Derivative Instruments (Tables)
|
9 Months Ended |
Sep. 30, 2018 |
Schedule Of Positions in Derivative Instruments |
The following table sets forth our positions in derivative
instruments as of the dates indicated:
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Derivative assets |
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Derivative liabilities |
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Fair value |
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Fair value |
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(Amounts in millions)
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Balance sheet
classification |
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September 30, 2018 |
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December 31,
2017 |
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Balance sheet classification |
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September 30, 2018 |
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December 31,
2017 |
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Derivatives designated as hedges
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Cash flow hedges:
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Interest rate swaps
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Other invested assets |
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$ |
36 |
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$ |
74 |
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Other liabilities |
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$ |
155 |
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$ |
25 |
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Foreign currency swaps
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Other invested assets |
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2 |
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1 |
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Other liabilities |
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— |
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— |
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Total cash flow hedges
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38 |
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75 |
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|
155 |
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25 |
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Total derivatives designated
as hedges
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38 |
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75 |
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|
155 |
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25 |
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Derivatives not designated as hedges
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Interest rate swaps in a foreign currency
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Other invested assets |
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116 |
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|
105 |
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Other liabilities |
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— |
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— |
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Interest rate caps and floors
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Other invested assets |
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3 |
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— |
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Other liabilities |
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— |
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— |
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Foreign currency swaps
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Other invested assets |
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5 |
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11 |
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Other liabilities |
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3 |
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— |
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Equity index options
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Other invested assets |
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|
79 |
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|
80 |
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Other liabilities |
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— |
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— |
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Financial futures
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Other invested assets |
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— |
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— |
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Other liabilities |
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— |
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— |
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Equity return swaps
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Other invested assets |
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— |
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— |
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Other liabilities |
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1 |
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2 |
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Other foreign currency contracts
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Other invested assets |
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4 |
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5 |
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Other liabilities |
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19 |
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20 |
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GMWB embedded derivatives
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Reinsurance
recoverable (1) |
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11 |
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14 |
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Policyholder
account balances (2) |
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201 |
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250 |
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Fixed index annuity embedded derivatives
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Other assets |
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— |
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— |
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Policyholder
account balances (3) |
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446 |
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419 |
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Indexed universal life embedded derivatives
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Reinsurance
recoverable |
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— |
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— |
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Policyholder
account balances (4) |
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13 |
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14 |
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Total derivatives not designated
as hedges
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218 |
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215 |
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|
683 |
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|
705 |
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Total derivatives
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$ |
256 |
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$ |
290 |
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$ |
838 |
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$ |
730 |
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(1) |
Represents embedded derivatives associated with the
reinsured portion of our guaranteed minimum withdrawal benefits
(“GMWB”) liabilities.
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(2) |
Represents the embedded derivatives associated with
our GMWB liabilities, excluding the impact of reinsurance.
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(3) |
Represents the embedded derivatives associated with
our fixed index annuity liabilities.
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(4) |
Represents the embedded derivatives associated with
our indexed universal life liabilities.
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|
Schedule of Notional Amounts Outstanding on Derivative Instruments |
The following tables represent activity associated with derivative
instruments as of the dates indicated:
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(Notional in millions)
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Measurement |
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|
December 31,
2017 |
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|
Additions |
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|
Maturities/
terminations |
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|
September 30,
2018 |
|
Derivatives designated as hedges
|
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Cash flow hedges:
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Interest rate swaps
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Notional |
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|
$ |
11,155 |
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|
$ |
1,645 |
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|
$ |
(1,978 |
) |
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$ |
10,822 |
|
Foreign currency swaps
|
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Notional |
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|
22 |
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|
58 |
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— |
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|
80 |
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Total cash flow hedges
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11,177 |
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|
1,703 |
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(1,978 |
) |
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10,902 |
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Total derivatives designated as hedges
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11,177 |
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|
1,703 |
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|
(1,978 |
) |
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|
10,902 |
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Derivatives not designated as hedges
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Interest rate swaps
|
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|
Notional |
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|
4,679 |
|
|
|
— |
|
|
|
(5 |
) |
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|
4,674 |
|
Interest rate swaps in a foreign currency
|
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|
Notional |
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|
|
2,793 |
|
|
|
117 |
|
|
|
(203 |
) |
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|
2,707 |
|
Interest rate caps and floors
|
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|
Notional |
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|
|
— |
|
|
|
2,090 |
|
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|
(79 |
) |
|
|
2,011 |
|
Foreign currency swaps
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|
Notional |
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|
349 |
|
|
|
133 |
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|
(23 |
) |
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|
459 |
|
Credit default swaps
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Notional |
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|
39 |
|
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|
— |
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|
(39 |
) |
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|
— |
|
Equity index options
|
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|
Notional |
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|
2,420 |
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|
1,895 |
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(1,484 |
) |
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|
2,831 |
|
Financial futures
|
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Notional |
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|
1,283 |
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|
3,901 |
|
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|
(3,964 |
) |
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|
1,220 |
|
Equity return swaps
|
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|
Notional |
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|
96 |
|
|
|
3 |
|
|
|
(78 |
) |
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|
21 |
|
Other foreign currency contracts
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Notional |
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|
471 |
|
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|
516 |
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|
(502 |
) |
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|
485 |
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Total derivatives not designated as hedges
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12,130 |
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8,655 |
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(6,377 |
) |
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14,408 |
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Total derivatives
|
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|
$ |
23,307 |
|
|
$ |
10,358 |
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|
$ |
(8,355 |
) |
|
$ |
25,310 |
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(Number of policies)
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|
Measurement |
|
|
December 31,
2017 |
|
|
Additions |
|
|
Maturities/
terminations |
|
|
September 30,
2018 |
|
Derivatives not designated as hedges
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GMWB embedded derivatives
|
|
|
Policies |
|
|
|
30,450 |
|
|
|
— |
|
|
|
(2,008 |
) |
|
|
28,442 |
|
Fixed index annuity embedded derivatives
|
|
|
Policies |
|
|
|
17,067 |
|
|
|
— |
|
|
|
(390 |
) |
|
|
16,677 |
|
Indexed universal life embedded derivatives
|
|
|
Policies |
|
|
|
985 |
|
|
|
— |
|
|
|
(38 |
) |
|
|
947 |
|
|
Schedule of Pre-Tax Income Effects of Cash Flow Hedges |
The following table provides information about
the pre-tax income
effects of cash flow hedges for the three months ended
September 30, 2018:
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|
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|
(Amounts in millions)
|
|
Gain (loss)
recognized
in OCI |
|
|
Gain (loss)
reclassified into
net income
from OCI |
|
|
Classification of gain
(loss)
reclassified into net income |
|
Interest rate swaps hedging assets
|
|
$ |
(164 |
) |
|
$ |
38 |
|
|
|
Net investment income |
|
Interest rate swaps hedging liabilities
|
|
|
9 |
|
|
|
— |
|
|
|
Interest expense |
|
Foreign currency swaps
|
|
|
1 |
|
|
|
— |
|
|
|
Net investment income |
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|
|
|
|
|
|
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Total
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|
$ |
(154 |
) |
|
$ |
38 |
|
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|
The following table provides information about
the pre-tax income
effects of cash flow hedges for the three months ended
September 30, 2017:
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(Amounts in millions)
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Gain (loss)
recognized
in OCI |
|
|
Gain (loss)
reclassified
into net
income
from OCI |
|
|
Classification of gain
(loss) reclassified into
net income |
|
Gain (loss) recognized in
net income (1) |
|
|
Classification of gain (loss)
recognized in net income |
Interest rate swaps hedging assets
|
|
$ |
17 |
|
|
$ |
34 |
|
|
Net investment income |
|
$ |
— |
|
|
Net investment gains (losses) |
Foreign currency swaps
|
|
|
(1 |
) |
|
|
— |
|
|
Net investment income |
|
|
— |
|
|
Net investment gains (losses) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
16 |
|
|
$ |
34 |
|
|
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
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(1) |
Represents ineffective portion of cash flow hedges as
there were no amounts excluded from the measurement of
effectiveness.
|
The following table provides information about
the pre-tax income
effects of cash flow hedges for the nine months ended
September 30, 2018:
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
Gain (loss)
recognized
in OCI |
|
|
Gain (loss)
reclassified into
net income
from OCI |
|
|
Classification of gain (loss)
reclassified into net income |
|
Interest rate swaps hedging assets
|
|
$ |
(391) |
|
|
$ |
112 |
|
|
|
Net investment income |
|
Interest rate swaps hedging assets
|
|
|
— |
|
|
|
5 |
|
|
|
Net investment gains (losses) |
|
Interest rate swaps hedging liabilities
|
|
|
31 |
|
|
|
— |
|
|
|
Interest expense |
|
Foreign currency swaps
|
|
|
1 |
|
|
|
— |
|
|
|
Net investment income |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
(359) |
|
|
$ |
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following table provides information about
the pre-tax income
effects of cash flow hedges for the nine months ended
September 30, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Amounts in millions)
|
|
Gain (loss)
recognized
in OCI |
|
|
Gain (loss)
reclassified
into net
income
from OCI |
|
|
Classification of gain
(loss) reclassified into
net income |
|
|
Gain (loss) recognized in
net income (1) |
|
|
Classification of gain (loss)
recognized in net income |
|
Interest rate swaps hedging assets
|
|
$ |
50 |
|
|
$ |
95 |
|
|
|
Net investment income |
|
|
$ |
— |
|
|
|
Net investment gains (losses) |
|
Interest rate swaps hedging assets
|
|
|
— |
|
|
|
2 |
|
|
|
Net investment
gains (losses) |
|
|
|
— |
|
|
|
Net investment gains (losses) |
|
Interest rate swaps hedging liabilities
|
|
|
(2) |
|
|
|
— |
|
|
|
Interest expense |
|
|
|
— |
|
|
|
Net investment gains
(losses) |
|
Foreign currency swaps
|
|
|
(2) |
|
|
|
— |
|
|
|
Net investment income |
|
|
|
— |
|
|
|
Net investment gains
(losses) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$ |
46 |
|
|
$ |
97 |
|
|
|
|
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Represents ineffective portion of cash flow hedges as
there were no amounts excluded from the measurement of
effectiveness.
|
|
Reconciliation of Current Period Changes, Net of Applicable Income Taxes, for Derivatives Qualifying as Hedge |
The following tables provide a reconciliation of current period
changes, net of applicable income taxes, for these designated
derivatives presented in the separate component of
stockholders’ equity labeled “derivatives qualifying as
hedges,” for the periods indicated:
|
|
|
|
|
|
|
|
|
|
|
Three months ended
September 30, |
|
(Amounts in millions)
|
|
2018 |
|
|
2017 |
|
Derivatives qualifying as effective accounting hedges as of
July 1
|
|
$ |
1,863 |
|
|
$ |
2,064 |
|
Current period increases (decreases) in fair value, net of deferred
taxes of $32 and $(6)
|
|
|
(122 |
) |
|
|
10 |
|
Reclassification to net (income), net of deferred taxes of $14 and
$12
|
|
|
(24 |
) |
|
|
(22 |
) |
|
|
|
|
|
|
|
|
|
Derivatives qualifying as effective accounting hedges as of
September 30
|
|
$ |
1,717 |
|
|
$ |
2,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine months ended
September 30, |
|
(Amounts in millions)
|
|
2018 |
|
|
2017 |
|
Derivatives qualifying as effective accounting hedges as of
January 1
|
|
$ |
2,065 |
|
|
$ |
2,085 |
|
Cumulative effect of changes in accounting:
|
|
|
|
|
|
|
|
|
Stranded tax effects
|
|
|
12 |
|
|
|
— |
|
Changes to the hedge accounting model, net of deferred taxes of
$(1) and $—
|
|
|
2 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
Total cumulative effect of changes in accounting
|
|
|
14 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
Current period increases (decreases) in fair value, net of deferred
taxes of $75 and $(17)
|
|
|
(287 |
) |
|
|
29 |
|
Reclassification to net (income), net of deferred taxes of $42 and
$35
|
|
|
(75 |
) |
|
|
(62 |
) |
|
|
|
|
|
|
|
|
|
Derivatives qualifying as effective accounting hedges as of
September 30
|
|
$ |
1,717 |
|
|
$ |
2,052 |
|
|
|
|
|
|
|
|
|
|
|
Schedule of Pre-Tax Gain (Loss) Recognized in Net Income for Effects of Derivatives Not Designated as Hedges |
The following tables provide the pre-tax gain (loss)
recognized in net income for the effects of derivatives not
designated as hedges for the periods indicated:
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months
ended
September 30, |
|
|
Classification of gain (loss)
recognized in
net income
|
(Amounts in millions)
|
|
2018 |
|
|
2017 |
|
Interest rate swaps
|
|
$ |
2 |
|
|
$ |
1 |
|
|
Net investment gains
(losses) |
Interest rate swaps in a foreign currency
|
|
|
16 |
|
|
|
34 |
|
|
Net investment gains
(losses) |
Interest rate caps and floors
|
|
|
(3 |
) |
|
|
— |
|
|
Net investment gains
(losses) |
Credit default swaps related to securitization entities
|
|
|
— |
|
|
|
2 |
|
|
Net investment gains
(losses) |
Equity index options
|
|
|
19 |
|
|
|
16 |
|
|
Net investment gains
(losses) |
Financial futures
|
|
|
(42 |
) |
|
|
(17 |
) |
|
Net investment gains
(losses) |
Equity return swaps
|
|
|
— |
|
|
|
(5 |
) |
|
Net investment gains
(losses) |
Other foreign currency contracts
|
|
|
5 |
|
|
|
6 |
|
|
Net investment gains
(losses) |
Foreign currency swaps
|
|
|
8 |
|
|
|
8 |
|
|
Net investment gains
(losses) |
GMWB embedded derivatives
|
|
|
39 |
|
|
|
30 |
|
|
Net investment gains
(losses) |
Fixed index annuity embedded derivatives
|
|
|
(29 |
) |
|
|
(21 |
) |
|
Net investment gains
(losses) |
Indexed universal life embedded derivatives
|
|
|
3 |
|
|
|
2 |
|
|
Net investment gains
(losses) |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives not designated as hedges
|
|
$ |
18 |
|
|
$ |
56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nine months
ended
September 30, |
|
|
Classification of gain (loss)
recognized in net
income
|
(Amounts in millions)
|
|
2018 |
|
|
2017 |
|
Interest rate swaps
|
|
$ |
(1 |
) |
|
$ |
2 |
|
|
Net investment gains (losses) |
Interest rate swaps in a foreign currency
|
|
|
25 |
|
|
|
60 |
|
|
Net investment gains (losses) |
Interest rate caps and floors
|
|
|
(3 |
) |
|
|
— |
|
|
Net investment gains (losses) |
Credit default swaps related to securitization entities
|
|
|
— |
|
|
|
6 |
|
|
Net investment gains (losses) |
Equity index options
|
|
|
12 |
|
|
|
42 |
|
|
Net investment gains (losses) |
Financial futures
|
|
|
(79 |
) |
|
|
(25 |
) |
|
Net investment gains (losses) |
Equity return swaps
|
|
|
(4 |
) |
|
|
(19 |
) |
|
Net investment gains (losses) |
Other foreign currency contracts
|
|
|
5 |
|
|
|
6 |
|
|
Net investment gains (losses) |
Foreign currency swaps
|
|
|
(10 |
) |
|
|
13 |
|
|
Net investment gains (losses) |
GMWB embedded derivatives
|
|
|
66 |
|
|
|
64 |
|
|
Net investment gains (losses) |
Fixed index annuity embedded derivatives
|
|
|
(36 |
) |
|
|
(57 |
) |
|
Net investment gains (losses) |
Indexed universal life embedded derivatives
|
|
|
10 |
|
|
|
5 |
|
|
Net investment gains (losses) |
|
|
|
|
|
|
|
|
|
|
|
Total derivatives not designated as hedges
|
|
$ |
(15 |
) |
|
$ |
97 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Assets and Liabilities Subject to Master Netting Arrangement |
The following table presents additional information about
derivative assets and liabilities subject to an enforceable master
netting arrangement as of the dates indicated:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2018 |
|
|
December 31, 2017 |
|
(Amounts in millions)
|
|
Derivatives assets (1) |
|
|
Derivatives liabilities (2) |
|
|
Net
derivatives |
|
|
Derivatives assets (1) |
|
|
Derivatives liabilities (2) |
|
|
Net
derivatives |
|
Amounts presented in the balance sheet:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross amounts recognized
|
|
$ |
251 |
|
|
$ |
179 |
|
|
$ |
72 |
|
|
$ |
278 |
|
|
$ |
47 |
|
|
$ |
231 |
|
Gross amounts offset in the balance sheet
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net amounts presented in the balance sheet
|
|
|
251 |
|
|
|
179 |
|
|
|
72 |
|
|
|
278 |
|
|
|
47 |
|
|
|
231 |
|
Gross amounts not offset in the balance sheet:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial instruments (3)
|
|
|
(33 |
) |
|
|
(33 |
) |
|
|
— |
|
|
|
(23 |
) |
|
|
(23 |
) |
|
|
— |
|
Collateral received
|
|
|
(148 |
) |
|
|
— |
|
|
|
(148 |
) |
|
|
(170 |
) |
|
|
— |
|
|
|
(170 |
) |
Collateral pledged
|
|
|
— |
|
|
|
(521 |
) |
|
|
521 |
|
|
|
— |
|
|
|
(288 |
) |
|
|
288 |
|
Over collateralization
|
|
|
9 |
|
|
|
375 |
|
|
|
(366 |
) |
|
|
— |
|
|
|
264 |
|
|
|
(264 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net amount
|
|
$ |
79 |
|
|
$ |
— |
|
|
$ |
79 |
|
|
$ |
85 |
|
|
$ |
— |
|
|
$ |
85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
Included $6 million and $2 million of
accruals on derivatives classified as other assets and does not
include amounts related to embedded derivatives as of
September 30, 2018 and December 31, 2017,
respectively.
|
(2) |
Included $1 million of accrual on derivatives
classified as other liabilities as of September 30, 2018. Does
not include amounts related to embedded derivatives and derivatives
related to securitization entities as of September 30, 2018
and December 31, 2017.
|
(3) |
Amounts represent derivative assets and/or liabilities
that are presented gross within the balance sheet but are held with
the same counterparty where we have a master netting arrangement.
This adjustment results in presenting the net asset and net
liability position for each counterparty.
|
|
Schedule of Credit Default Swaps Where We Sell Protection on Single Name Reference Entities and Fair Values |
The following table sets forth our credit default swaps where we
sell protection on single name reference entities and the fair
values as of the dates indicated:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2018 |
|
|
December 31, 2017 |
|
(Amounts in millions)
|
|
Notional
value |
|
|
Assets |
|
|
Liabilities |
|
|
Notional
value |
|
|
Assets |
|
|
Liabilities |
|
Investment grade
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Matures in less than one year
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
39 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total credit default swaps on single name reference entities
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
39 |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|