Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	3,094	$	744	$	—	$	3,838
Foreign	—		21,855		176		22,031
Corporate securities	—		22,494		1,073		23,567
Mortgage-backed securities	—		15,737		83		15,820
States, municipalities, and political subdivisions	—		13,855		—		13,855
	3,094		74,685		1,332		79,111
Equity securities	884		—		64		948
Short-term investments	1,735		1,127		12		2,874
Other investments (1)	451		318		270		1,039
Securities lending collateral	—		2,039		—		2,039
Investment derivative instruments	25		—		—		25
Other derivative instruments	78		—		—		78
Separate account assets	2,774		100		—		2,874
Total assets measured at fair value (1)	$	9,041	$	78,269	$	1,678	$	88,988
Liabilities:
Investment derivative instruments	$	29	$	—	$	—	$	29
Other derivative instruments	—		—		2		2
GLB (2)	—		—		167		167
Total liabilities measured at fair value	$	29	$	—	$	169	$	198

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,866 million and other investments of $14 million at March 31, 2018 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, 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	$	3,129	$	569	$	—	$	3,698
Foreign	—		20,937		93		21,030
Corporate securities	—		22,959		1,037		23,996
Mortgage-backed securities	—		15,212		78		15,290
States, municipalities, and political subdivisions	—		14,925		—		14,925
	3,129		74,602		1,208		78,939
Equity securities	893		—		44		937
Short-term investments	2,309		1,252		—		3,561
Other investments (1)	466		305		263		1,034
Securities lending collateral	—		1,737		—		1,737
Investment derivative instruments	18		—		—		18
Other derivative instruments	1		—		—		1
Separate account assets	2,635		99		—		2,734
Total assets measured at fair value (1)	$	9,451	$	77,995	$	1,515	$	88,961
Liabilities:
Investment derivative instruments	$	30	$	—	$	—	$	30
Other derivative instruments	21		—		2		23
GLB (2)	—		—		204		204
Total liabilities measured at fair value	$	51	$	—	$	206	$	257

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,623 million and other investments of $15 million at December 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.

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			2018				2017
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	5 to 9 Years	$	538	$	327	$	540	$	330
Real Assets	3 to 7 Years	656		210		651		114
Distressed	3 to 7 Years	295		131		289		141
Private Credit	3 to 7 Years	173		320		187		327
Traditional	3 to 15 Years	1,901		2,858		1,656		3,149
Vintage	1 to 2 Years	27		—		30		—
Investment funds	Not Applicable	276		—		270		—
		$	3,866	$	3,846	$	3,623	$	4,061

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, 2018		December 31, 2017
GLB (1)	$	167	$	204	Actuarial model	Lapse rate	3% – 33%
						Annuitization rate	0% – 100%

⁽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 3 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 (2)
March 31, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	93		$	1,037		$	78	$	44	$	—		$	263		$	2	$	204
Transfers into Level 3	7			—			1		—		5			—			—		—
Transfers out of Level 3	—			(10		)	—		—		—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including Foreign Exchange	9			(3		)	—		1		—			2			—		—
Net Realized Gains/Losses	—			—			—		2		—			—			—		(37		)
Purchases	87			139			4		17		8			14			—		—
Sales	(19		)	(51		)	—		—		—			—			—		—
Settlements	(1		)	(39		)	—		—		(1		)	(9		)	—		—
Balance – end of period	$	176		$	1,073		$	83	$	64	$	12		$	270		$	2	$	167
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	—		$	—	$	(37	)

⁽¹⁾  Purchases in Level 3 primarily consist of privately-placed fixed income securities.

⁽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. The liability for GLB reinsurance was $529 million at March 31, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $167 million and $204 million, respectively.

	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.

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 (2)
March 31, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	93		$	1,037		$	78	$	44	$	—		$	263		$	2	$	204
Transfers into Level 3	7			—			1		—		5			—			—		—
Transfers out of Level 3	—			(10		)	—		—		—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including Foreign Exchange	9			(3		)	—		1		—			2			—		—
Net Realized Gains/Losses	—			—			—		2		—			—			—		(37		)
Purchases	87			139			4		17		8			14			—		—
Sales	(19		)	(51		)	—		—		—			—			—		—
Settlements	(1		)	(39		)	—		—		(1		)	(9		)	—		—
Balance – end of period	$	176		$	1,073		$	83	$	64	$	12		$	270		$	2	$	167
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	—		$	—	$	(37	)

⁽¹⁾  Purchases in Level 3 primarily consist of privately-placed fixed income securities.

⁽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. The liability for GLB reinsurance was $529 million at March 31, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $167 million and $204 million, respectively.

	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.

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, 2018	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	$	977	$	55	$	—	$	1,032	$	1,037
Foreign	—		1,751		—		1,751		1,754
Corporate securities	—		2,964		33		2,997		3,026
Mortgage-backed securities	—		2,647		—		2,647		2,681
States, municipalities, and political subdivisions	—		5,695		—		5,695		5,755
Total assets	$	977	$	13,112	$	33	$	14,122	$	14,253
Liabilities:
Repurchase agreements	$	—	$	1,412	$	—	$	1,412	$	1,412
Short-term debt	—		1,704		—		1,704		1,669
Long-term debt	—		13,023		—		13,023		12,786
Trust preferred securities	—		466		—		466		308
Total liabilities	$	—	$	16,605	$	—	$	16,605	$	16,175

December 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	$	857	$	58	$	—	$	915	$	908
Foreign	—		1,757		—		1,757		1,738
Corporate securities	—		3,184		35		3,219		3,159
Mortgage-backed securities	—		2,742		—		2,742		2,724
States, municipalities, and political subdivisions	—		5,841		—		5,841		5,806
Total assets	$	857	$	13,582	$	35	$	14,474	$	14,335
Liabilities:
Repurchase agreements	$	—	$	1,408	$	—	$	1,408	$	1,408
Short-term debt	—		1,013		—		1,013		1,013
Long-term debt	—		12,332		—		12,332		11,556
Trust preferred securities	—		468		—		468		308
Total liabilities	$	—	$	15,221	$	—	$	15,221	$	14,285