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v3.23.2

Derivatives (Tables) | 6 Months Ended
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Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Balance Sheet Presentation |
Derivative Balance Sheet Presentation
| Net Derivatives |  | Asset Derivatives |  | Liability Derivatives
| Notional Amount | Fair Value |  | Fair Value |  | Fair Value
Hedge Designation/ Derivative Type | Jun 30, 2023 | Dec. 31, 2022 | Jun 30, 2023 | Dec. 31, 2022 |  | Jun 30, 2023 | Dec. 31, 2022 |  | Jun 30, 2023 | Dec. 31, 2022
Cash flow hedges |  |  |  |  |  |  |  |  |  |
Interest rate swaps [1] | $ | 3,650 |  | $ | 2,155 |  | $ | — |  | $ | — |  |  | $ | — |  | $ | — |  |  | $ | — |  | $ | — |
Foreign currency swaps | 568 |  | 568 |  | 38 |  | 53 |  |  | 47 |  | 57 |  |  | (9) |  | (4) |
Total cash flow hedges | 4,218 |  | 2,723 |  | 38 |  | 53 |  |  | 47 |  | 57 |  |  | (9) |  | (4) |
Non-qualifying strategies |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |
Interest rate swaps and futures [1] | 14,045 |  | 7,245 |  | (2) |  | (6) |  |  | 3 |  | 2 |  |  | (5) |  | (8) |
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |
Foreign currency swaps and forwards | 568 |  | 569 |  | — |  | — |  |  | — |  | — |  |  | — |  | — |
Credit contracts |  |  |  |  |  |  |  |  |  |
Credit derivatives that purchase credit protection | 4,411 |  | 11 |  | (71) |  | — |  |  | — |  | — |  |  | (71) |  | — |
Credit derivatives in offsetting positions | 207 |  | 207 |  | — |  | — |  |  | 3 |  | 3 |  |  | (3) |  | (3) |
Total non-qualifying strategies | 19,231 |  | 8,032 |  | (73) |  | (6) |  |  | 6 |  | 5 |  |  | (79) |  | (11) |
Total cash flow hedges and non-qualifying strategies | $ | 23,449 |  | $ | 10,755 |  | $ | (35) |  | $ | 47 |  |  | $ | 53 |  | $ | 62 |  |  | $ | (88) |  | $ | (15) |
Balance Sheet Location |  |  |  |  |  |  |  |  |  |
Fixed maturities, available-for-sale | $ | 568 |  | $ | 569 |  | $ | — |  | $ | — |  |  | $ | — |  | $ | — |  |  | $ | — |  | $ | — |
Other investments | 17,174 |  | 9,108 |  | 6 |  | 34 |  |  | 10 |  | 38 |  |  | (4) |  | (4) |
Other liabilities | 5,707 |  | 1,078 |  | (41) |  | 13 |  |  | 43 |  | 24 |  |  | (84) |  | (11) |
Total derivatives | $ | 23,449 |  | $ | 10,755 |  | $ | (35) |  | $ | 47 |  |  | $ | 53 |  | $ | 62 |  |  | $ | (88) |  | $ | (15) |
[1]As of June 30, 2023, notional amount includes $700 of OTC-cleared cash flow hedge interest rate swaps and $6.5 billion of OTC-cleared non-qualifying interest rate swaps as part of the CME cleared swap conversion process due to reference rate reform. These swaps are expected to mature by September 30, 2023.
Offsetting Liabilities |
Offsetting Derivative Assets and Liabilities
| (i) | (ii) | (iii) = (i) - (ii) | (iv) | (v) = (iii) - (iv)
|  |  | Net Amounts Presented in the Statement of Financial Position | Collateral Disallowed for Offset in the Statement of Financial Position |
| Gross Amounts of Recognized Assets (Liabilities) | Gross Amounts Offset in the Statement of Financial Position | Derivative Assets [1] (Liabilities) [2] | Accrued Interest and Cash Collateral (Received) [3] Pledged [2] | Financial Collateral (Received) Pledged [4] | Net Amount
As of June 30, 2023 |  |  |  |  |  |
Other investments | $ | 53 |  | $ | 51 |  | $ | 6 |  | $ | (4) |  | $ | — |  | $ | 2 |
Other liabilities | $ | (88) |  | $ | (73) |  | $ | (41) |  | $ | 26 |  | $ | (12) |  | $ | (3) |
As of December 31, 2022 |  |  |  |  |  |
Other investments | $ | 62 |  | $ | 60 |  | $ | 34 |  | $ | (32) |  | $ | — |  | $ | 2 |
Other liabilities | $ | (15) |  | $ | (7) |  | $ | 13 |  | $ | (21) |  | $ | (7) |  | $ | (1) |
[1]Included in other investments in the Company's Condensed Consolidated Balance Sheets. [2]Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty. [3]Included in other investments in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty. [4]Excludes collateral associated with exchange-traded derivative instruments.
Derivatives in Cash Flow Hedging Relationships |
Gains (Losses) Recognized in OCI
| Three Months Ended June 30, |  |  | Six Months Ended June 30,
| 2023 | 2022 |  |  |  | 2023 | 2022
Interest rate swaps | $ | (14) |  | $ | (3) |  |  |  |  | $ | (4) |  | $ | (5) |
Foreign currency swaps | (7) |  | 41 |  |  |  |  | (10) |  | 50 |
Total | $ | (21) |  | $ | 38 |  |  |  |  | $ | (14) |  | $ | 45 |
| Gains (Losses) Reclassified from AOCI into Income
|  |  | Three months ended June 30, |  | Six Months Ended June 30,
|  |  | 2023 | 2022 | 2023 |  | 2022
|  |  | Net Investment Income | Interest Expense | Net Investment Income | Interest Expense |  | Net Investment Income | Interest Expense |  | Net Investment Income | Interest Expense
| Interest rate swaps |  | $ | (7) |  | $ | 4 |  | $ | 5 |  | $ | (1) |  |  | $ | (15) |  | $ | 7 |  |  | $ | 14 |  | $ | (4) |
| Foreign currency swaps |  | 3 |  | — |  | 2 |  | — |  |  | 5 |  | — |  |  | 4 |  | — |
| Total |  | $ | (4) |  | $ | 4 |  | $ | 7 |  | $ | (1) |  |  | $ | (10) |  | $ | 7 |  |  | $ | 18 |  | $ | (4) |
| Total amounts presented on the Condensed Consolidated Statement of Operations |  | $ | 540 |  | $ | 50 |  | $ | 541 |  | $ | 51 |  |  | $ | 1,055 |  | $ | 100 |  |  | $ | 1,050 |  | $ | 113 |
Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses) |
Non-Qualifying Strategies Recognized within Net Realized Gains (Losses) |
| Three Months Ended June 30, |  | Six Months Ended June 30, |
| 2023 | 2022 |  | 2023 | 2022 |
Foreign exchange contracts |  |  |  |  |  |
Foreign currency forwards | $ | — |  | $ | 4 |  |  | $ | — |  | $ | 5 |  |
Interest rate contracts |  |  |  |  |  |
Interest rate swaps, swaptions, and futures | (3) |  | 5 |  |  | 18 |  | 37 |  |
Credit contracts |  |  |  |  |  |
Credit derivatives that purchase credit protection | (36) |  | 5 |  |  | (52) |  | 5 |  |
Commodity contracts |  |  |  |  |  |
Commodity options | — |  | — |  |  | — |  | 14 |  |
Total [1] | $ | (39) |  | $ | 14 |  |  | $ | (34) |  | $ | 61 |  |
[1]Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.
Credit Derivatives by Type |
Credit Risk Assumed Derivatives by Type
|  |  |  | Underlying Referenced Credit Obligation(s) [1] |  |
| Notional Amount [2] | Fair Value | Weighted Average Years to Maturity | Type | Average Credit Rating | Offsetting Notional Amount [3] | Offsetting Fair Value [3]
As of June 30, 2023
Basket credit default swaps [4] |  |  |  |  |  |  |
Investment grade risk exposure | $ | 100 |  | $ | (1) |  | 5 years | CMBS Credit | AAA | $ | 100 |  | $ | 1 |
Below investment grade risk exposure | 3 |  | (2) |  | Less than 1 year | CMBS Credit | CCC+ | 3 |  | 2 |
Total [5] | $ | 103 |  | $ | (3) |  |  |  |  | $ | 103 |  | $ | 3 |
As of December 31, 2022
Basket credit default swaps [4] |  |  |  |  |  |  |
Investment grade risk exposure | $ | 100 |  | $ | (1) |  | 6 years | CMBS Credit | AAA | $ | 100 |  | $ | 1 |
Below investment grade risk exposure | 3 |  | (2) |  | Less than 1 year | CMBS Credit | B- | 3 |  | 2 |
Total [5] | $ | 103 |  | $ | (3) |  |  |  |  | $ | 103 |  | $ | 3 |
[1]The average credit ratings are based on availability and are generally the midpoint of the available ratings among Moody’s, S&P and Fitch. If no rating is available from a rating agency, then an internally developed rating is used. [2]Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements and applicable law, which include collateral posting requirements. There is no additional specific collateral related to these contracts or recourse provisions included in the contracts to offset losses. [3]The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future changes in value of, or losses paid related to, the original swap. [4]Comprised of swaps of standard market indices of diversified portfolios of CMBS issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market index. [5]Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 4 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements. .

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4J Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4K Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4L + Details
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