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Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of notional value and gross fair value of derivative instruments, including embedded derivatives
June 30, 2021December 31, 2020
NotionalGross Fair ValueNotionalGross 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 hedges105 — 1 32 — 2 
Derivatives not designated as hedging instruments
Interest rate contracts
80,070 1,417 558 77,951 1,755 734 
Equity contracts
57,813 4,678 3,950 57,254 4,090 3,571 
Credit contracts
1,733 1 7 2,297 2 1 
Foreign exchange contracts
3,487 24 5 3,423 23 4 
Total non-designated hedges143,103 6,120 4,520 140,925 5,870 4,310 
Embedded derivatives
GMWB and GMAB (4)
N/A— 1,373 N/A— 2,316 
IULN/A— 928 N/A— 935 
Fixed deferred indexed annuitiesN/A— 58 N/A— 52 
Structured variable annuitiesN/A— 214 N/A— 70 
SMCN/A— 6 N/A— 8 
Total embedded derivatives
N/A— 2,579 N/A— 3,381 
Total derivatives
$143,208 $6,120 $7,100 $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 $2.9 billion and $3.7 billion as of June 30, 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 June 30, 2021 included $1.5 billion of individual contracts in a liability position and $154 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 $67 million of individual contracts in an asset position.
Summary of impact of derivatives not designated as hedging instruments, including embedded derivatives
Net Investment IncomeBanking and Deposit Interest ExpenseDistribution ExpensesInterest Credited to Fixed AccountsBenefits, Claims, Losses and Settlement ExpensesGeneral and Administrative Expense
(in millions)
Three Months Ended June 30, 2021
Interest rate contracts$(23)$— $— $— $871 $— 
Equity contracts(1)— 47 30 (304)6 
Credit contracts— — 1 — (30)— 
Foreign exchange contracts6 — — — (5)2 
GMWB and GMAB embedded derivatives— — — — (657)— 
IUL embedded derivatives— — — 20 — — 
Fixed deferred indexed annuity embedded derivatives— — — (3)— — 
Structured variable annuity embedded derivatives— — — — (100)— 
SMC embedded derivatives— — — — — — 
Total gain (loss)$(18)$— $48 $47 $(225)$8 
Six Months Ended June 30, 2021
Interest rate contracts$(23)$— $(1)$— $(954)$— 
Equity contracts— 1 80 55 (614)12 
Credit contracts— — 1 — 39 — 
Foreign exchange contracts6 — — — 6 (2)
GMWB and GMAB embedded derivatives— — — — 943 — 
IUL embedded derivatives— — — 11 — — 
Fixed deferred indexed annuity embedded derivatives— — — (8)— — 
Structured variable annuity embedded derivatives— — — — (175)— 
SMC embedded derivatives— (1)— — — — 
Total gain (loss)$(17)$— $80 $58 $(755)$10 
Net Investment IncomeBanking and Deposit Interest ExpenseDistribution ExpensesInterest Credited to Fixed AccountsBenefits, Claims, Losses and Settlement ExpensesGeneral and Administrative Expense
(in millions)
Three Months Ended June 30, 2020
Interest rate contracts$— $— $— $— $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)
Summary of payments to make and receive for options and swaptions
 Premiums PayablePremiums Receivable
(in millions)
2021 (1)
$78 $81 
2022205 205 
202351 43 
2024138 25 
2025125 22 
2026 - 2028263 88 
Total$860 $464 
(1) 2021 amounts represent the amounts payable and receivable for the period from July 1, 2021 to December 31, 2021.
Summary of impact of derivatives designated as fair value hedges
Six Months Ended June 30, 2020
(in millions)
Total interest and debt expense per Consolidated Statements of Operations$87 
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items$1 
Derivatives designated as fair value hedges(1)