Derivatives (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

The following table presents the primary underlying risk exposure, gross notional amount, and estimated fair value of the Company’s derivatives, excluding embedded derivatives, held at:

	Primary Underlying Risk Exposure	December 31,
		2019						2018
				Estimated Fair Value						Estimated Fair Value
		Gross Notional Amount		Assets		Liabilities		Gross Notional Amount		Assets		Liabilities
		(In millions)
Derivatives Designated as Hedging Instruments:
Fair value hedges:
Interest rate swaps	Interest rate	$	2,369	$	2,667	$	2	$	2,446	$	2,197	$	2
Foreign currency swaps	Foreign currency exchange rate	1,304		16		17		1,233		54		—
Foreign currency forwards	Foreign currency exchange rate	2,336		1		40		2,140		28		18
Subtotal		6,009		2,684		59		5,819		2,279		20
Cash flow hedges:
Interest rate swaps	Interest rate	3,675		145		27		3,515		143		1
Interest rate forwards	Interest rate	7,364		83		144		3,022		—		216
Foreign currency swaps	Foreign currency exchange rate	36,983		1,627		1,430		35,931		1,796		1,831
Subtotal		48,022		1,855		1,601		42,468		1,939		2,048
NIFO hedges:
Foreign currency forwards	Foreign currency exchange rate	1,059		—		10		960		4		27
Currency options	Foreign currency exchange rate	4,200		33		91		5,137		3		202
Subtotal		5,259		33		101		6,097		7		229
Total qualifying hedges		59,290		4,572		1,761		54,384		4,225		2,297
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swaps	Interest rate	58,083		2,867		185		54,891		1,796		175
Interest rate floors	Interest rate	12,701		155		—		12,701		102		—
Interest rate caps	Interest rate	42,622		18		5		54,575		154		1
Interest rate futures	Interest rate	2,423		2		3		2,353		1		3
Interest rate options	Interest rate	27,344		764		1		26,690		416		—
Interest rate forwards	Interest rate	129		1		2		234		1		15
Interest rate total return swaps	Interest rate	1,048		5		49		1,048		33		2
Synthetic GICs	Interest rate	30,341		—		—		25,700		—		—
Foreign currency swaps	Foreign currency exchange rate	13,699		644		461		11,388		884		458
Foreign currency forwards	Foreign currency exchange rate	13,507		50		393		13,417		198		213
Currency futures	Foreign currency exchange rate	880		7		—		847		4		—
Currency options	Foreign currency exchange rate	1,801		—		—		2,040		7		—
Credit default swaps — purchased	Credit	2,944		4		102		1,903		25		39
Credit default swaps — written	Credit	11,520		272		1		11,391		95		13
Equity futures	Equity market	4,540		6		8		2,992		13		77
Equity index options	Equity market	27,105		694		677		27,707		884		550
Equity variance swaps	Equity market	1,115		23		19		2,269		40		87
Equity total return swaps	Equity market	761		—		70		929		91		—
Total non-designated or nonqualifying derivatives		252,563		5,512		1,976		253,075		4,744		1,633
Total		$	311,853	$	10,084	$	3,737	$	307,459	$	8,969	$	3,930

Components of Net Derivatives Gains (Losses)

	Year Ended December 31, 2018
	Net Investment Income			Net Investment Gains (Losses)		Net Derivative Gains (Losses)			Policyholder Benefits and Claims			Interest Credited to Policyholder Account Balances			Other Expenses			OCI
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	—		$	—	$	(220	)	$	—		$	—		$	—		N/A
Hedged items	—			—		226			—			—			—			N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	—			—		156			—			—			—			N/A
Hedged items	—			—		(150		)	—			—			—			N/A
Amount excluded from the assessment of hedge effectiveness	—			—		(58		)	—			—			—			N/A
Subtotal	—			—		(46		)	—			—			—			N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			$	(257	)
Amount of gains (losses) reclassified from AOCI into income	20			—		21			—			—			1			(42		)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			414
Amount of gains (losses) reclassified from AOCI into income	(5		)	—		(558		)	—			—			2			561
Foreign currency transaction gains (losses) on hedged items	—			—		569			—			—			—			—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			—
Amount of gains (losses) reclassified from AOCI into income	1			—		1			—			—			—			(2		)
Subtotal	16			—		33			—			—			3			674
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A			N/A		N/A			N/A			N/A			N/A			(125		)
Non-derivative hedging instruments	N/A			N/A		N/A			N/A			N/A			N/A			—
Subtotal	N/A			N/A		N/A			N/A			N/A			N/A			(125		)
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	4			—		(158		)	(6		)	—			—			N/A
Foreign currency exchange rate derivatives (1)	—			—		518			(6		)	—			—			N/A
Credit derivatives — purchased (1)	—			—		6			—			—			—			N/A
Credit derivatives — written (1)	—			—		(132		)	—			—			—			N/A
Equity derivatives (1)	1			—		360			60			—			—			N/A
Foreign currency transaction gains (losses) on hedged items	—			—		(127		)	—			—			—			N/A
Subtotal	5			—		467			48			—			—			N/A
Earned income on derivatives	360			—		547			11			(113		)	(11		)	—
Embedded derivatives (2)	N/A			N/A		(150		)	—			N/A			N/A			N/A
Total	$	381		$	—	$	851		$	59		$	(113	)	$	(8	)	$	549

	Year Ended December 31, 2017
	Net Investment Income			Net Investment Gains (Losses)		Net Derivative Gains (Losses)			Policyholder Benefits and Claims			Interest Credited to Policyholder Account Balances			Other Expenses			OCI
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	—		$	—	$	(65	)	$	—		$	—		$	—		N/A
Hedged items	—			—		130			—			—			—			N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	—			—		51			—			—			—			N/A
Hedged items	—			—		(26		)	—			—			—			N/A
Amount excluded from the assessment of hedge effectiveness	—			—		(40		)	—			—			—			N/A
Subtotal	—			—		50			—			—			—			N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			$	288
Amount of gains (losses) reclassified from AOCI into income	18			—		13			—			—			1			(32		)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			(335		)
Amount of gains (losses) reclassified from AOCI into income	—			—		974			—			—			2			(976		)
Foreign currency transaction gains (losses) on hedged items	—			—		(960		)	—			—			—			—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A		N/A			N/A			N/A			N/A			—
Amount of gains (losses) reclassified from AOCI into income	—			—		1			—			—			—			(1		)
Subtotal	18			—		28			—			—			3			(1,056		)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A			N/A		N/A			N/A			N/A			N/A			(445		)
Non-derivative hedging instruments	N/A			N/A		N/A			N/A			N/A			N/A			—
Subtotal	N/A			N/A		N/A			N/A			N/A			N/A			(445		)
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	1			—		(549		)	(1		)	—			—			N/A
Foreign currency exchange rate derivatives (1)	—			—		(742		)	5			—			—			N/A
Credit derivatives — purchased (1)	—			—		(24		)	—			—			—			N/A
Credit derivatives — written (1)	—			—		145			—			—			—			N/A
Equity derivatives (1)	(9		)	—		(1,046		)	(252		)	—			—			N/A
Foreign currency transaction gains (losses) on hedged items	—			—		198			—			—			—			N/A
Subtotal	(8		)	—		(2,018		)	(248		)	—			—			N/A
Earned income on derivatives	299			—		551			9			(64		)	(10		)	—
Embedded derivatives (2)	N/A			N/A		799			—			N/A			N/A			N/A
Total	$	309		$	—	$	(590	)	$	(239	)	$	(64	)	$	(7	)	$	(1,501	)

	Year Ended December 31, 2019
	Net Investment Income			Net Investment Gains (Losses)			Net Derivative Gains (Losses)			Policyholder Benefits and Claims			Interest Credited to Policyholder Account Balances			Other Expenses		OCI
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	(3	)	$	—		$	—		$	339		$	1		$	—	N/A
Hedged items	4			—			—			(369		)	—			—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	(55		)	24			—			—			—			—		N/A
Hedged items	56			(23		)	—			—			—			—		N/A
Amount excluded from the assessment of hedge effectiveness	—			(72		)	—			—			—			—		N/A
Subtotal	2			(71		)	—			(30		)	1			—		N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A			N/A			N/A			N/A			N/A		$	622
Amount of gains (losses) reclassified from AOCI into income	23			4			—			—			—			2		(29		)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A			N/A			N/A			N/A			N/A		(278		)
Amount of gains (losses) reclassified from AOCI into income	(4		)	240			—			—			—			2		(238		)
Foreign currency transaction gains (losses) on hedged items	—			(236		)	—			—			—			—		—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A			N/A			N/A			N/A			N/A			N/A		6
Amount of gains (losses) reclassified from AOCI into income	1			—			—			—			—			—		(1		)
Subtotal	20			8			—			—			—			4		82
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A			N/A			N/A			N/A			N/A			N/A		(32		)
Non-derivative hedging instruments	N/A			N/A			N/A			N/A			N/A			N/A		(4		)
Subtotal	N/A			N/A			N/A			N/A			N/A			N/A		(36		)
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	(3		)	—			1,263			39			—			—		N/A
Foreign currency exchange rate derivatives (1)	—			—			(346		)	2			—			—		N/A
Credit derivatives — purchased (1)	—			—			(38		)	—			—			—		N/A
Credit derivatives — written (1)	—			—			248			—			—			—		N/A
Equity derivatives (1)	—			—			(1,339		)	(205		)	—			—		N/A
Foreign currency transaction gains (losses) on hedged items	—			—			55			—			—			—		N/A
Subtotal	(3		)	—			(157		)	(164		)	—			—		N/A
Earned income on derivatives	237			—			513			138			(147		)	—		—
Embedded derivatives (2)	N/A			N/A			272			—			N/A			N/A		N/A
Total	$	256		$	(63	)	$	628		$	(56	)	$	(146	)	$	4	$	46

Net derivatives gains (losses) recognized on fair value derivatives and the related hedged items

The following table presents the balance sheet classification, carrying amount and cumulative fair value hedging adjustments for items designated and qualifying as hedged items in fair value hedges:

	December 31, 2019
Balance Sheet Line Item	Carrying Amount  of the Hedged Assets (Liabilities)			Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of Hedged Assets (Liabilities) (1)
	(In millions)
Fixed maturity securities AFS	$	2,736		$	(1	)
Mortgage loans	$	1,159		$	2
Future policy benefits	$	(4,475	)	$	(908	)

__________________

(1)

Includes ($1) million of hedging adjustments on discontinued hedging relationships.

Schedule of estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps

The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of written credit default swaps at:

	December 31,
	2019					2018
Rating Agency Designation of Referenced Credit Obligations (1)	Estimated Fair Value of Credit Default Swaps		Maximum Amount of Future Payments under Credit Default Swaps		Weighted Average Years to Maturity (2)	Estimated Fair Value of Credit Default Swaps		Maximum Amount of Future Payments under Credit Default Swaps		Weighted Average Years to Maturity (2)
	(Dollars in millions)
Aaa/Aa/A
Single name credit default swaps (3)	$	4	$	298	1.7	$	4	$	354	1.7
Credit default swaps referencing indices	35		2,175		2.2	28		2,154		2.5
Subtotal	39		2,473		2.2	32		2,508		2.4
Baa
Single name credit default swaps (3)	3		216		1.5	3		482		1.5
Credit default swaps referencing indices	203		8,539		5.0	40		8,056		5.0
Subtotal	206		8,755		4.9	43		8,538		4.8
Ba
Single name credit default swaps (3)	—		9		5.0	—		15		2.0
Credit default swaps referencing indices	—		—		—	—		—		—
Subtotal	—		9		5.0	—		15		2.0
B
Single name credit default swaps (3)	—		10		0.5	—		—		—
Credit default swaps referencing indices	26		273		5.0	7		330		5.0
Subtotal	26		283		4.8	7		330		5.0
Total	$	271	$	11,520	4.3	$	82	$	11,391	4.3

__________________

(1) The rating agency designations are based on availability and the midpoint of the applicable ratings among Moody’s Investors Service (“Moody’s”), S&P and Fitch Ratings. If no rating is available from a rating agency, then an internally developed rating is used.

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

(3)

Single name credit default swaps may be referenced to the credit of corporations, foreign governments, or

Estimated Fair Value of Derivative Assets and Liabilities after Master Netting Agreements and Cash Collateral

The estimated fair values of the Company’s net derivative assets and net derivative liabilities after the application of master netting agreements and collateral were as follows at:

	December 31,
	2019						2018
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement	Assets			Liabilities			Assets			Liabilities
	(In millions)
Gross estimated fair value of derivatives:
OTC-bilateral (1)	$	9,574		$	3,624		$	8,805		$	3,758
OTC-cleared (1)	606			81			245			33
Exchange-traded	15			11			18			80
Total gross estimated fair value of derivatives presented on the consolidated balance sheets (1)	10,195			3,716			9,068			3,871
Gross amounts not offset on the consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(2,664		)	(2,664		)	(2,570		)	(2,570		)
OTC-cleared	(38		)	(38		)	(25		)	(25		)
Exchange-traded	(2		)	(2		)	(1		)	(1		)
Cash collateral: (3), (4)
OTC-bilateral	(5,317		)	—			(4,709		)	—
OTC-cleared	(560		)	(4		)	(145		)	—
Exchange-traded	—			(5		)	—			(57		)
Securities collateral: (5)
OTC-bilateral	(1,521		)	(935		)	(1,266		)	(1,134		)
OTC-cleared	—			(39		)	—			(8		)
Exchange-traded	—			(4		)	—			(7		)
Net amount after application of master netting agreements and collateral	$	93		$	25		$	352		$	69

__________________

(1) At December 31, 2019 and 2018, derivative assets included income or (expense) accruals reported in accrued investment income or in other liabilities of $111 million and $99 million, respectively, and derivative liabilities included (income) or expense accruals reported in accrued investment income or in other liabilities of ($21) million and ($59) million, respectively.

(2) Estimated fair value of derivatives is limited to the amount that is subject to set-off and includes income or expense accruals.

(3) Cash collateral received by the Company for OTC-bilateral and OTC-cleared derivatives is included in cash and cash equivalents, short-term investments or in fixed maturity securities AFS, and the obligation to return it is included in payables for collateral under securities loaned and other transactions on the balance sheet.

(4) The receivable for the return of cash collateral provided by the Company is inclusive of initial margin on exchange-traded and OTC-cleared derivatives and is included in premiums, reinsurance and other receivables on the balance sheet. The amount of cash collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements. At December 31, 2019 and 2018, the Company received excess cash collateral of $389 million and $135 million, respectively, and provided excess cash collateral of $266 million and $226 million, respectively, which is not included in the table above due to the foregoing limitation.

(5)

Securities collateral received by the Company is held in separate custodial accounts and is not recorded on the balance sheet. Subject to certain constraints, the Company is permitted by contract to sell or re-pledge this collateral, but at December 31, 2019, none of the collateral had been sold or re-pledged. Securities collateral pledged by the Company is reported in fixed maturity securities AFS on the balance sheet. Subject to certain constraints, the counterparties are permitted by contract to sell or re-pledge this collateral. The amount of securities collateral offset in the table above is limited to the net estimated fair value of derivatives after application of netting agreements and cash collateral. At December 31, 2019 and 2018, the Company received excess securities collateral with an estimated fair value of $156 million and $70 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At December 31, 2019 and 2018, the Company provided excess securities collateral with an estimated fair value of $189 million and $212 million, respectively, for its OTC-bilateral derivatives, $1.0 billion and $601 million, respectively, for its OTC-cleared derivatives, and $143 million and $90 million, respectively, for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.

Derivative Instruments, Gain (Loss) [Line Items]

Schedule of Derivative Instruments

	December 31,
	2019						2018
	Derivatives Subject to Credit-Contingent Provisions		Derivatives Not Subject to Credit-Contingent Provisions		Total		Derivatives Subject to Credit-Contingent Provisions		Derivatives Not Subject to Credit-Contingent Provisions		Total
	(In millions)
Estimated Fair Value of Derivatives in a Net Liability Position (1)	$	874	$	85	$	959	$	1,148	$	40	$	1,188
Estimated Fair Value of Collateral Provided:
Fixed maturity securities AFS	$	983	$	80	$	1,063	$	1,218	$	9	$	1,227
Cash	$	—	$	—	$	—	$	6	$	—	$	6

__________________

(1)

After taking into consideration the existence of netting agreements.

Embedded Derivative Financial Instruments [Member]

Derivative Instruments, Gain (Loss) [Line Items]

Schedule of Derivative Instruments

The following table presents the estimated fair value and balance sheet location of the Company’s embedded derivatives that have been separated from their host contracts at:

		December 31,
	Balance Sheet Location	2019		2018
		(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefits	Premiums, reinsurance and other receivables	$	60	$	71
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefits	Policyholder account balances	$	312	$	298
Assumed guaranteed minimum benefits	Policyholder account balances	312		495
Funds withheld on ceded reinsurance	Other liabilities	36		(41		)
Fixed annuities with equity indexed returns	Policyholder account balances	130		58
Other guarantees	Policyholder account balances	12		—
Embedded derivatives within liability host contracts		$	802	$	810