Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The table below provides a summary of the gross notional amount and fair value of derivatives contracts by the primary underlying risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the gross fair value of derivative contracts prior to taking into account the netting effects of master netting agreements, cash collateral and non-performance risk (“NPR”). This netting impact results in total derivative assets of $812 million and $1,205 million as of June 30, 2018 and December 31, 2017, respectively, and total derivative liabilities of $676 million and $643 million as of June 30, 2018 and December 31, 2017, respectively, reflected in the Unaudited Interim Consolidated Statements of Financial Position.



Primary Underlying Risk /Instrument Type	June 30, 2018							December 31, 2017
			Gross Fair Value							Gross Fair Value
	Notional		Assets		Liabilities			Notional		Assets		Liabilities
	(in millions)
Derivatives Designated as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	2,925	$	155	$	(74	)	$	3,204	$	271	$	(88	)
Foreign Currency
Foreign Currency Forwards	574		8		0			545		0		(8		)
Currency/Interest Rate
Foreign Currency Swaps	19,272		946		(645		)	17,732		766		(735		)
Total Qualifying Hedges	$	22,771	$	1,109	$	(719	)	$	21,481	$	1,037	$	(831	)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	150,392	$	5,891	$	(3,856	)	$	158,552	$	7,958	$	(3,509	)
Interest Rate Futures	18,311		2		(2		)	23,792		25		(1		)
Interest Rate Options	22,424		170		(259		)	18,456		167		(203		)
Interest Rate Forwards	2,628		10		0			1,498		6		(2		)
Foreign Currency
Foreign Currency Forwards	23,197		284		(182		)	23,905		164		(254		)
Foreign Currency Options	46		0		0			59		0		0
Currency/Interest Rate
Foreign Currency Swaps	13,537		740		(449		)	13,777		822		(414		)
Credit
Credit Default Swaps	1,390		18		(6		)	1,314		21		(5		)
Equity
Equity Futures	1,031		1		(9		)	710		2		(2		)
Equity Options	53,838		535		(534		)	36,007		588		(364		)
Total Return Swaps	19,712		254		(197		)	15,558		17		(369		)
Other
Other (2)	504		0		0			0		0		0
Synthetic GICs	77,495		2		0			77,290		0		(1		)
Total Non-Qualifying Derivatives	$	384,505	$	7,907	$	(5,494	)	$	370,918	$	9,770	$	(5,124	)
Total Derivatives(1)	$	407,276	$	9,016	$	(6,213	)	$	392,399	$	10,807	$	(5,955	)

__________


(1)	Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $6,651 million and $8,748 million as of June 30, 2018 and December 31, 2017, respectively, primarily included in “Future policy benefits.”


(2)	“Other” primarily includes derivative contracts used to balance the Company’s tail longevity and mortality risk. Under these contracts, the Company’s gain/loss is capped at the notional amount.

Offsetting of Financial Assets

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.



	June 30, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in millions)
Offsetting of Financial Assets:
Derivatives(1)	$	8,933	$	(8,204	)	$	729	$	(457	)	$	272
Securities purchased under agreement to resell	2,339		0			2,339		(2,339		)	0
Total assets	$	11,272	$	(8,204	)	$	3,068	$	(2,796	)	$	272
Offsetting of Financial Liabilities:
Derivatives(1)	$	6,205	$	(5,537	)	$	668	$	(452	)	$	216
Securities sold under agreement to repurchase	9,540		0			9,540		(9,540		)	0
Total liabilities	$	15,745	$	(5,537	)	$	10,208	$	(9,992	)	$	216



	December 31, 2017
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in millions)
Offsetting of Financial Assets:
Derivatives(1)	$	10,710	$	(9,600	)	$	1,110	$	(625	)	$	485
Securities purchased under agreement to resell	240		0			240		(240		)	0
Total assets	$	10,950	$	(9,600	)	$	1,350	$	(865	)	$	485
Offsetting of Financial Liabilities:
Derivatives(1)	$	5,948	$	(5,312	)	$	636	$	(588	)	$	48
Securities sold under agreement to repurchase	8,400		0			8,400		(8,400		)	0
Total liabilities	$	14,348	$	(5,312	)	$	9,036	$	(8,988	)	$	48

__________


(1)	Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Offsetting of Financial Liabilities



	June 30, 2018
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in millions)
Offsetting of Financial Assets:
Derivatives(1)	$	8,933	$	(8,204	)	$	729	$	(457	)	$	272
Securities purchased under agreement to resell	2,339		0			2,339		(2,339		)	0
Total assets	$	11,272	$	(8,204	)	$	3,068	$	(2,796	)	$	272
Offsetting of Financial Liabilities:
Derivatives(1)	$	6,205	$	(5,537	)	$	668	$	(452	)	$	216
Securities sold under agreement to repurchase	9,540		0			9,540		(9,540		)	0
Total liabilities	$	15,745	$	(5,537	)	$	10,208	$	(9,992	)	$	216



	December 31, 2017
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position			Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)			Net Amount
	(in millions)
Offsetting of Financial Assets:
Derivatives(1)	$	10,710	$	(9,600	)	$	1,110	$	(625	)	$	485
Securities purchased under agreement to resell	240		0			240		(240		)	0
Total assets	$	10,950	$	(9,600	)	$	1,350	$	(865	)	$	485
Offsetting of Financial Liabilities:
Derivatives(1)	$	5,948	$	(5,312	)	$	636	$	(588	)	$	48
Securities sold under agreement to repurchase	8,400		0			8,400		(8,400		)	0
Total liabilities	$	14,348	$	(5,312	)	$	9,036	$	(8,988	)	$	48

__________


(1)	Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table provides the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.



	Three Months Ended June 30, 2018
	Realized Investment Gains (Losses)			Net Investment Income			Other Income			Interest Expense		Interest Credited To Policyholders’ Account Balances			AOCI(1)
	(in millions)
Derivatives Designated as Hedge Accounting Instruments:
Fair value hedges
Interest Rate	$	5		$	(2	)	$	0		$	0	$	(28	)	$	0
Currency	1			0			0			0		0			0
Total fair value hedges	6			(2		)	0			0		(28		)	0
Cash flow hedges
Interest Rate	0			0			0			0		0			(1		)
Currency	0			0			0			0		0			18
Currency/Interest Rate	0			52			209			0		0			704
Total cash flow hedges	0			52			209			0		0			721
Net investment hedges
Currency	2			0			0			0		0			5
Currency/Interest Rate	0			0			0			0		0			0
Total net investment hedges	2			0			0			0		0			5
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(432		)	0			0			0		0			0
Currency	(130		)	0			(1		)	0		0			0
Currency/Interest Rate	606			0			2			0		0			0
Credit	(1		)	0			0			0		0			0
Equity	(258		)	0			0			0		0			0
Other	(1		)	0			0			0		0			0
Embedded Derivatives	658			0			0			0		0			0
Total non-qualifying hedges	442			0			1			0		0			0
Total	$	450		$	50		$	210		$	0	$	(28	)	$	726



	Six Months Ended June 30, 2018
	Realized Investment Gains (Losses)			Net Investment Income			Other Income		Interest Expense			Interest Credited to Policyholders’ Account Balances			AOCI(1)
	(in millions)
Derivatives Designated as Hedge Accounting Instruments:
Fair value hedges
Interest Rate	$	22		$	(6	)	$	0	$	0		$	(111	)	$	0
Currency	3			0			0		0			0			0
Total fair value hedges	25			(6		)	0		0			(111		)	0
Cash flow hedges
Interest Rate	0			0			0		(1		)	0			6
Currency	0			0			0		0			0			9
Currency/Interest Rate	0			100			118		0			0			123
Total cash flow hedges	0			100			118		(1		)	0			138
Net investment hedges
Currency	0			0			0		0			0			3
Currency/Interest Rate	0			0			0		0			0			0
Total net investment hedges	0			0			0		0			0			3
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,947		)	0			0		0			0			0
Currency	279			0			0		0			0			0
Currency/Interest Rate	52			0			1		0			0			0
Credit	(5		)	0			0		0			0			0
Equity	(248		)	0			0		0			0			0
Other	(1		)	0			0		0			0			0
Embedded Derivatives	2,637			0			0		0			0			0
Total non-qualifying hedges	767			0			1		0			0			0
Total	$	792		$	94		$	119	$	(1	)	$	(111	)	$	141



	Three Months Ended June 30, 2017
	Realized Investment Gains (Losses)			Net Investment Income			Other Income			Interest Expense			Interest Credited To Policyholders’ Account Balances		AOCI(1)
	(in millions)
Derivatives Designated as Hedge Accounting Instruments:
Fair value hedges
Interest Rate	$	0		$	(5	)	$	0		$	0		$	0	$	0
Currency	(5		)	0			0			0			0		0
Total fair value hedges	(5		)	(5		)	0			0			0		0
Cash flow hedges
Interest Rate	0			0			0			(1		)	0		1
Currency/Interest Rate	0			49			(125		)	0			0		(340		)
Total cash flow hedges	0			49			(125		)	(1		)	0		(339		)
Net investment hedges
Currency	0			0			0			0			0		(3		)
Currency/Interest Rate	0			0			0			0			0		0
Total net investment hedges	0			0			0			0			0		(3		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	1,110			0			0			0			0		0
Currency	(46		)	0			(2		)	0			0		0
Currency/Interest Rate	(53		)	0			0			0			0		0
Credit	6			0			0			0			0		0
Equity	(453		)	0			0			0			0		0
Other	0			0			0			0			0		0
Embedded Derivatives	(2,059		)	0			0			0			0		0
Total non-qualifying hedges	(1,495		)	0			(2		)	0			0		0
Total	$	(1,500	)	$	44		$	(127	)	$	(1	)	$	0	$	(342	)



	Six Months Ended June 30, 2017
	Realized Investment Gains (Losses)			Net Investment Income			Other Income			Interest Expense			Interest Credited to Policyholders’ Account Balances		AOCI(1)
	(in millions)
Derivatives Designated as Hedge Accounting Instruments:
Fair value hedges
Interest Rate	$	7		$	(11	)	$	0		$	0		$	0	$	0
Currency	(2		)	0			0			0			0		0
Total fair value hedges	5			(11		)	0			0			0		0
Cash flow hedges
Interest Rate	0			0			0			(1		)	0		4
Currency/Interest Rate	0			93			(164		)	0			0		(540		)
Total cash flow hedges	0			93			(164		)	(1		)	0		(536		)
Net investment hedges
Currency	0			0			0			0			0		(7		)
Currency/Interest Rate	0			0			0			0			0		0
Total net investment hedges	0			0			0			0			0		(7		)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	964			0			0			0			0		0
Currency	(8		)	0			(1		)	0			0		0
Currency/Interest Rate	(141		)	0			(2		)	0			0		0
Credit	16			0			0			0			0		0
Equity	(1,157		)	0			0			0			0		0
Other	0			0			0			0			0		0
Embedded Derivatives	(1,182		)	0			0			0			0		0
Total non-qualifying hedges	(1,508		)	0			(3		)	0			0		0
Total	$	(1,503	)	$	82		$	(167	)	$	(1	)	$	0	$	(543	)

_________


(1)	Amounts deferred in AOCI.

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income (Loss) Before Taxes

Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:



	(in millions)
Balance, December 31, 2017	$	(39	)
Net deferred gains/(losses) on cash flow hedges from January 1 to June 30, 2018	385
Amount reclassified into current period earnings	(247		)
Balance, June 30, 2018	$	99

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624163-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5580258-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41620-113959

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579245-113959

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41638-113959

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41678-113959

Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=109980867&loc=d3e41641-113959

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5624171-113959

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 235
-SubTopic 10
-Section S99
-Paragraph 1
-Subparagraph (SX 210.4-08.(n)(2))
-URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690

Reference 10: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=109980867&loc=SL5579240-113959

+ Details