XML 118 R50.htm IDEA: XBRL DOCUMENT v3.24.0.1
Derivatives (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Balance Sheet Presentation
Derivative Balance Sheet Presentation
 Net DerivativesAsset Derivatives Liability Derivatives
 Notional AmountFair ValueFair ValueFair Value
Hedge Designation/ Derivative TypeDec 31, 2023Dec 31, 2022Dec 31, 2023Dec 31, 2022Dec 31, 2023Dec 31, 2022Dec 31, 2023Dec 31, 2022
Cash flow hedges
Interest rate swaps$3,450 $2,155 $(1)$— $1 $— $(2)$— 
Foreign currency swaps644 568 13 53 29 57 (16)(4)
Total cash flow hedges4,094 2,723 12 53 30 57 (18)(4)
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures6,626 7,245 (5)(6)— 2 (5)(8)
Foreign exchange contracts
Foreign currency swaps and forwards645 569 — — — — — — 
Credit contracts
Credit derivatives that purchase credit protection— 11 — — — — — — 
Credit derivatives in offsetting positions998 207 — — 27 3 (27)(3)
Total non-qualifying strategies8,269 8,032 (5)(6)27 5 (32)(11)
Total cash flow hedges and non-qualifying strategies$12,363 $10,755 $7 $47 $57 $62 $(50)$(15)
Balance Sheet Location
Fixed maturities, AFS$645 $569 $— $— $— $— $— $— 
Other investments1,662 9,108 (1)34 18 38 (19)(4)
Other liabilities10,056 1,078 8 13 39 24 (31)(11)
Total derivatives$12,363 $10,755 $7 $47 $57 $62 $(50)$(15)
.
Offsetting Liabilities
Offsetting Derivative Assets and Liabilities
(i)(ii)(iii) = (i) - (ii)(iv)(v) = (iii) - (iv)
Net Amounts Presented in the Statement of Financial PositionCollateral Disallowed for Offset in the Statement of Financial Position
Gross Amounts of Recognized Assets (Liabilities) Gross Amounts Offset in the Statement of Financial PositionDerivative Assets [1] (Liabilities) [2]Accrued Interest and Cash Collateral (Received) [3] Pledged [2]Financial Collateral (Received) Pledged [4]Net Amount
As of December 31, 2023
Other investments$57 $55 $(1)$3 $— $2 
Other liabilities$(50)$(36)$8 $(22)$(13)$(1)
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 Consolidated Balance Sheets.
[2]Included in other liabilities in the Company's Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.
[3]Included in other investments in the Company's 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
Gain (Loss) Recognized in OCI
Year Ended December 31,
202320222021
Interest rate swaps$6 $— $4 
Foreign currency swaps(31)56 24 
Total$(25)$56 $28 
Gain (Loss) Reclassified from AOCI into Income
Year Ended December 31,
202320222021
Net Realized Gain/(Loss)Net Investment IncomeInterest ExpenseNet Realized Gain/(Loss)Net Investment IncomeInterest ExpenseNet Realized Gain/(Loss)Net Investment IncomeInterest Expense
Interest rate swaps$— $(26)$15 $— $6 $(2)$— $41 $(10)
Foreign currency swaps— 10 — — 9 — — 5 — 
Total$— $(16)$15 $— $15 $(2)$— $46 $(10)
Total amounts presented on the Consolidated Statement of Operations$(188)$2,305 $199 $(627)$2,177 $213 $509 $2,313 $234 
Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
Non-Qualifying Strategies Recognized within Net Realized Gains (Losses)
For the Year Ended December 31,
202320222021
Foreign exchange contracts
Foreign currency swaps and forwards$— $5 $2 
Interest rate contracts
Interest rate swaps, swaptions and futures(3)25 3 
Credit contracts
Credit derivatives that purchase credit protection(105)4 — 
Credit derivatives that assume credit risk— — 7 
Equity contracts
Equity options— (2)— 
Commodity contracts
Commodity options— 14 — 
Total [1]$(108)$46 $12 
[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.
Credit Derivatives by Type
Credit Risk Assumed Derivatives by Type
Underlying Referenced Credit Obligation(s) [1]
Notional Amount [2]Fair ValueWeighted Average Years to MaturityTypeAverage Credit RatingOffsetting Notional Amount [3]Offsetting Fair Value [3]
As of December 31, 2023
Basket credit default swaps [4]
Investment grade risk exposure$101 $(1)5 yearsCMBS CreditAAA$101 $1 
Below investment grade risk exposure396 24 4 yearsCorporate CreditB+396 (24)
Below investment grade risk exposure2 (1)Less than 1 yearCMBS CreditCCC-2 1 
Total [5]$499 $22 $499 $(22)
As of December 31, 2022
Basket credit default swaps [4]
Investment grade risk exposure$100 $(1)6 yearsCMBS CreditAAA$100 $1 
Below investment grade risk exposure3 (2)Less than 1 yearCMBS CreditB-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 corporate and 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.