Derivative Instruments (Tables)

9 Months Ended

Sep. 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.

	September 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	$	3,225	$	0	$	(302)	$	3,344	$	55	$	0
Foreign Currency Swaps	1,467,687		251,132		(17)		886,552		37,259		(6,900)
Total Derivatives Designated as Hedge Accounting Instruments	$	1,470,912	$	251,132	$	(319)	$	889,896	$	37,314	$	(6,900)
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate
Interest Rate Swaps	$	137,756,210	$	7,164,547	$	(16,687,241)	$	130,358,860	$	5,698,740	$	(10,348,130)
Interest Rate Options	8,293,000		103,440		(231,918)		9,883,000		280,323		(173,863)
Interest Rate Futures	2,314,100		7,133		(1,060)		4,109,300		2,876		(2,709)
Interest Rate Forwards	0		0		(1)		195,000		3,760		(991)
Foreign Currency
Foreign Currency Forwards	260,555		9,396		(1,318)		119,653		842		(1,063)
Credit
Credit Default Swaps	1,614,050		0		(7,209)		306,900		24,789		0
Currency/Interest Rate
Foreign Currency Swaps	2,235,760		339,553		(4,373)		2,139,523		68,477		(23,251)
Equity
Total Return Swaps	12,523,023		956,848		(141,162)		15,129,666		66,627		(475,209)
Equity Options	38,312,555		311,055		(1,282,390)		19,461,881		902,050		(1,535,272)
Equity Futures	3,358,298		1,571		(40,850)		5,015,002		736		(6,595)
Total Derivatives Not Qualifying as Hedge Accounting Instruments	$	206,667,551	$	8,893,543	$	(18,397,522)	$	186,718,785	$	7,049,220	$	(12,567,083)
Total Derivatives(1)(2)	$	208,138,463	$	9,144,675	$	(18,397,841)	$	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 $4,945 million and $9,048 million as of September 30, 2022 and December 31, 2021, respectively included in "Future policy benefits" and $3,643 million and $3,246 million as of September 30, 2022 and December 31, 2021, respectively included in "Policyholders' account balances". Other assets included $107 million and $73 million as of September 30, 2022 and December 31, 2021, respectively. Other liabilities included $30 million and $13 million as of September 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 $475 million and $931 million as of September 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.

	September 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	$	9,144,675	$	(9,134,449)	$	10,226	$	0	$	10,226
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	9,144,675	$	(9,134,449)	$	10,226	$	0	$	10,226
Offsetting of Financial Liabilities:
Derivatives	$	18,397,841	$	(17,295,924)	$	1,101,917	$	(1,101,917)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	18,397,841	$	(17,295,924)	$	1,101,917	$	(1,101,917)	$	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.

	September 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	$	9,144,675	$	(9,134,449)	$	10,226	$	0	$	10,226
Securities purchased under agreements to resell	0		0		0		0		0
Total Assets	$	9,144,675	$	(9,134,449)	$	10,226	$	0	$	10,226
Offsetting of Financial Liabilities:
Derivatives	$	18,397,841	$	(17,295,924)	$	1,101,917	$	(1,101,917)	$	0
Securities sold under agreements to repurchase	0		0		0		0		0
Total Liabilities	$	18,397,841	$	(17,295,924)	$	1,101,917	$	(1,101,917)	$	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 September 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	$	(6)	$	0	$	(113)
Currency/Interest Rate	10,342		9,735		48,729		84,011
Total cash flow hedges	10,343		9,729		48,729		83,898
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(1,064,307)		0		0		0
Currency	19,236		0		0		0
Currency/Interest Rate	79,436		0		383		0
Credit	9,495		0		0		0
Equity	(114,772)		0		0		0
Embedded Derivatives	1,173,770		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	102,858		0		383		0
Total	$	113,201	$	9,729	$	49,112	$	83,898

	Nine Months Ended September 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	$	10	$	0	$	(334)
Currency/Interest Rate	9,989		26,301		88,912		188,727
Total cash flow hedges	9,990		26,311		88,912		188,393
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(4,360,659)		0		0		0
Currency	39,037		0		0		0
Currency/Interest Rate	192,373		0		786		0
Credit	(31,954)		0		0		0
Equity	1,209,765		0		0		0
Embedded Derivatives	4,619,938		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	1,668,500		0		786		0
Total	$	1,678,490	$	26,311	$	89,698	$	188,393

	Three Months Ended September 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	$	(20)
Currency/Interest Rate	928		5,211		10,053		19,988
Total cash flow hedges	928		5,223		10,053		19,968
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(283,767)		0		0		0
Currency	1,428		0		0		0
Currency/Interest Rate	35,346		0		42		0
Credit	(190)		0		0		0
Equity	(104,815)		0		0		0
Embedded Derivatives	(4,656,818)		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(5,008,816)		0		42		0
Total	$	(5,007,888)	$	5,223	$	10,095	$	19,968

	Nine Months Ended September 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	$	2	$	35	$	0	$	(119)
Currency/Interest Rate	834		10,002		11,174		40,447
Total cash flow hedges	836		10,037		11,174		40,328
Derivatives Not Qualifying as Hedge Accounting Instruments:
Interest Rate	(304,420)		0		0		0
Currency	2,261		0		0		0
Currency/Interest Rate	38,437		0		28		0
Credit	(202)		0		0		0
Equity	(69,558)		0		0		0
Embedded Derivatives	(4,721,813)		0		0		0
Total Derivatives Not Qualifying as Hedge Accounting Instruments	(5,055,295)		0		28		0
Total	$	(5,054,459)	$	10,037	$	11,202	$	40,328

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	(323)
Currency/Interest Rate	313,928
Total amount recorded in AOCI	313,605
Amount reclassified from AOCI to income
Interest Rate	(11)
Currency/Interest Rate	(125,201)
Total amount reclassified from AOCI to income	(125,212)
Balance, September 30, 2022	$	228,289