Derivatives and Hedge Accounting (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the notional amounts of our derivatives and the fair value of derivative assets and liabilities in the Condensed Consolidated Balance Sheets:


	September 30, 2023								December 31, 2022
	Gross Derivative Assets				Gross Derivative Liabilities				Gross Derivative Assets				Gross Derivative Liabilities
(in millions)		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value
Derivatives designated as hedging instruments:(a)
Interest rate contracts	$	179	$	191	$	3,104	$	78	$	251	$	355	$	1,688	$	66
Foreign exchange contracts		6,115		525		1,630		235		4,543		642		4,899		317
Derivatives not designated as hedging instruments:(a)
Interest rate contracts		36,494		3,057		35,271		5,096		39,833		3,367		34,128		4,772
Foreign exchange contracts		16,539		1,255		5,139		416		8,626		1,202		10,397		821
Equity contracts		42,372		1,422		23,162		853		31,264		428		4,740		26
Commodity contracts		—		—		—		—		212		9		20		—
Credit contracts(b)		1,806		33		536		38		1,808		32		933		41
Other contracts(c)		45,311		16		—		—		47,184		14		—		—
Total derivatives, gross	$	148,816	$	6,499	$	68,842	$	6,716	$	133,721	$	6,049	$	56,805	$	6,043
Counterparty netting(d)				(3,985)				(3,985)				(3,895)				(3,895)
Cash collateral(e)				(2,141)				(2,472)				(1,640)				(1,917)
Total derivatives on Condensed Consolidated Balance Sheets(f)			$	373			$	259			$	514			$	231

(a)Fair value amounts are shown before the effects of counterparty netting adjustments and offsetting cash collateral.

(b)As of September 30, 2023 and December 31, 2022, included CDSs on super senior multi-sector CLO with a net notional amount of $51 million and $79 million (fair value liability of $33 million and $32 million, respectively). The net notional amount represents the maximum exposure to loss on the portfolio.

(c)Consists primarily of stable value wraps and contracts with multiple underlying exposures.

(d)Represents netting of derivative exposures covered by a qualifying master netting agreement.

(e)Represents cash collateral posted and received that is eligible for netting.

(f)Freestanding derivatives only, excludes embedded derivatives. Derivative instrument assets and liabilities are recorded in Other assets and Other liabilities, respectively. Fair value of assets related to bifurcated embedded derivatives was $3.4 billion at September 30, 2023 and $2.2 billion at December 31, 2022. Fair value of liabilities related to bifurcated embedded derivatives was $6.4 billion and $5.4 billion, respectively, at September 30, 2023 and December 31, 2022. A bifurcated embedded derivative is generally presented with the host contract in the Condensed Consolidated Balance Sheets. Embedded derivatives are primarily related to guarantee features in fixed index annuities and index universal life products, which include equity and interest rate components, and the funds withheld arrangement with Fortitude Re. For additional information, see Note 8.

Schedule of Gain (Loss) Recognized in Income on Derivative Instruments in Fair Value Hedging Relationships

The following table presents the gain (loss) recognized in income on our derivative instruments in fair value hedging relationships in the Condensed Consolidated Statements of Income (Loss):


	Gains/(Losses) Recognized in Income for:
(in millions)		Hedging Derivatives(a)		Excluded Components(b)		Hedged Items		Net Impact
Three Months Ended September 30, 2023
Interest rate contracts:
Interest credited to policyholder account balances	$	(48)	$	—	$	53	$	5

Foreign exchange contracts:
Net realized gains/(losses)		231		(129)		(231)		(129)
Three Months Ended September 30, 2022
Interest rate contracts:
Interest credited to policyholder account balances	$	(62)	$	—	$	62	$	—
Net investment income		25		—		(24)		1
Foreign exchange contracts:
Net realized gains/(losses)		455		122		(455)		122
Nine Months Ended September 30, 2023
Interest rate contracts:
Interest credited to policyholder account balances	$	(12)	$	1	$	3	$	(8)

Foreign exchange contracts:
Net realized gains/(losses)		(213)		68		213		68
Nine Months Ended September 30, 2022
Interest rate contracts:
Interest credited to policyholder account balances	$	(90)	$	—	$	93	$	3
Net investment income		26		—		(25)		1
Foreign exchange contracts:
Net realized gains/(losses)		889		262		(889)		262

(a)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are included in the assessment of hedge effectiveness.

(b)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are excluded from the assessment of hedge effectiveness and recognized in income on a mark-to-market basis.

Derivatives Not Designated as Hedging Instruments

The following table presents the effect of derivative instruments not designated as hedging instruments in the Condensed Consolidated Statements of Income (Loss):


	Gains (Losses) Recognized in Income
	Three Months Ended September 30,				Nine Months Ended September 30,
(in millions)		2023		2022		2023		2022
By Derivative Type:
Interest rate contracts	$	(666)	$	(528)	$	(750)	$	(2,010)
Foreign exchange contracts		280		1,010		(41)		1,976
Equity contracts		(438)		19		(513)		(107)
Commodity contracts		(1)		4		7		(3)
Credit contracts		—		(3)		(1)		(4)
Other contracts		16		42		49		73
Embedded derivatives		1,855		2,033		51		9,345
Total	$	1,046	$	2,577	$	(1,198)	$	9,270
By Classification:
Policy fees	$	17	$	17	$	50	$	47
Net investment income - excluding Fortitude Re funds withheld assets		—		8		—		10
Net investment income - Fortitude Re funds withheld assets		1		—		(1)		—
Net realized gains (losses) - excluding Fortitude Re funds withheld assets		507		1,098		(4)		2,364
Net realized gains (losses) on Fortitude Re funds withheld assets(a)		988		1,744		(46)		7,830
Policyholder benefits and claims incurred		(5)		(5)		(5)		(19)
Change in the fair value of market risk benefits, net(b)		(462)		(285)		(1,192)		(962)
Total	$	1,046	$	2,577	$	(1,198)	$	9,270

(a)Includes over-the-counter derivatives supporting the funds withheld arrangements with Fortitude Re and the embedded derivative contained within the funds withheld payable with Fortitude Re.

(b)This represents activity related to derivatives that economically hedged changes in the fair value of certain market risk benefits.

- 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.

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