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Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2022

Financial Instruments Measured At Fair Value On A Recurring Basis

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


June 30, 2022	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	1,657	$	520	$	—	$	2,177
Non-U.S.	—		22,268		549		22,817
Corporate and asset-backed securities	—		32,786		2,261		35,047
Mortgage-backed securities	—		17,316		19		17,335
Municipal	—		4,693		—		4,693
	1,657		77,583		2,829		82,069
Equity securities	2,568		—		81		2,649
Short-term investments	2,043		1,379		9		3,431
Other investments (1)	235		400		—		635
Securities lending collateral	—		1,658		—		1,658
Investment derivative instruments	148		—		—		148
Other derivative instruments	60		—		—		60
Separate account assets	4,739		86		—		4,825
Total assets measured at fair value (1)	$	11,450	$	81,106	$	2,919	$	95,475
Liabilities:
Investment derivative instruments	$	163	$	—	$	—	$	163

GLB (2)	—		—		832		832
Total liabilities measured at fair value	$	163	$	—	$	832	$	995

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $11,238 million, policy loans of $245 million and other investments of $50 million at June 30, 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)

June 30, 2022

December 31, 2021

GLB (1)

832

745

Actuarial model

Lapse rate

3% – 31%

4.0

Annuitization rate

0% – 100%

4.4

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 June 30, 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	$	618	$	2,229	$	20		$	82		$	4		$	696
Transfers into Level 3	5		10		—			—			—			—
Transfers out of Level 3	—		(43)		—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(41)		(30)		—			—			—			—
Net Realized Gains/Losses	—		—		—			—			—			143
Purchases	26		179		—			—			5			—
Sales	(19)		(24)		—			(1)			—			—
Settlements	(40)		(60)		(1)			—			—			—
Other	—		—		—			—			—			(7)
Balance, end of period	$	549	$	2,261	$	19		$	81		$	9		$	832
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(1)	$	—		$	(1)		$	—		$	143
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(41)	$	(30)	$	—		$	—		$	—		$	—

(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 June 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		$	650		$	1,612		$	51	$	75	$	1	$	10		$	760
Transfers into Level 3		—			29			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI		5			6			—		—		—		—			—

Net Realized Gains/Losses		3			6			—		5		—		—			8

Purchases		54			240			1		4		2		—			—
Sales		(9)			(50)			(1)		(6)		—		—			—
Settlements		(51)			(152)			(4)		—		—		—			—
Other		—			—			—		—		—		—			(8)
Balance, end of period		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	6		$	—	$	4	$	—	$	—		$	8
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	7		$	6		$	—	$	—	$	—	$	—		$	—

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


	Assets										Liabilities
Six Months Ended June 30, 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	23		39		—			1			—			—
Transfers out of Level 3	(23)		(93)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(54)		(52)		—			—			—			—
Net Realized Gains/Losses	(2)		—		—			4			—			108
Purchases	69		494		—			3			7			—
Sales	(25)		(51)		—			(4)			—			—
Settlements	(72)		(125)		(2)			—			(5)			—
Other	—		—		—			—			—			(21)
Balance, end of period	$	549	$	2,261	$	19		$	81		$	9		$	832
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	(1)	$	—		$	3		$	—		$	108
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(54)	$	(52)	$	—		$	—		$	—		$	—

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


		Assets														Liabilities
Six Months Ended June 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		—			46			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI		13			12			—		—		—		—			—

Net Realized Gains/Losses		3			3			—		7		—		—			(311)

Purchases		175			409			1		7		3		—			—
Sales		(16)			(75)			(1)		(9)		—		—			—
Settlements		(69)			(277)			(13)		—		(5)		—			—
Other		—			—			—		—		—		—			(18)
Balance, end of period		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	3		$	—	$	6	$	—	$	—		$	(311)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	17		$	17		$	—	$	—	$	—	$	—		$	—

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

^[1]

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 June 30, 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	$	618	$	2,229	$	20		$	82		$	4		$	696
Transfers into Level 3	5		10		—			—			—			—
Transfers out of Level 3	—		(43)		—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(41)		(30)		—			—			—			—
Net Realized Gains/Losses	—		—		—			—			—			143
Purchases	26		179		—			—			5			—
Sales	(19)		(24)		—			(1)			—			—
Settlements	(40)		(60)		(1)			—			—			—
Other	—		—		—			—			—			(7)
Balance, end of period	$	549	$	2,261	$	19		$	81		$	9		$	832
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(1)	$	—		$	(1)		$	—		$	143
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(41)	$	(30)	$	—		$	—		$	—		$	—

(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 June 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		$	650		$	1,612		$	51	$	75	$	1	$	10		$	760
Transfers into Level 3		—			29			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI		5			6			—		—		—		—			—

Net Realized Gains/Losses		3			6			—		5		—		—			8

Purchases		54			240			1		4		2		—			—
Sales		(9)			(50)			(1)		(6)		—		—			—
Settlements		(51)			(152)			(4)		—		—		—			—
Other		—			—			—		—		—		—			(8)
Balance, end of period		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	6		$	—	$	4	$	—	$	—		$	8
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	7		$	6		$	—	$	—	$	—	$	—		$	—

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


	Assets										Liabilities
Six Months Ended June 30, 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	23		39		—			1			—			—
Transfers out of Level 3	(23)		(93)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(54)		(52)		—			—			—			—
Net Realized Gains/Losses	(2)		—		—			4			—			108
Purchases	69		494		—			3			7			—
Sales	(25)		(51)		—			(4)			—			—
Settlements	(72)		(125)		(2)			—			(5)			—
Other	—		—		—			—			—			(21)
Balance, end of period	$	549	$	2,261	$	19		$	81		$	9		$	832
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	(1)	$	—		$	3		$	—		$	108
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(54)	$	(52)	$	—		$	—		$	—		$	—

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


		Assets														Liabilities
Six Months Ended June 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		—			46			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		—			—
Change in Net Unrealized Gains/Losses in OCI		13			12			—		—		—		—			—

Net Realized Gains/Losses		3			3			—		7		—		—			(311)

Purchases		175			409			1		7		3		—			—
Sales		(16)			(75)			(1)		(9)		—		—			—
Settlements		(69)			(277)			(13)		—		(5)		—			—
Other		—			—			—		—		—		—			(18)
Balance, end of period		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	3		$	—	$	6	$	—	$	—		$	(311)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	17		$	17		$	—	$	—	$	—	$	—		$	—

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

^[1]

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:


June 30, 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	$	1,198	$	75	$	—	$	1,273	$	1,298
Non-U.S.	—		1,071		—		1,071		1,108
Corporate and asset-backed securities	—		1,746		—		1,746		1,816
Mortgage-backed securities	—		1,598		—		1,598		1,650
Municipal	—		3,645		—		3,645		3,660
Total assets	$	1,198	$	8,135	$	—	$	9,333	$	9,532
Liabilities:
Repurchase agreements	$	—	$	3,411	$	—	$	3,411	$	3,411
Short-term debt	—		1,473		—		1,473		1,474
Long-term debt	—		13,122		—		13,122		14,311
Trust preferred securities	—		395		—		395		308
Total liabilities	$	—	$	18,401	$	—	$	18,401	$	19,504


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

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