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Commitments, contingencies, and guarantees (Tables) | 9 Months Ended
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Sep. 30, 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 in an asset or (liability) position, and notional value/payment provision of our derivative instruments:
|  |  |  |  | September 30, 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) |  | $ | 38 |  |  | $ | (125) |  |  | $ | 4,399 |  |  |  |  | $ | 27 |  |  | $ | (94) |  |  | $ | 3,662 |
Options/Futures contracts on notes and bonds | OA / (AP) |  | 4 |  |  | (2) |  |  | 1,602 |  |  |  |  | 27 |  |  | (42) |  |  | 2,062 |
Convertible securities (1) | FM AFS / ES |  | 61 |  |  | — |  |  | 65 |  |  |  |  | 56 |  |  | — |  |  | 64 |
|  |  | $ | 103 |  |  | $ | (127) |  |  | $ | 6,066 |  |  |  |  | $ | 110 |  |  | $ | (136) |  |  | $ | 5,788 |
Other derivative instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts on equities (2) | OA / (AP) |  | $ | — |  |  | $ | (25) |  |  | $ | 967 |  |  |  |  | $ | — |  |  | $ | (37) |  |  | $ | 1,157 |
Other | OA / (AP) |  | — |  |  | (5) |  |  | 355 |  |  |  |  | — |  |  | (5) |  |  | 217 |
|  |  | $ | — |  |  | $ | (30) |  |  | $ | 1,322 |  |  |  |  | $ | — |  |  | $ | (42) |  |  | $ | 1,374 |
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - fair value hedges | OA / (AP) |  | $ | 130 |  |  | $ | — |  |  | $ | 1,652 |  |  |  |  | $ | 126 |  |  | $ | — |  |  | $ | 1,631 |
Cross-currency swaps - net investment hedges | OA / (AP) |  | 20 |  |  | (174) |  |  | 2,969 |  |  |  |  | 10 |  |  | (128) |  |  | 1,619 |
|  |  | $ | 150 |  |  | $ | (174) |  |  | $ | 4,621 |  |  |  |  | $ | 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 |  | Nine Months Ended
| September 30 |  | September 30
(pre-tax, in millions of U.S. dollars) | 2024 | 2023 |  | 2024 | 2023
Gain (loss) recognized in OCI | $ | 42 |  | $ | (17) |  |  | $ | (12) |  | $ | 23 |
Net realized gain (loss) reclassified from OCI | 63 |  | (51) |  |  | 14 |  | (20) |
Interest expense reclassified from OCI | (3) |  | (4) |  |  | (11) |  | (12) |
OCI gain (loss) after reclassifications | $ | (18) |  | $ | 38 |  |  | $ | (15) |  | $ | 55 |
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location |
| Three Months Ended |  | Nine Months Ended
| September 30 |  | September 30
(pre-tax, in millions of U.S. dollars) | 2024 | 2023 |  | 2024 | 2023
Gain (loss) recognized in OCI | $ | (98) |  | $ | (20) |  |  | $ | (25) |  | $ | (8) |
Interest income reclassified from OCI | 5 |  | 3 |  |  | 11 |  | 10 |
OCI gain (loss) after reclassifications | $ | (103) |  | $ | (23) |  |  | $ | (36) |  | $ | (18) |
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 |  | Nine Months Ended
| September 30 |  | September 30
(in millions of U.S. dollars) | 2024 |  | 2023 |  | 2024 |  | 2023
Investment and embedded derivative instruments: |  |  |  |  |  |  |
Foreign currency forward contracts | $ | 52 |  |  | $ | (17) |  |  | $ | (28) |  |  | $ | (95) |
All other futures contracts, options, and equities | 12 |  |  | 29 |  |  | 30 |  |  | 5 |
Convertible securities (1) | 2 |  |  | (3) |  |  | 4 |  |  | (2) |
Total investment and embedded derivative instruments | $ | 66 |  |  | $ | 9 |  |  | $ | 6 |  |  | $ | (92) |
Other derivative instruments: |  |  |  |  |  |  |
Futures contracts on equities (2) | $ | (41) |  |  | $ | 52 |  |  | $ | (157) |  |  | $ | (80) |
Other | (2) |  |  | (7) |  |  | (7) |  |  | (6) |
Total other derivative instruments | $ | (43) |  |  | $ | 45 |  |  | $ | (164) |  |  | $ | (86) |
| $ | 23 |  |  | $ | 54 |  |  | $ | (158) |  |  | $ | (178) |
(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, 2024 |  | December 31, 2023
(in millions of U.S. dollars) |  |  |  |  |  |  | Overnight and Continuous
Collateral held under securities lending agreements: |  |  |  |  |  |  |  |  |
Cash |  |  |  |  |  |  | $ | 784 |  |  | $ | 555 |
U.S. Treasury / Agency |  |  |  |  |  |  | 361 |  |  | 33 |
Non-U.S. |  |  |  |  |  |  | 680 |  |  | 621 |
Corporate and asset-backed securities |  |  |  |  |  |  | 64 |  |  | 57 |
Municipal |  |  |  |  |  |  | 3 |  |  | 6 |
Equity securities |  |  |  |  |  |  | 35 |  |  | 27 |
|  |  |  |  |  |  | $ | 1,927 |  |  | $ | 1,299 |
Gross amount of recognized liability for securities lending payable |  |  |  |  |  |  | $ | 1,927 |  |  | $ | 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
| September 30, 2024 |  | December 31, 2023
| Up to 30 Days |  | 30-90 Days |  | 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 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 33 |  |  | $ | 1 |  |  | $ | 34 |
Non-U.S. | 1,768 |  |  | — |  |  | — |  |  | 1,768 |  |  | 1,355 |  |  | — |  |  | — |  |  | 1,355 |
U.S. Treasury / Agency | — |  |  | 100 |  |  | — |  |  | 100 |  |  | — |  |  | 105 |  |  | — |  |  | 105 |
Mortgage-backed securities | 469 |  |  | 459 |  |  | 477 |  |  | 1,405 |  |  | — |  |  | 913 |  |  | 517 |  |  | 1,430 |
| $ | 2,237 |  |  | $ | 559 |  |  | $ | 477 |  |  | $ | 3,273 |  |  | $ | 1,355 |  |  | $ | 1,051 |  |  | $ | 518 |  |  | $ | 2,924 |
Gross amount of recognized liabilities for repurchase agreements |  |  |  |  |  |  | $ | 3,048 |  |  |  |  |  |  |  |  | $ | 2,833 |
Difference (1) |  |  |  |  |  |  | $ | 225 |  |  |  |  |  |  |  |  | $ | 91 |
(1)Per the repurchase agreements, the amount of collateral posted is required to exceed the amount of gross liability.

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