Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 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:


	June 30, 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	70,778			3,096			1,032			57,979			1,452		418
Equity contracts	59,097			2,642			2,558			61,921			2,884		3,098
Credit contracts	2,581			3			10			1,419			4		—
Foreign exchange contracts	3,470			33			15			3,412			18		6
Other contracts	—			—			—			1			—		—
Total non-designated hedges	135,926			5,774			3,615			124,732			4,358		3,522

Embedded derivatives
GMWB and GMAB ⁽⁴⁾	N/A			—			3,129			N/A			—		763
IUL	N/A			—			882			N/A			—		881
Fixed deferred indexed annuities	N/A			—			44			N/A			—		46
Structured variable annuities	N/A			—			9			N/A			—		—
SMC	N/A			—			8			N/A			—		14
Total embedded derivatives	N/A			—			4,072			N/A			—		1,704
Total derivatives	$	135,991		$	5,777		$	7,687		$	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 variable 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 $4.4 billion and $2.3 billion as of June 30, 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 June 30, 2020 included $3.2 billion of individual contracts in a liability position and $25 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 June 30, 2020
Interest rate contracts	$	—		$	—	$	—	$	—	$	60	$	—
Equity contracts	(1)			5		87		63		(1,467)		13
Credit contracts	—			—		—		—		(43)		—
Foreign exchange contracts	(1)			—		—		—		5		1

GMWB and GMAB embedded derivatives	—			—		—		—		147		—
IUL embedded derivatives	—			—		—		(127)		—		—
Fixed deferred indexed annuity embedded derivatives	—			—		—		(7)		—		—
Structured variable annuity embedded derivatives	—			—		—		—		(16)		—
SMC embedded derivatives	—			(5)		—		—		—		—
Total gain (loss)	$	(2)		$	—	$	87	$	(71)	$	(1,314)	$	14

Six Months Ended June 30, 2020
Interest rate contracts	$	(1)		$	—	$	2	$	—	$	2,575	$	—
Equity contracts	(1)			(2)		(29)		(49)		526		(3)
Credit contracts	—			—		—		—		(79)		—
Foreign exchange contracts	—			—		—		—		49		(2)

GMWB and GMAB embedded derivatives	—			—		—		—		(2,366)		—
IUL embedded derivatives	—			—		—		37		—		—
Fixed deferred indexed annuity embedded derivatives	—			—		—		5		—		—
Structured variable annuity embedded derivatives	—			—		—		—		(13)		—
SMC embedded derivatives	—			2		—		—		—		—
Total gain (loss)	$	(2)		$	—	$	(27)	$	(7)	$	692	$	(5)


	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 June 30, 2019
Interest rate contracts	$	(19)		$	—	$	—	$	—	$	626	$	—
Equity contracts	—			2		12		18		(217)		2
Credit contracts	1			—		—		—		(40)		—
Foreign exchange contracts	—			—		—		—		(4)		—

GMWB and GMAB embedded derivatives	—			—		—		—		(516)		—
IUL embedded derivatives	—			—		—		(43)		—		—
Fixed deferred indexed annuity embedded derivatives	—			—		—		(1)		—		—

Total gain (loss)	$	(18)		$	2	$	12	$	(26)	$	(151)	$	2

Six Months Ended June 30, 2019
Interest rate contracts	$	(28)		$	—	$	—	$	—	$	957	$	—
Equity contracts	—			8		60		66		(917)		10
Credit contracts	—			—		—		—		(69)		—
Foreign exchange contracts	—			—		—		—		(10)		(1)

GMWB and GMAB embedded derivatives	—			—		—		—		(368)		—
IUL embedded derivatives	—			—		—		(124)		—		—
Fixed deferred indexed annuity embedded derivatives	—			—		—		(3)		—		—
SMC embedded derivatives	—			(6)		—		—		—		—
Total gain (loss)	$	(28)		$	2	$	60	$	(61)	$	(407)	$	9

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 June 30, 2020:


	Premiums Payable			Premiums Receivable
			(in millions)
2020⁽¹⁾	$	82		$	26
2021	152			112
2022	203			198
2023	126			57
2024	71			10
2025 - 2028	377			7
Total	$	1,011		$	410

⁽¹⁾ 2020 amounts represent the amounts payable and receivable for the period from July 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 June 30,									Six Months Ended June 30,
			2020			2019			2020			2019
			(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	41		$	59		$	87		$	112
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	—		$	1		$	1		$	2
Derivatives designated as fair value hedges	—			(1)			(1)			(2)
Gain (loss) on interest rate contracts designated as cash flow hedges:
Amount of gain (loss) reclassified from AOCI into income	$	—		$	1		$	—		$	1