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Commitments, contingencies, and guarantees (Tables)
 3 Months Ended
Mar. 31, 2020
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, 2020
 
 
 
 
December 31, 2019
 
 
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)
 
$
32

 
$
(109
)
 
$
2,639

 
$
11

 
$
(78
)
 
$
2,579

Options/Futures contracts on notes, bonds, and equities
OA / (AP)
 
15

 
(32
)
 
1,116

 
13

 
(15
)
 
1,615

Convertible securities (1)
FM AFS / ES
 
4

 
—

 
5

 
4

 
—

 
5

 
 
 
$
51

 
$
(141
)
 
$
3,760

 
$
28


$
(93
)

$
4,199

Other derivative instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts on equities (2)
OA / (AP)
 
$
17

 
$
—

 
$
514

 
$
—

 
$
(13
)
 
$
613

Other
OA / (AP)
 
2

 
—

 
103

 
2

 
—

 
63

 
 
 
$
19

 
$
—

 
$
617

 
$
2

 
$
(13
)
 
$
676

GLB (3)
(AP) / (FPB)
 
$
—

 
$
(1,591
)
 
$
2,680

 
$
—

 
$
(897
)
 
$
1,510


(1) 
Includes fair value of embedded derivatives.
(2) 
Related to GMDB and GLB book of business.
(3) 
Includes both future policy benefits reserves of $450 million and $441 million and fair value derivative adjustment of $1,141 million and $456 million at March 31, 2020 and December 31, 2019, 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
 
 
March 31
 
(in millions of U.S. dollars)
2020

 
2019

Investment and embedded derivative instruments:
 
 
 
Foreign currency forward contracts
$
43

 
$
(15
)
Interest rate swaps
—

 
(80
)
All other futures contracts, options, and equities
(27
)
 
(36
)
Convertible securities (1)
(1
)
 
1

Total investment and embedded derivative instruments
$
15

 
$
(130
)
GLB and other derivative instruments:
 
 
 
GLB (2)
$
(685
)
 
$
114

Futures contracts on equities (3)
125

 
(63
)
Other
(2
)
 
(1
)
Total GLB and other derivative instruments
$
(562
)
 
$
50

 
$
(547
)
 
$
(80
)
(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB 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, 2020

 
December 31, 2019

(in millions of U.S. dollars)
 
Overnight and Continuous
 
Collateral held under securities lending agreements:
 
 
 
 
Cash
 
$
675

 
$
346

U.S. Treasury and agency
 
15

 
6

Foreign
 
609

 
595

Corporate securities
 
3

 
5

Mortgage-backed securities
 
17

 
18

Equity securities
 
23

 
24

 
 
$
1,342

 
$
994

Gross amount of recognized liability for securities lending payable
 
$
1,342

 
$
994



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, 2020
 
 
 
 
December 31, 2019
 
 
30-90 Days

 
Greater than
90 Days

 
Total

 
Up to 30 Days

 
30-90 Days

 
Greater than
90 Days

 
Total

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

 
$
1

 
$
1

 
$
2

 
$
—

 
$
—

 
$
2

U.S. Treasury and agency
—

 
105

 
105

 
107

 
—

 
—

 
107

Mortgage-backed securities
499

 
887

 
1,386

 
399

 
476

 
480

 
1,355

 
$
499

 
$
993

 
$
1,492

 
$
508

 
$
476

 
$
480

 
$
1,464

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

 
 
 
 
 
 
 
$
1,416

Difference (1)
 
 
 
 
$
84

 
 
 
 
 
 
 
$
48


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