Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2011

Financial Instruments Measured At Fair Value On A Recurring Basis

December 31, 2011

(in millions of U.S. dollars)

Level 1

Level 2

Level 3

Total

Assets:

Fixed maturities available for sale

U.S. Treasury and agency

1,691

1,264

2,960

Foreign

212

12,156

12,401

Corporate securities

14,539

134

14,693

Mortgage-backed securities

–

10,173

10,201

States, municipalities, and political subdivisions

–

1,711

1,712

1,923

39,843

201

41,967

Equity securities

632

647

Short-term investments

1,246

1,055

–

2,301

Other investments

208

229

1,877

2,314

Securities lending collateral

–

1,375

–

1,375

Investment derivative instruments

–

Other derivative instruments

(16

)

Separate account assets

607

–

660

Total assets measured at fair value

4,610

42,611

2,094

49,315

Liabilities:

GLB⁽¹⁾

–

1,319

There were no significant gross transfers between Level 1 and Level 2 during the year ended December 31, 2011.


December 31, 2010 (in millions of U.S. dollars)	Level 1			Level 2		Level 3		Total
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	1,564		$	1,399	$	–	$	2,963
Foreign		187			10,973		26		11,186
Corporate securities		31			13,441		115		13,587
Mortgage-backed securities		–			8,477		39		8,516
States, municipalities, and political subdivisions		–			1,285		2		1,287
		1,782			35,575		182		37,539
Equity securities		676			3		13		692
Short-term investments		903			1,080		–		1,983
Other investments		39			221		1,432		1,692
Securities lending collateral		–			1,495		–		1,495
Investment derivative instruments		11			–		–		11
Other derivative instruments		(25	)		46		4		25
Separate account assets		308			–		–		308
Total assets measured at fair value	$	3,694		$	38,420	$	1,631	$	43,745
Liabilities:
GLB⁽¹⁾	$	–		$	–	$	507	$	507

Fair Value And Maximum Future Funding Commitments Relating To Included In Other Investments


			December 31 2011				December 31 2010
(in millions of U.S. dollars)	Expected Liquidation Period		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial		5 to 9 Years	$	205	$	141	$	192	$	151
Real estate		3 to 9 Years		270		96		163		92
Distressed		6 to 9 Years		182		57		243		43
Mezzanine		6 to 9 Years		195		282		125		173
Traditional		3 to 8 Years		565		200		376		291
Vintage		1 to 3 Years		18		1		27		3
Investment funds		Not Applicable		378		–		329		–
			$	1,813	$	777	$	1,455	$	753

Financial Instruments Measured At Fair Value Using Significant Unobservable Inputs


	Assets																							Liabilities
	Available-for-Sale Debt Securities
Year Ended December 31, 2011 (in millions of U.S. dollars)	U.S. Treasury and agency		Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions			Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
Balance-Beginning of year	$	–	$	26		$	115		$	39		$	2		$	13		$	1,432		$	4		$	507
Transfers into Level 3		–		9			42			4			–			–			–			–			–
Transfers out of Level 3		–		(18	)		(4	)		(48	)		–			–			–			–			–
Change in Net Unrealized Gains (Losses) included in OCI		–		(1	)		(2	)		–			–			(1	)		93			–			–
Net Realized Gains/Losses		–		–			(3	)		–			–			4			(3	)		2			812
Purchases		5		23			32			59			–			5			602			–			–
Sales		–		(3	)		(27	)		(17	)		–			(8	)		(55	)		–			–
Settlements		–		(3	)		(19	)		(9	)		(1	)		–			(192	)		(3	)		–
Balance-End of year	$	5	$	33		$	134		$	28		$	1		$	13		$	1,877		$	3		$	1,319
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	–	$	–		$	–		$	–		$	–		$	–		$	(3	)	$	(1	)	$	812


	Assets																					Liabilities
	Available-for-Sale Debt Securities
Year Ended December 31, 2010 (in millions of U.S. dollars)	Foreign			Corporate securities			MBS			States, municipalities, and political subdivisions			Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
Balance-Beginning of year	$	59		$	168		$	21		$	3		$	12		$	1,149		$	14		$	443
Transfers into (Out of) Level 3		(14	)		(25	)		(1	)		–			1			–			–			–
Change in Net Unrealized Gains (Losses) included in OCI		1			9			–			–			–			53			–			–
Net Realized Gains/Losses		1			(3	)		–			–			1			(7	)		2			64
Purchases, Sales, Issuances, and Settlements, Net		(21	)		(34	)		19			(1	)		(1	)		237			(12	)		–
Balance-End of year	$	26		$	115		$	39		$	2		$	13		$	1,432		$	4		$	507
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	–		$	–		$	–		$	–		$	–		$	(7	)	$	1		$	64

⁽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 $648 million at December 31, 2010, and $559 million at December 31, 2009, which includes a fair value derivative adjustment of $507 million and $443 million, respectively.


	Assets																			Liabilities
	Available-for-Sale Debt Securities
Year Ended December 31, 2009 (in millions of U.S. dollars)	Foreign			Corporate securities		MBS			States, municipalities, and political subdivisions		Equity securities			Other investments			Other derivative instruments			GLB⁽¹⁾
Balance-Beginning of year	$	45		$	117	$	109		$	3	$	21		$	1,099		$	87		$	811
Transfers into (Out of) Level 3		4			8		(37	)		–		–			(30	)		–			–
Change in Net Unrealized Gains (Losses) included in OCI		5			17		12			–		9			191			–			–
Net Realized Gains/Losses		(1	)		1		(2	)		–		–			(149	)		(71	)		(368	)
Purchases, Sales, Issuances, and Settlements, Net		6			25		(61	)		–		(18	)		38			(2	)		–
Balance-End of year	$	59		$	168	$	21		$	3	$	12		$	1,149		$	14		$	443
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	2		$	1	$	–		$	–	$	–		$	(149	)	$	(71	)	$	(368	)

⁽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 $559 million at December 31, 2009, and $910 million at December 31, 2008, which includes a fair value derivative adjustment of $443 million and $811 million, respectively.

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


	December 31 2011				December 31 2010
(in millions of U.S. dollars)	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Fixed maturities held to maturity
U.S. Treasury and agency	$	1,078	$	1,126	$	1,105	$	1,127
Foreign		935		930		1,049		1,013
Corporate securities		2,338		2,337		2,361		2,313
Mortgage-backed securities		2,949		3,036		3,811		3,846
States, municipalities, and political subdivisions		1,147		1,176		1,175		1,162
Total fixed maturities held to maturity		8,447		8,605		9,501		9,461
Liabilities:
Short-term debt		1,251		1,251		1,300		1,300
Long-term debt		3,360		3,823		3,358		3,690
Trust preferred securities		309		404		309		364
Total liabilities	$	4,920	$	5,478	$	4,967	$	5,354