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Fair value measurements (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available-for-sale
U.S. Treasury / Agency	$	1,979	$	650	$	—	$	2,629
Non-U.S.	—		36,862		639		37,501
Corporate and asset-backed securities	—		43,915		2,778		46,693
Mortgage-backed securities	—		28,428		46		28,474
Municipal	—		1,968		—		1,968
	1,979		111,823		3,463		117,265
Equity securities	4,286		—		118		4,404
Short-term investments	2,491		1,869		15		4,375
Other investments (1)	616		6,424		—		7,040
Securities lending collateral	—		1,927		—		1,927
Investment derivatives	42		—		—		42
Derivatives designated as hedging instruments	—		150		—		150

Separate account assets	5,919		77		—		5,996
Total assets measured at fair value (1)(2)	$	15,333	$	122,270	$	3,596	$	141,199
Liabilities:
Investment derivatives	$	127	$	—	$	—	$	127
Derivatives designated as hedging instruments	—		174		—		174
Other derivative instruments	25		5		—		30
Market risk benefits (3)	—		—		748		748
Total liabilities measured at fair value	$	152	$	179	$	748	$	1,079

(1)Excluded from the table above are other investments of $1,115 million, principally policy loans, measured using NAV as a practical expedient.

(2)Excluded from the table above are private equities of $14,405 million, measured using NAV as a practical expedient.

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


December 31, 2023	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available-for-sale
U.S. Treasury / Agency	$	2,911	$	679	$	—	$	3,590
Non-U.S.	—		34,472		692		35,164
Corporate and asset-backed securities	—		40,208		2,622		42,830
Mortgage-backed securities	—		22,051		7		22,058
Municipal	—		2,929		—		2,929
	2,911		100,339		3,321		106,571
Equity securities	3,368		—		87		3,455
Short-term investments	1,915		2,633		3		4,551
Other investments (1)	589		4,236		—		4,825
Securities lending collateral	—		1,299		—		1,299
Investment derivatives	54		—		—		54
Derivatives designated as hedging instruments	—		136		—		136

Separate account assets	5,482		91		—		5,573
Total assets measured at fair value (1)(2)	$	14,319	$	108,734	$	3,411	$	126,464
Liabilities:
Investment derivatives	$	136	$	—	$	—	$	136
Derivatives designated as hedging instruments	—		128		—		128
Other derivative instruments	37		5		—		42
Market risk benefits (3)	—		—		771		771
Total liabilities measured at fair value	$	173	$	133	$	771	$	1,077

(1)Excluded from the table above are other investments of $702 million, principally policy loans, measured using NAV as a practical expedient.

(2)Excluded from the table above are private equities of $14,078 million, measured using NAV as a practical expedient.

(3)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).



Three Months Ended September 30, 2024 (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	$	632	$	2,709	$	20		$	100	$	12

Transfers out of Level 3	(1)		—		(14)			—		—
Change in Net Unrealized Gains (Losses) in OCI	10		16		—			—		(1)
Net Realized Gains (Losses)	(1)		(10)		—			7		—
Purchases	59		316		40			17		6
Sales	(18)		(69)		—			(6)		(1)
Settlements	(42)		(184)		—			—		(1)

Balance, end of period	$	639	$	2,778	$	46		$	118	$	15
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(8)	$	—		$	6	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	11	$	12	$	—		$	—	$	(1)



Three Months Ended September 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		$	649		$	2,524		$	10	$	86	$	3

Transfers out of Level 3		(22)			(10)			—		—		—
Change in Net Unrealized Gains (Losses) in OCI		(6)			6			—		—		—

Net Realized Gains (Losses)		(2)			(4)			—		—		—

Purchases		46			158			16		4		—
Sales		(17)			(40)			—		(5)		(1)
Settlements		(15)			(65)			(1)		—		—
Balance, end of period		$	633		$	2,569		$	25	$	85	$	2
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date		$	(1)		$	(4)		$	—	$	—	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date		$	(8)		$	4		$	—	$	—	$	—



Nine Months Ended September 30, 2024 (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	$	692	$	2,622	$	7		$	87		$	3
Transfers into Level 3	1		5		—			—			—
Transfers out of Level 3	(7)		(3)		(14)			—			—
Change in Net Unrealized Gains (Losses) in OCI	18		26		—			—			(2)
Net Realized Gains (Losses)	(5)		(15)		—			6			—
Purchases	214		785		55			36			22
Sales	(69)		(176)		—			(11)			(1)
Settlements	(205)		(466)		(2)			—			(7)

Balance, end of period	$	639	$	2,778	$	46		$	118		$	15
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	(1)	$	(10)	$	—		$	5		$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	14	$	17	$	—		$	—		$	(2)



Nine Months Ended September 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		(22)			(23)			—		—		—
Change in Net Unrealized Gains (Losses) in OCI		5			8			—		—		(1)
Net Realized Gains (Losses)		(3)			(7)			—		(6)		—

Purchases		151			481			16		15		3
Sales		(52)			(70)			—		(14)		(3)
Settlements		(31)			(272)			(2)		—		—

Balance, end of period		$	633		$	2,569		$	25	$	85	$	2
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date		$	(1)		$	(6)		$	—	$	(6)	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date		$	1		$	2		$	—	$	—	$	—

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, 2024	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Private debt held-for-investment	$	—	$	—	$	2,650	$	2,650	$	2,619
Total assets	$	—	$	—	$	2,650	$	2,650	$	2,619
Liabilities:
Repurchase agreements	$	—	$	3,048	$	—	$	3,048	$	3,048
Short-term debt	—		1,560		—		1,560		1,571
Long-term debt	—		13,645		—		13,645		14,560
Trust preferred securities	—		377		—		377		309
Total liabilities	$	—	$	18,630	$	—	$	18,630	$	19,488


December 31, 2023	Fair Value								Net Carrying Value
(in millions of U.S. dollars)	Level 1		Level 2		Level 3		Total
Assets:
Private debt held-for-investment	$	—	$	—	$	2,560	$	2,560	$	2,553
Total assets	$	—	$	—	$	2,560	$	2,560	$	2,553
Liabilities:
Repurchase agreements	$	—	$	2,833	$	—	$	2,833	$	2,833
Short-term debt	—		1,431		—		1,431		1,460
Long-term debt	—		11,924		—		11,924		13,035
Trust preferred securities	—		365		—		365		308
Total liabilities	$	—	$	16,553	$	—	$	16,553	$	17,636

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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