Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]


Derivative Balance Sheet Presentation
	Net Derivatives								Asset Derivatives				Liability Derivatives
	Notional Amount				Fair Value				Fair Value				Fair Value
Hedge Designation/ Derivative Type	Sep. 30, 2020		Dec. 31, 2019		Sep. 30, 2020		Dec. 31, 2019		Sep. 30, 2020		Dec. 31, 2019		Sep. 30, 2020		Dec. 31, 2019
Cash flow hedges
Interest rate swaps	$	2,340	$	2,040	$	1	$	—	$	1	$	1	$	—	$	(1)
Foreign currency swaps	269		270		6		(1)		9		3		(3)		(4)
Total cash flow hedges	2,609		2,310		7		(1)		10		4		(3)		(5)
Non-qualifying strategies
Interest rate contracts
Interest rate swaps and futures	8,334		9,338		(79)		(59)		5		3		(84)		(62)
Foreign exchange contracts
Foreign currency swaps and forwards	251		464		—		(1)		—		—		—		(1)
Credit contracts
Credit derivatives that purchase credit protection	5		124		—		(3)		—		—		—		(3)
Credit derivatives that assume credit risk [1]	600		500		12		13		12		13		—		—
Credit derivatives in offsetting positions	222		29		—		—		5		5		(5)		(5)
Equity contracts
Equity index swaps and options	4		941		—		(15)		—		15		—		(30)
Total non-qualifying strategies	9,416		11,396		(67)		(65)		22		36		(89)		(101)
Total cash flow hedges and non-qualifying strategies	$	12,025	$	13,706	$	(60)	$	(66)	$	32	$	40	$	(92)	$	(106)
Balance Sheet Location
Fixed maturities, available-for-sale	$	251	$	244	$	—	$	—	$	—	$	—	$	—	$	—
Other investments	1,381		1,277		12		12		12		13		—		(1)
Other liabilities	10,393		12,185		(72)		(78)		20		27		(92)		(105)
Total derivatives	$	12,025	$	13,706	$	(60)	$	(66)	$	32	$	40	$	(92)	$	(106)

[1]The derivative instruments related to this strategy are held for other investment purposes.

Offsetting Liabilities


Offsetting Derivative Assets and Liabilities
	(i)		(ii)		(iii) = (i) - (ii)				(iv)		(v) = (iii) - (iv)
					Net Amounts Presented in the Statement of Financial Position				Collateral Disallowed for Offset in the Statement of Financial Position
	Gross Amounts of Recognized Assets (Liabilities)		Gross Amounts Offset in the Statement of Financial Position		Derivative Assets [1] (Liabilities) [2]		Accrued Interest and Cash Collateral (Received) [3] Pledged [2]		Financial Collateral (Received) Pledged [4]		Net Amount
As of September 30, 2020
Other investments	$	32	$	9	$	12	$	11	$	1	$	22
Other liabilities	$	(92)	$	(4)	$	(72)	$	(16)	$	(81)	$	(7)
As of December 31, 2019
Other investments	$	40	$	37	$	12	$	(9)	$	1	$	2
Other liabilities	$	(106)	$	(23)	$	(78)	$	(5)	$	(73)	$	(10)

[1]Included in other investments in the Company's Condensed Consolidated Balance Sheets.

[2]Included in other liabilities in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative payable associated with each counterparty.

[3]Included in other investments in the Company's Condensed Consolidated Balance Sheets and is limited to the net derivative receivable associated with each counterparty.

[4]Excludes collateral associated with exchange-traded derivative instruments.

Derivatives in Cash Flow Hedging Relationships


Gain (Loss) Recognized in OCI
	Three Months Ended September 30,					Nine Months Ended September 30,
		2020		2019			2020		2019
Interest rate swaps		$	—	$	—		$	36	$	20
Foreign currency swaps		(12)		10			12		14
Total		$	(12)	$	10		$	48	$	34


Gain (Loss) Reclassified from AOCI into Income
	Three Months Ended September 30,												Nine Months Ended September 30,
	2020						2019						2020						2019
	Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense		Net Realized Capital Gain/(Loss)		Net Investment Income		Interest Expense
Interest rate swaps	$	—	$	9	$	(2)	$	—	$	1	$	—	$	—	$	19	$	(4)	$	2	$	1	$	1
Foreign currency swaps	1		1		—		—		1		—		1		3		—		—		2		—
Total	$	1	$	10	$	(2)	$	—	$	2	$	—	$	1	$	22	$	(4)	$	2	$	3	$	1

Total amounts presented on the Condensed Consolidated Statement of Operations	$	6	$	492	$	58	$	89	$	490	$	67	$	(116)	$	1,290	$	179	$	332	$	1,448	$	194

Non-Qualifying Strategies Recognized within Net Realized Capital Gains (Losses)


Non-qualifying Strategies Recognized within Net Realized Capital Gains (Losses)
	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019






Foreign exchange contracts
Foreign currency swaps and forwards	$	—	$	2	$	3	$	2



Interest rate contracts
Interest rate swaps, swaptions, and futures	—		(5)		21		(20)
Credit contracts
Credit derivatives that purchase credit protection	(1)		(1)		3		(1)
Credit derivatives that assume credit risk	(1)		—		(5)		27
Equity contracts
Equity index swaps and options	—		(1)		75		(5)




Total [1]	$	(2)	$	(5)	$	97	$	3

[1]Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 5 - Fair Value Measurements of Notes to Condensed Consolidated Financial Statements.

Credit Derivatives by Type


Credit Risk Assumed Derivatives by Type
						Underlying Referenced Credit Obligation(s) [1]
	Notional Amount [2]		Fair Value		Weighted Average Years to Maturity	Type	Average Credit Rating	Offsetting Notional Amount [3]		Offsetting Fair Value [3]
As of September 30, 2020
Single name credit default swaps
Investment grade risk exposure	$	100	$	2	5 years	Corporate Credit	A-	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	500		10		5 years	Corporate Credit	BBB+	—		—

Investment grade risk exposure	100		—		8 years	CMBS Credit	AAA	100		—
Below investment grade risk exposure	11		(4)		Less than 1 year	CMBS Credit	CCC	11		4
Total [5]	$	711	$	8				$	111	$	4
As of December 31, 2019
Single name credit default swaps
Investment grade risk exposure	$	100	$	3	5 years	Corporate Credit	A-	$	—	$	—
Basket credit default swaps [4]
Investment grade risk exposure	400		10		5 years	Corporate Credit	BBB+	—		—

Investment grade risk exposure	1		—		Less than 1 year	CMBS Credit	A	1		—
Below investment grade risk exposure	14		(5)		Less than 1 year	CMBS Credit	CCC-	14		5
Total [5]	$	515	$	8				$	15	$	5

[1]The average credit ratings are based on availability and are generally the midpoint of the available ratings among Moody’s, S&P and Fitch. If no rating is available from a rating agency, then an internally developed rating is used.

[2]Notional amount is equal to the maximum potential future loss amount. These derivatives are governed by agreements and applicable law, which include collateral posting requirements. There is no additional specific collateral related to these contracts or recourse provisions included in the contracts to offset losses.

[3]The Company has entered into offsetting credit default swaps to terminate certain existing credit default swaps, thereby offsetting the future changes in value of, or losses paid related to, the original swap.

[4]Comprised of swaps of standard market indices of diversified portfolios of corporate and CMBS issuers referenced through credit default swaps. These swaps are subsequently valued based upon the observable standard market index.

[5]Excludes investments that contain an embedded credit derivative for which the Company has elected the fair value option. For further discussion, see the Fair Value Option section in Note 5 - Fair Value Measurements..

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details