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Fair value measurements (Tables)
9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
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, 2019
Level 1

 
Level 2

 
Level 3

 
Total

(in millions of U.S. dollars)
 
 
 
Assets:
 
 
 
 
 
 
 
Fixed maturities available for sale
 
 
 
 
 
 
 
U.S. Treasury and agency
$
2,893

 
$
677

 
$

 
$
3,570

Foreign

 
22,684

 
393

 
23,077

Corporate securities

 
29,917

 
1,450

 
31,367

Mortgage-backed securities

 
18,937

 
77

 
19,014

States, municipalities, and political subdivisions

 
8,016

 

 
8,016

 
2,893

 
80,231

 
1,920

 
85,044

Equity securities
662

 
4

 
56

 
722

Short-term investments
1,483

 
1,346

 
6

 
2,835

Other investments (1)
392

 
353

 
10

 
755

Securities lending collateral

 
962

 

 
962

Investment derivative instruments
22

 

 

 
22

Other derivative instruments
7

 

 

 
7

Separate account assets
3,140

 
147

 

 
3,287

Total assets measured at fair value (1)
$
8,599

 
$
83,043

 
$
1,992

 
$
93,634

Liabilities:
 
 
 
 
 
 
 
Investment derivative instruments
$
63

 
$

 
$

 
$
63

GLB (2)

 

 
509

 
509

Total liabilities measured at fair value
$
63

 
$

 
$
509

 
$
572

(1) 
Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,871 million and other investments of $88 million at September 30, 2019 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. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.
 
December 31, 2018
Level 1

 
Level 2

 
Level 3

 
Total

(in millions of U.S. dollars)
 
 
 
Assets:
 
 
 
 
 
 
 
Fixed maturities available for sale
 
 
 
 
 
 
 
U.S. Treasury and agency
$
3,400

 
$
745

 
$

 
$
4,145

Foreign

 
21,071

 
345

 
21,416

Corporate securities

 
25,284

 
1,299

 
26,583

Mortgage-backed securities

 
15,479

 
61

 
15,540

States, municipalities, and political subdivisions

 
10,786

 

 
10,786

 
3,400

 
73,365

 
1,705

 
78,470

Equity securities
713

 

 
57

 
770

Short-term investments
1,575

 
1,440

 
1

 
3,016

Other investments (1)
381

 
303

 
11

 
695

Securities lending collateral

 
1,926

 

 
1,926

Investment derivative instruments
28

 

 

 
28

Other derivative instruments
25

 

 

 
25

Separate account assets
2,686

 
137

 

 
2,823

Total assets measured at fair value (1)
$
8,808

 
$
77,171

 
$
1,774

 
$
87,753

Liabilities:
 
 
 
 
 
 
 
Investment derivative instruments
$
38

 
$
115

 
$

 
$
153

GLB (2)

 

 
452

 
452

Total liabilities measured at fair value
$
38

 
$
115

 
$
452

 
$
605


(1) 
Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,244 million and other investments of $95 million at December 31, 2018 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. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.
Fair Value And Maximum Future Funding Commitments Related To Investments The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments:
 
 
 
 
 
September 30

 
 
 
December 31

 
Expected
Liquidation
Period of Underlying Assets
 
 
 
2019

 
 
 
2018

(in millions of U.S. dollars)
Fair
Value

 
Maximum
Future Funding
Commitments

 
Fair
Value

 
Maximum
Future Funding
Commitments

Financial
2 to 10 Years
 
$
568

 
$
360

 
$
596

 
$
193

Real Assets
2 to 11 Years
 
771

 
497

 
704

 
362

Distressed
2 to 7 Years
 
264

 
89

 
296

 
105

Private Credit
3 to 8 Years
 
109

 
271

 
147

 
310

Traditional
2 to 14 Years
 
2,767

 
2,224

 
2,362

 
2,735

Vintage
1 to 2 Years
 
134

 
37

 
56

 

Investment funds
Not Applicable
 
258

 

 
83

 

 
 
 
$
4,871

 
$
3,478

 
$
4,244

 
$
3,705


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
September 30, 2019

 
December 31, 2018

 
 
 
GLB (1)
$
509

 
$
452

 
Actuarial model
 
Lapse rate
 
3% – 32%
 
 
 
 
 
 
 
Annuitization rate
 
0% – 42%
(1) 
Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 3 a) Guaranteed living benefits.
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
Available-for-Sale Debt Securities
Equity
securities

 
Short-term investments

 
Other
investments

 
GLB (1)

September 30, 2019
Foreign

 
Corporate
securities

 
MBS

 
(in millions of U.S. dollars)
 
 
 
Balance – beginning of period
$
371

 
$
1,359

 
$
76

 
$
56

 
$
4

 
$
11

 
$
403

Transfers into Level 3

 
1

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(8
)
 
(4
)
 

 
(1
)
 

 

 

Net Realized Gains/Losses

 

 

 
(1
)
 

 

 
106

Purchases
68

 
176

 
1

 
5

 
2

 

 

Sales
(35
)
 
(18
)
 

 
(3
)
 

 

 

Settlements
(3
)
 
(64
)
 

 

 

 
(1
)
 

Balance – end of period
$
393

 
$
1,450

 
$
77

 
$
56

 
$
6

 
$
10

 
$
509

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$

 
$

 
$

 
$
(1
)
 
$

 
$

 
$
106


(1) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.
  
Assets
 
 
 
 
Liabilities

Three Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
Other derivative instruments

 
GLB (2)

September 30, 2018
Foreign

 
Corporate securities (1)

 
MBS

 
 
(in millions of U.S. dollars)
 
 
 
 
Balance – beginning of period
$
252

 
$
1,181

 
$
82

 
$
59

 
$
12

 
$
264

 
$
2

 
$
125

Transfers into Level 3
5

 
18

 

 

 

 

 

 

Transfers out of Level 3
(2
)
 
(21
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(2
)
 
7

 

 
(1
)
 

 
(4
)
 

 

Net Realized Gains/Losses
(2
)
 
(6
)
 

 
7

 

 

 

 
(54
)
Purchases
98

 
98

 
1

 
6

 

 
20

 

 

Sales
(22
)
 
(18
)
 

 
(18
)
 

 

 

 

Settlements
(4
)
 
(85
)
 
(18
)
 

 
(6
)
 
(17
)
 

 

Balance – end of period
$
323

 
$
1,174

 
$
65

 
$
53

 
$
6

 
$
263

 
$
2

 
$
71

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$
(1
)
 
$
(6
)
 
$

 
$
1

 
$

 
$

 
$

 
$
(54
)
(1) 
Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(2) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $453 million at September 30, 2018, and $497 million at June 30, 2018, which includes a fair value derivative adjustment of $71 million and $125 million, respectively.


 
Assets
 
Liabilities
 
Nine Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
GLB (1)

September 30, 2019
Foreign

 
Corporate
securities

 
MBS

 
(in millions of U.S. dollars)
 
 
 
Balance – beginning of period
$
345

 
$
1,299

 
$
61

 
$
57

 
$
1

 
$
11

 
$
452

Transfers into Level 3
3

 
16

 

 

 

 

 

Transfers out of Level 3
(15
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(2
)
 
1

 

 
1

 

 

 

Net Realized Gains/Losses
(1
)
 

 

 
(4
)
 

 

 
57

Purchases
164

 
425

 
19

 
19

 
6

 

 

Sales
(54
)
 
(91
)
 
(1
)
 
(17
)
 

 

 

Settlements
(47
)
 
(200
)
 
(2
)
 

 
(1
)
 
(1
)
 

Balance – end of period
$
393

 
$
1,450

 
$
77

 
$
56

 
$
6

 
$
10

 
$
509

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$

 
$
(1
)
 
$

 
$
(3
)
 
$

 
$

 
$
57

(1) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 million and $452 million, respectively.
  
Assets
 
 
 
 
Liabilities

Nine Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
Other derivative instruments

 
GLB (2)

September 30, 2018
Foreign

 
Corporate securities (1)

 
MBS

 
 
 
 
(in millions of U.S. dollars)
 
 
 
 
 
 
Balance – beginning of period
$
93

 
$
1,037

 
$
78

 
$
44

 
$

 
$
263

 
$
2

 
$
204

Transfers into Level 3
12

 
24

 
1

 

 
5

 

 

 

Transfers out of Level 3
(2
)
 
(31
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange

 
(5
)
 

 

 

 
(2
)
 

 

Net Realized Gains/Losses
(2
)
 
(4
)
 

 
6

 

 
1

 

 
(133
)
Purchases
280

 
454

 
5

 
26

 
9

 
50

 

 

Sales
(52
)
 
(114
)
 

 
(23
)
 

 

 

 

Settlements
(6
)
 
(187
)
 
(19
)
 

 
(8
)
 
(49
)
 

 

Balance – end of period
$
323

 
$
1,174

 
$
65

 
$
53

 
$
6

 
$
263

 
$
2

 
$
71

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$
(1
)
 
$
(6
)
 
$

 
$

 
$

 
$
1

 
$

 
$
(133
)
(1) 
Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(2) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $453 million at September 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $71 million and $204 million, respectively.


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
Available-for-Sale Debt Securities
Equity
securities

 
Short-term investments

 
Other
investments

 
GLB (1)

September 30, 2019
Foreign

 
Corporate
securities

 
MBS

 
(in millions of U.S. dollars)
 
 
 
Balance – beginning of period
$
371

 
$
1,359

 
$
76

 
$
56

 
$
4

 
$
11

 
$
403

Transfers into Level 3

 
1

 

 

 

 

 

Transfers out of Level 3

 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(8
)
 
(4
)
 

 
(1
)
 

 

 

Net Realized Gains/Losses

 

 

 
(1
)
 

 

 
106

Purchases
68

 
176

 
1

 
5

 
2

 

 

Sales
(35
)
 
(18
)
 

 
(3
)
 

 

 

Settlements
(3
)
 
(64
)
 

 

 

 
(1
)
 

Balance – end of period
$
393

 
$
1,450

 
$
77

 
$
56

 
$
6

 
$
10

 
$
509

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$

 
$

 
$

 
$
(1
)
 
$

 
$

 
$
106


(1) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.
  
Assets
 
 
 
 
Liabilities

Three Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
Other derivative instruments

 
GLB (2)

September 30, 2018
Foreign

 
Corporate securities (1)

 
MBS

 
 
(in millions of U.S. dollars)
 
 
 
 
Balance – beginning of period
$
252

 
$
1,181

 
$
82

 
$
59

 
$
12

 
$
264

 
$
2

 
$
125

Transfers into Level 3
5

 
18

 

 

 

 

 

 

Transfers out of Level 3
(2
)
 
(21
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(2
)
 
7

 

 
(1
)
 

 
(4
)
 

 

Net Realized Gains/Losses
(2
)
 
(6
)
 

 
7

 

 

 

 
(54
)
Purchases
98

 
98

 
1

 
6

 

 
20

 

 

Sales
(22
)
 
(18
)
 

 
(18
)
 

 

 

 

Settlements
(4
)
 
(85
)
 
(18
)
 

 
(6
)
 
(17
)
 

 

Balance – end of period
$
323

 
$
1,174

 
$
65

 
$
53

 
$
6

 
$
263

 
$
2

 
$
71

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$
(1
)
 
$
(6
)
 
$

 
$
1

 
$

 
$

 
$

 
$
(54
)
(1) 
Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(2) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $453 million at September 30, 2018, and $497 million at June 30, 2018, which includes a fair value derivative adjustment of $71 million and $125 million, respectively.


 
Assets
 
Liabilities
 
Nine Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
GLB (1)

September 30, 2019
Foreign

 
Corporate
securities

 
MBS

 
(in millions of U.S. dollars)
 
 
 
Balance – beginning of period
$
345

 
$
1,299

 
$
61

 
$
57

 
$
1

 
$
11

 
$
452

Transfers into Level 3
3

 
16

 

 

 

 

 

Transfers out of Level 3
(15
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange
(2
)
 
1

 

 
1

 

 

 

Net Realized Gains/Losses
(1
)
 

 

 
(4
)
 

 

 
57

Purchases
164

 
425

 
19

 
19

 
6

 

 

Sales
(54
)
 
(91
)
 
(1
)
 
(17
)
 

 

 

Settlements
(47
)
 
(200
)
 
(2
)
 

 
(1
)
 
(1
)
 

Balance – end of period
$
393

 
$
1,450

 
$
77

 
$
56

 
$
6

 
$
10

 
$
509

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$

 
$
(1
)
 
$

 
$
(3
)
 
$

 
$

 
$
57

(1) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 million and $452 million, respectively.
  
Assets
 
 
 
 
Liabilities

Nine Months Ended
Available-for-Sale Debt Securities
 
 
Equity
securities

 
Short-term investments

 
Other
investments

 
Other derivative instruments

 
GLB (2)

September 30, 2018
Foreign

 
Corporate securities (1)

 
MBS

 
 
 
 
(in millions of U.S. dollars)
 
 
 
 
 
 
Balance – beginning of period
$
93

 
$
1,037

 
$
78

 
$
44

 
$

 
$
263

 
$
2

 
$
204

Transfers into Level 3
12

 
24

 
1

 

 
5

 

 

 

Transfers out of Level 3
(2
)
 
(31
)
 

 

 

 

 

 

Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange

 
(5
)
 

 

 

 
(2
)
 

 

Net Realized Gains/Losses
(2
)
 
(4
)
 

 
6

 

 
1

 

 
(133
)
Purchases
280

 
454

 
5

 
26

 
9

 
50

 

 

Sales
(52
)
 
(114
)
 

 
(23
)
 

 

 

 

Settlements
(6
)
 
(187
)
 
(19
)
 

 
(8
)
 
(49
)
 

 

Balance – end of period
$
323

 
$
1,174

 
$
65

 
$
53

 
$
6

 
$
263

 
$
2

 
$
71

Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date
$
(1
)
 
$
(6
)
 
$

 
$

 
$

 
$
1

 
$

 
$
(133
)
(1) 
Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(2) 
Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $453 million at September 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $71 million and $204 million, respectively.


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, 2019
Fair Value
 
 
Carrying Value

(in millions of U.S. dollars)
Level 1

 
Level 2

 
Level 3

 
Total

 
Assets:
 
 
 
 
 
 
 
 
 
Fixed maturities held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
1,213

 
$
57

 
$

 
$
1,270

 
$
1,234

Foreign

 
1,485

 

 
1,485

 
1,401

Corporate securities

 
2,482

 
32

 
2,514

 
2,391

Mortgage-backed securities

 
2,474

 

 
2,474

 
2,391

States, municipalities, and political subdivisions

 
5,353

 

 
5,353

 
5,205

Total assets
$
1,213

 
$
11,851

 
$
32

 
$
13,096

 
$
12,622

Liabilities:
 
 
 
 
 
 
 
 
 
Repurchase agreements
$

 
$
1,416

 
$

 
$
1,416

 
$
1,416

Short-term debt

 
10

 

 
10

 
10

Long-term debt

 
14,901

 

 
14,901

 
13,285

Trust preferred securities

 
457

 

 
457

 
308

Total liabilities
$

 
$
16,784

 
$

 
$
16,784

 
$
15,019


December 31, 2018
Fair Value
 
 
Carrying Value

(in millions of U.S. dollars)
Level 1

 
Level 2

 
Level 3

 
Total

 
Assets:
 
 
 
 
 
 
 
 
 
Fixed maturities held to maturity
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency
$
1,128

 
$
54

 
$

 
$
1,182

 
$
1,185

Foreign

 
1,542

 

 
1,542

 
1,549

Corporate securities

 
2,477

 
31

 
2,508

 
2,601

Mortgage-backed securities

 
2,486

 

 
2,486

 
2,524

States, municipalities, and political subdivisions

 
5,541

 

 
5,541

 
5,576

Total assets
$
1,128


$
12,100


$
31


$
13,259


$
13,435

Liabilities:
 
 
 
 
 
 
 
 
 
Repurchase agreements
$

 
$
1,418

 
$

 
$
1,418

 
$
1,418

Short-term debt

 
516

 

 
516

 
509

Long-term debt

 
12,181

 

 
12,181

 
12,087

Trust preferred securities

 
409

 

 
409

 
308

Total liabilities
$

 
$
14,524

 
$

 
$
14,524

 
$
14,322