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v3.23.2

Commitments, contingencies, and guarantees (Tables) | 6 Months Ended
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Jun. 30, 2023
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, 2023 |  |  |  |  |  | December 31, 2022
| 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 derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts | OA / (AP) |  | $ | 24 |  |  | $ | (131) |  |  | $ | 3,849 |  |  |  |  | $ | 64 |  |  | $ | (115) |  |  | $ | 4,134 |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 3 |  |  | (27) |  |  | 2,170 |  |  |  |  | 18 |  |  | (24) |  |  | 1,511 |
Convertible securities (1) | FM AFS / ES |  | 26 |  |  | — |  |  | 32 |  |  |  |  | 30 |  |  | — |  |  | 37 |
|  |  | $ | 53 |  |  | $ | (158) |  |  | $ | 6,051 |  |  |  |  | $ | 112 |  |  | $ | (139) |  |  | $ | 5,682 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | (32) |  |  | $ | 1,080 |  |  |  |  | $ | 33 |  |  | $ | — |  |  | $ | 939 |
Other | OA / (AP) |  | 10 |  |  | (4) |  |  | 348 |  |  |  |  | — |  |  | — |  |  | — |
|  |  | $ | 10 |  |  | $ | (36) |  |  | $ | 1,428 |  |  |  |  | $ | 33 |  |  | $ | — |  |  | $ | 939 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - fair value hedges | OA / (AP) |  | $ | 64 |  |  | $ | — |  |  | $ | 1,625 |  |  |  |  | $ | 17 |  |  | $ | — |  |  | $ | 1,595 |
Cross-currency swaps - net investment hedges | OA / (AP) |  | — |  |  | (47) |  |  | 1,625 |  |  |  |  | — |  |  | (53) |  |  | 1,604 |
|  |  | $ | 64 |  |  | $ | (47) |  |  | $ | 3,250 |  |  |  |  | $ | 17 |  |  | $ | (53) |  |  | $ | 3,199 |
(1)Includes fair value of embedded derivatives. (2)Related to MRB book of business.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location | The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for fair value hedges:
| Three Months Ended |  | Six Months Ended
| June 30 |  | June 30
(in millions of U.S. dollars) | 2023 |  | 2023
Gain recognized in OCI | $ | 57 |  |  | $ | 40 |
Net realized gains reclassified from OCI | 11 |  |  | 31 |
Interest expense reclassified from OCI | (4) |  |  | (8) |
OCI gain/(loss) after reclassifications | $ | 50 |  |  | $ | 17 |
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location | The following table presents pre-tax gains (losses) recognized in OCI and reclassified into earnings for net investment hedges:
| Three Months Ended |  | Six Months Ended
| June 30 |  | June 30
(in millions of U.S. dollars) | 2023 |  | 2023
Gain recognized in OCI | $ | 35 |  |  | $ | 12 |
Interest income reclassified from OCI | 4 |  |  | 7 |
OCI gain/(loss) after reclassifications | $ | 31 |  |  | $ | 5 |
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) | 2023 |  | 2022 |  | 2023 |  | 2022
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (27) |  |  | $ | (214) |  |  | $ | (78) |  |  | $ | (268) |
All other futures contracts, options, and equities | (29) |  |  | 134 |  |  | (24) |  |  | 236 |
Convertible securities (1) | 1 |  |  | (1) |  |  | 1 |  |  | (2) |
Total investment and embedded derivative instruments | $ | (55) |  |  | $ | (81) |  |  | $ | (101) |  |  | $ | (34) |
Other derivative instruments: |  |  |  |  |  |  |
Futures contracts on equities (2) | $ | (75) |  |  | $ | 144 |  |  | $ | (132) |  |  | $ | 186 |
Other | 2 |  |  | 9 |  |  | 1 |  |  | 10 |
Total other derivative instruments | $ | (73) |  |  | $ | 153 |  |  | $ | (131) |  |  | $ | 196 |
| $ | (128) |  |  | $ | 72 |  |  | $ | (232) |  |  | $ | 162 |
(1)Includes embedded derivatives. (2)Related to MRB 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, 2023 |  | December 31, 2022
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 741 |  |  | $ | 820 |
U.S. Treasury / Agency |  |  |  |  |  |  | 89 |  |  | 72 |
Non-U.S. |  |  |  |  |  |  | 663 |  |  | 604 |
Corporate and asset-backed securities |  |  |  |  |  |  | 28 |  |  | 27 |
Municipal |  |  |  |  |  |  | 4 |  |  | — |
|  |  |  |  |  |  | $ | 1,525 |  |  | $ | 1,523 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 1,525 |  |  | $ | 1,523 |
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, 2023 |  |  |  | December 31, 2022
| Up to 30 Days |  | 30-90 Days |  | Greater than 90 Days |  | Total |  | Up to 30 Days |  | 30-90 Days |  |  |  | Total
(in millions of U.S. dollars) |  |  |  |  |  |  |
Collateral pledged under repurchase agreements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash | $ | — |  |  | $ | — |  |  | $ | 2 |  |  | $ | 2 |  |  | $ | 12 |  |  | $ | — |  |  |  |  | $ | 12 |
U.S. Treasury / Agency | — |  |  | — |  |  | 102 |  |  | 102 |  |  | — |  |  | 101 |  |  |  |  | 101 |
Mortgage-backed securities | 1 |  |  | 51 |  |  | 1,409 |  |  | 1,461 |  |  | 921 |  |  | 493 |  |  |  |  | 1,414 |
| $ | 1 |  |  | $ | 51 |  |  | $ | 1,513 |  |  | $ | 1,565 |  |  | $ | 933 |  |  | $ | 594 |  |  |  |  | $ | 1,527 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  |  |  | $ | 1,518 |  |  |  |  |  |  |  |  | $ | 1,419 |
Difference (1) |  |  |  |  |  |  | $ | 47 |  |  |  |  |  |  |  |  | $ | 108 |
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

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