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Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	2,044	$	483	$	—	$	2,527
Non-U.S.	—		25,516		650		26,166
Corporate and asset-backed securities	—		34,788		1,612		36,400
Mortgage-backed securities	—		19,386		51		19,437
Municipal	—		6,541		—		6,541
	2,044		86,714		2,313		91,071
Equity securities	4,330		—		75		4,405
Short-term investments	2,279		1,455		1		3,735
Other investments (1)	421		446		10		877
Securities lending collateral	—		2,076		—		2,076
Investment derivative instruments	69		—		—		69
Other derivative instruments	2		—		—		2
Separate account assets	4,493		115		—		4,608
Total assets measured at fair value (1)	$	13,638	$	90,806	$	2,399	$	106,843
Liabilities:
Investment derivative instruments	$	79	$	—	$	—	$	79
Other derivative instruments	7		—		—		7
GLB (2)	—		—		760		760
Total liabilities measured at fair value	$	86	$	—	$	760	$	846

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $7,457 million, policy loans of $232 million and other investments of $70 million at March 31, 2021 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.


December 31, 2020	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	2,148	$	522	$	—	$	2,670
Non-U.S.	—		25,808		546		26,354
Corporate and asset-backed securities	—		34,758		1,573		36,331
Mortgage-backed securities	—		18,410		60		18,470
Municipal	—		6,874		—		6,874
	2,148		86,372		2,179		90,699
Equity securities	3,954		—		73		4,027
Short-term investments	2,866		1,474		5		4,345
Other investments (1)	434		438		10		882
Securities lending collateral	—		1,844		—		1,844
Investment derivative instruments	35		—		—		35
Separate account assets	4,264		124		—		4,388
Total assets measured at fair value (1)	$	13,701	$	90,252	$	2,267	$	106,220
Liabilities:
Investment derivative instruments	$	52	$	—	$	—	$	52
Other derivative instruments	17		—		—		17
GLB (2)	—		—		1,089		1,089
Total liabilities measured at fair value	$	69	$	—	$	1,089	$	1,158

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $6,770 million, policy loans of $233 million and other investments of $60 million at December 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.

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, 2021

December 31, 2020

GLB (1)

760

1,089

Actuarial model

Lapse rate

3% – 34%

4.6

Annuitization rate

0% – 100%

3.4

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 March 31, 2021 (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		Mortgage-backed securities

Balance, beginning of period	$	546	$	1,573	$	60		$	73		$	5		$	10			$	1,089
Transfers into Level 3	—		17		—			—			—			—				—

Change in Net Unrealized Gains/Losses in OCI	8		6		—			—			—			—				—

Net Realized Gains/Losses	—		(3)		—			2			—			—				(319)

Purchases	121		169		—			3			1			—				—
Sales	(7)		(25)		—			(3)			—			—				—
Settlements	(18)		(125)		(9)			—			(5)			—				—
Other	—		—		—			—			—			—				(10)
Balance, end of period	$	650	$	1,612	$	51		$	75		$	1		$	10			$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(3)	$	—		$	2		$	—		$	—			$	(319)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	10	$	11	$	—		$	—		$	—		$	—			$	—

(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.


		Assets														Liabilities
Three Months Ended March 31, 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			Mortgage-backed securities

Balance, beginning of period		$	449		$	1,451		$	60	$	69	$	6	$	10		$	897
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)		—			—
Other		—			—			—		—		—		—			9
Balance, end of period		$	465		$	1,502		$	60	$	67	$	1	$	10		$	1,591
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.

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 March 31, 2021 (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		Mortgage-backed securities

Balance, beginning of period	$	546	$	1,573	$	60		$	73		$	5		$	10			$	1,089
Transfers into Level 3	—		17		—			—			—			—				—

Change in Net Unrealized Gains/Losses in OCI	8		6		—			—			—			—				—

Net Realized Gains/Losses	—		(3)		—			2			—			—				(319)

Purchases	121		169		—			3			1			—				—
Sales	(7)		(25)		—			(3)			—			—				—
Settlements	(18)		(125)		(9)			—			(5)			—				—
Other	—		—		—			—			—			—				(10)
Balance, end of period	$	650	$	1,612	$	51		$	75		$	1		$	10			$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date	$	—	$	(3)	$	—		$	2		$	—		$	—			$	(319)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date	$	10	$	11	$	—		$	—		$	—		$	—			$	—

(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.


		Assets														Liabilities
Three Months Ended March 31, 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			Mortgage-backed securities

Balance, beginning of period		$	449		$	1,451		$	60	$	69	$	6	$	10		$	897
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)		—			—
Other		—			—			—		—		—		—			9
Balance, end of period		$	465		$	1,502		$	60	$	67	$	1	$	10		$	1,591
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.

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, 2021	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	$	1,144	$	53	$	—	$	1,197	$	1,158
Non-U.S.	—		1,351		—		1,351		1,270
Corporate and asset-backed securities	—		2,311		—		2,311		2,128
Mortgage-backed securities	—		1,997		—		1,997		1,887
Municipal	—		4,896		—		4,896		4,689
Total assets	$	1,144	$	10,608	$	—	$	11,752	$	11,132
Liabilities:
Repurchase agreements	$	—	$	1,405	$	—	$	1,405	$	1,405

Long-term debt	—		16,408		—		16,408		14,879
Trust preferred securities	—		470		—		470		308
Total liabilities	$	—	$	18,283	$	—	$	18,283	$	16,592


December 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 / Agency	$	1,395	$	57	$	—	$	1,452	$	1,392
Non-U.S.	—		1,405		—		1,405		1,288
Corporate and asset-backed securities	—		2,438		—		2,438		2,150
Mortgage-backed securities	—		2,146		—		2,146		1,999
Municipal	—		5,069		—		5,069		4,824
Total assets	$	1,395	$	11,115	$	—	$	12,510	$	11,653
Liabilities:
Repurchase agreements	$	—	$	1,405	$	—	$	1,405	$	1,405

Long-term debt	—		17,487		—		17,487		14,948
Trust preferred securities	—		473		—		473		308
Total liabilities	$	—	$	19,365	$	—	$	19,365	$	16,661