Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2014

Financial Instruments Measured At Fair Value On A Recurring Basis



June 30, 2014	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	$	1,677	$	1,192	$	—	$	2,869
Foreign	216		15,381		12		15,609
Corporate securities	—		17,826		204		18,030
Mortgage-backed securities	—		11,411		7		11,418
States, municipalities, and political subdivisions	—		3,675		—		3,675
	1,893		49,485		223		51,601
Equity securities	414		491		2		907
Short-term investments	1,069		1,039		—		2,108
Other investments	336		254		2,640		3,230
Securities lending collateral	—		1,440		—		1,440
Investment derivative instruments	9		—		—		9
Other derivative instruments	16		2		—		18
Separate account assets	1,349		88		—		1,437
Total assets measured at fair value	$	5,086	$	52,799	$	2,865	$	60,750
Liabilities:
Investment derivative instruments	$	10	$	—	$	—	$	10
Other derivative instruments	15		2		—		17
GLB⁽¹⁾	—		—		241		241
Total liabilities measured at fair value	$	25	$	2	$	241	$	268


⁽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 5 for additional information.



December 31, 2013	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	$	1,626	$	1,323	$	—	$	2,949
Foreign	223		14,324		44		14,591
Corporate securities	—		17,304		166		17,470
Mortgage-backed securities	—		10,886		8		10,894
States, municipalities, and political subdivisions	—		3,350		—		3,350
	1,849		47,187		218		49,254
Equity securities	373		460		4		837
Short-term investments	953		803		7		1,763
Other investments	305		231		2,440		2,976
Securities lending collateral	—		1,632		—		1,632
Investment derivative instruments	19		—		—		19
Other derivative instruments	—		6		—		6
Separate account assets	1,145		81		—		1,226
Total assets measured at fair value	$	4,644	$	50,400	$	2,669	$	57,713
Liabilities:
Investment derivative instruments	$	6	$	—	$	—	$	6
Other derivative instruments	60		2		—		62
GLB⁽¹⁾	—		—		193		193
Total liabilities measured at fair value	$	66	$	2	$	193	$	261


⁽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 5 for additional information.

Schedule Of Fair Value Transfers Between Level 1 and Level 2 [Table Text Block]



	Three Months Ended				Six Months Ended
	June 30				June 30
(in millions of U.S. dollars)	2014		2013		2014		2013
Transfers from Level 1 to Level 2	$	—	$	6	$	—	$	19
Transfers from Level 2 to Level 1	—		—		—		—

Fair Value And Maximum Future Funding Commitments Related To Investments



				June 30				December 31
	Expected Liquidation Period of Underlying Assets			2014				2013
(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	$	274	$	119	$	256	$	129
Real estate	3 to 9 Years	322		63		322		92
Distressed	6 to 9 Years	265		145		180		230
Mezzanine	6 to 9 Years	303		222		276		252
Traditional	3 to 8 Years	923		448		813		456
Vintage	1 to 3 Years	11		—		13		—
Investment funds	Not Applicable	385		—		428		—
		$	2,483	$	997	$	2,288	$	1,159

Schedule Of Significant Unobservable Inputs Used In Level 3 Liability Valuations

(in millions of U.S. dollars, except for percentages)

Fair Value

Valuation

Technique

Significant

Unobservable Inputs

Ranges

June 30, 2014

December 31, 2013

GLB⁽¹⁾

241

193

Actuarial model

Lapse rate

1% – 30%

Annuitization rate

0% – 55%


⁽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.

Financial Instruments Measured At Fair Value Using Significant Unobservable Inputs



	Assets														Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities		Other investments			GLB⁽¹⁾
June 30, 2014	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	26		$	151		$	8		$	2	$	2,611		$	243
Transfers into Level 3	2			26			—			—		—			—
Transfers out of Level 3	(16		)	—			—			—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	—			2			—			—		7			—
Net Realized Gains/Losses	1			—			—			—		(3		)	(2		)
Purchases	—			30			—			—		152			—
Sales	(1		)	(2		)	—			—		(2		)	—
Settlements	—			(3		)	(1		)	—		(125		)	—
Balance–End of Period	$	12		$	204		$	7		$	2	$	2,640		$	241
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—	$	(3	)	$	(2	)


⁽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 5 for additional information.



	Assets																	Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			GLB⁽¹⁾
Three Months Ended	Foreign			Corporate securities			MBS
June 30, 2013
(in millions of U.S. dollars)
Balance–Beginning of Period	$	35		$	118		$	13		$	2		$	—	$	2,328		$	753
Transfers into Level 3	29			5			—			7			7		—			—
Transfers out of Level 3	(14		)	(27		)	—			—			—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	(4		)	(1		)	—			(5		)	—		13			—
Net Realized Gains/Losses	—			(1		)	—			4			—		(1		)	(101		)
Purchases	3			23			—			1			2		113			—
Sales	(1		)	—			(3		)	(5		)	—		—			—
Settlements	—			(3		)	(1		)	—			—		(104		)	—
Balance–End of Period	$	48		$	114		$	9		$	4		$	9	$	2,349		$	652
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	(1	)	$	(101	)

⁽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 $880 million at June 30, 2013, and $1.0 billion at March 31, 2013, which includes a fair value derivative adjustment of $652 million and $753 million, respectively.



	Assets																		Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB⁽¹⁾
June 30, 2014	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	44		$	166		$	8		$	4		$	7		$	2,440		$	193
Transfers into Level 3	2			30			—			—			—			—			—
Transfers out of Level 3	(34		)	(22		)	—			(2		)	(7		)	—			—
Change in Net Unrealized Gains (Losses) included in OCI	(1		)	2			—			1			—			48			—
Net Realized Gains/Losses	1			—			—			—			—			(3		)	48
Purchases	2			45			—			1			—			352			—
Sales	(2		)	(8		)	—			(2		)	—			(3		)	—
Settlements	—			(9		)	(1		)	—			—			(194		)	—
Balance–End of Period	$	12		$	204		$	7		$	2		$	—		$	2,640		$	241
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—		$	(3	)	$	48


⁽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 5 for additional information.



	Assets																	Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			GLB⁽¹⁾
Six Months Ended	Foreign			Corporate securities			MBS
June 30, 2013
(in millions of U.S. dollars)
Balance–Beginning of Period	$	60		$	102		$	13		$	3		$	—	$	2,252		$	1,119
Transfers into Level 3	32			17			—			7			7		—			—
Transfers out of Level 3	(41		)	(29		)	—			(1		)	—		—			—
Change in Net Unrealized Gains (Losses) included in OCI	(4		)	—			—			(5		)	—		35			—
Net Realized Gains/Losses	1			(1		)	—			4			—		(2		)	(467		)
Purchases	3			33			—			1			2		249			—
Sales	(2		)	—			(3		)	(5		)	—		(9		)	—
Settlements	(1		)	(8		)	(1		)	—			—		(176		)	—
Balance–End of Period	$	48		$	114		$	9		$	4		$	9	$	2,349		$	652
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	—		$	—	$	(2	)	$	(467	)

⁽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 $880 million at June 30, 2013, and $1.4 billion at December 31, 2012, which includes a fair value derivative adjustment of $652 million and $1.1 billion, respectively.

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



June 30, 2014	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	$	601	$	194	$	—	$	795	$	779
Foreign	—		853		—		853		809
Corporate securities	—		1,914		15		1,929		1,828
Mortgage-backed securities	—		1,241		—		1,241		1,187
States, municipalities, and political subdivisions	—		1,197		—		1,197		1,171
	601		5,399		15		6,015		5,774
Partially-owned insurance companies	—		—		470		470		470
Total assets	$	601	$	5,399	$	485	$	6,485	$	6,244
Liabilities:
Short-term debt	$	—	$	1,870	$	—	$	1,870	$	1,851
Long-term debt	—		4,392		—		4,392		4,057
Trust preferred securities	—		456		—		456		309
Total liabilities	$	—	$	6,718	$	—	$	6,718	$	6,217



December 31, 2013	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	$	596	$	236	$	—	$	832	$	820
Foreign	—		897		—		897		864
Corporate securities	—		1,990		15		2,005		1,922
Mortgage-backed securities	—		1,379		—		1,379		1,341
States, municipalities, and political subdivisions	—		1,150		—		1,150		1,151
	596		5,652		15		6,263		6,098
Partially-owned insurance companies	—		—		470		470		470
Total assets	$	596	$	5,652	$	485	$	6,733	$	6,568
Liabilities:
Short-term debt	$	—	$	1,913	$	—	$	1,913	$	1,901
Long-term debt	—		4,088		—		4,088		3,807
Trust preferred securities	—		438		—		438		309
Total liabilities	$	—	$	6,439	$	—	$	6,439	$	6,017