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	$	2,941	$	641	$	—	$	3,582
Foreign	—		23,009		90		23,099
Corporate securities	—		24,307		919		25,226
Mortgage-backed securities	—		15,367		44		15,411
States, municipalities, and political subdivisions	—		16,368		—		16,368
	2,941		79,692		1,053		83,686
Equity securities	858		—		52		910
Short-term investments	1,804		1,187		—		2,991
Other investments ⁽¹⁾	446		292		252		990
Securities lending collateral	—		1,757		—		1,757
Investment derivative instruments	15		—		—		15
Separate account assets	2,414		100		—		2,514
Total assets measured at fair value ⁽¹⁾	$	8,478	$	83,028	$	1,357	$	92,863
Liabilities:
Investment derivative instruments	$	37	$	—	$	—	$	37
Other derivative instruments	25		—		2		27
GLB ⁽²⁾	—		—		303		303
Total liabilities measured at fair value	$	62	$	—	$	305	$	367


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,669 million and other investments of $18 million at September 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:



				September 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	$	566	$	367	$	548	$	428
Real Assets	3 to 7 Years	635		148		536		230
Distressed	5 to 9 Years	327		157		485		179
Private Credit	3 to 7 Years	216		329		236		259
Traditional	3 to 9 Years	1,643		729		1,550		930
Vintage	1 to 2 Years	18		—		21		14
Investment funds	Not Applicable	264		—		251		—
		$	3,669	$	1,730	$	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

September 30, 2017

December 31, 2016

GLB ⁽¹⁾

303

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⁾
September 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	85		$	747		$	45		$	39		$	7		$	243		$	2	$	357
Transfers into Level 3	—			111			—			—			—			—			—		—
Transfers out of Level 3	(3		)	(26		)	—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	1			(1		)	—			—			—			—			—		—
Net Realized Gains/Losses	—			—			—			1			—			—			—		(54		)
Purchases	24			169			7			17			1			15			—		—
Sales	(14		)	(24		)	—			(5		)	—			—			—		—
Settlements	(3		)	(57		)	(8		)	—			(8		)	(6		)	—		—
Balance – end of period	$	90		$	919		$	44		$	52		$	—		$	252		$	2	$	303
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	(54	)

⁽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 $635 million at September 30, 2017, and $684 million at June 30, 2017, which includes a fair value derivative adjustment of $303 million and $357 million, respectively.



	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	—			—			—			—			—		—			—			—
Transfers out of 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. The liability for GLB reinsurance was $1.2 billion at September 30, 2016, and $1.3 billion at June 30, 2016, which includes a fair value derivative adjustment of $883 million and $971 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, 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	—			168			—			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	3			(9		)	—			1			—			3			—			—
Net Realized Gains/Losses	1			(1		)	—			1			—			—			(2		)	(265		)
Purchases	57			390			8			23			15			39			—			—
Sales	(36		)	(79		)	(1		)	(14		)	—			—			—			—
Settlements	(6		)	(138		)	(8		)	—			(40		)	(15		)	—			—
Balance – end of period	$	90		$	919		$	44		$	52		$	—		$	252		$	2		$	303
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(2	)	$	(265	)

⁽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 $635 million at September 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $303 million and $559 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. The liability for GLB reinsurance was $1.2 billion at September 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $883 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⁾
September 30, 2017	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance – beginning of period	$	85		$	747		$	45		$	39		$	7		$	243		$	2	$	357
Transfers into Level 3	—			111			—			—			—			—			—		—
Transfers out of Level 3	(3		)	(26		)	—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	1			(1		)	—			—			—			—			—		—
Net Realized Gains/Losses	—			—			—			1			—			—			—		(54		)
Purchases	24			169			7			17			1			15			—		—
Sales	(14		)	(24		)	—			(5		)	—			—			—		—
Settlements	(3		)	(57		)	(8		)	—			(8		)	(6		)	—		—
Balance – end of period	$	90		$	919		$	44		$	52		$	—		$	252		$	2	$	303
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	—	$	(54	)

⁽¹⁾



	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	—			—			—			—			—		—			—			—
Transfers out of 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. The liability for GLB reinsurance was $1.2 billion at September 30, 2016, and $1.3 billion at June 30, 2016, which includes a fair value derivative adjustment of $883 million and $971 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, 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	—			168			—			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains (Losses) included in OCI	3			(9		)	—			1			—			3			—			—
Net Realized Gains/Losses	1			(1		)	—			1			—			—			(2		)	(265		)
Purchases	57			390			8			23			15			39			—			—
Sales	(36		)	(79		)	(1		)	(14		)	—			—			—			—
Settlements	(6		)	(138		)	(8		)	—			(40		)	(15		)	—			—
Balance – end of period	$	90		$	919		$	44		$	52		$	—		$	252		$	2		$	303
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	—		$	(2	)	$	(265	)

⁽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 $635 million at September 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $303 million and $559 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. The liability for GLB reinsurance was $1.2 billion at September 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $883 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:



September 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	$	563	$	58	$	—	$	621	$	611
Foreign	—		644		—		644		616
Corporate securities	—		2,578		11		2,589		2,531
Mortgage-backed securities	—		1,258		—		1,258		1,223
States, municipalities, and political subdivisions	—		5,253		—		5,253		5,179
Total assets	$	563	$	9,791	$	11	$	10,365	$	10,160
Liabilities:
Repurchase agreements	$	—	$	1,408	$	—	$	1,408	$	1,408
Short-term debt	—		1,025		—		1,025		1,020
Long-term debt	—		12,273		—		12,273		11,559
Trust preferred securities	—		467		—		467		308
Total liabilities	$	—	$	15,173	$	—	$	15,173	$	14,295



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