Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

We have derivative instruments with off-balance-sheet risks whose notional or contract amounts exceed the related credit exposure. Outstanding derivative instruments with off-balance-sheet risks (in millions) were as follows:

	As of June 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)	$	545	$	2	$	17	$	485	$	11	$	47
Foreign currency contracts (1)	4,849		511		49		4,662		423		78
Total cash flow hedges	5,394		513		66		5,147		434		125
Fair value hedges:
Interest rate contracts (1)	444		4		19		450		1		39
Foreign currency contracts (1)	25		1		–		25		–		1
Total fair value hedges	469		5		19		475		1		40
Non-Qualifying Hedges
Interest rate contracts (1)	73,628		813		1,173		90,829		636		979
Foreign currency contracts (1)	361		15		1		306		11		6
Equity market contracts (1)	254,659		14,180		5,995		225,251		10,244		4,227
Credit contracts (1)	44		–		–		91		–		–
LPR ceded derivative (2)	–		202		–		–		206		–
Embedded derivatives:
Reinsurance-related (3)	–		585		–		–		493		–
RILA, fixed indexed annuity and IUL
contracts (4)	–		1,756		11,417		–		940		9,077
Total derivative instruments	$	334,555	$	18,069	$	18,671	$	322,099	$	12,965	$	14,454

(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 other assets on the Consolidated Balance Sheets.

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

(4) 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 June 30, 2024
	Less Than 1 Year		1 - 5 Years		6 - 10 Years		11 - 30 Years		Over 30 Years		Total
Interest rate contracts (1)	$	10,391	$	19,232	$	23,278	$	21,716	$	–	$	74,617
Foreign currency contracts (2)	379		1,028		1,775		2,011		42		5,235
Equity market contracts	209,057		35,253		8,177		8		2,164		254,659
Credit contracts	–		44		–		–		–		44
Total derivative instruments with
notional amounts	$	219,827	$	55,557	$	33,230	$	23,735	$	2,206	$	334,555

(1) As of June 30, 2024, the latest maturity date for which we were hedging our exposure to the variability in future cash flows for these instruments was December 1, 2026.

(2) As of June 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  June 30, 2024		As of December 31, 2023		As of  June 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	$	500	$	534	$	14	$	39

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 Six Months Ended June 30,
	2024		2023
Unrealized Gain (Loss) on Derivative Instruments
Balance as of beginning-of-year	$	249	$	301
Other comprehensive income (loss):
Unrealized holding gains (losses) arising during the period:
Cash flow hedges:
Interest rate contracts	18		124
Foreign currency contracts	28		80
Change in foreign currency exchange rate adjustment	117		(110)
Income tax benefit (expense)	(35)		(20)
Less:
Reclassification adjustment for gains (losses)
included in net income (loss):
Cash flow hedges:
Interest rate contracts (1)	(1)		–
Foreign currency contracts (1)	29		27
Foreign currency contracts (2)	(1)		3
Income tax benefit (expense)	(6)		(6)
Balance as of end-of-period	$	356	$	351

(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 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 June 30,

2024

2023

Realized Gain (Loss)

Net Investment Income

Benefits

Realized Gain (Loss)

Net Investment Income

Benefits

Total Line Items in which the

Effects of Fair Value or Cash

Flow Hedges are Recorded

$

283

$

1,232

$

(2,726)

$

(3,252)

$

1,476

$

1,676

Qualifying Hedges

Gain or (loss) on fair value hedging

relationships:

Interest rate contracts:

Hedged items

–

(7)

–

–

(19)

–

Derivatives designated as hedging

instruments

–

7

–

–

19

–

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)

14

–

–

13

–

Non-Qualifying Hedges

Interest rate contracts

(115)

–

–

(319)

–

–

Equity market contracts

817

–

–

809

–

–

Credit contracts

–

–

–

(1)

–

–

LPR ceded derivative

–

–

(1)

–

–

(3)

Embedded derivatives:

Reinsurance-related

42

–

–

76

–

–

RILA, fixed indexed annuity and IUL

contracts

(328)

–

–

(1,554)

–

–

Gain (Loss) Recognized in Income For the Six Months Ended June 30,

2024

2023

Realized Gain (Loss)

Net Investment Income

Benefits

Realized Gain (Loss)

Net Investment Income

Benefits

Total Line Items in which the

Effects of Fair Value or Cash

Flow Hedges are Recorded

$

226

$

2,456

$

(989)

$

(3,646)

$

2,885

$

3,871

Qualifying Hedges

Gain or (loss) on fair value hedging

relationships:

Interest rate contracts:

Hedged items

–

(24)

–

–

(3)

–

Derivatives designated as hedging

instruments

–

24

–

–

3

–

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)

–

–

–

–

Foreign currency contracts:

Amount of gain or (loss) reclassified

from AOCI into income

(1)

29

–

3

27

–

Non-Qualifying Hedges

Interest rate contracts

(277)

–

–

12

–

–

Foreign currency contracts

–

–

–

(2)

–

–

Equity market contracts

2,952

–

–

750

–

–

Commodity contracts

–

–

–

11

–

–

Credit contracts

–

–

–

(2)

–

–

LPR ceded derivative

–

–

4

–

–

10

Embedded derivatives:

Reinsurance-related

92

–

–

9

–

–

RILA, fixed indexed annuity and IUL

contracts

(1,970)

–

–

(2,266)

–

–

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 June 30, 2024				As of December 31, 2023
S&P Credit Rating of Counterparty	Collateral Posted by Counter- Party (Held by LNL)		Collateral Posted by LNL (Held by Counter- Party)		Collateral Posted by Counter- Party (Held by LNL)		Collateral Posted by LNL (Held by Counter- Party)
AA-	$	3,145	$	(49)	$	2,330	$	(63)
A+	3,688		–		2,422		(125)
A	70		–		82		–
A-	676		–		273		–
	$	7,579	$	(49)	$	5,107	$	(188)

Schedule of Offsetting Assets

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

	As of June 30, 2024
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	15,502	$	2,341	$	17,843
Gross amounts offset	(7,030)		–		(7,030)
Net amount of assets	8,472		2,341		10,813
Gross amounts not offset:
Cash collateral	(7,579)		–		(7,579)
Non-cash collateral (1)	(893)		–		(893)
Net amount	$	–	$	2,341	$	2,341
Financial Liabilities
Gross amount of recognized liabilities	224		11,417		11,641
Gross amounts offset	(24)		–		(24)
Net amount of liabilities	200		11,417		11,617
Gross amounts not offset:
Cash collateral	(49)		–		(49)
Non-cash collateral (2)	(151)		–		(151)
Net amount	$	–	$	11,417	$	11,417

(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 $57 million, 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	$	10,714	$	1,433	$	12,147
Gross amounts offset	(4,409)		–		(4,409)
Net amount of assets	6,305		1,433		7,738
Gross amounts not offset:
Cash collateral	(5,107)		–		(5,107)
Non-cash collateral (1)	(1,198)		–		(1,198)
Net amount	–		1,433		1,433
Financial Liabilities
Gross amount of recognized liabilities	968		9,077		10,045
Gross amounts offset	(612)		–		(612)
Net amount of liabilities	356		9,077		9,433
Gross amounts not offset:
Cash collateral	(188)		–		(188)
Non-cash collateral (2)	(168)		–		(168)
Net amount	$	–	$	9,077	$	9,077

(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 $81 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 June 30, 2024
	Derivative Instruments		Embedded Derivative Instruments		Total
Financial Assets
Gross amount of recognized assets	$	15,502	$	2,341	$	17,843
Gross amounts offset	(7,030)		–		(7,030)
Net amount of assets	8,472		2,341		10,813
Gross amounts not offset:
Cash collateral	(7,579)		–		(7,579)
Non-cash collateral (1)	(893)		–		(893)
Net amount	$	–	$	2,341	$	2,341
Financial Liabilities
Gross amount of recognized liabilities	224		11,417		11,641
Gross amounts offset	(24)		–		(24)
Net amount of liabilities	200		11,417		11,617
Gross amounts not offset:
Cash collateral	(49)		–		(49)
Non-cash collateral (2)	(151)		–		(151)
Net amount	$	–	$	11,417	$	11,417

(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 $57 million, 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	$	10,714	$	1,433	$	12,147
Gross amounts offset	(4,409)		–		(4,409)
Net amount of assets	6,305		1,433		7,738
Gross amounts not offset:
Cash collateral	(5,107)		–		(5,107)
Non-cash collateral (1)	(1,198)		–		(1,198)
Net amount	–		1,433		1,433
Financial Liabilities
Gross amount of recognized liabilities	968		9,077		10,045
Gross amounts offset	(612)		–		(612)
Net amount of liabilities	356		9,077		9,433
Gross amounts not offset:
Cash collateral	(188)		–		(188)
Non-cash collateral (2)	(168)		–		(168)
Net amount	$	–	$	9,077	$	9,077

(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 $81 million, as the collateral offset is limited to the net estimated fair value of derivatives after application of netting arrangements.