Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Generally, the Company uses derivatives as economic hedges and accounting hedges. The following table presents the notional value and gross fair value of derivative instruments, including embedded derivatives:

	September 30, 2022						December 31, 2021
	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
Equity contracts - cash flow hedges	$	9	$	—	$	1	$	19	$	—	$	—
Foreign exchange contracts – net investment hedges	85		6		—		58		—		—
Total qualifying hedges	94		6		1		77		—		—
Derivatives not designated as hedging instruments
Interest rate contracts	95,697		377		585		79,468		1,252		468
Equity contracts	68,520		2,662		2,514		61,142		4,293		3,754
Credit contracts	1,740		76		3		1,748		9		—
Foreign exchange contracts	2,748		91		24		2,380		20		1
Total non-designated hedges	168,705		3,206		3,126		144,738		5,574		4,223
Embedded derivatives
GMWB and GMAB (4)	N/A		—		932		N/A		—		1,486
IUL	N/A		—		689		N/A		—		905
Fixed deferred indexed annuities and deposit receivables	N/A		47		46		N/A		59		61
Structured variable annuities (5)	N/A		—		(513)		N/A		—		406
SMC	N/A		—		2		N/A		—		4
Total embedded derivatives	N/A		47		1,156		N/A		59		2,862
Total derivatives	$	168,799	$	3,259	$	4,283	$	144,815	$	5,633	$	7,085

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.

(2) The fair value of freestanding derivative liabilities is included in Other liabilities. 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. The fair value of the SMC embedded derivative liability is included in Customer deposits.

(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 $1.6 billion and $3.2 billion as of September 30, 2022 and December 31, 2021, 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 September 30, 2022 included $1.2 billion of individual contracts in a liability position and $224 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2021 included $1.6 billion of individual contracts in a liability position and $133 million of individual contracts in an asset position.

(5) The fair value of the structured variable annuity embedded derivatives was a net asset as of September 30, 2022 and the amount is presented as a contra liability.

Summary of impact of derivatives not designated as hedging instruments, including embedded derivatives

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		Interest and Debt Expense		General and Administrative Expense
	(in millions)
Three Months Ended September 30, 2022
Interest rate contracts	$	—	$	—	$	—	$	—	$	(753)	$	—	$	—
Equity contracts	3		(1)		(41)		(23)		341		—		(5)
Credit contracts	—		—		1		—		92		—		—
Foreign exchange contracts	1		—		—		—		112		—		(8)
GMWB and GMAB embedded derivatives	—		—		—		—		71		—		—
IUL embedded derivatives	—		—		—		48		—		—		—
Structured variable annuity embedded derivatives	—		—		—		—		173		—		—
SMC embedded derivatives	—		1		—		—		—		—		—
Total gain (loss)	$	4	$	—	$	(40)	$	25	$	36	$	—	$	(13)
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 embedded derivatives	—		—		—		1		—		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(17)		—		—
Total gain (loss)	$	(23)	$	—	$	(13)	$	12	$	(249)	$	—	$	(1)

	Net Investment Income		Banking and Deposit Interest Expense		Distribution Expenses		Interest Credited to Fixed Accounts		Benefits, Claims, Losses and Settlement Expenses		Interest and Debt Expense		General and Administrative Expense
	(in millions)
Nine Months Ended September 30, 2022
Interest rate contracts	$	1	$	—	$	(3)	$	—	$	(2,815)	$	(1)	$	—
Equity contracts	10		(1)		(224)		(135)		1,066		—		(29)
Credit contracts	—		—		(2)		—		288		—		—
Foreign exchange contracts	2		—		—		—		219		—		(13)
GMWB and GMAB embedded derivatives	—		—		—		—		551		—		—
IUL embedded derivatives	—		—		—		242		—		—		—
Fixed deferred indexed annuity and deposit receivables embedded derivatives	—		—		—		3		—		—		—
Structured variable annuity embedded derivatives	—		—		—		—		939		—		—
SMC embedded derivatives	—		1		—		—		—		—		—
Total gain (loss)	$	13	$	—	$	(229)	$	110	$	248	$	(1)	$	(42)
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 embedded derivatives	—		—		—		(7)		—		—		—
Structured variable annuity embedded derivatives	—		—		—		—		(192)		—		—
SMC embedded derivatives	—		(1)		—		—		—		—		—
Total gain (loss)	$	(40)	$	—	$	67	$	70	$	(1,004)	$	—	$	9

Summary of payments to make and receive for options and swaptions

The following is a summary of the payments the Company is scheduled to make and receive for these options and swaptions as of September 30, 2022:

	Premiums Payable		Premiums Receivable
	(in millions)
2022 (1)	$	37	$	62
2023	50		43
2024	130		23
2025	118		20
2026	249		88
2027 - 2029	77		—
Total	$	661	$	236

(1) 2022 amounts represent the amounts payable and receivable for the period from October 1, 2022 to December 31, 2022.