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Derivatives and Hedging Activities (Tables) | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of notional value and gross fair value of derivative instruments, including embedded derivatives |
| September 30, 2021 |  | December 31, 2020
Notional | Gross Fair Value | Notional | Gross Fair Value
Assets (1) | Liabilities (2)(3) | Assets (1) | Liabilities (2)(3)
(in millions)
Derivatives designated as hedging instruments |  |  |  |  |  |  |
Foreign exchange contracts – net investment hedges | $ | 58 |  | $ | 1 |  | $ | — |  |  | $ | 32 |  | $ | — |  | $ | 2 |
Total qualifying hedges | 58 |  | 1 |  | — |  |  | 32 |  | — |  | 2 |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Interest rate contracts | 79,350 |  | 1,185 |  | 476 |  |  | 77,951 |  | 1,755 |  | 734 |
Equity contracts | 59,856 |  | 4,465 |  | 3,619 |  |  | 57,254 |  | 4,090 |  | 3,571 |
Credit contracts | 1,758 |  | 18 |  | — |  |  | 2,297 |  | 2 |  | 1 |
Foreign exchange contracts | 3,234 |  | 18 |  | 19 |  |  | 3,423 |  | 23 |  | 4 |
Total non-designated hedges | 144,198 |  | 5,686 |  | 4,114 |  |  | 140,925 |  | 5,870 |  | 4,310 |
Embedded derivatives |  |  |  |  |  |  |
GMWB and GMAB (4) | N/A | — |  | 1,436 |  |  | N/A | — |  | 2,316 |
IUL | N/A | — |  | 917 |  |  | N/A | — |  | 935 |
Fixed deferred indexed annuities and deposit receivables | N/A | 56 |  | 58 |  |  | N/A | — |  | 52 |
Structured variable annuities | N/A | — |  | 217 |  |  | N/A | — |  | 70 |
SMC | N/A | — |  | 5 |  |  | N/A | — |  | 8 |
Total embedded derivatives | N/A | 56 |  | 2,633 |  |  | N/A | — |  | 3,381 |
Total derivatives | $ | 144,256 |  | $ | 5,743 |  | $ | 6,747 |  |  | $ | 140,957 |  | $ | 5,870 |  | $ | 7,693 |
N/A Not applicable. (1) The fair value of freestanding derivative assets is included in Other assets and the fair value of ceded embedded derivative assets related to deposit receivables is included in Receivables on the Consolidated Balance Sheets. (2) The fair value of freestanding derivative liabilities is included in Other liabilities on the Consolidated Balance Sheets. The fair value of GMWB and GMAB, IUL, fixed deferred indexed annuity and structured variable annuity embedded derivatives is included in Policyholder account balances, future policy benefits and claims on the Consolidated Balance Sheets. The fair value of the SMC embedded derivative liability is included in Customer deposits on the Consolidated Balance Sheets. (3) The fair value of the Company’s derivative liabilities after considering the effects of master netting arrangements, cash collateral held by the same counterparty and the fair value of net embedded derivatives was $2.9 billion and $3.7 billion as of September 30, 2021 and December 31, 2020, respectively. See Note 13 for additional information related to master netting arrangements and cash collateral. (4) The fair value of the GMWB and GMAB embedded derivatives as of September 30, 2021 included $1.6 billion of individual contracts in a liability position and $142 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2020 included $2.4 billion of individual contracts in a liability position and $67 million of individual contracts in an asset position.
Summary of impact of derivatives not designated as hedging instruments, including embedded derivatives |
| Net Investment Income | Banking and Deposit Interest Expense | Distribution Expenses | Interest Credited to Fixed Accounts | Benefits, Claims, Losses and Settlement Expenses | General and Administrative Expense
| (in millions)
Three Months Ended September 30, 2021 |  |  |  |  |  |
Interest rate contracts | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (171) |  | $ | — |
Equity contracts | — |  | — |  | (13) |  | — |  | 1 |  | (1) |
Credit contracts | — |  | — |  | — |  | — |  | 2 |  | — |
Foreign exchange contracts | (23) |  | — |  | — |  | — |  | — |  | — |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | (64) |  | — |
IUL embedded derivatives | — |  | — |  | — |  | 11 |  | — |  | — |
Fixed deferred indexed annuity and deposit receivables embedded derivatives | — |  | — |  | — |  | 1 |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | (17) |  | — |
SMC embedded derivatives | — |  | — |  | — |  | — |  | — |  | — |
Total gain (loss) | $ | (23) |  | $ | — |  | $ | (13) |  | $ | 12 |  | $ | (249) |  | $ | (1) |
Nine Months Ended September 30, 2021 |  |  |  |  |  |
Interest rate contracts | $ | (23) |  | $ | — |  | $ | (1) |  | $ | — |  | $ | (1,125) |  | $ | — |
Equity contracts | — |  | 1 |  | 67 |  | 55 |  | (613) |  | 11 |
Credit contracts | — |  | — |  | 1 |  | — |  | 41 |  | — |
Foreign exchange contracts | (17) |  | — |  | — |  | — |  | 6 |  | (2) |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | 879 |  | — |
IUL embedded derivatives | — |  | — |  | — |  | 22 |  | — |  | — |
Fixed deferred indexed annuity and deposit receivables embedded derivatives | — |  | — |  | — |  | (7) |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | (192) |  | — |
SMC embedded derivatives | — |  | (1) |  | — |  | — |  | — |  | — |
Total gain (loss) | $ | (40) |  | $ | — |  | $ | 67 |  | $ | 70 |  | $ | (1,004) |  | $ | 9 |
| Net Investment Income | Banking and Deposit Interest Expense | Distribution Expenses | Interest Credited to Fixed Accounts | Benefits, Claims, Losses and Settlement Expenses | General and Administrative Expense
| (in millions)
Three Months Ended September 30, 2020 |  |  |  |  |  |
Interest rate contracts | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (371) |  | $ | — |
Equity contracts | — |  | 2 |  | 41 |  | 42 |  | (468) |  | 6 |
Credit contracts | — |  | — |  | — |  | — |  | (12) |  | — |
Foreign exchange contracts | — |  | — |  | — |  | — |  | (23) |  | 5 |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | 186 |  | — |
IUL embedded derivatives | — |  | — |  | — |  | (29) |  | — |  | — |
Fixed deferred indexed annuity embedded derivatives | — |  | — |  | — |  | (3) |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | (3) |  | — |
SMC embedded derivatives | — |  | (2) |  | — |  | — |  | — |  | — |
Total gain (loss) | $ | — |  | $ | — |  | $ | 41 |  | $ | 10 |  | $ | (691) |  | $ | 11 |
Nine Months Ended September 30, 2020 |  |  |  |  |  |
Interest rate contracts | $ | (1) |  | $ | — |  | $ | 2 |  | $ | — |  | $ | 2,204 |  | $ | — |
Equity contracts | (1) |  | — |  | 12 |  | (7) |  | 58 |  | 3 |
Credit contracts | — |  | — |  | — |  | — |  | (91) |  | — |
Foreign exchange contracts | — |  | — |  | — |  | — |  | 26 |  | 3 |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | (2,180) |  | — |
IUL embedded derivatives | — |  | — |  | — |  | 8 |  | — |  | — |
Fixed deferred indexed annuity embedded derivatives | — |  | — |  | — |  | 2 |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | (16) |  | — |
SMC embedded derivatives | — |  | — |  | — |  | — |  | — |  | — |
Total gain (loss) | $ | (2) |  | $ | — |  | $ | 14 |  | $ | 3 |  | $ | 1 |  | $ | 6 |
Summary of payments to make and receive for options and swaptions |
| Premiums Payable |  | Premiums Receivable
(in millions)
2021 (1) | $ | 60 |  |  | $ | 45 |
2022 | 204 |  |  | 205 |
2023 | 51 |  |  | 43 |
2024 | 138 |  |  | 25 |
2025 | 125 |  |  | 22 |
2026 - 2028 | 262 |  |  | 88 |
Total | $ | 840 |  |  | $ | 428 |
(1) 2021 amounts represent the amounts payable and receivable for the period from October 1, 2021 to December 31, 2021.
Summary of impact of derivatives designated as fair value hedges |
| Three Months Ended September 30, 2020 |  | Nine Months Ended September 30, 2020
(in millions)
Total interest and debt expense per Consolidated Statements of Operations | $ | 37 |  |  | $ | 124 |
Gain (loss) on interest rate contracts designated as fair value hedges: |  |  |
Hedged items | $ | — |  |  | $ | 1 |
Derivatives designated as fair value hedges | — |  |  | (1) |
Gain (loss) on interest rate contracts designated as cash flow hedges: |  |  |
Amount of gain (loss) reclassified from AOCI into income | $ | 1 |  |  | $ | 1 |

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