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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional value and gross fair value of derivative instruments, including embedded derivatives


	September 30, 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	$	58	$	1	$	—	$	32	$	—	$	2
Total qualifying hedges	58		1		—		32		—		2

Derivatives not designated as hedging instruments
Interest rate contracts	79,350		1,185		476		77,951		1,755		734
Equity contracts	59,856		4,465		3,619		57,254		4,090		3,571
Credit contracts	1,758		18		—		2,297		2		1
Foreign exchange contracts	3,234		18		19		3,423		23		4

Total non-designated hedges	144,198		5,686		4,114		140,925		5,870		4,310

Embedded derivatives
GMWB and GMAB (4)	N/A		—		1,436		N/A		—		2,316
IUL	N/A		—		917		N/A		—		935
Fixed deferred indexed annuities and deposit receivables	N/A		56		58		N/A		—		52
Structured variable annuities	N/A		—		217		N/A		—		70
SMC	N/A		—		5		N/A		—		8
Total embedded derivatives	N/A		56		2,633		N/A		—		3,381
Total derivatives	$	144,256	$	5,743	$	6,747	$	140,957	$	5,870	$	7,693

N/A Not applicable.

(1) The fair value of freestanding derivative assets is included in Other assets and the fair value of ceded embedded derivative assets related to deposit receivables is included in Receivables 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 September 30, 2021 and December 31, 2020, respectively. See Note 13 for additional information related to master netting arrangements and cash collateral.

(4) The fair value of the GMWB and GMAB embedded derivatives as of September 30, 2021 included $1.6 billion of individual contracts in a liability position and $142 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 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, 2021
Interest rate contracts	$	—	$	—	$	—	$	—	$	(171)	$	—
Equity contracts	—		—		(13)		—		1		(1)
Credit contracts	—		—		—		—		2		—
Foreign exchange contracts	(23)		—		—		—		—		—

GMWB and GMAB embedded derivatives	—		—		—		—		(64)		—
IUL embedded derivatives	—		—		—		11		—		—
Fixed deferred indexed annuity and deposit receivables embedded derivatives	—		—		—		1		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(17)		—
SMC embedded derivatives	—		—		—		—		—		—
Total gain (loss)	$	(23)	$	—	$	(13)	$	12	$	(249)	$	(1)

Nine Months Ended September 30, 2021
Interest rate contracts	$	(23)	$	—	$	(1)	$	—	$	(1,125)	$	—
Equity contracts	—		1		67		55		(613)		11
Credit contracts	—		—		1		—		41		—
Foreign exchange contracts	(17)		—		—		—		6		(2)

GMWB and GMAB embedded derivatives	—		—		—		—		879		—
IUL embedded derivatives	—		—		—		22		—		—
Fixed deferred indexed annuity and deposit receivables embedded derivatives	—		—		—		(7)		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(192)		—
SMC embedded derivatives	—		(1)		—		—		—		—
Total gain (loss)	$	(40)	$	—	$	67	$	70	$	(1,004)	$	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, 2020
Interest rate contracts	$	—	$	—	$	—	$	—	$	(371)	$	—
Equity contracts	—		2		41		42		(468)		6
Credit contracts	—		—		—		—		(12)		—
Foreign exchange contracts	—		—		—		—		(23)		5

GMWB and GMAB embedded derivatives	—		—		—		—		186		—
IUL embedded derivatives	—		—		—		(29)		—		—
Fixed deferred indexed annuity embedded derivatives	—		—		—		(3)		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(3)		—
SMC embedded derivatives	—		(2)		—		—		—		—
Total gain (loss)	$	—	$	—	$	41	$	10	$	(691)	$	11

Nine Months Ended September 30, 2020
Interest rate contracts	$	(1)	$	—	$	2	$	—	$	2,204	$	—
Equity contracts	(1)		—		12		(7)		58		3
Credit contracts	—		—		—		—		(91)		—
Foreign exchange contracts	—		—		—		—		26		3

GMWB and GMAB embedded derivatives	—		—		—		—		(2,180)		—
IUL embedded derivatives	—		—		—		8		—		—
Fixed deferred indexed annuity embedded derivatives	—		—		—		2		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(16)		—
SMC embedded derivatives	—		—		—		—		—		—
Total gain (loss)	$	(2)	$	—	$	14	$	3	$	1	$	6

Summary of payments to make and receive for options and swaptions


	Premiums Payable		Premiums Receivable
	(in millions)
2021 (1)	$	60	$	45
2022	204		205
2023	51		43
2024	138		25
2025	125		22
2026 - 2028	262		88
Total	$	840	$	428

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

Summary of impact of derivatives designated as fair value hedges


	Three Months Ended September 30, 2020		Nine Months Ended September 30, 2020
	(in millions)
Total interest and debt expense per Consolidated Statements of Operations	$	37	$	124
Gain (loss) on interest rate contracts designated as fair value hedges:
Hedged items	$	—	$	1
Derivatives designated as fair value hedges	—		(1)
Gain (loss) on interest rate contracts designated as cash flow hedges:
Amount of gain (loss) reclassified from AOCI into income	$	1	$	1

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details