Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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.

	March 31, 2022						December 31, 2021
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	$	527,122	$	34,878	$	0	$	637,001	$	29,028	$	(1,372)
Total Derivatives Designated as Hedge Accounting Instruments	$	527,122	$	34,878	$	0	$	637,001	$	29,028	$	(1,372)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Futures	$	0	$	0	$	0	$	55,000	$	34	$	0
Interest Rate Swaps	10,513,400		117,862		(657,789)		10,520,230		338,731		(255,434)
Interest Rate Options	0		0		0		0		0		0
Interest Rate Forwards	0		0		0		0		0		0
Foreign Currency
Foreign Currency Forwards	44,567		607		(1,250)		50,346		370		(536)
Currency/Interest Rate
Foreign Currency Swaps	208,153		4,295		(1,373)		208,153		9,711		(826)
Credit
Credit Default Swaps	75,000		4,146		0		1,745,550		48,147		0
Equity
Equity Futures	2,067,205		22,169		0		855,432		892		(1,016)
Total Return Swaps	1,324,946		46		(32,225)		4,802,777		87,832		(80,808)
Equity Options	24,044,449		1,286,065		(1,117,154)		20,581,951		963,164		(1,028,221)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	38,277,720	$	1,435,190	$	(1,809,791)	$	38,819,439	$	1,448,881	$	(1,366,841)
Total Derivatives(1)(2)	$	38,804,842	$	1,470,068	$	(1,809,791)	$	39,456,440	$	1,477,909	$	(1,368,213)

(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 $3,393 million and $4,060 million as of March 31, 2022 and December 31, 2021, respectively included in “Future policy benefits” and $1,933 million and $2,041 million as of March 31, 2022 and December 31, 2021, respectively included in “Policyholders’ account balances". Other assets included $377 million and $400 million as of March 31, 2022 and December 31, 2021, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $1,866 million and $1,881 million as of March 31, 2022 and December 31, 2021, 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.

	March 31, 2022
	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	$	1,470,068	$	(1,098,964)	$	371,104	$	(80,145)	$	290,959
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	1,470,068	$	(1,098,964)	$	371,104	$	(80,145)	$	290,959
Offsetting of Financial Liabilities:
Derivatives	$	1,809,791	$	(1,809,791)	$	0	$	0	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,809,791	$	(1,809,791)	$	0	$	0	$	0

	December 31, 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	$	1,477,909	$	(1,474,780)	$	3,129	$	0	$	3,129
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	1,477,909	$	(1,474,780)	$	3,129	$	0	$	3,129
Offsetting of Financial Liabilities:
Derivatives	$	1,368,213	$	(1,153,610)	$	214,603	$	(214,603)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,368,213	$	(1,153,610)	$	214,603	$	(214,603)	$	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.

	March 31, 2022
	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	$	1,470,068	$	(1,098,964)	$	371,104	$	(80,145)	$	290,959
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	1,470,068	$	(1,098,964)	$	371,104	$	(80,145)	$	290,959
Offsetting of Financial Liabilities:
Derivatives	$	1,809,791	$	(1,809,791)	$	0	$	0	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,809,791	$	(1,809,791)	$	0	$	0	$	0

	December 31, 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	$	1,477,909	$	(1,474,780)	$	3,129	$	0	$	3,129
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	1,477,909	$	(1,474,780)	$	3,129	$	0	$	3,129
Offsetting of Financial Liabilities:
Derivatives	$	1,368,213	$	(1,153,610)	$	214,603	$	(214,603)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	1,368,213	$	(1,153,610)	$	214,603	$	(214,603)	$	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 March 31, 2022
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	1,257	$	1,489	$	2,232	$	4,100
Total cash flow hedges	1,257		1,489		2,232		4,100
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(526,657)		0		0		0
Currency	(269)		0		0		0
Currency/Interest Rate	(5,790)		0		19		0
Credit	(11,751)		0		0		0
Equity	58,545		0		0		0
Embedded Derivatives	986,370		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	500,448		0		19		0
Total	$	501,705	$	1,489	$	2,251	$	4,100

	Three Months Ended March 31, 2021
	Realized Investment Gains (Losses)		Net Investment Income		Other Income (Loss)		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Currency/Interest Rate	$	1,405	$	4,339	$	6,572	$	2,997
Total cash flow hedges	1,405		4,339		6,572		2,997
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(3,744,843)		0		0		0
Currency	45		0		0		0
Currency/Interest Rate	3,227		0		(16)		0
Credit	2,323		0		0		0
Equity	(929,620)		0		0		0
Embedded Derivatives	6,713,023		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments:	2,044,155		0		(16)		0
Total	$	2,045,560	$	4,339	$	6,556	$	2,997

.

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, 2021	$	24,543
Amount recorded in AOCI
Currency/Interest Rate	9,076
Total amount recorded in AOCI	9,076
Amount reclassified from AOCI to income
Currency/Interest Rate	(4,977)
Total amount reclassified from AOCI to income	(4,977)
Balance, March 31, 2022	$	28,642