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Fair value measurements (Tables) | 3 Months Ended
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Mar. 31, 2021
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
March 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 | $ | 2,044 |  |  | $ | 483 |  |  | $ | — |  |  | $ | 2,527 |
Non-U.S. | — |  |  | 25,516 |  |  | 650 |  |  | 26,166 |
Corporate and asset-backed securities | — |  |  | 34,788 |  |  | 1,612 |  |  | 36,400 |
Mortgage-backed securities | — |  |  | 19,386 |  |  | 51 |  |  | 19,437 |
Municipal | — |  |  | 6,541 |  |  | — |  |  | 6,541 |
| 2,044 |  |  | 86,714 |  |  | 2,313 |  |  | 91,071 |
Equity securities | 4,330 |  |  | — |  |  | 75 |  |  | 4,405 |
Short-term investments | 2,279 |  |  | 1,455 |  |  | 1 |  |  | 3,735 |
Other investments (1) | 421 |  |  | 446 |  |  | 10 |  |  | 877 |
Securities lending collateral | — |  |  | 2,076 |  |  | — |  |  | 2,076 |
Investment derivative instruments | 69 |  |  | — |  |  | — |  |  | 69 |
Other derivative instruments | 2 |  |  | — |  |  | — |  |  | 2 |
Separate account assets | 4,493 |  |  | 115 |  |  | — |  |  | 4,608 |
Total assets measured at fair value (1) | $ | 13,638 |  |  | $ | 90,806 |  |  | $ | 2,399 |  |  | $ | 106,843 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 79 |  |  | $ | — |  |  | $ | — |  |  | $ | 79 |
Other derivative instruments | 7 |  |  | — |  |  | — |  |  | 7 |
GLB (2) | — |  |  | — |  |  | 760 |  |  | 760 |
Total liabilities measured at fair value | $ | 86 |  |  | $ | — |  |  | $ | 760 |  |  | $ | 846 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $7,457 million, policy loans of $232 million and other investments of $70 million at March 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.
December 31, 2020 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,148 |  |  | $ | 522 |  |  | $ | — |  |  | $ | 2,670 |
Non-U.S. | — |  |  | 25,808 |  |  | 546 |  |  | 26,354 |
Corporate and asset-backed securities | — |  |  | 34,758 |  |  | 1,573 |  |  | 36,331 |
Mortgage-backed securities | — |  |  | 18,410 |  |  | 60 |  |  | 18,470 |
Municipal | — |  |  | 6,874 |  |  | — |  |  | 6,874 |
| 2,148 |  |  | 86,372 |  |  | 2,179 |  |  | 90,699 |
Equity securities | 3,954 |  |  | — |  |  | 73 |  |  | 4,027 |
Short-term investments | 2,866 |  |  | 1,474 |  |  | 5 |  |  | 4,345 |
Other investments (1) | 434 |  |  | 438 |  |  | 10 |  |  | 882 |
Securities lending collateral | — |  |  | 1,844 |  |  | — |  |  | 1,844 |
Investment derivative instruments | 35 |  |  | — |  |  | — |  |  | 35 |
Separate account assets | 4,264 |  |  | 124 |  |  | — |  |  | 4,388 |
Total assets measured at fair value (1) | $ | 13,701 |  |  | $ | 90,252 |  |  | $ | 2,267 |  |  | $ | 106,220 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 52 |  |  | $ | — |  |  | $ | — |  |  | $ | 52 |
Other derivative instruments | 17 |  |  | — |  |  | — |  |  | 17 |
GLB (2) | — |  |  | — |  |  | 1,089 |  |  | 1,089 |
Total liabilities measured at fair value | $ | 69 |  |  | $ | — |  |  | $ | 1,089 |  |  | $ | 1,158 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $6,770 million, policy loans of $233 million and other investments of $60 million at December 31, 2020 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)
March 31, 2021 |  | December 31, 2020 |  |  |  |
GLB (1) | $ | 760 |  |  | $ | 1,089 |  |  | Actuarial model |  | Lapse rate |  | 3% – 34% |  | 4.6 | %
|  |  |  |  |  |  | Annuitization rate |  | 0% – 100% |  | 3.4 | %
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 March 31, 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 |  |  | — |  |  | 17 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 8 |  |  | 6 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | (3) |  |  | — |  |  |  |  | 2 |  |  | — |  |  | — |  |  |  |  | (319) |
Purchases |  |  | 121 |  |  | 169 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  | — |
Sales |  |  | (7) |  |  | (25) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (18) |  |  | (125) |  |  | (9) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (10) |
Balance, end of period |  |  | $ | 650 |  |  | $ | 1,612 |  |  | $ | 51 |  |  |  |  | $ | 75 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (319) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 10 |  |  | $ | 11 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |
(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 March 31, 2020 (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 |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 897 |
Transfers into Level 3 |  |  | — |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (3) |  |  | (1) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/ Losses in OCI |  |  | (14) |  |  | (45) |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (13) |  |  | — |  |  |  |  | (2) |  |  | — |  |  | — |  |  |  |  |  |  | 685 |
Purchases |  |  | 82 |  |  | 139 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (46) |  |  | (19) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (1) |  |  | (101) |  |  | — |  |  |  |  | — |  |  | (6) |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | 9 |
Balance, end of period |  |  | $ | 465 |  |  | $ | 1,502 |  |  | $ | 60 |  |  |  |  | $ | 67 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  |  |  | $ | 1,591 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (14) |  |  | $ | — |  |  |  |  | $ | (2) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 685 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | (15) |  |  | $ | (44) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
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 March 31, 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 |  |  | — |  |  | 17 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 8 |  |  | 6 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | (3) |  |  | — |  |  |  |  | 2 |  |  | — |  |  | — |  |  |  |  | (319) |
Purchases |  |  | 121 |  |  | 169 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  | — |
Sales |  |  | (7) |  |  | (25) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (18) |  |  | (125) |  |  | (9) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (10) |
Balance, end of period |  |  | $ | 650 |  |  | $ | 1,612 |  |  | $ | 51 |  |  |  |  | $ | 75 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (319) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 10 |  |  | $ | 11 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |
(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 March 31, 2020 (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 |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 897 |
Transfers into Level 3 |  |  | — |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (3) |  |  | (1) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/ Losses in OCI |  |  | (14) |  |  | (45) |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (13) |  |  | — |  |  |  |  | (2) |  |  | — |  |  | — |  |  |  |  |  |  | 685 |
Purchases |  |  | 82 |  |  | 139 |  |  | — |  |  |  |  | 3 |  |  | 1 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (46) |  |  | (19) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (1) |  |  | (101) |  |  | — |  |  |  |  | — |  |  | (6) |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | 9 |
Balance, end of period |  |  | $ | 465 |  |  | $ | 1,502 |  |  | $ | 60 |  |  |  |  | $ | 67 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  |  |  | $ | 1,591 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (14) |  |  | $ | — |  |  |  |  | $ | (2) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 685 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | (15) |  |  | $ | (44) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
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:
March 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 | $ | 1,144 |  |  | $ | 53 |  |  | $ | — |  |  | $ | 1,197 |  |  | $ | 1,158 |
Non-U.S. | — |  |  | 1,351 |  |  | — |  |  | 1,351 |  |  | 1,270 |
Corporate and asset-backed securities | — |  |  | 2,311 |  |  | — |  |  | 2,311 |  |  | 2,128 |
Mortgage-backed securities | — |  |  | 1,997 |  |  | — |  |  | 1,997 |  |  | 1,887 |
Municipal | — |  |  | 4,896 |  |  | — |  |  | 4,896 |  |  | 4,689 |
Total assets | $ | 1,144 |  |  | $ | 10,608 |  |  | $ | — |  |  | $ | 11,752 |  |  | $ | 11,132 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 16,408 |  |  | — |  |  | 16,408 |  |  | 14,879 |
Trust preferred securities | — |  |  | 470 |  |  | — |  |  | 470 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 18,283 |  |  | $ | — |  |  | $ | 18,283 |  |  | $ | 16,592 |
December 31, 2020 | 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 | $ | 1,395 |  |  | $ | 57 |  |  | $ | — |  |  | $ | 1,452 |  |  | $ | 1,392 |
Non-U.S. | — |  |  | 1,405 |  |  | — |  |  | 1,405 |  |  | 1,288 |
Corporate and asset-backed securities | — |  |  | 2,438 |  |  | — |  |  | 2,438 |  |  | 2,150 |
Mortgage-backed securities | — |  |  | 2,146 |  |  | — |  |  | 2,146 |  |  | 1,999 |
Municipal | — |  |  | 5,069 |  |  | — |  |  | 5,069 |  |  | 4,824 |
Total assets | $ | 1,395 |  |  | $ | 11,115 |  |  | $ | — |  |  | $ | 12,510 |  |  | $ | 11,653 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 17,487 |  |  | — |  |  | 17,487 |  |  | 14,948 |
Trust preferred securities | — |  |  | 473 |  |  | — |  |  | 473 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 19,365 |  |  | $ | — |  |  | $ | 19,365 |  |  | $ | 16,661 |

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- 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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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