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Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Outstanding Derivative Instruments With Off-Balance-Sheet Risks



	As of March 31, 2020						As of December 31, 2019
	Notional		Fair Value				Notional		Fair Value
	Amounts		Asset		Liability		Amounts		Asset		Liability
Qualifying Hedges
Cash flow hedges:
Interest rate contracts ⁽¹⁾	$	1,184	$	334	$	-	$	1,174	$	108	$	12
Foreign currency contracts ⁽¹⁾		2,912		606		13		2,874		191		51
Total cash flow hedges		4,096		940		13		4,048		299		63
Fair value hedges:
Interest rate contracts ⁽¹⁾		539		-		329		546		-		202
Non-Qualifying Hedges
Interest rate contracts ⁽¹⁾		119,681		1,890		140		112,921		1,082		219
Foreign currency contracts ⁽¹⁾		166		11		-		262		1		3
Equity market contracts ⁽¹⁾		55,513		2,819		1,112		43,283		1,442		664
Credit contracts ⁽¹⁾		394		-		-		55		-		-
Embedded derivatives:
GLB direct ⁽²⁾		-		-		4,596		-		450		-
GLB ceded ⁽²⁾		-		4,589		-		-		60		510
Reinsurance related ⁽³⁾		-		254		-		-		-		375
Indexed annuity and IUL contracts ^{(2) (4)}		-		799		1,380		-		927		2,585
Total derivative instruments	$	180,389	$	11,302	$	7,570	$	161,115	$	4,261	$	4,621

⁽¹⁾Reported in derivative investments and other liabilities on our Consolidated Balance Sheets.

⁽²⁾Reported in other assets and other liabilities on our Consolidated Balance Sheets.

⁽³⁾Reported in reinsurance related embedded derivatives on our Consolidated Balance Sheets.

⁽⁴⁾Reported in future contract benefits on our Consolidated Balance Sheets.

Maturity Of The Notional Amounts Of Derivative Financial Instruments



	Remaining Life as of March 31, 2020
	Less Than		1 – 5		6 – 10		11 – 30		Over 30
	1 Year		Years		Years		Years		Years		Total
Interest rate contracts ⁽¹⁾	$	15,089	$	48,226	$	24,802	$	32,669	$	618	$	121,404
Foreign currency contracts ⁽²⁾		146		370		1,013		1,507		42		3,078
Equity market contracts		30,822		14,042		4,343		12		6,294		55,513
Credit contracts		-		-		394		-		-		394
Total derivative instruments
with notional amounts	$	46,057	$	62,638	$	30,552	$	34,188	$	6,954	$	180,389

⁽¹⁾As of March 31, 2020, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was December 2, 2021.

⁽²⁾As of March 31, 2020, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was June 17, 2050.

Cumulative Basis Adjustments For Fair Value Hedges


					Cumulative Fair Value
					Hedging Adjustment Included
	Amortized Cost of the				in the Amortized Cost of the
	Hedged Assets/(Liabilities)				Hedged Asset/(Liabilities)
	As of		As of		As of		As of
	March 31,		December 31,		March 31,		December 31,
	2020		2019		2020		2019
Line Item in the Consolidated Balance Sheets in
which the Hedged Item is Included
AFS fixed maturity securities, at fair value	$	890	$	776	$	328	$	202

Change In Unrealized Gain On Derivative Instruments In Accumulated OCI



	For the Three
	Months Ended
	March 31,
	2020			2019
Unrealized Gain (Loss) on Derivative Instruments
Balance as of beginning-of-year	$	181		$	119
Other comprehensive income (loss):
Unrealized holding gains (losses) arising during the period:
Cash flow hedges:
Interest rate contracts		241			42
Foreign currency contracts		312			11
Change in foreign currency exchange rate adjustment		153			(14	)
Change in DAC, VOBA, DSI and DFEL		(48	)		4
Income tax benefit (expense)		(140	)		(9	)
Less:
Reclassification adjustment for gains (losses)
included in net income (loss):
Cash flow hedges:
Interest rate contracts ⁽¹⁾		-			1
Foreign currency contracts ⁽¹⁾		11			7
Foreign currency contracts ⁽²⁾		1			1
Associated amortization of DAC, VOBA, DSI and DFEL		(1	)		(3	)
Income tax benefit (expense)		(2	)		(1	)
Balance as of end-of-year	$	690		$	148

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

⁽²⁾The OCI offset is reported within realized gain (loss) on our Consolidated Statements of Comprehensive Income (Loss).

Effects Of Qualifying And Non-Qualifying Hedges


	Gain (Loss) Recognized in Income
	For the Three Months Ended
	March 31, 2020
	Realized				Net
	Gain				Investment
	(Loss)				Income
Total Line Items in which the Effects of Fair Value
or Cash Flow Hedges are Recorded		$	(2	)	$	1,318

Qualifying Hedges
Gain or (loss) on fair value hedging relationships:
Interest rate contracts:
Hedged items			-			127
Derivatives designated as hedging instruments			-			(127	)
Gain or (loss) on cash flow hedging relationships:
Interest rate contracts:
Amount of gain or (loss) reclassified from AOCI into income			-			-
Foreign currency contracts:
Amount of gain or (loss) reclassified from AOCI into income			1			11

Non-Qualifying Hedges
Interest rate contracts			2,150			-
Equity market contracts			1,070			-
Credit contracts			(4	)		-
Embedded derivatives:
GLB			(7	)		-
Reinsurance related			596			-
Indexed annuity and IUL contracts			1,028			-


	Gain (Loss) Recognized in Income
	For the Three Months Ended
	March 31, 2019
	Realized				Net
	Gain				Investment
	(Loss)				Income
Total Line Items in which the Effects of Fair Value
or Cash Flow Hedges are Recorded		$	(351	)	$	1,191


Qualifying Hedges
Gain or (loss) on fair value hedging relationships:
Interest rate contracts:
Hedged items			-			24
Derivatives designated as hedging instruments			-			(24	)
Gain or (loss) on cash flow hedging relationships:
Interest rate contracts:
Amount of gain or (loss) reclassified from AOCI into income			-			1
Foreign currency contracts:
Amount of gain or (loss) reclassified from AOCI into income			1			7


Non-Qualifying Hedges
Interest rate contracts			357			-
Equity market contracts			(458	)		-
Embedded derivatives:
GLB			1			-
Reinsurance related			(289	)		-
Indexed annuity and IUL contracts			(239	)		-

Open Credit Default Swap Liabilities

As of March 31, 2020

Credit

Reason

Nature

Rating of

Number

Maximum

for

Underlying

Fair

Potential

Credit Contract Type

Maturity

Entering

Recourse

Obligation ⁽¹⁾

Instruments

Value ⁽²⁾

Payout

Basket credit default swaps

6/20/2025

⁽³⁾

⁽⁴⁾

BBB+

)

394

As of December 31, 2019

Credit

Reason

Nature

Rating of

Number

Maximum

for

Underlying

Fair

Potential

Credit Contract Type

Maturity

Entering

Recourse

Obligation ⁽¹⁾

Instruments

Value ⁽²⁾

Payout

Basket credit default swaps

12/20/2024

⁽³⁾

⁽⁴⁾

BBB+

⁽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⁾Broker quotes are used to determine the market value of our credit default swaps.

⁽³⁾Credit default swaps 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.

Collateral Support Agreements



		As of			As of
	March 31,			December 31,
		2020			2019
Maximum potential payout		$	394		$	55
Less: Counterparty thresholds			-			-
Maximum collateral potentially required to post		$	394		$	55

Schedule Of Collateral Amounts With Rights To Reclaim Or Obligation To Return Cash



	As of March 31, 2020					As of December 31, 2019
	Collateral		Collateral			Collateral		Collateral
	Posted by		Posted by			Posted by		Posted by
S&P	Counter-		LNL			Counter-		LNL
Credit	Party		(Held by			Party		(Held by
Rating of	(Held by		Counter-			(Held by		Counter-
Counterparty	LNL)		Party)			LNL)		Party)

AA-	$	521	$	-		$	441	$	(22	)
A+		2,674		(46	)		549		(168	)
A		35		-			36		-
A-		712		-			355		-
BBB+		-		-			-		-
	$	3,942	$	(46	)	$	1,381	$	(190	)

Schedule Of Offsetting Assets And Liabilities



		As of March 31, 2020
					Embedded
	Derivative				Derivative
	Instruments				Instruments			Total

Financial Assets
Gross amount of recognized assets		$	5,634			$	5,642	$	11,276
Gross amounts offset			(1,217	)			-		(1,217	)
Net amount of assets			4,417				5,642		10,059
Gross amounts not offset:
Cash collateral			(3,942	)			-		(3,942	)
Non-cash collateral			(151	)			-		(151	)
Net amount		$	324			$	5,642	$	5,966

Financial Liabilities
Gross amount of recognized liabilities		$	827			$	5,976	$	6,803
Gross amounts offset			(25	)			-		(25	)
Net amount of liabilities			802				5,976		6,778
Gross amounts not offset:
Cash collateral			(46	)			-		(46	)
Non-cash collateral			-				-		-
Net amount		$	756			$	5,976	$	6,732



		As of December 31, 2019
					Embedded
	Derivative				Derivative
	Instruments				Instruments			Total

Financial Assets
Gross amount of recognized assets		$	2,619			$	1,437	$	4,056
Gross amounts offset			(708	)			-		(708	)
Net amount of assets			1,911				1,437		3,348
Gross amounts not offset:
Cash collateral			(1,381	)			-		(1,381	)
Non-cash collateral			(242	)			-		(242	)
Net amount		$	288			$	1,437	$	1,725

Financial Liabilities
Gross amount of recognized liabilities		$	771			$	3,470	$	4,241
Gross amounts offset			(15	)			-		(15	)
Net amount of liabilities			756				3,470		4,226
Gross amounts not offset:
Cash collateral			(190	)			-		(190	)
Non-cash collateral			-				-		-
Net amount		$	566			$	3,470	$	4,036