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Fair value measurements | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
Fair value measurements | Fair value measurements a) Fair value hierarchy Fair value of financial assets and financial liabilities is estimated based on the framework established in the fair value accounting guidance. The guidance defines fair value as the price to sell an asset or transfer a liability (an exit price) in an orderly transaction between market participants and establishes a three-level valuation hierarchy based on the reliability of the inputs. The fair value hierarchy gives the highest priority to quoted prices in active markets and the lowest priority to unobservable data. The three levels of the hierarchy are as follows: •Level 1 – Unadjusted quoted prices for identical assets or liabilities in active markets; •Level 2 – Includes, among other items, inputs other than quoted prices that are observable for the asset or liability such as interest rates and yield curves, quoted prices for similar assets and liabilities in active markets, and quoted prices for identical or similar assets and liabilities in markets that are not active; and •Level 3 – Inputs that are unobservable and reflect management’s judgments about assumptions that market participants would use in pricing an asset or liability. We categorize financial instruments within the valuation hierarchy at the balance sheet date based upon the lowest level of inputs that are significant to the fair value measurement. We use pricing services to obtain fair value measurements for the majority of our investment securities. Based on management’s understanding of the methodologies used, these pricing services only produce an estimate of fair value if there is observable market information that would allow them to make a fair value estimate. Based on our understanding of the market inputs used by the pricing services, all applicable investments have been valued in accordance with GAAP. We do not adjust prices obtained from pricing services. The following is a description of the valuation techniques and inputs used to determine fair values for financial instruments carried at fair value, as well as the general classification of such financial instruments pursuant to the valuation hierarchy. Fixed maturities We use pricing services to estimate fair value measurements for the majority of our fixed maturities. The pricing services use market quotations for fixed maturities that have quoted prices in active markets; such securities are classified within Level 1. For fixed maturities other than U.S. Treasury securities that generally do not trade on a daily basis, the pricing services prepare estimates of fair value measurements using their pricing applications or pricing models, which include available relevant market information, benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing. Additional valuation factors that can be taken into account are nominal spreads, dollar basis, and liquidity adjustments. The pricing services evaluate each asset class based on relevant market and credit information, perceived market movements, and sector news. The market inputs used in the pricing evaluation, listed in the approximate order of priority include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers, reference data, and industry and economic events. The extent of the use of each input is dependent on the asset class and the market conditions. Given the asset class, the priority of the use of inputs may change, or some market inputs may not be relevant. Additionally, fixed maturities valuation is more subjective when markets are less liquid due to the lack of market based inputs (i.e., stale pricing) and may require the use of models to be priced. The lack of market based inputs may increase the potential that an investment's estimated fair value is not reflective of the price at which an actual transaction would occur. The overwhelming majority of fixed maturities are classified within Level 2 because the most significant inputs used in the pricing techniques are observable. For a small number of fixed maturities, we obtain a single broker quote (typically from a market maker). Due to the disclaimers on the quotes that indicate that the price is indicative only, we include these fair value estimates in Level 3. Equity securities Equity securities with active markets are classified within Level 1 as fair values are based on quoted market prices. For equity securities in markets which are less active, fair values are based on market valuations and are classified within Level 2. Equity securities for which pricing is unobservable are classified within Level 3. Short-term investments Short-term investments, which comprise securities due to mature within one year of the date of purchase that are traded in active markets, are classified within Level 1 as fair values are based on quoted market prices. Securities such as commercial paper and discount notes are classified within Level 2 because these securities are typically not actively traded due to their approaching maturity, and as such, their cost approximates fair value. Short-term investments for which pricing is unobservable are classified within Level 3. Other investments Fair values for the majority of Other investments including investments in partially-owned investment companies, investment funds, and limited partnerships are based on their respective net asset values or equivalent (NAV) and are excluded from the fair value hierarchy table below. Certain of our long-duration contracts are supported by assets that do not qualify for separate account reporting under GAAP. These assets comprise mutual funds, classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Other investments also include equity securities, classified within Level 1 and fixed maturities, classified within Level 2, held in rabbi trusts maintained by Chubb for deferred compensation plans and supplemental retirement plans and are classified within the valuation hierarchy on the same basis as other equity securities and fixed maturities. Other investments for which pricing is unobservable are classified within Level 3. Securities lending collateral The underlying assets included in Securities lending collateral in the Consolidated balance sheets are fixed maturities which are classified in the valuation hierarchy on the same basis as other fixed maturities. Excluded from the valuation hierarchy is the corresponding liability related to Chubb’s obligation to return the collateral plus interest as it is reported at contract value and not fair value in the Consolidated balance sheets. Investment derivative instruments Actively traded investment derivative instruments, including futures, options, and forward contracts are classified within Level 1 as fair values are based on quoted market prices. The fair value of cross-currency swaps and interest rate swaps is based on market valuations and is classified within Level 2. Investment derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. Other derivative instruments We maintain positions in exchange-traded equity futures contracts designed to limit exposure to a severe equity market decline, which would cause an increase in expected claims and, therefore, an increase in future policy benefit reserves for our guaranteed minimum death benefits (GMDB) and an increase in the fair value liability for our guaranteed living benefits (GLB) reinsurance business. Our positions in exchange-traded equity futures contracts are classified within Level 1. The fair value of the majority of the remaining positions in other derivative instruments is based on significant observable inputs including equity security and interest rate indices. Accordingly, these are classified within Level 2. Other derivative instruments based on unobservable inputs are classified within Level 3. Other derivative instruments are recorded in either Other assets or Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. Separate account assets Separate account assets represent segregated funds where investment risks are borne by the customers, except to the extent of certain guarantees made by Chubb. Separate account assets comprise mutual funds classified within Level 1 in the valuation hierarchy on the same basis as other equity securities traded in active markets. Separate account assets also include fixed maturities classified within Level 2 because the most significant inputs used in the pricing techniques are observable. Excluded from the valuation hierarchy are the corresponding liabilities as they are reported at contract value and not fair value in the Consolidated balance sheets. Separate account assets are recorded in Other assets in the Consolidated balance sheets. Guaranteed living benefits The GLB arises from life reinsurance programs covering living benefit guarantees whereby we assume the risk of guaranteed minimum income benefits (GMIB) associated with variable annuity contracts. GLB’s are recorded in Accounts payable, accrued expenses, and other liabilities in the Consolidated balance sheets. For GLB reinsurance, Chubb estimates fair value using an internal valuation model which includes current market information and estimates of policyholder behavior. All of the treaties contain claim limits, which are factored into the valuation model. The fair value depends on a number of factors, including interest rates, equity markets, credit risk, current account value, market volatility, expected annuitization rates and other policyholder behavior, and changes in policyholder mortality. Because of the significant use of unobservable inputs including policyholder behavior, GLB reinsurance is classified within Level 3. Financial instruments measured at fair value on a recurring basis, by valuation hierarchy
June 30, 2021 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,975 |  |  | $ | 503 |  |  | $ | — |  |  | $ | 2,478 |
Non-U.S. | — |  |  | 25,770 |  |  | 642 |  |  | 26,412 |
Corporate and asset-backed securities | — |  |  | 35,887 |  |  | 1,688 |  |  | 37,575 |
Mortgage-backed securities | — |  |  | 19,506 |  |  | 47 |  |  | 19,553 |
Municipal | — |  |  | 6,145 |  |  | — |  |  | 6,145 |
| 1,975 |  |  | 87,811 |  |  | 2,377 |  |  | 92,163 |
Equity securities | 4,529 |  |  | — |  |  | 78 |  |  | 4,607 |
Short-term investments | 3,132 |  |  | 1,335 |  |  | 3 |  |  | 4,470 |
Other investments (1) | 417 |  |  | 470 |  |  | 10 |  |  | 897 |
Securities lending collateral | — |  |  | 2,369 |  |  | — |  |  | 2,369 |
Investment derivative instruments | 55 |  |  | — |  |  | — |  |  | 55 |
Other derivative instruments | 10 |  |  | — |  |  | — |  |  | 10 |
Separate account assets | 5,014 |  |  | 113 |  |  | — |  |  | 5,127 |
Total assets measured at fair value (1) | $ | 15,132 |  |  | $ | 92,098 |  |  | $ | 2,468 |  |  | $ | 109,698 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 94 |  |  | $ | — |  |  | $ | — |  |  | $ | 94 |
Other derivative instruments | 12 |  |  | — |  |  | — |  |  | 12 |
GLB (2) | — |  |  | — |  |  | 760 |  |  | 760 |
Total liabilities measured at fair value | $ | 106 |  |  | $ | — |  |  | $ | 760 |  |  | $ | 866 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $8,253 million, policy loans of $237 million and other investments of $70 million at June 30, 2021 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.
December 31, 2020 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,148 |  |  | $ | 522 |  |  | $ | — |  |  | $ | 2,670 |
Non-U.S. | — |  |  | 25,808 |  |  | 546 |  |  | 26,354 |
Corporate and asset-backed securities | — |  |  | 34,758 |  |  | 1,573 |  |  | 36,331 |
Mortgage-backed securities | — |  |  | 18,410 |  |  | 60 |  |  | 18,470 |
Municipal | — |  |  | 6,874 |  |  | — |  |  | 6,874 |
| 2,148 |  |  | 86,372 |  |  | 2,179 |  |  | 90,699 |
Equity securities | 3,954 |  |  | — |  |  | 73 |  |  | 4,027 |
Short-term investments | 2,866 |  |  | 1,474 |  |  | 5 |  |  | 4,345 |
Other investments (1) | 434 |  |  | 438 |  |  | 10 |  |  | 882 |
Securities lending collateral | — |  |  | 1,844 |  |  | — |  |  | 1,844 |
Investment derivative instruments | 35 |  |  | — |  |  | — |  |  | 35 |
Separate account assets | 4,264 |  |  | 124 |  |  | — |  |  | 4,388 |
Total assets measured at fair value (1) | $ | 13,701 |  |  | $ | 90,252 |  |  | $ | 2,267 |  |  | $ | 106,220 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 52 |  |  | $ | — |  |  | $ | — |  |  | $ | 52 |
Other derivative instruments | 17 |  |  | — |  |  | — |  |  | 17 |
GLB (2) | — |  |  | — |  |  | 1,089 |  |  | 1,089 |
Total liabilities measured at fair value | $ | 69 |  |  | $ | — |  |  | $ | 1,089 |  |  | $ | 1,158 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $6,770 million, policy loans of $233 million and other investments of $60 million at December 31, 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. Level 3 financial instruments 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)
June 30, 2021 |  | December 31, 2020 |  |  |  |
GLB (1) | $ | 760 |  |  | $ | 1,089 |  |  | Actuarial model |  | Lapse rate |  | 3% – 34% |  | 4.7 | %
|  |  |  |  |  |  | Annuitization rate |  | 0% – 100% |  | 3.3 | %
(1)The weighted average lapse and annuitization rates are determined by weighting each treaty's rates by the GLB contracts fair value. The most significant policyholder behavior assumptions include lapse rates and the GMIB annuitization rates. Assumptions regarding lapse rates and GMIB annuitization rates differ by treaty, but the underlying methodologies to determine rates applied to each treaty are comparable. A lapse rate is the percentage of in-force policies surrendered in a given calendar year. All else equal, as lapse rates increase, ultimate claim payments will decrease. The GMIB annuitization rate is the percentage of policies for which the policyholder will elect to annuitize using the guaranteed benefit provided under the GMIB. All else equal, as GMIB annuitization rates increase, ultimate claim payments will increase, subject to treaty claim limits. The effect of changes in key market factors on assumed lapse and annuitization rates reflect emerging trends using data available from cedants. For treaties with limited experience, rates are established in line with data received from other ceding companies adjusted, as appropriate, with industry estimates. The model and related assumptions are regularly re-evaluated by management and enhanced, as appropriate, based upon additional experience obtained related to policyholder behavior and availability of updated information such as market conditions, market participant assumptions, and demographics of in-force annuities. For the three and six months ended June 30, 2021 and 2020, no material refinements were made to the model. For detailed information on our lapse and annuitization rate assumptions, refer to Note 4 to the Consolidated Financial Statements of our 2020 Form 10-K. 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 June 30, 2021 (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 |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 650 |  |  | $ | 1,612 |  |  | $ | 51 |  |  |  |  | $ | 75 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Transfers into Level 3 |  |  | — |  |  | 29 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | (10) |  |  | (3) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 5 |  |  | 6 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | 3 |  |  | 6 |  |  | — |  |  |  |  | 5 |  |  | — |  |  | — |  |  |  |  | 8 |
Purchases |  |  | 54 |  |  | 240 |  |  | 1 |  |  |  |  | 4 |  |  | 2 |  |  | — |  |  |  |  | — |
Sales |  |  | (9) |  |  | (50) |  |  | (1) |  |  |  |  | (6) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (51) |  |  | (152) |  |  | (4) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (8) |
Balance, end of period |  |  | $ | 642 |  |  | $ | 1,688 |  |  | $ | 47 |  |  |  |  | $ | 78 |  |  | $ | 3 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | 6 |  |  | $ | — |  |  |  |  | $ | 4 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 8 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 7 |  |  | $ | 6 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  |  |  |  |  | Liabilities
Three Months Ended June 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 |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 465 |  |  | $ | 1,502 |  |  | $ | 60 |  |  |  |  | $ | 67 |  |  | $ | 1 |  |  | $ | 10 |  |  |  |  |  |  | $ | 1,591 |
Transfers out of Level 3 |  |  | (13) |  |  | (71) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/ Losses in OCI |  |  | (6) |  |  | 1 |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (1) |  |  | (13) |  |  | — |  |  |  |  | (1) |  |  | — |  |  | — |  |  |  |  |  |  | (213) |
Purchases |  |  | 67 |  |  | 83 |  |  | — |  |  |  |  | 8 |  |  | 1 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (16) |  |  | (48) |  |  | — |  |  |  |  | (9) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (27) |  |  | (85) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (6) |
Balance, end of period |  |  | $ | 469 |  |  | $ | 1,369 |  |  | $ | 60 |  |  |  |  | $ | 64 |  |  | $ | 2 |  |  | $ | 10 |  |  |  |  |  |  | $ | 1,372 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | 5 |  |  | $ | — |  |  |  |  | $ | 1 |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | (213) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | (5) |  |  | $ | 7 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  |  | Liabilities
Six Months Ended June 30, 2021 (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 |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 546 |  |  | $ | 1,573 |  |  | $ | 60 |  |  |  |  | $ | 73 |  |  | $ | 5 |  |  | $ | 10 |  |  |  |  | $ | 1,089 |
Transfers into Level 3 |  |  | — |  |  | 46 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | (10) |  |  | (3) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | 13 |  |  | 12 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | 3 |  |  | 3 |  |  | — |  |  |  |  | 7 |  |  | — |  |  | — |  |  |  |  | (311) |
Purchases |  |  | 175 |  |  | 409 |  |  | 1 |  |  |  |  | 7 |  |  | 3 |  |  | — |  |  |  |  | — |
Sales |  |  | (16) |  |  | (75) |  |  | (1) |  |  |  |  | (9) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (69) |  |  | (277) |  |  | (13) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | (18) |
Balance, end of period |  |  | $ | 642 |  |  | $ | 1,688 |  |  | $ | 47 |  |  |  |  | $ | 78 |  |  | $ | 3 |  |  | $ | 10 |  |  |  |  | $ | 760 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | 6 |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (311) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | 17 |  |  | $ | 17 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  |  | Liabilities
Six Months Ended June 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 |  | Mortgage-backed securities |  |  |  |
Balance, beginning of period |  |  | $ | 449 |  |  | $ | 1,451 |  |  | $ | 60 |  |  |  |  | $ | 69 |  |  | $ | 6 |  |  | $ | 10 |  |  |  |  | $ | 897 |
Transfers into Level 3 |  |  | — |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Transfers out of Level 3 |  |  | (16) |  |  | (72) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (20) |  |  | (44) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (3) |  |  | (26) |  |  | — |  |  |  |  | (3) |  |  | — |  |  | — |  |  |  |  | 472 |
Purchases |  |  | 149 |  |  | 222 |  |  | — |  |  |  |  | 11 |  |  | 2 |  |  | — |  |  |  |  | — |
Sales |  |  | (62) |  |  | (67) |  |  | — |  |  |  |  | (13) |  |  | — |  |  | — |  |  |  |  | — |
Settlements |  |  | (28) |  |  | (186) |  |  | — |  |  |  |  | — |  |  | (6) |  |  | — |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  | 3 |
Balance, end of period |  |  | $ | 469 |  |  | $ | 1,369 |  |  | $ | 60 |  |  |  |  | $ | 64 |  |  | $ | 2 |  |  | $ | 10 |  |  |  |  | $ | 1,372 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet Date |  |  | $ | — |  |  | $ | (9) |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | 472 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance sheet date |  |  | $ | (20) |  |  | $ | (37) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. b) Financial instruments disclosed, but not measured, at fair value Chubb uses various financial instruments in the normal course of its business. Our insurance contracts are excluded from fair value of financial instruments accounting guidance, and therefore, are not included in the amounts discussed below. The carrying values of cash, other assets, other liabilities, and other financial instruments not included below approximated their fair values. Refer to the 2020 Form 10-K for information on the fair value methods and assumptions for investments in partially-owned insurance companies, short-term and long-term debt, repurchase agreements, and trust-preferred securities. The following tables present fair value, by valuation hierarchy, and carrying value of the financial instruments not measured at fair value:
June 30, 2021 | 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 | $ | 1,029 |  |  | $ | 53 |  |  | $ | — |  |  | $ | 1,082 |  |  | $ | 1,041 |
Non-U.S. | — |  |  | 1,366 |  |  | — |  |  | 1,366 |  |  | 1,280 |
Corporate and asset-backed securities | — |  |  | 2,314 |  |  | — |  |  | 2,314 |  |  | 2,087 |
Mortgage-backed securities | — |  |  | 1,892 |  |  | — |  |  | 1,892 |  |  | 1,781 |
Municipal | — |  |  | 4,689 |  |  | — |  |  | 4,689 |  |  | 4,484 |
Total assets | $ | 1,029 |  |  | $ | 10,314 |  |  | $ | — |  |  | $ | 11,343 |  |  | $ | 10,673 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 16,822 |  |  | — |  |  | 16,822 |  |  | 14,954 |
Trust preferred securities | — |  |  | 467 |  |  | — |  |  | 467 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 18,694 |  |  | $ | — |  |  | $ | 18,694 |  |  | $ | 16,667 |
December 31, 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 | $ | 1,395 |  |  | $ | 57 |  |  | $ | — |  |  | $ | 1,452 |  |  | $ | 1,392 |
Non-U.S. | — |  |  | 1,405 |  |  | — |  |  | 1,405 |  |  | 1,288 |
Corporate and asset-backed securities | — |  |  | 2,438 |  |  | — |  |  | 2,438 |  |  | 2,150 |
Mortgage-backed securities | — |  |  | 2,146 |  |  | — |  |  | 2,146 |  |  | 1,999 |
Municipal | — |  |  | 5,069 |  |  | — |  |  | 5,069 |  |  | 4,824 |
Total assets | $ | 1,395 |  |  | $ | 11,115 |  |  | $ | — |  |  | $ | 12,510 |  |  | $ | 11,653 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,405 |  |  | $ | — |  |  | $ | 1,405 |  |  | $ | 1,405 |
Long-term debt | — |  |  | 17,487 |  |  | — |  |  | 17,487 |  |  | 14,948 |
Trust preferred securities | — |  |  | 473 |  |  | — |  |  | 473 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 19,365 |  |  | $ | — |  |  | $ | 19,365 |  |  | $ | 16,661 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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