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Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
Sep. 30, 2012
Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments
 
 
 
September 30, 2012
 
December 31, 2011
 
Consolidated
Balance
Sheet
Location
 
Fair
Value
 
Notional
Value/
Payment
Provision
 
Fair
Value
 
Notional
Value/
Payment
Provision
 
 
 
(in millions of U.S. dollars)
Investment and embedded derivative instruments
 
 
 
 
 
 
 
 
 
Foreign currency forward contracts
AP
 
$
(6
)
 
$
841

 
$
7

 
$
674

Cross-currency swaps
AP
 
—

 
50

 
—

 
—

Futures contracts on money market instruments
AP
 
3

 
2,200

 
7

 
10,476

Futures contracts on notes and bonds
AP
 
—

 
931

 
(4
)
 
1,055

Options on money market instruments
AP
 
—

 
3,030

 
—

 
292

Options on notes and bonds futures
AP
 
—

 
56

 
—

 
—

Convertible bonds
FM AFS
 
410

 
378

 
357

 
353

TBAs
FM AFS
 
75

 
71

 
60

 
56

 
 
 
$
482

 
$
7,557

 
$
427

 
$
12,906

Other derivative instruments
 
 
 
 
 
 
 
 
 
Futures contracts on equities(1)
AP
 
$
6

 
$
2,342

 
$
(16
)
 
$
1,367

Options on equity market indices(1)
AP
 
32

 
250

 
54

 
250

Credit default swaps
AP
 
—

 
—

 
3

 
350

Other
AP
 
—

 
6

 
—

 
6

 
 
 
$
38

 
$
2,598

 
$
41

 
$
1,973

GLB(2)
AP/FPB
 
$
(1,487
)
 
$
1,207

 
$
(1,505
)
 
$
1,378

____________________ 
(1) 
Related to GMDB and GLB blocks of business.
(2) 
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
 
Nine Months Ended
 
September 30
 
September 30
 
2012
 
2011
 
2012
 
2011
 
(in millions of U.S. dollars)
Investment and embedded derivative instruments
 
 
 
 
 
 
 
Foreign currency forward contracts
$
(9
)
 
$
15

 
$
(8
)
 
$
(3
)
All other futures contracts and options
—

 
(64
)
 
(20
)
 
(91
)
Convertible bonds
12

 
(41
)
 
24

 
(63
)
TBAs
1

 
1

 
1

 
—

Total investment and embedded derivative instruments
$
4

 
$
(89
)
 
$
(3
)
 
$
(157
)
GLB and other derivative instruments
 
 
 
 
 
 
 
GLB(1)
$
83

 
$
(926
)
 
$
44

 
$
(925
)
Futures contracts on equities(2)
(138
)
 
197

 
(286
)
 
134

Options on equity market indices(2)
(9
)
 
23

 
(22
)
 
18

Credit default swaps
—

 
2

 
(4
)
 
(1
)
Total GLB and other derivative instruments
$
(64
)
 
$
(704
)
 
$
(268
)
 
$
(774
)
 
$
(60
)
 
$
(793
)
 
$
(271
)
 
$
(931
)
 ____________________
(1) 
Excludes foreign exchange gains (losses) related to GLB.
(2) 
Related to GMDB and GLB blocks of business.