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Fair value measurements (Tables)

9 Months Ended

Sep. 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


September 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	$	2,032	$	524	$	—	$	2,556
Non-U.S.	—		23,677		506		24,183
Corporate and asset-backed securities	—		34,084		2,296		36,380
Mortgage-backed securities	—		16,216		19		16,235
Municipal	—		4,387		—		4,387
	2,032		78,888		2,821		83,741
Equity securities	761		—		83		844
Short-term investments	2,782		1,749		3		4,534
Other investments (1)	506		381		—		887
Securities lending collateral	—		1,626		—		1,626
Investment derivatives not designated as hedging instruments	129		—		—		129
Other derivative instruments	109		—		—		109
Derivatives designated as hedging instruments	—		71		—		71
Separate account assets	4,810		81		—		4,891
Total assets measured at fair value (1)	$	11,129	$	82,796	$	2,907	$	96,832
Liabilities:
Investment derivatives not designated as hedging instruments	$	306	$	—	$	—	$	306

Derivatives designated as hedging instruments	—		101		—		101
GLB (2)	—		—		784		784
Total liabilities measured at fair value	$	306	$	101	$	784	$	1,191

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $12,392 million, policy loans of $316 million, and other investments of $50 million at September 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)

September 30, 2022

December 31, 2021

GLB (1)

784

745

Actuarial model

Lapse rate

3% – 30%

3.5

Annuitization rate

0% – 100%

4.6

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 September 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	$	549	$	2,261	$	19		$	81		$	9		$	832
Transfers into Level 3	—		2		—			—			—			—
Transfers out of Level 3	—		(4)		—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(34)		(16)		—			—			—			—
Net Realized Gains/Losses	(4)		(9)		—			3			(1)			(22)
Purchases	39		164		4			3			1			—
Sales	(19)		(8)		—			(4)			—			—
Settlements	(25)		(94)		(4)			—			(6)			—
Other	—		—		—			—			—			(26)
Balance, end of period	$	506	$	2,296	$	19		$	83		$	3		$	784
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(1)	$	(3)	$	—		$	3		$	(1)		$	(22)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(35)	$	(19)	$	—		$	—		$	—		$	—

(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 September 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		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Transfers into Level 3		22			45			—		—		—		—			—
Transfers out of Level 3		—			—			—		—		—		(10)			—
Change in Net Unrealized Gains/Losses in OCI		(15)			2			—		—		—		—			—

Net Realized Gains/Losses		(3)			—			—		1		—		—			59

Purchases		60			272			17		4		7		—			—
Sales		(19)			(13)			—		(4)		—		—			—
Settlements		(27)			(135)			(11)		—		—		—			—
Other		—			—			—		—		—		—			(1)
Balance, end of period		$	660		$	1,859		$	53	$	79	$	10	$	—		$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	—		$	—	$	(1)	$	—	$	—		$	59
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	(15)		$	—		$	—	$	—	$	—	$	—		$	—

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


	Assets										Liabilities
Nine Months Ended September 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		41		—			1			—			—
Transfers out of Level 3	(23)		(97)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(88)		(68)		—			—			—			—
Net Realized Gains/Losses	(6)		(9)		—			7			(1)			86
Purchases	108		658		4			6			8			—
Sales	(44)		(59)		—			(8)			—			—
Settlements	(97)		(219)		(6)			—			(11)			—
Other	—		—		—			—			—			(47)
Balance, end of period	$	506	$	2,296	$	19		$	83		$	3		$	784
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(3)	$	(4)	$	—		$	6		$	(1)		$	86
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(89)	$	(71)	$	—		$	—		$	—		$	—

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


		Assets														Liabilities
Nine Months Ended September 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		22			91			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		(10)			—
Change in Net Unrealized Gains/Losses in OCI		(2)			14			—		—		—		—			—

Net Realized Gains/Losses		—			3			—		8		—		—			(252)

Purchases		235			681			18		11		10		—			—
Sales		(35)			(88)			(1)		(13)		—		—			—
Settlements		(96)			(412)			(24)		—		(5)		—			—
Other		—			—			—		—		—		—			(19)
Balance, end of period		$	660		$	1,859		$	53	$	79	$	10	$	—		$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	3		$	—	$	5	$	—	$	—		$	(252)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	2		$	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 September 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	$	549	$	2,261	$	19		$	81		$	9		$	832
Transfers into Level 3	—		2		—			—			—			—
Transfers out of Level 3	—		(4)		—			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(34)		(16)		—			—			—			—
Net Realized Gains/Losses	(4)		(9)		—			3			(1)			(22)
Purchases	39		164		4			3			1			—
Sales	(19)		(8)		—			(4)			—			—
Settlements	(25)		(94)		(4)			—			(6)			—
Other	—		—		—			—			—			(26)
Balance, end of period	$	506	$	2,296	$	19		$	83		$	3		$	784
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(1)	$	(3)	$	—		$	3		$	(1)		$	(22)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(35)	$	(19)	$	—		$	—		$	—		$	—

(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 September 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		$	642		$	1,688		$	47	$	78	$	3	$	10		$	760
Transfers into Level 3		22			45			—		—		—		—			—
Transfers out of Level 3		—			—			—		—		—		(10)			—
Change in Net Unrealized Gains/Losses in OCI		(15)			2			—		—		—		—			—

Net Realized Gains/Losses		(3)			—			—		1		—		—			59

Purchases		60			272			17		4		7		—			—
Sales		(19)			(13)			—		(4)		—		—			—
Settlements		(27)			(135)			(11)		—		—		—			—
Other		—			—			—		—		—		—			(1)
Balance, end of period		$	660		$	1,859		$	53	$	79	$	10	$	—		$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	—		$	—	$	(1)	$	—	$	—		$	59
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	(15)		$	—		$	—	$	—	$	—	$	—		$	—

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


	Assets										Liabilities
Nine Months Ended September 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		41		—			1			—			—
Transfers out of Level 3	(23)		(97)		(5)			—			—			—
Change in Net Unrealized Gains/Losses in OCI	(88)		(68)		—			—			—			—
Net Realized Gains/Losses	(6)		(9)		—			7			(1)			86
Purchases	108		658		4			6			8			—
Sales	(44)		(59)		—			(8)			—			—
Settlements	(97)		(219)		(6)			—			(11)			—
Other	—		—		—			—			—			(47)
Balance, end of period	$	506	$	2,296	$	19		$	83		$	3		$	784
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date	$	(3)	$	(4)	$	—		$	6		$	(1)		$	86
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date	$	(89)	$	(71)	$	—		$	—		$	—		$	—

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


		Assets														Liabilities
Nine Months Ended September 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		22			91			—		—		—		—			—
Transfers out of Level 3		(10)			(3)			—		—		—		(10)			—
Change in Net Unrealized Gains/Losses in OCI		(2)			14			—		—		—		—			—

Net Realized Gains/Losses		—			3			—		8		—		—			(252)

Purchases		235			681			18		11		10		—			—
Sales		(35)			(88)			(1)		(13)		—		—			—
Settlements		(96)			(412)			(24)		—		(5)		—			—
Other		—			—			—		—		—		—			(19)
Balance, end of period		$	660		$	1,859		$	53	$	79	$	10	$	—		$	818
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date		$	—		$	3		$	—	$	5	$	—	$	—		$	(252)
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date		$	2		$	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:


September 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	$	1,157	$	72	$	—	$	1,229	$	1,281
Non-U.S.	—		956		—		956		1,042
Corporate and asset-backed securities	—		1,585		—		1,585		1,742
Mortgage-backed securities	—		1,438		—		1,438		1,548
Municipal	—		3,283		—		3,283		3,363
Total assets	$	1,157	$	7,334	$	—	$	8,491	$	8,976
Liabilities:
Repurchase agreements	$	—	$	2,417	$	—	$	2,417	$	2,417
Short-term debt	—		1,469		—		1,469		1,475
Long-term debt	—		12,067		—		12,067		14,044
Trust preferred securities	—		387		—		387		308
Total liabilities	$	—	$	16,340	$	—	$	16,340	$	18,244


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.