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Fair value measurements (Tables) | 9 Months Ended
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Sep. 30, 2022
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, 2022 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 2,032 |  |  | $ | 524 |  |  | $ | — |  |  | $ | 2,556 |
Non-U.S. | — |  |  | 23,677 |  |  | 506 |  |  | 24,183 |
Corporate and asset-backed securities | — |  |  | 34,084 |  |  | 2,296 |  |  | 36,380 |
Mortgage-backed securities | — |  |  | 16,216 |  |  | 19 |  |  | 16,235 |
Municipal | — |  |  | 4,387 |  |  | — |  |  | 4,387 |
| 2,032 |  |  | 78,888 |  |  | 2,821 |  |  | 83,741 |
Equity securities | 761 |  |  | — |  |  | 83 |  |  | 844 |
Short-term investments | 2,782 |  |  | 1,749 |  |  | 3 |  |  | 4,534 |
Other investments (1) | 506 |  |  | 381 |  |  | — |  |  | 887 |
Securities lending collateral | — |  |  | 1,626 |  |  | — |  |  | 1,626 |
Investment derivatives not designated as hedging instruments | 129 |  |  | — |  |  | — |  |  | 129 |
Other derivative instruments | 109 |  |  | — |  |  | — |  |  | 109 |
Derivatives designated as hedging instruments | — |  |  | 71 |  |  | — |  |  | 71 |
Separate account assets | 4,810 |  |  | 81 |  |  | — |  |  | 4,891 |
Total assets measured at fair value (1) | $ | 11,129 |  |  | $ | 82,796 |  |  | $ | 2,907 |  |  | $ | 96,832 |
Liabilities: |  |  |  |  |  |  |
Investment derivatives not designated as hedging instruments | $ | 306 |  |  | $ | — |  |  | $ | — |  |  | $ | 306 |
Derivatives designated as hedging instruments | — |  |  | 101 |  |  | — |  |  | 101 |
GLB (2) | — |  |  | — |  |  | 784 |  |  | 784 |
Total liabilities measured at fair value | $ | 306 |  |  | $ | 101 |  |  | $ | 784 |  |  | $ | 1,191 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $12,392 million, policy loans of $316 million, and other investments of $50 million at September 30, 2022 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, 2021 | Level 1 |  | Level 2 |  | Level 3 |  | Total
(in millions of U.S. dollars) |  |  |
Assets: |  |  |  |  |  |  |
Fixed maturities available for sale |  |  |  |  |  |  |
U.S. Treasury / Agency | $ | 1,680 |  |  | $ | 534 |  |  | $ | — |  |  | $ | 2,214 |
Non-U.S. | — |  |  | 25,196 |  |  | 633 |  |  | 25,829 |
Corporate and asset-backed securities | — |  |  | 37,014 |  |  | 2,049 |  |  | 39,063 |
Mortgage-backed securities | — |  |  | 20,463 |  |  | 26 |  |  | 20,489 |
Municipal | — |  |  | 5,513 |  |  | — |  |  | 5,513 |
| 1,680 |  |  | 88,720 |  |  | 2,708 |  |  | 93,108 |
Equity securities | 4,705 |  |  | — |  |  | 77 |  |  | 4,782 |
Short-term investments | 1,744 |  |  | 1,395 |  |  | 7 |  |  | 3,146 |
Other investments (1) | 286 |  |  | 481 |  |  | — |  |  | 767 |
Securities lending collateral | — |  |  | 1,831 |  |  | — |  |  | 1,831 |
Investment derivative instruments | 58 |  |  | — |  |  | — |  |  | 58 |
Separate account assets | 5,461 |  |  | 99 |  |  | — |  |  | 5,560 |
Total assets measured at fair value (1) | $ | 13,934 |  |  | $ | 92,526 |  |  | $ | 2,792 |  |  | $ | 109,252 |
Liabilities: |  |  |  |  |  |  |
Investment derivative instruments | $ | 166 |  |  | $ | — |  |  | $ | — |  |  | $ | 166 |
Other derivative instruments | 16 |  |  | — |  |  | — |  |  | 16 |
GLB (2) | — |  |  | — |  |  | 745 |  |  | 745 |
Total liabilities measured at fair value | $ | 182 |  |  | $ | — |  |  | $ | 745 |  |  | $ | 927 |
(1)Excluded from the table above are partially-owned investments, investment funds, and limited partnerships of $10,108 million, policy loans of $243 million and other investments of $51 million at December 31, 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. |
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, 2022 |  | December 31, 2021 |  |  |  |
GLB (1) | $ | 784 |  |  | $ | 745 |  |  | Actuarial model |  | Lapse rate |  | 3% – 30% |  | 3.5 | %
|  |  |  |  |  |  | Annuitization rate |  | 0% – 100% |  | 4.6 | %
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, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | GLB (1)
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |
Balance, beginning of period |  |  | $ | 549 |  |  | $ | 2,261 |  |  | $ | 19 |  |  |  |  | $ | 81 |  |  | $ | 9 |  |  | $ | 832 |
Transfers into Level 3 |  |  | — |  |  | 2 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | (4) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (34) |  |  | (16) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses |  |  | (4) |  |  | (9) |  |  | — |  |  |  |  | 3 |  |  | (1) |  |  | (22) |
Purchases |  |  | 39 |  |  | 164 |  |  | 4 |  |  |  |  | 3 |  |  | 1 |  |  | — |
Sales |  |  | (19) |  |  | (8) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |
Settlements |  |  | (25) |  |  | (94) |  |  | (4) |  |  |  |  | — |  |  | (6) |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (26) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |  |  | $ | 784 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 3 |  |  | $ | (1) |  |  | $ | (22) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (35) |  |  | $ | (19) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(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 September 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 |  |  | $ | 642 |  |  | $ | 1,688 |  |  | $ | 47 |  |  |  |  | $ | 78 |  |  | $ | 3 |  |  | $ | 10 |  |  |  |  |  |  | $ | 760 |
Transfers into Level 3 |  |  | 22 |  |  | 45 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (10) |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (15) |  |  | 2 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (3) |  |  | — |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | 59 |
Purchases |  |  | 60 |  |  | 272 |  |  | 17 |  |  |  |  | 4 |  |  | 7 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (19) |  |  | (13) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (27) |  |  | (135) |  |  | (11) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (1) |
Balance, end of period |  |  | $ | 660 |  |  | $ | 1,859 |  |  | $ | 53 |  |  |  |  | $ | 79 |  |  | $ | 10 |  |  | $ | — |  |  |  |  |  |  | $ | 818 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 59 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (15) |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  | Liabilities
Nine Months Ended September 30, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | GLB (1)
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |
Balance, beginning of period |  |  | $ | 633 |  |  | $ | 2,049 |  |  | $ | 26 |  |  |  |  | $ | 77 |  |  | $ | 7 |  |  | $ | 745 |
Transfers into Level 3 |  |  | 23 |  |  | 41 |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (23) |  |  | (97) |  |  | (5) |  |  |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (88) |  |  | (68) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses |  |  | (6) |  |  | (9) |  |  | — |  |  |  |  | 7 |  |  | (1) |  |  | 86 |
Purchases |  |  | 108 |  |  | 658 |  |  | 4 |  |  |  |  | 6 |  |  | 8 |  |  | — |
Sales |  |  | (44) |  |  | (59) |  |  | — |  |  |  |  | (8) |  |  | — |  |  | — |
Settlements |  |  | (97) |  |  | (219) |  |  | (6) |  |  |  |  | — |  |  | (11) |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (47) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |  |  | $ | 784 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (3) |  |  | $ | (4) |  |  | $ | — |  |  |  |  | $ | 6 |  |  | $ | (1) |  |  | $ | 86 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (89) |  |  | $ | (71) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  |  |  |  |  | Liabilities
Nine Months Ended September 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 |  |  | 22 |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (10) |  |  | (3) |  |  | — |  |  |  |  | — |  |  | — |  |  | (10) |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (2) |  |  | 14 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | 3 |  |  | — |  |  |  |  | 8 |  |  | — |  |  | — |  |  |  |  |  |  | (252) |
Purchases |  |  | 235 |  |  | 681 |  |  | 18 |  |  |  |  | 11 |  |  | 10 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (35) |  |  | (88) |  |  | (1) |  |  |  |  | (13) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (96) |  |  | (412) |  |  | (24) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (19) |
Balance, end of period |  |  | $ | 660 |  |  | $ | 1,859 |  |  | $ | 53 |  |  |  |  | $ | 79 |  |  | $ | 10 |  |  | $ | — |  |  |  |  |  |  | $ | 818 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | (252) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. | [1]
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, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | GLB (1)
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |
Balance, beginning of period |  |  | $ | 549 |  |  | $ | 2,261 |  |  | $ | 19 |  |  |  |  | $ | 81 |  |  | $ | 9 |  |  | $ | 832 |
Transfers into Level 3 |  |  | — |  |  | 2 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | (4) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (34) |  |  | (16) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses |  |  | (4) |  |  | (9) |  |  | — |  |  |  |  | 3 |  |  | (1) |  |  | (22) |
Purchases |  |  | 39 |  |  | 164 |  |  | 4 |  |  |  |  | 3 |  |  | 1 |  |  | — |
Sales |  |  | (19) |  |  | (8) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |
Settlements |  |  | (25) |  |  | (94) |  |  | (4) |  |  |  |  | — |  |  | (6) |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (26) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |  |  | $ | 784 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (1) |  |  | $ | (3) |  |  | $ | — |  |  |  |  | $ | 3 |  |  | $ | (1) |  |  | $ | (22) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (35) |  |  | $ | (19) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(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 September 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 |  |  | $ | 642 |  |  | $ | 1,688 |  |  | $ | 47 |  |  |  |  | $ | 78 |  |  | $ | 3 |  |  | $ | 10 |  |  |  |  |  |  | $ | 760 |
Transfers into Level 3 |  |  | 22 |  |  | 45 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (10) |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (15) |  |  | 2 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | (3) |  |  | — |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |  |  |  |  |  |  | 59 |
Purchases |  |  | 60 |  |  | 272 |  |  | 17 |  |  |  |  | 4 |  |  | 7 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (19) |  |  | (13) |  |  | — |  |  |  |  | (4) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (27) |  |  | (135) |  |  | (11) |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (1) |
Balance, end of period |  |  | $ | 660 |  |  | $ | 1,859 |  |  | $ | 53 |  |  |  |  | $ | 79 |  |  | $ | 10 |  |  | $ | — |  |  |  |  |  |  | $ | 818 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | (1) |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | 59 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (15) |  |  | $ | — |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  | Liabilities
Nine Months Ended September 30, 2022 (in millions of U.S. dollars) |  |  | Available-for-Sale Debt Securities |  | Equity securities |  | Short-term investments |  | GLB (1)
|  | Non-U.S. |  | Corporate and asset- backed securities |  | Mortgage-backed securities |  |  |
Balance, beginning of period |  |  | $ | 633 |  |  | $ | 2,049 |  |  | $ | 26 |  |  |  |  | $ | 77 |  |  | $ | 7 |  |  | $ | 745 |
Transfers into Level 3 |  |  | 23 |  |  | 41 |  |  | — |  |  |  |  | 1 |  |  | — |  |  | — |
Transfers out of Level 3 |  |  | (23) |  |  | (97) |  |  | (5) |  |  |  |  | — |  |  | — |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (88) |  |  | (68) |  |  | — |  |  |  |  | — |  |  | — |  |  | — |
Net Realized Gains/Losses |  |  | (6) |  |  | (9) |  |  | — |  |  |  |  | 7 |  |  | (1) |  |  | 86 |
Purchases |  |  | 108 |  |  | 658 |  |  | 4 |  |  |  |  | 6 |  |  | 8 |  |  | — |
Sales |  |  | (44) |  |  | (59) |  |  | — |  |  |  |  | (8) |  |  | — |  |  | — |
Settlements |  |  | (97) |  |  | (219) |  |  | (6) |  |  |  |  | — |  |  | (11) |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | (47) |
Balance, end of period |  |  | $ | 506 |  |  | $ | 2,296 |  |  | $ | 19 |  |  |  |  | $ | 83 |  |  | $ | 3 |  |  | $ | 784 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | (3) |  |  | $ | (4) |  |  | $ | — |  |  |  |  | $ | 6 |  |  | $ | (1) |  |  | $ | 86 |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | (89) |  |  | $ | (71) |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.
|  |  | Assets |  |  |  |  |  | Liabilities
Nine Months Ended September 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 |  |  | 22 |  |  | 91 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Transfers out of Level 3 |  |  | (10) |  |  | (3) |  |  | — |  |  |  |  | — |  |  | — |  |  | (10) |  |  |  |  |  |  | — |
Change in Net Unrealized Gains/Losses in OCI |  |  | (2) |  |  | 14 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | — |
Net Realized Gains/Losses |  |  | — |  |  | 3 |  |  | — |  |  |  |  | 8 |  |  | — |  |  | — |  |  |  |  |  |  | (252) |
Purchases |  |  | 235 |  |  | 681 |  |  | 18 |  |  |  |  | 11 |  |  | 10 |  |  | — |  |  |  |  |  |  | — |
Sales |  |  | (35) |  |  | (88) |  |  | (1) |  |  |  |  | (13) |  |  | — |  |  | — |  |  |  |  |  |  | — |
Settlements |  |  | (96) |  |  | (412) |  |  | (24) |  |  |  |  | — |  |  | (5) |  |  | — |  |  |  |  |  |  | — |
Other |  |  | — |  |  | — |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  |  |  |  |  | (19) |
Balance, end of period |  |  | $ | 660 |  |  | $ | 1,859 |  |  | $ | 53 |  |  |  |  | $ | 79 |  |  | $ | 10 |  |  | $ | — |  |  |  |  |  |  | $ | 818 |
Net Realized Gains/Losses Attributable to Changes in Fair Value at the Balance Sheet date |  |  | $ | — |  |  | $ | 3 |  |  | $ | — |  |  |  |  | $ | 5 |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | (252) |
Change in Net Unrealized Gains/Losses included in OCI at the Balance Sheet date |  |  | $ | 2 |  |  | $ | 17 |  |  | $ | — |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  |  |  |  | $ | — |
(1)Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value. | [1]
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, 2022 | 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 | $ | 1,157 |  |  | $ | 72 |  |  | $ | — |  |  | $ | 1,229 |  |  | $ | 1,281 |
Non-U.S. | — |  |  | 956 |  |  | — |  |  | 956 |  |  | 1,042 |
Corporate and asset-backed securities | — |  |  | 1,585 |  |  | — |  |  | 1,585 |  |  | 1,742 |
Mortgage-backed securities | — |  |  | 1,438 |  |  | — |  |  | 1,438 |  |  | 1,548 |
Municipal | — |  |  | 3,283 |  |  | — |  |  | 3,283 |  |  | 3,363 |
Total assets | $ | 1,157 |  |  | $ | 7,334 |  |  | $ | — |  |  | $ | 8,491 |  |  | $ | 8,976 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 2,417 |  |  | $ | — |  |  | $ | 2,417 |  |  | $ | 2,417 |
Short-term debt | — |  |  | 1,469 |  |  | — |  |  | 1,469 |  |  | 1,475 |
Long-term debt | — |  |  | 12,067 |  |  | — |  |  | 12,067 |  |  | 14,044 |
Trust preferred securities | — |  |  | 387 |  |  | — |  |  | 387 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 16,340 |  |  | $ | — |  |  | $ | 16,340 |  |  | $ | 18,244 |
December 31, 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 | $ | 1,192 |  |  | $ | 52 |  |  | $ | — |  |  | $ | 1,244 |  |  | $ | 1,213 |
Non-U.S. | — |  |  | 1,262 |  |  | — |  |  | 1,262 |  |  | 1,196 |
Corporate and asset-backed securities | — |  |  | 2,201 |  |  | — |  |  | 2,201 |  |  | 2,004 |
Mortgage-backed securities | — |  |  | 1,803 |  |  | — |  |  | 1,803 |  |  | 1,730 |
Municipal | — |  |  | 4,137 |  |  | — |  |  | 4,137 |  |  | 3,975 |
Total assets | $ | 1,192 |  |  | $ | 9,455 |  |  | $ | — |  |  | $ | 10,647 |  |  | $ | 10,118 |
Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | $ | — |  |  | $ | 1,406 |  |  | $ | — |  |  | $ | 1,406 |  |  | $ | 1,406 |
Short-term debt | — |  |  | 1,019 |  |  | — |  |  | 1,019 |  |  | 999 |
Long-term debt | — |  |  | 16,848 |  |  | — |  |  | 16,848 |  |  | 15,169 |
Trust preferred securities | — |  |  | 460 |  |  | — |  |  | 460 |  |  | 308 |
Total liabilities | $ | — |  |  | $ | 19,733 |  |  | $ | — |  |  | $ | 19,733 |  |  | $ | 17,882 |
[1] | Our GLB reinsurance product meets the definition of a derivative instrument for accounting purposes and is accordingly carried at fair value.

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