Commitments, contingencies, and guarantees (Tables)

3 Months Ended

Mar. 31, 2023

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:

				March 31, 2023						December 31, 2022
	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 derivatives not designated as hedging instruments:
Foreign currency forward contracts	OA / (AP)	$	33	$	(128)	$	4,387	$	64	$	(115)	$	4,134
Options/Futures contracts on notes and bonds	OA / (AP)	26		(30)		1,861		18		(24)		1,511
Convertible securities (1)	FM AFS / ES	30		—		37		30		—		37
		$	89	$	(158)	$	6,285	$	112	$	(139)	$	5,682
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(45)	$	925	$	33	$	—	$	939
Other	OA / (AP)	5		(2)		457		—		—		—
		$	5	$	(47)	$	1,382	$	33	$	—	$	939
Derivatives designated as hedging instruments:
Cross-currency swaps - fair value hedges	OA / (AP)	$	8	$	—	$	1,587	$	17	$	—	$	1,595
Cross-currency swaps - net investment hedges	OA / (AP)	—		(82)		1,579		—		(53)		1,604
		$	8	$	(82)	$	3,166	$	17	$	(53)	$	3,199

(1)Includes fair value of embedded derivatives.

(2)Related to MRB book of business.

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
	March 31
(in millions of U.S. dollars)	2023		2022
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(51)	$	(54)
All other futures contracts, options, and equities	5		102
Convertible securities (1)	—		(1)
Total investment and embedded derivative instruments	$	(46)	$	47
Other derivative instruments:
Futures contracts on equities (2)	(57)		42
Other	(1)		1
Total other derivative instruments	$	(58)	$	43
	$	(104)	$	90

(1)Includes embedded derivatives.

(2)Related to MRB 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
	March 31, 2023		December 31, 2022
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	842	$	820
U.S. Treasury / Agency	78		72
Non-U.S.	626		604
Corporate and asset-backed securities	36		27
	$	1,582	$	1,523
Gross amount of recognized liability for securities lending payable	$	1,582	$	1,523

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
	March 31, 2023								December 31, 2022
	Up to 30 Days		30-90 Days		Total		Up to 30 Days		30-90 Days		Total
(in millions of U.S. dollars)
Collateral pledged under repurchase agreements:
Cash	$	7	$	—	$	7	$	12	$	—	$	12
U.S. Treasury / Agency	—		102		102		—		101		101
Mortgage-backed securities	907		487		1,394		921		493		1,414
	$	914	$	589	$	1,503	$	933	$	594	$	1,527
Gross amount of recognized liabilities for repurchase agreements					$	1,420					$	1,419
Difference (1)					$	83					$	108

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