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Fair value measurements (Tables)

6 Months Ended

Jun. 30, 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

June 30, 2021			Level 1						Level 2						Level 3						Total
(in millions of U.S. dollars)
Assets:
Fixed maturities available for sale
U.S. Treasury / Agency			$	1,975					$	503					$	—					$	2,478
Non-U.S.			—						25,770						642						26,412
Corporate and asset-backed securities			—						35,887						1,688						37,575
Mortgage-backed securities			—						19,506						47						19,553
Municipal			—						6,145						—						6,145
			1,975						87,811						2,377						92,163
Equity securities			4,529						—						78						4,607
Short-term investments			3,132						1,335						3						4,470
Other investments (1)			417						470						10						897
Securities lending collateral			—						2,369						—						2,369
Investment derivative instruments			55						—						—						55
Other derivative instruments			10						—						—						10
Separate account assets			5,014						113						—						5,127
Total assets measured at fair value (1)			$	15,132					$	92,098					$	2,468					$	109,698
Liabilities:
Investment derivative instruments			$	94					$	—					$	—					$	94
Other derivative instruments			12						—						—						12
GLB (2)			—						—						760						760
Total liabilities measured at fair value			$	106					$	—					$	760					$	866

(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $8,253 million, policy loans of $237 million and other investments of $70 million at June 30, 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)

June 30, 2021

December 31, 2020

GLB (1)

$

760

$

1,089

Actuarial model

Lapse rate

3% – 34%

4.7

%

Annuitization rate

0% – 100%

3.3

%

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 June 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															$	650								$	1,612																				$	51																	$	75					$	1					$	10											$	760
Transfers into Level 3									—						29						—												—						—						—												—
Transfers out of Level 3									(10)						(3)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									5						6						—												—						—						—												—
Net Realized Gains/Losses									3						6						—												5						—						—												8
Purchases									54						240						1												4						2						—												—
Sales									(9)						(50)						(1)												(6)						—						—												—
Settlements									(51)						(152)						(4)												—						—						—												—
Other									—						—						—												—						—						—												(8)
Balance, end of period									$	642					$	1,688					$	47											$	78					$	3					$	10											$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	6					$	—											$	4					$	—					$	—											$	8
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	7					$	6					$	—											$	—					$	—					$	—											$	—

(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 June 30, 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																		$	465					$	1,502																				$	60											$	67								$	1					$	10																	$	1,591
Transfers out of Level 3									(13)						(71)						—												—						—						—																		—
Change in Net Unrealized Gains/ Losses in OCI									(6)						1						—												(1)						—						—																		—
Net Realized Gains/Losses									(1)						(13)						—												(1)						—						—																		(213)
Purchases									67						83						—												8						1						—																		—
Sales									(16)						(48)						—												(9)						—						—																		—
Settlements									(27)						(85)						—												—						—						—																		—
Other									—						—						—												—						—						—																		(6)
Balance, end of period									$	469					$	1,369					$	60											$	64					$	2					$	10																	$	1,372
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	5					$	—											$	1					$	—					$	—																	$	(213)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	(5)					$	7					$	—											$	—					$	—					$	—																	$	—

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

									Assets																																							Liabilities
Six Months Ended June 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									—						46						—												—						—						—												—
Transfers out of Level 3									(10)						(3)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									13						12						—												—						—						—												—
Net Realized Gains/Losses									3						3						—												7						—						—												(311)
Purchases									175						409						1												7						3						—												—
Sales									(16)						(75)						(1)												(9)						—						—												—
Settlements									(69)						(277)						(13)												—						(5)						—												—
Other									—						—						—												—						—						—												(18)
Balance, end of period									$	642					$	1,688					$	47											$	78					$	3					$	10											$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	3					$	—											$	6					$	—					$	—											$	(311)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	17					$	17					$	—											$	—					$	—					$	—											$	—

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

									Assets																																							Liabilities
Six Months Ended June 30, 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									(16)						(72)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									(20)						(44)						—												—						—						—												—
Net Realized Gains/Losses									(3)						(26)						—												(3)						—						—												472
Purchases									149						222						—												11						2						—												—
Sales									(62)						(67)						—												(13)						—						—												—
Settlements									(28)						(186)						—												—						(6)						—												—
Other									—						—						—												—						—						—												3
Balance, end of period									$	469					$	1,369					$	60											$	64					$	2					$	10											$	1,372
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	(9)					$	—											$	(1)					$	—					$	—											$	472
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	(20)					$	(37)					$	—											$	—					$	—					$	—											$	—

(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 June 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															$	650								$	1,612																				$	51																	$	75					$	1					$	10											$	760
Transfers into Level 3									—						29						—												—						—						—												—
Transfers out of Level 3									(10)						(3)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									5						6						—												—						—						—												—
Net Realized Gains/Losses									3						6						—												5						—						—												8
Purchases									54						240						1												4						2						—												—
Sales									(9)						(50)						(1)												(6)						—						—												—
Settlements									(51)						(152)						(4)												—						—						—												—
Other									—						—						—												—						—						—												(8)
Balance, end of period									$	642					$	1,688					$	47											$	78					$	3					$	10											$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	6					$	—											$	4					$	—					$	—											$	8
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	7					$	6					$	—											$	—					$	—					$	—											$	—

(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 June 30, 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																		$	465					$	1,502																				$	60											$	67								$	1					$	10																	$	1,591
Transfers out of Level 3									(13)						(71)						—												—						—						—																		—
Change in Net Unrealized Gains/ Losses in OCI									(6)						1						—												(1)						—						—																		—
Net Realized Gains/Losses									(1)						(13)						—												(1)						—						—																		(213)
Purchases									67						83						—												8						1						—																		—
Sales									(16)						(48)						—												(9)						—						—																		—
Settlements									(27)						(85)						—												—						—						—																		—
Other									—						—						—												—						—						—																		(6)
Balance, end of period									$	469					$	1,369					$	60											$	64					$	2					$	10																	$	1,372
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	5					$	—											$	1					$	—					$	—																	$	(213)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	(5)					$	7					$	—											$	—					$	—					$	—																	$	—

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

									Assets																																							Liabilities
Six Months Ended June 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									—						46						—												—						—						—												—
Transfers out of Level 3									(10)						(3)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									13						12						—												—						—						—												—
Net Realized Gains/Losses									3						3						—												7						—						—												(311)
Purchases									175						409						1												7						3						—												—
Sales									(16)						(75)						(1)												(9)						—						—												—
Settlements									(69)						(277)						(13)												—						(5)						—												—
Other									—						—						—												—						—						—												(18)
Balance, end of period									$	642					$	1,688					$	47											$	78					$	3					$	10											$	760
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	3					$	—											$	6					$	—					$	—											$	(311)
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	17					$	17					$	—											$	—					$	—					$	—											$	—

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

									Assets																																							Liabilities
Six Months Ended June 30, 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									(16)						(72)						—												—						—						—												—
Change in Net Unrealized Gains/Losses in OCI									(20)						(44)						—												—						—						—												—
Net Realized Gains/Losses									(3)						(26)						—												(3)						—						—												472
Purchases									149						222						—												11						2						—												—
Sales									(62)						(67)						—												(13)						—						—												—
Settlements									(28)						(186)						—												—						(6)						—												—
Other									—						—						—												—						—						—												3
Balance, end of period									$	469					$	1,369					$	60											$	64					$	2					$	10											$	1,372
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date									$	—					$	(9)					$	—											$	(1)					$	—					$	—											$	472
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date									$	(20)					$	(37)					$	—											$	—					$	—					$	—											$	—

(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:

June 30, 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			$	1,029					$	53					$	—					$	1,082					$	1,041
Non-U.S.			—						1,366						—						1,366						1,280
Corporate and asset-backed securities			—						2,314						—						2,314						2,087
Mortgage-backed securities			—						1,892						—						1,892						1,781
Municipal			—						4,689						—						4,689						4,484
Total assets			$	1,029					$	10,314					$	—					$	11,343					$	10,673
Liabilities:
Repurchase agreements			$	—					$	1,405					$	—					$	1,405					$	1,405
Long-term debt			—						16,822						—						16,822						14,954
Trust preferred securities			—						467						—						467						308
Total liabilities			$	—					$	18,694					$	—					$	18,694					$	16,667

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

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ 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 (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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X

- 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

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X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
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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.

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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).

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