DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments by Category

The tables below present quantitative disclosures about the Company’s derivative instruments, including those embedded in other contracts required to be accounted for as derivative instruments.

Derivative Instruments by Category

	At March 31, 2020							Three Months Ended March 31, 2020
			Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities			Net Derivative Gains (Losses) (2)
	(in millions)
Derivative instruments:
Freestanding derivatives (1):
Equity contracts:
Futures	$	6,317	$	2	$	5		$	220
Swaps	12,947		585		124			3,778
Options	30,050		2,547		3,086			(3,851		)
Interest rate contracts:
Swaps	22,896		2,475		343			3,578
Futures	26,713		—		—			1,988
Swaptions	—		—		—			9
Credit contracts:
Credit default swaps	1,507		26		22			(1		)
Other freestanding contracts:
Foreign currency contracts	430		9		8			(2		)
Margin	—		107		171			—
Collateral	—		29		3,757			—
Embedded derivatives:
GMIB reinsurance contracts (3)	—		2,823		—			726
GMxB derivative features liability (4)	—		—		9,727			(1,198		)
SCS, SIO, MSO and IUL indexed features (5)	—		—		(940		)	4,154
Total derivative instruments	$	100,860	$	8,603	$	16,303
Net derivative gains (losses)								$	9,401

______________

(1) Reported in Other invested assets in the consolidated balance sheets.

(2) Reported in Net derivative gains (losses) in the consolidated statements of income (loss).

(3) Reported in GMIB reinsurance contract asset in the consolidated balance sheets.

(4) Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.

(5) Reported in Policyholders’ account balances in the consolidated balance sheets.

Derivative Instruments by Category

	At December 31, 2019						Three Months Ended March 31, 2019
			Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities		Net Derivative Gains (Losses) (2)
	(in millions)
Derivative instruments:
Freestanding derivatives (1):
Equity contracts:
Futures	$	4,257	$	1	$	1	$	(762	)
Swaps	17,156		9		281		(985		)
Options	47,861		5,098		1,752		1,111
Interest rate contracts:
Swaps	23,793		468		526		648
Futures	20,901		—		—		56
Swaptions	3,201		16		—		—
Credit contracts:
Credit default swaps	1,400		21		6		7
Other freestanding contracts:
Foreign currency contracts	559		12		9		10
Margin	—		155		—		—
Collateral	—		74		3,016		—
Embedded derivatives:
GMIB reinsurance contracts (3)			2,139		—		18
GMxB derivative features liability (4)	—		—		8,432		(408		)
SCS, SIO, MSO and IUL indexed features (5)	—		—		3,268		(1,325		)
Total derivative instruments	$	119,128	$	7,993	$	17,291
Net derivative gains (losses)							$	(1,630	)

______________

(1) Reported in Other invested assets in the consolidated balance sheets.

(2) Reported in Net derivative gains (losses) in the consolidated statements of income (loss).

(3) Reported in GMIB reinsurance contract asset in the consolidated balance sheets.

(4) Reported in Future policy benefits and other policyholders’ liabilities in the consolidated balance sheets.

(5)

Reported in Policyholders’ account balances in the consolidated balance sheets.

Offsetting Financial Assets and Liabilities and Derivative Instruments

The following table presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments at March 31, 2020:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At March 31, 2020

	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (3)			Net Amount
	(in millions)
Assets:
Derivative assets (1)	$	5,779	$	5,522	$	257	$	(162	)	$	95
Other financial assets	1,855		—		1,855		—			1,855
Other invested assets	$	7,634	$	5,522	$	2,112	$	(162	)	$	1,950
Liabilities:
Derivative liabilities (2)	$	7,354	$	5,522	$	1,832	$	—		$	1,832
Other financial liabilities	3,884		—		3,884		—			3,884
Other liabilities	$	11,238	$	5,522	$	5,716	$	—		$	5,716

______________

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3) Primarily financial instrument sent (held).

The following table presents information about the Company’s offsetting of financial assets and liabilities and derivative instruments at December 31, 2019:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At December 31, 2019

	Gross Amount Recognized		Gross Amount Offset in the Balance Sheets		Net Amount Presented in the Balance Sheets		Gross Amount not Offset in the Balance Sheets (3)			Net Amount
	(in millions)
Assets:
Derivative assets (1)	$	5,852	$	5,466	$	386	$	(77	)	$	309
Other financial instruments	2,394		—		2,394		—			2,394
Other invested assets	$	8,246	$	5,466	$	2,780	$	(77	)	$	2,703
Liabilities:
Derivative liabilities (2)	$	5,512	$	5,466	$	46	$	—		$	46
Other financial liabilities	3,924		—		3,924		—			3,924
Other liabilities	$	9,436	$	5,466	$	3,970	$	—		$	3,970

______________

(1) Excludes Investment Management and Research segment’s derivative assets of consolidated VIEs/VOEs.

(2) Excludes Investment Management and Research segment’s derivative liabilities of consolidated VIEs/VOEs.

(3)     Primarily financial instrument sent (held).