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Derivative Instruments | 12 Months Ended
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Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | DERIVATIVES AND HEDGING Types of Derivative and Hedging Instruments Interest Rate Contracts Interest rate swaps, options and futures are used by the Company to reduce risks from changes in interest rates, manage interest rate exposures arising from mismatches between assets and liabilities and to hedge against changes in their values it owns or anticipates acquiring or selling. Swaps may be attributed to specific assets or liabilities or to a portfolio of assets or liabilities. Under interest rate swaps, the Company agrees with counterparties to exchange, at specified intervals, the difference between fixed-rate and floating-rate interest amounts calculated by reference to an agreed upon notional principal amount. The Company also uses interest rate swaptions, caps, and floors to manage interest rate risk. A swaption is an option to enter into a swap with a forward starting effective date. The Company pays a premium for purchased swaptions and receives a premium for written swaptions. In an interest rate cap, the buyer receives payments at the end of each period in which the interest rate exceeds the agreed strike price. Similarly, in an interest rate floor, the buyer receives payments at the end of each period in which the interest rate is below the agreed strike price. Swaptions, caps and floors are included in interest rate options. In standardized exchange-traded interest rate futures transactions, the Company purchases or sells a specified number of contracts, the values of which are determined by the daily market values of underlying referenced investments. The Company enters into exchange-traded futures with regulated futures commission’s merchants who are members of a trading exchange. Equity Contracts Equity options, total return swaps, and futures are used by the Company to manage its exposure to the equity markets which impacts the value of assets and liabilities it owns or anticipates acquiring or selling. Equity index options are contracts which will settle in cash based on differentials in the underlying indices at the time of exercise and the strike price. The Company uses combinations of purchases and sales of equity index options to hedge the effects of adverse changes in equity indices within a predetermined range. Total return swaps are contracts whereby the Company agrees with counterparties to exchange, at specified intervals, the difference between the return on an asset (or market index) and London Inter-Bank Offered Rate (“LIBOR”) or Secured Overnight Financing Rate (“SOFR”) plus an associated funding spread based on a notional amount. The Company generally uses total return swaps to hedge the effect of adverse changes in equity indices. In standardized exchange-traded equity futures transactions, the Company purchases or sells a specified number of contracts, the values of which are determined by the daily market values of underlying referenced equity indices. The Company enters into exchange-traded futures with regulated futures commission’s merchants who are members of a trading exchange. Foreign Exchange Contracts Currency derivatives, including currency futures, options, forwards and swaps, and foreign currency denominated debts are used by the Company to reduce risks from changes in currency exchange rates with respect to investments denominated in foreign currencies that the Company either holds or intends to acquire or sell, and to hedge the currency risk associated with net investments in foreign operations and anticipated earnings of its foreign operations. Under currency forwards, the Company agrees with counterparties to deliver a specified amount of an identified currency at a specified future date. Typically, the price is agreed upon at the time of the contract and payment for such a contract is made at the specified future date. As noted above, the Company uses currency forwards to mitigate the impact of changes in currency exchange rates on U.S. dollar-equivalent earnings generated by certain of its non-U.S. businesses, primarily its international insurance and investment operations. The Company executes forward sales of the hedged currency in exchange for U.S. dollars at a specified exchange rate. The maturities of these currency forwards correspond with the future periods in which the non-U.S. dollar-denominated earnings are expected to be generated. Under currency swaps, the Company agrees with counterparties to exchange, at specified intervals, the difference between one currency and another at an exchange rate and calculated by reference to an agreed principal amount. Generally, the principal amount of each currency is exchanged at the beginning and termination of the currency swap by each party. Under foreign currency denominated debts, the Company uses a portion of its foreign currency denominated debt (same functional currency of its foreign subsidiaries) to hedge the risk of change in the net investment in a foreign subsidiary due to changes in exchange rates. These debt obligations reduce the Company’s foreign currency exposure from equity investment and act as hedge of the investment. Credit Contracts The Company writes credit default swaps to gain exposure similar to investment in public fixed maturity cash instruments. With these derivatives the Company sells credit protection on a single name reference, or certain index reference, and in return receives a quarterly premium. This premium or credit spread generally corresponds to the difference between the yield on the referenced name (or an index’s referenced names) public fixed maturity cash instruments and swap rates, at the time the agreement is executed. If there is an event of default by the referenced name or one of the referenced names in the index, as defined by the agreement, then the Company is obligated to pay the referenced amount of the contract to the counterparty and receive in return the referenced defaulted security or similar security (in the case of a credit default index) or pay the referenced amount less the auction recovery rate. See credit derivatives section for further discussion of guarantees. In addition to selling credit protection, the Company purchases credit protection using credit derivatives to hedge specific credit exposures in the Company’s investment portfolio. Other Contracts “To Be Announced” (“TBA”) Forward Contracts. The Company uses TBA forward contracts to gain exposure to the investment risk and return of mortgage-backed securities. TBA transactions can help the Company enhance the return on its investment portfolio, and can provide a more liquid and cost-effective method of achieving these goals than purchasing or selling individual mortgage-backed pools. Typically, the price is agreed upon at the time of the contract and payment for such a contract is made at a specified future date. Additionally, pursuant to the Company’s mortgage dollar roll program, TBAs or mortgage-backed securities are transferred to counterparties with a corresponding agreement to repurchase them at a future date. These transactions do not qualify as secured borrowings and are accounted for as derivatives. Loan Commitments. In its mortgage operations, the Company enters into commitments to fund commercial mortgage loans at specified interest rates and other applicable terms within specified periods of time. These commitments are legally binding agreements to extend credit to a counterparty. Loan commitments for loans that will be held for sale are recognized as derivatives and recorded at fair value. The determination of the fair value of loan commitments accounted for as derivatives considers various factors including, among others, terms of the related loan, the intended exit strategy for the loans based upon either securitization valuation models or investor purchase commitments, prevailing interest rates, origination income or expense, and the value of service rights. Loan commitments that relate to the origination of mortgage loans that will be held for investment are not accounted for as derivatives and accordingly are not recognized in the Company’s financial statements. See Note 25 for additional information. Embedded Derivatives. The Company offers certain products (for example, indexed universal life) which may include features that are accounted for as embedded derivatives. These embedded derivatives are carried at fair value through “Realized investment gains (losses), net” based on the change in value of the underlying contractual features, which are determined using valuation models. As part of certain funds withheld reinsurance arrangements that are described in Note 15, the funds withheld liability may contain embedded derivatives, which would also be carried at fair value through “Realized investment gains (losses), net” based on the total return of the underlying asset portfolio. Synthetic Guarantees. The Company sells synthetic GICs, through investment-only sales channels, to investment vehicles primarily used by qualified defined contribution pension plans. The synthetic GICs are issued in respect of assets that are owned by the trustees of such plans, who invest the assets according to the contract terms agreed to with the Company. The contracts establish participant balances and credit interest thereon. The participant balances are supported by the underlying assets. In connection with certain participant-initiated withdrawals, the contract guarantees that after all underlying assets are liquidated, any remaining participant balances will be paid by the Company. These contracts are accounted for as derivatives and recorded at fair value. Primary Risks Managed by Derivatives The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying risks they are utilized to manage, excluding embedded derivatives. 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. These netting impacts resulted in total derivative assets of $1,103 million and $1,455 million as of December 31, 2023 and 2022, respectively, and total derivative liabilities of $4,181 million and $3,055 million as of December 31, 2023 and 2022, respectively, reflected in the Consolidated Statements of Financial Position.
| December 31, 2023 |  | December 31, 2022
Primary Underlying Risk / Instrument Type |  |  | 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 | $ | 3,582 |  |  | $ | 55 |  |  | $ | (252) |  |  | $ | 3,627 |  |  | $ | 66 |  |  | $ | (245) |
Interest Rate Forwards | 0 |  |  | 0 |  |  | 0 |  |  | 398 |  |  | 0 |  |  | (85) |
Foreign Currency |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forwards | 4,748 |  |  | 43 |  |  | (195) |  |  | 4,830 |  |  | 155 |  |  | (262) |
Currency/Interest Rate |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Swaps | 27,933 |  |  | 1,952 |  |  | (676) |  |  | 25,636 |  |  | 3,469 |  |  | (333) |
Total Derivatives Designated as Hedge Accounting Instruments | $ | 36,263 |  |  | $ | 2,050 |  |  | $ | (1,123) |  |  | $ | 34,491 |  |  | $ | 3,690 |  |  | $ | (925) |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |
Interest Rate |  |  |  |  |  |  |  |  |  |  |
Interest Rate Swaps | $ | 224,445 |  |  | $ | 8,604 |  |  | $ | (21,599) |  |  | $ | 212,934 |  |  | $ | 9,097 |  |  | $ | (21,154) |
Interest Rate Futures | 10,448 |  |  | 7 |  |  | (26) |  |  | 18,080 |  |  | 13 |  |  | (24) |
Interest Rate Options | 32,718 |  |  | 292 |  |  | (1,095) |  |  | 9,778 |  |  | 224 |  |  | (280) |
Interest Rate Forwards | 3,678 |  |  | 39 |  |  | (14) |  |  | 2,354 |  |  | 21 |  |  | (42) |
Foreign Currency |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Forwards | 27,686 |  |  | 965 |  |  | (954) |  |  | 31,317 |  |  | 1,556 |  |  | (1,924) |
Foreign Currency Options | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Swaps | 7,771 |  |  | 502 |  |  | (164) |  |  | 8,410 |  |  | 813 |  |  | (170) |
Credit |  |  |  |  |  |  |  |  |  |  |
Credit Default Swaps | 3,446 |  |  | 64 |  |  | 0 |  |  | 6,351 |  |  | 27 |  |  | (57) |
Equity |  |  |  |  |  |  |  |  |  |  |
Equity Futures | 672 |  |  | 1 |  |  | (2) |  |  | 1,372 |  |  | 1 |  |  | (2) |
Equity Options | 51,792 |  |  | 1,688 |  |  | (1,662) |  |  | 38,323 |  |  | 708 |  |  | (1,590) |
Total Return Swaps | 9,237 |  |  | 48 |  |  | (514) |  |  | 11,806 |  |  | 106 |  |  | (184) |
Other |  |  |  |  |  |  |  |  |  |  |
Other(1) | 1,250 |  |  | 0 |  |  | 0 |  |  | 1,250 |  |  | 0 |  |  | 0 |
Synthetic GICs | 78,009 |  |  | 1 |  |  | (1) |  |  | 84,338 |  |  | 1 |  |  | (1) |
Total Derivatives Not Qualifying as Hedge Accounting Instruments | $ | 451,152 |  |  | $ | 12,211 |  |  | $ | (26,031) |  |  | $ | 426,313 |  |  | $ | 12,567 |  |  | $ | (25,428) |
Total Derivatives(2)(3) | $ | 487,415 |  |  | $ | 14,261 |  |  | $ | (27,154) |  |  | $ | 460,804 |  |  | $ | 16,257 |  |  | $ | (26,353) |
__________ (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 which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $8,096 million (including the Prismic funds withheld-related embedded derivative net liability of $508 million) and $2,997 million as of December 31, 2023, and 2022, respectively, primarily included in “Policyholder account balances” and “Reinsurance and funds withheld payables.” (3)Recorded in “Other invested assets” and “Other liabilities” on the Consolidated Statements of Financial Position. As of December 31, 2023, the following amounts were recorded on the 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:
| December 31, 2023 |  | December 31, 2022 |
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 | $ | 224 |  |  | $ | 19 |  |  | $ | 297 |  |  | $ | 27 |  |
Policyholders’ account balances | $ | (810) |  |  | $ | 219 |  |  | $ | (966) |  |  | $ | 217 |  |
Future policy benefits | $ | (2,441) |  |  | $ | 298 |  |  | $ | (2,354) |  |  | $ | 391 |  |
__________ (1)There were no material fair value hedging adjustments for hedged assets and liabilities for which hedge accounting has been discontinued. Most of the Company’s derivatives do not qualify for hedge accounting for various reasons. For example: (i) derivatives that economically hedge embedded derivatives do not qualify for hedge accounting because changes in the fair value of the embedded derivatives are already recorded in net income; (ii) derivatives that are utilized as macro hedges of the Company’s exposure to various risks typically do not qualify for hedge accounting because they do not meet the criteria required under portfolio hedge accounting rules; and (iii) synthetic GICs, which are product standalone derivatives, do not qualify as hedging instruments under hedge accounting rules. Offsetting Assets and Liabilities The following tables present recognized derivative instruments (excluding embedded derivatives), and repurchase and reverse repurchase agreements that are offset in the 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 Consolidated Statements of Financial Position:
|  | December 31, 2023
|  | 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 |  | $ | 14,169 |  |  | $ | (13,158) |  |  | $ | 1,011 |  |  | $ | (240) |  |  | $ | 771 |
Securities purchased under agreement to resell |  | 388 |  |  | 0 |  |  | 388 |  |  | (363) |  |  | 25 |
Total Assets |  | $ | 14,557 |  |  | $ | (13,158) |  |  | $ | 1,399 |  |  | $ | (603) |  |  | $ | 796 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |  |
Derivatives |  | $ | 27,154 |  |  | $ | (22,973) |  |  | $ | 4,181 |  |  | $ | (3,775) |  |  | $ | 406 |
Securities sold under agreement to repurchase |  | 6,056 |  |  | 0 |  |  | 6,056 |  |  | (5,811) |  |  | 245 |
Total Liabilities |  | $ | 33,210 |  |  | $ | (22,973) |  |  | $ | 10,237 |  |  | $ | (9,586) |  |  | $ | 651 |
|  | December 31, 2022
|  | 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 |  | $ | 16,178 |  |  | $ | (14,802) |  |  | $ | 1,376 |  |  | $ | (702) |  |  | $ | 674 |
Securities purchased under agreement to resell |  | 385 |  |  | 0 |  |  | 385 |  |  | (385) |  |  | 0 |
Total Assets |  | $ | 16,563 |  |  | $ | (14,802) |  |  | $ | 1,761 |  |  | $ | (1,087) |  |  | $ | 674 |
Offsetting of Financial Liabilities: |  |  |  |  |  |  |  |  |  |
Derivatives |  | $ | 26,352 |  |  | $ | (23,298) |  |  | $ | 3,054 |  |  | $ | (3,054) |  |  | $ | 0 |
Securities sold under agreement to repurchase |  | 6,589 |  |  | 0 |  |  | 6,589 |  |  | (6,589) |  |  | 0 |
Total Liabilities |  | $ | 32,941 |  |  | $ | (23,298) |  |  | $ | 9,643 |  |  | $ | (9,643) |  |  | $ | 0 |
__________ (1)Amounts exclude the excess of collateral received/pledged from/to the counterparty. For information regarding the rights of offset associated with the derivative assets and liabilities in the table above, see “—Counterparty Credit Risk” below. For securities purchased under agreements to resell and securities sold under agreements to repurchase, the Company monitors the value of the securities and maintains collateral, as appropriate, to protect against credit exposure. Where the Company has entered into repurchase and resale agreements with the same counterparty, in the event of default, the Company would generally be permitted to exercise rights of offset. For additional information regarding the Company’s accounting policy for securities repurchase and resale agreements, see Note 2. Cash Flow, Fair Value and Net Investment Hedges The primary derivative and non-derivative instruments used by the Company in its fair value, cash flow and net investment hedge accounting relationships are interest rate swaps, currency swaps, currency forwards, and foreign currency denominated debts. These instruments are only designated for hedge accounting in instances where the appropriate criteria are met. The Company does not use futures, options, credit, or equity derivatives in any of its fair value, cash flow or net investment hedge accounting relationships. The following tables provide 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.
| Year Ended December 31, 2023
| Realized Investment Gains (Losses) |  | Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss) |  | Net Investment Income |  | Other Income (Loss) |  | Interest Expense |  | Interest Credited to Policyholders’ Account Balances |  | Policyholders’ Benefits |  | Change in AOCI(1)
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gains (losses) on derivatives designated as hedge instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | $ | 2 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (31) |  |  | $ | (39) |  |  | $ | 0 |
Currency | (1) |  |  | 0 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 104 |  |  | 0 |
Total gains (losses) on derivatives designated as hedge instruments | 1 |  |  | 0 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | (31) |  |  | 65 |  |  | 0 |
Gains (losses) on the hedged item: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (2) |  |  | 0 |  |  | 13 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | 10 |  |  | 0 |
Currency | 1 |  |  | 0 |  |  | 1 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (102) |  |  | 0 |
Total gains (losses) on hedged item | (1) |  |  | 0 |  |  | 14 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | (92) |  |  | 0 |
Amortization for gains (losses) excluded from assessment of the effectiveness |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (8) |  |  | (6) |
Total amortization for gain (loss) excluded from assessment of the effectiveness | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (8) |  |  | (6) |
Total gains (losses) on fair value hedges net of hedged item | 0 |  |  | 0 |  |  | 13 |  |  | 0 |  |  | 0 |  |  | (29) |  |  | (35) |  |  | (6) |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (21) |  |  | 0 |  |  | (16) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 23 |
Currency | 8 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (122) |
Currency/Interest Rate | 74 |  |  | 0 |  |  | 315 |  |  | (189) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (1,648) |
Total gains (losses) on cash flow hedges | 61 |  |  | 0 |  |  | 299 |  |  | (189) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (1,747) |
Net investment hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 12 |
Currency/Interest Rate | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on net investment hedges | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 12 |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (285) |  |  | (1,657) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency | (567) |  |  | 0 |  |  | 0 |  |  | 3 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | (211) |  |  | 0 |  |  | 0 |  |  | (3) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Credit | 164 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Equity | 1,751 |  |  | (929) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Embedded Derivatives (3) | (3,133) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives not qualifying as hedge accounting instruments | (2,281) |  |  | (2,586) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total | $ | (2,220) |  |  | $ | (2,586) |  |  | $ | 312 |  |  | $ | (189) |  |  | $ | 0 |  |  | $ | (29) |  |  | $ | (35) |  |  | $ | (1,741) |
| Year Ended December 31, 2022(2)
| Realized Investment Gains (Losses) |  | Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss) |  | Net Investment Income |  | Other Income (Loss) |  | Interest Expense |  | Interest Credited to Policyholders’ Account Balances |  | Policyholders’ Benefits |  | Change in AOCI(1)
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gains (losses) on derivatives designated as hedge instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | $ | 39 |  |  | $ | 0 |  |  | $ | (5) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (375) |  |  | $ | (438) |  |  | $ | 0 |
Currency | (28) |  |  | 0 |  |  | (2) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (224) |  |  | 0 |
Total gains (losses) on derivatives designated as hedge instruments | 11 |  |  | 0 |  |  | (7) |  |  | 0 |  |  | 0 |  |  | (375) |  |  | (662) |  |  | 0 |
Gains (losses) on the hedged item: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (39) |  |  | 0 |  |  | 14 |  |  | 0 |  |  | 0 |  |  | 387 |  |  | 448 |  |  | 0 |
Currency | 31 |  |  | 0 |  |  | 9 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 225 |  |  | 0 |
Total gains (losses) on hedged item | (8) |  |  | 0 |  |  | 23 |  |  | 0 |  |  | 0 |  |  | 387 |  |  | 673 |  |  | 0 |
Amortization for gains (losses) excluded from assessment of the effectiveness |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (4) |  |  | (19) |
Total amortization for gain (loss) excluded from assessment of the effectiveness | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (4) |  |  | (19) |
Total gains (losses) on fair value hedges net of hedged item | 3 |  |  | 0 |  |  | 16 |  |  | 0 |  |  | 0 |  |  | 12 |  |  | 7 |  |  | (19) |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (4) |  |  | 0 |  |  | (3) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (217) |
Currency | 15 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 191 |
Currency/Interest Rate | 121 |  |  | 0 |  |  | 299 |  |  | 477 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1,623 |
Total gains (losses) on cash flow hedges | 132 |  |  | 0 |  |  | 296 |  |  | 477 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1,597 |
Net investment hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2 |
Currency/Interest Rate | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on net investment hedges | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2 |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (3,410) |  |  | (6,483) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency | (400) |  |  | 0 |  |  | 0 |  |  | (3) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | 854 |  |  | 0 |  |  | 0 |  |  | 6 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Credit | 5 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Equity | 6 |  |  | 1,403 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Embedded Derivatives (3) | (26) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives not qualifying as hedge accounting instruments | (2,969) |  |  | (5,080) |  |  | 0 |  |  | 3 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total | $ | (2,834) |  |  | $ | (5,080) |  |  | $ | 312 |  |  | $ | 480 |  |  | $ | 0 |  |  | $ | 12 |  |  | $ | 7 |  |  | $ | 1,580 |
| Year Ended December 31, 2021(2)
| Realized Investment Gains (Losses) |  | Change in Value of Market Risk Benefits, Net of Related Hedging Gain (Loss) |  | Net Investment Income |  | Other Income (Loss) |  | Interest Expense |  | Interest Credited to Policyholders’ Account Balances |  | Policyholders’ Benefits |  | Change in AOCI(1)
| (in millions)
Derivatives Designated as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gains (losses) on derivatives designated as hedge instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | $ | 20 |  |  | $ | 0 |  |  | $ | (9) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (98) |  |  | $ | (73) |  |  | $ | 0 |
Currency | (8) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 6 |  |  | 0 |
Total gains (losses) on derivatives designated as hedge instruments | 12 |  |  | 0 |  |  | (9) |  |  | 0 |  |  | 0 |  |  | (98) |  |  | (67) |  |  | 0 |
Gains (losses) on the hedged item: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (24) |  |  | 0 |  |  | 16 |  |  | 0 |  |  | 0 |  |  | 133 |  |  | 96 |  |  | 0 |
Currency | 7 |  |  | 0 |  |  | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (6) |  |  | 0 |
Total gains (losses) on hedged item | (17) |  |  | 0 |  |  | 18 |  |  | 0 |  |  | 0 |  |  | 133 |  |  | 90 |  |  | 0 |
Amortization for gains (losses) excluded from assessment of the effectiveness |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (6) |  |  | (46) |
Total amortization for gain (loss) excluded from assessment of the effectiveness | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (6) |  |  | (46) |
Total gains (losses) on fair value hedges net of hedged item | (5) |  |  | 0 |  |  | 9 |  |  | 0 |  |  | 0 |  |  | 35 |  |  | 17 |  |  | (46) |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | (2) |  |  | 0 |  |  | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (13) |
Currency | (4) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 48 |
Currency/Interest Rate | 105 |  |  | 0 |  |  | 271 |  |  | 181 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1,152 |
Total gains (losses) on cash flow hedges | 99 |  |  | 0 |  |  | 273 |  |  | 181 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1,187 |
Net investment hedges |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Currency | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (9) |
Currency/Interest Rate | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on net investment hedges | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (9) |
Derivatives Not Qualifying as Hedge Accounting Instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate | 717 |  |  | (2,592) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency | (364) |  |  | 0 |  |  | 0 |  |  | (3) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Currency/Interest Rate | 802 |  |  | 0 |  |  | 0 |  |  | 5 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Credit | 61 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Equity | (283) |  |  | (2,318) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Other | 1 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Embedded Derivatives (3) | (1,145) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total gains (losses) on derivatives not qualifying as hedge accounting instruments | (211) |  |  | (4,910) |  |  | 0 |  |  | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |
Total | $ | (117) |  |  | $ | (4,910) |  |  | $ | 282 |  |  | $ | 183 |  |  | $ | 0 |  |  | $ | 35 |  |  | $ | 17 |  |  | $ | 1,132 |
__________ (1)Excludes changes related to net investment hedges using non-derivative instruments of $28 million for year ended December 31, 2023, $134 million for year ended December 31, 2022, and $25 million for year ended December 31, 2021. (2)Prior period amounts have been updated to conform to current period presentation. 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 | (13) |
Currency | 44 |
Currency/Interest Rate | 1,709 |
Total amount recorded in AOCI | 1,740 |
Amount reclassified from AOCI to income |
Interest Rate | 0 |
Currency | 4 |
Currency/Interest Rate | (557) |
Total amount reclassified from AOCI to income | (553) |
Balance, December 31, 2021 | $ | 1,019 |
Amount recorded in AOCI |
Interest Rate | (224) |
Currency | 206 |
Currency/Interest Rate | 2,520 |
Total amount recorded in AOCI | 2,502 |
Amount reclassified from AOCI to income |
Interest Rate | 7 |
Currency | (15) |
Currency/Interest Rate | (897) |
Total amount reclassified from AOCI to income | (905) |
Balance, December 31, 2022 | $ | 2,616 |
Amount recorded in AOCI |
Interest Rate | (15) |
Currency | (108) |
Currency/Interest Rate | (1,448) |
Total amount recorded in AOCI | (1,571) |
Amount reclassified from AOCI to income |
Interest Rate | 38 |
Currency | (14) |
Currency/Interest Rate | (200) |
Total amount reclassified from AOCI to income | (176) |
Balance, December 31, 2023 | $ | 869 |
The changes in fair value of cash flow hedges are deferred in AOCI and are included in “Net unrealized investment gains (losses)” in the Consolidated Statements of Comprehensive Income; these amounts are then reclassified to earnings when the hedged item affects earnings. Using December 31, 2023 values, it is estimated that a pre-tax gain of approximately $293 million is expected to be reclassified from AOCI to earnings during the subsequent twelve months ending December 31, 2024. The exposures the Company is hedging with these qualifying cash flow hedges include the variability of future cash flows from forecasted transactions denominated in foreign currencies, the purchases of invested assets, and the receipt or payment of variable interest on existing financial instruments. The maximum length of time over which the Company is hedging its exposure to the variability in future cash flows for forecasted transactions is 28 years. There were no material amounts reclassified from AOCI into earnings relating to instances in which the Company discontinued cash flow hedge accounting because the forecasted transaction did not occur by the anticipated date or within the additional time period permitted by the authoritative guidance for the accounting for derivatives and hedging. In addition, there were no instances in which the Company discontinued fair value hedge accounting due to a hedged firm commitment no longer qualifying as a fair value hedge. For net investment hedges, in addition to derivatives, the Company uses foreign currency denominated debt to hedge the risk of change in the net investment in a foreign subsidiary due to changes in exchange rates. For effective net investment hedges, the amounts, before applicable taxes, recorded in the cumulative translation adjustment within AOCI were $39 million for the year ended December 31, 2023, $134 million for the year ended December 31, 2022, and $16 million for the year ended December 31, 2021. Credit Derivatives The following tables provide a summary of the notional and fair value of written credit protection, presented as assets (liabilities). 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 24 years for index reference.
| December 31, 2023
| NAIC Rating Designation of Underlying Credit Obligation(1)
| NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6(2) | 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(3) | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |
Index reference(3) | 0 |  | 0 |  | 0 |  | 0 |  | 2,723 |  | 19 |  | 0 |  | 0 |  | 89 |  | 5 |  | 634 |  | 40 |  | 3,446 |  | 64 |
Total | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 2,723 |  | $ | 19 |  | $ | 0 |  | $ | 0 |  | $ | 89 |  | $ | 5 |  | $ | 634 |  | $ | 40 |  | $ | 3,446 |  | $ | 64 |
| December 31, 2022
| NAIC Rating Designation of Underlying Credit Obligation(1)
| NAIC 1 | NAIC 2 | NAIC 3 | NAIC 4 | NAIC 5 | NAIC 6(2) | 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(3) | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |
Index reference(3) | 48 |  | 0 |  | 0 |  | 0 |  | 5,197 |  | (46) |  | 0 |  | 0 |  | 0 |  | 0 |  | 782 |  | 15 |  | 6,027 |  | (31) |
Total | $ | 48 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 5,197 |  | $ | (46) |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 0 |  | $ | 782 |  | $ | 15 |  | $ | 6,027 |  | $ | (31) |
__________ (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)The NAIC rating designation is due to approximately 3% and 2% as of December 31, 2023, and 2022, respectively, of the index reference name rated as NAIC 6. (3)Single name credit default swaps may make reference to the credit of corporate debt, sovereign debt, and structured finance. Index reference 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 December 31, 2023 and 2022, the Company had $0 million and $324 million of outstanding notional amounts and reported at fair value as an asset of $0 million and $1 million, respectively Counterparty Credit Risk The Company is exposed to losses in the event of non-performance by counterparties to financial derivative transactions with a positive fair value. The Company manages credit risk by: (i) entering into derivative transactions with highly rated major financial institutions and other creditworthy counterparties governed by master netting agreements, as applicable; (ii) trading through central clearing and over-the-counter (“OTC”) parties; (iii) obtaining collateral, such as cash and securities, when appropriate; and (iv) setting limits on single party credit exposures which are subject to periodic management review. Substantially all of the Company’s derivative agreements have zero thresholds which require daily full collateralization by the party in a liability position. In addition, certain of the Company’s derivative agreements contain credit-risk related contingent features; if the credit rating of one of the parties to the derivative agreement is to fall below a certain level, the party with positive fair value could request termination at the then fair value or demand immediate full collateralization from the party whose credit rating fell and is in a net liability position. As of December 31, 2023, there were no net liability derivative positions with counterparties with credit risk-related contingent features. All derivatives have been appropriately collateralized by the Company or the counterparty in accordance with the terms of the derivative agreements.

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