Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Balance Sheet Presentation

Derivative Balance Sheet Presentation
	Net Derivatives										Asset Derivatives				Liability Derivatives
	Notional Amount				Fair Value						Fair Value				Fair Value
Hedge Designation/ Derivative Type	Sep. 30, 2019		Dec. 31, 2018		Sep. 30, 2019			Dec. 31, 2018			Sep. 30, 2019		Dec. 31, 2018		Sep. 30, 2019			Dec. 31, 2018
Cash flow hedges
Interest rate swaps	$	2,040	$	2,040	$	—		$	1		$	—	$	2	$	—		$	(1	)
Foreign currency swaps	242		153		7			(6		)	9		2		(2		)	(8		)
Total cash flow hedges	2,282		2,193		7			(5		)	9		4		(2		)	(9		)
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures	8,844		8,451		(70		)	(62		)	2		8		(72		)	(70		)
Foreign exchange contracts
Foreign currency swaps and forwards	454		287		1			(1		)	1		—		—			(1		)
Credit contracts
Credit derivatives that purchase credit protection	353		6		(2		)	—			—		—		(2		)	—
Credit derivatives that assume credit risk [1]	521		1,102		10			3			10		8		—			(5		)
Credit derivatives in offsetting positions	32		41		—			—			5		6		(5		)	(6		)
Equity contracts
Equity index swaps and options	715		211		(5		)	4			8		5		(13		)	(1		)
Total non-qualifying strategies	10,919		10,098		(66		)	(56		)	26		27		(92		)	(83		)
Total cash flow hedges and non-qualifying strategies	$	13,201	$	12,291	$	(59	)	$	(61	)	$	35	$	31	$	(94	)	$	(92	)
Balance Sheet Location
Fixed maturities, available-for-sale	$	225	$	153	$	—		$	—		$	—	$	—	$	—		$	—
Other investments	1,305		9,864		12			7			15		23		(3		)	(16		)
Other liabilities	11,671		2,274		(71		)	(68		)	20		8		(91		)	(76		)
Total derivatives	$	13,201	$	12,291	$	(59	)	$	(61	)	$	35	$	31	$	(94	)	$	(92	)

[1] The derivative instruments related to this strategy are held for other investment purposes.

Offsetting Liabilities

Offsetting Derivative Assets and Liabilities
	(i)			(ii)			(iii) = (i) - (ii)						(iv)			(v) = (iii) - (iv)
							Net Amounts Presented in the Statement of Financial Position						Collateral Disallowed for Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets (Liabilities)			Gross Amounts Offset in the Statement of Financial Position			Derivative Assets [1] (Liabilities) [2]			Accrued Interest and Cash Collateral (Received) [3] Pledged [2]			Financial Collateral (Received) Pledged [4]			Net Amount
As of September 30, 2019
Other investments	$	35		$	32		$	12		$	(9	)	$	1		$	2
Other liabilities	$	(94	)	$	(12	)	$	(71	)	$	(11	)	$	(73	)	$	(9	)
As of December 31, 2018
Other investments	$	31		$	26		$	7		$	(2	)	$	2		$	3
Other liabilities	$	(92	)	$	(20	)	$	(68	)	$	(4	)	$	(65	)	$	(7	)

[1] Included in other investments in the Company's Condensed Consolidated Balance Sheets.

[2] Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.

[3] Included in other investments in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.

[4]

Excludes collateral associated with exchange-traded derivative instruments.

Derivatives in Cash Flow Hedging Relationships

Gain (Loss) Recognized in OCI
	Three Months Ended September 30,				Nine Months Ended September 30,
	2019		2018		2019		2018
Interest rate swaps	$	—	$	—	$	20	$	(16	)
Foreign currency swaps	10		—		14		1
Total	$	10	$	—	$	34	$	(15	)

Gain (Loss) Reclassified from AOCI into Income
	Three Months Ended September 30,												Nine Months Ended September 30,
	2019						2018						2019						2018
	Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense
Interest rate swaps	$	—	$	1	$	—	$	—	$	7	$	—	$	2	$	1	$	1	$	1	$	24	$	—
Foreign currency swaps	—		1		—		—		—		—		—		2		—		—		—		—
Total	$	—	$	2	$	—	$	—	$	7	$	—	$	2	$	3	$	1	$	1	$	24	$	—
Total amounts presented on the Condensed Consolidated Statement of Operations	$	89	$	490	$	67	$	38	$	444	$	69	$	332	$	1,448	$	194	$	60	$	1,323	$	228

Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)

Non-qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
Foreign exchange contracts
Foreign currency swaps and forwards	$	2		$	1		$	2		$	2
Other non-qualifying derivatives
Interest rate contracts
Interest rate swaps, swaptions, and futures	(5		)	1			(20		)	7
Credit contracts
Credit derivatives that purchase credit protection	(1		)	—			(1		)	—
Credit derivatives that assume credit risk	—			8			27			—
Equity contracts
Equity index swaps and options	(1		)	(1		)	(5		)	(1		)
Total other non-qualifying derivatives	(7		)	8			1			6
Total [1]	$	(5	)	$	9		$	3		$	8

[1]

Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.

Credit Derivatives by Type

Credit Risk Assumed Derivatives by Type
							Underlying Referenced Credit Obligation(s) [1]
	Notional Amount [2]		Fair Value			Weighted Average Years to Maturity	Type	Average Credit Rating	Offsetting Notional Amount [3]		Offsetting Fair Value [3]
As of September 30, 2019
Single name credit default swaps
Investment grade risk exposure	$	121	$	2		5 years	Corporate Credit	A-	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	400		8			5 years	Corporate Credit	BBB+	—		—
Investment grade risk exposure	1		—			Less than 1 year	CMBS Credit	A-	1		—
Below investment grade risk exposure	15		(5		)	Less than 1 year	CMBS Credit	CCC-	15		5
Total [5]	$	537	$	5					$	16	$	5
As of December 31, 2018
Single name credit default swaps
Investment grade risk exposure	$	169	$	2		4 years	Corporate Credit/ Foreign Gov.	A	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	799		(1		)	6 years	Corporate Credit	BBB+	—		—
Below investment grade risk exposure	125		2			5 years	Corporate Credit	B+	—		—
Investment grade risk exposure	11		—			5 years	CMBS Credit	A-	2		—
Below investment grade risk exposure	19		(6		)	Less than 1 year	CMBS Credit	CCC	19		6
Total [5]	$	1,123	$	(3	)				$	21	$	6

[1] The average credit ratings are based on availability and are generally the midpoint of the available ratings among Moody’s, S&P and Fitch. If no rating is available from a rating agency, then an internally developed rating is used.

[2] Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements and applicable law, which include collateral posting requirements. There is no additional specific collateral related to these contracts or recourse provisions included in the contracts to offset losses.

[3] The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future changes in value of, or losses paid related to, the original swap.

[4] Comprised of swaps of standard market indices of diversified portfolios of corporate and CMBS issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market index.

[5]

Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.