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Derivatives (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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:


		September 30, 2022						December 31, 2021
	Primary Underlying Risk Exposure	Gross Notional Amount		Estimated Fair Value				Gross Notional Amount		Estimated Fair Value
				Assets		Liabilities				Assets		Liabilities
		(In millions)
Derivatives Designated as Hedging Instruments:
Fair value hedges:
Interest rate swaps	Interest rate	$	4,222	$	1,435	$	447	$	3,550	$	2,164	$	6
Foreign currency swaps	Foreign currency exchange rate	630		133		—		801		11		23
Foreign currency forwards	Foreign currency exchange rate	1,536		—		180		1,636		—		58
Subtotal		6,388		1,568		627		5,987		2,175		87
Cash flow hedges:
Interest rate swaps	Interest rate	4,107		6		43		4,117		6		1
Interest rate forwards	Interest rate	8,241		—		1,221		6,889		89		119
Foreign currency swaps	Foreign currency exchange rate	42,518		5,156		2,545		41,095		1,600		1,557
Subtotal		54,866		5,162		3,809		52,101		1,695		1,677
Net investment in a foreign operation (“NIFO”) hedges:
Foreign currency forwards	Foreign currency exchange rate	245		33		—		—		—		—
Currency options	Foreign currency exchange rate	3,000		338		—		3,000		139		—
Subtotal		3,245		371		—		3,000		139		—
Total qualifying hedges		64,499		7,101		4,436		61,088		4,009		1,764
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swaps	Interest rate	32,464		1,712		1,116		38,860		3,644		115
Interest rate floors	Interest rate	17,071		60		—		7,701		145		—
Interest rate caps	Interest rate	65,409		1,063		—		65,559		124		—
Interest rate futures	Interest rate	1,394		2		6		1,615		4		—
Interest rate options	Interest rate	23,885		641		45		11,754		493		10
Interest rate forwards	Interest rate	647		—		139		374		—		26
Interest rate total return swaps	Interest rate	1,048		—		99		1,048		9		4
Synthetic GICs	Interest rate	45,066		—		—		40,121		—		—
Foreign currency swaps	Foreign currency exchange rate	13,002		1,974		509		12,787		768		614
Foreign currency forwards	Foreign currency exchange rate	16,565		217		1,346		16,230		36		666
Currency futures	Foreign currency exchange rate	665		—		4		839		—		2
Currency options	Foreign currency exchange rate	—		—		—		900		—		—
Credit default swaps — purchased	Credit	2,993		32		79		3,042		13		113
Credit default swaps — written	Credit	13,059		78		89		8,626		177		12
Equity futures	Equity market	2,966		29		5		4,204		12		5
Equity index options	Equity market	23,431		1,076		299		29,743		1,004		458
Equity variance swaps	Equity market	692		18		13		699		17		13
Equity total return swaps	Equity market	2,985		190		—		3,025		11		50
Total non-designated or nonqualifying derivatives		263,342		7,092		3,749		247,127		6,457		2,088
Total		$	327,841	$	14,193	$	8,185	$	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 September 30, 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)	$	2	$	—	$	—	$	(299)	$	(16)	$	—	N/A
Hedged items	(1)		—		—		271		15		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	67		(97)		—		—		—		—		N/A
Hedged items	(68)		94		—		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		20		—		—		—		—		N/A
Subtotal	—		17		—		(28)		(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		$	(500)
Amount of gains (losses) reclassified from AOCI into income	15		(16)		—		—		—		1		—
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		1,475
Amount of gains (losses) reclassified from AOCI into income	1		(567)		—		—		—		—		566
Foreign currency transaction gains (losses) on hedged items	—		558		—		—		—		—		—
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	—		—		—		—		—		—		—
Subtotal	16		(25)		—		—		—		1		1,541
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		29
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		19
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		48
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	—		—		(649)		(40)		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(53)		(2)		—		—		N/A
Credit derivatives — purchased (1)	—		—		7		—		—		—		N/A
Credit derivatives — written (1)	—		—		1		—		—		—		N/A
Equity derivatives (1)	8		—		215		64		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		(19)		—		—		—		N/A
Subtotal	8		—		(498)		22		—		—		N/A
Earned income on derivatives	107		—		254		33		(41)		—		—
Embedded derivatives (2)	N/A		N/A		(236)		—		N/A		N/A		N/A
Total	$	131	$	(8)	$	(480)	$	27	$	(42)	$	1	$	1,589


	Three Months Ended September 30, 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)	$	1	$	—	$	—	$	(53)	$	—	$	—	N/A
Hedged items	(2)		—		—		48		—		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	28		(9)		—		—		—		—		N/A
Hedged items	(22)		9		—		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		(2)		—		—		—		—		N/A
Subtotal	5		(2)		—		(5)		—		—		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		$	24
Amount of gains (losses) reclassified from AOCI into income	14		6		—		—		—		1		(21)
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		398
Amount of gains (losses) reclassified from AOCI into income	2		(259)		—		—		—		—		257
Foreign currency transaction gains (losses) on hedged items	—		256		—		—		—		—		—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A		N/A		N/A		N/A		N/A		N/A		20
Amount of gains (losses) reclassified from AOCI into income	—		—		—		—		—		—		—
Subtotal	16		3		—		—		—		1		678
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		12
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		2
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		14
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	(1)		—		(379)		(12)		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(128)		(2)		—		—		N/A
Credit derivatives — purchased (1)	—		—		4		—		—		—		N/A
Credit derivatives — written (1)	—		—		(2)		—		—		—		N/A
Equity derivatives (1)	(1)		—		47		5		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		(65)		—		—		—		N/A
Subtotal	(2)		—		(523)		(9)		—		—		N/A
Earned income on derivatives	62		—		258		55		(43)		—		—
Embedded derivatives (2)	N/A		N/A		47		—		N/A		N/A		N/A
Total	$	81	$	1	$	(218)	$	41	$	(43)	$	1	$	692


	Nine Months Ended September 30, 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)	$	9	$	—	$	—	$	(1,159)	$	(26)	$	—	N/A
Hedged items	(9)		—		—		1,094		24		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	160		(348)		—		—		—		—		N/A
Hedged items	(159)		339		—		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		81		—		—		—		—		N/A
Subtotal	1		72		—		(65)		(2)		—		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		$	(2,167)
Amount of gains (losses) reclassified from AOCI into income	46		44		—		—		—		3		(93)
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		2,676
Amount of gains (losses) reclassified from AOCI into income	4		(1,405)		—		—		—		1		1,400
Foreign currency transaction gains (losses) on hedged items	—		1,386		—		—		—		—		—
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	—		—		—		—		—		—		—
Subtotal	50		25		—		—		—		4		1,816
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		240
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		75
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		315
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	3		—		(3,480)		(96)		—		—		N/A
Foreign currency exchange rate derivatives (1)	2		—		(791)		(4)		—		—		N/A
Credit derivatives — purchased (1)	—		—		99		—		—		—		N/A
Credit derivatives — written (1)	—		—		(244)		—		—		—		N/A
Equity derivatives (1)	53		—		966		333		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		275		—		—		—		N/A
Subtotal	58		—		(3,175)		233		—		—		N/A
Earned income on derivatives	330		—		738		131		(113)		—		—
Embedded derivatives (2)	N/A		N/A		(97)		—		N/A		N/A		N/A
Total	$	439	$	97	$	(2,534)	$	299	$	(115)	$	4	$	2,131


	Nine Months Ended September 30, 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)	$	4	$	—	$	—	$	(418)	$	—	$	—	N/A
Hedged items	(4)		—		—		379		—		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	40		(144)		—		—		—		—		N/A
Hedged items	(33)		139		—		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		(6)		—		—		—		—		N/A
Subtotal	7		(11)		—		(39)		—		—		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		$	(687)
Amount of gains (losses) reclassified from AOCI into income	41		54		—		—		—		2		(97)
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		567
Amount of gains (losses) reclassified from AOCI into income	6		(383)		—		—		—		1		376
Foreign currency transaction gains (losses) on hedged items	—		372		—		—		—		—		—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A		N/A		N/A		N/A		N/A		N/A		(52)
Amount of gains (losses) reclassified from AOCI into income	—		—		—		—		—		—		—
Subtotal	47		43		—		—		—		3		107
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		58
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		31
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		89
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	1		—		(1,993)		(51)		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(734)		1		—		—		N/A
Credit derivatives — purchased (1)	—		—		16		—		—		—		N/A
Credit derivatives — written (1)	—		—		33		—		—		—		N/A
Equity derivatives (1)	(33)		—		(992)		(202)		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		167		—		—		—		N/A
Subtotal	(32)		—		(3,503)		(252)		—		—		N/A
Earned income on derivatives	128		—		755		160		(120)		—		—
Embedded derivatives (2)	N/A		N/A		716		—		N/A		N/A		N/A
Total	$	150	$	32	$	(2,032)	$	(131)	$	(120)	$	3	$	196

__________________

(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 $39 million and $43 million for the three months and nine months ended September 30, 2022, respectively, and $3 million and ($48) million for the three months and nine months ended September 30, 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 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)
	September 30, 2022		December 31, 2021		September 30, 2022		December 31, 2021
	(In millions)
Fixed maturity securities AFS	$	1,607	$	2,164	$	1	$	(1)
Mortgage loans	$	286	$	634	$	(20)	$	3
Future policy benefits	$	(3,681)	$	(4,735)	$	237	$	(877)
Policyholder account balances	$	(1,074)	$	—	$	24	$	—

__________________

(1)Includes ($142) million and ($161) million of hedging adjustments on discontinued hedging relationships at September 30, 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:


	September 30, 2022					December 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)	$	2	$	158	2.4	$	4	$	159	3.1
Credit default swaps referencing indices	51		4,404		3.5	17		1,191		2.5
Subtotal	53		4,562		3.5	21		1,350		2.6
Baa
Single name credit default swaps (3)	1		81		2.7	2		101		3.4
Credit default swaps referencing indices	(55)		8,207		5.3	146		6,988		5.0
Subtotal	(54)		8,288		5.2	148		7,089		5.0
Ba
Single name credit default swaps (3)	1		62		1.6	1		82		1.2
Credit default swaps referencing indices	1		25		4.2	(1)		20		5.0
Subtotal	2		87		2.4	—		102		2.0
B

Credit default swaps referencing indices	—		92		3.8	5		55		4.0
Subtotal	—		92		3.8	5		55		4.0
Caa3

Credit default swaps referencing indices	(12)		30		3.7	(9)		30		4.5
Subtotal	(12)		30		3.7	(9)		30		4.5
Total	$	(11)	$	13,059	4.6	$	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:


	September 30, 2022				December 31, 2021
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)	$	14,315	$	7,949	$	10,132	$	3,798
OTC-cleared (1)	34		255		448		24
Exchange-traded	31		15		16		7
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)	14,380		8,219		10,596		3,829
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(5,429)		(5,429)		(2,204)		(2,204)
OTC-cleared	(11)		(11)		(6)		(6)
Exchange-traded	(4)		(4)		(2)		(2)
Cash collateral: (3), (4)
OTC-bilateral	(7,344)		—		(6,948)		—
OTC-cleared	—		(169)		(421)		(13)
Exchange-traded	—		(6)		—		(3)
Securities collateral: (5)
OTC-bilateral	(1,426)		(2,408)		(891)		(1,473)
OTC-cleared	—		(75)		—		(5)
Exchange-traded	—		(5)		—		(2)
Net amount after application of master netting agreements and collateral	$	166	$	112	$	124	$	121

__________________

(1)At September 30, 2022 and December 31, 2021, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $187 million and $130 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $34 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 September 30, 2022 and December 31, 2021, the Company received excess cash collateral of $950 million and $172 million, respectively, and provided excess cash collateral of $127 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 September 30, 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 September 30, 2022 and December 31, 2021, the Company received excess securities collateral with an estimated fair value of $283 million and $160 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2022 and December 31, 2021, the Company provided excess securities collateral with an estimated fair value of $1.4 billion and $243 million, respectively, for its OTC-bilateral derivatives, $942 million and $1.2 billion, respectively, for its OTC-cleared derivatives, and $136 million and $185 million, respectively, 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:


	September 30, 2022				December 31, 2021
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)	$	14,315	$	7,949	$	10,132	$	3,798
OTC-cleared (1)	34		255		448		24
Exchange-traded	31		15		16		7
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)	14,380		8,219		10,596		3,829
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(5,429)		(5,429)		(2,204)		(2,204)
OTC-cleared	(11)		(11)		(6)		(6)
Exchange-traded	(4)		(4)		(2)		(2)
Cash collateral: (3), (4)
OTC-bilateral	(7,344)		—		(6,948)		—
OTC-cleared	—		(169)		(421)		(13)
Exchange-traded	—		(6)		—		(3)
Securities collateral: (5)
OTC-bilateral	(1,426)		(2,408)		(891)		(1,473)
OTC-cleared	—		(75)		—		(5)
Exchange-traded	—		(5)		—		(2)
Net amount after application of master netting agreements and collateral	$	166	$	112	$	124	$	121

__________________

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

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.


	September 30, 2022						December 31, 2021
	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)	$	2,360	$	160	$	2,520	$	1,386	$	209	$	1,595
Estimated fair value of collateral provided:
Fixed maturity securities AFS	$	2,626	$	124	$	2,750	$	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 Location	September 30, 2022		December 31, 2021
		(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefits	Premiums, reinsurance and other receivables	$	27	$	38
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefits	Policyholder account balances	$	578	$	324
Assumed guaranteed minimum benefits	Policyholder account balances	99		98
Funds withheld and guarantees on reinsurance	Other liabilities	(36)		57
Fixed annuities with equity indexed returns	Policyholder account balances	126		165
Other guarantees	Policyholder account balances	—		5
Embedded derivatives within liability host contracts		$	767	$	649

Embedded Derivatives [Table Text Block]


	September 30, 2022						December 31, 2021
	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)	$	2,360	$	160	$	2,520	$	1,386	$	209	$	1,595
Estimated fair value of collateral provided:
Fixed maturity securities AFS	$	2,626	$	124	$	2,750	$	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 Location	September 30, 2022		December 31, 2021
		(In millions)
Embedded derivatives within asset host contracts:
Ceded guaranteed minimum benefits	Premiums, reinsurance and other receivables	$	27	$	38
Embedded derivatives within liability host contracts:
Direct guaranteed minimum benefits	Policyholder account balances	$	578	$	324
Assumed guaranteed minimum benefits	Policyholder account balances	99		98
Funds withheld and guarantees on reinsurance	Other liabilities	(36)		57
Fixed annuities with equity indexed returns	Policyholder account balances	126		165
Other guarantees	Policyholder account balances	—		5
Embedded derivatives within liability host contracts		$	767	$	649

- Definition

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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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details