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Commitments, contingencies, and guarantees (Tables) | 9 Months Ended
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Sep. 30, 2018
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, 2018 |  |  |  |  | December 31, 2017 |
| 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 |  |  | $ | (17 | ) |  | $ | 2,189 |  |  | $ | 14 |  |  | $ | (27 | ) |  | $ | 2,064 |
Cross-currency swaps | OA / (AP) |  | — |  |  | — |  |  | 45 |  |  | — |  |  | — |  |  | 45 |
Interest rate swaps | OA / (AP) |  | 26 |  |  | — |  |  | 5,000 |  |  | — |  |  | — |  |  | — |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 10 |  |  | (7 | ) |  | 1,181 |  |  | 4 |  |  | (3 | ) |  | 1,007 |
Convertible securities (1) | FM AFS / ES |  | 12 |  |  | — |  |  | 13 |  |  | 5 |  |  | — |  |  | 6 |
|  |  | $ | 67 |  |  | $ | (24 | ) |  | $ | 8,428 |  |  | $ | 23 |  |  | $ | (30 | ) |  | $ | 3,122 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | (7 | ) |  | $ | 1,095 |  |  | $ | — |  |  | $ | (21 | ) |  | $ | 1,553 |
Other | OA / (AP) |  | 5 |  |  | (2 | ) |  | 389 |  |  | 1 |  |  | (2 | ) |  | 75 |
|  |  | $ | 5 |  |  | $ | (9 | ) |  | $ | 1,484 |  |  | $ | 1 |  |  | $ | (23 | ) |  | $ | 1,628 |
GLB (3) | (AP) / (FPB) |  | $ | — |  |  | $ | (453 | ) |  | $ | 1,104 |  |  | $ | — |  |  | $ | (550 | ) |  | $ | 1,083 |
(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. 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) | 2018 |  |  | 2017 |  |  | 2018 |  |  | 2017 |
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (2 | ) |  | $ | (7 | ) |  | $ | 5 |  |  | $ | — |
Interest rate swaps | 26 |  |  | — |  |  | 26 |  |  | — |
All other futures contracts and options | 13 |  |  | (8 | ) |  | 47 |  |  | (25 | )
Convertible securities (1) | — |  |  | 1 |  |  | — |  |  | 1 |
Total investment and embedded derivative instruments | $ | 37 |  |  | $ | (14 | ) |  | $ | 78 |  |  | $ | (24 | )
GLB and other derivative instruments: |  |  |  |  |  |  |
GLB (1) | $ | 54 |  |  | $ | 54 |  |  | $ | 133 |  |  | $ | 265 |
Futures contracts on equities (2) | (100 | ) |  | (57 | ) |  | (122 | ) |  | (169 | )
Other | (8 | ) |  | (5 | ) |  | 2 |  |  | (4 | )
Total GLB and other derivative instruments | $ | (54 | ) |  | $ | (8 | ) |  | $ | 13 |  |  | $ | 92 |
| $ | (17 | ) |  | $ | (22 | ) |  | $ | 91 |  |  | $ | 68 |
(1) | Excludes foreign exchange gains (losses) related to GLB.
(2) | Related to GMDB and GLB blocks of business.
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 remaining contractual maturity of the underlying agreements:
| Remaining contractual maturity |
| September 30, 2018 |  |  | December 31, 2017 |
| Up to 30 Days |  |  | Greater than 90 Days |  |  | Total |  |  | Up to 30 Days |  |  | Greater than 90 Days |  |  | Total |
(in millions of U.S. dollars) |  |  |  |
Collateral pledged under repurchase agreements: |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and agency | $ | 4 |  |  | $ | 245 |  |  | $ | 249 |  |  | $ | 9 |  |  | $ | 230 |  |  | $ | 239 |
Mortgage-backed securities | 408 |  |  | 813 |  |  | 1,221 |  |  | 369 |  |  | 826 |  |  | 1,195 |
| $ | 412 |  |  | $ | 1,058 |  |  | $ | 1,470 |  |  | $ | 378 |  |  | $ | 1,056 |  |  | $ | 1,434 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  | $ | 1,414 |  |  |  |  |  |  | $ | 1,408 |
Difference (1) |  |  |  |  | $ | 56 |  |  |  |  |  |  | $ | 26 |
(1) | Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.
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 |  |  | December 31 |
|  | 2018 |  |  | 2017 |
(in millions of U.S. dollars) |  | Overnight and Continuous |
Collateral held under securities lending agreements: |  |  |  |
Cash |  | $ | 863 |  |  | $ | 828 |
U.S. Treasury and agency |  | 98 |  |  | 36 |
Foreign |  | 759 |  |  | 712 |
Corporate securities |  | 14 |  |  | — |
Mortgage-backed securities |  | 57 |  |  | 74 |
Equity securities |  | 352 |  |  | 87 |
|  | $ | 2,143 |  |  | $ | 1,737 |
Gross amount of recognized liability for securities lending payable |  | $ | 2,143 |  |  | $ | 1,737 |

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