Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2019

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:



	March 31, 2019						December 31, 2018
	Notional		Gross Fair Value				Notional		Gross Fair Value
			Assets⁽¹⁾		Liabilities⁽²⁾⁽³⁾				Assets⁽¹⁾		Liabilities⁽²⁾⁽³⁾
	(in millions)
Derivatives designated as hedging instruments
Interest rate contracts – fair value hedges	$	675	$	6	$	—	$	675	$	7	$	—
Foreign exchange contracts – net investment hedges	69		—		—		103		1		—
Total qualifying hedges	744		6		—		778		8		—

Derivatives not designated as hedging instruments
Interest rate contracts	59,421		930		366		58,244		789		424
Equity contracts	53,748		2,025		2,625		54,079		1,718		2,154
Credit contracts	1,507		—		21		1,209		—		18
Foreign exchange contracts	4,993		51		33		4,908		59		35
Other contracts	2		—		—		2		—		—
Total non-designated hedges	119,671		3,006		3,045		118,442		2,566		2,631

Embedded derivatives
GMWB and GMAB ⁽⁴⁾	N/A		—		180		N/A		—		328
IUL	N/A		—		745		N/A		—		628
Indexed annuities	N/A		—		26		N/A		—		17
SMC	N/A		—		13		N/A		—		6
Total embedded derivatives	N/A		—		964		N/A		—		979
Total derivatives	$	120,415	$	3,012	$	4,009	$	119,220	$	2,574	$	3,610

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 indexed annuity 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 $1.6 billion and $1.4 billion as of March 31, 2019 and December 31, 2018, respectively. See Note 12 for additional information related to master netting arrangements and cash collateral. See Note 4 for information about derivatives held by consolidated VIEs.

⁽⁴⁾The fair value of the GMWB and GMAB embedded derivatives as of March 31, 2019 included $557 million of individual contracts in a liability position and $377 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2018 included $646 million of individual contracts in a liability position and $318 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 March 31, 2019
Interest rate contracts	$	(9	)	$	—		$	—	$	—		$	331		$	—
Equity contracts	—			6			48		48			(700		)	8
Credit contracts	(1		)	—			—		—			(29		)	—
Foreign exchange contracts	—			—			—		—			(6		)	(1		)
GMWB and GMAB embedded derivatives	—			—			—		—			148			—
IUL embedded derivatives	—			—			—		(81		)	—			—
Indexed annuities embedded derivatives	—			—			—		(2		)	—			—
SMC embedded derivatives	—			(6		)	—		—			—			—
Total gain (loss)	$	(10	)	$	—		$	48	$	(35	)	$	(256	)	$	7



	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 March 31, 2018
Interest rate contracts	$	17	$	—	$	—		$	—		$	(398	)	$	—
Equity contracts	—		—		(3		)	(8		)	25			—
Credit contracts	—		—		—			—			12			—
Foreign exchange contracts	—		—		—			—			2			(2		)
GMWB and GMAB embedded derivatives	—		—		—			—			280			—
IUL embedded derivatives	—		—		—			36			—			—
SMC embedded derivatives	—		1		—			—			—			—
Total gain (loss)	$	17	$	1	$	(3	)	$	28		$	(79	)	$	(2	)

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 March 31, 2019:



	Premiums Payable		Premiums Receivable
	(in millions)
2019⁽¹⁾	$	288	$	140
2020	216		135
2021	187		127
2022	239		200
2023	141		42
2024 - 2028	431		17
Total	$	1,502	$	661

⁽¹⁾2019 amounts represent the amounts payable and receivable for the period from April 1, 2019 to December 31, 2019.

Schedule of impact of fair value hedges

The following table is a summary of the impact of fair value hedges on the Consolidated Statements of Operations:



	Three Months Ended March 31,
	2019			2018
	(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	53		$	51

Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	1		$	8
Derivatives designated as fair value hedges	(1		)	(8		)