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Fair value measurements (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	1,562	$	540	$	—	$	2,102
Non-U.S.	—		24,166		618		24,784
Corporate and asset-backed securities	—		35,440		2,229		37,669
Mortgage-backed securities	—		19,785		20		19,805
Municipal	—		5,119		—		5,119
	1,562		85,050		2,867		89,479
Equity securities	3,514		—		82		3,596
Short-term investments	1,954		1,449		4		3,407
Other investments (1)	253		452		—		705
Securities lending collateral	—		1,800		—		1,800
Investment derivative instruments	163		—		—		163
Other derivative instruments	3		—		—		3
Separate account assets	5,468		92		—		5,560
Total assets measured at fair value (1)	$	12,917	$	88,843	$	2,953	$	104,713
Liabilities:
Investment derivative instruments	$	212	$	—	$	—	$	212
Other derivative instruments	63		—		—		63
GLB (2)	—		—		696		696
Total liabilities measured at fair value	$	275	$	—	$	696	$	971

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $10,947 million, policy loans of $244 million and other investments of $51 million at March 31, 2022 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, 2021	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	1,680	$	534	$	—	$	2,214
Non-U.S.	—		25,196		633		25,829
Corporate and asset-backed securities	—		37,014		2,049		39,063
Mortgage-backed securities	—		20,463		26		20,489
Municipal	—		5,513		—		5,513
	1,680		88,720		2,708		93,108
Equity securities	4,705		—		77		4,782
Short-term investments	1,744		1,395		7		3,146
Other investments (1)	286		481		—		767
Securities lending collateral	—		1,831		—		1,831
Investment derivative instruments	58		—		—		58
Separate account assets	5,461		99		—		5,560
Total assets measured at fair value (1)	$	13,934	$	92,526	$	2,792	$	109,252
Liabilities:
Investment derivative instruments	$	166	$	—	$	—	$	166
Other derivative instruments	16		—		—		16
GLB (2)	—		—		745		745
Total liabilities measured at fair value	$	182	$	—	$	745	$	927

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $10,108 million, policy loans of $243 million and other investments of $51 million at December 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.

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, 2022

December 31, 2021

GLB (1)

696

745

Actuarial model

Lapse rate

3% – 31%

4.4

Annuitization rate

0% – 100%

3.7

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, 2022 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments			GLB (1)
	Non-U.S.		Corporate and asset- backed securities		Mortgage-backed securities

Balance, beginning of period	$	633	$	2,049	$	26		$	77		$	7		$	745
Transfers into Level 3	18		29		—			1			—			—
Transfers out of Level 3	(23)		(50)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(13)		(22)		—			—			—			—
Net Realized Gains/Losses	(2)		—		—			4			—			(35)
Purchases	43		315		—			3			2			—
Sales	(6)		(27)		—			(3)			—			—
Settlements	(32)		(65)		(1)			—			(5)			—
Other	—		—		—			—			—			(14)
Balance, end of period	$	618	$	2,229	$	20		$	82		$	4		$	696
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	—	$	—		$	4		$	—		$	(35)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(13)	$	(22)	$	—		$	—		$	—		$	—

(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, 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.

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, 2022 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments			GLB (1)
	Non-U.S.		Corporate and asset- backed securities		Mortgage-backed securities

Balance, beginning of period	$	633	$	2,049	$	26		$	77		$	7		$	745
Transfers into Level 3	18		29		—			1			—			—
Transfers out of Level 3	(23)		(50)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(13)		(22)		—			—			—			—
Net Realized Gains/Losses	(2)		—		—			4			—			(35)
Purchases	43		315		—			3			2			—
Sales	(6)		(27)		—			(3)			—			—
Settlements	(32)		(65)		(1)			—			(5)			—
Other	—		—		—			—			—			(14)
Balance, end of period	$	618	$	2,229	$	20		$	82		$	4		$	696
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	—	$	—		$	4		$	—		$	(35)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(13)	$	(22)	$	—		$	—		$	—		$	—

(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, 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.

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, 2022	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	$	1,126	$	48	$	—	$	1,174	$	1,180
Non-U.S.	—		1,191		—		1,191		1,180
Corporate and asset-backed securities	—		1,935		—		1,935		1,885
Mortgage-backed securities	—		1,684		—		1,684		1,689
Municipal	—		3,904		—		3,904		3,884
Total assets	$	1,126	$	8,762	$	—	$	9,888	$	9,818
Liabilities:
Repurchase agreements	$	—	$	1,406	$	—	$	1,406	$	1,406
Short-term debt	—		1,484		—		1,484		1,474
Long-term debt	—		14,702		—		14,702		14,585
Trust preferred securities	—		425		—		425		308
Total liabilities	$	—	$	18,017	$	—	$	18,017	$	17,773


December 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	$	1,192	$	52	$	—	$	1,244	$	1,213
Non-U.S.	—		1,262		—		1,262		1,196
Corporate and asset-backed securities	—		2,201		—		2,201		2,004
Mortgage-backed securities	—		1,803		—		1,803		1,730
Municipal	—		4,137		—		4,137		3,975
Total assets	$	1,192	$	9,455	$	—	$	10,647	$	10,118
Liabilities:
Repurchase agreements	$	—	$	1,406	$	—	$	1,406	$	1,406
Short-term debt	—		1,019		—		1,019		999
Long-term debt	—		16,848		—		16,848		15,169
Trust preferred securities	—		460		—		460		308
Total liabilities	$	—	$	19,733	$	—	$	19,733	$	17,882