Derivative Instruments (Tables)
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6 Months Ended |
Jun. 30, 2023 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value |
The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of June 30, 2023 and December 31, 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2023 | | December 31, 2022 | | | | Primary Underlying Risk | | Notional | | Carrying Value/Fair Value | | Notional | | Carrying Value/Fair Value | | | | | Amount | | Assets | | Liabilities | | Amount | | Assets | | Liabilities | | Derivatives not designated as hedging instruments: | | | | | | | | | | | | | | | | Interest rate swaps | | Interest rate | | $ | 1,683 | | | $ | 6 | | | $ | 4 | | | $ | 1,271 | | | $ | 2 | | | $ | 2 | | | Interest rate options | | Interest rate | | 6,555 | | | 8 | | | — | | | 7,756 | | | 34 | | | — | | | Total return swaps | | Interest rate | | 500 | | | 25 | | | 3 | | | 500 | | | 18 | | | — | | | Interest rate futures | | Interest rate | | 96 | | | — | | | — | | | 96 | | | — | | | — | | | Equity futures | | Equity | | 241 | | | — | | | — | | | 164 | | | — | | | — | | | Foreign currency swaps | | Foreign currency | | 150 | | | 26 | | | — | | | 150 | | | 18 | | | — | | | Foreign currency forwards | | Foreign currency | | 850 | | | — | | | 28 | | | 766 | | | 50 | | | — | | | CPI swaps | | CPI | | 477 | | | 14 | | | 2 | | | 496 | | | 20 | | | 3 | | | Credit default swaps | | Credit | | 1,515 | | | 4 | | | 10 | | | 1,523 | | | 2 | | | 21 | | | Equity options | | Equity | | 306 | | | 12 | | | — | | | 358 | | | 38 | | | — | | | Synthetic GICs | | Interest rate | | 17,027 | | | — | | | — | | | 17,411 | | | — | | | — | | | Embedded derivatives in: | | | | | | | | | | | | | | | | Modco or funds withheld arrangements | | | | — | | | 368 | | | 359 | | | — | | | 363 | | | 371 | | | Indexed annuity products | | | | — | | | — | | | 472 | | | — | | | — | | | 530 | | | Total non-hedging derivatives | | | | 29,400 | | | 463 | | | 878 | | | 30,491 | | | 545 | | | 927 | | | Derivatives designated as hedging instruments: | | | | | | | | | | | | | | | | Interest rate swaps | | Foreign currency/Interest rate | | 1,997 | | | 5 | | | 148 | | | 1,310 | | | 3 | | | 113 | | | Foreign currency swaps | | Foreign currency | | 104 | | | — | | | 3 | | | 114 | | | — | | | — | | | Foreign currency forwards | | Foreign currency | | 1,158 | | | 14 | | | 9 | | | 1,019 | | | 38 | | | 1 | | | Forward bond purchase commitments | | Interest rate | | 775 | | | 1 | | | 84 | | | 407 | | | — | | | 96 | | | Total hedging derivatives | | | | 4,034 | | | 20 | | | 244 | | | 2,850 | | | 41 | | | 210 | | | Total derivatives | | | | $ | 33,434 | | | $ | 483 | | | $ | 1,122 | | | $ | 33,341 | | | $ | 586 | | | $ | 1,137 | |
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| Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] |
The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of June 30, 2023 and 2022 were as follows (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | Type of Fair Value Hedge | | Hedged Item | | Gains (Losses) Recognized for Derivatives | | Gains (Losses) Recognized for Hedged Items | | | | | Investment Related Gains (Losses), Net | | For the three months ended June 30, 2023: | | | | | | Foreign currency swaps | | Foreign-denominated fixed maturity securities | | $ | — | | | $ | — | | | For the three months ended June 30, 2022: | | | | | | Foreign currency swaps | | Foreign-denominated fixed maturity securities | | $ | (8) | | | $ | 8 | | | For the six months ended June 30, 2023: | | | | | | Foreign currency swaps | | Foreign-denominated fixed maturity securities | | $ | (3) | | | $ | 2 | | | For the six months ended June 30, 2022: | | Foreign currency swaps | | Foreign-denominated fixed maturity securities | | $ | (1) | | | $ | 5 | |
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| Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block] |
The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three and six months ended June 30, 2023 and 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | Three months ended June 30, | | | | 2023 | | 2022 | | Balance, beginning of period | | $ | (198) | | | $ | (81) | | | Gains (losses), net deferred in other comprehensive income (loss) | | (32) | | | (128) | | | Amounts reclassified to net investment income | | 4 | | | 2 | | | Amounts reclassified to interest expense | | (2) | | | 1 | | | Balance, end of period | | $ | (228) | | | $ | (206) | | | | | | | | | | Six months ended June 30, | | | | 2023 | | 2022 | | Balance, beginning of period | | $ | (205) | | | $ | (22) | | | Gains (losses), net deferred in other comprehensive income (loss) | | (26) | | | (188) | | | Amounts reclassified to net investment income | | 7 | | | 2 | | | Amounts reclassified to interest expense | | (4) | | | 2 | | | Balance, end of period | | $ | (228) | | | $ | (206) | |
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| Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] |
The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2023 and 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | Derivative Type | | Gains (Losses) Deferred in OCI | | Gains (Losses) Reclassified into Income from AOCI | | | | | Net Investment Income | | Interest Expense | | For the three months ended June 30, 2023: | | | | | | | | Interest rate | | $ | (8) | | | $ | — | | | $ | 2 | | | Foreign currency/interest rate | | (24) | | | (4) | | | — | | | Total | | $ | (32) | | | $ | (4) | | | $ | 2 | | | For the three months ended June 30, 2022: | | | | | | | | Interest rate | | $ | (106) | | | $ | — | | | $ | (1) | | | Foreign currency/interest rate | | (22) | | | (2) | | | — | | | Total | | $ | (128) | | | $ | (2) | | | $ | (1) | | | | | | | | | | For the six months ended June 30, 2023: | | | | | | | | Interest rate | | $ | 6 | | | $ | — | | | $ | 4 | | | Foreign currency/interest rate | | (32) | | | (7) | | | — | | | Total | | $ | (26) | | | $ | (7) | | | $ | 4 | | | For the six months ended June 30, 2022: | | | | | | | | Interest rate | | $ | (170) | | | $ | — | | | $ | (2) | | | Foreign currency/interest rate | | (18) | | | (2) | | | — | | | Total | | $ | (188) | | | $ | (2) | | | $ | (2) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location [Table Text Block] |
The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges and the gains (losses) deferred in OCI for the three and six months ended June 30, 2023 and 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Derivative Gains (Losses) Deferred in OCI | | | | Three months ended June 30, | | Six months ended June 30, | | Type of NIFO Hedge | | 2023 | | 2022 | | 2023 | | 2022 | | Foreign currency swaps | | $ | — | | | $ | 1 | | | $ | — | | | $ | 1 | | | Foreign currency forwards | | (21) | | | 38 | | | (21) | | | 22 | | Total | | $ | (21) | | | $ | 39 | | | $ | (21) | | | $ | 23 | |
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| Derivatives Not Designated as Hedging Instruments [Table Text Block] |
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three and six months ended June 30, 2023 and 2022 is as follows (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | Gains (Losses) for the three months ended
June 30, | | Type of Non-hedging Derivative | | Income Statement Location of Gains (Losses) | | 2023 | | 2022 | | Interest rate swaps | | Investment related gains (losses), net | | $ | (30) | | | $ | (44) | | | Interest rate options | | Investment related gains (losses), net | | (3) | | | (6) | | | Total return swaps | | Investment related gains (losses), net | | 5 | | | — | | | Interest rate futures | | Investment related gains (losses), net | | 2 | | | 1 | | | Equity futures | | Investment related gains (losses), net | | (10) | | | 23 | | | Foreign currency swaps | | Investment related gains (losses), net | | 12 | | | 11 | | | Foreign currency forwards | | Investment related gains (losses), net | | (74) | | | (76) | | | CPI swaps | | Investment related gains (losses), net | | 6 | | | (11) | | | Credit default swaps | | Investment related gains (losses), net | | 10 | | | (33) | | | Equity options | | Investment related gains (losses), net | | (11) | | | 21 | | | | | | | | | | | | | | | | | Subtotal | | | | (93) | | | (114) | | | Embedded derivatives in: | | | | | | | | Modco or funds withheld arrangements | | Investment related gains (losses), net | | (20) | | | (56) | | | Indexed annuity products | | Interest credited | | (5) | | | 44 | | | Total non-hedging derivatives | | | | $ | (118) | | | $ | (126) | | | | | | | | | | | | | Gains (Losses) for the six months ended
June 30, | | Type of Non-hedging Derivative | | Income Statement Location of Gains (Losses) | | 2023 | | 2022 | | Interest rate swaps | | Investment related gains (losses), net | | $ | (10) | | | $ | (96) | | | Interest rate options | | Investment related gains (losses), net | | (26) | | | (6) | | | Total return swaps | | Investment related gains (losses), net | | 8 | | | — | | | Interest rate futures | | Investment related gains (losses), net | | 2 | | | 3 | | | Equity futures | | Investment related gains (losses), net | | (19) | | | 28 | | | Foreign currency swaps | | Investment related gains (losses), net | | 12 | | | 18 | | | Foreign currency forwards | | Investment related gains (losses), net | | (93) | | | (99) | | | CPI swaps | | Investment related gains (losses), net | | 7 | | | 18 | | | Credit default swaps | | Investment related gains (losses), net | | 21 | | | (91) | | | Equity options | | Investment related gains (losses), net | | (25) | | | 21 | | | | | | | | | | | | | | | | | Subtotal | | | | (123) | | | (204) | | | Embedded derivatives in: | | | | | | | | Modco or funds withheld arrangements | | Investment related gains (losses), net | | 17 | | | (89) | | | Indexed annuity products | | Interest credited | | 11 | | | 80 | | | Total non-hedging derivatives | | | | $ | (95) | | | $ | (213) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| Disclosure Of Credit Derivatives |
The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at June 30, 2023 and December 31, 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2023 | | December 31, 2022 | Rating Agency Designation of Referenced Credit Obligations(1) | | Estimated Fair
Value of Credit
Default Swaps | | Maximum Amount of Future Payments under Credit Default Swaps(2) | | Weighted Average Years to Maturity(3) | | Estimated Fair
Value of Credit
Default Swaps | | Maximum Amount of Future Payments under Credit Default Swaps(2) | | Weighted Average Years to Maturity(3) | | AAA/AA+/AA/AA-/A+/A/A- | | | | | | | | | | | | | | Single name credit default swaps | | $ | (9) | | | $ | 420 | | | 18.6 | | $ | (18) | | | $ | 428 | | | 18.7 | | | | | | | | | | | | | | | BBB+/BBB/BBB- | | | | | | | | | | | | | | Single name credit default swaps | | 3 | | | 155 | | | 3.1 | | 1 | | | 155 | | | 3.3 | | Credit default swaps referencing indices | | 1 | | | 915 | | | 4.5 | | — | | | 915 | | | 6.2 | | Subtotal | | 4 | | | 1,070 | | | 4.3 | | 1 | | | 1,070 | | | 5.8 | | BB+/BB/BB- | | | | | | | | | | | | | | Single name credit default swaps | | (1) | | | 25 | | | 2.7 | | (2) | | | 25 | | | 3.2 | | | | | | | | | | | | | | | Total | | $ | (6) | | | $ | 1,515 | | | 8.2 | | $ | (19) | | | $ | 1,523 | | | 9.4 |
(1)The rating agency designations are based on ratings from Standard and Poor’s (“S&P”). (2)Assumes the value of the referenced credit obligations is zero. (3)The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
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| Offsetting Assets [Table Text Block] |
The following table provides information relating to the netting of the Company’s derivative instruments as of June 30, 2023 and December 31, 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Amounts
Recognized | | Gross Amounts
Offset in the
Balance Sheet | | Net Amounts
Presented in the
Balance Sheet | | Financial Instruments/Collateral (1) | | Net Amount | | June 30, 2023: | | | | | | | | | | | | Derivative assets | | $ | 115 | | | $ | (54) | | | $ | 61 | | | $ | (61) | | | $ | — | | | Derivative liabilities | | 291 | | | (54) | | | 237 | | | (237) | | | — | | | December 31, 2022: | | | | | | | | | | | | Derivative assets | | 223 | | | (53) | | | 170 | | | (170) | | | — | | | Derivative liabilities | | 236 | | | (53) | | | 183 | | | (183) | | | — | |
(1)Includes initial margin posted to a central clearing partner for financial instruments and excludes the excess of collateral received/pledged from/to the counterparty.
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| Offsetting Liabilities [Table Text Block] |
The following table provides information relating to the netting of the Company’s derivative instruments as of June 30, 2023 and December 31, 2022 (dollars in millions): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross Amounts
Recognized | | Gross Amounts
Offset in the
Balance Sheet | | Net Amounts
Presented in the
Balance Sheet | | Financial Instruments/Collateral (1) | | Net Amount | | June 30, 2023: | | | | | | | | | | | | Derivative assets | | $ | 115 | | | $ | (54) | | | $ | 61 | | | $ | (61) | | | $ | — | | | Derivative liabilities | | 291 | | | (54) | | | 237 | | | (237) | | | — | | | December 31, 2022: | | | | | | | | | | | | Derivative assets | | 223 | | | (53) | | | 170 | | | (170) | | | — | | | Derivative liabilities | | 236 | | | (53) | | | 183 | | | (183) | | | — | |
(1)Includes initial margin posted to a central clearing partner for financial instruments and excludes the excess of collateral received/pledged from/to the counterparty.
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