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Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
Sep. 30, 2015
Commitments and Contingencies Disclosure [Abstract]  
Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments
 
 
 
 
 
September 30, 2015
 
 
 
 
December 31, 2014
 
 
Consolidated
Balance Sheet
Location
 
Fair Value
 
 
Notional
Value/
Payment
Provision

 
Fair Value
 
 
Notional
Value/
Payment
Provision

(in millions of U.S. dollars)
 
Derivative Asset

 
Derivative (Liability)

 
 
Derivative Asset

 
Derivative (Liability)

 
Investment and embedded derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forward contracts
OA / (AP)
 
$
10

 
$
(11
)
 
$
1,139

 
$
12

 
$
(7
)
 
$
1,329

Cross-currency swaps
OA / (AP)
 
—

 
—

 
95

 
—

 
—

 
95

Futures contracts on money market instruments
OA / (AP)
 
1

 
(5
)
 
3,799

 
—

 
—

 
2,467

Options/Futures contracts on notes and bonds
OA / (AP)
 
6

 
(11
)
 
1,238

 
6

 
(29
)
 
1,636

Convertible securities(1)
FM AFS / ES
 
222

 
—

 
222

 
291

 
—

 
267

 
 
 
$
239

 
$
(27
)
 
$
6,493

 
$
309

 
$
(36
)
 
$
5,794

Other derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts on equities (2)
OA / (AP)
 
$
23

 
$
—

 
$
1,123

 
$
—

 
$
(21
)
 
$
1,384

Options on equity market indices (2)
OA / (AP)
 
—

 
—

 
—

 
2

 
—

 
250

Other
OA / (AP)
 
3

 
(7
)
 
66

 
—

 
(4
)
 
10

 
 
 
$
26

 
$
(7
)
 
$
1,189

 
$
2

 
$
(25
)
 
$
1,644

GLB(3)
(AP) / (FPB)
 


 
$
(1,017
)
 
$
1,224

 


 
$
(663
)
 
$
675


(1) 
Includes fair value of embedded derivatives.
(2) 
Related to GMDB and GLB blocks of business.
(3) 
Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts.
Transfer of Certain Financial Assets Accounted for as Secured Borrowings
 
Remaining contractual maturity
 
September 30, 2015
 
Up to 30 Days

 
30 - 90 Days

 
Greater than 90 Days

 
Total

(in millions of U.S. dollars)
 
 
 
 
Collateral pledged under repurchase agreements:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Cash
 
$
—

 
$
—

 
$
8

 
$
8

U.S. Treasury and agency
 
172

 
61

 
7

 
240

Mortgage-backed securities
 
250

 
94

 
876

 
1,220

 
 
$
422

 
$
155

 
$
891

 
$
1,468

Gross amount of recognized liabilities for repurchase agreements
 
 
 
 
 
 
 
$
1,403

Difference(1)
 
 
 
 
 
 
 
$
65

(1) 
Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.
Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations
 
Three Months Ended
 
Nine Months Ended
 
 
September 30
 
September 30
 
(in millions of U.S. dollars)
2015

 
2014

2015

 
2014

Investment and embedded derivative instruments
 
 
 
 
 
 
Foreign currency forward contracts
$
15

 
$
19

$
30

 
$
15

All other futures contracts and options
(23
)
 
(15
)
(10
)
 
(55
)
Convertible securities(1)
(14
)
 
(17
)
(14
)
 
(13
)
Total investment and embedded derivative instruments
$
(22
)
 
$
(13
)
$
6


$
(53
)
GLB and other derivative instruments
 
 
 
 
 
 
GLB(2)
$
(396
)
 
$
(80
)
$
(337
)
 
$
(126
)
Futures contracts on equities(3)
84

 
(15
)
71

 
(103
)
Options on equity market indices(3)
(1
)
 
—

(2
)
 
(3
)
Other
(9
)
 
45

(10
)
 
52

Total GLB and other derivative instruments
$
(322
)
 
$
(50
)
$
(278
)

$
(180
)
 
$
(344
)
 
$
(63
)
$
(272
)

$
(233
)
(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB blocks of business.