XML 40 R28.htm IDEA: XBRL DOCUMENT v3.22.2.2
DERIVATIVE INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The table below summarizes the balance sheet classification of the Company's derivative fair value amounts, as well as the gross asset and liability fair value amounts. The fair value amounts presented do not include income accruals. Derivative assets are included in “Other Assets,” while derivative liabilities are included in “Other Liabilities” within the Company’s Consolidated Balance Sheets. The notional amount of derivative contracts represents the basis upon which pay or receive amounts are calculated and are not reflective of exposure or credit risk.
  September 30, 2022December 31, 2021
(In millions)Asset
Derivatives		Liability
Derivatives		Asset
Derivatives		Liability
Derivatives
Hedge Designation/ Derivative
  Type		Notional
Amount		Fair ValueFair ValueNotional
Amount		Fair ValueFair Value
Cash flow hedges:
Foreign currency swaps - VIE$18 $0 $4 $18 $0 $2 
Total cash flow hedges18 0 4 18 0 2 
Fair value hedges:
Foreign currency forwards0 0 0 62 0 5 
Foreign currency options7,749 5 0 8,829 5 0 
Total fair value hedges7,749 5 0 8,891 5 5 
Net investment hedge:
Foreign currency forwards4,993 833 0 4,996 341 0 
Foreign currency options1,669 0 0 1,949 0 0 
Total net investment hedge6,662 833 0 6,945 341 0 
Non-qualifying strategies:
Foreign currency swaps1,900 81 0 2,250 59 13 
Foreign currency swaps - VIE3,420 65 458 3,151 78 412 
Foreign currency forwards5,843 162 1,035 15,953 450 1,133 
Foreign currency options5,711 0 0 2,746 3 0 
Interest rate swaps11,130 0 590 3,500 0 54 
Forward bond purchase commitment - VIE14 0 1 0 0 0 
Total non-qualifying strategies28,018 308 2,084 27,600 590 1,612 
Total derivatives$42,447 $1,146 $2,088 $43,454 $936 $1,619 
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 DerivativesHedged Items
Hedging DerivativesHedged Items Total
Gains
(Losses)
Gains (Losses)
Excluded from Effectiveness Testing(1)
Gains (Losses)
Included in Effectiveness Testing(2)
 Gains (Losses)(2)
Net Investment Gains (Losses) Recognized for Fair Value Hedge
Three Months Ended September 30, 2022:
Foreign currency optionsFixed maturity securities$(15)$(15)$0 $0 $0 
  Total gains (losses)$(15)$(15)$0 $0 $0 
Nine Months Ended September 30, 2022:
Foreign currency optionsFixed maturity securities$(41)$(41)$0 $0 $0 
Total gains (losses)$(41)$(41)$0 $0 $0 
Three Months Ended September 30, 2021:
Foreign currency forwardsFixed maturity securities$(1)$0 $(1)$1 $0 
Foreign currency optionsFixed maturity securities$(5)$(5)$0 $0 $0 
  Total gains (losses)$(6)$(5)$(1)$1 $0 
Nine Months Ended September 30, 2021:
Foreign currency forwardsFixed maturity securities$(5)$0 $(5)$5 $0 
Foreign currency optionsFixed maturity securities(16)(15)(1)4 3 
Total gains (losses)$(21)$(15)$(6)$9 $3 
(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 net 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 net investment gains (losses). For interest rate swaptions and related hedged items, gains and losses included in the hedge assessment, premium amortization and time value amortization while the hedge items are still outstanding are reported within net investment income. The time value gains and losses for interest rate swaptions when the related hedged items are redeemed are reported in net investment gains and losses consistent with the impact of the hedged item. For the three-month and nine-month periods ended September 30, 2022 and 2021, gains and losses included in the hedge assessment 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)
September 30,
2022		December 31, 2021September 30,
2022		December 31, 2021
Fixed maturity securities$2,166 $3,038 $193 $205 
(1) The balance includes hedging adjustment on discontinued hedging relationships of $193 in 2022 and $205 in 2021.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table summarizes the impact to earnings and other comprehensive income (loss) from all derivatives and hedging instruments.
Three Months Ended September 30,
20222021
(In millions)
Net Investment Income (1)
Net Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Net Investment Income (1)
Net Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Qualifying hedges:
  Cash flow hedges:
       Foreign currency swaps - VIE$0 $(1)$1 $0 $(1)$1 
  Total cash flow hedges0 (1)
(3)
1 0 (1)
(3)
1 
  Fair value hedges:
       Foreign currency options (3)
(15)(5)
       Interest rate swaptions (3)
0 0 0 (1)(1)1 
  Total fair value hedges0 (15)0 (1)(6)1 
  Net investment hedge:
       Non-derivative hedging
          instruments		0 181 0 41 
       Foreign currency forwards28 236 (42)55 
       Foreign currency options (1)0 (1)0 
   Total net investment hedge27 417 (43)96 
  Non-qualifying strategies:
       Foreign currency swaps27 6 
       Foreign currency swaps - VIE(19)(36)
       Foreign currency forwards(252)(84)
       Interest rate swaps(257)(9)
       Forward bond purchase
         commitment - VIE		(1)(1)
  Total non- qualifying strategies(502)(124)
          Total$0 $(491)$418 $(1)$(174)$98 
(1) Interest expense/income on cash flow hedges are recorded in net investment income. For interest rate swaptions classified as fair value hedges, the change in the time value of the swaptions is recognized in other comprehensive income (loss) and amortized into net investment income over its legal term. If the swaption is early terminated but the hedge item is still outstanding, the amortization of disposal amount of the swaptions is recorded in net investment income over the remaining life of the hedged items.
(2) Gains and losses on cash flow hedges 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). Gains and losses on net investment hedges related to changes in foreign currency spot rates 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 net investment gains (losses) includes $1 of losses reclassified from accumulated other comprehensive income (loss) into earnings during the three-month period ended September 30, 2022, and $1 of losses during the three-month period ended September 30, 2021. In addition, an immaterial amount of losses were reclassified from accumulated other comprehensive income (loss) into earnings during the three-month period ended September 30, 2022, and $1 of losses during the three-month period ended September 30, 2021, related to fair value hedges excluded component. Impact shown net of effect of hedged items (see Fair Value Hedges section of this Note 4 for further detail).
Nine Months Ended September 30,
20222021
(In millions)
Net Investment Income(1)
Net Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Net Investment Income(1)
Net Investment
Gains (Losses)
Other
Comprehensive
Income (Loss)(2)
Qualifying hedges:
  Cash flow hedges:
       Foreign currency swaps - VIE$0 $(3)$2 $0 $(3)$2 
  Total cash flow hedges0 (3)
(3)
2 0 (3)
(3)
2 
  Fair value hedges:
       Foreign currency options(3)
(41)(12)
       Interest rate swaptions(3)
0 0 0 (1)(1)1 
  Total fair value hedges0 (41)0 (1)(13)1 
  Net investment hedge:
       Non-derivative hedging
         instruments		0 705 0 237 
       Foreign currency forwards(73)1,059 7 396 
       Foreign currency options (2)0 (4)0 
  Total net investment hedge(75)1,764 3 633 
  Non-qualifying strategies:
       Foreign currency swaps162 105 
       Foreign currency swaps - VIE(35)(115)
       Foreign currency forwards(966)(527)
       Foreign currency options (13)1 
       Interest rate swaps(523)(6)
Forward bond purchase
  commitment - VIE		(21)(2)
  Total non-qualifying strategies(1,396)(544)
          Total$0 $(1,515)$1,766 $(1)$(557)$636 
(1) Interest expense/income on cash flow hedges are recorded in net investment income. For interest rate swaptions classified as fair value hedges, the change in the time value of the swaptions is recognized in other comprehensive income (loss) and amortized into net investment income over its legal term. If the swaption is early terminated but the hedge item is still outstanding, the amortization of disposal amount of the swaptions is recorded in net investment income over the remaining life of the hedged items.
(2) Gains and losses on cash flow hedges 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). Gains and losses on net investment hedges related to changes in foreign currency spot rates 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 net investment gains (losses) includes $3 of losses reclassified from accumulated other comprehensive income (loss) into earnings during the nine-month period ended September 30, 2022, and $3 of losses during the nine-month period ended September 30, 2021. In addition, $1 of losses were reclassified from accumulated other comprehensive income (loss) into earnings during the nine-month period ended September 30, 2022, and $1 of losses during the nine-month period ended September 30, 2021, related to fair value hedges excluded component. 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 Assets
September 30, 2022
Gross Amounts Not Offset
in Balance Sheet
(In millions)Gross Amount of Recognized AssetsGross Amount
Offset in
Balance
Sheet		Net Amount of Assets Presented
 in Balance Sheet		Financial InstrumentsSecurities
Collateral		Cash Collateral ReceivedNet Amount
Derivative
  assets:
    Derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral$1,081 $0 $1,081 $(167)$(135)$(775)$4 
    Total derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement		1,081 0 1,081 (167)(135)(775)4 
    Derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral65 65 65 
    Total derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement		65 65 65 
    Total derivative
      assets		1,146 0 1,146 (167)(135)(775)69 
Securities lending
   and similar
   arrangements		2,691 0 2,691 0 0 (2,691)0 
    Total$3,837 $0 $3,837 $(167)$(135)$(3,466)$69 
December 31, 2021
Gross Amounts Not Offset
in Balance Sheet
(In millions)Gross Amount of Recognized AssetsGross Amount
Offset in
Balance
Sheet		Net Amount of Assets Presented
 in Balance Sheet		Financial InstrumentsSecurities
Collateral		Cash Collateral ReceivedNet Amount
Derivative
  assets:
    Derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral$858 $0 $858 $(471)$(53)$(334)$0 
    Total derivative
      assets subject to a
      master netting
      agreement or
      offsetting
      arrangement		858 0 858 (471)(53)(334)0 
    Derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral78 78 78 
    Total derivative
      assets not subject
      to a master netting
      agreement or
      offsetting
      arrangement		78 78 78 
    Total derivative
      assets		936 0 936 (471)(53)(334)78 
Securities lending
   and similar
   arrangements		2,124 0 2,124 0 0 (2,124)0 
    Total$3,060 $0 $3,060 $(471)$(53)$(2,458)$78 
Offsetting Liabilities
Offsetting of Financial Liabilities and Derivative Liabilities
September 30, 2022
Gross Amounts Not Offset
in Balance Sheet
(In millions)Gross Amount of Recognized LiabilitiesGross Amount
Offset in
Balance
Sheet		Net Amount of Liabilities Presented
 in Balance Sheet		Financial InstrumentsSecurities
Collateral		Cash Collateral PledgedNet Amount
Derivative
  liabilities:
    Derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral$1,036 $0 $1,036 $(167)$(793)$(72)$4 
          OTC - cleared590 0 590 0 0 (590)0 
    Total derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement		1,626 0 1,626 (167)(793)(662)4 
    Derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral462 462 462 
    Total derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement		462 462 462 
    Total derivative
      liabilities		2,088 0 2,088 (167)(793)(662)466 
Securities lending
   and similar
   arrangements		2,721 0 2,721 (2,691)0 0 30 
    Total$4,809 $0 $4,809 $(2,858)$(793)$(662)$496 
December 31, 2021
Gross Amounts Not Offset
in Balance Sheet
(In millions)Gross Amount of Recognized LiabilitiesGross Amount
Offset in
Balance
Sheet		Net Amount of Liabilities Presented
 in Balance Sheet		Financial InstrumentsSecurities
Collateral		Cash Collateral PledgedNet Amount
Derivative
  liabilities:
    Derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral$1,151 $0 $1,151 $(471)$(662)$(14)$4 
          OTC - cleared54 0 54 0 0 (35)19 
    Total derivative
      liabilities subject
      to a master netting
      agreement or
      offsetting
      arrangement		1,205 0 1,205 (471)(662)(49)23 
    Derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement
          OTC - bilateral414 414 414 
    Total derivative
      liabilities not
      subject to a
      master netting
      agreement or
      offsetting
      arrangement		414 414 414 
    Total derivative
      liabilities		1,619 0 1,619 (471)(662)(49)437 
Securities lending
   and similar
   arrangements		2,162 0 2,162 (2,124)0 0 38 
    Total$3,781 $0 $3,781 $(2,595)$(662)$(49)$475