Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2019

Fair Value Disclosures [Abstract]

Financial Instruments Measured At Fair Value On A Recurring Basis

Financial instruments measured at fair value on a recurring basis, by valuation hierarchy

March 31, 2019	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	3,168	$	623	$	—	$	3,791
Foreign	—		21,982		360		22,342
Corporate securities	—		26,483		1,342		27,825
Mortgage-backed securities	—		16,352		78		16,430
States, municipalities, and political subdivisions	—		10,275		—		10,275
	3,168		75,715		1,780		80,663
Equity securities	766		—		55		821
Short-term investments	1,785		1,293		—		3,078
Other investments (1)	411		342		11		764
Securities lending collateral	—		1,861		—		1,861
Investment derivative instruments	15		—		—		15
Other derivative instruments	7		—		—		7
Separate account assets	2,991		139		—		3,130
Total assets measured at fair value (1)	$	9,143	$	79,350	$	1,846	$	90,339
Liabilities:
Investment derivative instruments	$	52	$	195	$	—	$	247
Other derivative instruments	12		—		—		12
GLB (2)	—		—		338		338
Total liabilities measured at fair value	$	64	$	195	$	338	$	597

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,464 million and other investments of $91 million at March 31, 2019 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.

December 31, 2018	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	3,400	$	745	$	—	$	4,145
Foreign	—		21,071		345		21,416
Corporate securities	—		25,284		1,299		26,583
Mortgage-backed securities	—		15,479		61		15,540
States, municipalities, and political subdivisions	—		10,786		—		10,786
	3,400		73,365		1,705		78,470
Equity securities	713		—		57		770
Short-term investments	1,575		1,440		1		3,016
Other investments (1)	381		303		11		695
Securities lending collateral	—		1,926		—		1,926
Investment derivative instruments	28		—		—		28
Other derivative instruments	25		—		—		25
Separate account assets	2,686		137		—		2,823
Total assets measured at fair value (1)	$	8,808	$	77,171	$	1,774	$	87,753
Liabilities:
Investment derivative instruments	$	38	$	115	$	—	$	153
GLB (2)	—		—		452		452
Total liabilities measured at fair value	$	38	$	115	$	452	$	605

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,244 million and other investments of $95 million at December 31, 2018 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.

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:

				March 31				December 31
	Expected Liquidation Period of Underlying Assets			2019				2018
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 9 Years	$	591	$	188	$	596	$	193
Real Assets	2 to 11 Years	762		449		704		362
Distressed	2 to 7 Years	263		98		296		105
Private Credit	3 to 8 Years	134		291		147		310
Traditional	2 to 14 Years	2,331		2,573		2,362		2,735
Vintage	1 to 2 Years	125		43		56		—
Investment funds	Not Applicable	258		—		83		—
		$	4,464	$	3,642	$	4,244	$	3,705

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 and contain no quantitative unobservable inputs developed by management. The majority of our fixed maturities classified as Level 3 used external pricing when markets are less liquid due to the lack of market inputs (i.e., stale pricing, broker quotes).

(in millions of U.S. dollars, except for percentages)	Fair Value				Valuation Technique	Significant Unobservable Inputs	Ranges
	March 31, 2019		December 31, 2018
GLB (1)	$	338	$	452	Actuarial model	Lapse rate	3% – 32%
						Annuitization rate	0% – 42%

⁽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 3 a) Guaranteed living benefits.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB (1)
March 31, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	345		$	1,299		$	61		$	57		$	1		$	11		$	452
Transfers into Level 3	3			5			—			—			—			—			—
Transfers out of Level 3	(15		)	—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	6			4			—			1			—			—			—
Net Realized Gains/Losses	(1		)	1			—			(2		)	—			—			(114		)
Purchases	53			128			18			9			—			—			—
Sales	(5		)	(37		)	—			(10		)	—			—			—
Settlements	(26		)	(58		)	(1		)	—			(1		)	—			—
Balance – end of period	$	360		$	1,342		$	78		$	55		$	—		$	11		$	338
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(1	)	$	—		$	—		$	(114	)

⁽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 $741 million at March 31, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $338 million and 452 million, respectively.

	Assets																		Liabilities
Three Months Ended	Available-for-Sale Debt Securities								Equity securities		Short-term investments			Other investments			Other derivative instruments		GLB (2)
March 31, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	93		$	1,037		$	78	$	44	$	—		$	263		$	2	$	204
Transfers into Level 3	7			—			1		—		5			—			—		—
Transfers out of Level 3	—			(10		)	—		—		—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	9			(3		)	—		1		—			2			—		—
Net Realized Gains/Losses	—			—			—		2		—			—			—		(37		)
Purchases	87			139			4		17		8			14			—		—
Sales	(19		)	(51		)	—		—		—			—			—		—
Settlements	(1		)	(39		)	—		—		(1		)	(9		)	—		—
Balance – end of period	$	176		$	1,073		$	83	$	64	$	12		$	270		$	2	$	167
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	—		$	—	$	(37	)

⁽¹⁾  Purchases in Level 3 primarily consist of privately-placed fixed income securities.

⁽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. The liability for GLB reinsurance was $529 million at March 31, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $167 million and $204 million, respectively.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

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
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB (1)
March 31, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	345		$	1,299		$	61		$	57		$	1		$	11		$	452
Transfers into Level 3	3			5			—			—			—			—			—
Transfers out of Level 3	(15		)	—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	6			4			—			1			—			—			—
Net Realized Gains/Losses	(1		)	1			—			(2		)	—			—			(114		)
Purchases	53			128			18			9			—			—			—
Sales	(5		)	(37		)	—			(10		)	—			—			—
Settlements	(26		)	(58		)	(1		)	—			(1		)	—			—
Balance – end of period	$	360		$	1,342		$	78		$	55		$	—		$	11		$	338
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(1	)	$	—		$	—		$	(114	)

⁽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 $741 million at March 31, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $338 million and 452 million, respectively.

	Assets																		Liabilities
Three Months Ended	Available-for-Sale Debt Securities								Equity securities		Short-term investments			Other investments			Other derivative instruments		GLB (2)
March 31, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	93		$	1,037		$	78	$	44	$	—		$	263		$	2	$	204
Transfers into Level 3	7			—			1		—		5			—			—		—
Transfers out of Level 3	—			(10		)	—		—		—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	9			(3		)	—		1		—			2			—		—
Net Realized Gains/Losses	—			—			—		2		—			—			—		(37		)
Purchases	87			139			4		17		8			14			—		—
Sales	(19		)	(51		)	—		—		—			—			—		—
Settlements	(1		)	(39		)	—		—		(1		)	(9		)	—		—
Balance – end of period	$	176		$	1,073		$	83	$	64	$	12		$	270		$	2	$	167
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—	$	—	$	—		$	—		$	—	$	(37	)

⁽¹⁾  Purchases in Level 3 primarily consist of privately-placed fixed income securities.

⁽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. The liability for GLB reinsurance was $529 million at March 31, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $167 million and $204 million, respectively.

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

The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:

March 31, 2019	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	$	1,098	$	54	$	—	$	1,152	$	1,144
Foreign	—		1,534		—		1,534		1,503
Corporate securities	—		2,509		30		2,539		2,543
Mortgage-backed securities	—		2,494		—		2,494		2,484
States, municipalities, and political subdivisions	—		5,521		—		5,521		5,462
Total assets	$	1,098	$	12,112	$	30	$	13,240	$	13,136
Liabilities:
Repurchase agreements	$	—	$	1,419	$	—	$	1,419	$	1,419
Short-term debt	—		512		—		512		509
Long-term debt	—		12,719		—		12,719		12,071
Trust preferred securities	—		425		—		425		308
Total liabilities	$	—	$	15,075	$	—	$	15,075	$	14,307

December 31, 2018	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	$	1,128	$	54	$	—	$	1,182	$	1,185
Foreign	—		1,542		—		1,542		1,549
Corporate securities	—		2,477		31		2,508		2,601
Mortgage-backed securities	—		2,486		—		2,486		2,524
States, municipalities, and political subdivisions	—		5,541		—		5,541		5,576
Total assets	$	1,128	$	12,100	$	31	$	13,259	$	13,435
Liabilities:
Repurchase agreements	$	—	$	1,418	$	—	$	1,418	$	1,418
Short-term debt	—		516		—		516		509
Long-term debt	—		12,181		—		12,181		12,087
Trust preferred securities	—		409		—		409		308
Total liabilities	$	—	$	14,524	$	—	$	14,524	$	14,322