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Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
Sep. 30, 2017
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, 2017
 
 
 
 
December 31, 2016
 
 
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)
 
$
8

 
$
(31
)
 
$
2,035

 
$
25

 
$
(50
)
 
$
2,220

Cross-currency swaps
OA / (AP)
 
—

 
—

 
45

 
—

 
—

 
95

Options/Futures contracts on notes and bonds
OA / (AP)
 
7

 
(6
)
 
1,437

 
6

 
(4
)
 
2,344

Convertible securities (1)
FM AFS / ES
 
—

 
—

 
4

 
2

 
—

 
7

 
 
 
$
15

 
$
(37
)
 
$
3,521

 
$
33

 
$
(54
)
 
$
4,666

Other derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts on equities (2)
OA / (AP)
 
$
—

 
$
(25
)
 
$
1,455

 
$
1

 
$
—

 
$
1,316

Other
OA / (AP)
 
—

 
(2
)
 
259

 
2

 
(13
)
 
214

 
 
 
$
—

 
$
(27
)
 
$
1,714

 
$
3

 
$
(13
)
 
$
1,530

GLB (3)
(AP) / (FPB)
 
$
—

 
$
(635
)
 
$
1,138

 
$
—

 
$
(853
)
 
$
1,264


(1) 
Includes fair value of embedded derivatives.
(2) 
Related to GMDB and GLB blocks of business.
(3) 
Includes both future policy benefits reserves and fair value derivative adjustment. 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.
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

 
December 31

 
 
2017

 
2016

(in millions of U.S. dollars)
 
Overnight and Continuous
 
Collateral held under securities lending agreements:
 
 
 
 
Cash
 
$
1,109

 
$
423

U.S. Treasury and agency
 
38

 
54

Foreign
 
491

 
578

Corporate securities
 
—

 
37

Mortgage-backed securities
 
46

 
—

Equity securities
 
73

 
—

 
 
$
1,757

 
$
1,092

Gross amount of recognized liability for securities lending payable
 
$
1,757

 
$
1,093

Difference (1)
 
$
—

 
$
(1
)
(1) 
The carrying value of the securities lending collateral held is $1 million lower than the securities lending payable at December 31, 2016 due to accrued interest recorded in the securities lending payable.

Secured Borrowings Securities Lending Table Text Block [Table Text Block]
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, 2017
 
 
December 31, 2016
 
 
Up to
30 Days

 
Greater than
90 Days

 
Total

 
Up to
30 Days

 
Greater than
90 Days

 
Total

(in millions of U.S. dollars)
 
 
 
 
Collateral pledged under repurchase agreements:
 
 
 
 
 
 
 
 
 
 
 
Cash
$
—

 
$
—

 
$
—

 
$
—

 
$
1

 
$
1

U.S. Treasury and agency
231

 
9

 
240

 
230

 
10

 
240

Mortgage-backed securities
343

 
858

 
1,201

 
339

 
881

 
1,220

 
$
574

 
$
867

 
$
1,441

 
$
569

 
$
892

 
$
1,461

Gross amount of recognized liabilities for repurchase agreements
 
 
 
 
$
1,408

 
 
 
 
 
$
1,403

Difference (1)
 
 
 
 
$
33

 
 
 
 
 
$
58
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)
2017

 
2016

2017

 
2016

Investment and embedded derivative instruments:
 
 
 
 
 
 
Foreign currency forward contracts
$
(7
)
 
$
(10
)
$
—

 
$
(30
)
All other futures contracts and options
(8
)
 
8

(25
)
 
(63
)
Convertible securities (1)
1

 
3

1

 
8

Total investment and embedded derivative instruments
$
(14
)
 
$
1

$
(24
)
 
$
(85
)
GLB and other derivative instruments:
 
 
 
 
 
 
GLB (2)
$
54

 
$
89

$
265

 
$
(270
)
Futures contracts on equities (3)
(57
)
 
(45
)
(169
)
 
(88
)
Other
(5
)
 
3

(4
)
 
1

Total GLB and other derivative instruments
$
(8
)
 
$
47

$
92

 
$
(357
)
 
$
(22
)
 
$
48

$
68

 
$
(442
)
(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB blocks of business.