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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.
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

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.
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