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Commitments, contingencies, and guarantees (Tables) | 6 Months Ended
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Jun. 30, 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:
|  |  |  |  | June 30, 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) |  | $ | 16 |  |  | $ | (85) |  |  | $ | 2,462 |  |  |  |  | $ | 11 |  |  | $ | (78) |  |  | $ | 2,579 |
Options/Futures contracts on notes, bonds, and equities | OA / (AP) |  | 3 |  |  | (11) |  |  | 1,398 |  |  |  |  | 13 |  |  | (15) |  |  | 1,615 |
Convertible securities (1) | FM AFS / ES |  | 8 |  |  | — |  |  | 10 |  |  |  |  | 4 |  |  | — |  |  | 5 |
|  |  | $ | 27 |  |  | $ | (96) |  |  | $ | 3,870 |  |  |  |  | $ | 28 |  |  | $ | (93) |  |  | $ | 4,199 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | — |  |  | $ | 598 |  |  |  |  | $ | — |  |  | $ | (13) |  |  | $ | 613 |
Other | OA / (AP) |  | 1 |  |  | — |  |  | 97 |  |  |  |  | 2 |  |  | — |  |  | 63 |
|  |  | $ | 1 |  |  | $ | — |  |  | $ | 695 |  |  |  |  | $ | 2 |  |  | $ | (13) |  |  | $ | 676 |
GLB (3) | (AP) / (FPB) |  | $ | — |  |  | $ | (1,372) |  |  | $ | 2,196 |  |  |  |  | $ | — |  |  | $ | (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 $444 million and $441 million and fair value derivative adjustment of $928 million and $456 million at June 30, 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 |  |  |  | Six Months Ended |  |
| June 30 |  |  |  | June 30 |  |
(in millions of U.S. dollars) | 2020 |  | 2019 |  | 2020 |  | 2019
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | 10 |  |  | $ | (22) |  |  | $ | 53 |  |  | $ | (37) |
Interest rate swaps | — |  |  | (135) |  |  | — |  |  | (215) |
All other futures contracts, options, and equities | 3 |  |  | (25) |  |  | (24) |  |  | (61) |
Convertible securities (1) | 1 |  |  | 1 |  |  | — |  |  | 2 |
Total investment and embedded derivative instruments | $ | 14 |  |  | $ | (181) |  |  | $ | 29 |  |  | $ | (311) |
GLB and other derivative instruments: |  |  |  |  |  |  |
GLB (2) | $ | 213 |  |  | $ | (65) |  |  | $ | (472) |  |  | $ | 49 |
Futures contracts on equities (3) | (103) |  |  | (20) |  |  | 22 |  |  | (83) |
Other | (1) |  |  | 7 |  |  | (3) |  |  | 6 |
Total GLB and other derivative instruments | $ | 109 |  |  | $ | (78) |  |  | $ | (453) |  |  | $ | (28) |
| $ | 123 |  |  | $ | (259) |  |  | $ | (424) |  |  | $ | (339) |
(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 |  |
|  |  |  |  |  |  | June 30, 2020 |  | December 31, 2019
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous |  |
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 665 |  |  | $ | 346 |
U.S. Treasury / Agency |  |  |  |  |  |  | 52 |  |  | 6 |
Non-U.S. |  |  |  |  |  |  | 1,059 |  |  | 595 |
Corporate and asset-backed securities |  |  |  |  |  |  | 20 |  |  | 5 |
Mortgage-backed securities |  |  |  |  |  |  | — |  |  | 18 |
Equity securities |  |  |  |  |  |  | 36 |  |  | 24 |
|  |  |  |  |  |  | $ | 1,832 |  |  | $ | 994 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 1,832 |  |  | $ | 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 |  |  |  |  |  |  |  |  |  |  |
|  | June 30, 2020 |  |  |  |  |  |  | December 31, 2019 |  |  |  |
|  |  | 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 / Agency |  |  | 109 |  |  | 109 |  |  | 107 |  |  | — |  |  | — |  |  | 107 |
Mortgage-backed securities |  |  | 1,350 |  |  | 1,350 |  |  | 399 |  |  | 476 |  |  | 480 |  |  | 1,355 |
|  |  | $ | 1,460 |  |  | $ | 1,460 |  |  | $ | 508 |  |  | $ | 476 |  |  | $ | 480 |  |  | $ | 1,464 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  | $ | 1,409 |  |  |  |  |  |  |  |  | $ | 1,416 |
Difference (1) |  |  |  |  | $ | 51 |  |  |  |  |  |  |  |  | $ | 48 |
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

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