Commitments, contingencies, and guarantees (Tables)

6 Months Ended

Jun. 30, 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:

				June 30, 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)	$	19	$	(57)	$	4,384	$	22	$	(49)	$	2,807
Options/Futures contracts on notes, bonds, and equities	OA / (AP)	36		(37)		12,543		13		(3)		1,749
Convertible securities (1)	FM AFS / ES	12		—		13		9		—		11
		$	67	$	(94)	$	16,940	$	44	$	(52)	$	4,567
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(12)	$	818	$	—	$	(17)	$	709
Other	OA / (AP)	10		—		175		—		—		16
		$	10	$	(12)	$	993	$	—	$	(17)	$	725
GLB (3)	(AP)	$	—	$	(760)	$	1,423	$	—	$	(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				Six Months Ended
	June 30				June 30
(in millions of U.S. dollars)	2021		2020		2021		2020
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(6)	$	10	$	(22)	$	53
All other futures contracts, options, and equities	(86)		3		39		(24)
Convertible securities (1)	1		1		1		—
Total investment and embedded derivative instruments	$	(91)	$	14	$	18	$	29
GLB and other derivative instruments:
GLB	$	(8)	$	213	$	311	$	(472)
Futures contracts on equities (2)	(64)		(103)		(108)		22
Other	3		(1)		2		(3)
Total GLB and other derivative instruments	$	(69)	$	109	$	205	$	(453)
	$	(160)	$	123	$	223	$	(424)

(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
	June 30, 2021		December 31, 2020
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	1,179	$	551
U.S. Treasury / Agency	147		148
Non-U.S.	885		1,032
Corporate and asset-backed securities	9		30
Mortgage-backed securities	1		4
Equity securities	148		79
	$	2,369	$	1,844
Gross amount of recognized liability for securities lending payable	$	2,369	$	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
	June 30, 2021								December 31, 2020
	Up to 30 Days		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	$	16	$	—	$	—	$	16	$	—	$	4	$	4
U.S. Treasury / Agency	4		—		104		108		—		106		106
Mortgage-backed securities	367		488		486		1,341		481		871		1,352
	$	387	$	488	$	590	$	1,465	$	481	$	981	$	1,462
Gross amount of recognized liabilities for repurchase agreements							$	1,405					$	1,405
Difference (1)							$	60					$	57

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