Fair value measurements (Tables)

6 Months Ended

Jun. 30, 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

June 30, 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	$	2,934	$	706	$	—	$	3,640
Foreign	—		22,277		371		22,648
Corporate securities	—		28,375		1,359		29,734
Mortgage-backed securities	—		17,890		76		17,966
States, municipalities, and political subdivisions	—		8,422		—		8,422
	2,934		77,670		1,806		82,410
Equity securities	659		—		56		715
Short-term investments	2,360		1,444		4		3,808
Other investments (1)	414		353		11		778
Securities lending collateral	—		1,727		—		1,727
Investment derivative instruments	15		—		—		15
Other derivative instruments	15		—		—		15
Separate account assets	3,109		137		—		3,246
Total assets measured at fair value (1)	$	9,506	$	81,331	$	1,877	$	92,714
Liabilities:
Investment derivative instruments	$	60	$	104	$	—	$	164
Other derivative instruments	10		—		—		10
GLB (2)	—		—		403		403
Total liabilities measured at fair value	$	70	$	104	$	403	$	577

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,860 million and other investments of $89 million at June 30, 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:

				June 30				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 10 Years	$	575	$	375	$	596	$	193
Real Assets	2 to 11 Years	776		542		704		362
Distressed	2 to 7 Years	267		93		296		105
Private Credit	3 to 8 Years	116		269		147		310
Traditional	2 to 14 Years	2,741		2,257		2,362		2,735
Vintage	1 to 2 Years	122		39		56		—
Investment funds	Not Applicable	263		—		83		—
		$	4,860	$	3,575	$	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
	June 30, 2019		December 31, 2018
GLB (1)	$	403	$	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)
June 30, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	360		$	1,342		$	78		$	55		$	—	$	11		$	338
Transfers into Level 3	—			10			—			—			—		—			—
Transfers out of Level 3	—			—			—			—			—		—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	—			1			—			1			—		—			—
Net Realized Gains/Losses	—			(1		)	—			(1		)	—		—			65
Purchases	43			121			—			5			4		—			—
Sales	(14		)	(36		)	(1		)	(4		)	—		—			—
Settlements	(18		)	(78		)	(1		)	—			—		—			—
Balance – end of period	$	371		$	1,359		$	76		$	56		$	4	$	11		$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(1	)	$	—		$	(1	)	$	—	$	—		$	65

⁽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 $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.

	Assets																				Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments		GLB (2)
June 30, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	176		$	1,073		$	83		$	64		$	12		$	270		$	2	$	167
Transfers into Level 3	—			6			—			—			—			—			—		—
Transfers out of Level 3	—			—			—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	(7		)	(9		)	—			—			—			—			—		—
Net Realized Gains/Losses	—			2			—			(3		)	—			1			—		(42		)
Purchases	95			217			—			3			1			16			—		—
Sales	(11		)	(45		)	—			(5		)	—			—			—		—
Settlements	(1		)	(63		)	(1		)	—			(1		)	(23		)	—		—
Balance – end of period	$	252		$	1,181		$	82		$	59		$	12		$	264		$	2	$	125
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(3	)	$	—		$	1		$	—	$	(42	)

⁽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 $497 million at June 30, 2018, and $529 million at March 31, 2018, which includes a fair value derivative adjustment of $125 million and $167 million, respectively.

	Assets																	Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB (1)
June 30, 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			15			—			—			—			—			—
Transfers out of Level 3	(15		)	—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	6			5			—			2			—			—			—
Net Realized Gains/Losses	(1		)	—			—			(3		)	—			—			(49		)
Purchases	96			249			18			14			4						—
Sales	(19		)	(73		)	(1		)	(14		)	—			—			—
Settlements	(44		)	(136		)	(2		)	—			(1		)	—			—
Balance – end of period	$	371		$	1,359		$	76		$	56		$	4		$	11		$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(1	)	$	—		$	(2	)	$	—		$	—		$	(49	)

⁽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 $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.

	Assets																				Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments		GLB (2)
June 30, 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			6			1			—			5			—			—		—
Transfers out of Level 3	—			(10		)	—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	2			(12		)	—			1			—			2			—		—
Net Realized Gains/Losses	—			2			—			(1		)	—			1			—		(79		)
Purchases	182			356			4			20			9			30			—		—
Sales	(30		)	(96		)	—			(5		)	—			—			—		—
Settlements	(2		)	(102		)	(1		)	—			(2		)	(32		)	—		—
Balance – end of period	$	252		$	1,181		$	82		$	59		$	12		$	264		$	2	$	125
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(1	)	$	—		$	1		$	—	$	(79	)

⁽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 $497 million at June 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $125 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)
June 30, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	360		$	1,342		$	78		$	55		$	—	$	11		$	338
Transfers into Level 3	—			10			—			—			—		—			—
Transfers out of Level 3	—			—			—			—			—		—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	—			1			—			1			—		—			—
Net Realized Gains/Losses	—			(1		)	—			(1		)	—		—			65
Purchases	43			121			—			5			4		—			—
Sales	(14		)	(36		)	(1		)	(4		)	—		—			—
Settlements	(18		)	(78		)	(1		)	—			—		—			—
Balance – end of period	$	371		$	1,359		$	76		$	56		$	4	$	11		$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(1	)	$	—		$	(1	)	$	—	$	—		$	65

⁽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 $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.

	Assets																				Liabilities
Three Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments		GLB (2)
June 30, 2018	Foreign			Corporate securities (1)			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	176		$	1,073		$	83		$	64		$	12		$	270		$	2	$	167
Transfers into Level 3	—			6			—			—			—			—			—		—
Transfers out of Level 3	—			—			—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	(7		)	(9		)	—			—			—			—			—		—
Net Realized Gains/Losses	—			2			—			(3		)	—			1			—		(42		)
Purchases	95			217			—			3			1			16			—		—
Sales	(11		)	(45		)	—			(5		)	—			—			—		—
Settlements	(1		)	(63		)	(1		)	—			(1		)	(23		)	—		—
Balance – end of period	$	252		$	1,181		$	82		$	59		$	12		$	264		$	2	$	125
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(3	)	$	—		$	1		$	—	$	(42	)

⁽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 $497 million at June 30, 2018, and $529 million at March 31, 2018, which includes a fair value derivative adjustment of $125 million and $167 million, respectively.

	Assets																	Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB (1)
June 30, 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			15			—			—			—			—			—
Transfers out of Level 3	(15		)	—			—			—			—			—			—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	6			5			—			2			—			—			—
Net Realized Gains/Losses	(1		)	—			—			(3		)	—			—			(49		)
Purchases	96			249			18			14			4						—
Sales	(19		)	(73		)	(1		)	(14		)	—			—			—
Settlements	(44		)	(136		)	(2		)	—			(1		)	—			—
Balance – end of period	$	371		$	1,359		$	76		$	56		$	4		$	11		$	403
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(1	)	$	—		$	(2	)	$	—		$	—		$	(49	)

⁽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 $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.

	Assets																				Liabilities
Six Months Ended	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments		GLB (2)
June 30, 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			6			1			—			5			—			—		—
Transfers out of Level 3	—			(10		)	—			—			—			—			—		—
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange	2			(12		)	—			1			—			2			—		—
Net Realized Gains/Losses	—			2			—			(1		)	—			1			—		(79		)
Purchases	182			356			4			20			9			30			—		—
Sales	(30		)	(96		)	—			(5		)	—			—			—		—
Settlements	(2		)	(102		)	(1		)	—			(2		)	(32		)	—		—
Balance – end of period	$	252		$	1,181		$	82		$	59		$	12		$	264		$	2	$	125
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	—		$	—		$	(1	)	$	—		$	1		$	—	$	(79	)

⁽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 $497 million at June 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $125 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:

June 30, 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	$	1,138	$	55	$	—	$	1,193	$	1,167
Foreign	—		1,523		—		1,523		1,465
Corporate securities	—		2,494		33		2,527		2,457
Mortgage-backed securities	—		2,502		—		2,502		2,442
States, municipalities, and political subdivisions	—		5,432		—		5,432		5,307
Total assets	$	1,138	$	12,006	$	33	$	13,177	$	12,838
Liabilities:
Repurchase agreements	$	—	$	1,416	$	—	$	1,416	$	1,416
Short-term debt	—		9		—		9		9
Long-term debt	—		14,541		—		14,541		13,371
Trust preferred securities	—		439		—		439		308
Total liabilities	$	—	$	16,405	$	—	$	16,405	$	15,104

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