Commitments, contingencies, and guarantees (Tables)

6 Months Ended

Jun. 30, 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:

				June 30, 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)	$	24	$	(131)	$	3,849	$	64	$	(115)	$	4,134
Options/Futures contracts on notes and bonds	OA / (AP)	3		(27)		2,170		18		(24)		1,511
Convertible securities (1)	FM AFS / ES	26		—		32		30		—		37
		$	53	$	(158)	$	6,051	$	112	$	(139)	$	5,682
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(32)	$	1,080	$	33	$	—	$	939
Other	OA / (AP)	10		(4)		348		—		—		—
		$	10	$	(36)	$	1,428	$	33	$	—	$	939
Derivatives designated as hedging instruments:
Cross-currency swaps - fair value hedges	OA / (AP)	$	64	$	—	$	1,625	$	17	$	—	$	1,595
Cross-currency swaps - net investment hedges	OA / (AP)	—		(47)		1,625		—		(53)		1,604
		$	64	$	(47)	$	3,250	$	17	$	(53)	$	3,199

(1)Includes fair value of embedded derivatives.

(2)Related to MRB book of business.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for fair value hedges:

	Three Months Ended		Six Months Ended
	June 30		June 30
(in millions of U.S. dollars)	2023		2023
Gain recognized in OCI	$	57	$	40
Net realized gains reclassified from OCI	11		31
Interest expense reclassified from OCI	(4)		(8)
OCI gain/(loss) after reclassifications	$	50	$	17

Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location

The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for net investment hedges:

	Three Months Ended		Six Months Ended
	June 30		June 30
(in millions of U.S. dollars)	2023		2023
Gain recognized in OCI	$	35	$	12
Interest income reclassified from OCI	4		7
OCI gain/(loss) after reclassifications	$	31	$	5

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				Six Months Ended
	June 30				June 30
(in millions of U.S. dollars)	2023		2022		2023		2022
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(27)	$	(214)	$	(78)	$	(268)
All other futures contracts, options, and equities	(29)		134		(24)		236
Convertible securities (1)	1		(1)		1		(2)
Total investment and embedded derivative instruments	$	(55)	$	(81)	$	(101)	$	(34)
Other derivative instruments:
Futures contracts on equities (2)	$	(75)	$	144	$	(132)	$	186
Other	2		9		1		10
Total other derivative instruments	$	(73)	$	153	$	(131)	$	196
	$	(128)	$	72	$	(232)	$	162

(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
	June 30, 2023		December 31, 2022
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	741	$	820
U.S. Treasury / Agency	89		72
Non-U.S.	663		604
Corporate and asset-backed securities	28		27
Municipal	4		—
	$	1,525	$	1,523
Gross amount of recognized liability for securities lending payable	$	1,525	$	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
	June 30, 2023										December 31, 2022
	Up to 30 Days		30-90 Days		Greater than 90 Days		Total		Up to 30 Days		30-90 Days		Total
(in millions of U.S. dollars)
Collateral pledged under repurchase agreements:
Cash	$	—	$	—	$	2	$	2	$	12	$	—	$	12
U.S. Treasury / Agency	—		—		102		102		—		101		101
Mortgage-backed securities	1		51		1,409		1,461		921		493		1,414
	$	1	$	51	$	1,513	$	1,565	$	933	$	594	$	1,527
Gross amount of recognized liabilities for repurchase agreements							$	1,518					$	1,419
Difference (1)							$	47					$	108

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