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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule Of Derivative Instruments In Statement Of Financial Position Fair Value The following table presents the notional amounts and gross fair value of derivative instruments prior to taking into account the netting effects of master netting agreements as of March 31, 2020 and December 31, 2019 (dollars in millions):
 
 
 
 
March 31, 2020
 
December 31, 2019
 
 
Primary Underlying Risk
 
Notional
 
Carrying Value/Fair Value
 
Notional
 
Carrying Value/Fair Value
 
 
 
Amount
 
Assets
 
Liabilities
 
Amount
 
Assets
 
Liabilities
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
$
1,057

 
$
104

 
$
8

 
$
909

 
$
70

 
$
3

Financial futures
 
Equity
 
323

 
—

 
—

 
307

 
—

 
—

Foreign currency swaps
 
Foreign currency
 
150

 
—

 
23

 
150

 
—

 
9

Foreign currency forwards
 
Foreign currency
 
175

 
3

 
—

 
175

 
1

 
—

CPI swaps
 
CPI
 
527

 
1

 
65

 
441

 
—

 
28

Credit default swaps
 
Credit
 
1,641

 
3

 
6

 
1,306

 
5

 
—

Equity options
 
Equity
 
320

 
58

 
—

 
364

 
15

 
—

Synthetic GICs
 
Interest rate
 
14,240

 
—

 
—

 
13,823

 
—

 
—

Embedded derivatives in:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Modco or funds withheld arrangements
 
 
 
—

 
—

 
109

 
—

 
121

 
—

Indexed annuity products
 
 
 
—

 
—

 
751

 
—

 
—

 
767

Variable annuity products
 
 
 
—

 
—

 
291

 
—

 
—

 
163

Total non-hedging derivatives
 
 
 
18,433

 
169

 
1,253

 
17,475

 
212

 
970

Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Foreign currency/Interest rate
 
435

 
5

 
53

 
535

 
1

 
29

Foreign currency swaps
 
Foreign currency
 
322

 
31

 
23

 
342

 
17

 
2

Foreign currency forwards
 
Foreign currency
 
1,112

 
102

 
1

 
1,094

 
28

 
2

Total hedging derivatives
 
 
 
1,869

 
138

 
77

 
1,971

 
46

 
33

Total derivatives
 
 
 
$
20,302

 
$
307

 
$
1,330

 
$
19,446

 
$
258

 
$
1,003
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] The gain or loss on the hedged item attributable to a change in foreign currency and the offsetting gain or loss on the related foreign currency swaps as of March 31, 2020 and 2019 were (dollars in millions):
Type of Fair Value Hedge
 
Hedged Item
 
Gains (Losses) Recognized for Derivatives
 
Gains (Losses) Recognized for Hedged Items
 
 
 
 
Investment Related Gains (Losses)
For the three months ended March 31, 2020:
 
 
 
 
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(22
)
 
$
14

For the three months ended March 31, 2019:
Foreign currency swaps
 
Foreign-denominated fixed maturity securities
 
$
(1
)
 
$
(1
)
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]
The following table presents the components of AOCI, before income tax, and the condensed consolidated income statement classification where the gain or loss is recognized related to cash flow hedges for the three months ended March 31, 2020 and 2019 (dollars in millions):
 
 
Three months ended March 31,
 
 
2020
 
2019
Balance beginning of period
 
$
(26
)
 
$
9

Gains (losses) deferred in other comprehensive income (loss)
 
(61
)
 
(10
)
Amounts reclassified to investment income
 
—

 
—

Amounts reclassified to interest expense
 
—

 
—

Balance end of period
 
$
(87
)
 
$
(1
)
Schedule of Cash Flow Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block]
The following table presents the effect of derivatives in cash flow hedging relationships on the condensed consolidated statements of income and the condensed consolidated statements of comprehensive income for the three months ended March 31, 2020 and 2019 (dollars in millions):
Derivative Type
 
Gain (Loss) Deferred in OCI
 
Gain (Loss) Reclassified into Income from OCI
 
 
 
 
Investment Income
 
Interest Expense
For the three months ended March 31, 2020:
 
 
 
 
 
 
Interest rate
 
$
(36
)
 
$
—

 
$
—

Currency
 
(25
)
 
—

 
—

Total
 
$
(61
)
 
$
—

 
$
—

For the three months ended March 31, 2019:
 
 
 
 
 
 
Interest rate
 
$
(12
)
 
$
—

 
$
—

Currency/Interest rate
 
2

 
—

 
—

Total
 
$
(10
)
 
$
—

 
$
—
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location [Table Text Block] The following table illustrates the Company’s net investments in foreign operations (“NIFO”) hedges for the three months ended March 31, 2020 and 2019 (dollars in millions):
 
 
Derivative Gains (Losses) Deferred in AOCI     
 
 
For the three months ended March 31,
Type of NIFO Hedge (1)
 
2020
 
2019
Foreign currency swaps
 
$
15

 
$
(7
)
Foreign currency forwards
 
80

 
(18
)
(1)
There were no sales or substantial liquidations of net investments in foreign operations that would have required the reclassification of gains or losses from accumulated other comprehensive income (loss) into investment income during the periods presented.
Derivatives Not Designated as Hedging Instruments [Table Text Block]
A summary of the effect of non-hedging derivatives, including embedded derivatives, on the Company’s condensed consolidated statements of income for the three months ended March 31, 2020 and 2019 is as follows (dollars in millions):
 
 
 
 
Gain (Loss) for the three months ended        
March 31,
Type of Non-hedging Derivative
 
Income Statement Location of Gain (Loss)
 
2020
 
2019
Interest rate swaps
 
Investment related gains (losses), net
 
$
106

 
$
24

Financial futures
 
Investment related gains (losses), net
 
44

 
(22
)
Foreign currency swaps
 
Investment related gains (losses), net
 
(13
)
 
1

Foreign currency forwards
 
Investment related gains (losses), net
 
(3
)
 
—

CPI swaps
 
Investment related gains (losses), net
 
(40
)
 
(9
)
Credit default swaps
 
Investment related gains (losses), net
 
(24
)
 
15

Equity options
 
Investment related gains (losses), net
 
53

 
(23
)
Longevity swaps
 
Other revenues
 
—

 
2

Mortality swaps
 
Other revenues
 
—

 
1

Subtotal
 
 
 
123

 
(11
)
Embedded derivatives in:
 
 
 
 
 
 
Modco or funds withheld arrangements
 
Investment related gains (losses), net
 
(230
)
 
(2
)
Indexed annuity products
 
Interest credited
 
6

 
3

Variable annuity products
 
Investment related gains (losses), net
 
(128
)
 
18

Total non-hedging derivatives
 
 
 
$
(229
)
 
$
8
Disclosure Of Credit Derivatives
The following table presents the estimated fair value, maximum amount of future payments and weighted average years to maturity of credit default swaps sold by the Company at March 31, 2020 and December 31, 2019 (dollars in millions):
 
 
March 31, 2020
 
December 31, 2019
Rating Agency Designation of Referenced Credit Obligations(1)
 
Estimated Fair
Value of Credit  
Default Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
 
Weighted
Average
Years to
Maturity(3)
 
Estimated Fair
Value of Credit  
Default Swaps
 
Maximum
Amount of Future
Payments under
Credit Default
Swaps(2)
 
Weighted
Average
Years to
Maturity(3)  
AAA/AA+/AA/AA-/A+/A/A-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
$
1

 
$
127

 
1.4
 
$
2

 
$
142

 
1.7
Subtotal
 
1

 
127

 
1.4
 
2

 
142

 
1.7
BBB+/BBB/BBB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
—

 
281

 
1.8
 
3

 
291

 
1.9
Credit default swaps referencing indices
 
(4
)
 
1,228

 
4.7
 
—

 
873

 
4.7
Subtotal
 
(4
)
 
1,509

 
4.1
 
3

 
1,164

 
4.0
BB+/BB/BB-
 
 
 
 
 
 
 
 
 
 
 
 
Single name credit default swaps
 
—

 
5

 
0.2
 
—

 
—

 
0.0
Subtotal
 
—

 
5

 
0.2
 
—

 
—

 
0.0
Total
 
$
(3
)
 
$
1,641

 
3.9
 
$
5

 
$
1,306

 
3.7
 
(1)
The rating agency designations are based on ratings from Standard and Poor’s (“S&P”).
(2)
Assumes the value of the referenced credit obligations is zero.
(3)
The weighted average years to maturity of the credit default swaps is calculated based on weighted average notional amounts.
Offsetting Assets [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of March 31, 2020 and December 31, 2019 (dollars in millions):
 
 
 
 
 
 
 
 
Gross Amounts Not
Offset in the Balance Sheet
 
 
 
 
Gross Amounts   
Recognized
 
Gross Amounts
Offset in the
Balance Sheet   
 
Net Amounts
Presented in the
Balance Sheet   
 
Financial
Instruments (1)    
 
Cash Collateral   
Pledged/
Received
 
Net Amount   
March 31, 2020:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
307

 
$
(55
)
 
$
252

 
$
—

 
$
(247
)
 
$
5

Derivative liabilities
 
179

 
(55
)
 
124

 
(127
)
 
(115
)
 
(118
)
December 31, 2019:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
137

 
$
(20
)
 
$
117

 
$
—

 
$
(119
)
 
$
(2
)
Derivative liabilities
 
73

 
(20
)
 
53

 
(92
)
 
(52
)
 
(91
)
(1)
Includes initial margin posted to a central clearing partner.
Offsetting Liabilities [Table Text Block]
The following table provides information relating to the Company’s derivative instruments as of March 31, 2020 and December 31, 2019 (dollars in millions):
 
 
 
 
 
 
 
 
Gross Amounts Not
Offset in the Balance Sheet
 
 
 
 
Gross Amounts   
Recognized
 
Gross Amounts
Offset in the
Balance Sheet   
 
Net Amounts
Presented in the
Balance Sheet   
 
Financial
Instruments (1)    
 
Cash Collateral   
Pledged/
Received
 
Net Amount   
March 31, 2020:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
307

 
$
(55
)
 
$
252

 
$
—

 
$
(247
)
 
$
5

Derivative liabilities
 
179

 
(55
)
 
124

 
(127
)
 
(115
)
 
(118
)
December 31, 2019:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
$
137

 
$
(20
)
 
$
117

 
$
—

 
$
(119
)
 
$
(2
)
Derivative liabilities
 
73

 
(20
)
 
53

 
(92
)
 
(52
)
 
(91
)
(1)
Includes initial margin posted to a central clearing partner.