Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2021

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, 2021						December 31, 2020
	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

Foreign exchange contracts – net investment hedges	$	105	$	—	$	1	$	32	$	—	$	2
Total qualifying hedges	105		—		1		32		—		$	2

Derivatives not designated as hedging instruments
Interest rate contracts	79,805		1,003		486		77,951		1,755		734
Equity contracts	51,647		3,943		3,353		57,254		4,090		3,571
Credit contracts	2,094		26		—		2,297		2		1
Foreign exchange contracts	2,953		18		5		3,423		23		4

Total non-designated hedges	136,499		4,990		3,844		140,925		5,870		4,310

Embedded derivatives
GMWB and GMAB (4)	N/A		—		715		N/A		—		2,316
IUL	N/A		—		949		N/A		—		935
Fixed deferred indexed annuities	N/A		—		56		N/A		—		52
Structured variable annuities	N/A		—		124		N/A		—		70
SMC	N/A		—		7		N/A		—		8
Total embedded derivatives	N/A		—		1,851		N/A		—		3,381
Total derivatives	$	136,604	$	4,990	$	5,696	$	140,957	$	5,870	$	7,693

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, fixed deferred 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 $2.2 billion and $3.7 billion as of March 31, 2021 and December 31, 2020, respectively. See Note 12 for additional information related to master netting arrangements and cash collateral.

(4) The fair value of the GMWB and GMAB embedded derivatives as of March 31, 2021 included $980 million of individual contracts in a liability position and $265 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2020 included $2.4 billion of individual contracts in a liability position and $67 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, 2021
Interest rate contracts	$	—	$	—	$	(1)	$	—	$	(1,825)	$	—
Equity contracts	1		1		33		25		(310)		6
Credit contracts	—		—		—		—		69		—
Foreign exchange contracts	—		—		—		—		11		(4)

GMWB and GMAB embedded derivatives	—		—		—		—		1,600		—
IUL embedded derivatives	—		—		—		(9)		—		—
Fixed deferred indexed annuity embedded derivatives	—		—		—		(5)		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(75)		—
SMC embedded derivatives	—		(1)		—		—		—		—
Total gain (loss)	$	1	$	—	$	32	$	11	$	(530)	$	2


	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 variable annuity embedded derivatives	—		—		—		—		3		—
SMC embedded derivatives	—		7		—		—		—		—
Total gain (loss)	$	—	$	—	$	(114)	$	64	$	2,006	$	(19)

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, 2021:


	Premiums Payable		Premiums Receivable
	(in millions)
2021 (1)	$	112	$	85
2022	205		205
2023	51		42
2024	138		25
2025	125		22
2026 - 2028	262		88
Total	$	893	$	467

(1) 2021 amounts represent the amounts payable and receivable for the period from April 1, 2021 to December 31, 2021.

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,
	2021		2020
	(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	42	$	46
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	—	$	1
Derivatives designated as fair value hedges	—		(1)