XML 36 R25.htm IDEA: XBRL DOCUMENT
v3.19.2

Fair value measurements (Tables) | 6 Months Ended
--- | ---
Jun. 30, 2019
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, 2019 | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 2,934 |  |  | $ | 706 |  |  | $ | — |  |  | $ | 3,640 |
Foreign | — |  |  | 22,277 |  |  | 371 |  |  | 22,648 |
Corporate securities | — |  |  | 28,375 |  |  | 1,359 |  |  | 29,734 |
Mortgage-backed securities | — |  |  | 17,890 |  |  | 76 |  |  | 17,966 |
States, municipalities, and political subdivisions | — |  |  | 8,422 |  |  | — |  |  | 8,422 |
| 2,934 |  |  | 77,670 |  |  | 1,806 |  |  | 82,410 |
Equity securities | 659 |  |  | — |  |  | 56 |  |  | 715 |
Short-term investments | 2,360 |  |  | 1,444 |  |  | 4 |  |  | 3,808 |
Other investments (1) | 414 |  |  | 353 |  |  | 11 |  |  | 778 |
Securities lending collateral | — |  |  | 1,727 |  |  | — |  |  | 1,727 |
Investment derivative instruments | 15 |  |  | — |  |  | — |  |  | 15 |
Other derivative instruments | 15 |  |  | — |  |  | — |  |  | 15 |
Separate account assets | 3,109 |  |  | 137 |  |  | — |  |  | 3,246 |
Total assets measured at fair value (1) | $ | 9,506 |  |  | $ | 81,331 |  |  | $ | 1,877 |  |  | $ | 92,714 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 60 |  |  | $ | 104 |  |  | $ | — |  |  | $ | 164 |
Other derivative instruments | 10 |  |  | — |  |  | — |  |  | 10 |
GLB (2) | — |  |  | — |  |  | 403 |  |  | 403 |
Total liabilities measured at fair value | $ | 70 |  |  | $ | 104 |  |  | $ | 403 |  |  | $ | 577 |
(1) | Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,860 million and other investments of $89 million at June 30, 2019 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, 2018 | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 3,400 |  |  | $ | 745 |  |  | $ | — |  |  | $ | 4,145 |
Foreign | — |  |  | 21,071 |  |  | 345 |  |  | 21,416 |
Corporate securities | — |  |  | 25,284 |  |  | 1,299 |  |  | 26,583 |
Mortgage-backed securities | — |  |  | 15,479 |  |  | 61 |  |  | 15,540 |
States, municipalities, and political subdivisions | — |  |  | 10,786 |  |  | — |  |  | 10,786 |
| 3,400 |  |  | 73,365 |  |  | 1,705 |  |  | 78,470 |
Equity securities | 713 |  |  | — |  |  | 57 |  |  | 770 |
Short-term investments | 1,575 |  |  | 1,440 |  |  | 1 |  |  | 3,016 |
Other investments (1) | 381 |  |  | 303 |  |  | 11 |  |  | 695 |
Securities lending collateral | — |  |  | 1,926 |  |  | — |  |  | 1,926 |
Investment derivative instruments | 28 |  |  | — |  |  | — |  |  | 28 |
Other derivative instruments | 25 |  |  | — |  |  | — |  |  | 25 |
Separate account assets | 2,686 |  |  | 137 |  |  | — |  |  | 2,823 |
Total assets measured at fair value (1) | $ | 8,808 |  |  | $ | 77,171 |  |  | $ | 1,774 |  |  | $ | 87,753 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 38 |  |  | $ | 115 |  |  | $ | — |  |  | $ | 153 |
GLB (2) | — |  |  | — |  |  | 452 |  |  | 452 |
Total liabilities measured at fair value | $ | 38 |  |  | $ | 115 |  |  | $ | 452 |  |  | $ | 605 |
(1) | Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,244 million and other investments of $95 million at December 31, 2018 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 |  |  |  | 2019 |  |  |  |  | 2018 |
(in millions of U.S. dollars) | Fair Value |  |  | Maximum Future Funding Commitments |  |  | Fair Value |  |  | Maximum Future Funding Commitments |
Financial | 2 to 10 Years |  | $ | 575 |  |  | $ | 375 |  |  | $ | 596 |  |  | $ | 193 |
Real Assets | 2 to 11 Years |  | 776 |  |  | 542 |  |  | 704 |  |  | 362 |
Distressed | 2 to 7 Years |  | 267 |  |  | 93 |  |  | 296 |  |  | 105 |
Private Credit | 3 to 8 Years |  | 116 |  |  | 269 |  |  | 147 |  |  | 310 |
Traditional | 2 to 14 Years |  | 2,741 |  |  | 2,257 |  |  | 2,362 |  |  | 2,735 |
Vintage | 1 to 2 Years |  | 122 |  |  | 39 |  |  | 56 |  |  | — |
Investment funds | Not Applicable |  | 263 |  |  | — |  |  | 83 |  |  | — |
|  |  | $ | 4,860 |  |  | $ | 3,575 |  |  | $ | 4,244 |  |  | $ | 3,705 |
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
June 30, 2019 |  |  | December 31, 2018 |  |  |  |
GLB (1) | $ | 403 |  |  | $ | 452 |  |  | Actuarial model |  | Lapse rate |  | 3% – 32%
|  |  |  |  |  |  | Annuitization rate |  | 0% – 42%
(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 3 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 |  |  | GLB (1) |
June 30, 2019 | Foreign |  |  | Corporate securities |  |  | MBS |  |
(in millions of U.S. dollars) |  |  |
Balance – beginning of period | $ | 360 |  |  | $ | 1,342 |  |  | $ | 78 |  |  | $ | 55 |  |  | $ | — |  |  | $ | 11 |  |  | $ | 338 |
Transfers into Level 3 | — |  |  | 10 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | — |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | (1 | ) |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | 65 |
Purchases | 43 |  |  | 121 |  |  | — |  |  | 5 |  |  | 4 |  |  | — |  |  | — |
Sales | (14 | ) |  | (36 | ) |  | (1 | ) |  | (4 | ) |  | — |  |  | — |  |  | — |
Settlements | (18 | ) |  | (78 | ) |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | — |
Balance – end of period | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  | $ | 403 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | — |  |  | $ | 65 |
(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 $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.
| Assets |  |  |  |  | Liabilities |
Three Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB (2) |
June 30, 2018 | Foreign |  |  | Corporate securities (1) |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 176 |  |  | $ | 1,073 |  |  | $ | 83 |  |  | $ | 64 |  |  | $ | 12 |  |  | $ | 270 |  |  | $ | 2 |  |  | $ | 167 |
Transfers into Level 3 | — |  |  | 6 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | (7 | ) |  | (9 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | 2 |  |  | — |  |  | (3 | ) |  | — |  |  | 1 |  |  | — |  |  | (42 | )
Purchases | 95 |  |  | 217 |  |  | — |  |  | 3 |  |  | 1 |  |  | 16 |  |  | — |  |  | — |
Sales | (11 | ) |  | (45 | ) |  | — |  |  | (5 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (1 | ) |  | (63 | ) |  | (1 | ) |  | — |  |  | (1 | ) |  | (23 | ) |  | — |  |  | — |
Balance – end of period | $ | 252 |  |  | $ | 1,181 |  |  | $ | 82 |  |  | $ | 59 |  |  | $ | 12 |  |  | $ | 264 |  |  | $ | 2 |  |  | $ | 125 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3 | ) |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | (42 | )
(1) | Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(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. The liability for GLB reinsurance was $497 million at June 30, 2018, and $529 million at March 31, 2018, which includes a fair value derivative adjustment of $125 million and $167 million, respectively.
| Assets |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | GLB (1) |
June 30, 2019 | Foreign |  |  | Corporate securities |  |  | MBS |  |
(in millions of U.S. dollars) |  |  |
Balance – beginning of period | $ | 345 |  |  | $ | 1,299 |  |  | $ | 61 |  |  | $ | 57 |  |  | $ | 1 |  |  | $ | 11 |  |  | $ | 452 |
Transfers into Level 3 | 3 |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | (15 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | 6 |  |  | 5 |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | (1 | ) |  | — |  |  | — |  |  | (3 | ) |  | — |  |  | — |  |  | (49 | )
Purchases | 96 |  |  | 249 |  |  | 18 |  |  | 14 |  |  | 4 |  |  |  |  |  | — |
Sales | (19 | ) |  | (73 | ) |  | (1 | ) |  | (14 | ) |  | — |  |  | — |  |  | — |
Settlements | (44 | ) |  | (136 | ) |  | (2 | ) |  | — |  |  | (1 | ) |  | — |  |  | — |
Balance – end of period | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  | $ | 403 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | (2 | ) |  | $ | — |  |  | $ | — |  |  | $ | (49 | )
(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 $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.
| Assets |  |  |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB (2) |
June 30, 2018 | Foreign |  |  | Corporate securities (1) |  |  | MBS |  |  |  |  |
(in millions of U.S. dollars) |  |  |  |  |  |
Balance – beginning of period | $ | 93 |  |  | $ | 1,037 |  |  | $ | 78 |  |  | $ | 44 |  |  | $ | — |  |  | $ | 263 |  |  | $ | 2 |  |  | $ | 204 |
Transfers into Level 3 | 7 |  |  | 6 |  |  | 1 |  |  | — |  |  | 5 |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | (10 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | 2 |  |  | (12 | ) |  | — |  |  | 1 |  |  | — |  |  | 2 |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | 2 |  |  | — |  |  | (1 | ) |  | — |  |  | 1 |  |  | — |  |  | (79 | )
Purchases | 182 |  |  | 356 |  |  | 4 |  |  | 20 |  |  | 9 |  |  | 30 |  |  | — |  |  | — |
Sales | (30 | ) |  | (96 | ) |  | — |  |  | (5 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (2 | ) |  | (102 | ) |  | (1 | ) |  | — |  |  | (2 | ) |  | (32 | ) |  | — |  |  | — |
Balance – end of period | $ | 252 |  |  | $ | 1,181 |  |  | $ | 82 |  |  | $ | 59 |  |  | $ | 12 |  |  | $ | 264 |  |  | $ | 2 |  |  | $ | 125 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | (79 | )
(1) | Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(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. The liability for GLB reinsurance was $497 million at June 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $125 million and $204 million, respectively.
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 |  |  | GLB (1) |
June 30, 2019 | Foreign |  |  | Corporate securities |  |  | MBS |  |
(in millions of U.S. dollars) |  |  |
Balance – beginning of period | $ | 360 |  |  | $ | 1,342 |  |  | $ | 78 |  |  | $ | 55 |  |  | $ | — |  |  | $ | 11 |  |  | $ | 338 |
Transfers into Level 3 | — |  |  | 10 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | — |  |  | 1 |  |  | — |  |  | 1 |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | (1 | ) |  | — |  |  | (1 | ) |  | — |  |  | — |  |  | 65 |
Purchases | 43 |  |  | 121 |  |  | — |  |  | 5 |  |  | 4 |  |  | — |  |  | — |
Sales | (14 | ) |  | (36 | ) |  | (1 | ) |  | (4 | ) |  | — |  |  | — |  |  | — |
Settlements | (18 | ) |  | (78 | ) |  | (1 | ) |  | — |  |  | — |  |  | — |  |  | — |
Balance – end of period | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  | $ | 403 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | — |  |  | $ | 65 |
(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 $815 million at June 30, 2019, and $741 million at March 31, 2019, which includes a fair value derivative adjustment of $403 million and $338 million, respectively.
| Assets |  |  |  |  | Liabilities |
Three Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB (2) |
June 30, 2018 | Foreign |  |  | Corporate securities (1) |  |  | MBS |  |  |
(in millions of U.S. dollars) |  |  |  |
Balance – beginning of period | $ | 176 |  |  | $ | 1,073 |  |  | $ | 83 |  |  | $ | 64 |  |  | $ | 12 |  |  | $ | 270 |  |  | $ | 2 |  |  | $ | 167 |
Transfers into Level 3 | — |  |  | 6 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | (7 | ) |  | (9 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | 2 |  |  | — |  |  | (3 | ) |  | — |  |  | 1 |  |  | — |  |  | (42 | )
Purchases | 95 |  |  | 217 |  |  | — |  |  | 3 |  |  | 1 |  |  | 16 |  |  | — |  |  | — |
Sales | (11 | ) |  | (45 | ) |  | — |  |  | (5 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (1 | ) |  | (63 | ) |  | (1 | ) |  | — |  |  | (1 | ) |  | (23 | ) |  | — |  |  | — |
Balance – end of period | $ | 252 |  |  | $ | 1,181 |  |  | $ | 82 |  |  | $ | 59 |  |  | $ | 12 |  |  | $ | 264 |  |  | $ | 2 |  |  | $ | 125 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3 | ) |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | (42 | )
(1) | Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(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. The liability for GLB reinsurance was $497 million at June 30, 2018, and $529 million at March 31, 2018, which includes a fair value derivative adjustment of $125 million and $167 million, respectively.
| Assets |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | GLB (1) |
June 30, 2019 | Foreign |  |  | Corporate securities |  |  | MBS |  |
(in millions of U.S. dollars) |  |  |
Balance – beginning of period | $ | 345 |  |  | $ | 1,299 |  |  | $ | 61 |  |  | $ | 57 |  |  | $ | 1 |  |  | $ | 11 |  |  | $ | 452 |
Transfers into Level 3 | 3 |  |  | 15 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | (15 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | 6 |  |  | 5 |  |  | — |  |  | 2 |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses | (1 | ) |  | — |  |  | — |  |  | (3 | ) |  | — |  |  | — |  |  | (49 | )
Purchases | 96 |  |  | 249 |  |  | 18 |  |  | 14 |  |  | 4 |  |  |  |  |  | — |
Sales | (19 | ) |  | (73 | ) |  | (1 | ) |  | (14 | ) |  | — |  |  | — |  |  | — |
Settlements | (44 | ) |  | (136 | ) |  | (2 | ) |  | — |  |  | (1 | ) |  | — |  |  | — |
Balance – end of period | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  | $ | 403 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | (2 | ) |  | $ | — |  |  | $ | — |  |  | $ | (49 | )
(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 $815 million at June 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $403 million and $452 million, respectively.
| Assets |  |  |  |  | Liabilities |
Six Months Ended | Available-for-Sale Debt Securities |  |  | Equity securities |  |  | Short-term investments |  |  | Other investments |  |  | Other derivative instruments |  |  | GLB (2) |
June 30, 2018 | Foreign |  |  | Corporate securities (1) |  |  | MBS |  |  |  |  |
(in millions of U.S. dollars) |  |  |  |  |  |
Balance – beginning of period | $ | 93 |  |  | $ | 1,037 |  |  | $ | 78 |  |  | $ | 44 |  |  | $ | — |  |  | $ | 263 |  |  | $ | 2 |  |  | $ | 204 |
Transfers into Level 3 | 7 |  |  | 6 |  |  | 1 |  |  | — |  |  | 5 |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 | — |  |  | (10 | ) |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains (Losses) included in OCI, including foreign exchange | 2 |  |  | (12 | ) |  | — |  |  | 1 |  |  | — |  |  | 2 |  |  | — |  |  | — |
Net Realized Gains/Losses | — |  |  | 2 |  |  | — |  |  | (1 | ) |  | — |  |  | 1 |  |  | — |  |  | (79 | )
Purchases | 182 |  |  | 356 |  |  | 4 |  |  | 20 |  |  | 9 |  |  | 30 |  |  | — |  |  | — |
Sales | (30 | ) |  | (96 | ) |  | — |  |  | (5 | ) |  | — |  |  | — |  |  | — |  |  | — |
Settlements | (2 | ) |  | (102 | ) |  | (1 | ) |  | — |  |  | (2 | ) |  | (32 | ) |  | — |  |  | — |
Balance – end of period | $ | 252 |  |  | $ | 1,181 |  |  | $ | 82 |  |  | $ | 59 |  |  | $ | 12 |  |  | $ | 264 |  |  | $ | 2 |  |  | $ | 125 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (1 | ) |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | (79 | )
(1) | Purchases in Level 3 primarily consist of privately-placed fixed income securities.
(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. The liability for GLB reinsurance was $497 million at June 30, 2018, and $550 million at December 31, 2017, which includes a fair value derivative adjustment of $125 million and $204 million, respectively.
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, 2019 | 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 | $ | 1,138 |  |  | $ | 55 |  |  | $ | — |  |  | $ | 1,193 |  |  | $ | 1,167 |
Foreign | — |  |  | 1,523 |  |  | — |  |  | 1,523 |  |  | 1,465 |
Corporate securities | — |  |  | 2,494 |  |  | 33 |  |  | 2,527 |  |  | 2,457 |
Mortgage-backed securities | — |  |  | 2,502 |  |  | — |  |  | 2,502 |  |  | 2,442 |
States, municipalities, and political subdivisions | — |  |  | 5,432 |  |  | — |  |  | 5,432 |  |  | 5,307 |
Total assets | $ | 1,138 |  |  | $ | 12,006 |  |  | $ | 33 |  |  | $ | 13,177 |  |  | $ | 12,838 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,416 |  |  | $ | — |  |  | $ | 1,416 |  |  | $ | 1,416 |
Short-term debt | — |  |  | 9 |  |  | — |  |  | 9 |  |  | 9 |
Long-term debt | — |  |  | 14,541 |  |  | — |  |  | 14,541 |  |  | 13,371 |
Trust preferred securities | — |  |  | 439 |  |  | — |  |  | 439 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 16,405 |  |  | $ | — |  |  | $ | 16,405 |  |  | $ | 15,104 |
December 31, 2018 | 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 | $ | 1,128 |  |  | $ | 54 |  |  | $ | — |  |  | $ | 1,182 |  |  | $ | 1,185 |
Foreign | — |  |  | 1,542 |  |  | — |  |  | 1,542 |  |  | 1,549 |
Corporate securities | — |  |  | 2,477 |  |  | 31 |  |  | 2,508 |  |  | 2,601 |
Mortgage-backed securities | — |  |  | 2,486 |  |  | — |  |  | 2,486 |  |  | 2,524 |
States, municipalities, and political subdivisions | — |  |  | 5,541 |  |  | — |  |  | 5,541 |  |  | 5,576 |
Total assets | $ | 1,128 |  |  | $ | 12,100 |  |  | $ | 31 |  |  | $ | 13,259 |  |  | $ | 13,435 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,418 |  |  | $ | — |  |  | $ | 1,418 |  |  | $ | 1,418 |
Short-term debt | — |  |  | 516 |  |  | — |  |  | 516 |  |  | 509 |
Long-term debt | — |  |  | 12,181 |  |  | — |  |  | 12,181 |  |  | 12,087 |
Trust preferred securities | — |  |  | 409 |  |  | — |  |  | 409 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 14,524 |  |  | $ | — |  |  | $ | 14,524 |  |  | $ | 14,322 |

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=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

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=99377789&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=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

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=109250915&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 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition Tabular disclosure of investments in certain entities that calculate net asset value per share or equivalent measured at fair value on a recurring or 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 6A -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=99377789&loc=SL6742756-110258 + Details
Name: | us-gaap_FairValueInvestmentsEntitiesThatCalculateNetAssetValuePerShareTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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=99377789&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=99377789&loc=d3e19279-110258 + Details
Name: | us-gaap_FairValueLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- 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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=99377789&loc=d3e19190-110258 + Details
Name: | us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration