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Derivatives (Tables)

9 Months Ended

Sep. 30, 2023

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, 2023						December 31, 2022
	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	$	4,551	$	1,107	$	655	$	4,143	$	1,353	$	467
Foreign currency swaps	Foreign currency exchange rate	1,496		70		15		602		82		—
Foreign currency forwards	Foreign currency exchange rate	586		—		102		1,336		10		89
Subtotal		6,633		1,177		772		6,081		1,445		556
Cash flow hedges:
Interest rate swaps	Interest rate	4,306		6		356		4,107		8		262
Interest rate forwards	Interest rate	6,261		—		1,143		7,447		1		1,354
Foreign currency swaps	Foreign currency exchange rate	42,615		2,929		1,514		42,608		3,554		1,699
Subtotal		53,182		2,935		3,013		54,162		3,563		3,315
NIFO hedges:
Foreign currency forwards	Foreign currency exchange rate	689		66		—		680		—		38
Currency options	Foreign currency exchange rate	3,000		416		—		3,000		236		—
Subtotal		3,689		482		—		3,680		236		38
Total qualifying hedges		63,504		4,594		3,785		63,923		5,244		3,909
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swaps	Interest rate	28,544		1,374		1,376		31,661		1,660		1,354
Interest rate floors	Interest rate	19,645		30		—		25,270		125		—
Interest rate caps	Interest rate	42,165		680		—		48,290		950		—
Interest rate futures	Interest rate	903		3		1		1,453		2		1
Interest rate options	Interest rate	42,910		418		272		44,391		473		88
Interest rate forwards	Interest rate	1,878		—		121		381		—		32

Synthetic GICs	Interest rate	49,003		—		—		46,316		—		—
Foreign currency swaps	Foreign currency exchange rate	11,992		1,409		370		12,815		1,454		383
Foreign currency forwards	Foreign currency exchange rate	15,648		105		1,136		16,195		544		661
Currency futures	Foreign currency exchange rate	311		—		—		333		8		—
Currency options	Foreign currency exchange rate	15		1		—		—		—		—
Credit default swaps — purchased	Credit	2,890		10		73		2,925		18		79
Credit default swaps — written	Credit	13,012		167		21		11,512		133		28
Equity futures	Equity market	2,648		9		4		2,988		8		4
Equity index options	Equity market	21,165		542		246		16,701		765		323
Equity variance swaps	Equity market	141		4		1		163		4		1
Equity total return swaps	Equity market	1,932		120		—		2,799		23		112
Total non-designated or nonqualifying derivatives		254,802		4,872		3,621		264,193		6,167		3,066
Total		$	318,306	$	9,466	$	7,406	$	328,116	$	11,411	$	6,975

Included in the table above, the Company uses various over-the-counter (“OTC”) and exchange traded derivatives to hedge variable annuity guarantees. The table below presents the gross notional amount, estimated fair value and primary underlying risk exposure of the derivatives hedging variable annuity guarantees accounted for as MRBs:


	September 30, 2023						December 31, 2022
Primary Underlying Risk Exposure	Gross Notional Amount		Estimated Fair Value				Gross Notional Amount		Estimated Fair Value
			Assets		Liabilities				Assets		Liabilities
	(In millions)
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate	$	7,912	$	9	$	902	$	9,098	$	41	$	764
Foreign currency exchange rate	770		3		23		887		26		2
Equity market	6,447		226		167		8,829		233		381
	$	15,129	$	238	$	1,092	$	18,814	$	300	$	1,147

The change in estimated fair values and earned income of derivatives hedging variable annuity guarantees, recorded in net derivative gains (losses), were ($740) million and ($318) million for the nine months ended September 30, 2023 and September 30, 2022, respectively.

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, 2023
	Net Investment Income		Net Investment Gains (Losses)		Net Derivative Gains (Losses)		Policyholder Benefits and Claims		Interest Credited to Policyholder Account Balances		Other Expenses		Other Comprehensive Income (Loss)
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	(2)	$	—	$	—	$	(230)	$	(60)	$	—	N/A
Hedged items	3		—		—		223		59		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	12		(19)		—		—		(27)		—		N/A
Hedged items	(12)		14		—		—		26		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		(2)		—		—		—		—		N/A
Subtotal	1		(7)		—		(7)		(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		$	(711)
Amount of gains (losses) reclassified from AOCI into income	11		17		—		—		—		—		(28)
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		(293)
Amount of gains (losses) reclassified from AOCI into income	1		(301)		—		—		—		1		299
Foreign currency transaction gains (losses) on hedged items	—		288		—		—		—		—		—
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	12		4		—		—		—		1		(733)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		5		N/A		N/A		N/A		N/A		74
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		10
Subtotal	N/A		5		N/A		N/A		N/A		N/A		84
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	—		—		(1,105)		—		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(556)		—		—		—		N/A
Credit derivatives — purchased (1)	—		—		30		—		—		—		N/A
Credit derivatives — written (1)	—		—		(40)		—		—		—		N/A
Equity derivatives (1)	8		—		120		—		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		13		—		—		—		N/A
Subtotal	8		—		(1,538)		—		—		—		N/A
Earned income on derivatives	82		—		230		(3)		(43)		—		—
Synthetic GICs	N/A		N/A		20		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		86		—		N/A		N/A		N/A
Total	$	103	$	2	$	(1,202)	$	(10)	$	(45)	$	1	$	(649)


	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		Other Comprehensive Income (Loss)
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	2	$	—	$	—	$	(241)	$	(74)	$	—	N/A
Hedged items	(1)		—		—		216		70		—		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		—		(25)		(4)		—		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)	—		—		(689)		—		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(55)		—		—		—		N/A
Credit derivatives — purchased (1)	—		—		7		—		—		—		N/A
Credit derivatives — written (1)	—		—		1		—		—		—		N/A
Equity derivatives (1)	8		—		279		—		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		(19)		—		—		—		N/A
Subtotal	8		—		(476)		—		—		—		N/A
Earned income on derivatives	107		—		258		24		(37)		—		—
Synthetic GICs	N/A		N/A		—		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		(8)		—		N/A		N/A		N/A
Total	$	131	$	(8)	$	(226)	$	(1)	$	(41)	$	1	$	1,589


	Nine Months Ended September 30, 2023
	Net Investment Income		Net Investment Gains (Losses)		Net Derivative Gains (Losses)		Policyholder Benefits and Claims		Interest Credited to Policyholder Account Balances		Other Expenses		Other Comprehensive Income (Loss)
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	(3)	$	—	$	—	$	(239)	$	(59)	$	—	N/A
Hedged items	3		—		—		218		57		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	(10)		(73)		—		—		(14)		—		N/A
Hedged items	9		56		—		—		15		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		(2)		—		—		—		—		N/A
Subtotal	(1)		(19)		—		(21)		(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		$	(369)
Amount of gains (losses) reclassified from AOCI into income	38		77		—		—		—		—		(115)
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		(715)
Amount of gains (losses) reclassified from AOCI into income	3		10		—		—		—		2		(15)
Foreign currency transaction gains (losses) on hedged items	—		(2)		—		—		—		—		—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A		N/A		N/A		N/A		N/A		N/A		(1)
Amount of gains (losses) reclassified from AOCI into income	—		—		—		—		—		—		—
Subtotal	41		85		—		—		—		2		(1,215)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		5		N/A		N/A		N/A		N/A		280
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		37
Subtotal	N/A		5		N/A		N/A		N/A		N/A		317
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	—		—		(1,381)		—		—		—		N/A
Foreign currency exchange rate derivatives (1)	—		—		(1,518)		—		—		—		N/A
Credit derivatives — purchased (1)	—		—		(1)		—		—		—		N/A
Credit derivatives — written (1)	—		—		48		—		—		—		N/A
Equity derivatives (1)	(34)		—		(801)		—		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		455		—		—		—		N/A
Subtotal	(34)		—		(3,198)		—		—		—		N/A
Earned income on derivatives	157		—		802		5		(111)		—		—
Synthetic GICs	N/A		N/A		56		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		51		—		N/A		N/A		N/A
Total	$	163	$	71	$	(2,289)	$	(16)	$	(112)	$	2	$	(898)


	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		Other Comprehensive Income (Loss)
	(In millions)
Gain (Loss) on Fair Value Hedges:
Interest rate derivatives:
Derivatives designated as hedging instruments (1)	$	9	$	—	$	—	$	(937)	$	(248)	$	—	N/A
Hedged items	(9)		—		—		879		239		—		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		—		(58)		(9)		—		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		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		—		(3,576)		—		—		—		N/A
Foreign currency exchange rate derivatives (1)	2		—		(795)		—		—		—		N/A
Credit derivatives — purchased (1)	—		—		99		—		—		—		N/A
Credit derivatives — written (1)	—		—		(244)		—		—		—		N/A
Equity derivatives (1)	53		—		1,299		—		—		—		N/A
Foreign currency transaction gains (losses) on hedged items	—		—		275		—		—		—		N/A
Subtotal	58		—		(2,942)		—		—		—		N/A
Earned income on derivatives	330		—		746		100		(91)		—		—
Synthetic GICs	N/A		N/A		—		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		49		—		N/A		N/A		N/A
Total	$	439	$	97	$	(2,147)	$	42	$	(100)	$	4	$	2,131

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(1)Excludes earned income on derivatives.

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, 2023		December 31, 2022		September 30, 2023		December 31, 2022
	(In millions)
Fixed maturity securities AFS	$	526	$	1,411	$	1	$	1
Mortgage loans	$	317	$	331	$	(15)	$	(19)
Future policy benefits	$	(2,579)	$	(2,816)	$	431	$	199
Policyholder account balances	$	(1,744)	$	(1,789)	$	151	$	104

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(1)Includes ($119) million and ($136) million of hedging adjustments on discontinued hedging relationships at September 30, 2023 and December 31, 2022, 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, 2023					December 31, 2022
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	$	155	1.6	$	3	$	158	2.2
Credit default swaps referencing indices	72		4,351		2.6	79		4,251		3.4
Subtotal	74		4,506		2.6	82		4,409		3.4
Baa
Single name credit default swaps (3)	1		95		2.3	1		81		2.5
Credit default swaps referencing indices	75		8,189		5.6	28		6,775		5.6
Subtotal	76		8,284		5.6	29		6,856		5.5
Ba
Single name credit default swaps (3)	(1)		37		1.2	—		62		1.3
Credit default swaps referencing indices	2		25		3.2	2		25		4.0
Subtotal	1		62		2.0	2		87		2.1
B

Credit default swaps referencing indices	2		130		5.2	2		130		4.7
Subtotal	2		130		5.2	2		130		4.7
Caa

Credit default swaps referencing indices	(7)		30		2.7	(10)		30		3.5
Subtotal	(7)		30		2.7	(10)		30		3.5
Total	$	146	$	13,012	4.5	$	105	$	11,512	4.7

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(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 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, 2023				December 31, 2022
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)	$	9,587	$	7,159	$	11,438	$	6,628
OTC-cleared (1)	108		287		121		342
Exchange-traded	12		5		18		5
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)	9,707		7,451		11,577		6,975
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(4,261)		(4,261)		(4,579)		(4,579)
OTC-cleared	(9)		(9)		(33)		(33)
Exchange-traded	(1)		(1)		(1)		(1)
Cash collateral: (3), (4)
OTC-bilateral	(3,934)		—		(5,432)		—
OTC-cleared	(79)		(273)		(35)		(295)
Exchange-traded	—		(2)		—		(3)
Securities collateral: (5)
OTC-bilateral	(1,241)		(2,879)		(1,322)		(2,024)
OTC-cleared	—		(5)		—		(14)
Exchange-traded	—		(1)		—		(1)
Net amount after application of master netting agreements and collateral	$	182	$	20	$	175	$	25

__________________

(1)At September 30, 2023 and December 31, 2022, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $241 million and $166 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $45 million and $0, 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 central 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, 2023 and December 31, 2022, the Company received excess cash collateral of $192 million and $252 million, respectively, and provided excess cash collateral of $97 million and $125 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, 2023, 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, 2023 and December 31, 2022, the Company received excess securities collateral with an estimated fair value of $326 million and $398 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At September 30, 2023 and December 31, 2022, the Company provided excess securities collateral with an estimated fair value of $1.1 billion and $1.2 billion, respectively, for its OTC-bilateral derivatives, $865 million and $1.0 billion, respectively, for its OTC-cleared derivatives, and $100 million and $184 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, 2023				December 31, 2022
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)	$	9,587	$	7,159	$	11,438	$	6,628
OTC-cleared (1)	108		287		121		342
Exchange-traded	12		5		18		5
Total gross estimated fair value of derivatives presented on the interim condensed consolidated balance sheets (1)	9,707		7,451		11,577		6,975
Gross amounts not offset on the interim condensed consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(4,261)		(4,261)		(4,579)		(4,579)
OTC-cleared	(9)		(9)		(33)		(33)
Exchange-traded	(1)		(1)		(1)		(1)
Cash collateral: (3), (4)
OTC-bilateral	(3,934)		—		(5,432)		—
OTC-cleared	(79)		(273)		(35)		(295)
Exchange-traded	—		(2)		—		(3)
Securities collateral: (5)
OTC-bilateral	(1,241)		(2,879)		(1,322)		(2,024)
OTC-cleared	—		(5)		—		(14)
Exchange-traded	—		(1)		—		(1)
Net amount after application of master netting agreements and collateral	$	182	$	20	$	175	$	25

__________________

(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, 2023						December 31, 2022
	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)	$	2,864	$	34	$	2,898	$	2,049	$	—	$	2,049
Estimated fair value of collateral provided:
Fixed maturity securities AFS	$	3,295	$	49	$	3,344	$	2,267	$	—	$	2,267

__________________

(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, 2023		December 31, 2022
		(In millions)


Embedded derivatives within liability host contracts:


Funds withheld and guarantees on reinsurance	Other liabilities	$	(151)	$	(123)
Fixed annuities with equity indexed returns	Policyholder account balances	156		140

Total		$	5	$	17

Embedded Derivatives


	September 30, 2023						December 31, 2022
	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)	$	2,864	$	34	$	2,898	$	2,049	$	—	$	2,049
Estimated fair value of collateral provided:
Fixed maturity securities AFS	$	3,295	$	49	$	3,344	$	2,267	$	—	$	2,267

__________________

(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, 2023		December 31, 2022
		(In millions)


Embedded derivatives within liability host contracts:


Funds withheld and guarantees on reinsurance	Other liabilities	$	(151)	$	(123)
Fixed annuities with equity indexed returns	Policyholder account balances	156		140

Total		$	5	$	17

- 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).

+ References + Details

- 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 + Details