Commitments, contingencies, and guarantees (Tables)

9 Months Ended

Sep. 30, 2020

Commitments and Contingencies Disclosure [Abstract]

Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments

The following table presents the balance sheet locations, fair values of derivative instruments in an asset or (liability) position, and notional values/payment provisions of our derivative instruments:

				September 30, 2020						December 31, 2019
	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)	$	12	$	(73)	$	2,550	$	11	$	(78)	$	2,579
Options/Futures contracts on notes, bonds, and equities	OA / (AP)	12		(3)		1,457		13		(15)		1,615
Convertible securities (1)	FM AFS / ES	9		—		11		4		—		5
		$	33	$	(76)	$	4,018	$	28	$	(93)	$	4,199
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(1)	$	648	$	—	$	(13)	$	613
Other	OA / (AP)	3		—		113		2		—		63
		$	3	$	(1)	$	761	$	2	$	(13)	$	676
GLB (3)	(AP) / (FPB)	$	—	$	(1,318)	$	2,071	$	—	$	(897)	$	1,510

(1)Includes fair value of embedded derivatives.

(2)Related to GMDB and GLB book of business.

(3)Includes both future policy benefits reserves of $436 million and $441 million and fair value derivative adjustment of $882 million and $456 million at September 30, 2020 and December 31, 2019, respectively. 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

The following table presents net realized gains (losses) related to derivative instrument activity in the Consolidated statements of operations:

	Three Months Ended				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2020		2019		2020		2019
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	—	$	(20)	$	53	$	(57)
Interest rate swaps	—		(55)		—		(270)
All other futures contracts, options, and equities	9		(22)		(15)		(83)
Convertible securities (1)	—		—		—		2
Total investment and embedded derivative instruments	$	9	$	(97)	$	38	$	(408)
GLB and other derivative instruments:
GLB (2)	$	46	$	(106)	$	(426)	$	(57)
Futures contracts on equities (3)	(52)		(6)		(30)		(89)
Other	1		(14)		(2)		(8)
Total GLB and other derivative instruments	$	(5)	$	(126)	$	(458)	$	(154)
	$	4	$	(223)	$	(420)	$	(562)

(1)Includes embedded derivatives.

(2)Excludes foreign exchange gains (losses) related to GLB.

(3)Related to GMDB and GLB book of business.

Transfer of Certain Financial Assets Accounted for as Secured Borrowings

The following table presents the carrying value of collateral held under securities lending agreements by investment category and remaining contractual maturity of the underlying agreements:

	Remaining contractual maturity
	September 30, 2020		December 31, 2019
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	615	$	346
U.S. Treasury / Agency	101		6
Non-U.S.	1,047		595
Corporate and asset-backed securities	44		5
Mortgage-backed securities	—		18
Equity securities	44		24
	$	1,851	$	994
Gross amount of recognized liability for securities lending payable	$	1,851	$	994

The following table presents the carrying value of collateral pledged under repurchase agreements by investment category and remaining contractual maturity of the underlying agreements:

	Remaining contractual maturity
	September 30, 2020										December 31, 2019
	Up to 30 Days		30-90 Days		Greater than 90 Days		Total		Up to 30 Days		30-90 Days		Greater than 90 Days		Total
(in millions of U.S. dollars)
Collateral pledged under repurchase agreements:
Cash	$	4	$	—	$	—	$	4	$	2	$	—	$	—	$	2
U.S. Treasury / Agency	4		—		102		106		107		—		—		107
Mortgage-backed securities	390		462		471		1,323		399		476		480		1,355
	$	398	$	462	$	573	$	1,433	$	508	$	476	$	480	$	1,464
Gross amount of recognized liabilities for repurchase agreements							$	1,413							$	1,416
Difference (1)							$	20							$	48

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