XML 42 R31.htm IDEA: XBRL DOCUMENT v3.4.0.3
Commitments, contingencies, and guarantees (Tables)
 3 Months Ended
Mar. 31, 2016
Commitments and Contingencies Disclosure [Abstract]  
Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments
 
 
 
 
 
March 31, 2016
 
 
 
 
December 31, 2015
 
 
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)
 
$
6

 
$
(19
)
 
$
903

 
$
7

 
$
(11
)
 
$
1,029

Cross-currency swaps
OA / (AP)
 
—

 
—

 
95

 
—

 
—

 
95

Options/Futures contracts on notes and bonds
OA / (AP)
 
5

 
(4
)
 
1,235

 
5

 
(2
)
 
751

Convertible securities(1)
FM AFS / ES
 
3

 
—

 
7

 
31

 
—

 
40

 
 
 
$
14

 
$
(23
)
 
$
2,240

 
$
43

 
$
(13
)
 
$
1,915

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

 
$
(36
)
 
$
1,171

 
$
—

 
$
(4
)
 
$
1,197

Other
OA / (AP)
 
—

 
(10
)
 
71

 
—

 
(6
)
 
15

 
 
 
$
—

 
$
(46
)
 
$
1,242

 
$
—

 
$
(10
)
 
$
1,212

GLB(3)
(AP) / (FPB)
 
$
—

 
$
(1,122
)
 
$
1,377

 
$
—

 
$
(888
)
 
$
1,155


(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.
Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations
 
Three Months Ended
 
 
March 31
 
(in millions of U.S. dollars)
2016

 
2015

Investment and embedded derivative instruments
 
 
 
Foreign currency forward contracts
$
(10
)
 
$
25

All other futures contracts and options
(34
)
 
(29
)
Convertible securities(1)
5

 
5

Total investment and embedded derivative instruments
$
(39
)
 
$
1

GLB and other derivative instruments
 
 
 
GLB(2)
$
(228
)
 
$
(45
)
Futures contracts on equities(3)
(15
)
 
(11
)
Options on equity market indices(3)
—

 
(1
)
Other
(2
)
 
—

Total GLB and other derivative instruments
$
(245
)
 
$
(57
)
 
$
(284
)
 
$
(56
)
(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB blocks of business.
Transfer of Certain Financial Assets Accounted for as Secured Borrowings
 
 
Remaining contractual maturity

March 31, 2016
 
Overnight and Continuous

(in millions of U.S. dollars)
 
Collateral held under securities lending agreements:
 
 
Cash
 
$
434

U.S. Treasury and agency
 
89

Foreign
 
212

Corporate securities
 
2

Equity securities
 
266

 
 
$
1,003

Gross amount of recognized liability for securities lending payable
 
$
1,004

Difference (1)
 
$
(1
)
(1) 
The carrying value of the securities lending collateral held is $1 million lower than the securities lending payable due to accrued interest recorded in the securities lending payable.
Secured Borrowings Securities Lending Table Text Block [Table Text Block]
 
Remaining contractual maturity

March 31, 2016
Greater than 90 Days

(in millions of U.S. dollars)
Collateral pledged under repurchase agreements:
 
U.S. Treasury and agency
$
238

Mortgage-backed securities
1,235

 
$
1,473

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

Difference(1)
$
70

(1) 
Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.