XML 53 R39.htm IDEA: XBRL DOCUMENT
v3.24.1.u1

Commitments, contingencies, and guarantees (Tables) | 3 Months Ended
--- | ---
Mar. 31, 2024
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:
|  |  |  |  | March 31, 2024 |  |  |  |  |  | December 31, 2023
| 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) |  | $ | 23 |  |  | $ | (135) |  |  | $ | 3,647 |  |  |  |  | $ | 27 |  |  | $ | (94) |  |  | $ | 3,662 |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 5 |  |  | (9) |  |  | 1,746 |  |  |  |  | 27 |  |  | (42) |  |  | 2,062 |
Convertible securities (1) | FM AFS / ES |  | 64 |  |  | — |  |  | 69 |  |  |  |  | 56 |  |  | — |  |  | 64 |
|  |  | $ | 92 |  |  | $ | (144) |  |  | $ | 5,462 |  |  |  |  | $ | 110 |  |  | $ | (136) |  |  | $ | 5,788 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | (22) |  |  | $ | 1,162 |  |  |  |  | $ | — |  |  | $ | (37) |  |  | $ | 1,157 |
Other | OA / (AP) |  | 1 |  |  | (6) |  |  | 269 |  |  |  |  | — |  |  | (5) |  |  | 217 |
|  |  | $ | 1 |  |  | $ | (28) |  |  | $ | 1,431 |  |  |  |  | $ | — |  |  | $ | (42) |  |  | $ | 1,374 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - fair value hedges | OA / (AP) |  | $ | 133 |  |  | $ | — |  |  | $ | 1,642 |  |  |  |  | $ | 126 |  |  | $ | — |  |  | $ | 1,631 |
Cross-currency swaps - net investment hedges | OA / (AP) |  | 16 |  |  | (110) |  |  | 1,625 |  |  |  |  | 10 |  |  | (128) |  |  | 1,619 |
|  |  | $ | 149 |  |  | $ | (110) |  |  | $ | 3,267 |  |  |  |  | $ | 136 |  |  | $ | (128) |  |  | $ | 3,250 |
(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 |
| Three Months Ended |  |
| March 31 |  |
(pre-tax, in millions of U.S. dollars) | 2024 | 2023 |  |  |
Gain (loss) recognized in OCI | $ | (8) |  | $ | (17) |  |  |  |
Net realized gain (loss) reclassified from OCI | (37) |  | 20 |  |  |  |
Interest expense reclassified from OCI | (4) |  | (4) |  |  |  |
OCI gain (loss) after reclassifications | $ | 33 |  | $ | (33) |  |  |  |
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location |
| Three Months Ended |  |
| March 31 |  |
(pre-tax, in millions of U.S. dollars) | 2024 | 2023 |  |  |
Gain (loss) recognized in OCI | $ | 36 |  | $ | (23) |  |  |  |
Interest income reclassified from OCI | 3 |  | 3 |  |  |  |
OCI gain (loss) after reclassifications | $ | 33 |  | $ | (26) |  |  |  |
Net Realized Gains (Losses) Of Derivative Instrument Activity In Consolidated Statement Of Operations | The following table presents net gains (losses) related to derivative instrument activity in the Consolidated statements of operations:
| Three Months Ended |  |
| March 31 |  |
(in millions of U.S. dollars) | 2024 |  | 2023 |  |  |  |
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | (52) |  |  | $ | (51) |  |  |  |  |
All other futures contracts, options, and equities | 6 |  |  | 5 |  |  |  |  |
Convertible securities (1) | 3 |  |  | — |  |  |  |  |
Total investment and embedded derivative instruments | $ | (43) |  |  | $ | (46) |  |  |  |  |
Other derivative instruments: |  |  |  |  |  |  |
Futures contracts on equities (2) | (95) |  |  | (57) |  |  |  |  |
Other | (2) |  |  | (1) |  |  |  |  |
Total other derivative instruments | $ | (97) |  |  | $ | (58) |  |  |  |  |
| $ | (140) |  |  | $ | (104) |  |  |  |  |
(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
|  |  |  |  |  |  | March 31, 2024 |  | December 31, 2023
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 698 |  |  | $ | 555 |
U.S. Treasury / Agency |  |  |  |  |  |  | 275 |  |  | 33 |
Non-U.S. |  |  |  |  |  |  | 654 |  |  | 621 |
Corporate and asset-backed securities |  |  |  |  |  |  | 60 |  |  | 57 |
Municipal |  |  |  |  |  |  | 4 |  |  | 6 |
Equity securities |  |  |  |  |  |  | 17 |  |  | 27 |
|  |  |  |  |  |  | $ | 1,708 |  |  | $ | 1,299 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 1,708 |  |  | $ | 1,299 |
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, 2024 |  | December 31, 2023
| Up to 30 Days |  | 30-90 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 | $ | — |  |  | $ | 4 |  |  |  |  | $ | 4 |  |  | $ | — |  |  | $ | 33 |  |  | $ | 1 |  |  | $ | 34 |
Non-U.S. | 1,579 |  |  | — |  |  |  |  | 1,579 |  |  | 1,355 |  |  | — |  |  | — |  |  | 1,355 |
U.S. Treasury / Agency | — |  |  | 100 |  |  |  |  | 100 |  |  | — |  |  | 105 |  |  | — |  |  | 105 |
Mortgage-backed securities | 488 |  |  | 926 |  |  |  |  | 1,414 |  |  | — |  |  | 913 |  |  | 517 |  |  | 1,430 |
| $ | 2,067 |  |  | $ | 1,030 |  |  |  |  | $ | 3,097 |  |  | $ | 1,355 |  |  | $ | 1,051 |  |  | $ | 518 |  |  | $ | 2,924 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  |  |  | $ | 3,022 |  |  |  |  |  |  |  |  | $ | 2,833 |
Difference (1) |  |  |  |  |  |  | $ | 75 |  |  |  |  |  |  |  |  | $ | 91 |
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

X
- References No definition available. + Details
Name: | us-gaap_CommitmentsAndContingenciesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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 Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 4E -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4E Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4A + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsGainLossInStatementOfFinancialPerformanceTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B + Details
Name: | us-gaap_ScheduleOfDerivativeInstrumentsInStatementOfFinancialPositionFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
Name: | us-gaap_ScheduleOfNetInvestmentHedgesStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 860 -SubTopic 30 -Name Accounting Standards Codification -Section 50 -Paragraph 7 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147481420/860-30-50-7 + Details
Name: | us-gaap_TransferOfCertainFinancialAssetsAccountedForAsSecuredBorrowingsTableTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration