v2.4.0.8
Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
Sep. 30, 2014
Commitments and Contingencies Disclosure [Abstract]  
Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments
 
 
 
 
 
September 30, 2014
 
 
 
 
December 31, 2013
 
 
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)
 
$
14

 
$
(2
)
 
$
1,010

 
$
3

 
$
(4
)
 
$
1,202

Cross-currency swaps
OA / (AP)
 
—

 
—

 
95

 
—

 
—

 
50

Futures contracts on money market instruments
OA / (AP)
 
2

 
—

 
1,000

 
3

 
—

 
3,910

Options/Futures contracts on notes and bonds
OA / (AP)
 
7

 
(3
)
 
1,145

 
13

 
(2
)
 
871

Convertible securities(1)
FM AFS / ES
 
303

 
—

 
268

 
302

 
—

 
254

 
 
 
$
326

 
$
(5
)
 
$
3,518

 
$
321

 
$
(6
)
 
$
6,287

Other derivative instruments
 
 
 
 
 
 
 
 
 
 
 
 
 
Futures contracts on equities (2)
OA / (AP)
 
$
11

 
$
—

 
$
1,427

 
$
—

 
$
(60
)
 
$
1,692

Options on equity market indices (2)
OA / (AP)
 
2

 
—

 
250

 
6

 
—

 
250

Other
OA / (AP)
 
—

 
(2
)
 
8

 
—

 
(2
)
 
8

 
 
 
$
13

 
$
(2
)
 
$
1,685

 
$
6

 
$
(62
)
 
$
1,950

GLB(3)
(AP) / (FPB)
 
$
—

 
$
(566
)
 
$
409

 
$
—

 
$
(427
)
 
$
277


(1) 
Includes fair value of embedded derivatives.
(2) 
Related to GMDB and GLB blocks of business.
(3) 
Includes both future policy benefits reserves and fair value derivative adjustment. Refer to Note 5 for additional information. 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
 
Three Months Ended
 
 
Nine Months Ended
 
 
September 30
 
 
September 30
 
(in millions of U.S. dollars)
2014

 
2013

 
2014

 
2013

Investment and embedded derivative instruments
 
 
 
 
 
 
 
Foreign currency forward contracts
$
19

 
$
(9
)
 
$
15

 
$
8

All other futures contracts and options
(15
)
 
6

 
(55
)
 
46

Convertible securities(1)
(17
)
 
6

 
(13
)
 
7

TBAs
—

 
1

 
—

 
1

Total investment and embedded derivative instruments
$
(13
)
 
$
4

 
$
(53
)
 
$
62

GLB and other derivative instruments
 
 
 
 
 
 
 
GLB(2)
$
(80
)
 
$
134

 
$
(126
)
 
$
563

Futures contracts on equities(3)
(15
)
 
(90
)
 
(103
)
 
(393
)
Options on equity market indices(3)
—

 
(5
)
 
(3
)
 
(20
)
Other
45

 
(1
)
 
52

 
(2
)
Total GLB and other derivative instruments
$
(50
)
 
$
38

 
$
(180
)
 
$
148

 
$
(63
)
 
$
42

 
$
(233
)
 
$
210

(1) 
Includes embedded derivatives.
(2) 
Excludes foreign exchange gains (losses) related to GLB.
(3) 
Related to GMDB and GLB blocks of business.