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Commitments, contingencies, and guarantees (Tables)
 9 Months Ended
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