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Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2019

GMIB Annuitization Experience [Table Text Block]

Financial Instruments Measured At Fair Value On A Recurring Basis

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



December 31, 2019	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	$	2,664	$	619	$	—	$	3,283
Foreign	—		23,258		449		23,707
Corporate securities	—		30,340		1,451		31,791
Mortgage-backed securities	—		19,132		60		19,192
States, municipalities, and political subdivisions	—		7,515		—		7,515
	2,664		80,864		1,960		85,488
Equity securities	728		15		69		812
Short-term investments	2,803		1,482		6		4,291
Other investments ⁽¹⁾	412		377		10		799
Securities lending collateral	—		994		—		994
Investment derivative instruments	24		—		—		24
Other derivative instruments	2		—		—		2
Separate account assets	3,437		136		—		3,573
Total assets measured at fair value ⁽¹⁾	$	10,070	$	83,868	$	2,045	$	95,983
Liabilities:
Investment derivative instruments	$	93	$	—	$	—	$	93
Other derivative instruments	13		—		—		13
GLB ⁽²⁾	—		—		456		456
Total liabilities measured at fair value	$	106	$	—	$	456	$	562


⁽¹⁾	Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,921 million and other investments of $95 million at December 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. Refer to Note 5 c) for additional information.



December 31, 2018	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	$	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. Refer to Note 5 c) for additional information.

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 at December 31 2019

Valuation

Technique

Significant

Unobservable Inputs

Ranges

Weighted Average ⁽¹⁾

GLB ⁽¹⁾

456

Actuarial model

Lapse rate

3% – 34%

4.3

Annuitization rate

0% – 52%

3.2


⁽¹⁾	The weighted average lapse and annuitization rates are determined by weighting each treaty's rates by the GLB contracts fair value.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB ⁽¹⁾
Year Ended December 31, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	452
Transfers into Level 3	11			23			—			—			—			—			—
Transfers out of Level 3	(24		)	(38		)	(16		)	—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	13			(2		)	—			1			—			—			—
Net Realized Gains/Losses	(1		)	(4		)	—			(2		)	—			—			4
Purchases	228			577			19			34			6			—			—
Sales	(70		)	(125		)	(1		)	(21		)	—			—			—
Settlements	(53		)	(279		)	(3		)	—			(1		)	(1		)	—
Balance, end of year	$	449		$	1,451		$	60		$	69		$	6		$	10		$	456
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(2	)	$	—		$	(3	)	$	—		$	—		$	4
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet Date	$	7		$	(8	)	$	—		$	—		$	—		$	—		$	—


⁽¹⁾	Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits. Refer to Note 5 c) for additional information.



	Assets																					Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽¹⁾
Year Ended December 31, 2018	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Transfers into Level 3	13			24			1			—			5			—			—			—
Transfers out of Level 3	(2		)	(31		)	(3		)	—			—			(252		)	—			—
Change in Net Unrealized Gains/Losses in OCI	(12		)	(4		)	—			(2		)	—			(2		)	—			—
Net Realized Gains/Losses	(3		)	(5		)	—			6			—			1			(2		)	248
Purchases	334			672			5			37			9			50			—			—
Sales	(69		)	(164		)	—			(28		)	—			—			—			—
Settlements	(9		)	(230		)	(20		)	—			(13		)	(49		)	—			—
Balance, end of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	—		$	452
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(7	)	$	—		$	(1	)	$	—		$	1		$	—		$	248

⁽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 $861 million at December 31, 2018 and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $452 million and $204 million, respectively.



	Assets																		Liabilities
	Available-for-Sale Debt Securities												Short-term investments						Other derivative instruments			GLB ⁽²⁾
Year Ended December 31, 2017	Foreign			Corporate securities ⁽¹⁾			MBS			Equity securities						Other investments
(in millions of U.S. dollars)	Foreign			Corporate securities ⁽¹⁾			MBS			Equity securities						Other investments
Balance, beginning of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			231			50			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains/Losses in OCI	3			(12		)	—			(1		)	—			6			—			—
Net Realized Gains/Losses	—			—			—			2			—			—			(2		)	(364		)
Purchases	84			521			8			24			16			56			—			—
Sales	(59		)	(111		)	(1		)	(22		)	—			—			—			—
Settlements	(6		)	(180		)	(24		)	—			(41		)	(24		)	—			—
Balance, end of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(2	)	$	—		$	(1	)	$	—		$	—		$	(2	)	$	(364	)


⁽¹⁾	Transfers into and 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 $550 million at December 31, 2017 and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $204 million and $559 million, respectively.

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



																Assets			Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			GLB ⁽¹⁾
Year Ended December 31, 2019	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	452
Transfers into Level 3	11			23			—			—			—			—			—
Transfers out of Level 3	(24		)	(38		)	(16		)	—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	13			(2		)	—			1			—			—			—
Net Realized Gains/Losses	(1		)	(4		)	—			(2		)	—			—			4
Purchases	228			577			19			34			6			—			—
Sales	(70		)	(125		)	(1		)	(21		)	—			—			—
Settlements	(53		)	(279		)	(3		)	—			(1		)	(1		)	—
Balance, end of year	$	449		$	1,451		$	60		$	69		$	6		$	10		$	456
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(2	)	$	—		$	(3	)	$	—		$	—		$	4
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet Date	$	7		$	(8	)	$	—		$	—		$	—		$	—		$	—


⁽¹⁾	Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits. Refer to Note 5 c) for additional information.



	Assets																					Liabilities
	Available-for-Sale Debt Securities									Equity securities			Short-term investments			Other investments			Other derivative instruments			GLB ⁽¹⁾
Year Ended December 31, 2018	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)	Foreign			Corporate securities			MBS
Balance, beginning of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Transfers into Level 3	13			24			1			—			5			—			—			—
Transfers out of Level 3	(2		)	(31		)	(3		)	—			—			(252		)	—			—
Change in Net Unrealized Gains/Losses in OCI	(12		)	(4		)	—			(2		)	—			(2		)	—			—
Net Realized Gains/Losses	(3		)	(5		)	—			6			—			1			(2		)	248
Purchases	334			672			5			37			9			50			—			—
Sales	(69		)	(164		)	—			(28		)	—			—			—			—
Settlements	(9		)	(230		)	(20		)	—			(13		)	(49		)	—			—
Balance, end of year	$	345		$	1,299		$	61		$	57		$	1		$	11		$	—		$	452
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(7	)	$	—		$	(1	)	$	—		$	1		$	—		$	248

⁽¹⁾



	Assets																		Liabilities
	Available-for-Sale Debt Securities												Short-term investments						Other derivative instruments			GLB ⁽²⁾
Year Ended December 31, 2017	Foreign			Corporate securities ⁽¹⁾			MBS			Equity securities						Other investments
(in millions of U.S. dollars)	Foreign			Corporate securities ⁽¹⁾			MBS			Equity securities						Other investments
Balance, beginning of year	$	74		$	681		$	45		$	41		$	25		$	225		$	13		$	559
Transfers into Level 3	—			231			50			—			—			—			—			9
Transfers out of Level 3	(3		)	(93		)	—			—			—			—			(9		)	—
Change in Net Unrealized Gains/Losses in OCI	3			(12		)	—			(1		)	—			6			—			—
Net Realized Gains/Losses	—			—			—			2			—			—			(2		)	(364		)
Purchases	84			521			8			24			16			56			—			—
Sales	(59		)	(111		)	(1		)	(22		)	—			—			—			—
Settlements	(6		)	(180		)	(24		)	—			(41		)	(24		)	—			—
Balance, end of year	$	93		$	1,037		$	78		$	44		$	—		$	263		$	2		$	204
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	(1	)	$	(2	)	$	—		$	(1	)	$	—		$	—		$	(2	)	$	(364	)


⁽¹⁾	Transfers into and 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 $550 million at December 31, 2017 and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $204 million and $559 million, respectively.

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



December 31, 2019	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	$	1,292	$	55	$	—	$	1,347	$	1,318
Foreign	—		1,485		—		1,485		1,423
Corporate securities	—		2,436		32		2,468		2,349
Mortgage-backed securities	—		2,396		—		2,396		2,331
States, municipalities, and political subdivisions	—		5,309		—		5,309		5,160
Total assets	$	1,292	$	11,681	$	32	$	13,005	$	12,581
Liabilities:
Repurchase agreements	$	—	$	1,416	$	—	$	1,416	$	1,416
Short-term debt	—		1,307		—		1,307		1,299
Long-term debt	—		15,048		—		15,048		13,559
Trust preferred securities	—		467		—		467		308
Total liabilities	$	—	$	18,238	$	—	$	18,238	$	16,582



December 31, 2018	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	$	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