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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value

The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of March 31, 2021 and December 31, 2020 (dollars in millions):

												March 31, 2021																		December 31, 2020
						Primary Underlying Risk						Notional						Carrying Value/Fair Value												Notional						Carrying Value/Fair Value
												Amount						Assets						Liabilities						Amount						Assets						Liabilities
Derivatives not designated as hedging instruments:
Interest rate swaps						Interest rate						$	1,107					$	67					$	3					$	1,084					$	93					$	1
Financial futures						Equity						285						—						—						258						—						—
Foreign currency swaps						Foreign currency						150						—						9						150						—						18
Foreign currency forwards						Foreign currency						475						2						10						347						4						2
CPI swaps						CPI						627						19						12						612						11						19
Credit default swaps						Credit						1,720						32						3						1,517						13						—
Equity options						Equity						443						26						—						395						29						—
Synthetic GICs						Interest rate						16,423						—						—						16,644						—						—
Embedded derivatives in:
Modco or funds withheld arrangements												—						109						—						—						58						—
Indexed annuity products												—						—						720						—						—						752
Variable annuity products												—						—						136						—						—						155
Total non-hedging derivatives												21,230						255						893						21,007						208						947
Derivatives designated as hedging instruments:
Interest rate swaps						Foreign currency/Interest rate						878						2						24						802						3						24
Foreign currency swaps						Foreign currency						214						6						1						234						8						1
Foreign currency forwards						Foreign currency						1,141						5						18						1,255						10						15
Other derivatives						Interest rate						114						—						7						—						—						—
Total hedging derivatives												2,347						13						50						2,291						21						40
Total derivatives												$	23,577					$	268					$	943					$	23,298					$	229					$	987

Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of March 31, 2021 and 2020 were (dollars in millions):

Type of Fair Value Hedge						Hedged Item						Gains (Losses) Recognized for Derivatives						Gains (Losses) Recognized for Hedged Items
												Investment Related Gains (Losses)
For the three months ended March 31, 2021:
Foreign currency swaps						Foreign-denominated fixed maturity securities						$	—					$	1
For the three months ended March 31, 2020:
Foreign currency swaps						Foreign-denominated fixed maturity securities						$	(22)					$	14

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three months ended March 31, 2021 and 2020 (dollars in millions):

						Three months ended March 31,
						2021						2020
Balance, beginning of period						$	(49)					$	(26)
Gains (losses) deferred in other comprehensive income (loss)						(24)						(61)
Amounts reclassified to investment income						—						—
Amounts reclassified to interest expense						2						—
Balance, end of period						$	(71)					$	(87)

Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three months ended March 31, 2021 and 2020 (dollars in millions):

Derivative Type						Gain (Loss) Deferred in OCI						Gain (Loss) Reclassified into Income from OCI
												Investment Income						Interest Expense
For the three months ended March 31, 2021:
Interest rate						$	(23)					$	—					$	(2)
Foreign currency/interest rate						(1)						—						—
Total						$	(24)					$	—					$	(2)
For the three months ended March 31, 2020:
Interest rate						$	(36)					$	—					$	—
Foreign currency/interest rate						(25)						—						—
Total						$	(61)					$	—					$	—

Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location [Table Text Block]

The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges and the gains (losses) deferred in AOCI for the three months ended March 31, 2021 and 2020 (dollars in millions):

						Derivative Gains (Losses) Deferred in AOCI
						For the three months ended March 31,
Type of NIFO Hedge						2021						2020
Foreign currency swaps						$	(1)					$	15
Foreign currency forwards						(14)						80
Total						$	(15)					$	95

Derivatives Not Designated as Hedging Instruments [Table Text Block]

A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three months ended March 31, 2021 and 2020 is as follows (dollars in millions):

												Gain (loss) for the three months ended         March 31,
Type of Non-hedging Derivative						Income Statement Location of Gain (Loss)						2021						2020
Interest rate swaps						Investment related gains (losses), net						$	(70)					$	106
Financial futures						Investment related gains (losses), net						(10)						44
Foreign currency swaps						Investment related gains (losses), net						9						(13)
Foreign currency forwards						Investment related gains (losses), net						(8)						(3)
CPI swaps						Investment related gains (losses), net						18						(40)
Credit default swaps						Investment related gains (losses), net						20						(24)
Equity options						Investment related gains (losses), net						(10)						53
Subtotal												(51)						123
Embedded derivatives in:
Modco or funds withheld arrangements						Investment related gains (losses), net						50						(230)
Indexed annuity products						Interest credited						14						6
Variable annuity products						Investment related gains (losses), net						19						(128)
Total non-hedging derivatives												$	32					$	(229)

Disclosure Of Credit Derivatives

The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at March 31, 2021 and December 31, 2020 (dollars in millions):

						March 31, 2021																		December 31, 2020
Rating Agency Designation of Referenced Credit Obligations(1)						Estimated Fair Value of Credit  Default Swaps						Maximum Amount of Future Payments under Credit Default Swaps(2)						Weighted Average Years to Maturity(3)						Estimated Fair Value of Credit  Default Swaps						Maximum Amount of Future Payments under Credit Default Swaps(2)						Weighted Average Years to Maturity(3)
AAA/AA+/AA/AA-/A+/A/A-
Single name credit default swaps						$	26					$	492					17.8						$	11					$	287					15.0
Subtotal						26						492						17.8						11						287						15.0
BBB+/BBB/BBB-
Single name credit default swaps						2						230						1.7						2						232						1.6
Credit default swaps referencing indices						1						988						3.7						—						988						3.9
Subtotal						3						1,218						3.3						2						1,220						3.5
BB+/BB/BB-
Single name credit default swaps						—						10						0.5						—						10						0.7
Subtotal						—						10						0.5						—						10						0.7
Total						$	29					$	1,720					7.4						$	13					$	1,517					5.6

(1)The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).

(2)Assumes the value of the referenced credit obligations is zero.

(3)The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.

Offsetting Assets [Table Text Block]

The following table provides information relating to the netting of the Company’s derivative instruments as of March 31, 2021 and December 31, 2020 (dollars in millions):

																								Gross Amounts Not Offset in the Balance Sheet
						Gross Amounts   Recognized						Gross Amounts Offset in the Balance Sheet						Net Amounts Presented in the Balance Sheet						Financial Instruments (1)						Cash Collateral   Pledged/ Received						Net Amount
March 31, 2021:
Derivative assets						$	159					$	(34)					$	125					$	(33)					$	(81)					$	11
Derivative liabilities						87						(34)						53						(118)						(43)						(108)
December 31, 2020:
Derivative assets						$	171					$	(31)					$	140					$	(30)					$	(98)					$	12
Derivative liabilities						80						(31)						49						(146)						(47)						(144)

(1)Includes initial margin posted to a central clearing partner.

Offsetting Liabilities [Table Text Block]

The following table provides information relating to the netting of the Company’s derivative instruments as of March 31, 2021 and December 31, 2020 (dollars in millions):

																								Gross Amounts Not Offset in the Balance Sheet
						Gross Amounts   Recognized						Gross Amounts Offset in the Balance Sheet						Net Amounts Presented in the Balance Sheet						Financial Instruments (1)						Cash Collateral   Pledged/ Received						Net Amount
March 31, 2021:
Derivative assets						$	159					$	(34)					$	125					$	(33)					$	(81)					$	11
Derivative liabilities						87						(34)						53						(118)						(43)						(108)
December 31, 2020:
Derivative assets						$	171					$	(31)					$	140					$	(30)					$	(98)					$	12
Derivative liabilities						80						(31)						49						(146)						(47)						(144)

(1)Includes initial margin posted to a central clearing partner.

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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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