XML 50 R40.htm IDEA: XBRL DOCUMENT v3.23.2
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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, 2023December 31, 2022
 Primary Underlying RiskNotionalCarrying Value/Fair ValueNotionalCarrying Value/Fair Value
 AmountAssetsLiabilitiesAmountAssetsLiabilities
Derivatives not designated as hedging instruments:
Interest rate swaps Interest rate$1,683 $6 $4 $1,271 $2 $2 
Interest rate optionsInterest rate6,555 8 — 7,756 34 — 
Total return swapsInterest rate500 25 3 500 18 — 
Interest rate futuresInterest rate96 — — 96 — — 
Equity futuresEquity241 — — 164 — — 
Foreign currency swapsForeign currency150 26 — 150 18 — 
Foreign currency forwardsForeign currency850 — 28 766 50 — 
CPI swapsCPI477 14 2 496 20 3 
Credit default swapsCredit1,515 4 10 1,523 2 21 
Equity optionsEquity306 12 — 358 38 — 
Synthetic GICsInterest rate17,027 — — 17,411 — — 
Embedded derivatives in:
Modco or funds withheld arrangements— 368 359 — 363 371 
Indexed annuity products— — 472 — — 530 
Total non-hedging derivatives29,400 463 878 30,491 545 927 
Derivatives designated as hedging instruments:
Interest rate swaps Foreign currency/Interest rate1,997 5 148 1,310 3 113 
Foreign currency swapsForeign currency104 — 3 114 — — 
Foreign currency forwardsForeign currency1,158 14 9 1,019 38 1 
Forward bond purchase commitmentsInterest rate775 1 84 407 — 96 
Total hedging derivatives4,034 20 244 2,850 41 210 
Total derivatives$33,434 $483 $1,122 $33,341 $586 $1,137 
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of June 30, 2023 and 2022 were as follows (dollars in millions):
Type of Fair Value HedgeHedged ItemGains (Losses) Recognized for DerivativesGains (Losses) Recognized for Hedged Items
Investment Related Gains (Losses), Net
For the three months ended June 30, 2023:
Foreign currency swapsForeign-denominated fixed maturity securities$— $— 
For the three months ended June 30, 2022:
Foreign currency swapsForeign-denominated fixed maturity securities$(8)$8 
For the six months ended June 30, 2023:
Foreign currency swapsForeign-denominated fixed maturity securities$(3)$2 
For the six months ended June 30, 2022:
Foreign currency swapsForeign-denominated fixed maturity securities$(1)$5 
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]
The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three and six months ended June 30, 2023 and 2022 (dollars in millions):
 Three months ended June 30,
 20232022
Balance, beginning of period$(198)$(81)
Gains (losses), net deferred in other comprehensive income (loss)(32)(128)
Amounts reclassified to net investment income4 2 
Amounts reclassified to interest expense(2)1 
Balance, end of period$(228)$(206)
 Six months ended June 30,
 20232022
Balance, beginning of period$(205)$(22)
Gains (losses), net deferred in other comprehensive income (loss)(26)(188)
Amounts reclassified to net investment income7 2 
Amounts reclassified to interest expense(4)2 
Balance, end of period$(228)$(206)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three and six months ended June 30, 2023 and 2022 (dollars in millions):
Derivative TypeGains (Losses) Deferred in OCIGains (Losses) Reclassified into Income from AOCI
Net Investment IncomeInterest Expense
For the three months ended June 30, 2023:
Interest rate$(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)
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 Hedge2023202220232022
Foreign currency swaps$— $1 $— $1 
Foreign currency forwards(21)38 (21)22
Total$(21)$39 $(21)$23 
Derivatives Not Designated as Hedging Instruments [Table Text Block]
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three and six months ended June 30, 2023 and 2022 is as follows (dollars in millions):
  Gains (Losses) for the three months ended     
June 30,
Type of Non-hedging DerivativeIncome Statement Location of Gains (Losses)20232022
Interest rate swapsInvestment related gains (losses), net$(30)$(44)
Interest rate optionsInvestment related gains (losses), net(3)(6)
Total return swapsInvestment related gains (losses), net5 — 
Interest rate futuresInvestment related gains (losses), net2 1 
Equity futuresInvestment related gains (losses), net(10)23 
Foreign currency swapsInvestment related gains (losses), net12 11 
Foreign currency forwardsInvestment related gains (losses), net(74)(76)
CPI swapsInvestment related gains (losses), net6 (11)
Credit default swapsInvestment related gains (losses), net10 (33)
Equity optionsInvestment related gains (losses), net(11)21 
Subtotal(93)(114)
Embedded derivatives in:
Modco or funds withheld arrangementsInvestment related gains (losses), net(20)(56)
Indexed annuity productsInterest credited(5)44 
Total non-hedging derivatives$(118)$(126)
Gains (Losses) for the six months ended     
June 30,
Type of Non-hedging DerivativeIncome Statement Location of Gains (Losses)20232022
Interest rate swapsInvestment related gains (losses), net$(10)$(96)
Interest rate optionsInvestment related gains (losses), net(26)(6)
Total return swapsInvestment related gains (losses), net8 — 
Interest rate futuresInvestment related gains (losses), net2 3 
Equity futuresInvestment related gains (losses), net(19)28 
Foreign currency swapsInvestment related gains (losses), net12 18 
Foreign currency forwardsInvestment related gains (losses), net(93)(99)
CPI swapsInvestment related gains (losses), net7 18 
Credit default swapsInvestment related gains (losses), net21 (91)
Equity optionsInvestment related gains (losses), net(25)21 
Subtotal(123)(204)
Embedded derivatives in:
Modco or funds withheld arrangementsInvestment related gains (losses), net17 (89)
Indexed annuity productsInterest credited11 80 
Total non-hedging derivatives$(95)$(213)
Disclosure Of Credit Derivatives
The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at June 30, 2023 and December 31, 2022 (dollars in millions):
 June 30, 2023December 31, 2022
Rating Agency Designation of Referenced Credit Obligations(1)
Estimated Fair
Value of Credit 
Default Swaps
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
Weighted
Average
Years to
Maturity(3)
Estimated Fair
Value of Credit 
Default Swaps
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
Weighted
Average
Years to
Maturity(3)  
AAA/AA+/AA/AA-/A+/A/A-
Single name credit default swaps$(9)$420 18.6$(18)$428 18.7
BBB+/BBB/BBB-
Single name credit default swaps3 155 3.11 155 3.3
Credit default swaps referencing indices1 915 4.5— 915 6.2
Subtotal4 1,070 4.31 1,070 5.8
BB+/BB/BB-
Single name credit default swaps(1)25 2.7(2)25 3.2
Total$(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.
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 liabilities291 (54)237 (237)— 
December 31, 2022:
Derivative assets223 (53)170 (170)— 
Derivative liabilities236 (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.
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 liabilities291 (54)237 (237)— 
December 31, 2022:
Derivative assets223 (53)170 (170)— 
Derivative liabilities236 (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.