XML 39 R29.htm IDEA: XBRL DOCUMENT v3.22.2
Commitments, contingencies, and guarantees (Tables)
 6 Months Ended
Jun. 30, 2022
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:
June 30, 2022December 31, 2021
Consolidated
Balance Sheet
Location		Fair ValueNotional
Value/
Payment
Provision		Fair ValueNotional
Value/
Payment
Provision
(in millions of U.S. dollars)Derivative AssetDerivative (Liability)Derivative AssetDerivative (Liability)
Investment and embedded derivative
  instruments:
Foreign currency forward contractsOA / (AP)$67 $(153)$4,973 $25 $(139)$6,182 
Options/Futures contracts on notes, bonds, and equitiesOA / (AP)81 (10)5,782 33 (27)12,944 
Convertible securities (1)
FM AFS / ES17 — 22 11 — 12 
$165 $(163)$10,777 $69 $(166)$19,138 
Other derivative instruments:
Futures contracts on equities (2)
OA / (AP)$39 $— $772 $— $(16)$905 
OtherOA / (AP)21 — 304 — — 3 
$60 $— $1,076 $— $(16)$908 
GLB (3)
(AP)$— $(832)$2,086 $— $(745)$1,432 
(1)Includes fair value of embedded derivatives.
(2)Related to GMDB and GLB book of business.
(3)Note that the payment provision related to GLB is the net amount at risk. The concept of a notional value does not apply to the GLB reinsurance contracts.
Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations
The following table presents net realized gains (losses) related to derivative instrument activity in the Consolidated statements of operations:
Three Months EndedSix Months Ended
June 30June 30
(in millions of U.S. dollars)2022202120222021
Investment and embedded derivative instruments:
Foreign currency forward contracts$(214)$(6)$(268)$(22)
All other futures contracts, options, and equities134 (86)236 39 
Convertible securities (1)
(1)1 (2)1 
Total investment and embedded derivative instruments$(81)$(91)$(34)$18 
GLB and other derivative instruments:
GLB$(143)$(8)$(108)$311 
Futures contracts on equities (2)
144 (64)186 (108)
Other9 3 10 2 
Total GLB and other derivative instruments$10 $(69)$88 $205 
$(71)$(160)$54 $223 
(1)Includes embedded derivatives.
(2)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
June 30, 2022December 31, 2021
(in millions of U.S. dollars)Overnight and Continuous
Collateral held under securities lending agreements:
Cash$914 $931 
U.S. Treasury / Agency131 128 
Non-U.S.577 752 
Corporate and asset-backed securities33 12 
Mortgage-backed securities— 1 
Equity securities3 7 
$1,658 $1,831 
Gross amount of recognized liability for securities lending payable$1,658 $1,831 
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
June 30, 2022December 31, 2021
30-90 DaysGreater than
90 Days		Total30-90 DaysGreater than
90 Days		Total
(in millions of U.S. dollars)
Collateral pledged under repurchase agreements:
Cash$21 $24 $45 $— $29 $29 
U.S. Treasury / Agency104 — 104 103 — 103 
Corporate securities8 — 8 — — $— 
Mortgage-backed securities1,521 1,904 3,425 — 1,288 1,288 
$1,654 $1,928 $3,582 $103 $1,317 $1,420 
Gross amount of recognized liabilities for repurchase agreements$3,411 $1,406 
Difference (1)
$171 $14 
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.