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Derivatives (Tables)

12 Months Ended

Dec. 31, 2023

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,
		2023						2022
				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	$	4,550	$	1,257	$	535	$	4,143	$	1,353	$	467
Foreign currency swaps	Foreign currency exchange rate	1,475		55		—		602		82		—
Foreign currency forwards	Foreign currency exchange rate	450		—		65		1,336		10		89
Subtotal		6,475		1,312		600		6,081		1,445		556
Cash flow hedges:
Interest rate swaps	Interest rate	4,156		1		265		4,107		8		262
Interest rate forwards	Interest rate	6,115		51		938		7,447		1		1,354
Foreign currency swaps	Foreign currency exchange rate	43,906		2,457		1,509		42,608		3,554		1,699
Subtotal		54,177		2,509		2,712		54,162		3,563		3,315
NIFO hedges:
Foreign currency forwards	Foreign currency exchange rate	503		—		8		680		—		38
Currency options	Foreign currency exchange rate	3,000		394		—		3,000		236		—
Subtotal		3,503		394		8		3,680		236		38
Total qualifying hedges		64,155		4,215		3,320		63,923		5,244		3,909
Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate swaps	Interest rate	29,801		1,497		1,102		31,661		1,660		1,354
Interest rate floors	Interest rate	15,321		41		—		25,270		125		—
Interest rate caps	Interest rate	30,016		373		—		48,290		950		—
Interest rate futures	Interest rate	1,243		1		5		1,453		2		1
Interest rate options	Interest rate	43,926		385		103		44,391		473		88
Interest rate forwards	Interest rate	2,383		69		36		381		—		32

Synthetic GICs	Interest rate	49,066		—		—		46,316		—		—
Foreign currency swaps	Foreign currency exchange rate	11,891		1,200		356		12,815		1,454		383
Foreign currency forwards	Foreign currency exchange rate	14,128		310		806		16,195		544		661
Currency futures	Foreign currency exchange rate	314		2		—		333		8		—
Currency options	Foreign currency exchange rate	50		—		—		—		—		—
Credit default swaps — purchased	Credit	2,877		3		79		2,925		18		79
Credit default swaps — written	Credit	12,468		233		5		11,512		133		28
Equity futures	Equity market	2,163		8		11		2,988		8		4
Equity index options	Equity market	19,421		399		255		16,701		765		323
Equity variance swaps	Equity market	99		—		2		163		4		1
Equity total return swaps	Equity market	1,912		1		218		2,799		23		112
Total non-designated or nonqualifying derivatives		237,079		4,522		2,978		264,193		6,167		3,066
Total		$	301,234	$	8,737	$	6,298	$	328,116	$	11,411	$	6,975

Included in the table above, the Company uses various 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:


	December 31, 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	$	9,096	$	13	$	663	$	9,098	$	41	$	764
Foreign currency exchange rate	716		22		2		887		26		2
Equity market	5,189		77		373		8,829		233		381
	$	15,001	$	112	$	1,038	$	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), was ($596) million and ($640) million for the years ended December 31, 2023 and 2022, respectively.

Components of Net Derivatives Gains (Losses)

The following table presents the consolidated financial statement location and amount of gain (loss) recognized on fair value, cash flow, NIFO, nonqualifying hedging relationships and embedded derivatives:


	Year Ended December 31, 2023
	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)	$	—	N/A		$	—	$	29	$	—	N/A
Hedged items	3		—		N/A		(26)		(31)		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	(39)		(41)		N/A		—		20		—		N/A
Hedged items	38		33		N/A		—		(24)		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		(20)		N/A		—		—		—		N/A
Subtotal	(1)		(28)		N/A		(26)		(6)		—		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		$	109
Amount of gains (losses) reclassified from AOCI into income	50		90		—		—		—		—		(140)
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		(1,215)
Amount of gains (losses) reclassified from AOCI into income	4		558		—		—		—		2		(564)
Foreign currency transaction gains (losses) on hedged items	—		(547)		—		—		—		—		—
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	54		102		—		—		—		2		(1,811)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		5		N/A		N/A		N/A		N/A		226
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		20
Subtotal	N/A		5		N/A		N/A		N/A		N/A		246
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	—		N/A		(979)		N/A		N/A		N/A		N/A
Foreign currency exchange rate derivatives (1)	—		N/A		(1,443)		N/A		N/A		N/A		N/A
Credit derivatives — purchased (1)	—		N/A		(17)		N/A		N/A		N/A		N/A
Credit derivatives — written (1)	—		N/A		135		N/A		N/A		N/A		N/A
Equity derivatives (1)	(52)		N/A		(1,296)		N/A		N/A		N/A		N/A
Foreign currency transaction gains (losses) on hedged items	—		N/A		366		N/A		N/A		N/A		N/A
Subtotal	(52)		N/A		(3,234)		N/A		N/A		N/A		N/A
Earned income on derivatives	178		—		1,055		4		(149)		—		—
Synthetic GICs	N/A		N/A		75		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		(36)		N/A		N/A		N/A		N/A
Total	$	179	$	79	$	(2,140)	$	(22)	$	(155)	$	2	$	(1,565)


	Year Ended December 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)	$	9	$	—	N/A		$	(959)	$	(254)	$	—	N/A
Hedged items	(9)		—		N/A		905		249		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	109		(220)		N/A		—		—		—		N/A
Hedged items	(110)		217		N/A		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		46		N/A		—		—		—		N/A
Subtotal	(1)		43		N/A		(54)		(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		$	(2,367)
Amount of gains (losses) reclassified from AOCI into income	59		41		—		—		—		4		(104)
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		1,784
Amount of gains (losses) reclassified from AOCI into income	6		(609)		—		—		—		1		602
Foreign currency transaction gains (losses) on hedged items	—		587		—		—		—		—		—
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	65		19		—		—		—		5		(85)
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		85
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		47
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		132
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	3		N/A		(3,967)		N/A		N/A		N/A		N/A
Foreign currency exchange rate derivatives (1)	2		N/A		(372)		N/A		N/A		N/A		N/A
Credit derivatives — purchased (1)	—		N/A		75		N/A		N/A		N/A		N/A
Credit derivatives — written (1)	—		N/A		(92)		N/A		N/A		N/A		N/A
Equity derivatives (1)	45		N/A		673		N/A		N/A		N/A		N/A
Foreign currency transaction gains (losses) on hedged items	—		N/A		282		N/A		N/A		N/A		N/A
Subtotal	50		N/A		(3,401)		N/A		N/A		N/A		N/A
Earned income on derivatives	376		—		1,029		112		(120)		—		—
Synthetic GICs	N/A		N/A		—		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		121		N/A		N/A		N/A		N/A
Total	$	490	$	62	$	(2,251)	$	58	$	(125)	$	5	$	47


	Year Ended December 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)	$	6	$	—	N/A		$	(373)	$	(83)	$	—	N/A
Hedged items	(6)		—		N/A		328		78		—		N/A
Foreign currency exchange rate derivatives:
Derivatives designated as hedging instruments (1)	50		(191)		N/A		—		—		—		N/A
Hedged items	(44)		185		N/A		—		—		—		N/A
Amount excluded from the assessment of hedge effectiveness	—		—		N/A		—		—		—		N/A
Subtotal	6		(6)		N/A		(45)		(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		$	(599)
Amount of gains (losses) reclassified from AOCI into income	56		84		—		—		—		3		(143)
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		500
Amount of gains (losses) reclassified from AOCI into income	8		(403)		—		—		—		2		393
Foreign currency transaction gains (losses) on hedged items	—		401		—		—		—		—		—
Credit derivatives: (1)
Amount of gains (losses) deferred in AOCI	N/A		N/A		N/A		N/A		N/A		N/A		(14)
Amount of gains (losses) reclassified from AOCI into income	—		—		—		—		—		—		—
Subtotal	64		82		—		—		—		5		137
Gain (Loss) on NIFO Hedges:
Foreign currency exchange rate derivatives (1)	N/A		N/A		N/A		N/A		N/A		N/A		97
Non-derivative hedging instruments	N/A		N/A		N/A		N/A		N/A		N/A		42
Subtotal	N/A		N/A		N/A		N/A		N/A		N/A		139
Gain (Loss) on Derivatives Not Designated or Not Qualifying as Hedging Instruments:
Interest rate derivatives (1)	2		N/A		(2,041)		N/A		N/A		N/A		N/A
Foreign currency exchange rate derivatives (1)	—		N/A		(983)		N/A		N/A		N/A		N/A
Credit derivatives — purchased (1)	—		N/A		9		N/A		N/A		N/A		N/A
Credit derivatives — written (1)	—		N/A		41		N/A		N/A		N/A		N/A
Equity derivatives (1)	(56)		N/A		(1,580)		N/A		N/A		N/A		N/A
Foreign currency transaction gains (losses) on hedged items	—		N/A		249		N/A		N/A		N/A		N/A
Subtotal	(54)		N/A		(4,305)		N/A		N/A		N/A		N/A
Earned income on derivatives	151		—		993		166		(121)		—		—
Synthetic GICs	N/A		N/A		—		N/A		N/A		N/A		N/A
Embedded derivatives	N/A		N/A		55		—		N/A		N/A		N/A
Total	$	167	$	76	$	(3,257)	$	121	$	(126)	$	5	$	276

__________________

(1)Excludes earned income on derivatives.

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:


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)
	December 31, 2023		December 31, 2022		December 31, 2023		December 31, 2022
	(In millions)
Fixed maturity securities AFS	$	454	$	1,411	$	3	$	1
Mortgage loans	$	359	$	331	$	(11)	$	(19)
Future policy benefits	$	(2,863)	$	(2,816)	$	191	$	199
Policyholder account balances	$	(1,911)	$	(1,789)	$	25	$	104

__________________

(1)Includes ($111) million and ($136) million of hedging adjustments on discontinued hedging relationships at December 31, 2023 and 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:


	December 31,
	2023					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	$	150	1.6	$	3	$	158	2.2
Credit default swaps referencing indices	80		3,830		2.7	79		4,251		3.4
Subtotal	82		3,980		2.6	82		4,409		3.4
Baa
Single name credit default swaps (3)	1		99		2.1	1		81		2.5
Credit default swaps referencing indices	145		8,188		5.4	28		6,775		5.6
Subtotal	146		8,287		5.3	29		6,856		5.5
Ba
Single name credit default swaps (3)	—		17		2.1	—		62		1.3
Credit default swaps referencing indices	2		25		3.0	2		25		4.0
Subtotal	2		42		2.6	2		87		2.1
B

Credit default swaps referencing indices	2		129		5.0	2		130		4.7
Subtotal	2		129		5.0	2		130		4.7
Caa
Credit default swaps referencing indices	(4)		30		2.5	(10)		30		3.5
Subtotal	(4)		30		2.5	(10)		30		3.5
Total	$	228	$	12,468	4.5	$	105	$	11,512	4.7

__________________

(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:


	December 31,
	2023				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)	$	8,749	$	6,014	$	11,438	$	6,628
OTC-cleared (1)	158		277		121		342
Exchange-traded	11		16		18		5
Total gross estimated fair value of derivatives presented on the consolidated balance sheets (1)	8,918		6,307		11,577		6,975
Gross amounts not offset on the consolidated balance sheets:
Gross estimated fair value of derivatives: (2)
OTC-bilateral	(3,568)		(3,568)		(4,579)		(4,579)
OTC-cleared	(5)		(5)		(33)		(33)
Exchange-traded	(1)		(1)		(1)		(1)
Cash collateral: (3), (4)
OTC-bilateral	(3,448)		—		(5,432)		—
OTC-cleared	(150)		(239)		(35)		(295)
Exchange-traded	—		(5)		—		(3)
Securities collateral: (5)
OTC-bilateral	(1,563)		(2,427)		(1,322)		(2,024)
OTC-cleared	—		(33)		—		(14)
Exchange-traded	—		(10)		—		(1)
Net amount after application of master netting agreements and collateral	$	183	$	19	$	175	$	25

__________________

(1)At December 31, 2023 and 2022, derivative assets included income (expense) accruals reported in accrued investment income or in other liabilities of $181 million and $166 million, respectively, and derivative liabilities included (income) expense accruals reported in accrued investment income or in other liabilities of $9 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 December 31, 2023 and 2022, the Company received excess cash collateral of $163 million and $252 million, respectively, and provided excess cash collateral of $98 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 December 31, 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 December 31, 2023 and 2022, the Company received excess securities collateral with an estimated fair value of $298 million and $398 million, respectively, for its OTC-bilateral derivatives, which are not included in the table above due to the foregoing limitation. At December 31, 2023 and 2022, the Company provided excess securities collateral with an estimated fair value of $1.5 billion and $1.2 billion, respectively, for its OTC-bilateral derivatives, $945 million and $1.0 billion, respectively, for its OTC-cleared derivatives, and $137 million and $184 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,
	2023						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)	$	2,443	$	4	$	2,447	$	2,049	$	—	$	2,049
Estimated fair value of collateral provided:
Fixed maturity securities AFS	$	3,011	$	6	$	3,017	$	2,267	$	—	$	2,267

__________________

(1)After taking into consideration the existence of netting agreements.

Net Embedded Derivatives

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	2023		2022
		(In millions)
Funds withheld on ceded reinsurance	Other liabilities	$	(70)	$	(123)
Fixed annuities with equity indexed returns	Policyholder account balances	163		140
Total		$	93	$	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).

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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.

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