Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 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:



	September 30, 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	$	375	$	3	$	—	$	675	$	7	$	—
Foreign exchange contracts – net investment hedges	55		2		—		103		1		—
Total qualifying hedges	430		5		—		778		8		—

Derivatives not designated as hedging instruments
Interest rate contracts	60,437		1,967		521		58,244		789		424
Equity contracts	58,407		2,240		2,830		54,079		1,718		2,154
Credit contracts	2,399		10		—		1,209		—		18
Foreign exchange contracts	4,278		50		34		4,908		59		35
Other contracts	1		—		—		2		—		—
Total non-designated hedges	125,522		4,267		3,385		118,442		2,566		2,631

Embedded derivatives
GMWB and GMAB ⁽⁴⁾	N/A		—		1,452		N/A		—		328
IUL	N/A		—		822		N/A		—		628
Indexed annuities	N/A		—		40		N/A		—		17
SMC	N/A		—		13		N/A		—		6
Total embedded derivatives	N/A		—		2,327		N/A		—		979
Total derivatives	$	125,952	$	4,272	$	5,712	$	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 $2.9 billion and $1.4 billion as of September 30, 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 September 30, 2019 included $1.6 billion of individual contracts in a liability position and $107 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 September 30, 2019
Interest rate contracts	$	(9	)	$	—		$	1		$	—		$	804		$	—
Equity contracts	—			—			(1		)	4			(100		)	—
Credit contracts	—			—			—			—			(9		)	—
Foreign exchange contracts	—			—			—			—			10			—
GMWB and GMAB embedded derivatives	—			—			—			—			(756		)	—
IUL embedded derivatives	—			—			—			22			—			—
Indexed annuities embedded derivatives	—			—			—			—			—			—
SMC embedded derivatives	—			(1		)	—			—			—			—
Total gain (loss)	$	(9	)	$	(1	)	$	—		$	26		$	(51	)	$	—

Nine Months Ended September 30, 2019
Interest rate contracts	$	(37	)	$	—		$	1		$	—		$	1,761		$	—
Equity contracts	—			8			59			70			(1,017		)	10
Credit contracts	—			—			—			—			(78		)	—
Foreign exchange contracts	—			—			—			—			—			(1		)
GMWB and GMAB embedded derivatives	—			—			—			—			(1,124		)	—
IUL embedded derivatives	—			—			—			(102		)	—			—
Indexed annuities embedded derivatives	—			—			—			(3		)	—			—
SMC embedded derivatives	—			(7		)	—			—			—			—
Total gain (loss)	$	(37	)	$	1		$	60		$	(35	)	$	(458	)	$	9



	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, 2018
Interest rate contracts	$	6		$	—		$	—	$	—		$	(205	)	$	—
Equity contracts	(1		)	1			17		34			(229		)	3
Credit contracts	—			—			—		—			4			—
Foreign exchange contracts	1			—			—		—			—			(5		)
Other contracts	—			—			—		—			(2		)	—
GMWB and GMAB embedded derivatives	—			—			—		—			261			—
IUL embedded derivatives	—			—			—		(40		)	—			—
SMC embedded derivatives	—			(2		)	—		—			—			—
Total gain (loss)	$	6		$	(1	)	$	17	$	(6	)	$	(171	)	$	(2	)

Nine Months Ended September 30, 2018
Interest rate contracts	$	28		$	—		$	—	$	—		$	(738	)	$	—
Equity contracts	(1		)	2			22		37			(341		)	5
Credit contracts	—			—			—		—			22			—
Foreign exchange contracts	1			—			—		—			(1		)	(13		)
Other contracts	—			—			—		—			(4		)	—
GMWB and GMAB embedded derivatives	—			—			—		—			637			—
IUL embedded derivatives	—			—			—		(18		)	—			—
SMC embedded derivatives	—			(2		)	—		—			—			—
Total gain (loss)	$	28		$	—		$	22	$	19		$	(425	)	$	(8	)

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, 2019:



	Premiums Payable		Premiums Receivable
	(in millions)
2019⁽¹⁾	$	141	$	98
2020	232		134
2021	186		113
2022	221		200
2023	142		43
2024 - 2028	437		17
Total	$	1,359	$	605

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

Schedule of impact of fair value hedges

The following table is a summary of the impact of derivatives designated as hedges on the Consolidated Statements of Operations:



	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
	(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	52		$	50		$	164		$	181
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	1		$	3		$	3		$	14
Derivatives designated as fair value hedges	(1		)	(3		)	(3		)	(14		)
Gain (loss) on interest rate contracts designated as cash flow hedges:
Amount of gain (loss) reclassified from AOCI into income	$	—		$	—		$	1		$	(1	)