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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Outstanding derivative instruments with off-balance-sheet risks (in millions) were as follows:

			As of March 31, 2024																		As of December 31, 2023
			Notional Amounts						Fair Value												Notional Amounts						Fair Value
									Asset						Liability												Asset						Liability
Qualifying Hedges
Cash flow hedges:
Interest rate contracts (1)			$	1,583					$	242					$	28					$	1,698					$	181					$	47
Foreign currency contracts (1)			4,722						467						60						4,662						423						78
Total cash flow hedges			6,305						709						88						6,360						604						125
Fair value hedges:
Interest rate contracts (1)			1,076						2						32						1,081						1						39
Foreign currency contracts (1)			25						–						–						25						–						1
Total fair value hedges			1,101						2						32						1,106						1						40
Non-Qualifying Hedges
Interest rate contracts (1)			72,592						771						1,027						90,829						636						979
Foreign currency contracts (1)			370						13						3						306						11						6
Equity market contracts (1)			231,313						13,816						5,953						225,626						10,244						4,227
Credit contracts (1)			39						–						–						91						–						–
Embedded derivatives:
Reinsurance-related (2)			–						–						355						–						–						552
RILA, fixed indexed annuity and IUL
contracts (3)			–						973						10,896						–						940						9,077
Total derivative instruments			$	311,720					$	16,284					$	18,354					$	324,318					$	12,436					$	15,006

(1) These asset and liability balances are presented on a gross basis. Amounts are reported in derivative investments and other liabilities on the Consolidated Balance Sheets after the evaluation for right of offset subject to master netting agreements.

(2) Reported in funds withheld reinsurance liabilities on the Consolidated Balance Sheets.

(3) Reported in policyholder account balances and deposit assets on the Consolidated Balance Sheets.

Schedule of Derivative Instruments

The maturity of the notional amounts of derivative instruments (in millions) was as follows:

			Remaining Life as of March 31, 2024
			Less Than 1 Year						1 – 5 Years						6 - 10 Years						11 - 30 Years						Over 30 Years						Total
Interest rate contracts (1)			$	9,795					$	19,247					$	22,649					$	22,347					$	1,213					$	75,251
Foreign currency contracts (2)			356						1,007						1,725						1,987						42						5,117
Equity market contracts			186,027						34,228						7,262						8						3,788						231,313
Credit contracts			–						39						–						–						–						39
Total derivative instruments with
notional amounts			$	196,178					$	54,521					$	31,636					$	24,342					$	5,043					$	311,720

(1) As of March 31, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was April 20, 2067.

(2) As of March 31, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was June 16, 2061.

Cumulative Basis Adjustments for Fair Value Hedges

The following amounts (in millions) were recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:

			Amortized Cost of the Hedged Assets / (Liabilities)												Cumulative Fair Value Hedging Adjustment Included in the Amortized Cost of the Hedged Assets / (Liabilities)
			As of March 31, 2024						As of December 31, 2023						As of March 31, 2024						As of December 31, 2023
Line Item in the Consolidated Balance Sheets in
which the Hedged Item is Included
Fixed maturity AFS securities, at fair value			$	510					$	534					$	21					$	39
Long-term debt (1)			(686)						(703)						189						172

(1) Includes $(322) million and $(326) million of unamortized adjustments from discontinued hedges as of March 31, 2024, and December 31, 2023, respectively.

Change in Our Unrealized Gain on Derivative Instruments in AOCI

The change in our unrealized gain (loss) on derivative instruments within accumulated other comprehensive income (loss) (“AOCI”) (in millions) was as follows:

			For the Three Months Ended March 31,
			2024						2023
Unrealized Gain (Loss) on Derivative Instruments
Balance as of beginning-of-year			$	375					$	388
Other comprehensive income (loss):
Unrealized holding gains (losses) arising during the period:
Cash flow hedges:
Interest rate contracts			89						58
Foreign currency contracts			(25)						76
Change in foreign currency exchange rate adjustment			101						(67)
Income tax benefit (expense)			(35)						(15)
Less:
Reclassification adjustment for gains (losses)
included in net income (loss):
Cash flow hedges:
Foreign currency contracts (1)			15						14
Interest rate contracts (2)			9						6
Foreign currency contracts (3)			–						2
Income tax benefit (expense)			(5)						(5)
Balance as of end-of-period			$	486					$	423

(1) The OCI offset is reported within net investment income on the Consolidated Statements of Comprehensive Income (Loss).

(2) The OCI offset is reported within interest and debt expense on the Consolidated Statements of Comprehensive Income (Loss).

(3) The OCI offset is reported within realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

Effects of Qualifying and Non-Qualifying Hedges

The effects of qualifying and non-qualifying hedges (in millions) on the Consolidated Statements of Comprehensive Income (Loss) were as follows:

Gain (Loss) Recognized in Income For the Three Months Ended March 31,

2024

2023

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Total Line Items in which the Effects of

Fair Value or Cash Flow Hedges are

Recorded

$

(434)

$

1,346

$

81

$

(828)

$

1,466

$

83

Qualifying Hedges

Gain or (loss) on fair value hedging

relationships:

Interest rate contracts:

Hedged items

–

(18)

17

–

16

(21)

Derivatives designated as hedging

instruments

–

18

(17)

–

(16)

21

Foreign currency contracts:

Hedged items

–

(1)

–

–

–

–

Derivatives designated as hedging

instruments

–

1

–

–

–

–

Gain or (loss) on cash flow hedging

relationships:

Interest rate contracts:

Amount of gain or (loss) reclassified

from AOCI into income

–

–

9

–

–

6

Foreign currency contracts:

Amount of gain or (loss) reclassified

from AOCI into income

–

15

–

2

14

–

Non-Qualifying Hedges

Interest rate contracts

(163)

–

–

332

–

–

Foreign currency contracts

–

–

–

(1)

–

–

Equity market contracts

2,134

–

–

(53)

–

–

Commodity contracts

–

–

–

11

–

–

Credit contracts

–

–

–

(1)

–

–

Embedded derivatives:

Reinsurance-related

197

–

–

(49)

–

–

RILA, fixed indexed annuity and IUL

contracts

(1,642)

–

–

(713)

–

–

Schedule of Credit Derivatives

Information related to our CDSs for which we are the seller (dollars in millions) was as follows:

As of March 31, 2024

Credit Contract Type

Maturity

Reason for Entering

Name of Recourse

Credit Rating of Underlying Obligation (1)

Number of Instruments

Fair Value (2)

Maximum Potential Payout

Basket CDSs

12/20/2028

(3)

(4)

BBB+

1

$

1

$

39

(1)    Represents average credit ratings based on the midpoint of the applicable ratings among Moody’s, S&P and Fitch Ratings, as scaled to the corresponding S&P ratings.

(2)    Third-party valuation specialists are used to determine the market value of our CDSs.

(3)    CDSs were entered into in order to hedge the liability exposure on certain variable annuity products.

(4)    Sellers do not have the right to demand indemnification or compensation from third parties in case of a loss (payment) on the contract.

Details underlying the associated collateral of our CDSs for which we are the seller if credit risk-related contingent features were triggered (in millions) were as follows:

			As of March 31, 2024						As of December 31, 2023
Maximum potential payout			$	39					$	–
Less: Counterparty thresholds			–						–
Maximum collateral potentially required to post			$	39					$	–

Schedule of Collateral Amounts With Rights to Reclaim or Obligation to Return Cash

The amounts recognized (in millions) by S&P credit rating of counterparty, for which we had the right to reclaim cash collateral or were obligated to return cash collateral, were as follows:

			As of March 31, 2024												As of December 31, 2023
S&P Credit Rating of Counterparty			Collateral Posted by Counter- Party (Held by LNC)						Collateral Posted by LNC (Held by Counter- Party)						Collateral Posted by Counter- Party (Held by LNC)						Collateral Posted by LNC (Held by Counter- Party)
AA-			$	3,403					$	(71)					$	2,378					$	(63)
A+			2,929						(43)						2,496						(125)
A			90						–						82						–
A-			481						–						273						–
			$	6,903					$	(114)					$	5,229					$	(188)

Schedule of Offsetting Assets

Information related to the effects of offsetting on the Consolidated Balance Sheets (in millions) was as follows:

			As of March 31, 2024
			Derivative Instruments						Embedded Derivative Instruments						Total
Financial Assets
Gross amount of recognized assets			$	15,250					$	973					$	16,223
Gross amounts offset			(6,856)						–						(6,856)
Net amount of assets			8,394						973						9,367
Gross amounts not offset:
Cash collateral			(6,903)						–						(6,903)
Non-cash collateral (1)			(1,491)						–						(1,491)
Net amount			$	–					$	973					$	973
Financial Liabilities
Gross amount of recognized liabilities			$	273					$	11,251					$	11,524
Gross amounts offset			(87)						–						(87)
Net amount of liabilities			186						11,251						11,437
Gross amounts not offset:
Cash collateral			(114)						–						(114)
Non-cash collateral (2)			(72)						–						(72)
Net amount			$	–					$	11,251					$	11,251

(1) Excludes excess non-cash collateral received of $1.4 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $89 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

			As of December 31, 2023
			Derivative Instruments						Embedded Derivative Instruments						Total
Financial Assets
Gross amount of recognized assets			$	10,927					$	940					$	11,867
Gross amounts offset			(4,453)						–						(4,453)
Net amount of assets			6,474						940						7,414
Gross amounts not offset:
Cash collateral			(5,229)						–						(5,229)
Non-cash collateral (1)			(1,245)						–						(1,245)
Net amount			$	–					$	940					$	940
Financial Liabilities
Gross amount of recognized liabilities			$	967					$	9,629					$	10,596
Gross amounts offset			(612)						–						(612)
Net amount of liabilities			355						9,629						9,984
Gross amounts not offset:
Cash collateral			(188)						–						(188)
Non-cash collateral (2)			(167)						–						(167)
Net amount			$	–					$	9,629					$	9,629

(1) Excludes excess non-cash collateral received of $1.3 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $82 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

Schedule of Offsetting Liabilities

Information related to the effects of offsetting on the Consolidated Balance Sheets (in millions) was as follows:

			As of March 31, 2024
			Derivative Instruments						Embedded Derivative Instruments						Total
Financial Assets
Gross amount of recognized assets			$	15,250					$	973					$	16,223
Gross amounts offset			(6,856)						–						(6,856)
Net amount of assets			8,394						973						9,367
Gross amounts not offset:
Cash collateral			(6,903)						–						(6,903)
Non-cash collateral (1)			(1,491)						–						(1,491)
Net amount			$	–					$	973					$	973
Financial Liabilities
Gross amount of recognized liabilities			$	273					$	11,251					$	11,524
Gross amounts offset			(87)						–						(87)
Net amount of liabilities			186						11,251						11,437
Gross amounts not offset:
Cash collateral			(114)						–						(114)
Non-cash collateral (2)			(72)						–						(72)
Net amount			$	–					$	11,251					$	11,251

(1) Excludes excess non-cash collateral received of $1.4 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $89 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

			As of December 31, 2023
			Derivative Instruments						Embedded Derivative Instruments						Total
Financial Assets
Gross amount of recognized assets			$	10,927					$	940					$	11,867
Gross amounts offset			(4,453)						–						(4,453)
Net amount of assets			6,474						940						7,414
Gross amounts not offset:
Cash collateral			(5,229)						–						(5,229)
Non-cash collateral (1)			(1,245)						–						(1,245)
Net amount			$	–					$	940					$	940
Financial Liabilities
Gross amount of recognized liabilities			$	967					$	9,629					$	10,596
Gross amounts offset			(612)						–						(612)
Net amount of liabilities			355						9,629						9,984
Gross amounts not offset:
Cash collateral			(188)						–						(188)
Non-cash collateral (2)			(167)						–						(167)
Net amount			$	–					$	9,629					$	9,629

(1) Excludes excess non-cash collateral received of $1.3 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $82 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

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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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