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Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	1,786	$	501	$	—	$	2,287
Non-U.S.	—		25,267		660		25,927
Corporate and asset-backed securities	—		36,857		1,859		38,716
Mortgage-backed securities	—		19,910		53		19,963
Municipal	—		5,792		—		5,792
	1,786		88,327		2,572		92,685
Equity securities	4,478		—		79		4,557
Short-term investments	2,012		1,507		10		3,529
Other investments (1)	292		468		—		760
Securities lending collateral	—		2,368		—		2,368
Investment derivative instruments	97		—		—		97
Other derivative instruments	35		—		—		35
Separate account assets	5,225		105		—		5,330
Total assets measured at fair value (1)	$	13,925	$	92,775	$	2,661	$	109,361
Liabilities:
Investment derivative instruments	$	111	$	—	$	—	$	111

GLB (2)	—		—		818		818
Total liabilities measured at fair value	$	111	$	—	$	818	$	929

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $9,768 million, policy loans of $235 million and other investments of $80 million at September 30, 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)

September 30, 2021

December 31, 2020

GLB (1)

818

1,089

Actuarial model

Lapse rate

3% – 34%

4.6

Annuitization rate

0% – 100%

3.5

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, 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	$	642	$	1,688	$	47		$	78		$	3		$	10			$	760
Transfers into Level 3	22		45		—			—			—			—				—
Transfers out of Level 3	—		—		—			—			—			(10)				—
Change in Net Unrealized Gains/Losses in OCI	(15)		2		—			—			—			—				—
Net Realized Gains/Losses	(3)		—		—			1			—			—				59
Purchases	60		272		17			4			7			—				—
Sales	(19)		(13)		—			(4)			—			—				—
Settlements	(27)		(135)		(11)			—			—			—				—
Other	—		—		—			—			—			—				(1)
Balance, end of period	$	660	$	1,859	$	53		$	79		$	10		$	—			$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the balance sheet date	$	—	$	—	$	—		$	(1)		$	—		$	—			$	59
Change in Net Unrealized Gains/Losses included in OCI at the balance sheet date	$	(15)	$	—	$	—		$	—		$	—		$	—			$	—

(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 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			Mortgage-backed securities

Balance, beginning of period		$	469		$	1,369		$	60	$	64	$	2	$	10		$	1,372
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)		—			—
Other		—			—			—		—		—		—			(8)
Balance, end of period		$	494		$	1,445		$	61	$	66	$	7	$	10		$	1,318
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.


	Assets															Liabilities
Nine Months Ended September 30, 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	22		91		—			—			—			—				—
Transfers out of Level 3	(10)		(3)		—			—			—			(10)				—
Change in Net Unrealized Gains/Losses in OCI	(2)		14		—			—			—			—				—
Net Realized Gains/Losses	—		3		—			8			—			—				(252)
Purchases	235		681		18			11			10			—				—
Sales	(35)		(88)		(1)			(13)			—			—				—
Settlements	(96)		(412)		(24)			—			(5)			—				—
Other	—		—		—			—			—			—				(19)
Balance, end of period	$	660	$	1,859	$	53		$	79		$	10		$	—			$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the balance sheet date	$	—	$	3	$	—		$	5		$	—		$	—			$	(252)
Change in Net Unrealized Gains/Losses included in OCI at the balance sheet date	$	2	$	17	$	—		$	—		$	—		$	—			$	—

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


	Assets															Liabilities
Nine 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		Mortgage-backed securities

Balance, beginning of period	$	449	$	1,451	$	60		$	69		$	6		$	10			$	897
Transfers into Level 3	—		92		—			—			—			—				—
Transfers out of Level 3	(16)		(73)		—			—			—			—				—
Change in Net Unrealized Gains/Losses in OCI	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)			—				—
Other	—		—		—			—			—			—				(5)
Balance, end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	1,318
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.

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, 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	$	642	$	1,688	$	47		$	78		$	3		$	10			$	760
Transfers into Level 3	22		45		—			—			—			—				—
Transfers out of Level 3	—		—		—			—			—			(10)				—
Change in Net Unrealized Gains/Losses in OCI	(15)		2		—			—			—			—				—
Net Realized Gains/Losses	(3)		—		—			1			—			—				59
Purchases	60		272		17			4			7			—				—
Sales	(19)		(13)		—			(4)			—			—				—
Settlements	(27)		(135)		(11)			—			—			—				—
Other	—		—		—			—			—			—				(1)
Balance, end of period	$	660	$	1,859	$	53		$	79		$	10		$	—			$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the balance sheet date	$	—	$	—	$	—		$	(1)		$	—		$	—			$	59
Change in Net Unrealized Gains/Losses included in OCI at the balance sheet date	$	(15)	$	—	$	—		$	—		$	—		$	—			$	—

(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 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			Mortgage-backed securities

Balance, beginning of period		$	469		$	1,369		$	60	$	64	$	2	$	10		$	1,372
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)		—			—
Other		—			—			—		—		—		—			(8)
Balance, end of period		$	494		$	1,445		$	61	$	66	$	7	$	10		$	1,318
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.


	Assets															Liabilities
Nine Months Ended September 30, 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	22		91		—			—			—			—				—
Transfers out of Level 3	(10)		(3)		—			—			—			(10)				—
Change in Net Unrealized Gains/Losses in OCI	(2)		14		—			—			—			—				—
Net Realized Gains/Losses	—		3		—			8			—			—				(252)
Purchases	235		681		18			11			10			—				—
Sales	(35)		(88)		(1)			(13)			—			—				—
Settlements	(96)		(412)		(24)			—			(5)			—				—
Other	—		—		—			—			—			—				(19)
Balance, end of period	$	660	$	1,859	$	53		$	79		$	10		$	—			$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the balance sheet date	$	—	$	3	$	—		$	5		$	—		$	—			$	(252)
Change in Net Unrealized Gains/Losses included in OCI at the balance sheet date	$	2	$	17	$	—		$	—		$	—		$	—			$	—

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


	Assets															Liabilities
Nine 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		Mortgage-backed securities

Balance, beginning of period	$	449	$	1,451	$	60		$	69		$	6		$	10			$	897
Transfers into Level 3	—		92		—			—			—			—				—
Transfers out of Level 3	(16)		(73)		—			—			—			—				—
Change in Net Unrealized Gains/Losses in OCI	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)			—				—
Other	—		—		—			—			—			—				(5)
Balance, end of period	$	494	$	1,445	$	61		$	66		$	7		$	10			$	1,318
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.

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, 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	$	1,195	$	52	$	—	$	1,247	$	1,209
Non-U.S.	—		1,330		—		1,330		1,254
Corporate and asset-backed securities	—		2,260		—		2,260		2,051
Mortgage-backed securities	—		1,868		—		1,868		1,770
Municipal	—		4,414		—		4,414		4,231
Total assets	$	1,195	$	9,924	$	—	$	11,119	$	10,515
Liabilities:
Repurchase agreements	$	—	$	1,406	$	—	$	1,406	$	1,406

Long-term debt	—		16,648		—		16,648		14,823
Trust preferred securities	—		465		—		465		308
Total liabilities	$	—	$	18,519	$	—	$	18,519	$	16,537


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