Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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 June 30, 2021 and December 31, 2020 (dollars in millions):

		June 30, 2021						December 31, 2020
	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	$	1,089	$	74	$	1	$	1,084	$	93	$	1
Financial futures	Equity	254		—		—		258		—		—
Foreign currency swaps	Foreign currency	150		—		6		150		—		18
Foreign currency forwards	Foreign currency	459		1		4		347		4		2
CPI swaps	CPI	607		19		11		612		11		19
Credit default swaps	Credit	1,893		36		1		1,517		13		—
Equity options	Equity	479		23		—		395		29		—
Synthetic GICs	Interest rate	16,489		—		—		16,644		—		—
Embedded derivatives in:
Modco or funds withheld arrangements		—		124		—		—		58		—
Indexed annuity products		—		—		726		—		—		752
Variable annuity products		—		—		154		—		—		155
Total non-hedging derivatives		21,420		277		903		21,007		208		947
Derivatives designated as hedging instruments:
Interest rate swaps	Foreign currency/Interest rate	920		5		27		802		3		24
Foreign currency swaps	Foreign currency	193		3		1		234		8		1
Foreign currency forwards	Foreign currency	1,327		9		24		1,255		10		15
Forward bond purchase commitments	Interest rate	369		7		—		—		—		—
Total hedging derivatives		2,809		24		52		2,291		21		40
Total derivatives		$	24,229	$	301	$	955	$	23,298	$	229	$	987

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 June 30, 2021 and 2020 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 June 30, 2021:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	(2)	$	2
For the three months ended June 30, 2020:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	15	$	(13)
For the six months ended June 30, 2021:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	(2)	$	3
For the six months ended June 30, 2020:
Foreign currency swaps	Foreign-denominated fixed maturity securities	$	(8)	$	2

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) [Table Text Block]

The following tables present 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 and six months ended June 30, 2021 and 2020 (dollars in millions):

	Three months ended June 30,
	2021		2020
Balance, beginning of period	$	(71)	$	(87)
Gains deferred in other comprehensive income (loss)	29		12
Amounts reclassified to investment income	—		—
Amounts reclassified to interest expense	2		1
Balance, end of period	$	(40)	$	(74)
	Six months ended June 30,
	2021		2020
Balance, beginning of period	$	(49)	$	(26)
Gains (losses) deferred in other comprehensive income (loss)	5		(49)
Amounts reclassified to investment income	—		—
Amounts reclassified to interest expense	4		1
Balance, end of period	$	(40)	$	(74)

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 and six months ended June 30, 2021 and 2020 (dollars in millions):

Derivative Type	Gain (Loss) Deferred in AOCI		Gain (Loss) Reclassified into Income from AOCI
			Investment Income		Interest Expense
For the three months ended June 30, 2021:
Interest rate	$	29	$	—	$	(2)
Foreign currency/interest rate	—		—		—
Total	$	29	$	—	$	(2)
For the three months ended June 30, 2020:
Interest rate	$	(1)	$	—	$	(1)
Foreign currency/interest rate	13		—		—
Total	$	12	$	—	$	(1)
For the six months ended June 30, 2021:
Interest rate	$	6	$	—	$	(4)
Foreign currency/interest rate	(1)		—		—
Total	$	5	$	—	$	(4)
For the six months ended June 30, 2020:
Interest rate	$	(36)	$	—	$	(1)
Foreign currency/interest rate	(13)		—		—
Total	$	(49)	$	—	$	(1)

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 and the gains (losses) deferred in AOCI for the three and six months ended June 30, 2021 and 2020 (dollars in millions):

	Derivative Gains (Losses) Deferred in AOCI
	Three months ended June 30,				Six months ended June 30,
Type of NIFO Hedge	2021		2020		2021		2020
Foreign currency swaps	$	(2)	$	(6)	$	(3)	$	9
Foreign currency forwards	(10)		(34)		(24)		46
Total	$	(12)	$	(40)	$	(27)	$	55

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 and six months ended June 30, 2021 and 2020 is as follows (dollars in millions):

		Three months ended June 30,
Type of Non-hedging Derivative	Income Statement Location of Gain (Loss)	2021		2020
Interest rate swaps	Investment related gains (losses), net	$	33	$	3
Financial futures	Investment related gains (losses), net	(9)		(48)
Foreign currency swaps	Investment related gains (losses), net	3		3
Foreign currency forwards	Investment related gains (losses), net	(1)		1
CPI swaps	Investment related gains (losses), net	3		26
Credit default swaps	Investment related gains (losses), net	12		17
Equity options	Investment related gains (losses), net	(11)		(25)
Subtotal		30		(23)
Embedded derivatives in:
Modco or funds withheld arrangements	Investment related gains (losses), net	16		1
Indexed annuity products	Interest credited	(13)		(7)
Variable annuity products	Investment related gains (losses), net	(17)		107
Total non-hedging derivatives		$	16	$	78
		Six months ended June 30,
Type of Non-hedging Derivative	Income Statement Location of Gain (Loss)	2021		2020
Interest rate swaps	Investment related gains (losses), net	$	(37)	$	109
Financial futures	Investment related gains (losses), net	(19)		(4)
Foreign currency swaps	Investment related gains (losses), net	12		(10)
Foreign currency forwards	Investment related gains (losses), net	(9)		(2)
CPI swaps	Investment related gains (losses), net	21		(14)
Credit default swaps	Investment related gains (losses), net	32		(7)
Equity options	Investment related gains (losses), net	(21)		28
Subtotal		(21)		100
Embedded derivatives in:
Modco or funds withheld arrangements	Investment related gains (losses), net	66		(229)
Indexed annuity products	Interest credited	1		(1)
Variable annuity products	Investment related gains (losses), net	1		(21)
Total non-hedging derivatives		$	47	$	(151)

Disclosure of Credit Derivatives [Table Text Block]

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 June 30, 2021 and December 31, 2020 (dollars in millions):

	June 30, 2021					December 31, 2020
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	$	34	$	715	12.4	$	11	$	287	15.0
Subtotal	34		715		12.4	11		287		15.0
BBB+/BBB/BBB-
Single name credit default swaps	1		181		2.0	2		232		1.6
Credit default swaps referencing indices	—		988		3.4	—		988		3.9
Subtotal	1		1,169		3.2	2		1,220		3.5
BB+/BB/BB-
Single name credit default swaps	—		9		0.5	—		10		0.7
Subtotal	—		9		0.5	—		10		0.7
Total	$	35	$	1,893	6.7	$	13	$	1,517	5.6

(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 netting of the Company’s derivative instruments as of June 30, 2021 and December 31, 2020 (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
June 30, 2021:
Derivative assets	$	177	$	(31)	$	146	$	(36)	$	(100)	$	10
Derivative liabilities	75		(31)		44		(121)		(48)		(125)
December 31, 2020:
Derivative assets	$	171	$	(31)	$	140	$	(30)	$	(98)	$	12
Derivative liabilities	80		(31)		49		(146)		(47)		(144)

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

Offsetting Liabilities [Table Text Block]

The following table provides information relating to the netting of the Company’s derivative instruments as of June 30, 2021 and December 31, 2020 (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
June 30, 2021:
Derivative assets	$	177	$	(31)	$	146	$	(36)	$	(100)	$	10
Derivative liabilities	75		(31)		44		(121)		(48)		(125)
December 31, 2020:
Derivative assets	$	171	$	(31)	$	140	$	(30)	$	(98)	$	12
Derivative liabilities	80		(31)		49		(146)		(47)		(144)

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