Derivatives (Tables)
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12 Months Ended |
Dec. 31, 2023 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Schedule of Notional Amount and Fair Value of Derivative Instruments |
The following table presents the notional amount and fair value of derivative instruments:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | December 31, 2022 | | Notional Amount | | Fair Value | | Notional Amount | | Fair Value | | (In millions) | | Assets | | Liabilities | | | Assets | | Liabilities | | Derivatives designated as hedges | | | | | | | | | | | | | Foreign currency hedges | | | | | | | | | | | | | Swaps | 9,034 | | | $ | 477 | | | $ | 230 | | | 6,677 | | | $ | 747 | | | $ | 154 | | | Forwards | 6,294 | | | 275 | | | 102 | | | 6,283 | | | 406 | | | 52 | | | Interest rate swaps | 4,468 | | | — | | | 521 | | | 4,468 | | | — | | | 803 | | | Forwards on net investments | 219 | | | — | | | 6 | | | 216 | | | 2 | | | — | | | Interest rate swaps | 10,031 | | | 29 | | | 95 | | | 9,332 | | | 9 | | | 150 | | | Total derivatives designated as hedges | | | 781 | | | 954 | | | | | 1,164 | | | 1,159 | | | Derivatives not designated as hedges | | | | | | | | | | | | | Equity options | 73,881 | | | 3,809 | | | 102 | | | 65,089 | | | 1,374 | | | 114 | | | Futures | 35 | | | 72 | | | — | | | 18 | | | 33 | | | — | | | Foreign currency swaps | 8,072 | | | 230 | | | 244 | | | 3,563 | | | 251 | | | 112 | | | Interest rate swaps | 3,499 | | | 81 | | | 9 | | | 488 | | | 74 | | | — | | | Other swaps | 2,588 | | | 39 | | | 1 | | | 89 | | | — | | | 4 | | | Foreign currency forwards | 28,236 | | | 286 | | | 685 | | | 16,376 | | | 413 | | | 257 | | | Embedded derivatives | | | | | | | | | | | | | Funds withheld, including related parties | | | (4,100) | | | (64) | | | | | (6,272) | | | (77) | | | Interest sensitive contract liabilities | | | — | | | 9,059 | | | | | — | | | 5,841 | | | Total derivatives not designated as hedges | | | 417 | | | 10,036 | | | | | (4,127) | | | 6,251 | | | Total derivatives | | | $ | 1,198 | | | $ | 10,990 | | | | | $ | (2,963) | | | $ | 7,410 | |
The following represents the carrying amount and the cumulative fair value hedging adjustments included in the hedged assets or liabilities:
| | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2023 | | December 31, 2022 | | (In millions) | Carrying amount of the hedged assets or liabilities1 | | Cumulative amount of fair value hedging gains (losses) | | Carrying amount of the hedged assets or liabilities1 | | Cumulative amount of fair value hedging gains (losses) | | AFS securities | | | | | | | | | Foreign currency forwards | $ | 4,883 | | | $ | (15) | | | $ | 5,259 | | | $ | (217) | | | Foreign currency swaps | 6,820 | | | (141) | | | 4,797 | | | (398) | | | Interest sensitive contract liabilities | | | | | | | | | Foreign currency swaps | 1,438 | | | 19 | | | 1,081 | | | 88 | | | Foreign currency interest rate swaps | 4,010 | | | 363 | | | 4,348 | | | 632 | | | Interest rate swaps | 6,910 | | | 189 | | | 6,577 | | | 323 | | | | | | | | | | 1 The carrying amount disclosed for AFS securities is amortized cost. |
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| Schedule of Gains (Losses) Related to Cash Flow Hedges |
The following is a summary of the gains (losses) related to the derivatives and related hedged items in fair value hedge relationships:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amount Excluded | | (In millions) | Derivatives | | Hedged Items | | Net | | Recognized in income through amortization approach | | Recognized in income through changes in fair value | | Year ended December 31, 2023 | | | | | | | | | | | Investment related gains (losses) | | | | | | | | | | | Foreign currency forwards | $ | (169) | | | $ | 167 | | | $ | (2) | | | $ | 82 | | | $ | 20 | | | Foreign currency swaps | (159) | | | 169 | | | 10 | | | — | | | — | | | Foreign currency interest rate swaps | 282 | | | (269) | | | 13 | | | — | | | — | | | Interest rate swaps | 111 | | | (118) | | | (7) | | | — | | | — | | | Interest sensitive contract benefits | | | | | | | | | | | Foreign currency interest rate swaps | 57 | | | (60) | | | (3) | | | — | | | — | | | Year ended December 31, 2022 | | | | | | | | | | | Investment related gains (losses) | | | | | | | | | | | Foreign currency forwards | $ | 183 | | | $ | (190) | | | $ | (7) | | | $ | 67 | | | $ | 9 | | | Foreign currency swaps | 286 | | | (310) | | | (24) | | | — | | | — | | | Foreign currency interest rate swaps | (622) | | | 632 | | | 10 | | | — | | | — | | | Interest rate swaps | (332) | | | 323 | | | (9) | | | — | | | — | | | Interest sensitive contract benefits | | | | | | | | | | | Foreign currency interest rate swaps | 52 | | | (53) | | | (1) | | | — | | | — | | | | | | | | | | | |
The following is a summary of the gains (losses) excluded from the assessment of hedge effectiveness that were recognized in OCI:
| | | | | | | | | | | | | Years ended December 31, | | (In millions) | 2023 | | 2022 | | Foreign currency forwards | $ | (45) | | | $ | 20 | | | Foreign currency swaps | (187) | | | 88 | |
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| Schedule of Derivatives Not Designated as Hedges |
The following is a summary of the gains (losses) related to derivatives not designated as hedges:
| | | | | | | | | | | | | Years ended December 31, | | (In millions) | 2023 | | 2022 | | Equity options | $ | 1,564 | | | $ | (2,647) | | | Futures | 73 | | | (144) | | | Swaps | (108) | | | 56 | | | Foreign currency forwards | (495) | | | 505 | | | Embedded derivatives on funds withheld | 934 | | | (6,534) | | | Amounts recognized in investment related gains (losses) | 1,968 | | | (8,764) | | Embedded derivatives in indexed annuity products1 | (1,443) | | | 2,768 | | | Total gains (losses) on derivatives not designated as hedges | $ | 525 | | | $ | (5,996) | | | | | | 1 Included in interest sensitive contract benefits on the consolidated statements of operations. | | |
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| Schedule of Offsetting Derivative Assets |
The estimated fair value of net derivative and other financial assets and liabilities after the application of master netting agreements and collateral were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross amounts not offset on the consolidated statements of financial condition | | | | | | | | (In millions) | Gross amount recognized1 | | Financial instruments2 | | Collateral (received)/pledged | | Net amount | | Off-balance sheet securities collateral3 | | Net amount after securities collateral | | December 31, 2023 | | | | | | | | | | | | | Derivative assets | $ | 5,298 | | | $ | (1,497) | | | $ | (3,676) | | | $ | 125 | | | $ | — | | | $ | 125 | | | Derivative liabilities | (1,995) | | | 1,497 | | | 848 | | | 350 | | | — | | | 350 | | | | | | | | | | | | | | | December 31, 2022 | | | | | | | | | | | | | Derivative assets | $ | 3,309 | | | $ | (1,477) | | | $ | (1,952) | | | $ | (120) | | | $ | — | | | $ | (120) | | | Derivative liabilities | (1,646) | | | 1,477 | | | 478 | | | 309 | | | — | | | 309 | | | | | | | | | | | | | | 1 The gross amounts of recognized derivative assets and derivative liabilities are reported on the consolidated statements of financial condition. As of December 31, 2023 and 2022, amounts not subject to master netting or similar agreements were immaterial. | 2 Represents amounts offsetting derivative assets and derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets or gross derivative liabilities for presentation on the consolidated statements of financial condition. | 3 For non-cash collateral received, the Company does not recognize the collateral on the consolidated statements of financial condition unless the obligor (transferor) has defaulted under the terms of the secured contract and is no longer entitled to redeem the pledged asset. Amounts do not include any excess of collateral pledged or received. |
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| Schedule of Offsetting Derivative Liabilities |
The estimated fair value of net derivative and other financial assets and liabilities after the application of master netting agreements and collateral were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gross amounts not offset on the consolidated statements of financial condition | | | | | | | | (In millions) | Gross amount recognized1 | | Financial instruments2 | | Collateral (received)/pledged | | Net amount | | Off-balance sheet securities collateral3 | | Net amount after securities collateral | | December 31, 2023 | | | | | | | | | | | | | Derivative assets | $ | 5,298 | | | $ | (1,497) | | | $ | (3,676) | | | $ | 125 | | | $ | — | | | $ | 125 | | | Derivative liabilities | (1,995) | | | 1,497 | | | 848 | | | 350 | | | — | | | 350 | | | | | | | | | | | | | | | December 31, 2022 | | | | | | | | | | | | | Derivative assets | $ | 3,309 | | | $ | (1,477) | | | $ | (1,952) | | | $ | (120) | | | $ | — | | | $ | (120) | | | Derivative liabilities | (1,646) | | | 1,477 | | | 478 | | | 309 | | | — | | | 309 | | | | | | | | | | | | | | 1 The gross amounts of recognized derivative assets and derivative liabilities are reported on the consolidated statements of financial condition. As of December 31, 2023 and 2022, amounts not subject to master netting or similar agreements were immaterial. | 2 Represents amounts offsetting derivative assets and derivative liabilities that are subject to an enforceable master netting agreement or similar agreement that are not netted against the gross derivative assets or gross derivative liabilities for presentation on the consolidated statements of financial condition. | 3 For non-cash collateral received, the Company does not recognize the collateral on the consolidated statements of financial condition unless the obligor (transferor) has defaulted under the terms of the secured contract and is no longer entitled to redeem the pledged asset. Amounts do not include any excess of collateral pledged or received. |
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