Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

The table below provides a summary of the gross notional amount and fair value of derivative contracts by the primary underlying risks, excluding embedded derivatives and associated reinsurance recoverables. Many derivative instruments contain multiple underlying risks. The fair value amounts below represent the value of derivative contracts prior to taking into account of the netting effects of master netting agreements and cash collateral.

	June 30, 2022						December 31, 2021
Primary Underlying Risk/Instrument Type			Fair Value						Fair Value
	Gross Notional		Assets		Liabilities		Gross Notional		Assets		Liabilities
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Currency/Interest Rate
Interest Rate Swaps	$	3,267	$	0	$	(190)	$	3,344	$	55	$	0
Foreign Currency Swaps	1,376,431		156,102		(9)		886,552		37,259		(6,900)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,379,698	$	156,102	$	(199)	$	889,896	$	37,314	$	(6,900)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	135,289,710	$	5,468,843	$	(13,071,332)	$	130,358,860	$	5,698,740	$	(10,348,130)
Interest Rate Options	9,193,000		85,071		(253,193)		9,883,000		280,323		(173,863)
Interest Rate Futures	1,670,300		34,624		(14,782)		4,109,300		2,876		(2,709)
Interest Rate Forwards	115,000		0		(5,002)		195,000		3,760		(991)
Foreign Currency
Foreign Currency Forwards	259,344		8,765		(605)		119,653		842		(1,063)
Credit
Credit Default Swaps	2,079,750		0		(3,238)		306,900		24,789		0
Currency/Interest Rate
Foreign Currency Swaps	1,926,100		180,430		(4,517)		2,139,523		68,477		(23,251)
Equity
Total Return Swaps	12,393,180		854,969		(159,232)		15,129,666		66,627		(475,209)
Equity Options	36,440,892		564,881		(970,460)		19,461,881		902,050		(1,535,272)
Equity Futures	2,993,322		1,611		(21,453)		5,015,002		736		(6,595)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	202,360,598	$	7,199,194	$	(14,503,814)	$	186,718,785	$	7,049,220	$	(12,567,083)
Total Derivatives(1)(2)	$	203,740,296	$	7,355,296	$	(14,504,013)	$	187,608,681	$	7,086,534	$	(12,573,983)

(1)Excludes embedded derivatives and associated reinsurance recoverables which contain multiple underlying risks. The fair value of these embedded derivatives was a net liability of $5,707 million and $9,048 million as of June 30, 2022 and December 31, 2021, respectively included in "Future policy benefits" and $3,428 million and $3,246 million as of June 30, 2022 and December 31, 2021, respectively included in "Policyholders' account balances". Other assets included $76 million and $73 million as of June 30, 2022 and December 31, 2021, respectively. Other liabilities included $24 million and $13 million as of June 30, 2022 and December 31, 2021, respectively. The fair value of the related reinsurance, included in "Reinsurance recoverables" and/or "Reinsurance payables" was an asset of $555 million and $931 million as of June 30, 2022 and December 31, 2021, respectively.

(2)Recorded in “Other invested assets” and “Payables to parent and affiliates” on the Unaudited Interim Consolidated Statements of Financial Position.

Offsetting Of Financial Assets

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.

	June 30, 2022
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	7,355,296	$	(7,317,530)	$	37,766	$	0	$	37,766
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	7,355,296	$	(7,317,530)	$	37,766	$	0	$	37,766
Offsetting of Financial Liabilities:
Derivatives	$	14,504,013	$	(14,428,241)	$	75,772	$	(75,772)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	14,504,013	$	(14,428,241)	$	75,772	$	(75,772)	$	0

	December 31, 2021
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	7,086,534	$	(6,818,009)	$	268,525	$	0	$	268,525
Securities purchased under agreements to resell	185,000		0		185,000		(185,000)		0
Total Assets	$	7,271,534	$	(6,818,009)	$	453,525	$	(185,000)	$	268,525
Offsetting of Financial Liabilities:
Derivatives	$	12,573,983	$	(12,568,082)	$	5,901	$	(5,901)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	12,573,983	$	(12,568,082)	$	5,901	$	(5,901)	$	0

(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Offsetting Of Financial Liabilities

The following table presents recognized derivative instruments (excluding embedded derivatives and associated reinsurance recoverables), and repurchase and reverse repurchase agreements that are offset in the Unaudited Interim Consolidated Statements of Financial Position, and/or are subject to an enforceable master netting arrangement or similar agreement, irrespective of whether they are offset in the Unaudited Interim Consolidated Statements of Financial Position.

	June 30, 2022
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	7,355,296	$	(7,317,530)	$	37,766	$	0	$	37,766
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	7,355,296	$	(7,317,530)	$	37,766	$	0	$	37,766
Offsetting of Financial Liabilities:
Derivatives	$	14,504,013	$	(14,428,241)	$	75,772	$	(75,772)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	14,504,013	$	(14,428,241)	$	75,772	$	(75,772)	$	0

	December 31, 2021
	Gross Amounts of Recognized Financial Instruments		Gross Amounts Offset in the Consolidated Statements of Financial Position		Net Amounts Presented in the Consolidated Statements of Financial Position		Financial Instruments/ Collateral(1)		Net Amount
	(in thousands)
Offsetting of Financial Assets:
Derivatives	$	7,086,534	$	(6,818,009)	$	268,525	$	0	$	268,525
Securities purchased under agreements to resell	185,000		0		185,000		(185,000)		0
Total Assets	$	7,271,534	$	(6,818,009)	$	453,525	$	(185,000)	$	268,525
Offsetting of Financial Liabilities:
Derivatives	$	12,573,983	$	(12,568,082)	$	5,901	$	(5,901)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	12,573,983	$	(12,568,082)	$	5,901	$	(5,901)	$	0

(1)Amounts exclude the excess of collateral received/pledged from/to the counterparty.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following tables provide the financial statement classification and impact of derivatives used in qualifying and non-qualifying hedge relationships, excluding the offset of the hedged item in an effective hedge relationship.

	Three Months Ended June 30, 2022
	Realized Investment Gains (Losses)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate	$	0	$	4	$	0	$	(64)
Currency/Interest Rate	417		8,717		33,483		91,734
Total cash flow hedges	417		8,721		33,483		91,670
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,670,415)		0		0		0
Currency	15,504		0		0		0
Currency/Interest Rate	114,645		0		290		0
Credit	(38,726)		0		0		0
Equity	933,277		0		0		0
Embedded Derivatives	1,390,534		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	744,819		0		290		0
Total	$	745,236	$	8,721	$	33,773	$	91,670

	Six Months Ended June 30, 2022
	Realized Investment Gains (Losses)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate	$	1	$	16	$	0	$	(221)
Currency/Interest Rate	(354)		16,566		40,183		104,715
Total cash flow hedges	(353)		16,582		40,183		104,494
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(3,296,352)		0		0		0
Currency	19,801		0		0		0
Currency/Interest Rate	112,937		0		0		0
Credit	(41,449)		0		403		0
Equity	1,324,537		0		0		0
Embedded Derivatives	3,446,168		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	1,565,642		0		403		0
Total	$	1,565,289	$	16,582	$	40,586	$	104,494

	Three Months Ended June 30, 2021
	Realized Investment Gains (Losses)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate	$	0	$	12	$	0	$	26
Currency/Interest Rate	69		2,330		(595)		15,635
Total cash flow hedges	69		2,342		(595)		15,661
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	16,719		0		0		0
Currency	(203)		0		0		0
Currency/Interest Rate	2,898		0		(3)		0
Credit	0		0		0		0
Equity	19,694		0		0		0
Embedded Derivatives	(164,839)		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(125,731)		0		(3)		0
Total	$	(125,662)	$	2,342	$	(598)	$	15,661

	Six Months Ended June 30, 2021
	Realized Investment Gains (Losses)		Net Investment Income		Other Income		Change in AOCI
	(in thousands)
Derivatives Designated as Hedge Accounting Instruments:
Cash flow hedges
Interest Rate	$	1	$	23	$	0	$	(99)
Currency/Interest Rate	(94)		4,791		1,121		20,459
Total cash flow hedges	(93)		4,814		1,121		20,360
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(20,652)		0		0		0
Currency	834		0		0		0
Currency/Interest Rate	3,090		0		(14)		0
Credit	(12)		0		0		0
Equity	35,256		0		0		0
Embedded Derivatives	(64,994)		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(46,478)		0		(14)		0
Total	$	(46,571)	$	4,814	$	1,107	$	20,360

Schedule of Derivative Instruments Recognized in Accumulated Other Comprehensive Income (Loss) Before Taxes

Presented below is a rollforward of current period cash flow hedges in AOCI before taxes:

	(in thousands)
Balance, December 31, 2021	$	39,896
Amount recorded in AOCI
Interest Rate	(204)
Currency/Interest Rate	161,110
Total amount recorded in AOCI	160,906
Amount reclassified from AOCI to income
Interest Rate	(17)
Currency/Interest Rate	(56,395)
Total amount reclassified from AOCI to income	(56,412)
Balance, June 30, 2022	$	144,390