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Fair value measurements (Tables) | 6 Months Ended
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Jun. 30, 2024
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, 2024 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available-for-sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,128 |  |  | $ | 613 |  |  | $ | — |  |  | $ | 2,741 |
Non-U.S. | — |  |  | 34,286 |  |  | 632 |  |  | 34,918 |
Corporate and asset-backed securities | — |  |  | 40,911 |  |  | 2,709 |  |  | 43,620 |
Mortgage-backed securities | — |  |  | 24,594 |  |  | 20 |  |  | 24,614 |
Municipal | — |  |  | 1,947 |  |  | — |  |  | 1,947 |
| 2,128 |  |  | 102,351 |  |  | 3,361 |  |  | 107,840 |
Equity securities | 3,692 |  |  | — |  |  | 100 |  |  | 3,792 |
Short-term investments | 2,822 |  |  | 1,712 |  |  | 12 |  |  | 4,546 |
Other investments (1) | 581 |  |  | 5,903 |  |  | — |  |  | 6,484 |
Securities lending collateral | — |  |  | 1,889 |  |  | — |  |  | 1,889 |
Investment derivatives | 41 |  |  | — |  |  | — |  |  | 41 |
Derivatives designated as hedging instruments | — |  |  | 127 |  |  | — |  |  | 127 |
Other derivative instruments | 1 |  |  | — |  |  | — |  |  | 1 |
Separate account assets | 5,749 |  |  | 85 |  |  | — |  |  | 5,834 |
Total assets measured at fair value (1)(2) | $ | 15,014 |  |  | $ | 112,067 |  |  | $ | 3,473 |  |  | $ | 130,554 |
Liabilities: |  |  |  |  |  |  |
Investment derivatives | $ | 169 |  |  | $ | — |  |  | $ | — |  |  | $ | 169 |
Derivatives designated as hedging instruments | — |  |  | 96 |  |  | — |  |  | 96 |
Other derivative instruments | 2 |  |  | 5 |  |  | — |  |  | 7 |
Market risk benefits (3) | — |  |  | — |  |  | 576 |  |  | 576 |
Total liabilities measured at fair value | $ | 171 |  |  | $ | 101 |  |  | $ | 576 |  |  | $ | 848 |
(1)Excluded from the table above are other investments of $1,029 million, principally policy loans, measured using NAV as a practical expedient. (2)Excluded from the table above are Private equities of $14,365 million, measured using NAV as a practical expedient. (3)Refer to Note 11 for additional information on Market risk benefits.
December 31, 2023 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available-for-sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,911 |  |  | $ | 679 |  |  | $ | — |  |  | $ | 3,590 |
Non-U.S. | — |  |  | 34,472 |  |  | 692 |  |  | 35,164 |
Corporate and asset-backed securities | — |  |  | 40,208 |  |  | 2,622 |  |  | 42,830 |
Mortgage-backed securities | — |  |  | 22,051 |  |  | 7 |  |  | 22,058 |
Municipal | — |  |  | 2,929 |  |  | — |  |  | 2,929 |
| 2,911 |  |  | 100,339 |  |  | 3,321 |  |  | 106,571 |
Equity securities | 3,368 |  |  | — |  |  | 87 |  |  | 3,455 |
Short-term investments | 1,915 |  |  | 2,633 |  |  | 3 |  |  | 4,551 |
Other investments (1) | 589 |  |  | 4,236 |  |  | — |  |  | 4,825 |
Securities lending collateral | — |  |  | 1,299 |  |  | — |  |  | 1,299 |
Investment derivatives | 54 |  |  | — |  |  | — |  |  | 54 |
Derivatives designated as hedging instruments | — |  |  | 136 |  |  | — |  |  | 136 |
Separate account assets | 5,482 |  |  | 91 |  |  | — |  |  | 5,573 |
Total assets measured at fair value (1)(2) | $ | 14,319 |  |  | $ | 108,734 |  |  | $ | 3,411 |  |  | $ | 126,464 |
Liabilities: |  |  |  |  |  |  |
Investment derivatives | $ | 136 |  |  | $ | — |  |  | $ | — |  |  | $ | 136 |
Derivatives designated as hedging instruments | — |  |  | 128 |  |  | — |  |  | 128 |
Other derivative instruments | 37 |  |  | 5 |  |  | — |  |  | 42 |
Market risk benefits (3) | — |  |  | — |  |  | 771 |  |  | 771 |
Total liabilities measured at fair value | $ | 173 |  |  | $ | 133 |  |  | $ | 771 |  |  | $ | 1,077 |
(1)Excluded from the table above are other investments of $702 million, principally policy loans, measured using NAV as a practical expedient. (2)Excluded from the table above are Private equities of $14,078 million, 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).
Three Months Ended June 30, 2024 (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 |  |  | $ | 718 |  |  | $ | 2,658 |  |  | $ | 7 |  |  |  |  |  |  | $ | 101 |  |  | $ | 5 |
Transfers into Level 3 |  |  | — |  |  | 4 |  |  | — |  |  |  |  |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (2) |  |  | — |  |  | — |  |  |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | (6) |  |  | 4 |  |  | — |  |  |  |  |  |  | — |  |  | (1) |
Net Realized Gains (Losses) |  |  | (4) |  |  | (5) |  |  | — |  |  |  |  |  |  | 2 |  |  | — |
Purchases |  |  | 83 |  |  | 326 |  |  | 15 |  |  |  |  |  |  | 1 |  |  | 12 |
Sales |  |  | (31) |  |  | (87) |  |  | — |  |  |  |  |  |  | (4) |  |  | — |
Settlements |  |  | (126) |  |  | (191) |  |  | (2) |  |  |  |  |  |  | — |  |  | (4) |
Balance, end of period |  |  | $ | 632 |  |  | $ | 2,709 |  |  | $ | 20 |  |  |  |  |  |  | $ | 100 |  |  | $ | 12 |
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (2) |  |  | $ | — |  |  |  |  |  |  | $ | 1 |  |  | $ | — |
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date |  |  | $ | (10) |  |  | $ | (1) |  |  | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | (1) |
Three Months Ended June 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 |  |  | $ | 561 |  |  | $ | 2,544 |  |  | $ | 10 |  |  |  |  | $ | 88 |  |  | $ | 7 |
Transfers into Level 3 |  |  | 21 |  |  | 3 |  |  | — |  |  |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | (2) |  |  | — |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | 15 |  |  | 4 |  |  | — |  |  |  |  | — |  |  | — |
Net Realized Gains (Losses) |  |  | (1) |  |  | (5) |  |  | — |  |  |  |  | (2) |  |  | — |
Purchases |  |  | 62 |  |  | 118 |  |  | — |  |  |  |  | 4 |  |  | (2) |
Sales |  |  | (4) |  |  | (10) |  |  | — |  |  |  |  | (4) |  |  | (2) |
Settlements |  |  | (5) |  |  | (128) |  |  | — |  |  |  |  | — |  |  | — |
Balance, end of period |  |  | $ | 649 |  |  | $ | 2,524 |  |  | $ | 10 |  |  |  |  | $ | 86 |  |  | $ | 3 |
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | (6) |  |  | $ | — |  |  |  |  | $ | (3) |  |  | $ | — |
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date |  |  | $ | 15 |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | 1 |
Six Months Ended June 30, 2024 (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 |  |  | $ | 692 |  |  | $ | 2,622 |  |  | $ | 7 |  |  |  |  | $ | 87 |  |  | $ | 3 |
Transfers into Level 3 |  |  | 1 |  |  | 5 |  |  | — |  |  |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (6) |  |  | (3) |  |  | — |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | 8 |  |  | 10 |  |  | — |  |  |  |  | — |  |  | (1) |
Net Realized Gains (Losses) |  |  | (4) |  |  | (5) |  |  | — |  |  |  |  | (1) |  |  | — |
Purchases |  |  | 155 |  |  | 469 |  |  | 15 |  |  |  |  | 19 |  |  | 16 |
Sales |  |  | (51) |  |  | (107) |  |  | — |  |  |  |  | (5) |  |  | — |
Settlements |  |  | (163) |  |  | (282) |  |  | (2) |  |  |  |  | — |  |  | (6) |
Balance, end of period |  |  | $ | 632 |  |  | $ | 2,709 |  |  | $ | 20 |  |  |  |  | $ | 100 |  |  | $ | 12 |
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (2) |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date |  |  | $ | 3 |  |  | $ | 5 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | (1) |
Six Months Ended June 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 |  |  | — |  |  | (13) |  |  | — |  |  |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | 11 |  |  | 2 |  |  | — |  |  |  |  | — |  |  | (1) |
Net Realized Gains (Losses) |  |  | (1) |  |  | (3) |  |  | — |  |  |  |  | (6) |  |  | — |
Purchases |  |  | 105 |  |  | 323 |  |  | — |  |  |  |  | 11 |  |  | 3 |
Sales |  |  | (35) |  |  | (30) |  |  | — |  |  |  |  | (9) |  |  | (2) |
Settlements |  |  | (16) |  |  | (207) |  |  | (1) |  |  |  |  | — |  |  | — |
Balance, end of period |  |  | $ | 649 |  |  | $ | 2,524 |  |  | $ | 10 |  |  |  |  | $ | 86 |  |  | $ | 3 |
Net Realized Gains (Losses) Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | (2) |  |  | $ | — |  |  |  |  | $ | (6) |  |  | $ | — |
Change in Net Unrealized Gains (Losses) included in OCI at the Balance Sheet date |  |  | $ | 9 |  |  | $ | (2) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |
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, 2024 | Fair Value |  | Net Carrying Value
(in millions of U.S. dollars) | Level 1 |  | Level 2 |  | Level 3 |  | Total |
Assets: |  |  |  |  |  |  |  |  |
Private debt held-for-investment | $ | — |  |  | $ | — |  |  | $ | 2,696 |  |  | $ | 2,696 |  |  | $ | 2,680 |
Total assets | $ | — |  |  | $ | — |  |  | $ | 2,696 |  |  | $ | 2,696 |  |  | $ | 2,680 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 3,149 |  |  | $ | — |  |  | $ | 3,149 |  |  | $ | 3,149 |
Short-term debt | — |  |  | 1,528 |  |  | — |  |  | 1,528 |  |  | 1,553 |
Long-term debt | — |  |  | 11,698 |  |  | — |  |  | 11,698 |  |  | 13,178 |
Trust preferred securities | — |  |  | 367 |  |  | — |  |  | 367 |  |  | 309 |
Total liabilities | $ | — |  |  | $ | 16,742 |  |  | $ | — |  |  | $ | 16,742 |  |  | $ | 18,189 |
December 31, 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 | $ | — |  |  | $ | — |  |  | $ | 2,560 |  |  | $ | 2,560 |  |  | $ | 2,553 |
Total assets | $ | — |  |  | $ | — |  |  | $ | 2,560 |  |  | $ | 2,560 |  |  | $ | 2,553 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 2,833 |  |  | $ | — |  |  | $ | 2,833 |  |  | $ | 2,833 |
Short-term debt | — |  |  | 1,431 |  |  | — |  |  | 1,431 |  |  | 1,460 |
Long-term debt | — |  |  | 11,924 |  |  | — |  |  | 11,924 |  |  | 13,035 |
Trust preferred securities | — |  |  | 365 |  |  | — |  |  | 365 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 16,553 |  |  | $ | — |  |  | $ | 16,553 |  |  | $ | 17,636 |

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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://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 101 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-101 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 3 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-3 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
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- 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 -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482907/825-10-50-11 + 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/2009/role/commonPracticeRef -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 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -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 + Details
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