Derivatives and Hedge Accounting (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table presents the notional amounts of our derivatives and the fair value of derivative assets and liabilities in the Condensed Consolidated Balance Sheets:

	March 31, 2023								December 31, 2022
	Gross Derivative Assets				Gross Derivative Liabilities				Gross Derivative Assets				Gross Derivative Liabilities
(in millions)		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value		Notional Amount		Fair Value
Derivatives designated as hedging instruments:(a)
Interest rate contracts	$	671	$	388	$	1,652	$	44	$	251	$	355	$	1,688	$	66
Foreign exchange contracts		4,500		573		4,717		230		4,543		642		4,899		317
Derivatives not designated as hedging instruments:(a)
Interest rate contracts		25,756		2,014		39,840		3,001		39,833		3,367		34,128		4,772
Foreign exchange contracts		10,505		1,079		9,510		573		8,626		1,202		10,397		821
Equity contracts		27,092		683		6,930		60		31,264		428		4,740		26
Commodity contracts		80		7		5		—		212		9		20		—
Credit contracts(b)		1,810		33		932		40		1,808		32		933		41
Other contracts(c)		46,652		14		—		—		47,184		14		—		—
Total derivatives, gross	$	117,066	$	4,791	$	63,586	$	3,948	$	133,721	$	6,049	$	56,805	$	6,043
Counterparty netting(d)				(2,382)				(2,382)				(3,895)				(3,895)
Cash collateral(e)				(1,793)				(1,311)				(1,640)				(1,917)
Total derivatives on Condensed Consolidated Balance Sheets(f)			$	616			$	255			$	514			$	231

(a)Fair value amounts are shown before the effects of counterparty netting adjustments and offsetting cash collateral.

(b)As of March 31, 2023 and December 31, 2022, included CDSs on super senior multi-sector CLOs with a net notional amount of $78 million and $79 million (fair value liability of $32 million and $32 million), respectively. The net notional amount represents the maximum exposure to loss on the portfolio.

(c)Consists primarily of stable value wraps and contracts with multiple underlying exposures.

(d)Represents netting of derivative exposures covered by a qualifying master netting agreement.

(e)Represents cash collateral posted and received that is eligible for netting.

(f)Freestanding derivatives only, excludes embedded derivatives. Derivative instrument assets and liabilities are recorded in Other assets and Other liabilities, respectively. Fair value of assets related to bifurcated embedded derivatives was $1.9 billion at March 31, 2023 and $2.2 billion at December 31, 2022. Fair value of liabilities related to bifurcated embedded derivatives was $6.1 billion and $5.4 billion, respectively, at March 31, 2023 and December 31, 2022. A bifurcated embedded derivative is generally presented with the host contract in the Condensed Consolidated Balance Sheets. Embedded derivatives are primarily related to guarantee features in fixed index annuities and index universal life products, which include equity and interest rate components, and the funds withheld arrangement with Fortitude Re. For additional information, see Note 7.

Schedule of Gain (Loss) Recognized in Income on Derivative Instruments in Fair Value Hedging Relationships

The following table presents the gain (loss) recognized in income on our derivative instruments in fair value hedging relationships in the Condensed Consolidated Statements of Income (Loss):

		Gains/(Losses) Recognized in Income for:
(in millions)		Hedging Derivatives(a)		Excluded Components(b)		Hedged Items		Net Impact
Three Months Ended March 31, 2023
Interest rate contracts:
Interest credited to policyholder account balances	$	43	$	—	$	(47)	$	(4)
Net investment income		—		—		—		—
Foreign exchange contracts:
Net realized gains/(losses)		(130)		76		130		76
Three Months Ended March 31, 2022
Interest rate contracts:
Interest credited to policyholder account balances	$	(21)	$	—	$	23	$	2
Net investment income		1		—		(1)		—
Foreign exchange contracts:
Net realized gains/(losses)		109		42		(109)		42

(a)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are included in the assessment of hedge effectiveness.

(b)Gains and losses on derivative instruments designated and qualifying in fair value hedges that are excluded from the assessment of hedge effectiveness and recognized in income on a mark-to-market basis.

Derivatives Not Designated as Hedging Instruments

The following table presents the effect of derivative instruments not designated as hedging instruments in the Condensed Consolidated Statements of Income (Loss):

Three Months Ended March 31,	Gains (Losses) Recognized in Income
(in millions)		2023		2022
By Derivative Type:
Interest rate contracts	$	95	$	(613)
Foreign exchange contracts		(101)		236
Equity contracts		(78)		(204)
Commodity contracts		7		(4)
Credit contracts		(1)		(1)
Other contracts		16		18
Embedded derivatives		(1,548)		3,979
Total	$	(1,610)	$	3,411
By Classification:
Policy fees	$	16	$	15
Net investment income - excluding Fortitude Re funds withheld assets		—		(1)
Net investment income - Fortitude Re funds withheld assets		(2)		—
Net realized gains (losses) - excluding Fortitude Re funds withheld assets		(391)		607
Net realized gains (losses) on Fortitude Re funds withheld assets(a)		(1,127)		3,262
Policyholder benefits and claims incurred		3		(7)
Change in the fair value of market risk benefits, net(b)		(109)		(465)
Total	$	(1,610)	$	3,411

(a)Includes over-the-counter derivatives supporting the funds withheld arrangements with Fortitude Re and the embedded derivative contained within the funds withheld payable with Fortitude Re.

(b)This represents activity related to derivatives that economically hedged changes in the fair value of certain market risk benefits.