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DERIVATIVE INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
  
 
 
June 30, 2019
 
 
December 31, 2018
 
 
(In millions)
 
 
 
Asset
Derivatives
 
Liability
Derivatives
 
 
Asset
Derivatives
 
Liability
Derivatives
 
Hedge Designation/ Derivative
Type
 
Notional
Amount
 
Fair Value
 
Fair Value
Notional
Amount
 
Fair Value
 
Fair Value
 
Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency swaps - VIE
 
 
$
75

 
 
 
$
0

 
 
 
$
6

 
 
$
75

 
 
 
$
1

 
 
 
$
4

 
 
Total cash flow hedges
 
 
75

 
 
 
0

 
 
 
6

 
 
75

 
 
 
1

 
 
 
4

 
 
Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
 
 
842

 
 
 
0

 
 
 
19

 
 
2,086

 
 
 
0

 
 
 
34

 
 
Foreign currency options
 
 
10,901

 
 
 
0

 
 
 
2

 
 
9,070

 
 
 
3

 
 
 
1

 
 
Interest rate swaptions
 
 
1,500

 
 
 
0

 
 
 
3

 
 
500

 
 
 
0

 
 
 
1

 
 
Total fair value hedges
 
 
13,243

 
 
 
0

 
 
 
24

 
 
11,656

 
 
 
3

 
 
 
36

 
 
Non-qualifying strategies:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign currency swaps
 
 
2,800

 
 
 
88

 
 
 
107

 
 
2,800

 
 
 
103

 
 
 
129

 
 
Foreign currency swaps - VIE
 
 
2,587

 
 
 
201

 
 
 
101

 
 
2,587

 
 
 
181

 
 
 
101

 
 
Foreign currency forwards
 
 
16,081

 
 
 
222

 
 
 
109

 
 
16,057

 
 
 
126

 
 
 
117

 
 
Foreign currency options
 
 
1,042

 
 
 
0

 
 
 
0

 
 
430

 
 
 
0

 
 
 
0

 
 
Interest rate swaps
 
 
4,750

 
 
 
15

 
 
 
0

 
 
4,750

 
 
 
3

 
 
 
0

 
 
Total non-qualifying strategies
 
 
27,260

 
 
 
526

 
 
 
317

 
 
26,624

 
 
 
413

 
 
 
347

 
 
Total derivatives
 
 
$
40,578

 
 
 
$
526

 
 
 
$
347

 
 
$
38,355

 
 
 
$
417

 
 
 
$
387

 
 
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location
The following table presents the gains and losses on derivatives and the related hedged items in fair value hedges.

Fair Value Hedging Relationships
(In millions)
 
 
Hedging Derivatives
 
Hedged Items
 
 
Hedging Derivatives
Hedged Items
 
Total
Gains
(Losses)
 
Gains (Losses)
Excluded from Effectiveness Testing(1)
 
Gains (Losses)
Included in Effectiveness Testing(2)
 
 Gains (Losses)(2)
 
Net Realized Gains (Losses) Recognized for Fair Value Hedge
Three Months Ended June 30, 2019:
 
 
 
 
 
 
 
Foreign currency
forwards
Fixed maturity securities
 
$
6

 
$
(14
)
 
$
20

 
$
(21
)
 
$
(1
)
Interest rate
swaptions
Fixed-maturity securities
 
(2
)
 
(2
)
 
0

 
0

 
0

  Total gains (losses)
 
$
4

 
$
(16
)
 
$
20

 
$
(21
)
 
$
(1
)
Six Months Ended June 30, 2019:
 
 
 
 
 
 
 
 
 
 
Foreign currency
forwards
Fixed maturity securities
 
$
15

 
$
(24
)
 
$
39

 
$
(39
)
 
$
0

Foreign currency
options
Fixed maturity securities
 
(4
)
 
(4
)
 
0

 
0

 
0

Interest rate
swaptions
Fixed maturity securities
 
(3
)
 
(3
)
 
0

 
0

 
0

Total gains (losses)
 
 
$
8

 
$
(31
)
 
$
39

 
$
(39
)
 
$
0

Three Months Ended June 30, 2018:
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Fixed maturity securities
 
$
(215
)
 
$
(30
)
 
$
(185
)
 
$
186

 
$
1

Foreign currency options
Fixed maturity securities
 
(2
)
 
(2
)
 
0

 
0

 
0

  Total gains (losses)
 
 
(217
)
 
(32
)
 
(185
)
 
186

 
1

Six Months Ended June 30, 2018:
 
 
 
 
 
 
 
 
 
 
Foreign currency forwards
Fixed maturity securities
 
$
199

 
$
(69
)
 
$
268

 
$
(278
)
 
$
(10
)
Foreign currency options
Fixed maturity securities
 
(3
)
 
(3
)
 
0

 
0

 
0

Total gains (losses)
 
 
$
196

 
$
(72
)
 
$
268

 
$
(278
)
 
$
(10
)

(1) Gains (losses) excluded from effectiveness testing includes the forward point on foreign currency forwards and time value change on foreign currency options which are reported in the consolidated statement of earnings as realized investment gains (losses). It also includes the change in the fair value of the interest rate swaptions related to the time value of the swaptions which is recognized as a component of other comprehensive income (loss).
(2) Gains and losses on foreign currency forwards and options and related hedged items are reported in the consolidated statement of earnings as realized investment gains (losses). For interest rate swaptions and related hedged items, gains and losses included in the hedge assessment are reported within net investment income. For the three-month and six-month periods ended June 30, 2019, those gains and losses on interest rate swaptions and related hedged items were immaterial.
Schedule of Interest Rate Fair Value Hedges Hedged Items
The following table shows the carrying amounts of assets designated and qualifying as hedged items in fair value hedges of interest rate risk and the related cumulative hedge adjustment included in the carrying amount.
(In millions)
Carrying Amount of the Hedged Assets/(Liabilities)(1)
 
Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Assets/(Liabilities)
 
 
 
June 30, 2019
 
December 31, 2018
 
June 30, 2019
 
December 31, 2018
 
Fixed maturity securities
 
$
5,084

 
$
6,593

 
$
269

 
$
294

 
(1) The balance includes hedging adjustment on discontinued hedging relationships of $269 in 2019 and $294 in 2018.
The total notional amount of the Company's interest rate swaptions was $1,500 in 2019 and $500 in 2018. The hedging adjustment related to these derivatives was immaterial.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table summarizes the impact to realized investment gains (losses) and other comprehensive income (loss) from all derivatives and hedging instruments.

 
 Three Months Ended June 30,
 
2019
2018
(In millions)
Net Investment Income (1)
Realized Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Net Investment Income (1)
Realized Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Qualifying hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency swaps - VIE
 
$
0

 
 
$
0

 
 
$
0

 
 
$
0

 
 
$
0

 
 
$
(2
)
 
  Total cash flow hedges
 
0

 
 
0

(3 
) 
 
0

 
 
0

 
 
0

(3 
) 
 
(2
)
 
  Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency forwards (4)
 
 
 
 
(15
)
 
 
 
 
 
 
 
 
(29
)
 
 
 
 
       Foreign currency options (4)
 
 
 
 
0

 
 
 
 
 
 
 
 
(2
)
 
 
 
 
       Interest rate swaptions (4)
 
(1
)
 
 
0

 
 
(1
)
 
 
0

 
 
0

 
 
0

 
  Total fair value hedges
 
(1
)
 
 
(15
)
 
 
(1
)
 
 
0

 
 
(31
)
 
 
0

 
  Net investment hedge:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Non-derivative hedging
instruments
 
 
 
 
0

 
 
(54
)
 
 
 
 
 
0

 
 
55

 
       Foreign currency options
 
 
 
 
0

 
 
0

 
 
 
 
 
0

 
 
0

 
   Total net investment hedge
 
 
 
 
0

 
 
(54
)
 
 
 
 
 
0

 
 
55

 
  Non-qualifying strategies:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency swaps
 
 
 
 
0

 
 
 
 
 
 
 
 
50

 
 
 
 
       Foreign currency swaps - VIE
 
 
 
 
13

 
 
 
 
 
 
 
 
(36
)
 
 
 
 
       Foreign currency forwards
 
 
 
 
114

 
 
 
 
 
 
 
 
(154
)
 
 
 
 
       Foreign currency options
 
 
 
 
0

 
 
 
 
 
 
 
 
(1
)
 
 
 
 
       Interest rate swaps
 
 
 
 
10

 
 
 
 
 
 
 
 
0

 
 
 
 
  Total non- qualifying strategies
 
 
 
 
137

 
 
 
 
 
 
 
 
(141
)
 
 
 
 
          Total
 
$
(1
)
 
 
$
122

 
 
$
(55
)
 
 
$
0

 
 
$
(172
)
 
 
$
53

 
(1) Net investment income (loss) includes net interest on swaps.
(2) Cash flow hedge items and the change in the fair value of interest rate swaptions related to the time value of the swaptions in fair value hedges are recorded as unrealized gains (losses) on derivatives and net investment hedge items are recorded in the unrealized foreign currency translation gains (losses) line in the consolidated statement of comprehensive income (loss).
(3) Impact of cash flow hedges reported as realized investment gains (losses) includes an immaterial amount of gains or losses reclassified from accumulated other comprehensive income (loss) into earnings. It also includes an immaterial amount excluded from effectiveness testing during the three-month periods ended June 30, 2019 and 2018, respectively.
(4)Impact shown net of effect of hedged items (see Fair Value Hedges section of this Note 4 for further detail)
 
Six Months Ended June 30,
 
2019
2018
(In millions)
Net Investment Income(1)
Realized Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Net Investment Income(1)
Realized Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Qualifying hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  Cash flow hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency swaps - VIE
 
$
(1
)
 
 
$
0

 
 
$
(2
)
 
 
$
0

 
 
$
1

 
 
$
4

 
  Total cash flow hedges
 
(1
)
 
 
0

(3 
) 
 
(2
)
 
 
0

 
 
1

(3 
) 
 
4

 
  Fair value hedges:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency forwards(4)
 

 
 
(24
)
 
 
 
 
 

 
 
(79
)
 
 
 
 
       Foreign currency options(4)
 

 
 
(4
)
 
 
 
 
 

 
 
(3
)
 
 
 
 
       Interest rate swaptions(4)
 
(1
)
 
 
0

 
 
(2
)
 
 
0

 
 
0

 
 
0

 
  Total fair value hedges
 
(1
)
 
 
(28
)
 
 
(2
)
 
 
0

 
 
(82
)
 
 
0

 
  Net investment hedge:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Non-derivative hedging
         instruments
 

 
 
0

 
 
(54
)
 
 

 
 
0

 
 
(29
)
 
       Foreign currency options
 

 
 
0

 
 
0

 
 

 
 
0

 
 
(8
)
 
  Total net investment hedge
 

 
 
0

 
 
(54
)
 
 

 
 
0

 
 
(37
)
 
  Non-qualifying strategies:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
       Foreign currency swaps
 


 
 
44

 
 
 
 
 


 
 
(60
)
 
 
 
 
       Foreign currency swaps - VIE
 


 
 
(3
)
 
 
 
 
 


 
 
88

 
 
 
 
       Foreign currency forwards
 


 
 
93

 
 
 
 
 


 
 
25

 
 
 
 
       Foreign currency options
 


 
 
0

 
 
 
 
 


 
 
0

 
 
 
 
       Interest rate swaps
 


 
 
16

 
 
 
 
 


 
 
0

 
 
 
 
  Total non-qualifying strategies
 


 
 
150

 
 
 
 
 


 
 
53

 
 
 
 
          Total
 
$
(2
)
 
 
$
122

 
 
$
(58
)
 
 
$
0

 
 
$
(28
)
 
 
$
(33
)
 
(1) Net investment income (loss) includes net interest on swaps.
(2) Cash flow hedge items and the change in the fair value of interest rate swaptions related to the time value of the swaptions in fair value hedges are recorded as unrealized gains (losses) on derivatives and net investment hedge items are recorded in the unrealized foreign currency translation gains (losses) line in the consolidated statement of comprehensive income (loss).
(3) Impact of cash flow hedges reported as realized investment gains (losses) includes an immaterial amount of gains or losses reclassified from accumulated other comprehensive income (loss) into earnings. It also includes an immaterial amount excluded from effectiveness testing during the six-month periods ended June 30, 2019 and 2018, respectively.
(4)Impact shown net of effect of hedged items (see Fair Value Hedges section of this Note 4 for further detail)
Offsetting Assets
Offsetting of Financial Assets and Derivative Asset
June 30, 2019
 
 
 
Gross Amounts Not Offset
in Balance Sheet
 
 
(In millions)
Gross Amount of Recognized Assets
 
Gross Amount
Offset in
Balance Sheet
 
Net Amount of Assets Presented
 in Balance Sheet
 
Financial Instruments
 
Securities
Collateral
 
Cash Collateral Received
 
Net Amount
Derivative
  assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
$
310

 
 
 
$
0

 
 
 
$
310

 
 
 
$
(141
)
 
 
$
(101
)
 
 
$
(62
)
 
 
 
$
6

 
          OTC - cleared
 
15

 
 
 
0

 
 
 
15

 
 
 
0

 
 
0

 
 
(7
)
 
 
 
8

 
    Total derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
325

 
 
 
0

 
 
 
325

 
 
 
(141
)
 
 
(101
)
 
 
(69
)
 
 
 
14

 
    Derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
201

 
 
 
 
 
 
 
201

 
 
 
 
 
 
 
 
 
 
 
 
 
201

 
    Total derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
201

 
 
 
 
 
 
 
201

 
 
 
 
 
 
 
 
 
 
 
 
 
201

 
    Total derivative
      assets
 
526

 
 
 
0

 
 
 
526

 
 
 
(141
)
 
 
(101
)
 
 
(69
)
 
 
 
215

 
Securities lending
   and similar
   arrangements
 
1,536

 
 
 
0

 
 
 
1,536

 
 
 
0

 
 
0

 
 
(1,536
)
 
 
 
0

 
    Total
 
$
2,062

 
 
 
$
0

 
 
 
$
2,062

 
 
 
$
(141
)
 
 
$
(101
)
 
 
$
(1,605
)
 
 
 
$
215

 

December 31, 2018
 
 
 
Gross Amounts Not Offset
in Balance Sheet
 
 
(In millions)
Gross Amount of Recognized Assets
 
Gross Amount
Offset in
Balance Sheet
 
Net Amount of Assets Presented
 in Balance Sheet
 
Financial Instruments
 
Securities
Collateral
 
Cash Collateral Received
 
Net Amount
Derivative
  assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
$
231

 
 
 
$
0

 
 
 
$
231

 
 
 
$
(152
)
 
 
$
(23
)
 
 
$
(55
)
 
 
 
$
1

 
          OTC - cleared
 
3

 
 
 
0

 
 
 
3

 
 
 
0

 
 
0

 
 
(3
)
 
 
 
0

 
    Total derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
234

 
 
 
0

 
 
 
234

 
 
 
(152
)
 
 
(23
)
 
 
(58
)
 
 
 
1

 
    Derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
183

 
 
 
 
 
 
 
183

 
 
 
 
 
 
 
 
 
 
 
 
 
183

 
    Total derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
183

 
 
 
 
 
 
 
183

 
 
 
 
 
 
 
 
 
 
 
 
 
183

 
    Total derivative
      assets
 
417

 
 
 
0

 
 
 
417

 
 
 
(152
)
 
 
(23
)
 
 
(58
)
 
 
 
184

 
Securities lending
   and similar
   arrangements
 
1,029

 
 
 
0

 
 
 
1,029

 
 
 
0

 
 
0

 
 
(1,029
)
 
 
 
0

 
    Total
 
$
1,446

 
 
 
$
0

 
 
 
$
1,446

 
 
 
$
(152
)
 
 
$
(23
)
 
 
$
(1,087
)
 
 
 
$
184

 
Offsetting Liabilities

Offsetting of Financial Liabilities and Derivative Liabilities
June 30, 2019
 
 
 
Gross Amounts Not Offset
in Balance Sheet
 
 
(In millions)
Gross Amount of Recognized Liabilities
 
Gross Amount
Offset in
Balance Sheet
 
Net Amount of Liabilities Presented
 in Balance Sheet
 
Financial Instruments
 
Securities
Collateral
 
Cash Collateral Pledged
 
Net Amount
Derivative
  liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
$
240

 
 
 
$
0

 
 
 
$
240

 
 
 
$
(141
)
 
 
$
(17
)
 
 
$
(76
)
 
 
 
$
6

 
    Total derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
240

 
 
 
0

 
 
 
240

 
 
 
(141
)
 
 
(17
)
 
 
(76
)
 
 
 
6

 
    Derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
107

 
 
 
 
 
 
 
107

 
 
 
 
 
 
 
 
 
 
 
 
 
107

 
    Total derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
107

 
 
 
 
 
 
 
107

 
 
 
 
 
 
 
 
 
 
 
 
 
107

 
    Total derivative
      liabilities
 
347

 
 
 
0

 
 
 
347

 
 
 
(141
)
 
 
(17
)
 
 
(76
)
 
 
 
113

 
Securities lending
   and similar
   arrangements
 
1,557

 
 
 
0

 
 
 
1,557

 
 
 
(1,536
)
 
 
0

 
 
0

 
 
 
21

 
    Total
 
$
1,904

 
 
 
$
0

 
 
 
$
1,904

 
 
 
$
(1,677
)
 
 
$
(17
)
 
 
$
(76
)
 
 
 
$
134

 


December 31, 2018
 
 
 
Gross Amounts Not Offset
in Balance Sheet
 
 
(In millions)
Gross Amount of Recognized Liabilities
 
Gross Amount
Offset in
Balance Sheet
 
Net Amount of Liabilities Presented
 in Balance Sheet
 
Financial Instruments
 
Securities
Collateral
 
Cash Collateral Pledged
 
Net Amount
Derivative
  liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    Derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
$
285

 
 
 
$
0

 
 
 
$
285

 
 
 
$
(152
)
 
 
$
(37
)
 
 
$
(68
)
 
 
 
$
28

 
    Total derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
 
285

 
 
 
0

 
 
 
285

 
 
 
(152
)
 
 
(37
)
 
 
(68
)
 
 
 
28

 
    Derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
          OTC - bilateral
 
102

 
 
 
 
 
 
 
102

 
 
 
 
 
 
 
 
 
 
 
 
 
102

 
    Total derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
 
102

 
 
 
 
 
 
 
102

 
 
 
 
 
 
 
 
 
 
 
 
 
102

 
    Total derivative
      liabilities
 
387

 
 
 
0

 
 
 
387

 
 
 
(152
)
 
 
(37
)
 
 
(68
)
 
 
 
130

 
Securities lending
   and similar
   arrangements
 
1,052

 
 
 
0

 
 
 
1,052

 
 
 
(1,029
)
 
 
0

 
 
0

 
 
 
23

 
    Total
 
$
1,439

 
 
 
$
0

 
 
 
$
1,439

 
 
 
$
(1,181
)
 
 
$
(37
)
 
 
$
(68
)
 
 
 
$
153