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Derivative Instruments (Tables)

3 Months Ended

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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[Table Text Block] for Schedule of financial instruments in a fair value hedge accounting relationship [Table]

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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).

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