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Derivative Instruments (Tables) | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments | The table below provides a summary of the gross notional amount and fair value of derivatives contracts by the primary underlying risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the value of derivative contracts prior to taking into account the netting effects of master netting agreements and cash collateral. This netting impact results in total derivative assets of $1,847 million and $1,906 million as of March 31, 2021 and December 31, 2020, respectively, and total derivative liabilities of $1,575 million and $792 million as of March 31, 2021 and December 31, 2020, respectively, reflected in the Unaudited Interim Consolidated Statements of Financial Position.
Primary Underlying Risk /Instrument Type | March 31, 2021 |  | December 31, 2020
|  | Fair Value |  |  |  | Fair Value
Gross Notional |  | Assets |  | Liabilities |  | Gross Notional |  | Assets |  | Liabilities
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |
Interest Rate |  |  |  |  |  |  |  |  |  |  |
Interest Rate Swaps | $ | 3,015 |  |  | $ | 601 |  |  | $ | (69) |  |  | $ | 3,065 |  |  | $ | 978 |  |  | $ | (90) |
Interest Rate Forwards | 298 |  |  | 0 |  |  | (37) |  |  | 249 |  |  | 0 |  |  | (8) |
Foreign Currency |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forwards | 2,666 |  |  | 79 |  |  | (133) |  |  | 2,577 |  |  | 68 |  |  | (116) |
Currency/Interest Rate |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Swaps | 22,831 |  |  | 821 |  |  | (875) |  |  | 22,642 |  |  | 878 |  |  | (1,037) |
Total Derivatives Designated as Hedge Accounting Instruments | $ | 28,810 |  |  | $ | 1,501 |  |  | $ | (1,114) |  |  | $ | 28,533 |  |  | $ | 1,924 |  |  | $ | (1,251) |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |
Interest Rate |  |  |  |  |  |  |  |  |  |  |
Interest Rate Swaps | $ | 210,809 |  |  | $ | 9,956 |  |  | $ | (16,035) |  |  | $ | 178,803 |  |  | $ | 17,174 |  |  | $ | (13,172) |
Interest Rate Futures | 17,570 |  |  | 14 |  |  | (65) |  |  | 15,778 |  |  | 99 |  |  | (5) |
Interest Rate Options | 15,318 |  |  | 417 |  |  | (226) |  |  | 14,593 |  |  | 914 |  |  | (233) |
Interest Rate Forwards | 2,974 |  |  | 36 |  |  | (24) |  |  | 2,910 |  |  | 25 |  |  | 0 |
Foreign Currency |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forwards | 33,199 |  |  | 989 |  |  | (1,110) |  |  | 35,478 |  |  | 764 |  |  | (647) |
Foreign Currency Options | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Swaps | 13,567 |  |  | 626 |  |  | (418) |  |  | 13,661 |  |  | 537 |  |  | (601) |
Credit |  |  |  |  |  |  |  |  |  |  |
Credit Default Swaps | 2,305 |  |  | 50 |  |  | 0 |  |  | 3,360 |  |  | 63 |  |  | (28) |
Equity |  |  |  |  |  |  |  |  |  |  |
Equity Futures | 5,195 |  |  | 24 |  |  | (3) |  |  | 5,668 |  |  | 10 |  |  | (25) |
Equity Options | 42,374 |  |  | 664 |  |  | (921) |  |  | 36,250 |  |  | 1,731 |  |  | (1,028) |
Total Return Swaps | 19,731 |  |  | 102 |  |  | (440) |  |  | 22,489 |  |  | 32 |  |  | (1,277) |
Other |  |  |  |  |  |  |  |  |  |  |
Other(1) | 1,259 |  |  | 0 |  |  | 0 |  |  | 1,262 |  |  | 0 |  |  | 0 |
Synthetic GICs | 85,273 |  |  | 0 |  |  | 0 |  |  | 86,264 |  |  | 0 |  |  | 0 |
Total Derivatives Not Qualifying as Hedge Accounting Instruments | $ | 449,574 |  |  | $ | 12,878 |  |  | $ | (19,242) |  |  | $ | 416,516 |  |  | $ | 21,349 |  |  | $ | (17,016) |
Total Derivatives(2)(3) | $ | 478,384 |  |  | $ | 14,379 |  |  | $ | (20,356) |  |  | $ | 445,049 |  |  | $ | 23,273 |  |  | $ | (18,267) |
__________ (1)“Other” primarily includes derivative contracts used to improve the balance of the Company’s tail longevity and mortality risk. Under these contracts, the Company’s gains (losses) are capped at the notional amount. (2)Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $12,907 million and $20,119 million as of March 31, 2021 and December 31, 2020, respectively, primarily included in “Future policy benefits.” (3)Recorded in “Other invested assets” and “Other liabilities” on the Unaudited Interim Consolidated Statements of Financial Position.
Schedule of Derivative instruments (hedged item in fair value hedge accounting relationship) | As of March 31, 2021, the following amounts were recorded on the Unaudited Interim Consolidated Statements of Financial Position related to the carrying amount of the hedged assets (liabilities) and cumulative basis adjustments included in the carrying amount for fair value hedges.
| March 31, 2021 |  | December 31, 2020 |
Balance Sheet Line Item in which Hedged Item is Recorded | Carrying Amount of the Hedged Assets (Liabilities) |  | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets (Liabilities)(1) |  | Carrying Amount of the Hedged Assets (Liabilities) |  | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets (Liabilities)(1) |
| (in millions)
Fixed maturities, available-for-sale, at fair value | $ | 367 |  |  | $ | 60 |  |  | $ | 402 |  |  | $ | 79 |  |
Commercial mortgage and other loans | $ | 20 |  |  | $ | 1 |  |  | $ | 20 |  |  | $ | 2 |  |
Policyholders’ account balances | $ | (1,434) |  |  | $ | (96) |  |  | $ | (1,627) |  |  | $ | (303) |  |
Future policy benefits | $ | (1,415) |  |  | $ | (202) |  |  | $ | (1,585) |  |  | $ | (372) |  |
__________ (1)There were no material fair value hedging adjustments for hedged assets and liabilities for which hedge accounting has been discontinued.
Offsetting of Financial Assets | The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.
| March 31, 2021
| Gross Amounts of Recognized Financial Instruments |  | Gross Amounts Offset in the Statements of Financial Position |  | Net Amounts Presented in the Statements of Financial Position |  | Financial Instruments/ Collateral(1) |  | Net Amount
| (in millions)
Offsetting of Financial Assets: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 14,236 |  |  | $ | (12,532) |  |  | $ | 1,704 |  |  | $ | (865) |  |  | $ | 839 |
Securities purchased under agreement to resell | 442 |  |  | 0 |  |  | 442 |  |  | (442) |  |  | 0 |
Total assets | $ | 14,678 |  |  | $ | (12,532) |  |  | $ | 2,146 |  |  | $ | (1,307) |  |  | $ | 839 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 20,356 |  |  | $ | (18,781) |  |  | $ | 1,575 |  |  | $ | (983) |  |  | $ | 592 |
Securities sold under agreement to repurchase | 9,384 |  |  | 0 |  |  | 9,384 |  |  | (9,253) |  |  | 131 |
Total liabilities | $ | 29,740 |  |  | $ | (18,781) |  |  | $ | 10,959 |  |  | $ | (10,236) |  |  | $ | 723 |
| December 31, 2020
| Gross Amounts of Recognized Financial Instruments |  | Gross Amounts Offset in the Statements of Financial Position |  | Net Amounts Presented in the Statements of Financial Position |  | Financial Instruments/ Collateral(1) |  | Net Amount
| (in millions)
Offsetting of Financial Assets: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 23,144 |  |  | $ | (21,367) |  |  | $ | 1,777 |  |  | $ | (806) |  |  | $ | 971 |
Securities purchased under agreement to resell | 252 |  |  | 0 |  |  | 252 |  |  | (252) |  |  | 0 |
Total assets | $ | 23,396 |  |  | $ | (21,367) |  |  | $ | 2,029 |  |  | $ | (1,058) |  |  | $ | 971 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 18,265 |  |  | $ | (17,475) |  |  | $ | 790 |  |  | $ | (790) |  |  | $ | 0 |
Securities sold under agreement to repurchase | 10,894 |  |  | 0 |  |  | 10,894 |  |  | (10,432) |  |  | 462 |
Total liabilities | $ | 29,159 |  |  | $ | (17,475) |  |  | $ | 11,684 |  |  | $ | (11,222) |  |  | $ | 462 |
__________ (1) Amounts exclude the excess of collateral received/pledged from/to the counterparty.
Offsetting of Financial Liabilities | The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.
| March 31, 2021
| Gross Amounts of Recognized Financial Instruments |  | Gross Amounts Offset in the Statements of Financial Position |  | Net Amounts Presented in the Statements of Financial Position |  | Financial Instruments/ Collateral(1) |  | Net Amount
| (in millions)
Offsetting of Financial Assets: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 14,236 |  |  | $ | (12,532) |  |  | $ | 1,704 |  |  | $ | (865) |  |  | $ | 839 |
Securities purchased under agreement to resell | 442 |  |  | 0 |  |  | 442 |  |  | (442) |  |  | 0 |
Total assets | $ | 14,678 |  |  | $ | (12,532) |  |  | $ | 2,146 |  |  | $ | (1,307) |  |  | $ | 839 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 20,356 |  |  | $ | (18,781) |  |  | $ | 1,575 |  |  | $ | (983) |  |  | $ | 592 |
Securities sold under agreement to repurchase | 9,384 |  |  | 0 |  |  | 9,384 |  |  | (9,253) |  |  | 131 |
Total liabilities | $ | 29,740 |  |  | $ | (18,781) |  |  | $ | 10,959 |  |  | $ | (10,236) |  |  | $ | 723 |
| December 31, 2020
| Gross Amounts of Recognized Financial Instruments |  | Gross Amounts Offset in the Statements of Financial Position |  | Net Amounts Presented in the Statements of Financial Position |  | Financial Instruments/ Collateral(1) |  | Net Amount
| (in millions)
Offsetting of Financial Assets: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 23,144 |  |  | $ | (21,367) |  |  | $ | 1,777 |  |  | $ | (806) |  |  | $ | 971 |
Securities purchased under agreement to resell | 252 |  |  | 0 |  |  | 252 |  |  | (252) |  |  | 0 |
Total assets | $ | 23,396 |  |  | $ | (21,367) |  |  | $ | 2,029 |  |  | $ | (1,058) |  |  | $ | 971 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |
Derivatives(1) | $ | 18,265 |  |  | $ | (17,475) |  |  | $ | 790 |  |  | $ | (790) |  |  | $ | 0 |
Securities sold under agreement to repurchase | 10,894 |  |  | 0 |  |  | 10,894 |  |  | (10,432) |  |  | 462 |
Total liabilities | $ | 29,159 |  |  | $ | (17,475) |  |  | $ | 11,684 |  |  | $ | (11,222) |  |  | $ | 462 |
__________ (1) Amounts exclude the excess of collateral received/pledged from/to the counterparty.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table provides the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, including the offset of the hedged item in fair value hedge relationships.
| Three Months Ended March 31, 2021
| Realized Investment Gains (Losses) |  | Net Investment Income |  | Other Income (Loss) |  | Interest Expense |  | Interest Credited to Policyholders’ Account Balances |  | Policyholders’ Benefits |  | AOCI(1)
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Gains (losses) on derivatives designated as hedge instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | $ | 21 |  |  | $ | (2) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (192) |  |  | $ | (170) |  |  | $ | 0 |
Currency | (2) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 7 |  |  | 0 |
Total gains (losses) on derivatives designated as hedge instruments | 19 |  |  | (2) |  |  | 0 |  |  | 0 |  |  | (192) |  |  | (163) |  |  | 0 |
Gains (losses) on the hedged item: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (20) |  |  | 4 |  |  | 0 |  |  | 0 |  |  | 207 |  |  | 180 |  |  | 0 |
Currency | 1 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (7) |  |  | 0 |
Total gains (losses) on hedged item | (19) |  |  | 4 |  |  | 0 |  |  | 0 |  |  | 207 |  |  | 173 |  |  | 0 |
Amortization for gains (losses) excluded from assessment of the effectiveness |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (2) |  |  | 2 |
Total Amortization for Gain (Loss) Excluded from Assessment of the Effectiveness | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (2) |  |  | 2 |
Total gains (losses) on fair value hedges net of hedged item | 0 |  |  | 2 |  |  | 0 |  |  | 0 |  |  | 15 |  |  | 8 |  |  | 2 |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | 5 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (47) |
Currency | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (17) |
Currency/Interest Rate | 25 |  |  | 71 |  |  | 53 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 73 |
Total gains (losses) on cash flow hedges | 29 |  |  | 71 |  |  | 53 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 9 |
Net investment hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on net investment hedges | 0 |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (5,925) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency | (278) |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | 282 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Credit | 4 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Equity | (989) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other | 1 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Embedded Derivatives | 7,651 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives not qualifying as hedge accounting instruments | 746 |  |  | 0 |  |  | 8 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total | $ | 775 |  |  | $ | 73 |  |  | $ | 69 |  |  | $ | 0 |  |  | $ | 15 |  |  | $ | 8 |  |  | $ | 11 |
| Three Months Ended March 31, 2020
| Realized Investment Gains (Losses) |  | Net Investment Income |  | Other Income (Loss) |  | Interest Expense |  | Interest Credited to Policyholders’ Account Balances |  | Policyholders’ Benefits |  | AOCI(1)
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Gains (losses) on derivatives designated as hedge instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | $ | (30) |  |  | $ | (2) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 324 |  |  | $ | 280 |  |  | $ | 0 |
Currency | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives designated as hedge instruments | (28) |  |  | (2) |  |  | 0 |  |  | 0 |  |  | 324 |  |  | 280 |  |  | 0 |
Gains (losses) on the hedged item: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | 30 |  |  | 5 |  |  | 0 |  |  | 0 |  |  | (322) |  |  | (278) |  |  | 0 |
Currency | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on hedged item | 29 |  |  | 5 |  |  | 0 |  |  | 0 |  |  | (322) |  |  | (278) |  |  | 0 |
Total gains (losses) on fair value hedges net of hedged item | 1 |  |  | 3 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | 2 |  |  | 0 |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 52 |
Currency | 1 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 102 |
Currency/Interest Rate | 18 |  |  | 79 |  |  | 291 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2,200 |
Total gains (losses) on cash flow hedges | 18 |  |  | 79 |  |  | 291 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2,354 |
Net investment hedges |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 13 |
Currency/Interest Rate | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on net investment hedges | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 13 |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | 9,224 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency | 333 |  |  | 0 |  |  | (7) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | 816 |  |  | 0 |  |  | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Credit | (41) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Equity | 5,436 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Embedded Derivatives | (14,295) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives not qualifying as hedge accounting instruments | 1,473 |  |  | 0 |  |  | (5) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total | $ | 1,492 |  |  | $ | 82 |  |  | $ | 286 |  |  | $ | 0 |  |  | $ | 2 |  |  | $ | 2 |  |  | $ | 2,367 |
_______ (1)Net change in AOCI, excluding changes related to net investment hedges using non-derivative instruments of $11 million for the three months ended March 31, 2021, and $0 million for the three months ended March 31, 2020.
Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income (Loss) Before Taxes | Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:
| (in millions)
Balance, December 31, 2020 | $ | (168) |
Amount recorded in AOCI |
Interest Rate | (42) |
Currency | (18) |
Currency/Interest Rate | 221 |
Total amount recorded in AOCI | 161 |
Amount reclassified from AOCI to income |
Interest Rate | (5) |
Currency | 1 |
Currency/Interest Rate | (148) |
Total amount reclassified from AOCI to income | (152) |
Balance, March 31, 2021 | $ | (159) |
Credit Derivatives | The following table provides a summary of the notional and fair value of written credit protection. The Company’s maximum amount at risk under these credit derivatives, assuming the value of the underlying referenced securities become worthless, is equal to the notional amounts. These credit derivatives have maturities of less than 26 years for Index Reference.
| March 31, 2021
| NAIC Rating Designation of Underlying Credit Obligation(1)
| NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6 | Total
| Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value
| (in millions)
Single name reference(2) | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |
Index reference(2) | 50 |  | 1 |  | 0 |  | 0 |  | 2,154 |  | 40 |  | 0 |  | 0 |  | 0 |  | 0 |  | 100 |  | 9 |  | 2,304 |  | 50 |
Total | $ | 50 |  | $ | 1 |  | $ | 0 |  | $ | 0 |  | $ | 2,154 |  | $ | 40 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 100 |  | $ | 9 |  | $ | 2,304 |  | $ | 50 |
| December 31, 2020 |  |
| NAIC Rating Designation of Underlying Credit Obligation(1) |  |
| NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6 | Total |  |
| Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value | Gross Notional | Fair Value |  |
| (in millions) |  |
Single name reference(2) | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  |  |
Index reference(2) | 50 |  | 0 |  | 0 |  | 0 |  | 3,003 |  | 63 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 0 |  | 3,053 |  | 63 |  |  |
Total | $ | 50 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 3,003 |  | $ | 63 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 3,053 |  | $ | 63 |  |  |
_________ (1)The NAIC rating designations are based on availability and the lowest ratings among Moody's Investors Service, Inc. ("Moody's"), Standard & Poor’s Rating Services (“S&P”) and Fitch Ratings Inc. (“Fitch”). If no rating is available from a rating agency, a NAIC 6 rating is used. (2)Single name credit default swaps may reference to the credit of corporate debt, sovereign debt, and structured finance. Index references NAIC designations are based on the lowest rated single name reference included in the index. In addition to writing credit protection, the Company has purchased credit protection using credit derivatives in order to hedge specific credit exposures in the Company’s investment portfolio. As of March 31, 2021 and December 31, 2020, the Company had $1 million and $307 million of outstanding notional amounts and reported at fair value as a liability of $0 million and $28 million, respectively

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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 -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708777-113959 + Details
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