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Commitments, contingencies, and guarantees (Tables) | 9 Months Ended
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Sep. 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 location, fair value of derivative instruments in an asset or (liability) position, and notional value/payment provision of our derivative instruments:
|  |  |  |  | September 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) |  | $ | 15 |  |  | $ | (147) |  |  | $ | 3,711 |  |  |  |  | $ | 64 |  |  | $ | (115) |  |  | $ | 4,134 |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 27 |  |  | (21) |  |  | 2,150 |  |  |  |  | 18 |  |  | (24) |  |  | 1,511 |
Convertible securities (1) | FM AFS / ES |  | 53 |  |  | — |  |  | 61 |  |  |  |  | 30 |  |  | — |  |  | 37 |
|  |  | $ | 95 |  |  | $ | (168) |  |  | $ | 5,922 |  |  |  |  | $ | 112 |  |  | $ | (139) |  |  | $ | 5,682 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | 48 |  |  | $ | — |  |  | $ | 1,119 |  |  |  |  | $ | 33 |  |  | $ | — |  |  | $ | 939 |
Other | OA / (AP) |  | 5 |  |  | (4) |  |  | 368 |  |  |  |  | — |  |  | — |  |  | — |
|  |  | $ | 53 |  |  | $ | (4) |  |  | $ | 1,487 |  |  |  |  | $ | 33 |  |  | $ | — |  |  | $ | 939 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - fair value hedges | OA / (AP) |  | $ | 48 |  |  | $ | — |  |  | $ | 1,609 |  |  |  |  | $ | 17 |  |  | $ | — |  |  | $ | 1,595 |
Cross-currency swaps - net investment hedges | OA / (AP) |  | — |  |  | (68) |  |  | 1,594 |  |  |  |  | — |  |  | (53) |  |  | 1,604 |
|  |  | $ | 48 |  |  | $ | (68) |  |  | $ | 3,203 |  |  |  |  | $ | 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 |  | Nine Months Ended
| September 30 |  | September 30
(in millions of U.S. dollars) | 2023 | 2022 |  | 2023 | 2022
Gain/(loss) recognized in OCI | $ | (17) |  | $ | (94) |  |  | $ | 23 |  | $ | (94) |
Net realized gain/(loss) reclassified from OCI | (51) |  | (32) |  |  | (20) |  | (32) |
Interest expense reclassified from OCI | (4) |  | — |  |  | (12) |  | — |
OCI gain/(loss) after reclassifications | $ | 38 |  | $ | (62) |  |  | $ | 55 |  | $ | (62) |
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 |  | Nine Months Ended
| September 30 |  | September 30
(in millions of U.S. dollars) | 2023 | 2022 |  | 2023 | 2022
Gain/(loss) recognized in OCI | $ | (20) |  | $ | 64 |  |  | $ | (8) |  | $ | 64 |
Interest income reclassified from OCI | 3 |  | — |  |  | 10 |  | — |
OCI gain/(loss) after reclassifications | $ | (23) |  | $ | 64 |  |  | $ | (18) |  | $ | 64 |
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) | 2023 |  | 2022 |  | 2023 |  | 2022
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (17) |  |  | $ | (247) |  |  | $ | (95) |  |  | $ | (515) |
All other futures contracts, options, and equities | 29 |  |  | 49 |  |  | 5 |  |  | 285 |
Convertible securities (1) | (3) |  |  | — |  |  | (2) |  |  | (2) |
Total investment and embedded derivative instruments | $ | 9 |  |  | $ | (198) |  |  | $ | (92) |  |  | $ | (232) |
Other derivative instruments: |  |  |  |  |  |  |
Futures contracts on equities (2) | $ | 52 |  |  | $ | 54 |  |  | $ | (80) |  |  | $ | 240 |
Other | (7) |  |  | (19) |  |  | (6) |  |  | (9) |
Total other derivative instruments | $ | 45 |  |  | $ | 35 |  |  | $ | (86) |  |  | $ | 231 |
| $ | 54 |  |  | $ | (163) |  |  | $ | (178) |  |  | $ | (1) |
(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
|  |  |  |  |  |  | September 30, 2023 |  | December 31, 2022
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 762 |  |  | $ | 820 |
U.S. Treasury / Agency |  |  |  |  |  |  | 81 |  |  | 72 |
Non-U.S. |  |  |  |  |  |  | 555 |  |  | 604 |
Corporate and asset-backed securities |  |  |  |  |  |  | 47 |  |  | 27 |
Municipal |  |  |  |  |  |  | 6 |  |  | — |
Equity securities |  |  |  |  |  |  | 18 |  |  | — |
|  |  |  |  |  |  | $ | 1,469 |  |  | $ | 1,523 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 1,469 |  |  | $ | 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
| September 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 | $ | — |  |  | $ | — |  |  | $ | 46 |  |  | $ | 46 |  |  | $ | 12 |  |  | $ | — |  |  |  |  | $ | 12 |
Non-U.S. | 1,138 |  |  | — |  |  | — |  |  | $ | 1,138 |  |  | — |  |  | — |  |  |  |  | $ | — |
U.S. Treasury / Agency | — |  |  | 103 |  |  | — |  |  | 103 |  |  | — |  |  | 101 |  |  |  |  | 101 |
Mortgage-backed securities | 50 |  |  | 507 |  |  | 909 |  |  | 1,466 |  |  | 921 |  |  | 493 |  |  |  |  | 1,414 |
| $ | 1,188 |  |  | $ | 610 |  |  | $ | 955 |  |  | $ | 2,753 |  |  | $ | 933 |  |  | $ | 594 |  |  |  |  | $ | 1,527 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  |  |  | $ | 2,617 |  |  |  |  |  |  |  |  | $ | 1,419 |
Difference (1) |  |  |  |  |  |  | $ | 136 |  |  |  |  |  |  |  |  | $ | 108 |
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

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