Fair value measurements (Tables)
|
12 Months Ended |
Dec. 31, 2014
|
Fair Value Disclosures [Abstract] |
|
GMIB Annuitization Experience [Table Text Block] |
| | | | | | | % of total GMIB guaranteed value | Year of GMIB eligibility | | Maximum annuitization rates (per year) | | Maximum annuitization rates based on | 38% | First year | | 7% - 12% | | Actual Experience | Subsequent years | | 6% - 10% | | 35% | First year | | 14% - 55% | | Actual Experience | Subsequent years | | 6%, 11%, 31% | | Weighted average(1) | 27% | First year | | 7%, 15%, 55% | | Weighted average(1) | Subsequent years | | 6%, 11%, 31% | |
(1) Weighted average of three different annuitization rates (with heavier weighting on credible experience from other clients when own experience is less credible) |
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, 2014 | Level 1 |
| | Level 2 |
| | Level 3 |
| | Total |
| (in millions of U.S. dollars) | | | | Assets: | | | | | | | | Fixed maturities available for sale | | | | | | | | U.S. Treasury and agency | $ | 1,680 |
| | $ | 1,140 |
| | $ | — |
| | $ | 2,820 |
| Foreign | — |
| | 15,220 |
| | 22 |
| | 15,242 |
| Corporate securities | — |
| | 17,244 |
| | 187 |
| | 17,431 |
| Mortgage-backed securities | — |
| | 10,271 |
| | 15 |
| | 10,286 |
| States, municipalities, and political subdivisions | — |
| | 3,616 |
| | — |
| | 3,616 |
| | 1,680 |
| | 47,491 |
| | 224 |
| | 49,395 |
| Equity securities | 492 |
| | 16 |
| | 2 |
| | 510 |
| Short-term investments | 1,183 |
| | 1,139 |
| | — |
| | 2,322 |
| Other investments | 370 |
| | 257 |
| | 2,719 |
| | 3,346 |
| Securities lending collateral | — |
| | 1,330 |
| | — |
| | 1,330 |
| Investment derivative instruments | 18 |
| | — |
| | — |
| | 18 |
| Other derivative instruments | — |
| | 2 |
| | — |
| | 2 |
| Separate account assets | 1,400 |
| | 90 |
| | — |
| | 1,490 |
| Total assets measured at fair value | $ | 5,143 |
| | $ | 50,325 |
| | $ | 2,945 |
| | $ | 58,413 |
| Liabilities: | | | | | | | | Investment derivative instruments | $ | 36 |
| | $ | — |
| | $ | — |
| | $ | 36 |
| Other derivative instruments | 21 |
| | — |
| | 4 |
| | 25 |
| GLB(1) | — |
| | — |
| | 406 |
| | 406 |
| Total liabilities measured at fair value | $ | 57 |
| | $ | — |
| | $ | 410 |
| | $ | 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. Refer to Note 5 c) for additional information. |
| | | | | | | | | | | | | | | | | December 31, 2013 | Level 1 |
| | Level 2 |
| | Level 3 |
| | Total |
| (in millions of U.S. dollars) | | | | 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 c) for additional information. |
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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 | | | | | 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 | | $ | 282 |
| | $ | 145 |
| | $ | 256 |
| | $ | 129 |
| Real estate | 3 to 7 Years | | 289 |
| | 40 |
| | 322 |
| | 92 |
| Distressed | 5 to 9 Years | | 281 |
| | 225 |
| | 180 |
| | 230 |
| Mezzanine | 3 to 7 Years | | 301 |
| | 191 |
| | 276 |
| | 252 |
| Traditional | 3 to 9 Years | | 1,021 |
| | 409 |
| | 813 |
| | 456 |
| Vintage | 1 to 2 Years | | 9 |
| | — |
| | 13 |
| | — |
| Investment funds | Not Applicable | | 378 |
| | — |
| | 428 |
| | — |
| | | | $ | 2,561 |
| | $ | 1,010 |
| | $ | 2,288 |
| | $ | 1,159 |
|
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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 or net asset value and contain no quantitative unobservable inputs developed by management. | | | | | | | | | | | | (in millions of U.S. dollars, except for percentages) | Fair Value at December 31, 2014 |
| | Valuation Technique | | Significant Unobservable Inputs | | Ranges | GLB(1) | $ | 406 |
| | 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. |
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Financial Instruments Measured At Fair Value Using Significant Unobservable Inputs |
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, 2014 | Foreign |
| | Corporate securities |
| | MBS |
| | | (in millions of U.S. dollars) | | | | | Balance, beginning of year | $ | 44 |
| | $ | 166 |
| | $ | 8 |
| | | $ | 4 |
| $ | 7 |
| $ | 2,440 |
| | $ | — |
| $ | 193 |
| Transfers into Level 3 | 10 |
| | 37 |
| | — |
| | | — |
| — |
| — |
| | 2 |
| — |
| Transfers out of Level 3 | (34 | ) | | (23 | ) | | — |
| | | (2 | ) | (7 | ) | — |
| | — |
| — |
| Change in Net Unrealized Gains (Losses) included in OCI | (1 | ) | | (1 | ) | | — |
| | | — |
| — |
| 39 |
| | — |
| — |
| Net Realized Gains/Losses | (3 | ) | | (5 | ) | | — |
| | | — |
| — |
| (3 | ) | | 2 |
| 213 |
| Purchases | 15 |
| | 73 |
| | 8 |
| | | 2 |
| — |
| 719 |
| | — |
| — |
| Sales | (4 | ) | | (38 | ) | | — |
| | | (2 | ) | — |
| (8 | ) | | — |
| — |
| Settlements | (5 | ) | | (22 | ) | | (1 | ) | | | — |
| — |
| (468 | ) | | — |
| — |
| Balance, end of year | $ | 22 |
| | $ | 187 |
| | $ | 15 |
| | | $ | 2 |
| $ | — |
| $ | 2,719 |
| | $ | 4 |
| $ | 406 |
| Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | (4 | ) | | $ | (5 | ) | | $ | — |
| | | $ | — |
| $ | — |
| $ | (3 | ) | | $ | 2 |
| $ | 213 |
|
| | (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 c) for additional information. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | | Liabilities |
| | Available-for-Sale Debt Securities | | Equity securities |
| | Short-term investments |
| | Other investments |
| | GLB(1) |
| Year Ended December 31, 2013 | | Foreign |
| | Corporate securities |
| | MBS |
| | | (in millions of U.S. dollars) | | | | | | | | | Balance, beginning of year | | $ | 60 |
| | $ | 102 |
| | $ | 13 |
| | | $ | 3 |
| | $ | — |
| | $ | 2,252 |
| | $ | 1,119 |
| Transfers into Level 3 | | 36 |
| | 47 |
| | — |
| | | 8 |
| | 8 |
| | — |
| | — |
| Transfers out of Level 3 | | (54 | ) | | (31 | ) | | — |
| | | (1 | ) | | (2 | ) | | — |
| | — |
| Change in Net Unrealized Gains (Losses) included in OCI | | — |
| | — |
| | — |
| | | (6 | ) | | — |
| | 45 |
| | — |
| Net Realized Gains/Losses | | 1 |
| | (2 | ) | | — |
| | | 4 |
| | — |
| | (2 | ) | | (926 | ) | Purchases | | 24 |
| | 75 |
| | — |
| | | 2 |
| | 3 |
| | 551 |
| | — |
| Sales | | (21 | ) | | (7 | ) | | (3 | ) | | | (6 | ) | | (1 | ) | | (10 | ) | | — |
| Settlements | | (2 | ) | | (18 | ) | | (2 | ) | | | — |
| | (1 | ) | | (396 | ) | | — |
| Balance, end of year | | $ | 44 |
| | $ | 166 |
| | $ | 8 |
| | | $ | 4 |
| | $ | 7 |
| | $ | 2,440 |
| | $ | 193 |
| Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | | $ | — |
| | $ | (2 | ) | | $ | — |
| | | $ | — |
| | $ | — |
| | $ | (2 | ) | | $ | (926 | ) |
| | (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 $427 million at December 31, 2013 and $1.4 billion at December 31, 2012, which includes a fair value derivative adjustment of $193 million and $1.1 billion, respectively. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Assets | | | Liabilities |
| | | | Available-for-Sale Debt Securities | | | | | | | | | GLB(1) |
| Year Ended December 31, 2012 | U.S. Treasury and Agency |
| | Foreign |
| | Corporate securities |
| | MBS |
| | States, municipalities, and political subdivisions |
| | Equity securities |
| Other investments |
| Other derivative instruments |
| (in millions of U.S. dollars) | | | | | | | | | Balance, beginning of year | $ | 5 |
| | $ | 33 |
| | $ | 134 |
| | $ | 28 |
| | $ | 1 |
| | $ | 13 |
| | $ | 1,877 |
| | $ | 3 |
| | $ | 1,319 |
| Transfers into Level 3 | — |
| | 49 |
| | 37 |
| | 22 |
| | 1 |
| | 2 |
| | 53 |
| | — |
| | — |
| Transfers out of Level 3 | (4 | ) | | (13 | ) | | (46 | ) | | (35 | ) | | (1 | ) | | (11 | ) | | — |
| | — |
| | — |
| Change in Net Unrealized Gains (Losses) included in OCI | — |
| | (1 | ) | | 6 |
| | — |
| | — |
| | — |
| | 55 |
| | — |
| | — |
| Net Realized Gains/Losses | — |
| | — |
| | (1 | ) | | — |
| | — |
| | — |
| | (7 | ) | | (4 | ) | | (200 | ) | Purchases | — |
| | 46 |
| | 24 |
| | 9 |
| | — |
| | 4 |
| | 520 |
| | 3 |
| | — |
| Sales | — |
| | (53 | ) | | (19 | ) | | (7 | ) | | — |
| | (5 | ) | | (9 | ) | | — |
| | — |
| Settlements | (1 | ) | | (1 | ) | | (33 | ) | | (4 | ) | | (1 | ) | | — |
| | (237 | ) | | (2 | ) | | — |
| Balance, end of year | $ | — |
| | $ | 60 |
| | $ | 102 |
| | $ | 13 |
| | $ | — |
| | $ | 3 |
| | $ | 2,252 |
| | $ | — |
| | $ | 1,119 |
| Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| | $ | (7 | ) | | $ | — |
| | $ | (200 | ) |
| | (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 $1.4 billion at December 31, 2012 and $1.5 billion at December 31, 2011, which includes a fair value derivative adjustment of $1.1 billion and $1.3 billion, respectively. |
|
Carrying Values And Fair Values Of Financial Instruments Not Measured At Fair Value |
| | | | | | | | | | | | | | | | | | | | December 31, 2014 | 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 | $ | 659 |
| | $ | 191 |
| | $ | — |
| | $ | 850 |
| $ | 832 |
| Foreign | — |
| | 963 |
| | — |
| | 963 |
| 916 |
| Corporate securities | — |
| | 2,408 |
| | 15 |
| | 2,423 |
| 2,323 |
| Mortgage-backed securities | — |
| | 2,039 |
| | — |
| | 2,039 |
| 1,983 |
| States, municipalities, and political subdivisions | — |
| | 1,314 |
| | — |
| | 1,314 |
| 1,277 |
| | 659 |
| | 6,915 |
| | 15 |
| | 7,589 |
| 7,331 |
| Partially-owned insurance companies | — |
| | — |
| | 504 |
| | 504 |
| 504 |
| Total assets | $ | 659 |
| | $ | 6,915 |
| | $ | 519 |
| | $ | 8,093 |
| $ | 7,835 |
| Liabilities: | | | | | | | | | Short-term debt | $ | — |
| | $ | 2,571 |
| | $ | — |
| | $ | 2,571 |
| $ | 2,552 |
| Long-term debt | — |
| | 3,690 |
| | — |
| | 3,690 |
| 3,357 |
| Trust preferred securities | — |
| | 462 |
| | — |
| | 462 |
| 309 |
| Total liabilities | $ | — |
| | $ | 6,723 |
| | $ | — |
| | $ | 6,723 |
| $ | 6,218 |
|
| | | | | | | | | | | | | | | | | | | | December 31, 2013 | 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 | $ | 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 |
|
|
Schedule Of Fair Value Transfers Between Level 1 and Level 2 [Table Text Block] |
| | | | | | | | | | | | | | | | | | | | Year Ended December 31 | | (in millions of U.S. dollars) | | | 2014 |
| | 2013 | | 2012 | Transfers from Level 1 to Level 2 | | | $ | 189 |
| | $ | 19 |
| | $ | 40 |
| Transfers from Level 2 to Level 1 | | | $ | — |
| | $ | — |
| | $ | 15 |
|
|