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Fair value measurements (Tables)

6 Months Ended

Jun. 30, 2023

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, 2023	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency	$	3,121	$	623	$	—	$	3,744
Non-U.S.	—		29,053		649		29,702
Corporate and asset-backed securities	—		37,653		2,524		40,177
Mortgage-backed securities	—		17,962		10		17,972
Municipal	—		5,194		—		5,194
	3,121		90,485		3,183		96,789
Equity securities	957		—		86		1,043
Short-term investments	2,335		1,759		3		4,097
Other investments (1)	542		441		—		983
Securities lending collateral	—		1,525		—		1,525
Investment derivatives	27		—		—		27
Derivatives designated as hedging instruments	—		64		—		64
Other derivative instruments	10		—		—		10
Separate account assets	5,480		94		—		5,574
Total assets measured at fair value (1)	$	12,472	$	94,368	$	3,272	$	110,112
Liabilities:
Investment derivatives	$	158	$	—	$	—	$	158
Derivatives designated as hedging instruments	—		47		—		47
Other derivative instruments	32		4		—		36
Market risk benefits (2)	—		—		722		722
Total liabilities measured at fair value	$	190	$	51	$	722	$	963

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $13,288 million, policy loans of $389 million, and other investments of $47 million at June 30, 2023, measured using NAV as a practical expedient.

(2)Refer to Note 11 for additional information on Market risk benefits.


December 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	$	2,100	$	526	$	—	$	2,626
Non-U.S.	—		25,344		564		25,908
Corporate and asset-backed securities	—		34,506		2,449		36,955
Mortgage-backed securities	—		15,840		11		15,851
Municipal	—		3,880		—		3,880
	2,100		80,096		3,024		85,220
Equity securities	737		—		90		827
Short-term investments	3,108		1,849		3		4,960
Other investments (1)	552		399		—		951
Securities lending collateral	—		1,523		—		1,523
Investment derivative instruments	82		—		—		82
Derivatives designated as hedging instruments	—		17		—		17
Other derivative instruments	33		—		—		33
Separate account assets	5,101		89		—		5,190
Total assets measured at fair value (1)	$	11,713	$	83,973	$	3,117	$	98,803
Liabilities:
Investment derivatives	$	139	$	—	$	—	$	139
Derivatives designated as hedging instruments	—		53		—		53
Market risk benefits (2)	—		—		800		800

Total liabilities measured at fair value	$	139	$	53	$	800	$	992

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $12,355 million, policy loans of $343 million and other investments of $47 million at December 31, 2022, measured using NAV as a practical expedient.

(2)Refer to Note 11 for additional information on Market risk benefits.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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). Excluded from the following tables is the reconciliation of Market risk benefits, refer to Note 11 for additional information:



Three Months Ended June 30, 2023 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments
	Non-U.S.		Corporate and asset- backed securities		Mortgage-backed securities

Balance, beginning of period	$	561	$	2,544	$	10		$	88		$	7
Transfers into Level 3	21		3		—			—			—
Transfers out of Level 3	—		(2)		—			—			—
Change in Net Unrealized Gains/Losses in OCI	15		4		—			—			—
Net Realized Gains/Losses	(1)		(5)		—			(2)			—
Purchases	62		118		—			4			(2)
Sales	(4)		(10)		—			(4)			(2)
Settlements	(5)		(128)		—			—			—

Balance, end of period	$	649	$	2,524	$	10		$	86		$	3
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(6)	$	—		$	(3)		$	—
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	15	$	3	$	—		$	—		$	1



Three Months Ended June 30, 2022 (in millions of U.S. dollars)		Available-for-Sale Debt Securities								Equity securities		Short-term investments
	Non-U.S.			Corporate and asset- backed securities			Mortgage-backed securities

Balance, beginning of period		$	618		$	2,229		$	20	$	82	$	4
Transfers into Level 3		5			10			—		—		—
Transfers out of Level 3		—			(43)					—		—
Change in Net Unrealized Gains/Losses in OCI		(41)			(30)			—		—		—



Purchases		26			179			—		—		5
Sales		(19)			(24)			—		(1)		—
Settlements		(40)			(60)			(1)		—		—

Balance, end of period		$	549		$	2,261		$	19	$	81	$	9
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	(1)		$	—	$	(1)	$	—
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	(41)		$	(30)		$	—	$	—	$	—



Six Months Ended June 30, 2023 (in millions of U.S. dollars)	Available-for-Sale Debt Securities						Equity securities			Short-term investments
	Non-U.S.		Corporate and asset- backed securities		Mortgage-backed securities

Balance, beginning of period	$	564	$	2,449	$	11		$	90		$	3
Transfers into Level 3	21		3		—			—			—
Transfers out of Level 3	—		(13)		—			—			—
Change in Net Unrealized Gains/Losses in OCI	11		2		—			—			(1)
Net Realized Gains/Losses	(1)		(3)		—			(6)			—
Purchases	105		323		—			11			3
Sales	(35)		(30)		—			(9)			(2)
Settlements	(16)		(207)		(1)			—			—

Balance, end of period	$	649	$	2,524	$	10		$	86		$	3
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(2)	$	—		$	(6)		$	—
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	9	$	(2)	$	—		$	—		$	—



Six Months Ended June 30, 2022 (in millions of U.S. dollars)		Available-for-Sale Debt Securities								Equity securities		Short-term investments
	Non-U.S.			Corporate and asset- backed securities			Mortgage-backed securities

Balance, beginning of period		$	633		$	2,049		$	26	$	77	$	7
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		—

Purchases		69			494			—		3		7
Sales		(25)			(51)			—		(4)		—
Settlements		(72)			(125)			(2)		—		(5)

Balance, end of period		$	549		$	2,261		$	19	$	81	$	9
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	(2)		$	(1)		$	—	$	3	$	—
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	(54)		$	(52)		$	—	$	—	$	—

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, 2023	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total








Liabilities:
Repurchase agreements	$	—	$	1,518	$	—	$	1,518	$	1,518
Short-term debt	—		686		—		686		699
Long-term debt	—		12,133		—		12,133		13,782
Trust preferred securities	—		369		—		369		308
Total liabilities	$	—	$	14,706	$	—	$	14,706	$	16,307


December 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	$	1,299	$	71	$	—	$	1,370	$	1,417
Non-U.S.	—		1,054		—		1,054		1,136
Corporate and asset-backed securities	—		1,580		—		1,580		1,705
Mortgage-backed securities	—		1,351		—		1,351		1,455
Municipal	—		3,084		—		3,084		3,135
Total assets	$	1,299	$	7,140	$	—	$	8,439	$	8,848
Liabilities:
Repurchase agreements	$	—	$	1,419	$	—	$	1,419	$	1,419
Short-term debt	—		473		—		473		475
Long-term debt	—		12,495		—		12,495		14,402
Trust preferred securities	—		383		—		383		308
Total liabilities	$	—	$	14,770	$	—	$	14,770	$	16,604