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Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Primary Risks Managed by Derivatives | The following table presents the primary underlying risk exposure, gross notional amount and estimated fair value of the Company’s derivatives, excluding embedded derivatives, held at:
|  |  |  | March 31, 2024 |  | December 31, 2023
|  | Primary Underlying Risk Exposure |  | Gross Notional Amount |  | Estimated Fair Value |  | Gross Notional Amount |  | Estimated Fair Value
|  | Assets |  | Liabilities |  | Assets |  | Liabilities
|  |  |  | (In millions)
Derivatives Designated as Hedging Instruments: |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest rate |  | $ | 4,878 |  |  | $ | 1,112 |  |  | $ | 610 |  |  | $ | 4,550 |  |  | $ | 1,257 |  |  | $ | 535 |
Foreign currency swaps |  | Foreign currency exchange rate |  | 1,400 |  |  | 40 |  |  | 6 |  |  | 1,475 |  |  | 55 |  |  | — |
Foreign currency forwards |  | Foreign currency exchange rate |  | 450 |  |  | — |  |  | 87 |  |  | 450 |  |  | — |  |  | 65 |
Subtotal |  |  |  | 6,728 |  |  | 1,152 |  |  | 703 |  |  | 6,475 |  |  | 1,312 |  |  | 600 |
Cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest rate |  | 4,655 |  |  | — |  |  | 304 |  |  | 4,156 |  |  | 1 |  |  | 265 |
Interest rate forwards |  | Interest rate |  | 5,815 |  |  | 27 |  |  | 897 |  |  | 6,115 |  |  | 51 |  |  | 938 |
Foreign currency swaps |  | Foreign currency exchange rate |  | 46,297 |  |  | 2,489 |  |  | 1,686 |  |  | 43,906 |  |  | 2,457 |  |  | 1,509 |
Subtotal |  |  |  | 56,767 |  |  | 2,516 |  |  | 2,887 |  |  | 54,177 |  |  | 2,509 |  |  | 2,712 |
Net investment in a foreign operation hedges: |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forwards |  | Foreign currency exchange rate |  | 414 |  |  | 24 |  |  | — |  |  | 503 |  |  | — |  |  | 8 |
Currency options |  | Foreign currency exchange rate |  | 3,000 |  |  | 513 |  |  | — |  |  | 3,000 |  |  | 394 |  |  | — |
Subtotal |  |  |  | 3,414 |  |  | 537 |  |  | — |  |  | 3,503 |  |  | 394 |  |  | 8 |
Total qualifying hedges |  | 66,909 |  |  | 4,205 |  |  | 3,590 |  |  | 64,155 |  |  | 4,215 |  |  | 3,320 |
Derivatives Not Designated or Not Qualifying as Hedging Instruments: |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest rate |  | 30,308 |  |  | 1,525 |  |  | 1,127 |  |  | 29,801 |  |  | 1,497 |  |  | 1,102 |
Interest rate floors |  | Interest rate |  | 13,171 |  |  | 34 |  |  | — |  |  | 15,321 |  |  | 41 |  |  | — |
Interest rate caps |  | Interest rate |  | 30,322 |  |  | 313 |  |  | — |  |  | 30,016 |  |  | 373 |  |  | — |
Interest rate futures |  | Interest rate |  | 1,696 |  |  | 1 |  |  | 1 |  |  | 1,243 |  |  | 1 |  |  | 5 |
Interest rate options |  | Interest rate |  | 42,262 |  |  | 225 |  |  | 150 |  |  | 43,926 |  |  | 385 |  |  | 103 |
Interest rate forwards |  | Interest rate |  | 2,671 |  |  | 25 |  |  | 75 |  |  | 2,383 |  |  | 69 |  |  | 36 |
Synthetic GICs |  | Interest rate |  | 48,100 |  |  | — |  |  | — |  |  | 49,066 |  |  | — |  |  | — |
Foreign currency swaps |  | Foreign currency exchange rate |  | 12,072 |  |  | 1,321 |  |  | 393 |  |  | 11,891 |  |  | 1,200 |  |  | 356 |
Foreign currency forwards |  | Foreign currency exchange rate |  | 14,526 |  |  | 40 |  |  | 1,163 |  |  | 14,128 |  |  | 310 |  |  | 806 |
Currency futures |  | Foreign currency exchange rate |  | 309 |  |  | — |  |  | — |  |  | 314 |  |  | 2 |  |  | — |
Currency options |  | Foreign currency exchange rate |  | 95 |  |  | — |  |  | — |  |  | 50 |  |  | — |  |  | — |
Credit default swaps — purchased |  | Credit |  | 2,837 |  |  | — |  |  | 83 |  |  | 2,877 |  |  | 3 |  |  | 79 |
Credit default swaps — written |  | Credit |  | 13,901 |  |  | 271 |  |  | 7 |  |  | 12,468 |  |  | 233 |  |  | 5 |
Equity futures |  | Equity market |  | 1,988 |  |  | 5 |  |  | 6 |  |  | 2,163 |  |  | 8 |  |  | 11 |
Equity index options |  | Equity market |  | 13,738 |  |  | 326 |  |  | 249 |  |  | 19,421 |  |  | 399 |  |  | 255 |
Equity variance swaps |  | Equity market |  | 116 |  |  | — |  |  | 3 |  |  | 99 |  |  | — |  |  | 2 |
Equity total return swaps |  | Equity market |  | 2,020 |  |  | — |  |  | 138 |  |  | 1,912 |  |  | 1 |  |  | 218 |
Total non-designated or nonqualifying derivatives |  | 230,132 |  |  | 4,086 |  |  | 3,395 |  |  | 237,079 |  |  | 4,522 |  |  | 2,978 |
Total |  |  |  | $ | 297,041 |  |  | $ | 8,291 |  |  | $ | 6,985 |  |  | $ | 301,234 |  |  | $ | 8,737 |  |  | $ | 6,298 |
Included in the table above, the Company uses various over-the-counter (“OTC”) and exchange traded derivatives to hedge variable annuity guarantees. The table below presents the gross notional amount, estimated fair value and primary underlying risk exposure of the derivatives hedging variable annuity guarantees accounted for as MRBs:
|  | March 31, 2024 |  | December 31, 2023
Primary Underlying Risk Exposure |  | Gross Notional Amount |  | Estimated Fair Value |  | Gross Notional Amount |  | Estimated Fair Value
Assets |  | Liabilities |  | Assets |  | Liabilities
|  | (In millions)
Derivatives Not Designated or Not Qualifying as Hedging Instruments: |  |  |  |  |  |  |  |  |  |  |  |
Interest rate |  | $ | 9,106 |  |  | $ | 6 |  |  | $ | 724 |  |  | $ | 9,096 |  |  | $ | 13 |  |  | $ | 663 |
Foreign currency exchange rate |  | 747 |  |  | 3 |  |  | 15 |  |  | 716 |  |  | 22 |  |  | 2 |
Equity market |  | 4,987 |  |  | 139 |  |  | 255 |  |  | 5,189 |  |  | 77 |  |  | 373 |
|  | $ | 14,840 |  |  | $ | 148 |  |  | $ | 994 |  |  | $ | 15,001 |  |  | $ | 112 |  |  | $ | 1,038 |
The change in estimated fair values and earned income of derivatives hedging variable annuity guarantees, recorded in net derivative gains (losses), were ($295) million and $153 million for the three months ended March 31, 2024 and 2023, respectively.
The Effects of Derivatives on the Interim Condensed Consolidated Statements of Operations and Comprehensive Income (Loss) | The following table presents the interim condensed consolidated financial statement location and amount of gain (loss) recognized on fair value, cash flow, net investment in a foreign operation (“NIFO”), nonqualifying hedging relationships and embedded derivatives:
|  | Three Months Ended March 31, 2024
|  | Net Investment Income |  | Net Investment Gains (Losses) |  | Net Derivative Gains (Losses) |  | Policyholder Benefits and Claims |  | Interest Credited to Policyholder Account Balances |  | Other Expenses |  | Other Comprehensive Income (Loss)
|  | (In millions)
Gain (Loss) on Fair Value Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments (1) |  | $ | — |  |  | $ | — |  |  | N/A |  | $ | (109) |  |  | $ | (43) |  |  | $ | — |  |  | N/A
Hedged items |  | — |  |  | — |  |  | N/A |  | 103 |  |  | 42 |  |  | — |  |  | N/A
Foreign currency exchange rate derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments (1) |  | 4 |  |  | (31) |  |  | N/A |  | — |  |  | (24) |  |  | — |  |  | N/A
Hedged items |  | (2) |  |  | 23 |  |  | N/A |  | — |  |  | 28 |  |  | — |  |  | N/A
Amount excluded from the assessment of hedge effectiveness |  | — |  |  | 4 |  |  | N/A |  | — |  |  | — |  |  | — |  |  | N/A
Subtotal |  | 2 |  |  | (4) |  |  | N/A |  | (6) |  |  | 3 |  |  | — |  |  | N/A
Gain (Loss) on Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | $ | (218) |
Amount of gains (losses) reclassified from AOCI into income |  | 8 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (10) |
Foreign currency exchange rate derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | (123) |
Amount of gains (losses) reclassified from AOCI into income |  | 1 |  |  | (368) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 367 |
Foreign currency transaction gains (losses) on hedged items |  | — |  |  | 351 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Credit derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | — |
Amount of gains (losses) reclassified from AOCI into income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Subtotal |  | 9 |  |  | (15) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 16 |
Gain (Loss) on NIFO Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange rate derivatives (1) |  | N/A |  | — |  |  | N/A |  | N/A |  | N/A |  | N/A |  | 160 |
Non-derivative hedging instruments |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | 20 |
Subtotal |  | N/A |  | — |  |  | N/A |  | N/A |  | N/A |  | N/A |  | 180 |
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives (1) |  | — |  |  | N/A |  | (353) |  |  | N/A |  | N/A |  | N/A |  | N/A
Foreign currency exchange rate derivatives (1) |  | — |  |  | N/A |  | (706) |  |  | N/A |  | N/A |  | N/A |  | N/A
Credit derivatives — purchased (1) |  | — |  |  | N/A |  | (7) |  |  | N/A |  | N/A |  | N/A |  | N/A
Credit derivatives — written (1) |  | — |  |  | N/A |  | 34 |  |  | N/A |  | N/A |  | N/A |  | N/A
Equity derivatives (1) |  | (25) |  |  | N/A |  | (342) |  |  | N/A |  | N/A |  | N/A |  | N/A
Foreign currency transaction gains (losses) on hedged items |  | — |  |  | N/A |  | 163 |  |  | N/A |  | N/A |  | N/A |  | N/A
Subtotal |  | (25) |  |  | N/A |  | (1,211) |  |  | N/A |  | N/A |  | N/A |  | N/A
Earned income on derivatives |  | 30 |  |  | — |  |  | 181 |  |  | (4) |  |  | (49) |  |  | — |  |  | — |
Synthetic GICs |  | N/A |  | N/A |  | 19 |  |  | N/A |  | N/A |  | N/A |  | N/A
Embedded derivatives |  | N/A |  | N/A |  | 32 |  |  | N/A |  | N/A |  | N/A |  | N/A
Total |  | $ | 16 |  |  | $ | (19) |  |  | $ | (979) |  |  | $ | (10) |  |  | $ | (46) |  |  | $ | — |  |  | $ | 196 |
|  | Three Months Ended March 31, 2023
|  | Net Investment Income |  | Net Investment Gains (Losses) |  | Net Derivative Gains (Losses) |  | Policyholder Benefits and Claims |  | Interest Credited to Policyholder Account Balances |  | Other Expenses |  | Other Comprehensive Income (Loss)
|  | (In millions)
Gain (Loss) on Fair Value Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments (1) |  | $ | (1) |  |  | $ | — |  |  | N/A |  | $ | 126 |  |  | $ | 36 |  |  | $ | — |  |  | N/A
Hedged items |  | 1 |  |  | — |  |  | N/A |  | (126) |  |  | (36) |  |  | — |  |  | N/A
Foreign currency exchange rate derivatives: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments (1) |  | (17) |  |  | (3) |  |  | N/A |  | — |  |  | — |  |  | — |  |  | N/A
Hedged items |  | 17 |  |  | 3 |  |  | N/A |  | — |  |  | — |  |  | — |  |  | N/A
Amount excluded from the assessment of hedge effectiveness |  | — |  |  | (10) |  |  | N/A |  | — |  |  | — |  |  | — |  |  | N/A
Subtotal |  | — |  |  | (10) |  |  | N/A |  | — |  |  | — |  |  | — |  |  | N/A
Gain (Loss) on Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | $ | 547 |
Amount of gains (losses) reclassified from AOCI into income |  | 14 |  |  | 5 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | (19) |
Foreign currency exchange rate derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | (160) |
Amount of gains (losses) reclassified from AOCI into income |  | 1 |  |  | 111 |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | (113) |
Foreign currency transaction gains (losses) on hedged items |  | — |  |  | (114) |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Credit derivatives: (1) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amount of gains (losses) deferred in AOCI |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | — |
Amount of gains (losses) reclassified from AOCI into income |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |
Subtotal |  | 15 |  |  | 2 |  |  | — |  |  | — |  |  | — |  |  | 1 |  |  | 255 |
Gain (Loss) on NIFO Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange rate derivatives (1) |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | 46 |
Non-derivative hedging instruments |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | 2 |
Subtotal |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | N/A |  | 48 |
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives (1) |  | — |  |  | N/A |  | 158 |  |  | N/A |  | N/A |  | N/A |  | N/A
Foreign currency exchange rate derivatives (1) |  | — |  |  | N/A |  | (162) |  |  | N/A |  | N/A |  | N/A |  | N/A
Credit derivatives — purchased (1) |  | — |  |  | N/A |  | (13) |  |  | N/A |  | N/A |  | N/A |  | N/A
Credit derivatives — written (1) |  | — |  |  | N/A |  | 3 |  |  | N/A |  | N/A |  | N/A |  | N/A
Equity derivatives (1) |  | (6) |  |  | N/A |  | (512) |  |  | N/A |  | N/A |  | N/A |  | N/A
Foreign currency transaction gains (losses) on hedged items |  | — |  |  | N/A |  | 123 |  |  | N/A |  | N/A |  | N/A |  | N/A
Subtotal |  | (6) |  |  | N/A |  | (403) |  |  | N/A |  | N/A |  | N/A |  | N/A
Earned income on derivatives |  | 43 |  |  | — |  |  | 312 |  |  | 5 |  |  | (33) |  |  | — |  |  | — |
Synthetic GICs |  | N/A |  | N/A |  | 18 |  |  | N/A |  | N/A |  | N/A |  | N/A
Embedded derivatives |  | N/A |  | N/A |  | (17) |  |  | — |  |  | N/A |  | N/A |  | N/A
Total |  | $ | 52 |  |  | $ | (8) |  |  | $ | (90) |  |  | $ | 5 |  |  | $ | (33) |  |  | $ | 1 |  |  | $ | 303 |
__________________ (1)Excludes earned income on derivatives.
Fair Value Hedges | The following table presents the balance sheet classification, carrying amount and cumulative fair value hedging adjustments for items designated and qualifying as hedged items in fair value hedges:
Balance Sheet Line Item |  | Carrying Amount of the Hedged Assets/(Liabilities) |  |  |  | Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of Hedged Assets/(Liabilities) (1) |  |
|  | March 31, 2024 |  | December 31, 2023 |  |  |  | March 31, 2024 |  | December 31, 2023 |  |
|  | (In millions) |  |
Fixed maturity securities AFS |  | $ | 445 |  |  | $ | 454 |  |  |  |  | $ | 3 |  |  | $ | 3 |  |  |
Mortgage loans |  | $ | 285 |  |  | $ | 359 |  |  |  |  | $ | (8) |  |  | $ | (11) |  |  |
FPBs |  | $ | (2,656) |  |  | $ | (2,863) |  |  |  |  | $ | 298 |  |  | $ | 191 |  |  |
PABs |  | $ | (1,720) |  |  | $ | (1,911) |  |  |  |  | $ | 148 |  |  | $ | 25 |  |  |
__________________ (1)Includes ($105) million and ($111) million of hedging adjustments on discontinued hedging relationships at March 31, 2024 and December 31, 2023, respectively. For the Company’s foreign currency forwards, the change in the estimated fair value of the derivative related to the changes in the difference between the spot price and the forward price is excluded from the assessment of hedge effectiveness. The Company has elected to record changes in estimated fair value of excluded components in earnings. For all other derivatives, all components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.
Schedule of estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps | The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps at:
|  | March 31, 2024 |  | December 31, 2023
Rating Agency Designation of Referenced Credit Obligations (1) |  | Estimated Fair Value of Credit Default Swaps |  | Maximum Amount of Future Payments under Credit Default Swaps |  | Weighted Average Years to Maturity (2) |  | Estimated Fair Value of Credit Default Swaps |  | Maximum Amount of Future Payments under Credit Default Swaps |  | Weighted Average Years to Maturity (2)
|  | (Dollars in millions)
Aaa/Aa/A |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps (3) |  | $ | 1 |  |  | $ | 140 |  |  | 1.4 |  | $ | 2 |  |  | $ | 150 |  |  | 1.6
Credit default swaps referencing indices |  | 91 |  |  | 4,286 |  |  | 2.7 |  | 80 |  |  | 3,830 |  |  | 2.7
Subtotal |  | 92 |  |  | 4,426 |  |  | 2.6 |  | 82 |  |  | 3,980 |  |  | 2.6
Baa |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps (3) |  | 1 |  |  | 99 |  |  | 1.8 |  | 1 |  |  | 99 |  |  | 2.1
Credit default swaps referencing indices |  | 169 |  |  | 9,175 |  |  | 4.7 |  | 145 |  |  | 8,188 |  |  | 5.4
Subtotal |  | 170 |  |  | 9,274 |  |  | 4.7 |  | 146 |  |  | 8,287 |  |  | 5.3
Ba |  |  |  |  |  |  |  |  |  |  |  |
Single name credit default swaps (3) |  | — |  |  | 17 |  |  | 1.9 |  | — |  |  | 17 |  |  | 2.1
Credit default swaps referencing indices |  | 2 |  |  | 25 |  |  | 2.7 |  | 2 |  |  | 25 |  |  | 3.0
Subtotal |  | 2 |  |  | 42 |  |  | 2.4 |  | 2 |  |  | 42 |  |  | 2.6
B |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps referencing indices |  | 2 |  |  | 129 |  |  | 4.7 |  | 2 |  |  | 129 |  |  | 5.0
Subtotal |  | 2 |  |  | 129 |  |  | 4.7 |  | 2 |  |  | 129 |  |  | 5.0
Caa |  |  |  |  |  |  |  |  |  |  |  |
Credit default swaps referencing indices |  | (2) |  |  | 30 |  |  | 2.2 |  | (4) |  |  | 30 |  |  | 2.5
Subtotal |  | (2) |  |  | 30 |  |  | 2.2 |  | (4) |  |  | 30 |  |  | 2.5
Total |  | $ | 264 |  |  | $ | 13,901 |  |  | 4.0 |  | $ | 228 |  |  | $ | 12,468 |  |  | 4.5
_________________ (1)The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s Investors Service (“Moody’s”), S&P Global Ratings (“S&P”) and Fitch Ratings. If no rating is available from a rating agency, then an internally developed rating is used. (2)The weighted average years to maturity of the credit default swaps is calculated based on weighted average gross notional amounts. (3)Single name credit default swaps may be referenced to the credit of corporations, foreign governments, or municipals.
Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral | The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at:
|  | March 31, 2024 |  | December 31, 2023
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement |  | Assets |  | Liabilities |  | Assets |  | Liabilities
|  | (In millions)
Gross estimated fair value of derivatives: |  |  |  |  |  |  |  |
OTC-bilateral (1) |  | $ | 8,347 |  |  | $ | 6,834 |  |  | $ | 8,749 |  |  | $ | 6,014 |
OTC-cleared (1) |  | 181 |  |  | 230 |  |  | 158 |  |  | 277 |
Exchange-traded |  | 6 |  |  | 7 |  |  | 11 |  |  | 16 |
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1) |  | 8,534 |  |  | 7,071 |  |  | 8,918 |  |  | 6,307 |
Gross amounts not offset on the interim condensed consolidated balance sheets: |  |  |  |  |  |  |  |
Gross estimated fair value of derivatives: (2) |  |  |  |  |  |  |  |
OTC-bilateral |  | (3,661) |  |  | (3,661) |  |  | (3,568) |  |  | (3,568) |
OTC-cleared |  | (1) |  |  | (1) |  |  | (5) |  |  | (5) |
Exchange-traded |  | (1) |  |  | (1) |  |  | (1) |  |  | (1) |
Cash collateral: (3), (4) |  |  |  |  |  |  |  |
OTC-bilateral |  | (3,195) |  |  | — |  |  | (3,448) |  |  | — |
OTC-cleared |  | (176) |  |  | (213) |  |  | (150) |  |  | (239) |
Exchange-traded |  | — |  |  | (6) |  |  | — |  |  | (5) |
Securities collateral: (5) |  |  |  |  |  |  |  |
OTC-bilateral |  | (1,416) |  |  | (3,160) |  |  | (1,563) |  |  | (2,427) |
OTC-cleared |  | — |  |  | (15) |  |  | — |  |  | (33) |
Exchange-traded |  | — |  |  | — |  |  | — |  |  | (10) |
Net amount after application of master netting agreements and collateral |  | $ | 84 |  |  | $ | 14 |  |  | $ | 183 |  |  | $ | 19 |
__________________ (1)At March 31, 2024 and December 31, 2023, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $243 million and $181 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $86 million and $9 million, respectively. (2)Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals. (3)Cash collateral received by the Company for OTC-bilateral and OTC-cleared derivatives, where the central clearinghouse treats variation margin as collateral, is included in cash and cash equivalents, short-term investments or in fixed maturity securities AFS, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives. (4)The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At March 31, 2024 and December 31, 2023, th e Company received excess cash collateral of $35 million and $163 million, respectively, and provided excess cash collateral of $99 million and $98 million, respectively, which is not included in the table above due to the foregoing limitation. (5)Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge this collateral, but at March 31, 2024, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities AFS on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At March 31, 2024 and December 31, 2023, the Company received excess securities collateral with an estimated fair value of $324 million and $298 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2024 and December 31, 2023, the Company provided excess securities collateral with an estimated fair value of $1.4 billion and $1.5 billion, respectively, for its OTC-bilateral derivatives, $901 million and $945 million, respectively, for its OTC-cleared derivatives, and $154 million and $137 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral | The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at:
|  | March 31, 2024 |  | December 31, 2023
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement |  | Assets |  | Liabilities |  | Assets |  | Liabilities
|  | (In millions)
Gross estimated fair value of derivatives: |  |  |  |  |  |  |  |
OTC-bilateral (1) |  | $ | 8,347 |  |  | $ | 6,834 |  |  | $ | 8,749 |  |  | $ | 6,014 |
OTC-cleared (1) |  | 181 |  |  | 230 |  |  | 158 |  |  | 277 |
Exchange-traded |  | 6 |  |  | 7 |  |  | 11 |  |  | 16 |
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1) |  | 8,534 |  |  | 7,071 |  |  | 8,918 |  |  | 6,307 |
Gross amounts not offset on the interim condensed consolidated balance sheets: |  |  |  |  |  |  |  |
Gross estimated fair value of derivatives: (2) |  |  |  |  |  |  |  |
OTC-bilateral |  | (3,661) |  |  | (3,661) |  |  | (3,568) |  |  | (3,568) |
OTC-cleared |  | (1) |  |  | (1) |  |  | (5) |  |  | (5) |
Exchange-traded |  | (1) |  |  | (1) |  |  | (1) |  |  | (1) |
Cash collateral: (3), (4) |  |  |  |  |  |  |  |
OTC-bilateral |  | (3,195) |  |  | — |  |  | (3,448) |  |  | — |
OTC-cleared |  | (176) |  |  | (213) |  |  | (150) |  |  | (239) |
Exchange-traded |  | — |  |  | (6) |  |  | — |  |  | (5) |
Securities collateral: (5) |  |  |  |  |  |  |  |
OTC-bilateral |  | (1,416) |  |  | (3,160) |  |  | (1,563) |  |  | (2,427) |
OTC-cleared |  | — |  |  | (15) |  |  | — |  |  | (33) |
Exchange-traded |  | — |  |  | — |  |  | — |  |  | (10) |
Net amount after application of master netting agreements and collateral |  | $ | 84 |  |  | $ | 14 |  |  | $ | 183 |  |  | $ | 19 |
__________________ (1)At March 31, 2024 and December 31, 2023, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $243 million and $181 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $86 million and $9 million, respectively. (2)Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals. (3)Cash collateral received by the Company for OTC-bilateral and OTC-cleared derivatives, where the central clearinghouse treats variation margin as collateral, is included in cash and cash equivalents, short-term investments or in fixed maturity securities AFS, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives. (4)The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At March 31, 2024 and December 31, 2023, th e Company received excess cash collateral of $35 million and $163 million, respectively, and provided excess cash collateral of $99 million and $98 million, respectively, which is not included in the table above due to the foregoing limitation. (5)Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge this collateral, but at March 31, 2024, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities AFS on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At March 31, 2024 and December 31, 2023, the Company received excess securities collateral with an estimated fair value of $324 million and $298 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2024 and December 31, 2023, the Company provided excess securities collateral with an estimated fair value of $1.4 billion and $1.5 billion, respectively, for its OTC-bilateral derivatives, $901 million and $945 million, respectively, for its OTC-cleared derivatives, and $154 million and $137 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
Estimated Fair Value of OTC-bilateral derivatives after considering effect of netting agreements | The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were in a net liability position after considering the effect of netting agreements, together with the estimated fair value and balance sheet location of the collateral pledged.
|  | March 31, 2024 |  | December 31, 2023
|  | Derivatives Subject to Credit- Contingent Provisions |  | Derivatives Not Subject to Credit- Contingent Provisions |  | Total |  | Derivatives Subject to Credit- Contingent Provisions |  | Derivatives Not Subject to Credit- Contingent Provisions |  | Total
|  | (In millions)
Estimated fair value of derivatives in a net liability position (1) |  | $ | 3,079 |  |  | $ | 93 |  |  | $ | 3,172 |  |  | $ | 2,443 |  |  | $ | 4 |  |  | $ | 2,447 |
Estimated fair value of collateral provided: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities AFS |  | $ | 3,774 |  |  | $ | 96 |  |  | $ | 3,870 |  |  | $ | 3,011 |  |  | $ | 6 |  |  | $ | 3,017 |
__________________ (1)After taking into consideration the existence of netting agreements. The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:
|  | Balance Sheet Location |  | March 31, 2024 |  | December 31, 2023
|  |  |  | (In millions)
Embedded derivatives within liability host contracts: |  |  |  |  |  |
Funds withheld and guarantees on reinsurance |  | Other liabilities |  | $ | (105) |  |  | $ | (70) |
Fixed annuities with equity indexed returns |  | Policyholder account balances |  | 167 |  |  | 163 |
Total |  | $ | 62 |  |  | $ | 93 |
Embedded Derivatives | The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were in a net liability position after considering the effect of netting agreements, together with the estimated fair value and balance sheet location of the collateral pledged.
|  | March 31, 2024 |  | December 31, 2023
|  | Derivatives Subject to Credit- Contingent Provisions |  | Derivatives Not Subject to Credit- Contingent Provisions |  | Total |  | Derivatives Subject to Credit- Contingent Provisions |  | Derivatives Not Subject to Credit- Contingent Provisions |  | Total
|  | (In millions)
Estimated fair value of derivatives in a net liability position (1) |  | $ | 3,079 |  |  | $ | 93 |  |  | $ | 3,172 |  |  | $ | 2,443 |  |  | $ | 4 |  |  | $ | 2,447 |
Estimated fair value of collateral provided: |  |  |  |  |  |  |  |  |  |  |  |
Fixed maturity securities AFS |  | $ | 3,774 |  |  | $ | 96 |  |  | $ | 3,870 |  |  | $ | 3,011 |  |  | $ | 6 |  |  | $ | 3,017 |
__________________ (1)After taking into consideration the existence of netting agreements. The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:
|  | Balance Sheet Location |  | March 31, 2024 |  | December 31, 2023
|  |  |  | (In millions)
Embedded derivatives within liability host contracts: |  |  |  |  |  |
Funds withheld and guarantees on reinsurance |  | Other liabilities |  | $ | (105) |  |  | $ | (70) |
Fixed annuities with equity indexed returns |  | Policyholder account balances |  | 167 |  |  | 163 |
Total |  | $ | 62 |  |  | $ | 93 |

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