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Fair value measurements (Tables) | 6 Months Ended
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Jun. 30, 2017
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, 2017 | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 2,486 |  |  | $ | 650 |  |  | $ | — |  |  | $ | 3,136 |
Foreign | — |  |  | 21,625 |  |  | 85 |  |  | 21,710 |
Corporate securities | — |  |  | 24,617 |  |  | 747 |  |  | 25,364 |
Mortgage-backed securities | — |  |  | 14,428 |  |  | 45 |  |  | 14,473 |
States, municipalities, and political subdivisions | — |  |  | 16,962 |  |  | — |  |  | 16,962 |
| 2,486 |  |  | 78,282 |  |  | 877 |  |  | 81,645 |
Equity securities | 817 |  |  | — |  |  | 39 |  |  | 856 |
Short-term investments | 1,421 |  |  | 1,223 |  |  | 7 |  |  | 2,651 |
Other investments (1) | 430 |  |  | 282 |  |  | 243 |  |  | 955 |
Securities lending collateral | — |  |  | 1,545 |  |  | — |  |  | 1,545 |
Investment derivative instruments | 12 |  |  | — |  |  | — |  |  | 12 |
Other derivative instruments | 9 |  |  | — |  |  | — |  |  | 9 |
Separate account assets | 2,147 |  |  | 101 |  |  | — |  |  | 2,248 |
Total assets measured at fair value (1) | $ | 7,322 |  |  | $ | 81,433 |  |  | $ | 1,166 |  |  | $ | 89,921 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 35 |  |  | $ | — |  |  | $ | — |  |  | $ | 35 |
Other derivative instruments | — |  |  | — |  |  | 2 |  |  | 2 |
GLB (2) | — |  |  | — |  |  | 357 |  |  | 357 |
Total liabilities measured at fair value | $ | 35 |  |  | $ | — |  |  | $ | 359 |  |  | $ | 394 |
(1) | Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,711 million and other investments of $19 million at June 30, 2017 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. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.
December 31, 2016 | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 2,175 |  |  | $ | 695 |  |  | $ | — |  |  | $ | 2,870 |
Foreign | — |  |  | 21,366 |  |  | 74 |  |  | 21,440 |
Corporate securities | — |  |  | 23,468 |  |  | 681 |  |  | 24,149 |
Mortgage-backed securities | — |  |  | 13,962 |  |  | 45 |  |  | 14,007 |
States, municipalities, and political subdivisions | — |  |  | 17,649 |  |  | — |  |  | 17,649 |
| 2,175 |  |  | 77,140 |  |  | 800 |  |  | 80,115 |
Equity securities | 773 |  |  | — |  |  | 41 |  |  | 814 |
Short-term investments | 1,757 |  |  | 1,220 |  |  | 25 |  |  | 3,002 |
Other investments (1) | 384 |  |  | 259 |  |  | 225 |  |  | 868 |
Securities lending collateral | — |  |  | 1,092 |  |  | — |  |  | 1,092 |
Investment derivative instruments | 31 |  |  | — |  |  | — |  |  | 31 |
Other derivative instruments | 3 |  |  | — |  |  | — |  |  | 3 |
Separate account assets | 1,784 |  |  | 95 |  |  | — |  |  | 1,879 |
Total assets measured at fair value (1) | $ | 6,907 |  |  | $ | 79,806 |  |  | $ | 1,091 |  |  | $ | 87,804 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 54 |  |  | $ | — |  |  | $ | — |  |  | $ | 54 |
Other derivative instruments | — |  |  | — |  |  | 13 |  |  | 13 |
GLB (2) | — |  |  | — |  |  | 559 |  |  | 559 |
Total liabilities measured at fair value | $ | 54 |  |  | $ | — |  |  | $ | 572 |  |  | $ | 626 |
(1) | Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $3,626 million and other investments of $25 million at December 31, 2016 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. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets.
Fair Value And Maximum Future Funding Commitments Related To Investments | The following table presents, by investment category, the expected liquidation period, fair value, and maximum future funding commitments of alternative investments:
|  |  |  |  | June 30 |  |  |  |  | December 31 |
| Expected Liquidation Period of Underlying Assets |  |  |  | 2017 |  |  |  |  | 2016 |
(in millions of U.S. dollars) | Fair Value |  |  | Maximum Future Funding Commitments |  |  | Fair Value |  |  | Maximum Future Funding Commitments |
Financial | 5 to 9 Years |  | $ | 576 |  |  | $ | 354 |  |  | $ | 548 |  |  | $ | 428 |
Real Assets | 3 to 7 Years |  | 622 |  |  | 181 |  |  | 536 |  |  | 230 |
Distressed | 5 to 9 Years |  | 350 |  |  | 175 |  |  | 485 |  |  | 179 |
Private Credit | 3 to 7 Years |  | 238 |  |  | 337 |  |  | 236 |  |  | 259 |
Traditional | 3 to 9 Years |  | 1,646 |  |  | 805 |  |  | 1,550 |  |  | 930 |
Vintage | 1 to 2 Years |  | 19 |  |  | — |  |  | 21 |  |  | 14 |
Investment funds | Not Applicable |  | 260 |  |  | — |  |  | 251 |  |  | — |
|  |  | $ | 3,711 |  |  | $ | 1,852 |  |  | $ | 3,627 |  |  | $ | 2,040 |
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.
(in millions of U.S. dollars, except for percentages) | Fair Value |  |  | Valuation Technique |  | Significant Unobservable Inputs |  | Ranges
June 30, 2017 |  |  | December 31, 2016 |  |  |  |
GLB (1) | $ | 357 |  |  | $ | 559 |  |  | Actuarial model |  | Lapse rate |  | 3% – 34%
|  |  |  |  |  |  | Annuitization rate |  | 0% – 78%
(1) | Discussion of the most significant inputs used in the fair value measurement of GLB and the sensitivity of those assumptions is included within Note 4 a) Guaranteed living benefits.
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 | Available-for-Sale Debt Securities | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2017 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 80 |  |  | $ | 737 |  |  | $ | 45 |  |  | $ | 41 |  | $ | 21 |  | $ | 233 |  |  | $ | 11 |  | $ | 466 |
Transfers into Level 3 | — |  |  | 28 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | 9 |
Transfers out of Level 3 | — |  |  | (13 | ) |  | — |  |  | — |  | — |  | — |  |  | (9 | ) | — |
Change in Net Unrealized Gains (Losses) included in OCI | 3 |  |  | — |  |  | — |  |  | 1 |  | — |  | (1 | ) |  | — |  | — |
Net Realized Gains/Losses | 2 |  |  | — |  |  | — |  |  | — |  | — |  | — |  |  | — |  | (118 | )
Purchases | 19 |  |  | 65 |  |  | — |  |  | 6 |  | 7 |  | 16 |  |  | — |  | — |
Sales | (19 | ) |  | (28 | ) |  | — |  |  | (9 | ) | — |  | — |  |  | — |  | — |
Settlements | — |  |  | (42 | ) |  | — |  |  | — |  | (21 | ) | (5 | ) |  | — |  | — |
Balance – end of period | $ | 85 |  |  | $ | 747 |  |  | $ | 45 |  |  | $ | 39 |  | $ | 7 |  | $ | 243 |  |  | $ | 2 |  | $ | 357 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | — |  | $ | (118 | )
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $684 million at June 30, 2017, and $774 million at March 31, 2017, which includes a fair value derivative adjustment of $357 million and $466 million, respectively.
|  |  |  | Liabilities |
Three Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2016 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 62 |  |  | $ | 261 |  |  | $ | 48 |  |  | $ | 29 |  | $ | — |  | $ | 211 |  |  | $ | 10 |  | $ | 839 |
Transfers into Level 3 | 3 |  |  | 2 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | — |
Change in Net Unrealized Gains (Losses) included in OCI | 3 |  |  | 9 |  |  | — |  |  | (1 | ) | — |  | — |  |  | — |  | — |
Net Realized Gains/Losses | (1 | ) |  | (2 | ) |  | — |  |  | 1 |  | — |  | — |  |  | — |  | 132 |
Purchases | 27 |  |  | 31 |  |  | 1 |  |  | 10 |  | 50 |  | 8 |  |  | — |  | — |
Sales | (7 | ) |  | (16 | ) |  | — |  |  | (2 | ) | — |  | — |  |  | — |  | — |
Settlements | — |  |  | (4 | ) |  | — |  |  | — |  | — |  | (3 | ) |  | — |  | — |
Balance – end of period | $ | 87 |  |  | $ | 281 |  |  | $ | 49 |  |  | $ | 37 |  | $ | 50 |  | $ | 216 |  |  | $ | 10 |  | $ | 971 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | (1 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | — |  | $ | 132 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1.3 billion at June 30, 2016, and $1.1 billion at March 31, 2016, which includes a fair value derivative adjustment of $971 million and $839 million, respectively.
| Assets |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2017 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 74 |  |  | $ | 681 |  |  | $ | 45 |  |  | $ | 41 |  | $ | 25 |  | $ | 225 |  |  | $ | 13 |  | $ | 559 |
Transfers into Level 3 | — |  |  | 57 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | 9 |
Transfers out of Level 3 | — |  |  | (67 | ) |  | — |  |  | — |  | — |  | — |  |  | (9 | ) | — |
Change in Net Unrealized Gains (Losses) included in OCI | 2 |  |  | (8 | ) |  | — |  |  | 1 |  | — |  | 3 |  |  | — |  | — |
Net Realized Gains/Losses | 1 |  |  | (1 | ) |  | — |  |  | — |  | — |  | — |  |  | (2 | ) | (211 | )
Purchases | 33 |  |  | 221 |  |  | 1 |  |  | 6 |  | 14 |  | 24 |  |  | — |  | — |
Sales | (22 | ) |  | (55 | ) |  | (1 | ) |  | (9 | ) | — |  | — |  |  | — |  | — |
Settlements | (3 | ) |  | (81 | ) |  | — |  |  | — |  | (32 | ) | (9 | ) |  | — |  | — |
Balance – end of period | $ | 85 |  |  | $ | 747 |  |  | $ | 45 |  |  | $ | 39 |  | $ | 7 |  | $ | 243 |  |  | $ | 2 |  | $ | 357 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | (2 | ) | $ | (211 | )
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $684 million at June 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $357 million and $559 million, respectively.
| Assets |  |  |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB(1) |
June 30, 2016 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |  |  |
(in millions of U.S. dollars) |  |  |  |  |  |
Balance – beginning of period | $ | 57 |  |  | $ | 174 |  |  | $ | 53 |  |  | $ | 16 |  |  | $ | — |  |  | $ | 212 |  |  | $ | 6 |  |  | $ | 609 |
Transfers into Level 3 | 9 |  |  | 18 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | (2 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI | 9 |  |  | 11 |  |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | (6 | ) |  | (8 | ) |  | — |  |  | 1 |  |  | — |  |  | — |  |  | 2 |  |  | 362 |
Purchases (2) | 32 |  |  | 124 |  |  | 1 |  |  | 23 |  |  | 50 |  |  | 14 |  |  | 2 |  |  | — |
Sales | (8 | ) |  | (30 | ) |  | (5 | ) |  | (2 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (4 | ) |  | (8 | ) |  | — |  |  | — |  |  | — |  |  | (10 | ) |  | — |  |  | — |
Balance – end of period | $ | 87 |  |  | $ | 281 |  |  | $ | 49 |  |  | $ | 37 |  |  | $ | 50 |  |  | $ | 216 |  |  | $ | 10 |  |  | $ | 971 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | (5 | ) |  | $ | (7 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 362 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1.3 billion at June 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $971 million and $609 million, respectively.
(2) | Includes acquired invested assets as a result of the Chubb Corp acquisition.
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 | Available-for-Sale Debt Securities | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2017 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 80 |  |  | $ | 737 |  |  | $ | 45 |  |  | $ | 41 |  | $ | 21 |  | $ | 233 |  |  | $ | 11 |  | $ | 466 |
Transfers into Level 3 | — |  |  | 28 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | 9 |
Transfers out of Level 3 | — |  |  | (13 | ) |  | — |  |  | — |  | — |  | — |  |  | (9 | ) | — |
Change in Net Unrealized Gains (Losses) included in OCI | 3 |  |  | — |  |  | — |  |  | 1 |  | — |  | (1 | ) |  | — |  | — |
Net Realized Gains/Losses | 2 |  |  | — |  |  | — |  |  | — |  | — |  | — |  |  | — |  | (118 | )
Purchases | 19 |  |  | 65 |  |  | — |  |  | 6 |  | 7 |  | 16 |  |  | — |  | — |
Sales | (19 | ) |  | (28 | ) |  | — |  |  | (9 | ) | — |  | — |  |  | — |  | — |
Settlements | — |  |  | (42 | ) |  | — |  |  | — |  | (21 | ) | (5 | ) |  | — |  | — |
Balance – end of period | $ | 85 |  |  | $ | 747 |  |  | $ | 45 |  |  | $ | 39 |  | $ | 7 |  | $ | 243 |  |  | $ | 2 |  | $ | 357 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | — |  | $ | (118 | )
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $684 million at June 30, 2017, and $774 million at March 31, 2017, which includes a fair value derivative adjustment of $357 million and $466 million, respectively.
|  |  |  | Liabilities |
Three Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2016 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 62 |  |  | $ | 261 |  |  | $ | 48 |  |  | $ | 29 |  | $ | — |  | $ | 211 |  |  | $ | 10 |  | $ | 839 |
Transfers into Level 3 | 3 |  |  | 2 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | — |
Change in Net Unrealized Gains (Losses) included in OCI | 3 |  |  | 9 |  |  | — |  |  | (1 | ) | — |  | — |  |  | — |  | — |
Net Realized Gains/Losses | (1 | ) |  | (2 | ) |  | — |  |  | 1 |  | — |  | — |  |  | — |  | 132 |
Purchases | 27 |  |  | 31 |  |  | 1 |  |  | 10 |  | 50 |  | 8 |  |  | — |  | — |
Sales | (7 | ) |  | (16 | ) |  | — |  |  | (2 | ) | — |  | — |  |  | — |  | — |
Settlements | — |  |  | (4 | ) |  | — |  |  | — |  | — |  | (3 | ) |  | — |  | — |
Balance – end of period | $ | 87 |  |  | $ | 281 |  |  | $ | 49 |  |  | $ | 37 |  | $ | 50 |  | $ | 216 |  |  | $ | 10 |  | $ | 971 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | (1 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | — |  | $ | 132 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1.3 billion at June 30, 2016, and $1.1 billion at March 31, 2016, which includes a fair value derivative adjustment of $971 million and $839 million, respectively.
| Assets |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities | Equity securities |  | Short-term investments |  | Other investments |  |  | Other derivative instruments |  | GLB(1) |
June 30, 2017 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 74 |  |  | $ | 681 |  |  | $ | 45 |  |  | $ | 41 |  | $ | 25 |  | $ | 225 |  |  | $ | 13 |  | $ | 559 |
Transfers into Level 3 | — |  |  | 57 |  |  | — |  |  | — |  | — |  | — |  |  | — |  | 9 |
Transfers out of Level 3 | — |  |  | (67 | ) |  | — |  |  | — |  | — |  | — |  |  | (9 | ) | — |
Change in Net Unrealized Gains (Losses) included in OCI | 2 |  |  | (8 | ) |  | — |  |  | 1 |  | — |  | 3 |  |  | — |  | — |
Net Realized Gains/Losses | 1 |  |  | (1 | ) |  | — |  |  | — |  | — |  | — |  |  | (2 | ) | (211 | )
Purchases | 33 |  |  | 221 |  |  | 1 |  |  | 6 |  | 14 |  | 24 |  |  | — |  | — |
Sales | (22 | ) |  | (55 | ) |  | (1 | ) |  | (9 | ) | — |  | — |  |  | — |  | — |
Settlements | (3 | ) |  | (81 | ) |  | — |  |  | — |  | (32 | ) | (9 | ) |  | — |  | — |
Balance – end of period | $ | 85 |  |  | $ | 747 |  |  | $ | 45 |  |  | $ | 39 |  | $ | 7 |  | $ | 243 |  |  | $ | 2 |  | $ | 357 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  | $ | — |  | $ | — |  |  | $ | (2 | ) | $ | (211 | )
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $684 million at June 30, 2017, and $853 million at December 31, 2016, which includes a fair value derivative adjustment of $357 million and $559 million, respectively.
| Assets |  |  |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB(1) |
June 30, 2016 | Foreign |  |  | Corporate securities |  |  | MBS |  |  |  |  |
(in millions of U.S. dollars) |  |  |  |  |  |
Balance – beginning of period | $ | 57 |  |  | $ | 174 |  |  | $ | 53 |  |  | $ | 16 |  |  | $ | — |  |  | $ | 212 |  |  | $ | 6 |  |  | $ | 609 |
Transfers into Level 3 | 9 |  |  | 18 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | (2 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI | 9 |  |  | 11 |  |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | (6 | ) |  | (8 | ) |  | — |  |  | 1 |  |  | — |  |  | — |  |  | 2 |  |  | 362 |
Purchases (2) | 32 |  |  | 124 |  |  | 1 |  |  | 23 |  |  | 50 |  |  | 14 |  |  | 2 |  |  | — |
Sales | (8 | ) |  | (30 | ) |  | (5 | ) |  | (2 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (4 | ) |  | (8 | ) |  | — |  |  | — |  |  | — |  |  | (10 | ) |  | — |  |  | — |
Balance – end of period | $ | 87 |  |  | $ | 281 |  |  | $ | 49 |  |  | $ | 37 |  |  | $ | 50 |  |  | $ | 216 |  |  | $ | 10 |  |  | $ | 971 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | (5 | ) |  | $ | (7 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 362 |
(1) | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. Excluded from the table above is the portion of the GLB derivative liability classified as Future policy benefits in the Consolidated balance sheets. The liability for GLB reinsurance was $1.3 billion at June 30, 2016, and $888 million at December 31, 2015, which includes a fair value derivative adjustment of $971 million and $609 million, respectively.
(2) | Includes acquired invested assets as a result of the Chubb Corp acquisition.
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, 2017 | Fair Value |  |  | Carrying Value |
(in millions of U.S. dollars) | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |  |
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 528 |  |  | $ | 85 |  |  | $ | — |  |  | $ | 613 |  |  | $ | 602 |
Foreign | — |  |  | 642 |  |  | — |  |  | 642 |  |  | 613 |
Corporate securities | — |  |  | 2,688 |  |  | 12 |  |  | 2,700 |  |  | 2,645 |
Mortgage-backed securities | — |  |  | 1,304 |  |  | — |  |  | 1,304 |  |  | 1,268 |
States, municipalities, and political subdivisions | — |  |  | 5,301 |  |  | — |  |  | 5,301 |  |  | 5,243 |
Total assets | $ | 528 |  |  | $ | 10,020 |  |  | $ | 12 |  |  | $ | 10,560 |  |  | $ | 10,371 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,408 |  |  | $ | — |  |  | $ | 1,408 |  |  | $ | 1,408 |
Short-term debt | — |  |  | 931 |  |  | — |  |  | 931 |  |  | 922 |
Long-term debt | — |  |  | 12,366 |  |  | — |  |  | 12,366 |  |  | 11,667 |
Trust preferred securities | — |  |  | 462 |  |  | — |  |  | 462 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 15,167 |  |  | $ | — |  |  | $ | 15,167 |  |  | $ | 14,305 |
December 31, 2016 | Fair Value |  |  | Carrying Value |
(in millions of U.S. dollars) | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |  |
Assets: |  |  |  |  |  |  |  |  |
Fixed maturities held to maturity |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 555 |  |  | $ | 106 |  |  | $ | — |  |  | $ | 661 |  |  | $ | 655 |
Foreign | — |  |  | 667 |  |  | — |  |  | 667 |  |  | 640 |
Corporate securities | — |  |  | 2,782 |  |  | 13 |  |  | 2,795 |  |  | 2,771 |
Mortgage-backed securities | — |  |  | 1,428 |  |  | — |  |  | 1,428 |  |  | 1,393 |
States, municipalities, and political subdivisions | — |  |  | 5,119 |  |  | — |  |  | 5,119 |  |  | 5,185 |
Total assets | $ | 555 |  |  | $ | 10,102 |  |  | $ | 13 |  |  | $ | 10,670 |  |  | $ | 10,644 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,403 |  |  | $ | — |  |  | $ | 1,403 |  |  | $ | 1,403 |
Short-term debt | — |  |  | 503 |  |  | — |  |  | 503 |  |  | 500 |
Long-term debt | — |  |  | 12,998 |  |  | — |  |  | 12,998 |  |  | 12,610 |
Trust preferred securities | — |  |  | 456 |  |  | — |  |  | 456 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 15,360 |  |  | $ | — |  |  | $ | 15,360 |  |  | $ | 14,821 |

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