Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2017

Schedule of gross fair value of derivative instruments, including embedded derivatives [Table Text Block]

The following table presents the notional value and gross fair value of derivative instruments, including embedded derivatives:



	September 30, 2017						December 31, 2016
	Notional		Gross Fair Value				Notional		Gross Fair Value
	Notional		Assets⁽¹⁾		Liabilities⁽²⁾⁽³⁾		Notional		Assets⁽¹⁾		Liabilities⁽²⁾⁽³⁾
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts	$	675	$	30	$	—	$	675	$	40	$	—
Foreign exchange contracts	99		—		4		164		12		—
Total qualifying hedges	774		30		4		839		52		—

Derivatives not designated as hedging instruments
Interest rate contracts	66,504		1,171		416		72,449		1,738		989
Equity contracts	60,979		1,942		2,669		63,015		1,574		2,135
Credit contracts	721		4		—		1,039		1		—
Foreign exchange contracts	4,494		43		27		4,733		81		47
Other contracts	451		—		—		241		—		—
Total non-designated hedges	133,149		3,160		3,112		141,477		3,394		3,171

Embedded derivatives
GMWB and GMAB ⁽⁴⁾	N/A		—		45		N/A		—		614
IUL	N/A		—		577		N/A		—		464
EIA	N/A		—		4		N/A		—		5
SMC	N/A		—		9		N/A		—		8
Total embedded derivatives	N/A		—		635		N/A		—		1,091
Total derivatives	$	133,923	$	3,190	$	3,751	$	142,316	$	3,446	$	4,262

N/A Not applicable.

⁽¹⁾The fair value of freestanding derivative assets is included in Other assets on the Consolidated Balance Sheets.

⁽²⁾The fair value of freestanding derivative liabilities is included in Other liabilities on the Consolidated Balance Sheets. The fair value of GMWB and GMAB, IUL, and EIA embedded derivatives is included in Policyholder account balances, future policy benefits and claims on the Consolidated Balance Sheets. The fair value of the SMC embedded derivative liability is included in Customer deposits on the Consolidated Balance Sheets.

⁽³⁾The fair value of the Company’s derivative liabilities after considering the effects of master netting arrangements, cash collateral held by the same counterparty and the fair value of net embedded derivatives was $1.3 billion and $1.5 billion as of September 30, 2017 and December 31, 2016, respectively. See Note 11 for additional information related to master netting arrangements and cash collateral.

⁽⁴⁾The fair value of the GMWB and GMAB embedded derivatives as of September 30, 2017 included $494 million of individual contracts in a liability position and $449 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2016 included $880 million of individual contracts in a liability position and $266 million of individual contracts in an asset position.

Schedule of gain (loss) on derivative instruments, including embedded derivatives [Table Text Block]

The following tables present a summary of the impact of derivatives not designated as hedging instruments, including embedded derivatives, on the Consolidated Statements of Operations:



	Net Investment Income			Banking and Deposit Interest Expense			Distribution Expenses		Interest Credited to Fixed Accounts			Benefits, Claims, Losses and Settlement Expenses			General and Administrative Expense
	(in millions)
Three Months Ended September 30, 2017
Interest rate contracts	$	(1	)	$	—		$	—	$	—		$	14		$	—
Equity contracts	(10		)	1			13		18			(261		)	2
Credit contracts	—			—			—		—			(3		)	—
Foreign exchange contracts	—			—			1		—			1			1
Other contracts	—			—			—		—			(2		)	—
GMWB and GMAB embedded derivatives	—			—			—		—			227			—
IUL embedded derivatives	—			—			—		(24		)	—			—
SMC embedded derivatives	—			(1		)	—		—			—			—
Total gain (loss)	$	(11	)	$	—		$	14	$	(6	)	$	(24	)	$	3



Nine Months Ended September 30, 2017
Interest rate contracts	$	(8	)	$	—		$	—	$	—		$	61		$	—
Equity contracts	(7		)	3			36		50			(920		)	7
Credit contracts	—			—			—		—			(22		)	—
Foreign exchange contracts	—			—			3		—			(27		)	5
Other contracts	—			—			—		—			(2		)	—
GMWB and GMAB embedded derivatives	—			—			—		—			569			—
IUL embedded derivatives	—			—			—		(43		)	—			—
SMC embedded derivatives	—			(3		)	—		—			—			—
Total gain (loss)	$	(15	)	$	—		$	39	$	7		$	(341	)	$	12



	Net Investment Income		Banking and Deposit Interest Expense			Distribution Expenses		Interest Credited to Fixed Accounts			Benefits, Claims, Losses and Settlement Expenses			General and Administrative Expense
	(in millions)
Three Months Ended September 30, 2016
Interest rate contracts	$	6	$	—		$	—	$	—		$	(12	)	$	—
Equity contracts	2		2			11		12			(385		)	2
Credit contracts	—		—			—		—			(3		)	—
Foreign exchange contracts	2		—			—		—			(12		)	3
Other contracts	—		—			—		—			(1		)	—
GMWB and GMAB embedded derivatives	—		—			—		—			209			—
IUL embedded derivatives	—		—			—		(5		)	—			—
SMC embedded derivatives	—		(1		)	—		—			—			—
Total gain (loss)	$	10	$	1		$	11	$	7		$	(204	)	$	5



Nine Months Ended September 30, 2016
Interest rate contracts	$	(54	)	$	—		$	—	$	—	$	1,175		$	—
Equity contracts	2			1			13		10		(536		)	3
Credit contracts	—			—			—		—		(34		)	—
Foreign exchange contracts	—			—			2		—		(66		)	15
Other contracts	—			—			—		—		(2		)	—
GMWB and GMAB embedded derivatives	—			—			—		—		(905		)	—
IUL embedded derivatives	—			—			—		12		—			—
SMC embedded derivatives	—			(1		)	—		—		—			—
Total gain (loss)	$	(52	)	$	—		$	15	$	22	$	(368	)	$	18

Schedule of payments to make and receive for options [Table Text Block]

The following is a summary of the payments the Company is scheduled to make and receive for these options and swaptions as of September 30, 2017:



	Premiums Payable		Premiums Receivable
	(in millions)
2017⁽¹⁾	$	98	$	26
2018	232		131
2019	295		171
2020	217		100
2021	187		109
2022 - 2027	739		183
Total	$	1,768	$	720

⁽¹⁾2017 amounts represent the amounts payable and receivable for the period from October 1, 2017 to December 31, 2017.

Fair value hedges [Member]

Derivative Instruments, Gain (Loss)

Schedule of gain (loss) on derivative instruments, including embedded derivatives [Table Text Block]

The following table presents the amounts recognized in income related to fair value hedges:



Derivatives designated as hedging instruments	Location of Gain Recorded into Income	Amount of Gain Recognized in Income on Derivatives
		Three Months Ended September 30,				Nine Months Ended September 30,
		2017		2016		2017		2016
		(in millions)
Interest rate contracts	Interest and debt expense	$	4	$	5	$	12	$	15