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Commitments, contingencies, and guarantees (Tables)

9 Months Ended

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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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

+ References

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-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 4E
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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

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Tabular disclosure for net investment hedges of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

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Tabular disclosure of the nature and risks of short-term collateralized financing obtained through repurchase agreements, securities lending transactions and repurchase-to-maturity transactions, accounted for as secured borrowings.

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