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Fair value measurements (Tables) | 9 Months Ended
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Sep. 30, 2020
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, 2020 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,264 |  |  | $ | 527 |  |  | $ | — |  |  | $ | 2,791 |
Non-U.S. | — |  |  | 24,788 |  |  | 494 |  |  | 25,282 |
Corporate and asset-backed securities | — |  |  | 33,853 |  |  | 1,445 |  |  | 35,298 |
Mortgage-backed securities | — |  |  | 19,276 |  |  | 61 |  |  | 19,337 |
Municipal | — |  |  | 7,144 |  |  | — |  |  | 7,144 |
| 2,264 |  |  | 85,588 |  |  | 2,000 |  |  | 89,852 |
Equity securities | 3,022 |  |  | — |  |  | 66 |  |  | 3,088 |
Short-term investments | 3,270 |  |  | 1,383 |  |  | 7 |  |  | 4,660 |
Other investments (1) | 374 |  |  | 403 |  |  | 10 |  |  | 787 |
Securities lending collateral | — |  |  | 1,851 |  |  | — |  |  | 1,851 |
Investment derivative instruments | 24 |  |  | — |  |  | — |  |  | 24 |
Other derivative instruments | 3 |  |  | — |  |  | — |  |  | 3 |
Separate account assets | 3,535 |  |  | 123 |  |  | — |  |  | 3,658 |
Total assets measured at fair value (1) | $ | 12,492 |  |  | $ | 89,348 |  |  | $ | 2,083 |  |  | $ | 103,923 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 77 |  |  | $ | — |  |  | $ | — |  |  | $ | 77 |
GLB (2) | — |  |  | — |  |  | 882 |  |  | 882 |
Total liabilities measured at fair value | $ | 77 |  |  | $ | — |  |  | $ | 882 |  |  | $ | 959 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $5,694 million, policy loans of $225 million and other investments of $90 million at September 30, 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. 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, 2019 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,664 |  |  | $ | 619 |  |  | $ | — |  |  | $ | 3,283 |
Non-U.S. | — |  |  | 23,258 |  |  | 449 |  |  | 23,707 |
Corporate and asset-backed securities | — |  |  | 30,340 |  |  | 1,451 |  |  | 31,791 |
Mortgage-backed securities | — |  |  | 19,132 |  |  | 60 |  |  | 19,192 |
Municipal | — |  |  | 7,515 |  |  | — |  |  | 7,515 |
| 2,664 |  |  | 80,864 |  |  | 1,960 |  |  | 85,488 |
Equity securities | 728 |  |  | 15 |  |  | 69 |  |  | 812 |
Short-term investments | 2,803 |  |  | 1,482 |  |  | 6 |  |  | 4,291 |
Other investments (1) | 412 |  |  | 377 |  |  | 10 |  |  | 799 |
Securities lending collateral | — |  |  | 994 |  |  | — |  |  | 994 |
Investment derivative instruments | 24 |  |  | — |  |  | — |  |  | 24 |
Other derivative instruments | 2 |  |  | — |  |  | — |  |  | 2 |
Separate account assets | 3,437 |  |  | 136 |  |  | — |  |  | 3,573 |
Total assets measured at fair value (1) | $ | 10,070 |  |  | $ | 83,868 |  |  | $ | 2,045 |  |  | $ | 95,983 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 93 |  |  | $ | — |  |  | $ | — |  |  | $ | 93 |
Other derivative instruments | 13 |  |  | — |  |  | — |  |  | 13 |
GLB (2) | — |  |  | — |  |  | 456 |  |  | 456 |
Total liabilities measured at fair value | $ | 106 |  |  | $ | — |  |  | $ | 456 |  |  | $ | 562 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $4,921 million and other investments of $95 million at December 31, 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.
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)
September 30, 2020 |  | December 31, 2019 |  |  |  |
GLB (1) | $ | 882 |  |  | $ | 456 |  |  | Actuarial model |  | Lapse rate |  | 3% – 34% |  | 4.7 | %
|  |  |  |  |  |  | Annuitization rate |  | 0% – 52% |  | 4.0 | %
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 September 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 |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 469 |  |  | $ | 1,369 |  |  | $ | 60 |  |  |  |  | $ | 64 |  |  | $ | 2 |  |  | $ | 10 |  |  |  |  | $ | 928 |
Transfers into Level 3 |  |  | — |  |  | 1 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | 21 |  |  | 13 |  |  | — |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | 1 |  |  | 3 |  |  | — |  |  |  |  | 2 |  |  | — |  |  | — |  |  |  |  | (46) |
Purchases |  |  | 41 |  |  | 194 |  |  | 2 |  |  |  |  | 3 |  |  | 7 |  |  | — |  |  |  |  | — |
Sales |  |  | (19) |  |  | (80) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (19) |  |  | (54) |  |  | (1) |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Balance – end of period |  |  | $ | 494 |  |  | $ | 1,445 |  |  | $ | 61 |  |  |  |  | $ | 66 |  |  | $ | 7 |  |  | $ | 10 |  |  |  |  | $ | 882 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (46) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 20 |  |  | $ | 12 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | — |
(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 $1,318 million at September 30, 2020, and $1,372 million at June 30, 2020, which includes a fair value derivative adjustment of $882 million and $928 million, respectively.
|  |  | Assets |  |  |  |  |  | Liabilities
Three Months Ended September 30, 2019 (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 |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  |  |  |  |  | $ | 403 |
Transfers into Level 3 |  |  | — |  |  | 1 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange |  |  | (8) |  |  | (4) |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | — |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | 106 |
Purchases |  |  | 68 |  |  | 176 |  |  | 1 |  |  |  |  | 5 |  |  | 2 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (35) |  |  | (18) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (3) |  |  | (64) |  |  | — |  |  |  |  | — |  |  | — |  |  | (1) |  |  |  |  |  |  | — |
Balance – end of period |  |  | $ | 393 |  |  | $ | 1,450 |  |  | $ | 77 |  |  |  |  | $ | 56 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 509 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 106 |
(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 $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.
|  |  | Assets |  |  | Liabilities
|  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  | GLB (1)
Nine Months Ended September 30, 2020 (in millions of U.S. dollars) |  |  | Non-U.S. |  | Corporate and asset-backed securities |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  | $ | 456 |
Transfers into Level 3 |  |  | — |  |  | 92 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | (16) |  |  | (73) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange |  |  | 1 |  |  | (31) |  |  | — |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (23) |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  | 426 |
Purchases |  |  | 190 |  |  | 416 |  |  | 2 |  |  |  |  | 14 |  |  | 9 |  |  | — |  |  |  |  | — |
Sales |  |  | (81) |  |  | (147) |  |  | — |  |  |  |  | (16) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (47) |  |  | (240) |  |  | (1) |  |  |  |  | — |  |  | (7) |  |  | — |  |  |  |  | — |
Balance – end of period |  |  | $ | 494 |  |  | $ | 1,445 |  |  | $ | 61 |  |  |  |  | $ | 66 |  |  | $ | 7 |  |  | $ | 10 |  |  |  |  | $ | 882 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (6) |  |  | $ | — |  |  |  |  | $ | 1 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 426 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | — |  |  | $ | (25) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | — |
(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 $1,318 million at September 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $882 million and $456 million, respectively.
|  |  | Assets |  |  |  |  |  | Liabilities
|  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  |  |  | GLB (1)
Nine Months Ended September 30, 2019 (in millions of U.S. dollars) |  | Non-U.S. |  | Corporate and asset-backed securities |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 345 |  |  | $ | 1,299 |  |  | $ | 61 |  |  |  |  | $ | 57 |  |  | $ | 1 |  |  | $ | 11 |  |  |  |  |  |  | $ | 452 |
Transfers into Level 3 |  |  | 3 |  |  | 16 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (15) |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange |  |  | (2) |  |  | 1 |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (1) |  |  | — |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | 57 |
Purchases |  |  | 164 |  |  | 425 |  |  | 19 |  |  |  |  | 19 |  |  | 6 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (54) |  |  | (91) |  |  | (1) |  |  |  |  | (17) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (47) |  |  | (200) |  |  | (2) |  |  |  |  | — |  |  | (1) |  |  | (1) |  |  |  |  |  |  | — |
Balance – end of period |  |  | $ | 393 |  |  | $ | 1,450 |  |  | $ | 77 |  |  |  |  | $ | 56 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 509 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | (3) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 57 |
(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 $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 million and $452 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 September 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 |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 469 |  |  | $ | 1,369 |  |  | $ | 60 |  |  |  |  | $ | 64 |  |  | $ | 2 |  |  | $ | 10 |  |  |  |  | $ | 928 |
Transfers into Level 3 |  |  | — |  |  | 1 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI |  |  | 21 |  |  | 13 |  |  | — |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | 1 |  |  | 3 |  |  | — |  |  |  |  | 2 |  |  | — |  |  | — |  |  |  |  | (46) |
Purchases |  |  | 41 |  |  | 194 |  |  | 2 |  |  |  |  | 3 |  |  | 7 |  |  | — |  |  |  |  | — |
Sales |  |  | (19) |  |  | (80) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (19) |  |  | (54) |  |  | (1) |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Balance – end of period |  |  | $ | 494 |  |  | $ | 1,445 |  |  | $ | 61 |  |  |  |  | $ | 66 |  |  | $ | 7 |  |  | $ | 10 |  |  |  |  | $ | 882 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (46) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 20 |  |  | $ | 12 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | — |
(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 $1,318 million at September 30, 2020, and $1,372 million at June 30, 2020, which includes a fair value derivative adjustment of $882 million and $928 million, respectively.
|  |  | Assets |  |  |  |  |  | Liabilities
Three Months Ended September 30, 2019 (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 |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 371 |  |  | $ | 1,359 |  |  | $ | 76 |  |  |  |  | $ | 56 |  |  | $ | 4 |  |  | $ | 11 |  |  |  |  |  |  | $ | 403 |
Transfers into Level 3 |  |  | — |  |  | 1 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange |  |  | (8) |  |  | (4) |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | — |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | 106 |
Purchases |  |  | 68 |  |  | 176 |  |  | 1 |  |  |  |  | 5 |  |  | 2 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (35) |  |  | (18) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (3) |  |  | (64) |  |  | — |  |  |  |  | — |  |  | — |  |  | (1) |  |  |  |  |  |  | — |
Balance – end of period |  |  | $ | 393 |  |  | $ | 1,450 |  |  | $ | 77 |  |  |  |  | $ | 56 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 509 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 106 |
(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 $935 million at September 30, 2019, and $815 million at June 30, 2019, which includes a fair value derivative adjustment of $509 million and $403 million, respectively.
|  |  | Assets |  |  | Liabilities
|  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  | GLB (1)
Nine Months Ended September 30, 2020 (in millions of U.S. dollars) |  |  | Non-U.S. |  | Corporate and asset-backed securities |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  | $ | 456 |
Transfers into Level 3 |  |  | — |  |  | 92 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | (16) |  |  | (73) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains (Losses) in OCI, including foreign exchange |  |  | 1 |  |  | (31) |  |  | — |  |  |  |  | — |  |  | (1) |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (2) |  |  | (23) |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  | 426 |
Purchases |  |  | 190 |  |  | 416 |  |  | 2 |  |  |  |  | 14 |  |  | 9 |  |  | — |  |  |  |  | — |
Sales |  |  | (81) |  |  | (147) |  |  | — |  |  |  |  | (16) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (47) |  |  | (240) |  |  | (1) |  |  |  |  | — |  |  | (7) |  |  | — |  |  |  |  | — |
Balance – end of period |  |  | $ | 494 |  |  | $ | 1,445 |  |  | $ | 61 |  |  |  |  | $ | 66 |  |  | $ | 7 |  |  | $ | 10 |  |  |  |  | $ | 882 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (6) |  |  | $ | — |  |  |  |  | $ | 1 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 426 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | — |  |  | $ | (25) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | — |
(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 $1,318 million at September 30, 2020, and $897 million at December 31, 2019, which includes a fair value derivative adjustment of $882 million and $456 million, respectively.
|  |  | Assets |  |  |  |  |  | Liabilities
|  |  | Available-for-Sale Debt Securities |  |  |  | Equity securities |  | Short-term investments |  | Other investments |  |  |  |  |  | GLB (1)
Nine Months Ended September 30, 2019 (in millions of U.S. dollars) |  | Non-U.S. |  | Corporate and asset-backed securities |  | MBS |  |  |  |
Balance – beginning of period |  |  | $ | 345 |  |  | $ | 1,299 |  |  | $ | 61 |  |  |  |  | $ | 57 |  |  | $ | 1 |  |  | $ | 11 |  |  |  |  |  |  | $ | 452 |
Transfers into Level 3 |  |  | 3 |  |  | 16 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (15) |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI, including foreign exchange |  |  | (2) |  |  | 1 |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (1) |  |  | — |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | 57 |
Purchases |  |  | 164 |  |  | 425 |  |  | 19 |  |  |  |  | 19 |  |  | 6 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (54) |  |  | (91) |  |  | (1) |  |  |  |  | (17) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (47) |  |  | (200) |  |  | (2) |  |  |  |  | — |  |  | (1) |  |  | (1) |  |  |  |  |  |  | — |
Balance – end of period |  |  | $ | 393 |  |  | $ | 1,450 |  |  | $ | 77 |  |  |  |  | $ | 56 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  |  |  | $ | 509 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (1) |  |  | $ | — |  |  |  |  | $ | (3) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 57 |
(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 $935 million at September 30, 2019, and $861 million at December 31, 2018, which includes a fair value derivative adjustment of $509 million and $452 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:
September 30, 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 | $ | 1,251 |  |  | $ | 58 |  |  | $ | — |  |  | $ | 1,309 |  |  | $ | 1,240 |
Non-U.S. | — |  |  | 1,374 |  |  | — |  |  | 1,374 |  |  | 1,266 |
Corporate and asset-backed securities | — |  |  | 2,414 |  |  | — |  |  | 2,414 |  |  | 2,168 |
Mortgage-backed securities | — |  |  | 2,253 |  |  | — |  |  | 2,253 |  |  | 2,103 |
Municipal | — |  |  | 5,123 |  |  | — |  |  | 5,123 |  |  | 4,874 |
Total assets | $ | 1,251 |  |  | $ | 11,222 |  |  | $ | — |  |  | $ | 12,473 |  |  | $ | 11,651 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,413 |  |  | $ | — |  |  | $ | 1,413 |  |  | $ | 1,413 |
Short-term debt | — |  |  | 1,302 |  |  | — |  |  | 1,302 |  |  | 1,300 |
Long-term debt | — |  |  | 16,995 |  |  | — |  |  | 16,995 |  |  | 14,830 |
Trust preferred securities | — |  |  | 462 |  |  | — |  |  | 462 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 20,172 |  |  | $ | — |  |  | $ | 20,172 |  |  | $ | 17,851 |
December 31, 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 / Agency | $ | 1,292 |  |  | $ | 55 |  |  | $ | — |  |  | $ | 1,347 |  |  | $ | 1,318 |
Non-U.S. | — |  |  | 1,485 |  |  | — |  |  | 1,485 |  |  | 1,423 |
Corporate and asset-backed securities | — |  |  | 2,436 |  |  | 32 |  |  | 2,468 |  |  | 2,349 |
Mortgage-backed securities | — |  |  | 2,396 |  |  | — |  |  | 2,396 |  |  | 2,331 |
Municipal | — |  |  | 5,309 |  |  | — |  |  | 5,309 |  |  | 5,160 |
Total assets | $ | 1,292 |  |  | $ | 11,681 |  |  | $ | 32 |  |  | $ | 13,005 |  |  | $ | 12,581 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,416 |  |  | $ | — |  |  | $ | 1,416 |  |  | $ | 1,416 |
Short-term debt | — |  |  | 1,307 |  |  | — |  |  | 1,307 |  |  | 1,299 |
Long-term debt | — |  |  | 15,048 |  |  | — |  |  | 15,048 |  |  | 13,559 |
Trust preferred securities | — |  |  | 467 |  |  | — |  |  | 467 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 18,238 |  |  | $ | — |  |  | $ | 18,238 |  |  | $ | 16,582 |

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