The Company uses derivatives as part of its overall asset/liability risk management primarily to reduce exposures to equity market and interest rate risks. Derivative hedging strategies are designed to reduce these risks from an economic perspective and are all executed within the framework of a “Derivative Use Plan” approved by applicable states’ insurance law. Derivatives are generally not accounted for using hedge accounting, with the exception of TIPS and cash flow hedges, which is discussed further below. Operation of these hedging programs is based on models involving numerous estimates and assumptions, including, among others, mortality, lapse, surrender and withdrawal rates, election rates, fund performance, market volatility and interest rates. A wide range of derivative contracts are used in these hedging programs, including exchange traded equity, currency and interest rate futures contracts, total return and/or other equity swaps, interest rate swap and floor contracts, bond and bond-index total return swaps, swaptions, variance swaps and equity options, credit and foreign exchange derivatives, as well as bond and repo transactions to support the hedging. The derivative contracts are collectively managed in an effort to reduce the economic impact of unfavorable changes in guaranteed benefits’ exposures attributable to movements in capital markets. In addition, as part of its hedging strategy, the Company targets an asset level for all variable annuity products at or above a CTE98 level under most economic scenarios (CTE is a statistical measure of tail risk which quantifies the total asset requirement to sustain a loss if an event outside a given probability level has occurred. CTE98 denotes the financial resources a company would need to cover the average of the worst 2% of scenarios.)

The Company has issued and continues to offer variable annuity products with GMxB features. The risk associated with the GMDB feature is that under-performance of the financial markets could result in GMDB benefits, in the event of death, being higher than what accumulated policyholders’ account balances would support. The risk associated with the GMIB feature is that under-performance of the financial markets could result in the present value of GMIB, in the event of annuitization, being higher than what accumulated policyholders’ account balances would support, taking into account the relationship between current annuity purchase rates and the GMIB guaranteed annuity purchase rates. The risk associated with products that have a GMxB derivative features liability is that under-performance of the financial markets could result in the GMxB derivative features’ benefits being higher than what accumulated policyholders’ account balances would support.

For GMxB features, the Company retains certain risks including basis, credit spread and some volatility risk and risk associated with actual experience versus expected actuarial assumptions for mortality, lapse and surrender, withdrawal and policyholder election rates, among other things. The derivative contracts are managed to correlate with changes in the value of the GMxB features that result from financial markets movements. A portion of exposure to realized equity volatility is hedged using equity options and variance swaps and a portion of exposure to credit risk is hedged using total return swaps on fixed income indices. Additionally, the Company is party to total return swaps for which the reference U.S. Treasury securities are contemporaneously purchased from the market and sold to the swap counterparty. As these transactions result in a transfer of control of the U.S. Treasury securities to the swap counterparty, the Company derecognizes these securities with consequent gain or loss from the sale. The Company has also purchased reinsurance contracts to mitigate the risks associated with GMDB features and the impact of potential market fluctuations on future policyholder elections of GMIB features contained in certain annuity contracts issued by the Company. The reinsurance of the GMIB features is accounted for as a derivative. In addition, on June 1, 2021, we ceded legacy variable annuity policies sold by the Company between 2006-2008 (the “Block”), comprised of non-New York “Accumulator” policies containing fixed rate GMIB and/or GMDB guarantees. As this contract provides full risk transfer, the benefits of this treaty are accounted for in the same manner as the underlying gross reserves and therefore the Amounts Due from Reinsurers related to the GMIB with NLG are accounted for as an embedded derivative.

The Company hedges crediting rates in the SCS variable annuity, SIO in the EQUI-VEST variable annuity series, MSO in the variable life insurance products and IUL insurance products. These products permit the contract owner to participate in the performance of an index, ETF or commodity price movement up to a cap for a set period of time. They also contain a protection feature, in which the Company will absorb, up to a certain percentage, the loss of value in an index, ETF or commodity price, which varies by product segment.

The Company maintains a strategy in its General Account investment portfolio to replicate the credit exposure of fixed maturity securities otherwise permissible for investment under its investment guidelines through the sale of CDS. Under the terms of these swaps, the Company receives quarterly fixed premiums that, together with any initial amount paid or received at trade inception, replicate the credit spread otherwise currently obtainable by purchasing the referenced entity’s bonds of similar maturity. These credit derivatives generally have remaining terms of five years or less and are recorded at fair value with changes in fair value, including the yield component that emerges from initial amounts paid or received, reported in net derivative gains (losses).

The Company manages its credit exposure taking into consideration both cash and derivatives based positions and selects the reference entities in its replicated credit exposures in a manner consistent with its selection of fixed maturities. In addition, the Company generally transacts the sale of CDS in single name reference entities of investment grade credit quality and with counterparties subject to collateral posting requirements. If there is an event of default by the reference entity or other such credit event as defined under the terms of the swap contract, the Company is obligated to perform under the credit derivative and, at its option, either pay the referenced amount of the contract less an auction-determined recovery amount or pay the referenced amount of the contract and receive in return the defaulted or similar security of the reference entity for recovery by sale at the contract settlement auction. The Company purchased CDS to mitigate its exposure to a reference entity through cash positions. These positions do not replicate credit spreads.

To date, there have been no events of default or circumstances indicative of a deterioration in the credit quality of the named referenced entities to require or suggest that the Company will have to perform under the CDS that it sold. The maximum potential amount of future payments the Company could be required to make under the credit derivatives sold is limited to the par value of the referenced securities which is the dollar or euro-equivalent of the derivative’s notional amount. The Standard North American CDS Contract or Standard European Corporate Contract under which the Company executes these CDS sales transactions does not contain recourse provisions for recovery of amounts paid under the credit derivative.

The Company purchased 30-year TIPS and other sovereign bonds, both inflation-linked and non-inflation linked, as General Account investments and enters into asset or cross-currency basis swaps, to result in payment of the given bond’s coupons and principal at maturity in the bond’s specified currency to the swap counterparty in return for fixed dollar amounts. These swaps, when considered in combination with the bonds, together result in a net position that is intended to replicate a dollar-denominated fixed-coupon cash bond with a yield higher than a term-equivalent U.S. Treasury bond.

The Company purchases private placement debt securities and issues funding agreements in the FABN program in currencies other than its functional US dollar currency. The Company enters into cross currency swaps with external counterparties to hedge the exposure of the foreign currency denominated cash flows of these instruments. The foreign currency received from or paid to the cross currency swap counterparty is exchanged for fixed US dollar amounts with improved net investment yields or net product costs over equivalent US dollar denominated instruments issued at that time. The transactions are accounted for as cash flow hedges when they are designated in hedging relationships and qualify for hedge accounting. The first cross currency swap hedges were designated and applied hedge accounting during the quarter ended June 30, 2021.


	December 31, 2021						December 31, 2020
			Fair Value						Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities		Notional Amount		Derivative Assets		Derivative Liabilities
	(in millions)

Derivatives: Designated for Hedge accounting (1)
Cash Flow Hedges:

Currency Swaps	$	921	$	7	$	42	$	—	$	—	$	—
Interest Swaps	955		—		395		957		—		219
Total: Designated for Hedge Accounting	1,876		7		437		957		—		219
Derivatives: Not designated for Hedge accounting (1)
Equity contracts:
Futures (5)	2,213		—		—		4,267		—		—
Swaps (5)	13,310		5		—		22,404		6		—
Options	48,380		12,015		5,059		35,786		8,383		3,715
Interest rate contracts:
Futures (5)	12,455		—		—		18,161		—		—
Swaps (5)	1,876		—		45		22,816		551		434
Swaptions	—		—		—		—		—		—
Credit contracts:
Credit default swaps	619		2		3		919		8		1
Currency contracts:
Currency Swaps	541		1		—		347		—		—
Currency forwards	—		—		—		—		—		—
Other contracts:
Margin	—		102		—		—		26		66
Collateral	—		178		6,154		—		212		3,835
Total: Not designated for Hedge accounting	79,394		12,303		11,261		104,700		9,186		8,051

Embedded Derivatives:
Amounts due from reinsurers (6)	—		5,813		—		—		—		—
GMIB reinsurance contracts (2)	—		2,068		—		—		2,859		—
GMxB derivative features liability (3)	—		—		8,525		—		—		10,936
SCS, SIO, MSO and IUL indexed features (4)	—		—		6,641		—		—		4,378
Total Embedded Derivatives	—		7,881		15,166		—		2,859		15,314
Total derivative instruments	$	81,270	$	20,191	$	26,864	$	105,657	$	12,045	$	23,584


	Year Ended December 31, 2021				Year Ended December 31, 2020				Year Ended December 31, 2019

	Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI		Net Derivatives Gain(Losses) (1) (2)		Interest Credited To Policyholders Account Balances		AOCI
	(in millions)

Derivatives: Designated for hedge accounting
Cash flow hedges:

Currency swaps	$	(2)	$	(45)	$	5	$	—	$	—	$	—	$	—	$	—	$	—
Interest swaps	(69)		—		(87)		(9)		—		(87)		4		—		(28)
Total: Designated for hedge accounting	(71)		(45)		(82)		(9)		—		(87)		4		—		(28)
Derivatives: Not designated for hedge accounting
Equity contracts:
Futures	(607)		—		—		(955)		—		—		(1,294)		—		—
Swaps	(3,608)		—		—		(3,353)		—		—		(2,405)		—		—
Options	3,883		—		—		1,663		—		—		2,211		—		—
Interest rate contracts:
Futures	(727)		—		—		1,745		—		—		139		—		—
Swaps	(2,316)		—		—		2,832		—		—		2,033		—		—
Swaptions	—		—		—		9		—		—		(35)		—		—
Credit contracts:
Credit default swaps	1		—		—		—		—		—		16		—		—
Currency contracts:
Currency swaps	3		—		—		(2)		—		—		(9)		—		—
Currency forwards	—		—		—		—		—		—		—		—		—
Other contracts:
Margin	—		—		—		—		—		—		—		—		—
Collateral	—		—		—		—		—		—		—		—		—
Total: Not designated for hedge accounting	(3,371)		—		—		1,939		—		—		656		—		—



Embedded Derivatives:
Amounts due from reinsurers	517		—		—		—		—		—		—		—		—
GMIB reinsurance contracts	(777)		—		—		472		—		—		500		—		—
GMxB derivative features liability	2,792		—		—		(2,238)		—		—		(2,439)		—		—
SCS, SIO, MSO and IUL indexed features	(3,760)		—		—		(1,693)		—		—		(2,552)		—		—
Total Embedded Derivatives	(1,228)		—		—		(3,459)		—		—		(4,491)		—		—

Total Derivatives	$	(4,670)	$	(45)	$	(82)	$	(1,529)	$	—	$	(87)	$	(3,831)	$	—	$	(28)


	Year Ended December 31,
		2021		2020		2019
		(in millions)
Balance, beginning of period		$	(126)	$	(38)	$	(10)
Amount recorded in AOCI		—		—		—
Currency Swaps		(35)		—		—
Interest Swaps		(183)		(108)		(45)
Total Amount recorded in AOCI		(218)		(108)		(45)
Amount reclassified from AOCI to income		—		—		—
Currency Swaps		40		—		—
Interest Swaps		96		20		17
Total Amount reclassified from AOCI to income		136		20		17
Ending Balance, December 31 (1)		$	(208)	$	(126)	$	(38)

All outstanding equity-based and treasury futures contracts as of December 31, 2021 and December 31, 2020 are exchange-traded and net settled daily in cash. As of December 31, 2021 and December 31, 2020, respectively, the Company had open exchange-traded futures positions on: (i) the S&P 500, Nasdaq, Russell 2000 and Emerging Market indices, having initial margin requirements of $90 million and $135 million, (ii) the 2-year, 5-year and 10-year U.S. Treasury Notes on U.S. Treasury bonds and ultra-long bonds, having initial margin requirements of $196 million and $263 million, and (iii) the Euro Stoxx, FTSE 100, Topix, ASX 200 and EAFE indices as well as corresponding currency futures on the Euro/U.S. dollar, Pound/U.S. dollar, Australian dollar/U.S. dollar, and Yen/U.S. dollar, having initial margin requirements of $16 million and $35 million.

The Company generally has executed a CSA under the ISDA Master Agreement it maintains with each of its OTC derivative counterparties that requires both posting and accepting collateral either in the form of cash or high-quality securities, such as U.S. Treasury securities, U.S. government and government agency securities and investment grade corporate bonds. The Company nets the fair value of all derivative financial instruments with counterparties for which an ISDA Master Agreement and related CSA have been executed. As of December 31, 2021 and December 31, 2020, respectively, the Company held $6.2 billion and $3.8 billion in cash and securities collateral delivered by trade counterparties, representing the fair value of the related derivative agreements. The unrestricted cash collateral is reported in other invested assets. The Company posted collateral of $178 million and $212 million as of December 31, 2021 and December 31, 2020, respectively, in the normal operation of its collateral arrangements.


	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (1)		Net Amount
	(in millions)
Assets:
Derivative assets	$	12,309	$	10,724	$	1,585	$	(961)	$	624
Other financial assets	1,325		—		1,325		—		1,325
Other invested assets	$	13,634	$	10,724	$	2,910	$	(961)	$	1,949

Liabilities:
Derivative liabilities	$	10,738	$	10,724	$	14	$	—	$	14
Other financial liabilities	2,064		—		2,064		—		2,064
Other liabilities	$	12,802	$	10,724	$	2,078	$	—	$	2,078


	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (1)		Net Amount
	(in millions)
Assets:
Derivative assets	$	9,186	$	8,206	$	980	$	(53)	$	927
Other financial assets	1,403		—		1,403		—		1,403
Other invested assets	$	10,589	$	8,206	$	2,383	$	(53)	$	2,330

Liabilities:
Derivative liabilities	$	8,218	$	8,206	$	12	$	—	$	12
Other financial liabilities	1,568		—		1,568		—		1,568
Other liabilities	$	9,786	$	8,206	$	1,580	$	—	$	1,580