v3.2.0.727

Commitments, contingencies, and guarantees (Tables) | 6 Months Ended
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Jun. 30, 2015
Commitments and Contingencies Disclosure [Abstract] |
Balance Sheet Locations, Fair Values In An Asset Or (Liability) Position, And Notional Values/Payment Provisions Of Derivative Instruments |
|  |  |  |  | June 30, 2015 |  |  |  |  | December 31, 2014 |
| 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) |  | $ | 6 |  |  | $ | (13 | ) |  | $ | 1,309 |  |  | $ | 12 |  |  | $ | (7 | ) |  | $ | 1,329 |
Cross-currency swaps | OA / (AP) |  | — |  |  | — |  |  | 95 |  |  | — |  |  | — |  |  | 95 |
Futures contracts on money market instruments | OA / (AP) |  | 1 |  |  | (1 | ) |  | 4,355 |  |  | — |  |  | — |  |  | 2,467 |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 9 |  |  | (1 | ) |  | 920 |  |  | 6 |  |  | (29 | ) |  | 1,636 |
Convertible securities(1) | FM AFS / ES |  | 292 |  |  | — |  |  | 277 |  |  | 291 |  |  | — |  |  | 267 |
|  |  | $ | 308 |  |  | $ | (15 | ) |  | $ | 6,956 |  |  | $ | 309 |  |  | $ | (36 | ) |  | $ | 5,794 |
Other derivative instruments |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | 16 |  |  | $ | — |  |  | $ | 1,286 |  |  | $ | — |  |  | $ | (21 | ) |  | $ | 1,384 |
Options on equity market indices (2) | OA / (AP) |  | — |  |  | — |  |  | 250 |  |  | 2 |  |  | — |  |  | 250 |
Other | OA / (AP) |  | 7 |  |  | (3 | ) |  | 401 |  |  | — |  |  | (4 | ) |  | 10 |
|  |  | $ | 23 |  |  | $ | (3 | ) |  | $ | 1,937 |  |  | $ | 2 |  |  | $ | (25 | ) |  | $ | 1,644 |
GLB(3) | (AP) / (FPB) |  | $ | — |  |  | $ | (615 | ) |  | $ | 786 |  |  | $ | — |  |  | $ | (663 | ) |  | $ | 675 |
(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.
Transfer of Certain Financial Assets Accounted for as Secured Borrowings | The following table presents the carrying value of collateral pledged under repurchase agreements by investment category and maturity date of the underlying agreements:
| Remaining contractual maturity |
June 30, 2015 | 30 - 90 Days |  |  | Greater than 90 Days |  |  | Total |
(in millions of U.S. dollars) |  |
Collateral pledged under repurchase agreements: |  |  |  |  |
Cash | $ | — |  |  | $ | 5 |  |  | $ | 5 |
U.S. Treasury and agency | 62 |  |  | 176 |  |  | 238 |
Mortgage-backed securities | 86 |  |  | 1,129 |  |  | 1,215 |
| $ | 148 |  |  | $ | 1,310 |  |  | $ | 1,458 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  | $ | 1,402 |
Difference(1) |  |  |  |  | $ | 56 |
(1) | Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.
Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations |
| Three Months Ended |  | Six Months Ended |
| June 30 |  | June 30 |
(in millions of U.S. dollars) | 2015 |  |  | 2014 |  | 2015 |  |  | 2014 |
Investment and embedded derivative instruments |  |  |  |  |  |
Foreign currency forward contracts | $ | (10 | ) |  | $ | (1 | ) | $ | 15 |  |  | $ | (4 | )
All other futures contracts and options | 42 |  |  | (18 | ) | 13 |  |  | (40 | )
Convertible securities(1) | (5 | ) |  | 4 |  | — |  |  | 4 |
Total investment and embedded derivative instruments | $ | 27 |  |  | $ | (15 | ) | $ | 28 |  |  | $ | (40 | )
GLB and other derivative instruments |  |  |  |  |  |
GLB(2) | $ | 104 |  |  | $ | 2 |  | $ | 59 |  |  | $ | (46 | )
Futures contracts on equities(3) | (2 | ) |  | (71 | ) | (13 | ) |  | (88 | )
Options on equity market indices(3) | — |  |  | (1 | ) | (1 | ) |  | (3 | )
Other | (1 | ) |  | 9 |  | (1 | ) |  | 7 |
Total GLB and other derivative instruments | $ | 101 |  |  | $ | (61 | ) | $ | 44 |  |  | $ | (130 | )
| $ | 128 |  |  | $ | (76 | ) | $ | 72 |  |  | $ | (170 | )
(1) | Includes embedded derivatives.
(2) | Excludes foreign exchange gains (losses) related to GLB.
(3) | Related to GMDB and GLB blocks of business.

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- Definition Schedule of derivative instruments by type showing balance sheet location, fair values in an asset or liability position, and notional values/payment provisions. + References No definition available. + Details
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- Definition Tabular disclosure of the nature and risks of short-term collateralized financing obtained through repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, accounted for as secured borrowings. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 30 -Section 50 -Paragraph 7 -URI http://asc.fasb.org/extlink&oid=55761124&loc=SL34722452-111729 + Details
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