Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury and agency	$	2,400	$	613	$	—	$	3,013
Foreign	—		22,379		465		22,844
Corporate securities	—		29,166		1,502		30,668
Mortgage-backed securities	—		17,825		60		17,885
States, municipalities, and political subdivisions	—		7,120		—		7,120
	2,400		77,103		2,027		81,530
Equity securities	2,001		—		67		2,068
Short-term investments	2,165		1,420		1		3,586
Other investments (1)	285		335		10		630
Securities lending collateral	—		1,342		—		1,342
Investment derivative instruments	64		—		—		64
Other derivative instruments	2		—		—		2
Separate account assets	2,778		130		—		2,908
Total assets measured at fair value (1)	$	9,695	$	80,330	$	2,105	$	92,130
Liabilities:
Investment derivative instruments	$	141	$	—	$	—	$	141
GLB (2)	—		—		1,141		1,141
Total liabilities measured at fair value	$	141	$	—	$	1,141	$	1,282

⁽¹⁾  Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $5,091 million, policy loans of $228 million and other investments of $126 million at March 31, 2020 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, 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	$	2,664	$	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.

Fair Value And Maximum Future Funding Commitments Related To Investments

				March 31				December 31
	Expected Liquidation Period of Underlying Assets			2020				2019
(in millions of U.S. dollars)		Fair Value		Maximum Future Funding Commitments		Fair Value		Maximum Future Funding Commitments
Financial	2 to 10 Years	$	590	$	325	$	611	$	329
Real Assets	2 to 11 Years	721		414		712		422
Distressed	2 to 7 Years	262		67		263		80
Private Credit	3 to 8 Years	106		272		104		272
Traditional	2 to 14 Years	3,045		1,868		2,844		2,160
Vintage	1 to 2 Years	103		—		116		—
Investment funds	Not Applicable	264		—		271		—
		$	5,091	$	2,946	$	4,921	$	3,263

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	Weighted Average (1)
	March 31, 2020		December 31, 2019
GLB (1)	$	1,141	$	456	Actuarial model	Lapse rate	3% – 34%	4.3	%
						Annuitization rate	0% – 52%	4.6	%

⁽¹⁾ 

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, 2020	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	449		$	1,451		$	60	$	69		$	6		$	10		$	456
Transfers into Level 3	—			91			—		—			—			—			—
Transfers out of Level 3	(3		)	(1		)	—		—			—			—			—
Change in Net Unrealized Gains (Losses) in OCI	(14		)	(45		)	—		1			—			—			—
Net Realized Gains/Losses	(2		)	(13		)	—		(2		)	—			—			685
Purchases	82			139			—		3			1			—			—
Sales	(46		)	(19		)	—		(4		)	—			—			—
Settlements	(1		)	(101		)	—		—			(6		)	—			—
Balance – end of period	$	465		$	1,502		$	60	$	67		$	1		$	10		$	1,141
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(14	)	$	—	$	(2	)	$	—		$	—		$	685
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(15	)	$	(44	)	$	—	$	—		$	—		$	—		$	—

⁽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 $1,591 million at March 31, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $1,141 million and $456 million, respectively.

	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 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.

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, 2020	Foreign			Corporate securities			MBS
(in millions of U.S. dollars)
Balance – beginning of period	$	449		$	1,451		$	60	$	69		$	6		$	10		$	456
Transfers into Level 3	—			91			—		—			—			—			—
Transfers out of Level 3	(3		)	(1		)	—		—			—			—			—
Change in Net Unrealized Gains (Losses) in OCI	(14		)	(45		)	—		1			—			—			—
Net Realized Gains/Losses	(2		)	(13		)	—		(2		)	—			—			685
Purchases	82			139			—		3			1			—			—
Sales	(46		)	(19		)	—		(4		)	—			—			—
Settlements	(1		)	(101		)	—		—			(6		)	—			—
Balance – end of period	$	465		$	1,502		$	60	$	67		$	1		$	10		$	1,141
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—		$	(14	)	$	—	$	(2	)	$	—		$	—		$	685
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	(15	)	$	(44	)	$	—	$	—		$	—		$	—		$	—

⁽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 $1,591 million at March 31, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $1,141 million and $456 million, respectively.

	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 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.

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, 2020	Fair Value								Net 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	$	1,227	$	56	$	—	$	1,283	$	1,208
Foreign	—		1,343		—		1,343		1,287
Corporate securities	—		2,294		28		2,322		2,236
Mortgage-backed securities	—		2,367		—		2,367		2,265
States, municipalities, and political subdivisions	—		5,156		—		5,156		5,029
Total assets	$	1,227	$	11,216	$	28	$	12,471	$	12,025
Liabilities:
Repurchase agreements	$	—	$	1,408	$	—	$	1,408	$	1,408
Short-term debt	—		1,300		—		1,300		1,300
Long-term debt	—		14,353		—		14,353		13,510
Trust preferred securities	—		406		—		406		308
Total liabilities	$	—	$	17,467	$	—	$	17,467	$	16,526

December 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	$	1,292	$	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