Commitments, contingencies, and guarantees (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021						December 31, 2020
	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)	$	21	$	(69)	$	3,657	$	22	$	(49)	$	2,807
Options/Futures contracts on notes, bonds, and equities	OA / (AP)	48		(10)		2,063		13		(3)		1,749
Convertible securities (1)	FM AFS / ES	11		—		13		9		—		11
		$	80	$	(79)	$	5,733	$	44	$	(52)	$	4,567
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(7)	$	761	$	—	$	(17)	$	709
Other	OA / (AP)	2		—		52		—		—		16
		$	2	$	(7)	$	813	$	—	$	(17)	$	725
GLB (3)	(AP)	$	—	$	(760)	$	1,506	$	—	$	(1,089)	$	1,658

(1)Includes fair value of embedded derivatives.

(2)Related to GMDB and GLB book of business.

(3)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)	2021		2020
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(16)	$	43
All other futures contracts, options, and equities	125		(27)
Convertible securities (1)	—		(1)
Total investment and embedded derivative instruments	$	109	$	15
GLB and other derivative instruments:
GLB	$	319	$	(685)
Futures contracts on equities (2)	(44)		125
Other	(1)		(2)
Total GLB and other derivative instruments	$	274	$	(562)
	$	383	$	(547)

(1)Includes embedded derivatives.

(2)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, 2021		December 31, 2020
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	732	$	551
U.S. Treasury / Agency	116		148
Non-U.S.	1,068		1,032
Corporate and asset-backed securities	21		30
Mortgage-backed securities	1		4
Equity securities	138		79
	$	2,076	$	1,844
Gross amount of recognized liability for securities lending payable	$	2,076	$	1,844

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, 2021						December 31, 2020
	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:
Cash	$	—	$	10	$	10	$	—	$	4	$	4
U.S. Treasury / Agency	102		4		106		—		106		106
Mortgage-backed securities	—		1,342		1,342		481		871		1,352
	$	102	$	1,356	$	1,458	$	481	$	981	$	1,462
Gross amount of recognized liabilities for repurchase agreements					$	1,405					$	1,405
Difference (1)					$	53					$	57

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