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v3.22.1

Derivatives and Hedging Activities (Tables) | 3 Months Ended
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Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of notional value and gross fair value of derivative instruments, including embedded derivatives | Generally, the Company uses derivatives as economic hedges and accounting hedges. The following table presents the notional value and gross fair value of derivative instruments, including embedded derivatives:
| March 31, 2022 |  | December 31, 2021
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 |  |  |  |  |  |  |
Equity contracts - cash flow hedges | $ | 19 |  | $ | 1 |  | $ | — |  |  | $ | 19 |  | $ | — |  | $ | — |
Foreign exchange contracts – net investment hedges | 140 |  | 4 |  | — |  |  | 58 |  | — |  | — |
Total qualifying hedges | 159 |  | 5 |  | — |  |  | 77 |  | — |  | — |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Interest rate contracts | 82,224 |  | 739 |  | 315 |  |  | 79,468 |  | 1,252 |  | 468 |
Equity contracts | 63,450 |  | 3,855 |  | 3,784 |  |  | 61,142 |  | 4,293 |  | 3,754 |
Credit contracts | 2,175 |  | 45 |  | — |  |  | 1,748 |  | 9 |  | — |
Foreign exchange contracts | 2,614 |  | 26 |  | 3 |  |  | 2,380 |  | 20 |  | 1 |
Total non-designated hedges | 150,463 |  | 4,665 |  | 4,102 |  |  | 144,738 |  | 5,574 |  | 4,223 |
Embedded derivatives |  |  |  |  |  |  |
GMWB and GMAB (4) | N/A | — |  | 828 |  |  | N/A | — |  | 1,486 |
IUL | N/A | — |  | 848 |  |  | N/A | — |  | 905 |
Fixed deferred indexed annuities and deposit receivables | N/A | 55 |  | 57 |  |  | N/A | 59 |  | 61 |
Structured variable annuities | N/A | — |  | 280 |  |  | N/A | — |  | 406 |
SMC | N/A | — |  | 2 |  |  | N/A | — |  | 4 |
Total embedded derivatives | N/A | 55 |  | 2,015 |  |  | N/A | 59 |  | 2,862 |
Total derivatives | $ | 150,622 |  | $ | 4,725 |  | $ | 6,117 |  |  | $ | 144,815 |  | $ | 5,633 |  | $ | 7,085 |
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. (2) The fair value of freestanding derivative liabilities is included in Other liabilities. 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. The fair value of the SMC embedded derivative liability is included in Customer deposits. (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 $2.4 billion and $3.2 billion as of March 31, 2022 and December 31, 2021, respectively. See Note 12 for a dditional information related to master netting arrangements and cash collateral. (4) The fair value of the GMWB and GMAB embedded derivatives as of March 31, 2022 included $1.0 billion of individual contracts in a liability position and $204 million of individual contracts in an asset position. The fair value of the GMWB and GMAB embedded derivatives as of December 31, 2021 included $1.6 billion of individual contracts in a liability position and $133 million of individual contracts in an asset position.
Summary of impact of derivatives not designated as hedging instruments, including embedded derivatives | The following table presents a summary of the impact of derivatives not designated as hedging instruments, including embedded derivatives, on the Consolidated Statements of Operations:
| 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 March 31, 2022 |  |  |  |  |  |
Interest rate contracts | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | (1,118) |  | $ | — |
Equity contracts | 8 |  | — |  | (61) |  | (16) |  | 224 |  | (7) |
Credit contracts | — |  | — |  | (1) |  | — |  | 97 |  | — |
Foreign exchange contracts | (1) |  | — |  | — |  | — |  | 31 |  | — |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | 658 |  | — |
IUL embedded derivatives | — |  | — |  | — |  | 57 |  | — |  | — |
Fixed deferred indexed annuity and deposit receivables embedded derivatives | — |  | — |  | — |  | 1 |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | 123 |  | — |
Total gain (loss) | $ | 7 |  | $ | — |  | $ | (62) |  | $ | 42 |  | $ | 15 |  | $ | (7) |
| 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 March 31, 2021 |  |  |  |  |  |
Interest rate contracts | $ | — |  | $ | — |  | $ | (1) |  | $ | — |  | $ | (1,825) |  | $ | — |
Equity contracts | 1 |  | 1 |  | 33 |  | 25 |  | (310) |  | 6 |
Credit contracts | — |  | — |  | — |  | — |  | 69 |  | — |
Foreign exchange contracts | — |  | — |  | — |  | — |  | 11 |  | (4) |
GMWB and GMAB embedded derivatives | — |  | — |  | — |  | — |  | 1,600 |  | — |
IUL embedded derivatives | — |  | — |  | — |  | (9) |  | — |  | — |
Fixed deferred indexed annuity embedded derivatives | — |  | — |  | — |  | (5) |  | — |  | — |
Structured variable annuity embedded derivatives | — |  | — |  | — |  | — |  | (75) |  | — |
SMC embedded derivatives | — |  | (1) |  | — |  | — |  | — |  | — |
Total gain (loss) | $ | 1 |  | $ | — |  | $ | 32 |  | $ | 11 |  | $ | (530) |  | $ | 2 |
Summary of payments to make and receive for options and swaptions | The following is a summary of the payments the Company is scheduled to make and receive for these options and swaptions as of March 31, 2022:
| Premiums Payable |  | Premiums Receivable
(in millions)
2022 (1) | $ | 130 |  |  | $ | 192 |
2023 | 50 |  |  | 43 |
2024 | 135 |  |  | 24 |
2025 | 123 |  |  | 21 |
2026 | 252 |  |  | 88 |
2027 - 2028 | 18 |  |  | — |
Total | $ | 708 |  |  | $ | 368 |
(1) 2022 amounts represent the amounts payable and receivable for the period from April 1, 2022 to December 31, 2022.

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959 + Details
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