Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2015

Jun. 30, 2014

Financial Instruments Measured At Fair Value On A Recurring Basis



June 30, 2015	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	$	1,741	$	1,064	$	—	$	2,805
Foreign	—		15,100		56		15,156
Corporate securities	—		16,711		167		16,878
Mortgage-backed securities	—		10,729		55		10,784
States, municipalities, and political subdivisions	—		3,078		—		3,078
	1,741		46,682		278		48,701
Equity securities	483		13		2		498
Short-term investments	1,108		954		—		2,062
Other investments	370		279		2,679		3,328
Securities lending collateral	—		1,080		—		1,080
Investment derivative instruments	16		—		—		16
Other derivative instruments	23		—		—		23
Separate account assets	1,567		84		—		1,651
Total assets measured at fair value	$	5,308	$	49,092	$	2,959	$	57,359
Liabilities:
Investment derivative instruments	$	15	$	—	$	—	$	15
Other derivative instruments	—		—		3		3
GLB⁽¹⁾	—		—		347		347
Total liabilities measured at fair value	$	15	$	—	$	350	$	365


⁽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 liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



December 31, 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	$	1,680	$	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 liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.

Fair Value And Maximum Future Funding Commitments Related To Investments



				June 30				December 31
	Expected Liquidation Period of Underlying Assets			2015				2014
(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	$	306	$	124	$	282	$	145
Real Assets	3 to 7 Years	460		177		451		210
Distressed	5 to 9 Years	242		252		232		175
Private Credit	3 to 7 Years	291		234		299		190
Traditional	3 to 9 Years	897		224		908		289
Vintage	1 to 2 Years	16		—		11		1
Investment funds	Not Applicable	306		—		378		—
		$	2,518	$	1,011	$	2,561	$	1,010

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, 2015

December 31, 2014

GLB⁽¹⁾

347

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



													Assets						Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
June 30, 2015	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	22		$	187		$	15		$	2		$	2,719		4			$	406
Transfers into Level 3	28			13			—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(2		)	—			—			—			(14		)	—			—
Included in earnings:
Net Realized Gains/Losses	—			(3		)	—			(1		)	11			(1		)	(59		)
Other income (expense)	—			—			—			—			40			—			—
Purchases	9			16			41			1			177			—			—
Sales	(1		)	(5		)	—			—			(25		)	—			—
Settlements	—			(41		)	(1		)	—			(229		)	—			—
Balance–End of Period	$	56		$	167		$	55		$	2		$	2,679		$	3		$	347
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(2	)	$	—		$	(1	)	$	—		$	(1	)	$	(59	)


⁽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 liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



	Assets																		Liabilities
Six Months Ended	Available-for-Sale Debt Securities												Short-term investments			Other investments			GLB⁽¹⁾
June 30, 2014	Foreign			Corporate securities			MBS			Equity securities
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities
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			—
Included in earnings:
Net Realized Gains/Losses	1			—			—			—			—			(3		)	48
Other income (expense)	—			—			—			—			—			104			—
Purchases	2			45			—			1			—			248			—
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 liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $486 million at June 30, 2014 and $427 million at December 31, 2013, which includes a fair value derivative adjustment of $241 million and $193 million, respectively.



	Assets																		Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
June 30, 2015	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	22		$	167		$	33		$	2		$	2,789		$	4		$	451
Transfers into Level 3	28			12			—			—			—			—			—
Transfers out of Level 3	—			—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(2		)	(3		)	—			—			6			—			—
Included in earnings:
Net Realized Gains/Losses	—			—			—			(1		)	11			(1		)	(104		)
Other income (expense)	—			—			—			—			18			—			—
Purchases	8			8			23			1			52			—			—
Sales	—			(2		)	—			—			(25		)	—			—
Settlements	—			(15		)	(1		)	—			(172		)	—			—
Balance–End of Period	$	56		$	167		$	55		$	2		$	2,679		$	3		$	347
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(1	)	$	—		$	(1	)	$	(104	)


⁽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 liability classified as Future policy benefits in the consolidated balance sheets. Refer to Note 5 for additional information.



	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			—
Included in earnings:
Net Realized Gains/Losses	1			—			—			—		(3		)	(2		)
Other income (expense)	—			—			—			—		43			—
Purchases	—			30			—			—		109			—
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 liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $486 million at June 30, 2014, and $483 million at March 31, 2014, which includes a fair value derivative adjustment of $241 million and $243 million, respectively.

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



June 30, 2015	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	$	583	$	175	$	—	$	758	$	743
Foreign	—		843		—		843		808
Corporate securities	—		3,115		14		3,129		3,113
Mortgage-backed securities	—		1,877		—		1,877		1,828
States, municipalities, and political subdivisions	—		2,198		—		2,198		2,184
	583		8,208		14		8,805		8,676
Partially-owned insurance companies	—		—		638		638		638
Total assets	$	583	$	8,208	$	652	$	9,443	$	9,314
Liabilities:
Short-term debt	$	—	$	2,107	$	—	$	2,107	$	2,102
Long-term debt	—		4,383		—		4,383		4,157
Trust preferred securities	—		457		—		457		309
Total liabilities	$	—	$	6,947	$	—	$	6,947	$	6,568



December 31, 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	$	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