DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2020						Nine Months Ended September 30, 2020
			Fair Value
	Notional Amount		Derivative Assets		Derivative Liabilities		Net Derivative Gains (Losses) (2)
	(in millions)
Derivative instruments:
Freestanding derivatives (1):
Equity contracts:
Futures	$	4,480	$	—	$	—	$	(401)
Swaps	20,718		28		18		(604)
Options	31,750		5,557		2,800		(481)
Interest rate contracts:
Swaps	24,024		1,699		341		3,587
Futures	19,922		—		—		2,051
Swaptions	—		—		—		9
Credit contracts:
Credit default swaps	1,534		24		18		2
Other freestanding contracts:
Foreign currency contracts	416		8		8		(3)
Margin	—		69		125		—
Collateral	—		14		4,965		—
Embedded derivatives:
GMIB reinsurance contracts (3)	—		2,818		—		737
GMxB derivative features liability (4)	—		—		12,204		(3,421)
SCS, SIO, MSO and IUL indexed features (5)	—		—		2,606		414
Total derivative instruments	$	102,844	$	10,217	$	23,085
Net derivative gains (losses)							$	1,890

______________

(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						Nine Months Ended September 30, 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	$	(990)
Swaps	17,156		9		281		(1,279)
Options	47,861		5,098		1,752		1,255
Interest rate contracts:
Swaps	23,793		468		526		2,843
Futures	20,901		—		—		188
Swaptions	3,201		16		—		146
Credit contracts:
Credit default swaps	1,400		21		6		9
Other freestanding contracts:
Foreign currency contracts	559		12		9		(11)
Margin	—		155		—		—
Collateral	—		74		3,016		—
Embedded derivatives:
GMIB reinsurance contracts (3)	—		2,139		—		740
GMxB derivative features liability (4)	—		—		8,502		(3,677)
SCS, SIO, MSO and IUL indexed features (5)	—		—		3,268		(1,547)
Total derivative instruments	$	119,128	$	7,993	$	17,361
Net derivative gains (losses)							$	(2,323)

______________

(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 September 30, 2020:

Offsetting of Financial Assets and Liabilities and Derivative Instruments

At September 30, 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)	$	7,398	$	7,282	$	116	$	(54)	$	62
Other financial assets	1,686		—		1,686		—		1,686
Other invested assets	$	9,084	$	7,282	$	1,802	$	(54)	$	1,748
Liabilities:
Derivative liabilities (2)	$	8,222	$	7,282	$	940	$	—	$	940
Other financial liabilities	3,924		—		3,924		—		3,924
Other liabilities	$	12,146	$	7,282	$	4,864	$	—	$	4,864

______________

(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)Financial instruments 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) Financial instruments sent (held).