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Fair value measurements (Tables)

12 Months Ended

Dec. 31, 2024

Financial Instruments Measured At Fair Value On A Recurring Basis

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


December 31, 2024	Level 1		Level 2		Level 3		Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available-for-sale
U.S. Treasury / Agency	$	1,765	$	576	$	—	$	2,341
Non-U.S.	—		35,234		604		35,838
Corporate and asset-backed securities	—		40,316		2,891		43,207
Mortgage-backed securities	—		27,245		3		27,248
Municipal	—		1,729		—		1,729
	1,765		105,100		3,498		110,363
Equity securities (1)	4,053		—		120		4,173
Short-term investments	3,156		1,972		14		5,142
Other investments (2)	573		6,783		—		7,356
Securities lending collateral	—		1,445		—		1,445
Investment derivatives	41		—		—		41
Derivatives designated as hedging instruments	—		146		—		146
Other derivative instruments	35		—		—		35
Separate account assets	6,165		66		—		6,231
Total assets measured at fair value (1) (2) (3)	$	15,788	$	115,512	$	3,632	$	134,932
Liabilities:
Investment derivatives	$	303	$	—	$	—	$	303
Derivatives designated as hedging instruments	—		116		—		116
Other derivative instruments	—		2		—		2
Market risk benefits (4)	—		—		607		607
Total liabilities measured at fair value	$	303	$	118	$	607	$	1,028

(1)Excluded from the table above is a fund of $4,978 million, measured using NAV as a practical expedient.

(2)Excluded from the table above are other investments of $1,241 million, principally policy loans measured using NAV as a practical expedient.

(3)Excluded from the table above are private equities of $14,769 million, measured using NAV as a practical expedient.

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


	Available-for-Sale Debt Securities						Equity securities		Short-term investments
Year Ended December 31, 2024	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities
(in millions of U.S. dollars)
Balance, beginning of year	$	692	$	2,622	$	7	$	87	$	3
Transfers into Level 3	2		57		—		—		—
Transfers out of Level 3	(7)		(9)		(54)		—		—
Change in Net Unrealized Gains (Losses) in OCI	7		12		—		—		—
Net Realized Gains (Losses)	(13)		(15)		—		8		—
Purchases	262		1,042		54		43		20
Sales	(99)		(250)		—		(18)		(1)
Settlements	(240)		(568)		(4)		—		(8)

Balance, end of year	$	604	$	2,891	$	3	$	120	$	14
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	—	$	(3)	$	—	$	7	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	(2)	$	(2)	$	—	$	—	$	(1)


	Available-for-Sale Debt Securities						Equity securities		Short-term investments
Year Ended December 31, 2023	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities
(in millions of U.S. dollars)
Balance, beginning of year	$	564	$	2,449	$	11	$	90	$	3
Transfers into Level 3	21		30		—		—		—
Transfers out of Level 3	(22)		(26)		(15)		—		—
Change in Net Unrealized Gains (Losses) in OCI	13		28		—		—		(1)
Net Realized Gains (Losses)	(4)		(17)		—		(7)		(1)
Purchases	258		681		15		24		5
Sales	(82)		(81)		—		(20)		(3)
Settlements	(56)		(442)		(4)		—		—

Balance, end of year	$	692	$	2,622	$	7	$	87	$	3
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	(1)	$	(5)	$	—	$	(7)	$	—
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	7	$	12	$	—	$	—	$	—


	Available-for-Sale Debt Securities								Short-term investments
Year Ended December 31, 2022	Non-U.S.		Corporate and asset-backed securities		Mortgage-backed securities		Equity securities
(in millions of U.S. dollars)
Balance, beginning of year	$	633	$	2,049	$	26	$	77	$	7
Transfers into Level 3	23		47		—		1		—
Transfers out of Level 3	(23)		(97)		(9)		—		—
Change in Net Unrealized Gains (Losses) in OCI	(53)		(80)		—		—		—
Net Realized Gains (Losses)	(6)		(14)		—		15		(2)
Purchases	156		921		4		9		3
Sales	(59)		(85)		—		(12)		—
Settlements	(107)		(292)		(10)		—		(5)

Balance, end of year	$	564	$	2,449	$	11	$	90	$	3
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date	$	(2)	$	(9)	$	—	$	14	$	(1)
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date	$	(53)	$	(84)	$	—	$	—	$	—

Carrying Values And Fair Values Of Financial Instruments Not Measured At Fair Value


December 31, 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	$	—	$	—	$	2,680	$	2,680	$	2,628
Total assets	$	—	$	—	$	2,680	$	2,680	$	2,628
Liabilities:
Repurchase agreements	$	—	$	2,731	$	—	$	2,731	$	2,731
Short-term debt	—		797		—		797		800
Long-term debt	—		12,979		—		12,979		14,379
Hybrid debt	—		479		—		479		419
Total liabilities	$	—	$	16,986	$	—	$	16,986	$	18,329


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
Hybrid debt	—		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.

+ References + Details