Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2020

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	Jun. 30, 2020		Dec. 31, 2019		Jun. 30, 2020			Dec. 31, 2019			Jun. 30, 2020		Dec. 31, 2019		Jun. 30, 2020			Dec. 31, 2019
Cash flow hedges
Interest rate swaps	$	2,340	$	2,040	$	—		$	—		$	—	$	1	$	—		$	(1	)
Foreign currency swaps	287		270		21			(1		)	21		3		—			(4		)
Total cash flow hedges	2,627		2,310		21			(1		)	21		4		—			(5		)
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures	8,333		9,338		(86		)	(59		)	4		3		(90		)	(62		)
Foreign exchange contracts
Foreign currency swaps and forwards	270		464		—			(1		)	—		—		—			(1		)
Credit contracts
Credit derivatives that purchase credit protection	5		124		—			(3		)	—		—		—			(3		)
Credit derivatives that assume credit risk [1]	600		500		7			13			7		13		—			—
Credit derivatives in offsetting positions	224		29		—			—			5		5		(5		)	(5		)
Equity contracts
Equity index swaps and options	4		941		—			(15		)	—		15		—			(30		)
Total non-qualifying strategies	9,436		11,396		(79		)	(65		)	16		36		(95		)	(101		)
Total cash flow hedges and non-qualifying strategies	$	12,063	$	13,706	$	(58	)	$	(66	)	$	37	$	40	$	(95	)	$	(106	)
Balance Sheet Location
Fixed maturities, available-for-sale	$	270	$	244	$	—		$	—		$	—	$	—	$	—		$	—
Other investments	1,490		1,277		12			12			14		13		(2		)	(1		)
Other liabilities	10,303		12,185		(70		)	(78		)	23		27		(93		)	(105		)
Total derivatives	$	12,063	$	13,706	$	(58	)	$	(66	)	$	37	$	40	$	(95	)	$	(106	)

[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 June 30, 2020
Other investments	$	37		$	35		$	12		$	(10	)	$	1		$	1
Other liabilities	$	(95	)	$	(10	)	$	(70	)	$	(15	)	$	(78	)	$	(7	)
As of December 31, 2019
Other investments	$	40		$	37		$	12		$	(9	)	$	1		$	2
Other liabilities	$	(106	)	$	(23	)	$	(78	)	$	(5	)	$	(73	)	$	(10	)

[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 June 30,					Six Months Ended June 30,
	2020			2019		2020		2019
Interest rate swaps	$	4		$	13	$	36	$	20
Foreign currency swaps	(4		)	4		24		4
Total	$	—		$	17	$	60	$	24

Gain (Loss) Reclassified from AOCI into Income
	Three Months Ended June 30,													Six Months Ended June 30,
	2020							2019						2020								2019
	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	$	—	$	7	$	(2	)	$	2	$	—	$	1	$	—		$	10	$	(2	)	$	2	$	—	$	1
Foreign currency swaps	—		1		—			—		—		—		—			2		—			—		1		—
Total	$	—	$	8	$	(2	)	$	2	$	—	$	1	$	—		$	12	$	(2	)	$	2	$	1	$	1
Total amounts presented on the Condensed Consolidated Statement of Operations	$	109	$	339	$	57		$	80	$	488	$	63	$	(122	)	$	798	$	121		$	243	$	958	$	127

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

Non-qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
	Three Months Ended June 30,						Six Months Ended June 30,
	2020			2019			2020			2019
Foreign exchange contracts
Foreign currency swaps and forwards	$	—		$	(1	)	$	3		$	—
Interest rate contracts
Interest rate swaps, swaptions, and futures	1			(7		)	21			(15		)
Credit contracts
Credit derivatives that purchase credit protection	(2		)	(1		)	4			—
Credit derivatives that assume credit risk	8			6			(4		)	27
Equity contracts
Equity index swaps and options	—			(4		)	75			(4		)
Total [1]	$	7		$	(7	)	$	99		$	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 June 30, 2020
Single name credit default swaps
Investment grade risk exposure	$	100	$	1		5 years	Corporate Credit	A-	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	500		6			5 years	Corporate Credit	BBB+	—		—
Investment grade risk exposure	100		—			8 years	CMBS Credit	AAA	100		—
Below investment grade risk exposure	12		(4		)	Less than 1 year	CMBS Credit	CCC	12		4
Total [5]	$	712	$	3					$	112	$	4
As of December 31, 2019
Single name credit default swaps
Investment grade risk exposure	$	100	$	3		5 years	Corporate Credit	A-	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	400		10			5 years	Corporate Credit	BBB+	—		—
Investment grade risk exposure	1		—			Less than 1 year	CMBS Credit	A	1		—
Below investment grade risk exposure	14		(5		)	Less than 1 year	CMBS Credit	CCC-	14		5
Total [5]	$	515	$	8					$	15	$	5

[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.