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Fair value measurements (Tables) | 6 Months Ended
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Jun. 30, 2021
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, 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.
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)
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 | %
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 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.
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 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.
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, 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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