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Derivatives (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]


Derivative Balance Sheet Presentation
	Net Derivatives								Asset Derivatives				Liability Derivatives
	Notional Amount				Fair Value				Fair Value				Fair Value
Hedge Designation/ Derivative Type	Sep 30, 2022		Dec. 31, 2021		Sep 30, 2022		Dec. 31, 2021		Sep 30, 2022		Dec. 31, 2021		Sep 30, 2022		Dec. 31, 2021
Cash flow hedges
Interest rate swaps	$	2,155	$	2,340	$	1	$	—	$	1	$	—	$	—	$	—
Foreign currency swaps	539		437		93		6		94		11		(1)		(5)
Total cash flow hedges	2,694		2,777		94		6		95		11		(1)		(5)
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures	8,002		7,567		(8)		(46)		3		3		(11)		(49)
Foreign exchange contracts
Foreign currency swaps and forwards	539		558		—		—		—		—		—		—
Credit contracts
Credit derivatives that purchase credit protection	11		112		—		(2)		—		—		—		(2)

Credit derivatives in offsetting positions	208		210		—		—		4		3		(4)		(3)




Total non-qualifying strategies	8,760		8,447		(8)		(48)		7		6		(15)		(54)
Total cash flow hedges and non-qualifying strategies	$	11,454	$	11,224	$	86	$	(42)	$	102	$	17	$	(16)	$	(59)
Balance Sheet Location
Fixed maturities, available-for-sale	$	539	$	413	$	—	$	—	$	—	$	—	$	—	$	—
Other investments	942		1,452		12		7		12		10		—		(3)
Other liabilities	9,973		9,359		74		(49)		90		7		(16)		(56)
Total derivatives	$	11,454	$	11,224	$	86	$	(42)	$	102	$	17	$	(16)	$	(59)

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, 2022
Other investments	$	102	$	98	$	12	$	(8)	$	3	$	1
Other liabilities	$	(16)	$	(5)	$	74	$	(85)	$	(9)	$	(2)
As of December 31, 2021
Other investments	$	17	$	13	$	7	$	(3)	$	4	$	—
Other liabilities	$	(59)	$	(10)	$	(49)	$	—	$	(47)	$	(2)

[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,
		2022		2021			2022		2021
Interest rate swaps		$	8	$	2		$	2	$	8
Foreign currency swaps		43		8			93		19
Total		$	51	$	10		$	95	$	27


Gain (Loss) Reclassified from AOCI into Income

	Three months ended September 30,								Nine Months Ended September 30,
	2022				2021				2022				2021
	Net Investment Income		Interest Expense		Net Investment Income		Interest Expense		Net Investment Income		Interest Expense		Net Investment Income		Interest Expense
Interest rate swaps	$	(1)	$	—	$	11	$	(3)	$	13	$	(4)	$	31	$	(8)
Foreign currency swaps	3		—		1		—		7		—		3		—
Total	$	2	$	—	$	12	$	(3)	$	20	$	(4)	$	34	$	(8)

Total amounts presented on the Condensed Consolidated Statement of Operations	$	487	$	50	$	650	$	58	$	1,537	$	163	$	1,740	$	172

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


Non-Qualifying Strategies Recognized within Net Realized Gains (Losses)
	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Foreign exchange contracts
Foreign currency forwards	$	—	$	1	$	5	$	1



Interest rate contracts
Interest rate swaps, swaptions, and futures	(17)		9		20		9
Credit contracts
Credit derivatives that purchase credit protection	—		—		5		—
Credit derivatives that assume credit risk	—		—		—		6
Equity contracts
Equity options	(2)		—		(2)		—
Commodity contracts
Commodity options	—		—		14		—
Total [1]	$	(19)	$	10	$	42	$	16

[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 4 - 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, 2022


Basket credit default swaps [4]


Investment grade risk exposure	$	100	$	(2)	6 years	CMBS Credit	AAA	$	100	$	2
Below investment grade risk exposure	4		(2)		Less than 1 year	CMBS Credit	B	4		2
Total [5]	$	104	$	(4)				$	104	$	4
As of December 31, 2021


Basket credit default swaps [4]


Investment grade risk exposure	$	101	$	—	6 years	CMBS Credit	AAA	$	101	$	—
Below investment grade risk exposure	4		(2)		Less than 1 year	CMBS Credit	CCC	4		2
Total [5]	$	105	$	(2)				$	105	$	2

[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 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 4 - Fair Value Measurements of Notes to Consolidated Financial Statements.

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details