Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020							December 31, 2019
	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	$	—
Foreign exchange contracts – net investment hedges	65		3		—			93		—		3
Total qualifying hedges	65		3		—			468		3		3

Derivatives not designated as hedging instruments
Interest rate contracts	69,238		3,097		1,238			57,979		1,452		418
Equity contracts	57,452		2,555		2,240			61,921		2,884		3,098
Credit contracts	1,681		13		—			1,419		4		—
Foreign exchange contracts	4,414		39		19			3,412		18		6
Other contracts	—		—		—			1		—		—
Total non-designated hedges	132,785		5,704		3,497			124,732		4,358		3,522

Embedded derivatives
GMWB and GMAB ⁽⁴⁾	N/A		—		3,276			N/A		—		763
IUL	N/A		—		725			N/A		—		881
Fixed deferred indexed annuities	N/A		—		35			N/A		—		46
Structured annuities	N/A		—		(9		)	N/A		—		—
SMC	N/A		—		5			N/A		—		14
Total embedded derivatives	N/A		—		4,032			N/A		—		1,704
Total derivatives	$	132,850	$	5,707	$	7,529		$	125,200	$	4,361	$	5,229

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, indexed annuity and structured 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 $4.5 billion and $2.3 billion as of March 31, 2020 and December 31, 2019, respectively. See Note 13 for additional information related to master netting arrangements and cash collateral. See Note 5 for information about derivatives held by consolidated VIEs.

⁽⁴⁾The fair value of the GMWB and GMAB embedded derivatives as of March 31, 2020 included $3.3 billion of individual contracts in a liability position and $12 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2019 included $981 million of individual contracts in a liability position and $218 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, 2020
Interest rate contracts	$	(1	)	$	—		$	2		$	—		$	2,515		$	—
Equity contracts	—			(7		)	(116		)	(112		)	1,993			(16		)
Credit contracts	—			—			—			—			(36		)	—
Foreign exchange contracts	1			—			—			—			44			(3		)
GMWB and GMAB embedded derivatives	—			—			—			—			(2,513		)	—
IUL embedded derivatives	—			—			—			164			—			—
Fixed deferred indexed annuity embedded derivatives	—			—			—			12			—			—
Structured annuity embedded derivatives	—			—			—			—			3			—
SMC embedded derivatives	—			7			—			—			—			—
Total gain (loss)	$	—		$	—		$	(114	)	$	64		$	2,006		$	(19	)



	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		)	—			—
Fixed deferred indexed annuity embedded derivatives	—			—			—		(2		)	—			—
SMC embedded derivatives	—			(6		)	—		—			—			—
Total gain (loss)	$	(10	)	$	—		$	48	$	(35	)	$	(256	)	$	7

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, 2020:



	Premiums Payable		Premiums Receivable
	(in millions)
2020⁽¹⁾	$	138	$	38
2021	152		112
2022	203		198
2023	126		58
2024	70		10
2025 - 2028	377		7
Total	$	1,066	$	423

⁽¹⁾2020 amounts represent the amounts payable and receivable for the period from April 1, 2020 to December 31, 2020.

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 March 31,
	2020			2019
	(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	46		$	53
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	1		$	1
Derivatives designated as fair value hedges	(1		)	(1		)