Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2018

GMIB Annuitization Experience [Table Text Block]

The level of annuitization assumptions at December 31, 2018 are as follows:



% of total GMIB guaranteed value	Policyholder age	Maximum annuitization rate(s) (per year)
19%	Under 65 years old	1% - 21%
81%	Over 65 years old	3% - 42%

Financial Instruments Measured At Fair Value On A Recurring Basis

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



December 31, 2018	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	$	3,400	$	745	$	—	$	4,145
Foreign	—		21,071		345		21,416
Corporate securities	—		25,284		1,299		26,583
Mortgage-backed securities	—		15,479		61		15,540
States, municipalities, and political subdivisions	—		10,786		—		10,786
	3,400		73,365		1,705		78,470
Equity securities	713		—		57		770
Short-term investments	1,575		1,440		1		3,016
Other investments ⁽¹⁾	381		303		11		695
Securities lending collateral	—		1,926		—		1,926
Investment derivative instruments	28		—		—		28
Other derivative instruments	25		—		—		25
Separate account assets	2,686		137		—		2,823
Total assets measured at fair value ⁽¹⁾	$	8,808	$	77,171	$	1,774	$	87,753
Liabilities:
Investment derivative instruments	$	38	$	115	$	—	$	153
GLB ⁽²⁾	—		—		452		452
Total liabilities measured at fair value	$	38	$	115	$	452	$	605


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,244 million and other investments of $95 million at December 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. Refer to Note 4 c) for additional information.



December 31, 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	$	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. Refer to Note 4 c) 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:



		December 31				December 31
		2018				2017
(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	2 to 9 Years	$	596	$	193	$	540	$	330
Real Assets	2 to 11 Years	704		362		651		114
Distressed	2 to 7 Years	296		105		289		141
Private Credit	3 to 8 Years	147		310		187		327
Traditional	2 to 14 Years	2,362		2,735		1,656		3,149
Vintage	1 to 2 Years	56		—		30		—
Investment funds	Not Applicable	83		—		270		—
		$	4,244	$	3,705	$	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. The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).



(in millions of U.S. dollars, except for percentages)	Fair Value at December 31, 2018		Valuation Technique	Significant Unobservable Inputs	Ranges
GLB⁽¹⁾	$	452	Actuarial model	Lapse rate	3% – 32%
				Annuitization rate	0% – 42%


⁽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

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
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽¹⁾
Year Ended December 31, 2018	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Transfers into Level 3	13			24			1			—			5			—			—			—
Transfers out of Level 3	(2		)	(31		)	(3		)	—			—			(252		)	—			—
Change in Net Unrealized Gains/Losses included in OCI	(12		)	(4		)	—			(2		)	—			(2		)	—			—
Net Realized Gains/Losses	(3		)	(5		)	—			6			—			1			(2		)	248
Purchases	334			672			5			37			9			50			—			—
Sales	(69		)	(164		)	—			(28		)	—			—			—			—
Settlements	(9		)	(230		)	(20		)	—			(13		)	(49		)	—			—
Balance, end of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	—		$	452
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(7	)	$	—		$	(1	)	$	—		$	1		$	—		$	248


⁽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 4 c) for additional information.



	Assets																					Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽²⁾
Year Ended December 31, 2017	Foreign			Corporate securities ⁽¹⁾			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities ⁽¹⁾			MBS
Balance, beginning of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			231			50			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains/Losses included in OCI	3			(12		)	—			(1		)	—			6			—			—
Net Realized Gains/Losses	—			—			—			2			—			—			(2		)	(364		)
Purchases	84			521			8			24			16			56			—			—
Sales	(59		)	(111		)	(1		)	(22		)	—			—			—			—
Settlements	(6		)	(180		)	(24		)	—			(41		)	(24		)	—			—
Balance, end of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(2	)	$	—		$	(1	)	$	—		$	—		$	(2	)	$	(364	)


⁽¹⁾	Transfers into and 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 $550 million at December 31, 2017 and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $204 million and $559 million, respectively.



	Assets																		Liabilities
	Available-for-Sale Debt Securities												Short-term investments						Other derivative instruments		GLB⁽¹⁾
Year Ended December 31, 2016	Foreign			Corporate securities			MBS			Equity securities						Other investments
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities						Other investments
Balance, beginning of year	$	57		$	174		$	53		$	16		$	—		$	212		$	6	$	609
Transfers into Level 3	9			53			—			—			—			—			—		—
Transfers out of Level 3	(24		)	(10		)	—			—			(50		)	—			—		—
Change in Net Unrealized Gains/Losses included in OCI	1			15			(1		)	2			—			(2		)	—		—
Net Realized Gains/Losses	(6		)	(13		)	—			1			—			1			5		(50		)
Purchases⁽²⁾	70			566			1			27			75			33			2		—
Sales	(17		)	(59		)	(8		)	(5		)	—			—			—		—
Settlements	(16		)	(45		)	—			—			—			(19		)	—		—
Balance, end of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13	$	559
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(11	)	$	—		$	—		$	—		$	1		$	5	$	(50	)

⁽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 $853 million at December 31, 2016 and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $559 million and $609 million, respectively.

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



																Assets						Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽¹⁾
Year Ended December 31, 2018	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Transfers into Level 3	13			24			1			—			5			—			—			—
Transfers out of Level 3	(2		)	(31		)	(3		)	—			—			(252		)	—			—
Change in Net Unrealized Gains/Losses included in OCI	(12		)	(4		)	—			(2		)	—			(2		)	—			—
Net Realized Gains/Losses	(3		)	(5		)	—			6			—			1			(2		)	248
Purchases	334			672			5			37			9			50			—			—
Sales	(69		)	(164		)	—			(28		)	—			—			—			—
Settlements	(9		)	(230		)	(20		)	—			(13		)	(49		)	—			—
Balance, end of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	—		$	452
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(7	)	$	—		$	(1	)	$	—		$	1		$	—		$	248


⁽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 4 c) for additional information.



	Assets																					Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽²⁾
Year Ended December 31, 2017	Foreign			Corporate securities ⁽¹⁾			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities ⁽¹⁾			MBS
Balance, beginning of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			231			50			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains/Losses included in OCI	3			(12		)	—			(1		)	—			6			—			—
Net Realized Gains/Losses	—			—			—			2			—			—			(2		)	(364		)
Purchases	84			521			8			24			16			56			—			—
Sales	(59		)	(111		)	(1		)	(22		)	—			—			—			—
Settlements	(6		)	(180		)	(24		)	—			(41		)	(24		)	—			—
Balance, end of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(2	)	$	—		$	(1	)	$	—		$	—		$	(2	)	$	(364	)


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

⁽²⁾



	Assets																		Liabilities
	Available-for-Sale Debt Securities												Short-term investments						Other derivative instruments		GLB⁽¹⁾
Year Ended December 31, 2016	Foreign			Corporate securities			MBS			Equity securities						Other investments
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities						Other investments
Balance, beginning of year	$	57		$	174		$	53		$	16		$	—		$	212		$	6	$	609
Transfers into Level 3	9			53			—			—			—			—			—		—
Transfers out of Level 3	(24		)	(10		)	—			—			(50		)	—			—		—
Change in Net Unrealized Gains/Losses included in OCI	1			15			(1		)	2			—			(2		)	—		—
Net Realized Gains/Losses	(6		)	(13		)	—			1			—			1			5		(50		)
Purchases⁽²⁾	70			566			1			27			75			33			2		—
Sales	(17		)	(59		)	(8		)	(5		)	—			—			—		—
Settlements	(16		)	(45		)	—			—			—			(19		)	—		—
Balance, end of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13	$	559
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(11	)	$	—		$	—		$	—		$	1		$	5	$	(50	)

⁽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 $853 million at December 31, 2016 and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $559 million and $609 million, respectively.

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



December 31, 2018	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	$	1,128	$	54	$	—	$	1,182	$	1,185
Foreign	—		1,542		—		1,542		1,549
Corporate securities	—		2,477		31		2,508		2,601
Mortgage-backed securities	—		2,486		—		2,486		2,524
States, municipalities, and political subdivisions	—		5,541		—		5,541		5,576
Total assets	$	1,128	$	12,100	$	31	$	13,259	$	13,435
Liabilities:
Repurchase agreements	$	—	$	1,418	$	—	$	1,418	$	1,418
Short-term debt	—		516		—		516		509
Long-term debt	—		12,181		—		12,181		12,087
Trust preferred securities	—		409		—		409		308
Total liabilities	$	—	$	14,524	$	—	$	14,524	$	14,322



December 31, 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	$	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