Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The carrying amounts of derivative instruments, including derivative instruments embedded in FIA contracts, as of September 30, 2020 is as follows (in millions):

	September 30, 2020
Assets:
Derivative investments:
Call options	$	381
Other long-term investments:
Other embedded derivatives	23
	$	404

Liabilities:
Contractholder funds:
FIA embedded derivative	$	3,161
Other liabilities:
Reinsurance related embedded derivative	49
	$	3,210

Derivative Instruments, Gain (Loss)

The change in fair value of derivative instruments included in the accompanying unaudited Condensed Consolidated Statements of Earnings is as follows (in millions):

	Three Months Ended		Four Months Ended
	September 30, 2020		Period from June 1 to September 30, 2020
Net investment gains (losses):
Call options	$	43	$	55
Futures contracts	7		9
Foreign currency forward	(4)		(4)
Other derivatives and embedded derivatives	2		3
Reinsurance related embedded derivatives	(14)		(35)
Total net investment losses	$	34	$	28
Benefits and other changes in policy reserves:
FIA embedded derivatives	$	209	$	309

FGL's Exposure to Credit Loss on Call Options Held

Information regarding our exposure to credit loss on the call options we hold as of September 30, 2020, is presented in the following table (in millions):

		September 30, 2020
Counterparty	Credit Rating (Fitch/Moody's/S&P) (1)	Notional Amount		Fair Value		Collateral		Net Credit Risk
Merrill Lynch	AA-/*/A+	$	2,580	$	39	$	—	$	39
Deutsche Bank	BBB/A3/BBB+	20		1		1		—
Morgan Stanley	*/A2/BBB+	1,557		17		18		—
Barclay's Bank	A+/A1/A	4,563		152		149		3
Canadian Imperial Bank of Commerce	AA/Aa2/A+	2,021		63		61		2
Wells Fargo	A+/A2/BBB+	2,880		87		85		2
Goldman Sachs	A/A3/BBB+	736		6		6		—
Credit Suisse	A/A1/A+	648		7		6		1
Truist	A+/A2/A	432		9		9		—
Total		$	15,437	$	381	$	335	$	47

(1) An * represents credit ratings that were not available.