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Derivatives (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Primary Risks Managed by Derivatives
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:
March 31, 2022December 31, 2021
Primary Underlying Risk ExposureGross
Notional
Amount		Estimated Fair ValueGross
Notional
Amount		Estimated Fair Value
AssetsLiabilitiesAssetsLiabilities
(In millions)
Derivatives Designated as Hedging Instruments:
Fair value hedges:
Interest rate swapsInterest rate$4,347 $1,875 $124 $3,550 $2,164 $6 
Foreign currency swapsForeign currency exchange rate740 25 6 801 11 23 
Foreign currency forwardsForeign currency exchange rate1,536 1 93 1,636 — 58 
Subtotal6,623 1,901 223 5,987 2,175 87 
Cash flow hedges:
Interest rate swapsInterest rate3,778 26 — 4,117 6 1 
Interest rate forwardsInterest rate7,425 6 460 6,889 89 119 
Foreign currency swapsForeign currency exchange rate42,334 1,852 1,339 41,095 1,600 1,557 
Subtotal53,537 1,884 1,799 52,101 1,695 1,677 
Net investment in a foreign operation (“NIFO”) hedges:
Foreign currency forwardsForeign currency exchange rate292 7 2 — — — 
Currency optionsForeign currency exchange rate3,000 177 — 3,000 139 — 
Subtotal3,292 184 2 3,000 139 — 
Total qualifying hedges63,452 3,969 2,024 61,088 4,009 1,764 
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swapsInterest rate34,867 2,850 502 38,860 3,644 115 
Interest rate floorsInterest rate7,451 66 — 7,701 145 — 
Interest rate capsInterest rate66,410 567 — 65,559 124 — 
Interest rate futuresInterest rate1,225 — 6 1,615 4 — 
Interest rate optionsInterest rate13,054 490 16 11,754 493 10 
Interest rate forwardsInterest rate439 — 63 374 — 26 
Interest rate total return swapsInterest rate1,048 — 118 1,048 9 4 
Synthetic GICsInterest rate43,485 — — 40,121 — — 
Foreign currency swapsForeign currency exchange rate12,893 866 394 12,787 768 614 
Foreign currency forwardsForeign currency exchange rate17,537 117 913 16,230 36 666 
Currency futuresForeign currency exchange rate828 7 — 839 — 2 
Currency optionsForeign currency exchange rate450 2 — 900 — — 
Credit default swaps — purchasedCredit3,064 50 106 3,042 13 113 
Credit default swaps — writtenCredit10,518 146 17 8,626 177 12 
Equity futuresEquity market3,944 32 4 4,204 12 5 
Equity index optionsEquity market28,067 945 444 29,743 1,004 458 
Equity variance swapsEquity market699 18 13 699 17 13 
Equity total return swapsEquity market3,060 23 11 3,025 11 50 
Total non-designated or nonqualifying derivatives249,039 6,179 2,607 247,127 6,457 2,088 
Total$312,491 $10,148 $4,631 $308,215 $10,466 $3,852 
The Effects of Derivatives on the Interim Condensed Consolidated Statements of Operations and Comprehensive Income (Loss) The following table presents the interim condensed consolidated financial statement location and amount of gain (loss) recognized on fair value, cash flow, NIFO, nonqualifying hedging relationships and embedded derivatives:
Three Months Ended March 31, 2022
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)
$4 $— $— $(452)$— $— N/A
Hedged items
(4)— — 435 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
32 (81)— — — — N/A
Hedged items
(30)80 — — — — N/A
Amount excluded from the assessment of hedge effectiveness
— 33 — — — — N/A
Subtotal
2 32 — (17)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A$(764)
Amount of gains (losses) reclassified from AOCI into income
15 18 — — — 1 (34)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A452 
Amount of gains (losses) reclassified from AOCI into income
2 (148)— — — — 146 
Foreign currency transaction gains (losses) on hedged items
— 146 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A— 
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
17 16 — — — 1 (200)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A43 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A19 
Subtotal
N/AN/AN/AN/AN/AN/A62 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
1 — (1,337)(29)— — N/A
Foreign currency exchange rate derivatives (1)
1 — (74)(1)— — N/A
Credit derivatives — purchased (1)
— — 46 — — — N/A
Credit derivatives — written (1)
— — (50)— — — N/A
Equity derivatives (1)
9 — 161 82 — — N/A
Foreign currency transaction gains (losses) on hedged items
— — 118 — — — N/A
Subtotal
11 — (1,136)52 — — N/A
Earned income on derivatives
83 — 235 52 (35)— — 
Embedded derivatives (2)
N/AN/A42 — N/AN/AN/A
Total
$113 $48 $(859)$87 $(35)$1 $(138)
Three Months Ended March 31, 2021
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 $— $— $(602)$— $— N/A
Hedged items
(3)— — 573 — — N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)
13 (128)— — — — N/A
Hedged items
(12)123 — — — — N/A
Amount excluded from the assessment of hedge effectiveness
— (2)— — — — N/A
Subtotal
1 (7)— (29)— — N/A
Gain (Loss) on Cash Flow Hedges:
Interest rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A$(1,221)
Amount of gains (losses) reclassified from AOCI into income
12 29 — — — 1 (42)
Foreign currency exchange rate derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(153)
Amount of gains (losses) reclassified from AOCI into income
3 (219)— — — — 216 
Foreign currency transaction gains (losses) on hedged items
— 211 — — — — — 
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI
N/AN/AN/AN/AN/AN/A(68)
Amount of gains (losses) reclassified from AOCI into income
— — — — — — — 
Subtotal
15 21 — — — 1 (1,268)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)N/AN/AN/AN/AN/AN/A29 
Non-derivative hedging instrumentsN/AN/AN/AN/AN/AN/A27 
Subtotal
N/AN/AN/AN/AN/AN/A56 
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)
2 — (2,250)(47)— — N/A
Foreign currency exchange rate derivatives (1)
— — (483)3 — — N/A
Credit derivatives — purchased (1)
— — 19 — — — N/A
Credit derivatives — written (1)
— — 5 — — — N/A
Equity derivatives (1)
(17)— (676)(104)— — N/A
Foreign currency transaction gains (losses) on hedged items
— — 225 — — — N/A
Subtotal
(15)— (3,160)(148)— — N/A
Earned income on derivatives
39 — 252 53 (39)— — 
Embedded derivatives (2)
N/AN/A673 — N/AN/AN/A
Total
$40 $14 $(2,235)$(124)$(39)$1 $(1,212)
__________________
(1)Excludes earned income on derivatives.
(2)The valuation of guaranteed minimum benefits includes a nonperformance risk adjustment. The amounts included in net derivative gains (losses) in connection with this adjustment were ($14) million and ($43) million for the three months ended March 31, 2022 and 2021, respectively.
Fair Value Hedges
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:
Balance Sheet Line ItemCarrying Amount
 of the Hedged
Assets/(Liabilities)		Cumulative Amount
of Fair Value Hedging Adjustments
Included in the Carrying Amount of Hedged
Assets/(Liabilities) (1)
March 31, 2022December 31, 2021March 31, 2022December 31, 2021
(In millions)
Fixed maturity securities AFS$1,941 $2,164 $— $(1)
Mortgage loans$530 $634 $(3)$3 
Future policy benefits$(4,423)$(4,735)$(434)$(877)
__________________
(1)Includes ($154) million and ($161) million of hedging adjustments on discontinued hedging relationships at March 31, 2022 and December 31, 2021, respectively.
For the Company’s foreign currency forwards, the change in the estimated fair value of the derivative related to the changes in the difference between the spot price and the forward price is excluded from the assessment of hedge effectiveness. The Company has elected to record changes in estimated fair value of excluded components in earnings. For all other derivatives, all components of each derivative’s gain or loss were included in the assessment of hedge effectiveness.
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:
March 31, 2022December 31, 2021
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)
$3 $159 2.9$4 $159 3.1
Credit default swaps referencing indices
22 1,918 3.217 1,191 2.5
Subtotal
25 2,077 3.221 1,350 2.6
Baa
Single name credit default swaps (3)
2 146 1.92 101 3.4
Credit default swaps referencing indices
107 8,148 5.7146 6,988 5.0
Subtotal
109 8,294 5.6148 7,089 5.0
Ba
Single name credit default swaps (3)
— 17 3.91 82 1.2
Credit default swaps referencing indices
1 45 4.7(1)20 5.0
Subtotal
1 62 4.5— 102 2.0
B
Credit default swaps referencing indices
3 55 3.75 55 4.0
Subtotal
3 55 3.75 55 4.0
Caa3
Credit default swaps referencing indices
(9)30 4.2(9)30 4.5
Subtotal
(9)30 4.2(9)30 4.5
Total
$129 $10,518 5.1$165 $8,626 4.6
_________________
(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 Global Ratings (“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 municipals.
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:
March 31, 2022December 31, 2021
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement AssetsLiabilitiesAssetsLiabilities
(In millions)
Gross estimated fair value of derivatives:
OTC-bilateral (1)
$9,920 $4,546 $10,132 $3,798 
OTC-cleared (1)
342 77 448 24 
Exchange-traded
39 10 16 7 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,301 4,633 10,596 3,829 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,909)(2,909)(2,204)(2,204)
OTC-cleared
(47)(47)(6)(6)
Exchange-traded
(3)(3)(2)(2)
Cash collateral: (3), (4)
OTC-bilateral
(5,726)— (6,948)— 
OTC-cleared
(167)(24)(421)(13)
Exchange-traded
— (6)— (3)
Securities collateral: (5)
OTC-bilateral
(1,075)(1,628)(891)(1,473)
OTC-cleared
— (6)— (5)
Exchange-traded
— (1)— (2)
Net amount after application of master netting agreements and collateral
$374 $9 $124 $121 
__________________
(1)At March 31, 2022 and December 31, 2021, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $153 million and $130 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $2 million and ($23) 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, where the centralized clearinghouse treats variation margin as collateral, 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. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives.
(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 March 31, 2022 and December 31, 2021, the Company received excess cash collateral of $185 million and $172 million, respectively, and provided excess cash collateral of $111 million and $126 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 March 31, 2022, 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 March 31, 2022 and December 31, 2021, the Company received excess securities collateral with an estimated fair value of $60 million and $160 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2022 and December 31, 2021, the Company provided excess securities collateral with an estimated fair value of $911 million and $243 million, respectively, for its OTC-bilateral derivatives, $1.1 billion and $1.2 billion, respectively, for its OTC-cleared derivatives. At both March 31, 2022 and December 31, 2021, the Company provided excess securities collateral with an estimated fair value of $185 million for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
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:
March 31, 2022December 31, 2021
Derivatives Subject to a Master Netting Arrangement or a Similar Arrangement AssetsLiabilitiesAssetsLiabilities
(In millions)
Gross estimated fair value of derivatives:
OTC-bilateral (1)
$9,920 $4,546 $10,132 $3,798 
OTC-cleared (1)
342 77 448 24 
Exchange-traded
39 10 16 7 
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)
10,301 4,633 10,596 3,829 
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral
(2,909)(2,909)(2,204)(2,204)
OTC-cleared
(47)(47)(6)(6)
Exchange-traded
(3)(3)(2)(2)
Cash collateral: (3), (4)
OTC-bilateral
(5,726)— (6,948)— 
OTC-cleared
(167)(24)(421)(13)
Exchange-traded
— (6)— (3)
Securities collateral: (5)
OTC-bilateral
(1,075)(1,628)(891)(1,473)
OTC-cleared
— (6)— (5)
Exchange-traded
— (1)— (2)
Net amount after application of master netting agreements and collateral
$374 $9 $124 $121 
__________________
(1)At March 31, 2022 and December 31, 2021, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $153 million and $130 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $2 million and ($23) 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, where the centralized clearinghouse treats variation margin as collateral, 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. For certain collateral agreements, cash collateral is pledged to the Company as initial margin on its OTC-bilateral derivatives.
(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 March 31, 2022 and December 31, 2021, the Company received excess cash collateral of $185 million and $172 million, respectively, and provided excess cash collateral of $111 million and $126 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 March 31, 2022, 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 March 31, 2022 and December 31, 2021, the Company received excess securities collateral with an estimated fair value of $60 million and $160 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At March 31, 2022 and December 31, 2021, the Company provided excess securities collateral with an estimated fair value of $911 million and $243 million, respectively, for its OTC-bilateral derivatives, $1.1 billion and $1.2 billion, respectively, for its OTC-cleared derivatives. At both March 31, 2022 and December 31, 2021, the Company provided excess securities collateral with an estimated fair value of $185 million for its exchange-traded derivatives, which are not included in the table above due to the foregoing limitation.
Estimated Fair Value of OTC-bilateral derivatives after considering effect of netting agreements
The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were in a net liability position after considering the effect of netting agreements, together with the estimated fair value and balance sheet location of the collateral pledged.
March 31, 2022December 31, 2021
Derivatives
Subject to
Credit-
Contingent
Provisions
Derivatives
Not Subject
to Credit-
Contingent
Provisions
TotalDerivatives
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)$1,624 $13 $1,637 $1,386 $209 $1,595 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$2,057 $12 $2,069 $1,370 $221 $1,591 
__________________
(1)After taking into consideration the existence of netting agreements.
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:
Balance Sheet LocationMarch 31, 2022December 31, 2021
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$37 $38 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$220 $324 
Assumed guaranteed minimum benefitsPolicyholder account balances98 98 
Funds withheld and guarantees on reinsurance
Other liabilities142 57 
Fixed annuities with equity indexed returnsPolicyholder account balances154 165 
Other guaranteesPolicyholder account balances1 5 
Embedded derivatives within liability host contracts
$615 $649 
Embedded Derivatives [Table Text Block]
The following table presents the estimated fair value of the Company’s OTC-bilateral derivatives that were in a net liability position after considering the effect of netting agreements, together with the estimated fair value and balance sheet location of the collateral pledged.
March 31, 2022December 31, 2021
Derivatives
Subject to
Credit-
Contingent
Provisions
Derivatives
Not Subject
to Credit-
Contingent
Provisions
TotalDerivatives
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)$1,624 $13 $1,637 $1,386 $209 $1,595 
Estimated fair value of collateral provided:
Fixed maturity securities AFS
$2,057 $12 $2,069 $1,370 $221 $1,591 
__________________
(1)After taking into consideration the existence of netting agreements.
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:
Balance Sheet LocationMarch 31, 2022December 31, 2021
(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefitsPremiums, reinsurance and other receivables$37 $38 
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefitsPolicyholder account balances$220 $324 
Assumed guaranteed minimum benefitsPolicyholder account balances98 98 
Funds withheld and guarantees on reinsurance
Other liabilities142 57 
Fixed annuities with equity indexed returnsPolicyholder account balances154 165 
Other guaranteesPolicyholder account balances1 5 
Embedded derivatives within liability host contracts
$615 $649