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Commitments, contingencies, and guarantees (Tables) | 3 Months Ended
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Mar. 31, 2020
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:
|  |  |  |  | March 31, 2020 |  |  |  |  | December 31, 2019 |
| 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) |  | $ | 32 |  |  | $ | (109 | ) |  | $ | 2,639 |  |  | $ | 11 |  |  | $ | (78 | ) |  | $ | 2,579 |
Options/Futures contracts on notes, bonds, and equities | OA / (AP) |  | 15 |  |  | (32 | ) |  | 1,116 |  |  | 13 |  |  | (15 | ) |  | 1,615 |
Convertible securities (1) | FM AFS / ES |  | 4 |  |  | — |  |  | 5 |  |  | 4 |  |  | — |  |  | 5 |
|  |  | $ | 51 |  |  | $ | (141 | ) |  | $ | 3,760 |  |  | $ | 28 |  |  | $ | (93 | ) |  | $ | 4,199 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | 17 |  |  | $ | — |  |  | $ | 514 |  |  | $ | — |  |  | $ | (13 | ) |  | $ | 613 |
Other | OA / (AP) |  | 2 |  |  | — |  |  | 103 |  |  | 2 |  |  | — |  |  | 63 |
|  |  | $ | 19 |  |  | $ | — |  |  | $ | 617 |  |  | $ | 2 |  |  | $ | (13 | ) |  | $ | 676 |
GLB (3) | (AP) / (FPB) |  | $ | — |  |  | $ | (1,591 | ) |  | $ | 2,680 |  |  | $ | — |  |  | $ | (897 | ) |  | $ | 1,510 |
(1) | Includes fair value of embedded derivatives.
(2) | Related to GMDB and GLB book of business.
(3) Includes both future policy benefits reserves of $450 million and $441 million and fair value derivative adjustment of $1,141 million and $456 million at March 31, 2020 and December 31, 2019, respectively. 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 |
| March 31 |
(in millions of U.S. dollars) | 2020 |  |  | 2019 |
Investment and embedded derivative instruments: |  |  |
Foreign currency forward contracts | $ | 43 |  |  | $ | (15 | )
Interest rate swaps | — |  |  | (80 | )
All other futures contracts, options, and equities | (27 | ) |  | (36 | )
Convertible securities (1) | (1 | ) |  | 1 |
Total investment and embedded derivative instruments | $ | 15 |  |  | $ | (130 | )
GLB and other derivative instruments: |  |  |
GLB (2) | $ | (685 | ) |  | $ | 114 |
Futures contracts on equities (3) | 125 |  |  | (63 | )
Other | (2 | ) |  | (1 | )
Total GLB and other derivative instruments | $ | (562 | ) |  | $ | 50 |
| $ | (547 | ) |  | $ | (80 | )
(1) | Includes embedded derivatives.
(2) | Excludes foreign exchange gains (losses) related to GLB.
(3) | Related to GMDB and GLB 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, 2020 |  |  | December 31, 2019 |
(in millions of U.S. dollars) |  | Overnight and Continuous |
Collateral held under securities lending agreements: |  |  |  |
Cash |  | $ | 675 |  |  | $ | 346 |
U.S. Treasury and agency |  | 15 |  |  | 6 |
Foreign |  | 609 |  |  | 595 |
Corporate securities |  | 3 |  |  | 5 |
Mortgage-backed securities |  | 17 |  |  | 18 |
Equity securities |  | 23 |  |  | 24 |
|  | $ | 1,342 |  |  | $ | 994 |
Gross amount of recognized liability for securities lending payable |  | $ | 1,342 |  |  | $ | 994 |
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, 2020 |  |  |  |  | December 31, 2019 |
| 30-90 Days |  |  | Greater than 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 | $ | — |  |  | $ | 1 |  |  | $ | 1 |  |  | $ | 2 |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |
U.S. Treasury and agency | — |  |  | 105 |  |  | 105 |  |  | 107 |  |  | — |  |  | — |  |  | 107 |
Mortgage-backed securities | 499 |  |  | 887 |  |  | 1,386 |  |  | 399 |  |  | 476 |  |  | 480 |  |  | 1,355 |
| $ | 499 |  |  | $ | 993 |  |  | $ | 1,492 |  |  | $ | 508 |  |  | $ | 476 |  |  | $ | 480 |  |  | $ | 1,464 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  | $ | 1,408 |  |  |  |  |  |  |  |  | $ | 1,416 |
Difference (1) |  |  |  |  | $ | 84 |  |  |  |  |  |  |  |  | $ | 48 |
(1) Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

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