Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2016

Financial Instruments Measured At Fair Value On A Recurring Basis



March 31, 2016	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	$	2,444	$	625	$	—	$	3,069
Foreign	—		20,531		62		20,593
Corporate securities	—		21,950		261		22,211
Mortgage-backed securities	—		11,997		48		12,045
States, municipalities, and political subdivisions	—		19,620		—		19,620
	2,444		74,723		371		77,538
Equity securities	864		—		29		893
Short-term investments	1,405		1,977		—		3,382
Other investments ⁽¹⁾	362		237		211		810
Securities lending collateral	—		1,003		—		1,003
Investment derivative instruments	11		—		—		11
Other derivative instruments	—		—		—		—
Separate account assets	1,499		90		—		1,589
Total assets measured at fair value ⁽¹⁾	$	6,585	$	78,030	$	611	$	85,226
Liabilities:
Investment derivative instruments	$	23	$	—	$	—	$	23
Other derivative instruments	36		—		10		46
GLB ⁽²⁾	—		—		839		839
Total liabilities measured at fair value	$	59	$	—	$	849	$	908


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,658 million and other investments of $25 million at March 31, 2016 measured using NAV.


⁽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 5 for additional information.



December 31, 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	$	1,712	$	816	$	—	$	2,528
Foreign	—		13,388		57		13,445
Corporate securities	—		14,755		174		14,929
Mortgage-backed securities	—		9,905		53		9,958
States, municipalities, and political subdivisions	—		2,727		—		2,727
	1,712		41,591		284		43,587
Equity securities	481		—		16		497
Short-term investments	7,171		3,275		—		10,446
Other investments ⁽¹⁾	347		230		212		789
Securities lending collateral	—		1,046		—		1,046
Investment derivative instruments	12		—		—		12
Separate account assets	1,464		88		—		1,552
Total assets measured at fair value ⁽¹⁾	$	11,187	$	46,230	$	512	$	57,929
Liabilities:
Investment derivative instruments	$	13	$	—	$	—	$	13
Other derivative instruments	4		—		6		10
GLB ⁽²⁾	—		—		609		609
Total liabilities measured at fair value	$	17	$	—	$	615	$	632


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $2,477 million and other investments of $25 million at December 31, 2015 measured using NAV.


⁽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 5 for additional information.

Fair Value And Maximum Future Funding Commitments Related To Investments



				March 31				December 31
	Expected Liquidation Period of Underlying Assets			2016				2015
(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	$	580	$	210	$	300	$	105
Real Assets	3 to 7 Years	577		321		474		140
Distressed	5 to 9 Years	451		217		261		218
Private Credit	3 to 7 Years	272		349		265		209
Traditional	3 to 9 Years	1,498		1,001		895		152
Vintage	1 to 2 Years	36		14		13		—
Investment funds	Not Applicable	244		—		269		—
		$	3,658	$	2,112	$	2,477	$	824

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

March 31, 2016

December 31, 2015

GLB⁽¹⁾

839

609

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			Other derivative instruments		GLB⁽¹⁾
March 31, 2016	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	57		$	174		$	53		$	16	$	212		$	6	$	609
Transfers into Level 3	6			16			—			—		—			—		—
Transfers out of Level 3	(2		)	—			—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	6			2			—			—		—			—		—
Net Realized Gains/Losses	(5		)	(6		)	—			—		—			2		230
Purchases ⁽²⁾	5			93			—			13		6			2		—
Sales	(1		)	(14		)	(5		)	—		—			—		—
Settlements	(4		)	(4		)	—			—		(7		)	—		—
Balance–End of Period	$	62		$	261		$	48		$	29	$	211		$	10	$	839
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(4	)	$	(7	)	$	—		$	—	$	—		$	2	$	230


⁽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.


⁽²⁾	Includes acquired invested assets as a result of the Chubb Corp acquisition.



	Assets															Liabilities
Three Months Ended	Available-for-Sale Debt Securities								Equity securities		Other investments			Other derivative instruments		GLB⁽¹⁾
March 31, 2015	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance–Beginning of Period	$	22		$	187		$	15	$	2	$	204		$	4	$	406
Transfers into Level 3	—			1			—		—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	—			3			—		—		(2		)	—		—
Net Realized Gains/Losses	—			(3		)	—		—		—			—		45
Purchases	1			8			18		—		9			—		—
Sales	(1		)	(3		)	—		—		—			—		—
Settlements	—			(26		)	—		—		(3		)	—		—
Balance–End of Period	$	22		$	167		$	33	$	2	$	208		$	4	$	451
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(2	)	$	—	$	—	$	—		$	—	$	45

⁽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 $716 million at March 31, 2015, and $663 million at December 31, 2014, which includes a fair value derivative adjustment of $451 million and $406 million, respectively.

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



March 31, 2016	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	$	598	$	125	$	—	$	723	$	700
Foreign	—		783		—		783		749
Corporate securities	—		3,020		13		3,033		2,951
Mortgage-backed securities	—		1,716		—		1,716		1,652
States, municipalities, and political subdivisions	—		5,325		—		5,325		5,228
Total assets	$	598	$	10,969	$	13	$	11,580	$	11,280
Liabilities:
Repurchase agreements	$	—	$	1,403	$	—	$	1,403	$	1,403
Short-term debt	—		519		—		519		500
Long-term debt	—		13,317		—		13,317		12,636
Trust preferred securities	—		433		—		433		308
Total liabilities	$	—	$	15,672	$	—	$	15,672	$	14,847



December 31, 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	$	162	$	—	$	745	$	733
Foreign	—		785		—		785		763
Corporate securities	—		3,042		14		3,056		3,054
Mortgage-backed securities	—		1,743		—		1,743		1,707
States, municipalities, and political subdivisions	—		2,223		—		2,223		2,173
Total assets	$	583	$	7,955	$	14	$	8,552	$	8,430
Liabilities:
Repurchase agreements	$	—	$	1,404	$	—	$	1,404	$	1,404
Long-term debt	—		9,678		—		9,678		9,389
Trust preferred securities	—		446		—		446		307
Total liabilities	$	—	$	11,528	$	—	$	11,528	$	11,100