Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2016

Financial Instruments Measured At Fair Value On A Recurring Basis



June 30, 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	$	2,155	$	543	$	—	$	2,698
Foreign	—		22,393		87		22,480
Corporate securities	—		22,154		281		22,435
Mortgage-backed securities	—		12,715		49		12,764
States, municipalities, and political subdivisions	—		19,574		—		19,574
	2,155		77,379		417		79,951
Equity securities	750		—		37		787
Short-term investments	2,321		1,260		50		3,631
Other investments ⁽¹⁾	369		240		216		825
Securities lending collateral	—		1,142		—		1,142
Investment derivative instruments	18		—		—		18
Other derivative instruments	7		—		—		7
Separate account assets	1,592		95		—		1,687
Total assets measured at fair value ⁽¹⁾	$	7,212	$	80,116	$	720	$	88,048
Liabilities:
Investment derivative instruments	$	71	$	—	$	—	$	71
Other derivative instruments	4		—		10		14
GLB ⁽²⁾	—		—		971		971
Total liabilities measured at fair value	$	75	$	—	$	981	$	1,056


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,537 million and other investments of $25 million at June 30, 2016 measured using NAV as a practical expedient.


⁽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 as a practical expedient.


⁽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



				June 30				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	$	571	$	201	$	300	$	105
Real Assets	3 to 7 Years	520		304		474		140
Distressed	5 to 9 Years	456		200		261		218
Private Credit	3 to 7 Years	262		335		265		209
Traditional	3 to 9 Years	1,451		1,054		895		152
Vintage	1 to 2 Years	34		14		13		—
Investment funds	Not Applicable	243		—		269		—
		$	3,537	$	2,108	$	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

June 30, 2016

December 31, 2015

GLB⁽¹⁾

971

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
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 30, 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	9			18			—			—			—		—			—		—
Transfers out of Level 3	(2		)	—			—			—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI	9			11			—			(1		)	—		—			—		—
Net Realized Gains/Losses	(6		)	(8		)	—			1			—		—			2		362
Purchases ⁽²⁾	32			124			1			23			50		14			2		—
Sales	(8		)	(30		)	(5		)	(2		)	—		—			—		—
Settlements	(4		)	(8		)	—			—			—		(10		)	—		—
Balance–End of Period	$	87		$	281		$	49		$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(5	)	$	(7	)	$	—		$	—		$	—	$	—		$	2	$	362


⁽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
Six Months Ended	Available-for-Sale Debt Securities												Other investments			Other derivative instruments			GLB⁽¹⁾
June 30, 2015	Foreign			Corporate securities			MBS			Equity securities
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS			Equity securities
Balance–Beginning of Period	$	22		$	187		$	15		$	2		$	204		$	4		$	406
Transfers into Level 3	28			13			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(2		)	—			—			—			—			—			—
Net Realized Gains/Losses	—			(3		)	—			(1		)	—			(1		)	(59		)
Purchases	9			16			41			1			16			—			—
Sales	(1		)	(5		)	—			—			—			—			—
Settlements	—			(41		)	(1		)	—			(6		)	—			—
Balance–End of Period	$	56		$	167		$	55		$	2		$	214		$	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 derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $615 million at June 30, 2015, and $663 million at December 31, 2014, which includes a fair value derivative adjustment of $347 million and $406 million, respectively.



	Assets																			Liabilities
Three Months Ended		Available-for-Sale Debt Securities								Equity securities			Short-term investments		Other investments			Other derivative instruments		GLB⁽¹⁾
June 30, 2016		Foreign			Corporate securities			MBS
(in millions of U.S. dollars)		Foreign			Corporate securities			MBS
Balance–Beginning of Period		$	62		$	261		$	48	$	29		$	—	$	211		$	10	$	839
Transfers into Level 3		3			2			—		—			—		—			—		—
Change in Net Unrealized Gains (Losses) included in OCI		3			9			—		(1		)	—		—			—		—
Net Realized Gains/Losses		(1		)	(2		)	—		1			—		—			—		132
Purchases		27			31			1		10			50		8			—		—
Sales		(7		)	(16		)	—		(2		)	—		—			—		—
Settlements		—			(4		)	—		—			—		(3		)	—		—
Balance–End of Period		$	87		$	281		$	49	$	37		$	50	$	216		$	10	$	971
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	(1	)	$	—		$	—	$	—		$	—	$	—		$	—	$	132


⁽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
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		$	208		$	4		$	451
Transfers into Level 3	28			12			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI	(2		)	(3		)	—			—			2			—			—
Net Realized Gains/Losses	—			—			—			(1		)	—			(1		)	(104		)
Purchases	8			8			23			1			7			—			—
Sales	—			(2		)	—			—			—			—			—
Settlements	—			(15		)	(1		)	—			(3		)	—			—
Balance–End of Period	$	56		$	167		$	55		$	2		$	214		$	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 derivative liability classified as Future policy benefits in the consolidated balance sheets. The liability for GLB reinsurance was $615 million at June 30, 2015, and $716 million at March 31, 2015, which includes a fair value derivative adjustment of $347 million and $451 million, respectively.

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



June 30, 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	$	605	$	111	$	—	$	716	$	686
Foreign	—		773		—		773		730
Corporate securities	—		3,002		13		3,015		2,882
Mortgage-backed securities	—		1,676		—		1,676		1,600
States, municipalities, and political subdivisions	—		5,401		—		5,401		5,192
Total assets	$	605	$	10,963	$	13	$	11,581	$	11,090
Liabilities:
Repurchase agreements	$	—	$	1,405	$	—	$	1,405	$	1,405
Short-term debt	—		514		—		514		500
Long-term debt	—		13,633		—		13,633		12,631
Trust preferred securities	—		451		—		451		308
Total liabilities	$	—	$	16,003	$	—	$	16,003	$	14,844



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