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Fair value measurements (Tables) | 9 Months Ended
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Sep. 30, 2023
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, 2023 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 3,084 |  |  | $ | 597 |  |  | $ | — |  |  | $ | 3,681 |
Non-U.S. | — |  |  | 32,084 |  |  | 633 |  |  | 32,717 |
Corporate and asset-backed securities | — |  |  | 38,286 |  |  | 2,569 |  |  | 40,855 |
Mortgage-backed securities | — |  |  | 19,580 |  |  | 25 |  |  | 19,605 |
Municipal | — |  |  | 2,908 |  |  | — |  |  | 2,908 |
| 3,084 |  |  | 93,455 |  |  | 3,227 |  |  | 99,766 |
Equity securities | 3,310 |  |  | — |  |  | 85 |  |  | 3,395 |
Short-term investments | 2,546 |  |  | 2,906 |  |  | 2 |  |  | 5,454 |
Other investments (1) | 569 |  |  | 4,364 |  |  | — |  |  | 4,933 |
Securities lending collateral | — |  |  | 1,469 |  |  | — |  |  | 1,469 |
Investment derivatives | 42 |  |  | — |  |  | — |  |  | 42 |
Derivatives designated as hedging instruments | — |  |  | 48 |  |  | — |  |  | 48 |
Other derivative instruments | 53 |  |  | — |  |  | — |  |  | 53 |
Separate account assets | 5,217 |  |  | 89 |  |  | — |  |  | 5,306 |
Total assets measured at fair value (1)(2) | $ | 14,821 |  |  | $ | 102,331 |  |  | $ | 3,314 |  |  | $ | 120,466 |
Liabilities: |  |  |  |  |  |  |
Investment derivatives | $ | 168 |  |  | $ | — |  |  | $ | — |  |  | $ | 168 |
Derivatives designated as hedging instruments | — |  |  | 68 |  |  | — |  |  | 68 |
Other derivative instruments | — |  |  | 4 |  |  | — |  |  | 4 |
Market risk benefits (3) | — |  |  | — |  |  | 770 |  |  | 770 |
Total liabilities measured at fair value | $ | 168 |  |  | $ | 72 |  |  | $ | 770 |  |  | $ | 1,010 |
(1)Excluded from the table above are policy loans of $603 million, and other investments of $47 million at September 30, 2023, measured using NAV as a practical expedient. (2)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $13,362 million at September 30, 2023, measured using NAV as a practical expedient. (3)Refer to Note 11 for additional information on Market risk benefits.
December 31, 2022 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,100 |  |  | $ | 526 |  |  | $ | — |  |  | $ | 2,626 |
Non-U.S. | — |  |  | 25,344 |  |  | 564 |  |  | 25,908 |
Corporate and asset-backed securities | — |  |  | 34,506 |  |  | 2,449 |  |  | 36,955 |
Mortgage-backed securities | — |  |  | 15,840 |  |  | 11 |  |  | 15,851 |
Municipal | — |  |  | 3,880 |  |  | — |  |  | 3,880 |
| 2,100 |  |  | 80,096 |  |  | 3,024 |  |  | 85,220 |
Equity securities | 737 |  |  | — |  |  | 90 |  |  | 827 |
Short-term investments | 3,108 |  |  | 1,849 |  |  | 3 |  |  | 4,960 |
Other investments (1) | 552 |  |  | 399 |  |  | — |  |  | 951 |
Securities lending collateral | — |  |  | 1,523 |  |  | — |  |  | 1,523 |
Investment derivative instruments | 82 |  |  | — |  |  | — |  |  | 82 |
Derivatives designated as hedging instruments | — |  |  | 17 |  |  | — |  |  | 17 |
Other derivative instruments | 33 |  |  | — |  |  | — |  |  | 33 |
Separate account assets | 5,101 |  |  | 89 |  |  | — |  |  | 5,190 |
Total assets measured at fair value (1)(2) | $ | 11,713 |  |  | $ | 83,973 |  |  | $ | 3,117 |  |  | $ | 98,803 |
Liabilities: |  |  |  |  |  |  |
Investment derivatives | $ | 139 |  |  | $ | — |  |  | $ | — |  |  | $ | 139 |
Derivatives designated as hedging instruments | — |  |  | 53 |  |  | — |  |  | 53 |
Market risk benefits (3) | — |  |  | — |  |  | 800 |  |  | 800 |
Total liabilities measured at fair value | $ | 139 |  |  | $ | 53 |  |  | $ | 800 |  |  | $ | 992 |
(1)Excluded from the table above are policy loans of $343 million and other investments of $47 million at December 31, 2022, measured using NAV as a practical expedient. (2)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $12,355 million at December 31, 2022, 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:
Three Months Ended September 30, 2023 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 649 |  |  | $ | 2,524 |  |  | $ | 10 |  |  |  |  |  |  | $ | 86 |  |  | $ | 3 |
Transfers into Level 3 |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (22) |  |  | (10) |  |  | — |  |  |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (6) |  |  | 6 |  |  | — |  |  |  |  |  |  | — |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (4) |  |  | — |  |  |  |  |  |  | — |  |  | — |
Purchases |  |  | 46 |  |  | 158 |  |  | 16 |  |  |  |  |  |  | 4 |  |  | — |
Sales |  |  | (17) |  |  | (40) |  |  | — |  |  |  |  |  |  | (5) |  |  | (1) |
Settlements |  |  | (15) |  |  | (65) |  |  | (1) |  |  |  |  |  |  | — |  |  | — |
Balance, end of period |  |  | $ | 633 |  |  | $ | 2,569 |  |  | $ | 25 |  |  |  |  |  |  | $ | 85 |  |  | $ | 2 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (4) |  |  | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | — |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (8) |  |  | $ | 4 |  |  | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | — |
Three Months Ended September 30, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments
| Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |
Balance, beginning of period |  |  | $ | 549 |  |  | $ | 2,261 |  |  | $ | 19 |  |  |  |  | $ | 81 |  |  | $ | 9 |
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) |
Purchases |  |  | 39 |  |  | 164 |  |  | 4 |  |  |  |  | 3 |  |  | 1 |
Sales |  |  | (19) |  |  | (8) |  |  | — |  |  |  |  | (4) |  |  | — |
Settlements |  |  | (25) |  |  | (94) |  |  | (4) |  |  |  |  | — |  |  | (6) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 3 |  |  | $ | (1) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (35) |  |  | $ | (19) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |
Nine Months Ended September 30, 2023 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 564 |  |  | $ | 2,449 |  |  | $ | 11 |  |  |  |  |  |  | $ | 90 |  |  | $ | 3 |
Transfers into Level 3 |  |  | 21 |  |  | 3 |  |  | — |  |  |  |  |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (22) |  |  | (23) |  |  | — |  |  |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 5 |  |  | 8 |  |  | — |  |  |  |  |  |  | — |  |  | (1) |
Net Realized Gains/Losses |  |  | (3) |  |  | (7) |  |  | — |  |  |  |  |  |  | (6) |  |  | — |
Purchases |  |  | 151 |  |  | 481 |  |  | 16 |  |  |  |  |  |  | 15 |  |  | 3 |
Sales |  |  | (52) |  |  | (70) |  |  | — |  |  |  |  |  |  | (14) |  |  | (3) |
Settlements |  |  | (31) |  |  | (272) |  |  | (2) |  |  |  |  |  |  | — |  |  | — |
Balance, end of period |  |  | $ | 633 |  |  | $ | 2,569 |  |  | $ | 25 |  |  |  |  |  |  | $ | 85 |  |  | $ | 2 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (6) |  |  | $ | — |  |  |  |  |  |  | $ | (6) |  |  | $ | — |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | — |
Nine Months Ended September 30, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments
| Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |
Balance, beginning of period |  |  | $ | 633 |  |  | $ | 2,049 |  |  | $ | 26 |  |  |  |  | $ | 77 |  |  | $ | 7 |
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) |
Purchases |  |  | 108 |  |  | 658 |  |  | 4 |  |  |  |  | 6 |  |  | 8 |
Sales |  |  | (44) |  |  | (59) |  |  | — |  |  |  |  | (8) |  |  | — |
Settlements |  |  | (97) |  |  | (219) |  |  | (6) |  |  |  |  | — |  |  | (11) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (3) |  |  | $ | (4) |  |  | $ | — |  |  |  |  | $ | 6 |  |  | $ | (1) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (89) |  |  | $ | (71) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |
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, 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 | $ | — |  |  | $ | — |  |  | $ | 2,389 |  |  | $ | 2,389 |  |  | $ | 2,401 |
Total assets | $ | — |  |  | $ | — |  |  | $ | 2,389 |  |  | $ | 2,389 |  |  | $ | 2,401 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 2,617 |  |  | $ | — |  |  | $ | 2,617 |  |  | $ | 2,617 |
Short-term debt | — |  |  | 688 |  |  | — |  |  | 688 |  |  | 700 |
Long-term debt | — |  |  | 11,627 |  |  | — |  |  | 11,627 |  |  | 13,736 |
Trust preferred securities | — |  |  | 362 |  |  | — |  |  | 362 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 15,294 |  |  | $ | — |  |  | $ | 15,294 |  |  | $ | 17,361 |
Private debt held-for-investment is related to Huatai and its consolidation. The fair value of Private debt held-for-investment is derived using a discounted cash flow approach, which includes an evaluation of forecasted contractual cash flows and yield curve information, among other loan characteristics and assumptions. These assumptions are derived from internal and third party sources. Since the valuation is derived from model-based techniques, Private debt held-for-investment is classified within Level 3 of the valuation hierarchy.
December 31, 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 | $ | 1,299 |  |  | $ | 71 |  |  | $ | — |  |  | $ | 1,370 |  |  | $ | 1,417 |
Non-U.S. | — |  |  | 1,054 |  |  | — |  |  | 1,054 |  |  | 1,136 |
Corporate and asset-backed securities | — |  |  | 1,580 |  |  | — |  |  | 1,580 |  |  | 1,705 |
Mortgage-backed securities | — |  |  | 1,351 |  |  | — |  |  | 1,351 |  |  | 1,455 |
Municipal | — |  |  | 3,084 |  |  | — |  |  | 3,084 |  |  | 3,135 |
Total assets | $ | 1,299 |  |  | $ | 7,140 |  |  | $ | — |  |  | $ | 8,439 |  |  | $ | 8,848 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,419 |  |  | $ | — |  |  | $ | 1,419 |  |  | $ | 1,419 |
Short-term debt | — |  |  | 473 |  |  | — |  |  | 473 |  |  | 475 |
Long-term debt | — |  |  | 12,495 |  |  | — |  |  | 12,495 |  |  | 14,402 |
Trust preferred securities | — |  |  | 383 |  |  | — |  |  | 383 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 14,770 |  |  | $ | — |  |  | $ | 14,770 |  |  | $ | 16,604 |

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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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-3 + 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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