Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the value of derivative contracts prior to taking into account the netting effects of master netting agreements and cash collateral.

	September 30, 2021						December 31, 2020
Primary Underlying Risk/Instrument Type	Gross Notional		Fair Value				Gross Notional		Fair Value
			Assets		Liabilities				Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Foreign Currency Swaps	$	898,672	$	26,388	$	(10,653)	$	1,376,290	$	23,167	$	(82,625)
Total Derivatives Designated as Hedge Accounting Instruments	$	898,672	$	26,388	$	(10,653)	$	1,376,290	$	23,167	$	(82,625)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	12,000	$	142	$	0	$	4,597,200	$	2,755	$	(1,621)
Interest Rate Swaps	10,663,230		373,323		(375,201)		131,129,200		12,448,036		(9,540,941)
Interest Rate Options	0		0		0		10,198,000		608,538		(178,563)
Interest Rate Forwards	0		0		0		75,000		464		0
Foreign Currency
Foreign Currency Forwards	54,352		1,345		(123)		34,988		4		(557)
Currency/Interest Rate
Foreign Currency Swaps	463,694		11,752		(1,645)		228,117		7,939		(8,440)
Credit
Credit Default Swaps	1,672,000		45,520		0		1,574,173		38,875		(52)
Equity
Equity Futures	1,744,706		6,006		(7,336)		5,558,882		9,424		(24,688)
Total Return Swaps	4,336,238		54,807		(48,142)		22,121,729		62,362		(1,162,907)
Equity Options	18,019,904		477,178		(804,210)		23,856,379		1,617,672		(952,452)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	36,966,124	$	970,073	$	(1,236,657)	$	199,373,668	$	14,796,069	$	(11,870,221)
Total Derivatives(1)(2)	$	37,864,796	$	996,461	$	(1,247,310)	$	200,749,958	$	14,819,236	$	(11,952,846)

(1)Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $4,200 million and $17,314 million as of September 30, 2021 and December 31, 2020, respectively included in “Future policy benefits” and $1,458 million and $580 million as of September 30, 2021 and December 31, 2020, respectively included in “Policyholders’ account balances". Other assets included $69 million and $54 million as of September 30, 2021 and December 31, 2020, respectively. Other liabilities included $31 million and $35 million as of September 30, 2021 and December 31, 2020, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $302 million and $471 million as of September 30, 2021 and December 31, 2020, respectively.

(2)Recorded in “Other invested assets”, “Other liabilities”, and "Payables to parent and affiliates" on the Unaudited Interim Statements of Financial Position.

Offsetting of Financial Assets

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.

	September 30, 2021
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the  Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	996,461	$	(992,264)	$	4,197	$	0	$	4,197
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	996,461	$	(992,264)	$	4,197	$	0	$	4,197
Offsetting of Financial Liabilities:
Derivatives	$	1,247,310	$	(960,518)	$	286,792	$	(286,792)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,247,310	$	(960,518)	$	286,792	$	(286,792)	$	0

	December 31, 2020
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	14,819,236	$	(14,624,985)	$	194,251	$	0	$	194,251
Securities purchased under agreements to resell	150,000		0		150,000		(150,000)		0
Total Assets	$	14,969,236	$	(14,624,985)	$	344,251	$	(150,000)	$	194,251
Offsetting of Financial Liabilities:
Derivatives	$	11,952,846	$	(11,936,059)	$	16,787	$	(16,787)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	11,952,846	$	(11,936,059)	$	16,787	$	(16,787)	$	0

(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty

Offsetting of Financial Liabilities

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Statements of Financial Position.

	September 30, 2021
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the  Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	996,461	$	(992,264)	$	4,197	$	0	$	4,197
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	996,461	$	(992,264)	$	4,197	$	0	$	4,197
Offsetting of Financial Liabilities:
Derivatives	$	1,247,310	$	(960,518)	$	286,792	$	(286,792)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,247,310	$	(960,518)	$	286,792	$	(286,792)	$	0

	December 31, 2020
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Statements of Financial Position		Net Amounts Presented in the Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	14,819,236	$	(14,624,985)	$	194,251	$	0	$	194,251
Securities purchased under agreements to resell	150,000		0		150,000		(150,000)		0
Total Assets	$	14,969,236	$	(14,624,985)	$	344,251	$	(150,000)	$	194,251
Offsetting of Financial Liabilities:
Derivatives	$	11,952,846	$	(11,936,059)	$	16,787	$	(16,787)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	11,952,846	$	(11,936,059)	$	16,787	$	(16,787)	$	0

(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.

	Three Months Ended September 30, 2021
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	3,547	$	2,085	$	5,160	$	32,718
Total cash flow hedges	3,547		2,085		5,160		32,718
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(62,751)		0		0		0
Currency	1,649		0		0		0
Currency/Interest Rate	(9,413)		0		1		0
Credit	1,631		0		0		0
Equity	(18,433)		0		0		0
Embedded Derivatives(2)	4,989,837		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	4,902,520		0		1		0
Total	$	4,906,067	$	2,085	$	5,161	$	32,718

	Nine Months Ended September 30, 2021
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	7,789	$	10,643	$	10,662	$	58,009
Total cash flow hedges	7,789		10,643		10,662		58,009
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,852,373)		0		0		0
Currency	1,803		0		0		0
Currency/Interest Rate	816		0		(35)		0
Credit	10,991		0		0		0
Equity	(1,798,400)		0		0		0
Embedded Derivatives(2)	9,768,777		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	6,131,614		0		(35)		0
Total	$	6,139,403	$	10,643	$	10,627	$	58,009

	Three Months Ended September 30, 2020
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	(194)	$	4,581	$	(13,989)	$	(45,498)
Total cash flow hedges	(194)		4,581		(13,989)		(45,498)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(995,815)		0		0		0
Currency	(837)		0		0		0
Currency/Interest Rate	(17,813)		0		(105)		0
Credit	(344)		0		0		0
Equity	(2,116,755)		0		0		0
Embedded Derivatives	2,885,016		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(246,548)		0		(105)		0
Total	$	(246,742)	$	4,581	$	(14,094)	$	(45,498)

	Nine Months Ended September 30, 2020
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		AOCI(1)
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	4,373	$	13,509	$	(6,694)	$	22,964
Total cash flow hedges	4,373		13,509		(6,694)		22,964
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	5,974,212		0		0		0
Currency	250		0		0		0
Currency/Interest Rate	12,270		0		(36)		0
Credit	(5,872)		0		0		0
Equity	(1,931,846)		0		0		0
Embedded Derivatives	(8,450,728)		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	(4,401,714)		0		(36)		0
Total	$	(4,397,341)	$	13,509	$	(6,730)	$	22,964

(1)Net change in AOCI.

(2)Includes the impact from 2021 Variable Annuities Recapture, see Note 1 for further details.

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income(Loss) Before Taxes

Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:

	(in thousands)
Balance, December 31, 2020	$	(43,000)
Amount recorded in AOCI
Currency/Interest Rate	87,103
Total amount recorded in AOCI	87,103
Amount reclassified from AOCI to income
Currency/Interest Rate	(29,094)
Total amount reclassified from AOCI to income	(29,094)
Balance, September 30, 2021	$	15,009