XML 28 R27.htm IDEA: XBRL DOCUMENT v3.19.3
Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
Sep. 30, 2019
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, 2019
 
 
 
 
December 31, 2018
 
 
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)
 
$
10

 
$
(59
)
 
$
2,888

 
$
15

 
$
(19
)
 
$
2,185

Cross-currency swaps
OA / (AP)
 
—

 
—

 
—

 
—

 
—

 
45

Interest rate swaps
OA / (AP)
 
—

 
—

 
—

 
—

 
(115
)
 
5,250

Options/Futures contracts on notes, bonds, and equities
OA / (AP)
 
12

 
(4
)
 
853

 
13

 
(19
)
 
1,046

Convertible securities (1)
FM AFS / ES
 
5

 
—

 
8

 
9

 
—

 
11

TBAs
FM AFS
 
—

 
—

 
—

 
6

 
—

 
6

 
 
 
$
27

 
$
(63
)
 
$
3,749

 
$
43


$
(153
)

$
8,543

Other derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts on equities (2)
OA / (AP)
 
$
6

 
$
—

 
$
582

 
$
23

 
$
—

 
$
507

Other
OA / (AP)
 
1

 
—

 
207

 
2

 
—

 
74

 
 
 
$
7

 
$
—

 
$
789

 
$
25

 
$
—

 
$
581

GLB (3)
(AP) / (FPB)
 
$
—

 
$
(935
)
 
$
1,729

 
$
—

 
$
(861
)
 
$
1,750


(1) 
Includes fair value of embedded derivatives.
(2) 
Related to GMDB and GLB blocks of business.
(3) 
Includes both future policy benefits reserves of $426 million and $409 million and fair value derivative adjustment of $509 million and $452 million at September 30, 2019 and December 31, 2018, respectively. 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 Ended
 
 
Nine Months Ended
 
 
September 30
 
 
September 30
 
(in millions of U.S. dollars)
2019

 
2018

 
2019

 
2018

Investment and embedded derivative instruments:
 
 
 
 
 
 
 
Foreign currency forward contracts
$
(20
)
 
$
(2
)
 
$
(57
)
 
$
5

Interest rate swaps
(55
)
 
26

 
(270
)
 
26

All other futures contracts, options, and equities
(22
)
 
13

 
(83
)
 
47

Convertible securities (1)
—

 
—

 
2

 
—

Total investment and embedded derivative instruments
$
(97
)
 
$
37

 
$
(408
)
 
$
78

GLB and other derivative instruments:
 
 
 
 
 
 
 
GLB (2)
$
(106
)
 
$
54

 
$
(57
)
 
$
133

Futures contracts on equities (3)
(6
)
 
(100
)
 
(89
)
 
(122
)
Other
(14
)
 
(8
)
 
(8
)
 
2

Total GLB and other derivative instruments
$
(126
)
 
$
(54
)
 
$
(154
)
 
$
13

 
$
(223
)
 
$
(17
)
 
$
(562
)
 
$
91

(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB books 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
 
 
 
September 30

 
December 31

 
 
2019

 
2018

(in millions of U.S. dollars)
 
Overnight and Continuous
 
Collateral held under securities lending agreements:
 
 
 
 
Cash
 
$
562

 
$
756

U.S. Treasury and agency
 
70

 
64

Foreign
 
249

 
795

Corporate securities
 
17

 
15

Mortgage-backed securities
 
18

 
45

Equity securities
 
46

 
251

 
 
$
962

 
$
1,926

Gross amount of recognized liability for securities lending payable
 
$
962

 
$
1,926



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, 2019
 
 
December 31, 2018
 
 
30-90 Days

 
Greater than
90 Days

 
Total

 
30-90 Days

 
Greater than
90 Days

 
Total

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

 
$
107

 
$
107

 
$
—

 
$
259

 
$
259

Mortgage-backed securities
488

 
879

 
1,367

 
496

 
713

 
1,209

 
$
488

 
$
986

 
$
1,474

 
$
496

 
$
972

 
$
1,468

Gross amount of recognized liabilities for repurchase agreements
 
 
 
 
$
1,416

 
 
 
 
 
$
1,418

Difference (1)
 
 
 
 
$
58

 
 
 
 
 
$
50


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