Commitments, contingencies, and guarantees (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022						December 31, 2021
	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 derivatives not designated as hedging instruments:
Foreign currency forward contracts	OA / (AP)	$	72	$	(277)	$	5,211	$	25	$	(139)	$	6,182
Options/Futures contracts on notes, bonds, and equities	OA / (AP)	57		(29)		1,366		33		(27)		12,944
Convertible securities (1)	FM AFS / ES	32		—		41		11		—		12
		$	161	$	(306)	$	6,618	$	69	$	(166)	$	19,138
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	107	$	—	$	952	$	—	$	(16)	$	905
Other	OA / (AP)	2		—		301		—		—		3
		$	109	$	—	$	1,253	$	—	$	(16)	$	908
GLB (3)	(AP)	$	—	$	(784)	$	2,210	$	—	$	(745)	$	1,432
Derivatives designated as hedging instruments:
Cross-currency swaps - fair value hedges	OA / (AP)	$	—	$	(94)	$	1,501	$	—	$	—	$	—
Cross-currency swaps - net investment hedges	OA / (AP)	71		(7)		1,501		—		—		—
		$	71	$	(101)	$	3,002	$	—	$	—	$	—

(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				Nine Months Ended
	September 30				September 30
(in millions of U.S. dollars)	2022		2021		2022		2021
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(247)	$	(15)	$	(515)	$	(37)
All other futures contracts, options, and equities	49		6		285		45
Convertible securities (1)	—		—		(2)		1
Total investment and embedded derivative instruments	$	(198)	$	(9)	$	(232)	$	9
GLB and other derivative instruments:
GLB	$	22	$	(59)	$	(86)	$	252
Futures contracts on equities (2)	54		(4)		240		(112)
Other	(19)		(10)		(9)		(8)
Total GLB and other derivative instruments	$	57	$	(73)	$	145	$	132
	$	(141)	$	(82)	$	(87)	$	141

(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
	September 30, 2022		December 31, 2021
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	857	$	931
U.S. Treasury / Agency	93		128
Non-U.S.	641		752
Corporate and asset-backed securities	35		12
Mortgage-backed securities	—		1
Equity securities	—		7
	$	1,626	$	1,831
Gross amount of recognized liability for securities lending payable	$	1,626	$	1,831

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, 2022								December 31, 2021
	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	$	66	$	10	$	—	$	76	$	—	$	29	$	29
U.S. Treasury / Agency	—		102		—		102		103		—		103
Mortgage-backed securities	350		1,530		471		2,351		—		1,288		1,288
	$	416	$	1,642	$	471	$	2,529	$	103	$	1,317	$	1,420
Gross amount of recognized liabilities for repurchase agreements							$	2,417					$	1,406
Difference (1)							$	112					$	14

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