Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Outstanding derivative instruments with off-balance-sheet risks (in millions) were as follows:

	As of September 30, 2024						As of December 31, 2023
	Notional Amounts		Fair Value				Notional Amounts		Fair Value
			Asset		Liability				Asset		Liability
Qualifying Hedges
Cash flow hedges:
Interest rate contracts (1)	$	1,345	$	106	$	5	$	1,698	$	181	$	47
Foreign currency contracts (1)	4,830		432		83		4,662		423		78
Total cash flow hedges	6,175		538		88		6,360		604		125
Fair value hedges:
Interest rate contracts (1)	1,066		1		50		1,081		1		39
Foreign currency contracts (1)	25		–		1		25		–		1
Total fair value hedges	1,091		1		51		1,106		1		40
Non-Qualifying Hedges
Interest rate contracts (1)	68,999		54		230		90,829		636		979
Foreign currency contracts (1)	345		11		6		306		11		6
Equity market contracts (1)	250,790		15,539		6,332		225,626		10,244		4,227
Credit contracts (1)	112		–		–		91		–		–
Embedded derivatives:
Reinsurance-related (2)	–		–		668		–		–		552
RILA, fixed indexed annuity and IUL
contracts (3)	–		1,132		12,270		–		940		9,077
Total derivative instruments	$	327,512	$	17,275	$	19,645	$	324,318	$	12,436	$	15,006

(1) These asset and liability balances are presented on a gross basis. Amounts are reported in derivative investments and other liabilities on the Consolidated Balance Sheets after the evaluation for right of offset subject to master netting agreements.

(2) Reported in funds withheld reinsurance liabilities on the Consolidated Balance Sheets.

(3) Reported in policyholder account balances and deposit assets on the Consolidated Balance Sheets.

Schedule of Derivative Instruments

The maturity of the notional amounts of derivative instruments (in millions) was as follows:

	Remaining Life as of September 30, 2024
	Less Than 1 Year		1 - 5 Years		6 - 10 Years		11 - 30 Years		Over 30 Years		Total
Interest rate contracts (1)	$	6,473	$	18,712	$	23,280	$	22,347	$	598	$	71,410
Foreign currency contracts (2)	226		1,137		1,892		1,903		42		5,200
Equity market contracts	209,875		29,579		9,210		8		2,118		250,790
Credit contracts	–		112		–		–		–		112
Total derivative instruments with
notional amounts	$	216,574	$	49,540	$	34,382	$	24,258	$	2,758	$	327,512

(1) As of September 30, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was April 20, 2067.

(2) As of September 30, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was June 16, 2061.

Cumulative Basis Adjustments for Fair Value Hedges

The following amounts (in millions) were recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:

	Amortized Cost of the Hedged Assets / (Liabilities)				Cumulative Fair Value Hedging Adjustment Included in the Amortized Cost of the Hedged Assets / (Liabilities)
	As of  September 30, 2024		As of December 31, 2023		As of  September 30, 2024		As of December 31, 2023
Line Item in the Consolidated Balance Sheets in
which the Hedged Item is Included
Fixed maturity AFS securities, at fair value	$	521	$	534	$	42	$	39
Long-term debt (1)	(714)		(703)		161		172

(1) Includes $(314) million and $(326) million of unamortized adjustments from discontinued hedges as of September 30, 2024, and December 31, 2023, respectively.

Change in Our Unrealized Gain on Derivative Instruments in AOCI

The change in our unrealized gain (loss) on derivative instruments within accumulated other comprehensive income (loss) (“AOCI”) (in millions) was as follows:

	For the Nine Months Ended September 30,
	2024		2023
Unrealized Gain (Loss) on Derivative Instruments
Balance as of beginning-of-year	$	375	$	388
Other comprehensive income (loss):
Unrealized holding gains (losses) arising during the period:
Cash flow hedges:
Interest rate contracts	138		323
Foreign currency contracts	167		(92)
Change in foreign currency exchange rate adjustment	(121)		30
Income tax benefit (expense)	(39)		(55)
Less:
Reclassification adjustment for gains (losses)
included in net income (loss):
Cash flow hedges:
Interest rate contracts (1)	(2)		–
Interest rate contracts (2)	20		22
Foreign currency contracts (1)	41		42
Foreign currency contracts (3)	1		4
Income tax benefit (expense)	(13)		(14)
Balance as of end-of-period	$	473	$	540

(1) The OCI offset is reported within net investment income on the Consolidated Statements of Comprehensive Income (Loss).

(2) The OCI offset is reported within interest and debt expense on the Consolidated Statements of Comprehensive Income (Loss).

(3) The OCI offset is reported within realized gain (loss) on the Consolidated Statements of Comprehensive Income (Loss).

Effects of Qualifying and Non-Qualifying Hedges

The effects of qualifying and non-qualifying hedges (in millions) on the Consolidated Statements of Comprehensive Income (Loss) were as follows:

Gain (Loss) Recognized in Income For the Three Months Ended September 30,

2024

2023

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Total Line Items in which the

Effects of Fair Value or Cash

Flow Hedges are Recorded

$

(431)

$

1,411

$

86

$

(453)

$

1,494

$

84

Qualifying Hedges

Gain or (loss) on fair value hedging

relationships:

Interest rate contracts:

Hedged items

–

27

(34)

–

(41)

46

Derivatives designated as hedging

instruments

–

(27)

34

–

41

(46)

Foreign currency contracts:

Hedged items

–

1

–

–

–

–

Derivatives designated as hedging

instruments

–

(1)

–

–

–

–

Gain or (loss) on cash flow hedging

relationships:

Interest rate contracts:

Amount of gain or (loss) reclassified

from AOCI into income

–

(1)

5

–

–

8

Foreign currency contracts:

Amount of gain or (loss) reclassified

from AOCI into income

2

12

–

2

14

–

Non-Qualifying Hedges

Interest rate contracts

370

–

–

(604)

–

–

Foreign currency contracts

(1)

–

–

–

–

–

Equity market contracts

1,108

–

–

163

–

–

Commodity contracts

–

–

–

(1)

–

–

Embedded derivatives:

Reinsurance-related

(513)

–

–

24

–

–

RILA, fixed indexed annuity and IUL

contracts

(707)

–

–

572

–

–

Gain (Loss) Recognized in Income For the Nine Months Ended September 30,

2024

2023

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Realized Gain (Loss)

Net Investment Income

Interest and Debt Expense

Total Line Items in which the

Effects of Fair Value or Cash

Flow Hedges are Recorded

$

(201)

$

4,090

$

253

$

(3,066)

$

4,468

$

250

Qualifying Hedges

Gain or (loss) on fair value hedging

relationships:

Interest rate contracts:

Hedged items

–

3

(11)

–

(44)

41

Derivatives designated as hedging

instruments

–

(3)

11

–

44

(41)

Gain or (loss) on cash flow hedging

relationships:

Interest rate contracts:

Amount of gain or (loss) reclassified

from AOCI into income

–

(2)

20

–

–

22

Foreign currency contracts:

Amount of gain or (loss) reclassified

from AOCI into income

1

41

–

4

42

–

Non-Qualifying Hedges

Interest rate contracts

93

–

–

(593)

–

–

Foreign currency contracts

(1)

–

–

(2)

–

–

Equity market contracts

4,060

–

–

913

–

–

Commodity contracts

–

–

–

10

–

–

Credit contracts

–

–

–

(2)

–

–

Embedded derivatives:

Reinsurance-related

(116)

–

–

(23)

–

–

RILA, fixed indexed annuity and IUL

contracts

(2,677)

–

–

(1,706)

–

–

Schedule of Credit Derivatives

Information related to our CDSs for which we are the seller (dollars in millions) was as follows:

	As of September 30, 2024
Credit Contract Type	Maturity	Reason for Entering	Name of Recourse	Credit Rating of Underlying Obligation (1)	Number of Instruments	Fair Value (2)		Maximum Potential Payout
Basket CDSs	6/20/2029	(3)	(4)	BBB+	2	$	3	$	112

(1)    Represents average credit ratings based on the midpoint of the applicable ratings among Moody’s, S&P and Fitch Ratings, as scaled to the corresponding S&P ratings.

(2)    Third-party valuation specialists are used to determine the market value of our CDSs.

(3)    CDSs were entered into in order to hedge the liability exposure on certain variable annuity products.

(4)    Sellers do not have the right to demand indemnification or compensation from third parties in case of a loss (payment) on the contract.

Details underlying the associated collateral of our CDSs for which we are the seller if credit risk-related contingent features were triggered (in millions) were as follows:

	As of  September 30, 2024		As of  December 31, 2023
Maximum potential payout	$	112	$	–
Less: Counterparty thresholds	–		–
Maximum collateral potentially required to post	$	112	$	–

Schedule of Collateral Amounts With Rights to Reclaim or Obligation to Return Cash

The amounts recognized (in millions) by S&P credit rating of counterparty, for which we had the right to reclaim cash collateral or were obligated to return cash collateral, were as follows:

	As of September 30, 2024				As of December 31, 2023
S&P Credit Rating of Counterparty	Collateral Posted by Counter- Party (Held by LNC)		Collateral Posted by LNC (Held by Counter- Party)		Collateral Posted by Counter- Party (Held by LNC)		Collateral Posted by LNC (Held by Counter- Party)
AA-	$	2,604	$	(7)	$	2,378	$	(63)
A+	3,791		(1)		2,496		(125)
A	70		–		82		–
A-	691		–		273		–
Total cash collateral	$	7,156	$	(8)	$	5,229	$	(188)

Schedule of Offsetting Assets

Information related to the effects of offsetting on the Consolidated Balance Sheets (in millions) was as follows:

	As of September 30, 2024
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	16,152	$	1,132	$	17,284
Gross amounts offset	(6,630)		–		(6,630)
Net amount of assets	9,522		1,132		10,654
Gross amounts not offset:
Cash collateral	(7,156)		–		(7,156)
Non-cash collateral (1)	(2,366)		–		(2,366)
Net amount	$	–	$	1,132	$	1,132
Financial Liabilities
Gross amount of recognized liabilities	$	124	$	12,938	$	13,062
Gross amounts offset	(38)		–		(38)
Net amount of liabilities	86		12,938		13,024
Gross amounts not offset:
Cash collateral	(8)		–		(8)
Non-cash collateral	(19)		–		(19)
Net amount	$	59	$	12,938	$	12,997

(1) Excludes excess non-cash collateral received of $1.4 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

	As of December 31, 2023
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	10,927	$	940	$	11,867
Gross amounts offset	(4,453)		–		(4,453)
Net amount of assets	6,474		940		7,414
Gross amounts not offset:
Cash collateral	(5,229)		–		(5,229)
Non-cash collateral (1)	(1,245)		–		(1,245)
Net amount	$	–	$	940	$	940
Financial Liabilities
Gross amount of recognized liabilities	$	967	$	9,629	$	10,596
Gross amounts offset	(612)		–		(612)
Net amount of liabilities	355		9,629		9,984
Gross amounts not offset:
Cash collateral	(188)		–		(188)
Non-cash collateral (2)	(167)		–		(167)
Net amount	$	–	$	9,629	$	9,629

(1) Excludes excess non-cash collateral received of $1.3 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $82 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

Schedule of Offsetting Liabilities

Information related to the effects of offsetting on the Consolidated Balance Sheets (in millions) was as follows:

	As of September 30, 2024
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	16,152	$	1,132	$	17,284
Gross amounts offset	(6,630)		–		(6,630)
Net amount of assets	9,522		1,132		10,654
Gross amounts not offset:
Cash collateral	(7,156)		–		(7,156)
Non-cash collateral (1)	(2,366)		–		(2,366)
Net amount	$	–	$	1,132	$	1,132
Financial Liabilities
Gross amount of recognized liabilities	$	124	$	12,938	$	13,062
Gross amounts offset	(38)		–		(38)
Net amount of liabilities	86		12,938		13,024
Gross amounts not offset:
Cash collateral	(8)		–		(8)
Non-cash collateral	(19)		–		(19)
Net amount	$	59	$	12,938	$	12,997

(1) Excludes excess non-cash collateral received of $1.4 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

	As of December 31, 2023
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	10,927	$	940	$	11,867
Gross amounts offset	(4,453)		–		(4,453)
Net amount of assets	6,474		940		7,414
Gross amounts not offset:
Cash collateral	(5,229)		–		(5,229)
Non-cash collateral (1)	(1,245)		–		(1,245)
Net amount	$	–	$	940	$	940
Financial Liabilities
Gross amount of recognized liabilities	$	967	$	9,629	$	10,596
Gross amounts offset	(612)		–		(612)
Net amount of liabilities	355		9,629		9,984
Gross amounts not offset:
Cash collateral	(188)		–		(188)
Non-cash collateral (2)	(167)		–		(167)
Net amount	$	–	$	9,629	$	9,629

(1) Excludes excess non-cash collateral received of $1.3 billion, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.

(2) Excludes excess non-cash collateral pledged of $82 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.