XML 35 R24.htm IDEA: XBRL DOCUMENT

Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2020

Financial Instruments Measured At Fair Value On A Recurring Basis

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


September 30, 2020	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	2,264	$	527	$	—	$	2,791
Non-U.S.	—		24,788		494		25,282
Corporate and asset-backed securities	—		33,853		1,445		35,298
Mortgage-backed securities	—		19,276		61		19,337
Municipal	—		7,144		—		7,144
	2,264		85,588		2,000		89,852
Equity securities	3,022		—		66		3,088
Short-term investments	3,270		1,383		7		4,660
Other investments (1)	374		403		10		787
Securities lending collateral	—		1,851		—		1,851
Investment derivative instruments	24		—		—		24
Other derivative instruments	3		—		—		3
Separate account assets	3,535		123		—		3,658
Total assets measured at fair value (1)	$	12,492	$	89,348	$	2,083	$	103,923
Liabilities:
Investment derivative instruments	$	77	$	—	$	—	$	77

GLB (2)	—		—		882		882
Total liabilities measured at fair value	$	77	$	—	$	882	$	959

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $5,694 million, policy loans of $225 million and other investments of $90 million at September 30, 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 / Agency	$	2,664	$	619	$	—	$	3,283
Non-U.S.	—		23,258		449		23,707
Corporate and asset-backed securities	—		30,340		1,451		31,791
Mortgage-backed securities	—		19,132		60		19,192
Municipal	—		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.

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)

September 30, 2020

December 31, 2019

GLB (1)

882

456

Actuarial model

Lapse rate

3% – 34%

4.7

Annuitization rate

0% – 52%

4.0

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 September 30, 2020 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments			Other investments				GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS

Balance – beginning of period	$	469	$	1,369	$	60		$	64		$	2		$	10			$	928
Transfers into Level 3	—		1		—			—			—			—				—
Transfers out of Level 3	—		(1)		—			—			—			—				—
Change in Net Unrealized Gains (Losses) in OCI	21		13		—			—			(1)			—				—

Net Realized Gains/Losses	1		3		—			2			—			—				(46)

Purchases	41		194		2			3			7			—				—
Sales	(19)		(80)		—			(3)			—			—				—
Settlements	(19)		(54)		(1)			—			(1)			—				—
Balance – end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	882
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	3	$	—		$	2		$	—		$	—			$	(46)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	20	$	12	$	—		$	—		$	(1)		$	—			$	—

(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 $1,318 million at September 30, 2020, and $1,372 million at June 30, 2020, which includes a fair value derivative adjustment of $882 million and $928 million, respectively.


		Assets														Liabilities
Three Months Ended September 30, 2019 (in millions of U.S. dollars)		Available-for-Sale Debt Securities								Equity securities		Short-term investments		Other investments			GLB (1)
	Non-U.S.			Corporate and asset-backed securities			MBS

Balance – beginning of period		$	371		$	1,359		$	76	$	56	$	4	$	11		$	403
Transfers into Level 3		—			1			—		—		—		—			—

Change in Net Unrealized Gains/Losses in OCI, including foreign exchange		(8)			(4)			—		(1)		—		—			—

Net Realized Gains/Losses		—			—			—		(1)		—		—			106

Purchases		68			176			1		5		2		—			—
Sales		(35)			(18)			—		(3)		—		—			—
Settlements		(3)			(64)			—		—		—		(1)			—
Balance – end of period		$	393		$	1,450		$	77	$	56	$	6	$	10		$	509
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	—		$	—		$	—	$	(1)	$	—	$	—		$	106

(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 $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.


	Assets															Liabilities
	Available-for-Sale Debt Securities						Equity securities			Short-term investments			Other investments				GLB (1)
Nine Months Ended September 30, 2020 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS

Balance – beginning of period	$	449	$	1,451	$	60		$	69		$	6		$	10			$	456
Transfers into Level 3	—		92		—			—			—			—				—
Transfers out of Level 3	(16)		(73)		—			—			—			—				—
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange	1		(31)		—			—			(1)			—				—

Net Realized Gains/Losses	(2)		(23)		—			(1)			—			—				426

Purchases	190		416		2			14			9			—				—
Sales	(81)		(147)		—			(16)			—			—				—
Settlements	(47)		(240)		(1)			—			(7)			—				—
Balance – end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	882
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(6)	$	—		$	1		$	—		$	—			$	426
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	—	$	(25)	$	—		$	—		$	(1)		$	—			$	—

(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 $1,318 million at September 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $882 million and $456 million, respectively.


		Assets														Liabilities
		Available-for-Sale Debt Securities								Equity securities		Short-term investments		Other investments			GLB (1)
Nine Months Ended September 30, 2019 (in millions of U.S. dollars)	Non-U.S.			Corporate and asset-backed securities			MBS

Balance – beginning of period		$	345		$	1,299		$	61	$	57	$	1	$	11		$	452
Transfers into Level 3		3			16			—		—		—		—			—
Transfers out of Level 3		(15)			—			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange		(2)			1			—		1		—		—			—

Net Realized Gains/Losses		(1)			—			—		(4)		—		—			57

Purchases		164			425			19		19		6		—			—
Sales		(54)			(91)			(1)		(17)		—		—			—
Settlements		(47)			(200)			(2)		—		(1)		(1)			—
Balance – end of period		$	393		$	1,450		$	77	$	56	$	6	$	10		$	509
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	—		$	(1)		$	—	$	(3)	$	—	$	—		$	57

(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 $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 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 September 30, 2020 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments			Other investments				GLB (1)
	Non-U.S.		Corporate and asset-backed securities		MBS

Balance – beginning of period	$	469	$	1,369	$	60		$	64		$	2		$	10			$	928
Transfers into Level 3	—		1		—			—			—			—				—
Transfers out of Level 3	—		(1)		—			—			—			—				—
Change in Net Unrealized Gains (Losses) in OCI	21		13		—			—			(1)			—				—

Net Realized Gains/Losses	1		3		—			2			—			—				(46)

Purchases	41		194		2			3			7			—				—
Sales	(19)		(80)		—			(3)			—			—				—
Settlements	(19)		(54)		(1)			—			(1)			—				—
Balance – end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	882
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	3	$	—		$	2		$	—		$	—			$	(46)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	20	$	12	$	—		$	—		$	(1)		$	—			$	—


		Assets														Liabilities
Three Months Ended September 30, 2019 (in millions of U.S. dollars)		Available-for-Sale Debt Securities								Equity securities		Short-term investments		Other investments			GLB (1)
	Non-U.S.			Corporate and asset-backed securities			MBS

Balance – beginning of period		$	371		$	1,359		$	76	$	56	$	4	$	11		$	403
Transfers into Level 3		—			1			—		—		—		—			—

Change in Net Unrealized Gains/Losses in OCI, including foreign exchange		(8)			(4)			—		(1)		—		—			—

Net Realized Gains/Losses		—			—			—		(1)		—		—			106

Purchases		68			176			1		5		2		—			—
Sales		(35)			(18)			—		(3)		—		—			—
Settlements		(3)			(64)			—		—		—		(1)			—
Balance – end of period		$	393		$	1,450		$	77	$	56	$	6	$	10		$	509
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	—		$	—		$	—	$	(1)	$	—	$	—		$	106

(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 $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.


	Assets															Liabilities
	Available-for-Sale Debt Securities						Equity securities			Short-term investments			Other investments				GLB (1)
Nine Months Ended September 30, 2020 (in millions of U.S. dollars)	Non-U.S.		Corporate and asset-backed securities		MBS

Balance – beginning of period	$	449	$	1,451	$	60		$	69		$	6		$	10			$	456
Transfers into Level 3	—		92		—			—			—			—				—
Transfers out of Level 3	(16)		(73)		—			—			—			—				—
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange	1		(31)		—			—			(1)			—				—

Net Realized Gains/Losses	(2)		(23)		—			(1)			—			—				426

Purchases	190		416		2			14			9			—				—
Sales	(81)		(147)		—			(16)			—			—				—
Settlements	(47)		(240)		(1)			—			(7)			—				—
Balance – end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	882
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(6)	$	—		$	1		$	—		$	—			$	426
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	—	$	(25)	$	—		$	—		$	(1)		$	—			$	—

(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 $1,318 million at September 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $882 million and $456 million, respectively.


		Assets														Liabilities
		Available-for-Sale Debt Securities								Equity securities		Short-term investments		Other investments			GLB (1)
Nine Months Ended September 30, 2019 (in millions of U.S. dollars)	Non-U.S.			Corporate and asset-backed securities			MBS

Balance – beginning of period		$	345		$	1,299		$	61	$	57	$	1	$	11		$	452
Transfers into Level 3		3			16			—		—		—		—			—
Transfers out of Level 3		(15)			—			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange		(2)			1			—		1		—		—			—

Net Realized Gains/Losses		(1)			—			—		(4)		—		—			57

Purchases		164			425			19		19		6		—			—
Sales		(54)			(91)			(1)		(17)		—		—			—
Settlements		(47)			(200)			(2)		—		(1)		(1)			—
Balance – end of period		$	393		$	1,450		$	77	$	56	$	6	$	10		$	509
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date		$	—		$	(1)		$	—	$	(3)	$	—	$	—		$	57

(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 $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 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:


September 30, 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 / Agency	$	1,251	$	58	$	—	$	1,309	$	1,240
Non-U.S.	—		1,374		—		1,374		1,266
Corporate and asset-backed securities	—		2,414		—		2,414		2,168
Mortgage-backed securities	—		2,253		—		2,253		2,103
Municipal	—		5,123		—		5,123		4,874
Total assets	$	1,251	$	11,222	$	—	$	12,473	$	11,651
Liabilities:
Repurchase agreements	$	—	$	1,413	$	—	$	1,413	$	1,413
Short-term debt	—		1,302		—		1,302		1,300
Long-term debt	—		16,995		—		16,995		14,830
Trust preferred securities	—		462		—		462		308
Total liabilities	$	—	$	20,172	$	—	$	20,172	$	17,851


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 / Agency	$	1,292	$	55	$	—	$	1,347	$	1,318
Non-U.S.	—		1,485		—		1,485		1,423
Corporate and asset-backed securities	—		2,436		32		2,468		2,349
Mortgage-backed securities	—		2,396		—		2,396		2,331
Municipal	—		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