Commitments, contingencies, and guarantees (Tables)

3 Months Ended

Mar. 31, 2024

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 location, fair value of derivative instruments in an asset or (liability) position, and notional value/payment provision of our derivative instruments:

				March 31, 2024						December 31, 2023
	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)	$	23	$	(135)	$	3,647	$	27	$	(94)	$	3,662
Options/Futures contracts on notes and bonds	OA / (AP)	5		(9)		1,746		27		(42)		2,062
Convertible securities (1)	FM AFS / ES	64		—		69		56		—		64
		$	92	$	(144)	$	5,462	$	110	$	(136)	$	5,788
Other derivative instruments:
Futures contracts on equities (2)	OA / (AP)	$	—	$	(22)	$	1,162	$	—	$	(37)	$	1,157
Other	OA / (AP)	1		(6)		269		—		(5)		217
		$	1	$	(28)	$	1,431	$	—	$	(42)	$	1,374
Derivatives designated as hedging instruments:
Cross-currency swaps - fair value hedges	OA / (AP)	$	133	$	—	$	1,642	$	126	$	—	$	1,631
Cross-currency swaps - net investment hedges	OA / (AP)	16		(110)		1,625		10		(128)		1,619
		$	149	$	(110)	$	3,267	$	136	$	(128)	$	3,250

(1)Includes fair value of embedded derivatives.

(2)Related to MRB book of business.

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

	Three Months Ended
	March 31
(pre-tax, in millions of U.S. dollars)	2024		2023
Gain (loss) recognized in OCI	$	(8)	$	(17)
Net realized gain (loss) reclassified from OCI	(37)		20
Interest expense reclassified from OCI	(4)		(4)
OCI gain (loss) after reclassifications	$	33	$	(33)

Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location

	Three Months Ended
	March 31
(pre-tax, in millions of U.S. dollars)	2024		2023
Gain (loss) recognized in OCI	$	36	$	(23)
Interest income reclassified from OCI	3		3
OCI gain (loss) after reclassifications	$	33	$	(26)

Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations

The following table presents net gains (losses) related to derivative instrument activity in the Consolidated statements of operations:

	Three Months Ended
	March 31
(in millions of U.S. dollars)	2024		2023
Investment and embedded derivative instruments:
Foreign currency forward contracts	$	(52)	$	(51)
All other futures contracts, options, and equities	6		5
Convertible securities (1)	3		—
Total investment and embedded derivative instruments	$	(43)	$	(46)
Other derivative instruments:
Futures contracts on equities (2)	(95)		(57)
Other	(2)		(1)
Total other derivative instruments	$	(97)	$	(58)
	$	(140)	$	(104)

(1)Includes embedded derivatives.

(2)Related to MRB 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, 2024		December 31, 2023
(in millions of U.S. dollars)	Overnight and Continuous
Collateral held under securities lending agreements:
Cash	$	698	$	555
U.S. Treasury / Agency	275		33
Non-U.S.	654		621
Corporate and asset-backed securities	60		57
Municipal	4		6
Equity securities	17		27
	$	1,708	$	1,299
Gross amount of recognized liability for securities lending payable	$	1,708	$	1,299

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, 2024						December 31, 2023
	Up to 30 Days		30-90 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	$	—	$	4	$	4	$	—	$	33	$	1	$	34
Non-U.S.	1,579		—		1,579		1,355		—		—		1,355
U.S. Treasury / Agency	—		100		100		—		105		—		105
Mortgage-backed securities	488		926		1,414		—		913		517		1,430
	$	2,067	$	1,030	$	3,097	$	1,355	$	1,051	$	518	$	2,924
Gross amount of recognized liabilities for repurchase agreements					$	3,022							$	2,833
Difference (1)					$	75							$	91

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